国债衍生品周报-20250727

Group 1: Report Overview - Report Title: Treasury Bond Derivatives Weekly Report [1] - Report Date: July 25, 2025 [1] - Author: Xu Liang Z0002220 [2] - Reviewer: Tang Yun Z0002422 [2] Group 2: Market Analysis Bullish Factors - The central bank maintains ample liquidity, with a net capital injection of over one trillion yuan in the past week, leading to a decline in capital interest rates and supporting the bond market [3] Bearish Factors - Economic data shows marginal improvement, with industrial added - value in June exceeding expectations. The fundamental recovery is negative for the bond market [3] - Fiscal policy and anti - involution regulation are strengthened, increasing policy - related bearish pressure [3] Trading Advisory View - Treasury bond futures will continue to show a volatile trend, with no obvious trend - based opportunities. It is recommended that both long and short positions wait and see [3] Group 3: Market Data Treasury Bond Yields - The report presents the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from April 2024 to April 2025 [4] Capital Interest Rates - It shows the trends of the weighted average interest rate of pledged repurchase of deposit - taking institutions for 1 - day and 7 - day terms, as well as the 7 - day reverse repurchase rate from August 2023 to April 2025 [4] Treasury Bond Term Spreads - The trends of 7Y - 2Y and 30Y - 7Y treasury bond term spreads from April 2024 to April 2025 are presented [5] Treasury Bond Futures - Open Interest: The open interest trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from December 2015 to December 2023 are shown [7] - Trading Volume: The trading volume trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from April 2024 to April 2025 are presented [8] Basis and Spread - Basis: The basis trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are shown [9][10][11][14] - Inter - delivery Spread: The inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [16][17][18] - Cross - product Spread: The cross - product spreads of TS4 - T and T3 - TL are shown [19][20]