国债衍生品周报-20260301

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Views - Likely Positive Factors: The central bank conducted large - scale net reverse repurchase operations, injecting 44.8 billion yuan, leading to loose liquidity. The increased demand of institutions to hold bonds during the holiday supports the price of 10 - year treasury bonds [2]. - Likely Negative Factors: Structural interest rate cuts have been implemented, weakening the expectation of monetary easing. There is a large supply pressure of local government bonds. The inter - bank capital market has tightened, with a decline in reverse repurchase operations, putting pressure on the market [2]. - Trading Advice: It is recommended to wait and see the post - holiday market and pay attention to changes in the capital market and supply pressure [2]. Group 3: Data Summaries Treasury Bond Yields - The report shows the trends of 2Y, 5Y, 7Y, 10Y, and 30Y treasury bond yields from 2024/06 to 2025/12 [3]. Funding Rates - The trends of the weighted average interest rate of pledged repurchase by deposit - taking institutions for 1 - day and 7 - day tenors, as well as the 7 - day reverse repurchase rate, are presented from 2023/12 to 2025/12 [3]. Treasury Bond Term Spreads - The trends of the 7Y - 2Y and 30Y - 7Y treasury bond spreads are shown from 2024/06 to 2025/12 [4]. Treasury Bond Futures Positions - The positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented from 2015/12 to 2025/12 [6]. Treasury Bond Futures Trading Volumes - The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are shown from 2024/06 to 2025/12 [7]. Treasury Bond Futures Basis - The basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures for the current quarter contracts are presented at different time points [8][9][10][13]. Treasury Bond Futures Inter - delivery Spreads - The inter - delivery spreads (current quarter - next quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are shown at different time points [16][17]. Treasury Bond Futures Cross - variety Spreads - The cross - variety spreads of TS4 - T and T3 - TL are presented at different time points [18][19].