国债衍生品周报-20251017
Dong Ya Qi Huo·2025-10-17 10:24

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The possibility of a trend - weakening in the bond market is low, and yields are expected to maintain a high - level oscillation pattern. It is recommended to stay on the sidelines for unilateral trading [2] 3. Summary by Related Catalogs 3.1 Market Factors - Liduo Factors: The capital market is balanced and slightly loose, with the central bank's net injection supporting market liquidity. After the bond market became desensitized to the stock market, it generally rose. The marginal weakening of economic data and the continuation of supply - demand contradictions provide core support for the bond market [2] - Likong Factors: The issuance of 50 - year ultra - long - term special treasury bonds was poor, triggering market concerns. Strong overseas risk appetite put pressure on the bond market [2] 3.2 Market Data - Yield: Data on 2Y, 5Y, 7Y, 10Y, and 30Y treasury bond yields from 2024/04 to 2025/08 are presented [3] - Funding Rate: Data on deposit - type institutional pledged repurchase weighted average rates (1 - day and 7 - day) and 7 - day reverse repurchase rates from 2023/12 to 2025/06 are presented [3] - Term Spread: Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are presented [4][5] - Futures Position and Trading Volume: Data on the positions and trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [7][8] - Futures Basis: Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are presented [9][11][12][14] - Futures Inter - period Spread: Data on the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [18][20] - Futures Inter - variety Spread: Data on the inter - variety spreads (TS4 - T and T3 - TL) of treasury bond futures are presented [21][22]