国债衍生品周报-20251214

Report Information - Report Title: Treasury Bond Derivatives Weekly Report - Report Date: 2025/12/12 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 Investment Rating - Not provided Core Viewpoints - Bullish factors include the synergy of counter - cyclical policies and fiscal - monetary easing, and loose liquidity, which support the bond market [2] - Bearish factors are that the 10 - year Treasury bond futures are in a short - term state with a flat curve structure and limited policy stimulus [2] - The trading advice is to monitor liquidity and policy trends and maintain a wait - and - see or light - position strategy [2] Content Summary Bond Yields and Interest Rates - Information on 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024/04 to 2025/08 and deposit - class institutional repurchase rates from 2023/12 to 2025/06 is presented [3] Bond Spreads - Data on 7Y - 2Y and 30Y - 7Y Treasury bond spreads from 2024/04 to 2025/08 are provided [4][5] Futures Positions and Trading Volume - Information on the positions of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2015/12 to 2023/12 and trading volume from 2024/04 to 2025/08 is shown [7] Futures Basis and Spreads - Data on the basis of 2Y, 5Y, 10Y, and 30Y Treasury bond futures' current - quarter contracts and the spreads between current - and next - quarter contracts of 2Y, 5Y, 10Y, and 30Y Treasury bond futures are presented [8][9][10][13][15][16] Cross - Variety Spreads - Information on TS4 - T and T3 - TL cross - variety spreads from 2023/06 to 2025/08 is included [18][19]