国债衍生品周报-20260125

Report Core View - The structural interest rate cut has been implemented, increasing the demand for medium - and long - term bonds. The abundant capital, stable liquidity, and moderate inflation support bond prices. However, the slight decline in Treasury bond yields implies weakening demand, and the rising US Treasury yields increase the pressure of capital outflows. It is recommended to pay attention to the MA60 support level and maintain a wait - and - see position [2] Data Presented 1. Yield and Interest Rate - The report shows the trends of 2Y, 5Y, 10Y, 30Y, and 7Y Treasury bond yields from 2024/04 to 2025/12, the trends of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day and 7 - day reverse repurchase rate from 2023/12 to 2025/12, and the trends of 7Y - 2Y and 30Y - 7Y Treasury bond term spreads from 2024/04 to 2025/12 [3] 2. Futures Position and Transaction Volume - The trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures positions from 2015/12 to 2025/12 and the trends of their trading volumes from 2024/04 to 2025/12 are presented [5][6] 3. Futures Basis and Spread - The trends of the basis of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' current - quarter contracts are shown. Also, the trends of the current - quarter minus next - quarter spreads of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures are presented. Additionally, the trends of TS4 - T and T3 - TL cross - variety spreads are provided [7][14][16]