Report Summary 1) Report Industry Investment Rating No investment rating information is provided in the report. 2) Core View of the Report The situation of Treasury bond futures is oscillating with an unclear trend, and the bond market may face pressure due to the ongoing recovery expectations [1]. 3) Summary by Relevant Catalogs a. Fundamental Tracking - On June 3, the 30 - year Treasury bond futures main contract rose 0.03%, while the 10 - year, 5 - year, and 2 - year main contracts fell 0.03%, 0.04%, and 0.04% respectively [1]. - In the money market, overnight shibor was 1.4100%, down 6.1bp from the previous trading day; 7 - day shibor was 1.5150%, down 10.2bp; 14 - day shibor was 1.5790%, down 16.0bp; 1 - month shibor was 1.6200%, unchanged from the previous trading day [1]. b. Previous Trading Day Treasury Bond Futures Market | Contract | Opening Price | High Price | Low Price | Closing Price | Change (%) | Amplitude (%) | Volume | Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2509 (2 - year) | 102.386 | 102.388 | 102.350 | 102.352 | - 0.04 | 0.04 | 37274 | 115402 | | TF2509 (5 - year) | 106.005 | 106.040 | 105.940 | 105.960 | - 0.04 | 0.09 | 47214 | 138590 | | T2509 (10 - year) | 108.700 | 108.750 | 108.650 | 108.685 | - 0.03 | 0.09 | 42868 | 167327 | | TL2509 (30 - year) | 119.350 | 119.570 | 119.290 | 119.450 | 0.03 | 0.23 | 60835 | 93807 | - The 2 - year active CTD bond was 250006.IB with an IRR of 1.89%; the 5 - year was 240020.IB with an IRR of 1.80%; the 10 - year was 220010.IB with an IRR of 1.73%; the 30 - year was 210005.IB with an IRR of 1.82%. Currently, R007 is about 1.5877% [2]. c. Money Market - On June 3, the inter - bank pledged repurchase market traded 2.6 billion yuan, an increase of 47.17%. Overnight rate was 1.41%, down 19bp from the previous trading day; 7 - day rate was 1.56%, down 19bp; 14 - day rate was 1.57%, down 16bp; 1 - month rate was 1.55%, down 5bp [3]. d. Cash Bond - The Treasury bond yield curve shifted up by 0.30 - 1.62BP (2Y up 1.57BP to 1.48%; 5Y up 1.62BP to 1.58%; 10Y up 0.72BP to 1.68%; 30Y up 0.30BP to 1.90%). The credit bond yield curve showed mixed movements [3]. e. Macro and Industry News - On June 3, the central bank conducted 454.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% [7]. f. Trend Intensity - The trend intensity of Treasury bond futures is 0, with the range of trend intensity being integers in the [- 2, 2] interval [8].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The stock - bond negative correlation continues with range - bound fluctuations, and the short - term trend is unclear. It is advisable to watch cautiously [1]. 3. Summary by Related Catalogs 3.1 Fundamental Tracking - On May 31, treasury bond futures closed higher across the board. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts rose 0.56%, 0.21%, 0.14%, and 0.04% respectively [2]. - The treasury bond futures index was - 0.24. The volume - price factor was bearish, and the fundamental factor was bullish. Without leverage, the cumulative returns of the strategy in the past 20, 60, 120, and 240 days were - 0.08%, - 0.34%, - 0.15%, and 1.15% respectively [2]. - In terms of funds, the overnight shibor was 1.4710%, up 6.0bp from the previous trading day; the 7 - day shibor was 1.6170%, up 1.5bp; the 14 - day shibor was 1.7390%, down 0.5bp; the 1 - month shibor was 1.6200%, down 0.1bp [2]. 3.2 Previous Trading Day Treasury Bond Futures Market - Details of the opening, high, low, closing prices, price changes, amplitudes, trading volumes, and open interests of 2 - year, 5 - year, 10 - year, and 30 - year main contracts are provided. For example, the 2 - year main contract TS2509 opened at 102.372, closed at 102.396, and rose 0.04% [3]. - The 2 - year, 5 - year, 10 - year, and 30 - year active CTD bonds and their IRRs are given, with the current R007 at about 1.6972% [3]. 3.3 Money Market and Bond Market - On May 30, the inter - bank pledged repurchase market traded 1.7 billion yuan, a decrease of 17.95%. Interest rates for different terms had different changes [4]. - The treasury bond yield curve shifted down by 1.80 - 2.75BP, and the credit bond yield curve shifted down by 2.00 - 11.00BP [4]. - In terms of the daily change of net long positions by institutional type, private funds, foreign capital, and wealth management subsidiaries increased by 4.31%, 7.83%, and 5.61% respectively. In weekly changes, private funds decreased by 1.45%, while foreign capital and wealth management subsidiaries increased by 3.95% and 3.83% respectively [4]. 3.4 Macro and Industry News On May 31, the central bank conducted 291.1 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, the same as before. With 142.5 billion yuan of 7 - day reverse repurchases maturing, a net injection of 148.6 billion yuan was achieved [8]. 3.5 Trend Intensity The trend intensity of treasury bond futures was 0, with the range of trend intensity being an integer in the [- 2, 2] interval [9].

Report Industry Investment Rating - Not mentioned Core Viewpoints - On May 29, most treasury bond futures closed down, with the 30 - year main contract down 0.04%, the 5 - year and 2 - year main contracts down 0.01%, and the 10 - year main contract flat. The equity market adjusted throughout the day, with the ChiNext Index leading the decline. The market lacks strong driving factors, and a cautious attitude is recommended [1] - The trend strength of treasury bond futures is 0, indicating a neutral outlook [9] Summary by Relevant Catalogs [Fundamentals Tracking] - On May 29, the treasury bond futures index was 0.48. The volume - price and fundamental factors were bullish. Without leverage, the cumulative returns of the strategy were 0.05% in the past 20 days, - 0.58% in the past 60 days, - 0.02% in the past 120 days, and 1.26% in the past 240 days [1] - In the equity market, as of the close, the Shanghai Composite Index was down 0.18%, the Shenzhen Component Index was down 0.61%, and the ChiNext Index was down 0.68%. Market hotspots were scattered, and the number of rising and falling stocks was roughly equal [1] - In the money market, on May 28, the overnight shibor was 1.4110%, down 4.1bp from the previous trading day; the 7 - day shibor was 1.5780%, down 2.0bp; the 14 - day shibor was 1.6690%, up 0.2bp; the 1 - month shibor was 1.6150%, up 0.1bp [2] - The trading volume of the inter - bank pledged repurchase market on May 28 was 2.3 billion yuan, a decrease of 5.90%. Overnight rates closed at 1.35%, down 10bp; 7 - day rates closed at 1.50%, down 20bp; 14 - day rates closed at 1.68%, up 3bp; 1 - month rates remained flat at 1.60% [4] - The yield curves of treasury bonds and credit bonds showed mixed trends. The 2Y - term treasury bond yield moved down 0.03BP to 1.47%; the 5Y - term moved up 0.50BP to 1.58%; the 10Y - term moved down 4.06BP to 1.68%; the 30Y - term moved up 0.50BP to 1.91%. Among credit bonds, the 6M - term yield of AAA - rated medium - and short - term notes remained at 1.75%, the 1Y - term moved up 1.00BP to 1.79%, the 3Y - term moved up 3.50BP to 1.80%, and the 5Y - term moved up 8.00BP to 2.07% [4] - In terms of the net long - position changes of different institutional types, on a daily basis, private funds decreased by 0.38%, foreign capital decreased by 0.9%, and wealth management subsidiaries decreased by 1.75%. On a weekly basis, private funds decreased by 5.52%, foreign capital decreased by 4.93%, and wealth management subsidiaries decreased by 5.27% [6] [Market Data] - The opening, high, low, and closing prices, as well as trading volume and open interest of the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures main contracts on the previous trading day are provided. For example, the 2 - year TS2509 opened at 102.412, closed at 102.400, down 0.01%, with a trading volume of 27,085 and an open interest of 106,440 [3] - The 2 - year active CTD bond was 250006.IB with an IRR of 1.96%; the 5 - year was 240020.IB with an IRR of 1.91%; the 10 - year was 220010.IB with an IRR of 1.68%; the 30 - year was 210014.IB with an IRR of 1.06%. Currently, R007 is about 1.6948% [3] [Macro and Industry News] - On May 28, the central bank conducted 215.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, unchanged from before [8] [Trend Intensity] - The trend intensity of treasury bond futures is 0, indicating a neutral view. The range of trend intensity is from - 2 (most bearish) to 2 (most bullish) [9]

2025 年 05 月 08 日 国债期货：双降落地长债调整，曲线结构走陡 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 林致远 | 投资咨询从业资格号：Z0021471 | linzhiyuan@gtht.com | 【基本面跟踪】 5 月 7 日，国债期货收盘全线下跌，30 年期主力合约跌 0.62%，10 年期主力合约跌 0.19%，5 年期主 力合约跌 0.08%，2 年期主力合约跌 0.01%。 国债期货指数为 0.85。量价因子看多，基本面因子看多。无杠杆下，策略近 20 日累加收益为 0.13%，近 60 日累加收益为-0.83%，近 120 日累加收益为 0.24%，近 240 日累加收益为 1.38%。 权益市场方面，市场全天高开后震荡回落，三大指数小幅上涨。截至收盘，沪指涨 0.8%，深成指涨 0.22%，创业板指涨 0.51%。盘面上，市场热点快速轮动，个股涨多跌少，全市场超 3200 只个股上涨。 资金方面，隔夜 shibor 报 1.6570%，较前一交易日下跌 4.5bp，7 天 shibor ...