国债衍生品周报-20251228

Group 1: Core View - The trading advisory view is to focus on the fluctuations of the term spread and keep the position flexible to cope with potential fluctuations [2] Group 2: Market Factors Bullish Factors - The sentiment in the bond market has warmed up, the yield of the 10-year active bond has fallen below 1.85%, and the term spread has narrowed [2] - The central bank restarted the 14-day reverse repurchase after three months, releasing cross-year liquidity and leading to a loose funding situation [2] Bearish Factors - The 10-year Treasury bond futures declined slightly, and the 10Y - 1Y term spread continued to widen [2] - Due to the imbalance between long - end supply and demand and the pressure of new public fund regulations, the 30-year yield increased by nearly 2bp [2] Group 3: Market Data Yield and Interest Rate - Data on 2Y, 5Y, 10Y, 30Y, and 7Y Treasury bond yields from 24/04 to 25/08 are presented [3] - Data on deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day and 7 - day reverse repurchase rates from 23/12 to 25/06 are shown [3] Term Spread - Data on the 7Y - 2Y and 30Y - 7Y Treasury bond term spreads from 24/04 to 25/08 are provided [5] Futures Position and Transaction - Data on the positions and transactions of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from different time periods are presented [7][8] Basis and Spread - Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures for the current quarter are shown [9][10][11][13] - Data on the inter - period spreads (current quarter - next quarter) of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from different time periods are provided [16][17] - Data on the cross - variety spreads of TS4 - T and T3 - TL from different time periods are presented [18][19]