国债衍生品周报-20260315

Group 1: Report Overview - Report Name: Treasury Bond Derivatives Weekly Report [1] - Date: March 13, 2026 [1] - Author: Xu Liang (Z0002220) [1] - Reviewer: Tang Yun (Z0002422) [1] Group 2: Market Factors Bullish Factors - Better-than-expected import/export and social financing data boost the economic fundamentals [2] - Increased market expectations for loose monetary policy lead to a slight increase in Treasury bond futures prices [2] Bearish Factors - Intensified market concerns about the economic outlook [2] - Rising expectations of imported inflation and concerns about a shift in monetary policy cause yields to rise [2] Group 3: Trading Advice - Suggest paying attention to policy signals at the end of the month and maintaining a wait-and-see attitude [2] Group 4: Data Analysis Treasury Bond Yields - Include 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 to 2025 [3] Funding Rates - Include deposit institution pledged repo weighted average rates (1-day and 7-day) and 7-day reverse repo rate from 2023 to 2025 [3] Treasury Bond Term Spreads - 7Y - 2Y and 30Y - 7Y term spreads from 2024 to 2025 [4] Treasury Bond Futures Positions - Positions of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2015 to 2025 [6] Treasury Bond Futures Trading Volume - Trading volume of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2024 to 2025 [7] Treasury Bond Futures Basis - Basis of 2Y, 5Y, 10Y, and 30Y Treasury bond futures (when-quarter contracts) [8][9][10][12] Treasury Bond Futures Inter - delivery Spreads - Inter - delivery spreads (when - quarter minus next - quarter) of 2Y, 5Y, 10Y, and 30Y Treasury bond futures [15][16] Treasury Bond Futures Cross - variety Spreads - Cross - variety spreads of TS4 - T and T3 - TL from 2023 to 2025 [17][18]