国债衍生品周报-20251109

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - There are both positive and negative factors affecting the treasury bond market. Positive factors include high geopolitical risks driving up market risk - aversion and the central bank's restart of treasury bond trading operations. Negative factors are the accelerated bond supply, reduced positions, and rising inflation expectations. The short - term technical support is effective, and investors can focus on rebound opportunities while controlling risks and monitoring policy trends [2] 3. Summary by Related Catalogs Factors Affecting the Market - Positive Factors: High geopolitical risks increase market risk - aversion, driving up demand for treasury bond futures. The central bank's restart of treasury bond trading operations signals monetary policy support and boosts market confidence [2] - Negative Factors: The accelerated bond supply and significant reduction in positions suppress futures prices. Rising inflation expectations and climbing yields of overseas treasury bonds indirectly affect market sentiment [2] Market Indicators - Yield: The report presents the historical data of 2Y, 5Y, 7Y, 10Y, and 30Y treasury bond yields from 2024/04 to 2025/08 [3] - Funding Rate: It shows the historical data of 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 [3] - Term Spread: Data on the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/08 are provided [4][5] - Open Interest: Historical open interest data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are presented [8] - Trading Volume: Historical trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/08 are shown [9] Basis and Spread - Basis: Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided, with different time ranges for each [10][11][12][16] - Inter - delivery Spread: Data on the inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented, with different time ranges for each [14][15][17][18] - Inter - variety Spread: Data on the TS4 - T and T3 - TL inter - variety spreads are provided, with different time ranges for each [19][20]