国债衍生品周报-20251102

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The short - term market is mainly volatile. Traders should pay attention to the impact of the capital market and equity market fluctuations on the bond market [2]. 3. Summary by Related Catalogs 3.1 Market Influencing Factors - L利多因素: The central bank increased the volume of MLF to maintain abundant liquidity, and the loose capital market supported the bond market sentiment. The basic consensus reached in the Sino - US economic and trade consultations led to a phased increase in market risk appetite [2]. - 利空因素: The strengthening of the equity market suppressed the bond market sentiment, with a significant stock - bond seesaw effect. The yield of 10 - year treasury bonds increased, and the adjustment of spot bonds dragged down the performance of futures [2]. 3.2 Market Data - 国债到期收益率: Data on 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from April 2024 to August 2025 are presented [3]. - 资金利率: Data on deposit - type institutional pledged repurchase weighted interest rates (1 - day and 7 - day) and 7 - day reverse repurchase rates from December 2023 to June 2025 are shown [3]. - 国债期限利差: Data on the term spreads of 7Y - 2Y and 30Y - 7Y from April 2024 to August 2025 are provided [4][5]. - 国债期货持仓: Data on the positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from December 2015 to December 2023 are given [8]. - 国债期货成交: Data on the trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from April 2024 to August 2025 are presented [9]. - 国债期货基差: Data on the basis of the current - quarter contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided, with different time ranges for each [10][11][12][14]. - 国债期货跨期价差: Data on the current - quarter minus next - quarter spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are given, with different time ranges for each [18][20]. - 跨品种价差: Data on the TS4 - T and T3 - TL cross - variety spreads are provided, with different time ranges for each [21][22].