国债衍生品周报-20250919

Report Overview - Report Title: Treasury Bond Derivatives Weekly Report - Report Date: September 19, 2025 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 Report Key Points Industry Investment Rating - Not provided Core Viewpoint - The Fed's 25 - basis - point rate cut and market expectations of more rate cuts have boosted Treasury bond futures prices, reflecting an increased expectation of loose policies. Traders expect the Fed to cut rates by nearly 50 basis points in the October and December meetings, which supports Treasury bond futures [3]. Section Summaries Factors Affecting Treasury Bonds - Likely Positive Factors: The Fed's 25 - basis - point rate cut and market expectations of more rate cuts drive up Treasury bond futures prices. The 10 - year Treasury bond yield dropped 1.56 basis points last week, indicating a rising price trend [3]. - Likely Negative Factors: The two - year US Treasury bond yield rose 4.44 basis points, reflecting short - term interest - rate pressure or yield - curve changes. The market's reaction is weaker than last year despite positive fundamentals, suggesting adverse external factors or sentiment [3]. Data Presentations - Yield and Interest Rates: Data on 2Y, 5Y, 10Y, 30Y, and 7Y Treasury bond yields, deposit - type institutional pledged - repo weighted rates, and reverse - repo rates are presented [4]. - Term Spreads: Information on the term spreads of 7Y - 2Y and 30Y - 7Y Treasury bonds is provided [4]. - Positions and Trading Volumes: Data on Treasury bond futures positions and trading volumes for 2 - year, 5 - year, 10 - year, and 30 - year contracts are shown [6][7]. - Basis and Spread: Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' current - quarter contracts, as well as the inter - quarter spreads of these contracts and cross - variety spreads, are presented [8][9][13][16][17][19]