证券研究报告 | 2025年12月12日 （3）越临近交割日，转换期权的选择权价值越低，正套操作越依赖 CTD 券 的 IRR 对整体收益的贡献。 固收+系列报告之七 国债期货套利：正向套利实证研究 国债期货的套利策略可以为"固收+"产品提供一层"安全垫"。因为其收 益来源是锁定的期现价差，与债券市场的涨跌关联度较低，更依赖于市场定 价的短期失灵。这为组合贡献了与股市、债市相关性都较低的确定收益来源。 本文通过实证研究分析我国国债期货的正向套利收益。 国债期货无风险套利简介：国债期货无风险套利的核心是期现套利，即利用 国债期货和国债现货之间的定价偏差来获利，其最终是通过交割来锁定收 益。IRR（隐含回购利率）是指通过正向套利（买入现货、同时卖出期货， 并持有到期进行交割）所能获得的年化收益率。 国债期货正套操作原理：理论上来说，当国债期货 CTD 券的 IRR 大于融资成 本时，即存在正向套利机会。其套利逻辑为，融资买入 CTD 现券，并卖空对 应份数的期货合约从而锁定持有期收益，并在交割日完成交割，最终收益率 即为 IRR 与资金成本之差。 实际正向套利过程中往往会遇到三种情形：一是建仓至交割 CTD 券不 ...

Report Summary 1. Investment Rating There is no specific industry investment rating provided in the report. 2. Core View The bond market is expected to continue its oscillating trend. Considering the weak fundamental situation, a slightly bullish stance is recommended for unilateral trading, with the suggestion to lightly position long on T contracts on dips. In terms of arbitrage, it is advised to stay on the sidelines for the short - term after closing the short position on the 30Y - 7Y term spread (TL - 3T) mid - week. Attention should be paid to potential cash - and - carry arbitrage opportunities in the next - quarter bond futures contracts [5][6]. 3. Summary by Directory First Part: Weekly Core Points Analysis and Strategy Recommendation - **Market Analysis**: This week, the bond futures market showed some divergence. Some market participants pre - speculated on the central bank's treasury bond trading information for this month, leading to relatively stronger performance in the short - to - medium - term. Meanwhile, foreign media reports on real - estate incremental policies suppressed long - term sentiment, with the TL contract declining more in the second half of the week. The actual progress, specific intensity of real - estate policies, and the source of fiscal subsidy funds are unknown, making it difficult to drive a trend - upward in yields. Market expectations for interest - rate cuts are weak, and capital prices continue to constrain the downward movement of yields [5]. - **Strategy Recommendation** - **Unilateral Trading**: Adopt a slightly bullish approach and lightly position long on T contracts on dips [6]. - **Arbitrage**: After closing the short position on the 30Y - 7Y term spread (TL - 3T) mid - week, stay on the sidelines in the short - term. For inter - delivery - month arbitrage, also enter a wait - and - see mode as the liquidity of the current - quarter contracts will gradually decline next week. Pay attention to potential cash - and - carry arbitrage opportunities in the next - quarter bond futures contracts, as their valuations are relatively high, mostly above 1.7% [5]. Second Part: Relevant Data Tracking - **Economic Data** - **EPMI**: In November, China's Strategic Emerging Industries Purchasing Managers' Index (EPMI) was 52.7, down 7.0 percentage points from the previous month. Although the decline was significant, it remained in the expansion range. EPMI and the official manufacturing PMI usually have high synchronicity in trends, but they diverged last month, indicating significant differences in the prosperity of different domestic industries. With the slowdown in the expansion of emerging industries in November, the recovery momentum of this month's PMI may still be weak [10]. - **Capital Market** - **Funding Conditions**: This week, affected by tax payments and a still - high net financing scale of government bonds, the market funding situation tightened first and then eased. As of Friday's close, DR001 and DR007 were 1.3209% and 1.4408% respectively. The overnight and 7 - day non - bank funding spreads were 6.68bp and 5.44bp respectively. The one - year certificate of deposit issuance rate of joint - stock banks slightly rose to around 1.65%. Next week, the net financing scale of government bonds will continue to decline, but approaching the end of the month, the funding situation will face some temporary disturbances. With the central bank's consistent supportive attitude, the upward range of market funding prices is expected to be relatively limited [12][16][17]. - **Term Spread**: Since Wednesday this week, the 30Y - 7Y term spread has widened again. On one hand, after the spread approached 40bp, there was a lack of substantial positive drivers, and the momentum for further compression was insufficient. Some funds pre - speculated on the central bank's treasury bond trading information for November and preferred to go long on medium - term treasury bonds. On the other hand, foreign media reported on Thursday that the policy level was considering providing mortgage subsidies to new home buyers nationwide in the future, which was more bearish for the long - term. If the mortgage subsidy policy is finally implemented, it will help balance the cost of home purchases and the rent - to - sale ratio for residents, and the probability of the central bank cutting interest rates will decrease accordingly, which is negative for the bond market. However, the details of relevant policies are unknown, so the bond market is not expected to over - price in advance [18][19][25]. - **Arbitrage Indicators** - **Inter - delivery - month Arbitrage**: In the past two weeks, the indicators for potential inter - delivery - month arbitrage opportunities during the roll - over period of the T contract triggered two short - term long - trading signals, but the indicator became neutral starting on Thursday, presumably related to the significant increase in long positions in the next - quarter T contract on that day. As next week is the last week before the delivery month, it is recommended to enter a wait - and - see mode for inter - delivery - month arbitrage [5][26][29]. - **Cash - and - carry Arbitrage**: Calculated based on the ChinaBond valuation and futures settlement prices, the implied repo rates (IRR) of the current - quarter contracts of TS, TF, T, and TL are 1.3226%, 1.0132%, 1.4099%, and 1.2732% respectively. The IRR of the next - quarter contracts of TS, TF, T, and TL are 1.6583%, 1.7361%, 1.7706%, and 1.7469% respectively, with relatively high valuations [34]. - **Roll - over Progress**: This week, the roll - over of the main contracts accelerated significantly. As of Friday's close, the roll - over progress of the TS, TF, T, and TL contracts was 69.2%, 63.2%, 63.7%, and 64.8% respectively [35].

Report Industry Investment Rating No relevant content provided. Core Viewpoint of the Report The bond market oscillates between stable growth and easing expectations. It is affected by the stock market, Federal Reserve's interest - rate cut expectations, and global trade uncertainties that increase the uncertainty of foreign capital inflows. Short - term attention should be paid to policy signals at the end of the month [3]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) has a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - Social financing scale is 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year is 8.40%, down 0.40% (-4.55%); Manufacturing PMI is 49.00%, down 0.80% (-1.61%) [10]. - The US dollar index is 99.48, with no change; the US dollar against the offshore RMB is 7.1207, down 0.003 (-0.04%); SHIBOR 7 - day is 1.47, down 0.03 (-1.80%); DR007 is 1.49, down 0.02 (-1.47%); R007 is 1.51, down 0.02 (-1.24%); the 3 - month inter - bank certificate of deposit (AAA) is 1.57, with no change (-0.24%); AA - AAA credit spread (1Y) is 0.08, with no change (-0.24%) [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of various treasury bond futures varieties, the capital precipitation trend of various treasury bond futures varieties, the position ratio of various treasury bond futures varieties, the net position ratio of the top 20 of various treasury bond futures varieties, the long - short position ratio of the top 20 of various treasury bond futures varieties, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [14][17][19][22]. III. Overview of the Money Market Fundamentals - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [28][29]. IV. Spread Overview - Relevant figures involve the inter - term spread trend of various treasury bond futures varieties and the spread between the spot bond term spread and the futures cross - variety spread [34][38]. V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year treasury bond futures and the treasury bond maturity yield, the IRR of the TS main contract and the capital interest rate, and the three - year basis trend and net basis trend of the TS main contract [40][45][53]. VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year treasury bond futures and the treasury bond maturity yield, the IRR of the TF main contract and the capital interest rate, and the three - year basis trend and net basis trend of the TF main contract [55][59]. VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year treasury bond futures and the treasury bond maturity yield, the IRR of the T main contract and the capital interest rate, and the three - year basis trend and net basis trend of the T main contract [62][64]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of thirty - year treasury bond futures and the treasury bond maturity yield, the IRR of the TL main contract and the capital interest rate, and the three - year basis trend and net basis trend of the TL main contract [69][71][75]. Market Analysis - **Macro - level**: On October 27, the central bank restarted the open - market treasury bond trading operation, releasing a clear signal to stabilize expectations. On October 30, the China - US economic and trade teams reached a three - point consensus. The State Council Tariff Commission announced to continue suspending the implementation of the 24% additional tariff rate on the US for one year, while retaining the 10% additional tariff rate on the US. In October, CPI increased by 0.2% year - on - year [1]. - **Funding - level**: In the first half of the year, fiscal operations were generally stable, with revenues gradually recovering and key expenditures being effectively guaranteed. The central bank conducted a 7 - day reverse repurchase operation of 195.5 billion yuan at a fixed interest rate of 1.4% on November 12, 2025. The main term repurchase interest rates 1D, 7D, 14D, and 1M were 1.415%, 1.474%, 1.500%, and 1.523% respectively, and the repurchase interest rates have recently declined [2]. - **Market - level**: On November 12, 2025, the closing prices of TS, TF, T, and TL were 102.47 yuan, 105.97 yuan, 108.52 yuan, and 116.45 yuan respectively, with price change rates of 0.01%, 0.03%, 0.02%, and 0.09% respectively. The average net basis of TS, TF, T, and TL was - 0.009 yuan, - 0.037 yuan, - 0.028 yuan, and - 0.036 yuan respectively [2]. Strategy - **Unilateral**: With the decline of the repurchase interest rate and the oscillation of the treasury bond futures price, 2512 is neutral [4]. - **Arbitrage**: Pay attention to the decline of the 2512 basis [4]. - **Hedging**: There is an adjustment pressure in the medium - term, and short - sellers can use far - month contracts for appropriate hedging [4].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The central bank is expected to continue implementing a moderately loose monetary policy, with possible reserve requirement ratio cuts and interest rate cuts in the fourth quarter, and may initiate treasury bond trading operations. Market liquidity will remain reasonably abundant, which will support the prices of treasury bond futures. The current external environment is more complex and severe, with increasing trade barriers. The domestic demand side, represented by real estate, remains weak. The State Council has stated that it will intensify counter - cyclical adjustments to expand domestic demand and strengthen the domestic economic cycle [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Prices and Changes**: On the previous trading day, treasury bond futures prices generally declined. For example, the T2512 contract fell by 0.17%. The TS2512 contract closed at 102.334, down 0.044 or 0.04% from the previous day; the TF2512 contract closed at 105.655, down 0.125 or 0.12%; the T2512 contract closed at 108.110, down 0.185 or 0.17%; the TL2512 contract closed at 115.3, down 0.570 or 0.49% [2]. - **Open Interest and Volume**: The open interest of the T2512 contract decreased by 5009, while the open interest of the T2603 contract increased by 852. The trading volume of the T2512 contract was 76613, and that of the T2603 contract was 6483 [2]. - **Inter - delivery Spread**: The inter - delivery spread of TS2512 - TS2603 was 0.080 (previous value 0.088), TF2512 - TF2603 was 0.075 (previous value 0.0850), T2512 - T2603 was 0.300 (previous value 0.3150), and TL2512 - TL2603 was 0.280 (previous value 0.3000) [2]. - **IRR**: The IRR of the CTD bonds corresponding to the main treasury bond futures contracts was at a low level, indicating no arbitrage opportunities [2]. 3.2 Spot Market - **Short - term Market Interest Rates**: On the previous trading day, short - term market interest rates showed mixed trends. The SHIBOR 7 - day rate increased by 0.3bp, the DR007 rate increased by 0.55bp, and the GC007 rate decreased by 0.9bp [2]. - **Chinese Key - term Treasury Bond Yields**: Key - term treasury bond yields generally increased. The 10Y treasury bond yield increased by 2.58bp to 1.85%. The yield spread between 10 - year and 2 - year treasury bonds was 31.66bp [2]. - **Overseas Key - term Treasury Bond Yields**: The US 10Y treasury bond yield decreased by 2bp, the German 10Y treasury bond yield increased by 4bp, and the Japanese 10Y treasury bond yield increased by 3.8bp [2]. 3.3 Macro and Industry Information - **Macroeconomic Data**: In the first three quarters, China's GDP grew by 5.2% year - on - year. In September, the year - on - year growth rate of industrial added value above a designated size was better than expected, while the consumption growth rate declined, and the investment growth rate turned negative. The year - on - year decline rates of real estate investment and sales widened, and second - hand housing prices continued to decline month - on - month [3]. - **Policy Information**: The central bank conducted a net withdrawal of 64.8 billion yuan in open market operations. The LPR quotes this month remained unchanged. The State Council stated that it will intensify counter - cyclical adjustments to expand domestic demand [3]. - **International News**: The US president continued to send conciliatory signals, and the market's risk - aversion sentiment eased. The US and Australia signed an agreement on rare earths and critical minerals, planning to invest over $3 billion in critical mineral projects in the next six months [3].

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating. 2. Core View of the Report - Treasury bond futures prices generally declined, with the T2512 contract falling 0.23% and its open interest decreasing. The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term treasury bond yields at home and abroad also changed differently. The domestic bond market was affected by factors such as central bank operations, economic data, and the Fed's interest - rate cut. With the Fed entering the interest - rate cut cycle, the domestic central bank has more policy space, but short - term capital tightness and high - level oscillations in the equity market have led to repeated low - level prices of bond futures [2][3]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Price and Volume Changes**: The prices of all treasury bond futures contracts declined, with TS2512 down 0.04%, TS2603 down 0.05%, TF2512 down 0.14%, TF2603 down 0.14%, T2512 down 0.23%, T2603 down 0.24%, TL2512 down 0.71%, and TL2603 down 0.72%. The open interest of T2512 decreased by 1014, while that of T2603 increased by 816 [2]. - **IRR and Arbitrage**: The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2]. - **Inter - period Spread**: The inter - period spreads of TS, TF, T, and TL contracts were 0.074, 0.125, 0.345, and 0.320 respectively, showing slight increases compared to the previous values [2]. 3.2 Spot Market - **Short - term Market Interest Rates**: Short - term market interest rates showed mixed trends. SHIBOR 7 - day rate decreased by 4bp, DR007 rate decreased by 4.53bp, and GC007 rate increased by 2.2bp [2]. - **Domestic Key - term Treasury Bond Yields**: The yields of domestic key - term treasury bonds showed mixed trends. The 10Y treasury bond yield increased by 2.54bp to 1.88%, and the 10 - 2Y yield spread was 38.87bp [2]. - **Overseas Key - term Treasury Bond Yields**: The yields of overseas key - term treasury bonds generally increased. The US 10Y treasury bond yield increased by 3bp, the German 10Y treasury bond yield increased by 5bp, and the Japanese 10Y treasury bond yield increased by 4bp [2]. 3.3 Macro and Policy Information - **Central Bank Operations**: Last week, the central bank increased open - market operations, with a net reverse - repurchase injection of 5623 billion yuan and a net injection of 3000 billion yuan through outright reverse - repurchase operations. This week, 18268 billion yuan of reverse - repurchases and 3000 billion yuan of MLF will mature [3]. - **Economic Data**: In August, the year - on - year growth rates of consumption and production declined, and the decline in real estate investment and sales continued to widen [3]. - **Policy Adjustments**: Shanghai optimized and adjusted the property tax policy. The Fed restarted interest - rate cuts after a 9 - month hiatus, and the Bank of Japan maintained its benchmark interest rate at 0.5% [3].

Report Date - The report is dated July 23, 2025 [1] Investment Rating - No investment rating provided in the report Core View - The prices of treasury bond futures generally declined on the previous trading day, with the T2509 contract down 0.11% and the open interest decreasing. The IRR of CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates fluctuated, and key - term treasury bond yields at home and abroad changed. The external "equal - tariff" policy increased global economic uncertainty, and the central bank would maintain a supportive monetary policy, causing increased volatility in treasury bond futures prices under the short - term improvement in market risk appetite [2][3] Key Points by Category Treasury Futures Market - **Price and Yield Changes**: The prices of treasury bond futures generally fell on the previous trading day, with T2509 down 0.11%, TS2509 down 0.01%, TF2509 down 0.07%, etc. The IRR of CTD bonds corresponding to the main contracts was at a low level, indicating no arbitrage opportunities [2] - **Open Interest and Volume**: The open interest of TS2509 decreased by 2,462, TF2509 decreased by 3,177, while T2509 increased by 1,115. The trading volume of each contract also showed different changes [2] - **Spread Changes**: The inter - delivery spread of TS2509 decreased from - 0.068 to - 0.078, TF2509 decreased from - 0.070 to - 0.085, and T2509 decreased from - 0.040 to - 0.060 [2] Short - term Market Interest Rates - **Domestic Short - term Rates**: SHIBOR overnight decreased by 4.9bp to 1.3170, SHIBOR 7 - day decreased by 1.5bp to 1.4620, DR001 decreased by 4.13bp to 1.3599, etc. [2] Spot Market - Domestic Key - term Treasury Bond Yields - **Yield Changes**: The 10Y treasury bond yield increased by 1.43bp to 1.69%, the 5Y increased by 1.39bp to 1.56%, and the 2Y decreased by 0.24bp to 1.39% [2] - **Yield Spread**: The 10 - 2Y treasury bond yield spread was 27.76bp [2] Overseas Market - Key - term Treasury Bond Yields - **Yield Changes**: The US 10Y treasury bond yield decreased by 3bp to 4.35%, the German 10Y decreased by 2bp to 2.680%, and the Japanese 10Y decreased by 1.8bp to 1.510% [2] Macro News - **Central Bank Operations**: On July 22, the central bank conducted 214.8 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, while 342.5 billion yuan of reverse repurchases and 120 billion yuan of treasury cash fixed - term deposits matured [3] - **Real Estate Loans**: At the end of the second quarter, the balance of RMB real estate loans was 53.33 trillion yuan, a year - on - year increase of 0.4%, and the balance of personal housing loans was 37.74 trillion yuan, a year - on - year decrease of 0.1% [3] - **Foreign Investment Policy**: The State Administration of Foreign Exchange plans to fully cancel the registration of foreign direct investment in domestic reinvestment nationwide [3] - **International Events**: Trump announced a large - scale agreement with Japan, and the US Treasury Secretary mentioned possible discussions on China's oil purchases from Russia and Iran in the new round of Sino - US negotiations [3] Industry Information - **Domestic Money Market Rates**: On July 22, most domestic money market rates declined, such as the 1 - day silver inter - bank pledged repurchase weighted average rate down 4.65bp to 1.3144% [3] - **US Treasury Bond Yields**: US treasury bond yields declined across the board, with the 2 - year yield down 2.31bp to 3.8292% and the 10 - year yield down 3.17bp to 4.344% [3] Market Comments and Strategies - **Market Conditions**: The long - end of domestic treasury bonds continued to decline, the central bank's open - market operations continued to have a net withdrawal, and the Shibor short - end varieties declined collectively. The US consumer confidence index reached a five - month high, and the 5 - year inflation expectation was at a five - month low. The Fed was under pressure to cut interest rates [3] - **Economic Data**: The second - quarter GDP increased by 5.2% year - on - year, with industrial added value, exports, and financial data better than expected, while consumption, investment, and real estate investment growth rates declined [3] - **Market Outlook**: The external "equal - tariff" policy increased global economic uncertainty, the central bank would maintain a supportive monetary policy, and the prices of treasury bond futures would be more volatile [3]

Report Industry Investment Rating No relevant content provided. Core View of the Report - On the previous trading day, Treasury bond futures prices showed mixed performance, with the T2509 contract falling 0.02% and the positions changing little. The IRR of CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, and there were no arbitrage opportunities. Short - term market interest rates generally declined. Key - term Treasury bond yields in China also showed mixed trends, with the 10Y Treasury bond yield rising 0.45bp to 1.64%. Overseas, US, German, and Japanese key - term Treasury bond yields had different changes. At present, the external environment is more complex, the domestic real - estate market is not yet stable, effective demand is insufficient, and prices are continuously low. The central bank will maintain a supportive monetary policy, and the loose capital situation will support Treasury bond futures prices [2][3]. Summary by Related Catalogs Treasury Bond Futures Market - **Prices and Positions**: The prices of Treasury bond futures showed mixed performance. For example, the T2509 contract fell 0.02%. The positions of some contracts changed, such as the T2509 contract's positions changing little, while the positions of other contracts had increases or decreases. The trading volume of each contract also varied [2]. - **IRR**: The IRR of CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, and there were no arbitrage opportunities [2]. Short - term Market Interest Rates - Short - term market interest rates generally declined. SHIBOR7 - day interest rate dropped 4.1bp, DR007 interest rate dropped 5.2bp, and GC007 interest rate dropped 5.3bp [2]. Domestic Treasury Bond Yields - Key - term Treasury bond yields in China showed mixed trends. The 10Y Treasury bond yield rose 0.45bp to 1.64%, and the long - short (10 - 2) Treasury bond yield spread was 23.01bp [2]. Overseas Treasury Bond Yields - US 10Y Treasury bond yield rose 5bp, German 10Y Treasury bond yield rose 0bp, and Japanese 10Y Treasury bond yield rose 1.5bp [2]. Macro News - **Domestic**: The central bank conducted 572 billion yuan of 7 - day reverse repurchase operations on July 3, with a net withdrawal of 452.1 billion yuan. The Caixin China Services PMI in June was 50.6, down 0.5 percentage points from May. The National Development and Reform Commission arranged over 300 billion yuan to support the third - batch of "two major" construction projects in 2025, and most institutions expect the annual infrastructure investment growth rate to reach 6% [3]. - **Overseas**: US non - farm payrolls increased by 147,000 in June, far exceeding expectations. The unemployment rate unexpectedly dropped to 4.1%. The market abandoned the bet on a Fed rate cut in July, and the probability of a rate cut in September dropped to about 80%. The US House of Representatives passed the "big and beautiful" tax and spending bill, which will increase the federal government's debt ceiling by 5 trillion US dollars and may increase the government budget deficit by 3.4 trillion US dollars in the next decade [3]. Industry Information - On July 3, most money - market interest rates in China declined, with some reaching new lows. US Treasury bond yields rose collectively, mainly due to strong US labor - market data, which cooled market expectations of a Fed rate cut [3].

Group 1: Report Summary - The report is the Shenwan Futures Variety Strategy Daily Report - Treasury Bonds on June 12, 2025, released by the Shenwan Futures Research Institute [1] Group 2: Investment Rating - No investment rating for the industry is provided in the report Group 3: Core View - The previous trading day saw a general increase in treasury bond futures prices, with low IRR for CTD bonds of main contracts and no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term treasury bond yields generally declined. The Fed may keep rates unchanged in the next meeting, and the central bank will maintain a supportive monetary policy, with loose liquidity supporting bond futures prices [2][3] Group 4: Futures Market - **Price and Volume**: The previous trading day, treasury bond futures prices generally rose. For example, the T2509 contract rose 0.05%. The trading volume and open interest of various contracts also changed. For instance, the open interest of the T2509 contract increased by 2389 [2] - **IRR**: The IRR of CTD bonds corresponding to main treasury bond futures contracts was at a low level, with no arbitrage opportunities [2] Group 5: Short - term Market Interest Rates - **Rate Changes**: The previous trading day, short - term market interest rates showed mixed trends. SHIBOR 7 - day rate rose 0.6bp, DR007 rate rose 1.91bp, and GC007 rate rose 3.2bp [2] Group 6: Spot Market - **Chinese Treasury Yields**: The previous trading day, yields of key - term Chinese treasury bonds generally declined. The 10Y treasury bond yield dropped 0.79bp to 1.65%, and the 10 - 2Y yield spread was 17.12bp [2] - **Overseas Treasury Yields**: The previous trading day, the US 10Y treasury bond yield dropped 6bp, the German 10Y yield rose 0bp, and the Japanese 10Y yield rose 0.7bp [2] Group 7: Macro News - **Central Bank Operations**: On June 11, the central bank conducted 164 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 50.9 billion yuan [3] - **Sino - US Economic and Trade Talks**: The first meeting of the Sino - US economic and trade consultation mechanism was held in London, reaching a consensus on measures to consolidate the results of the Geneva economic and trade talks [3] - **China - Africa Cooperation**: President Xi Jinping sent a congratulatory letter to the Ministerial Meeting of Coordinators for the Implementation of the Outcomes of the China - Africa Cooperation Forum, emphasizing cooperation in multiple fields [3] - **CPI Data**: In May, 8 provinces' CPI rose year - on - year, 2 were flat, and 21 declined. CPI is expected to show a mild recovery [3] - **Debt Replacement**: As of the end of May, over 1.6 trillion yuan of replacement bonds were issued, completing over 80% of the annual quota [3] - **US Inflation**: US May CPI data was mild. Trump called for a 1 - percentage - point rate cut, and traders bet on two rate cuts this year, but the Fed may keep rates unchanged next week [3] Group 8: Industry Information - **Money Market Rates**: Most money market interest rates rose. For example, the 1 - day and 7 - day weighted average rates of inter - bank pledged repurchase increased [3] - **US Treasury Yields**: US treasury yields generally declined, driven by mild inflation data reducing expectations of short - term Fed rate hikes [3]

Report Summary 1. Investment Rating - There is no information about the industry investment rating in the report. 2. Core View - The prices of treasury bond futures generally rose in the previous trading day, with the T2509 contract rising 0.19% and an increase in open interest. The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term treasury bond yields in China generally declined, while overseas yields had different changes. The Fed's rate - cut expectation within the year decreased due to better - than - expected US non - farm data. The central bank will maintain a supportive monetary policy, and the capital market will remain loose, which provides some support for futures bond prices. Attention should be paid to the market capital situation and trade negotiation progress [2][3]. 3. Summary by Relevant Catalogs Futures Market - **Price and Volume**: In the previous trading day, the prices of treasury bond futures generally rose, with T2509 rising 0.19%. The open interest of T2509 increased by 7872, and trading volumes also showed different degrees of change. The cross - period spreads of some contracts changed slightly [2]. - **IRR**: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2]. Short - term Market Interest Rates - The short - term market interest rates showed mixed trends. SHIBOR7 - day rate decreased by 3.4bp, DR007 decreased by 1.63bp, and GC007 increased by 0.5bp [2]. Spot Market - **Domestic Treasury Bonds**: The yields of key - term treasury bonds in China generally declined. The 10Y - term treasury bond yield decreased by 1.23bp to 1.66%, and the 10 - 2Y yield spread was 18.65bp [2]. - **Overseas Treasury Bonds**: The 10Y US treasury bond yield increased by 11bp, the 10Y German treasury bond yield increased by 5bp, and the 10Y Japanese treasury bond yield decreased by 0.4bp [2]. Macro News - **Central Bank Operations**: On June 6, the central bank carried out 1350 billion yuan of 7 - day reverse repurchase operations, with a single - day net withdrawal of 1561 billion yuan. This week, 9309 billion yuan of reverse repurchases will mature. Last week, the central bank's open market had a net withdrawal of 6717 billion yuan [3]. - **Economic Data**: From January to April, the added value of industrial SMEs above designated size increased by 8.2% year - on - year, and the operating income reached 25.8 trillion yuan. In May, China's foreign exchange reserves increased by 36 billion US dollars to 32853 billion US dollars, and the gold reserves increased by 600,000 ounces for the seventh consecutive month [3]. - **International Events**: The US non - farm employment data exceeded expectations, with an increase of 139,000 people in May, and the unemployment rate remained at 4.2% for the third consecutive month, which may give the Fed room to postpone rate cuts [3]. Industry Information - **Interest Rate Changes**: In the money market, most interest rates showed different trends. The weighted average interest rate of inter - bank pledged repurchase had changes in different terms. US treasury bond yields rose collectively [3]. - **Market Analysis**: The yields of 10 - year treasury bonds declined. The central bank carried out a 10000 - billion - yuan outright reverse repurchase operation, and the short - term market interest rate declined. The Fed's rate - cut expectation within the year decreased, and the domestic market risk preference may increase. The central bank will maintain a supportive monetary policy, and the capital market will remain loose [3].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Last week, Treasury bond futures fluctuated. The central bank net injected 65.66 billion yuan. The 10 - year Treasury bond interest rate slightly decreased and is at a historical low in the long - term. Technically, the short - term price of the T2509 contract is near the 40 - day moving average. The Treasury market price is fluctuating at a high level, the interest rate is still in a low - level range, and there is limited upside space in the medium - to - long - term. Short - term investors can buy on dips [3]. 3. Summary by Directory I. Treasury Bond Futures Macro and Market Outlook - **Weekly Macro and News**: China's Caixin Manufacturing PMI in May was 48.3, down 2.1 percentage points from April, falling below the critical point for the first time since October 2024. The US Treasury announced the results of its latest Treasury bond repurchase operation, with a scale of up to $10 billion, the largest single - time Treasury bond repurchase operation in US Treasury history [4]. - **Treasury Bond Market Outlook**: Last week, Treasury bond futures fluctuated. The central bank net injected 65.66 billion yuan. The 10 - year Treasury bond interest rate slightly decreased and is at a historical low in the long - term. The market price is fluctuating at a high level, the interest rate is in a low - level range, with limited upside space in the medium - to - long - term. Short - term investors can buy on dips [3]. II. Treasury Bond Futures Market - **Price Trend**: Last week, Treasury bond futures fluctuated within a range. The TS2509 contract closed at 102.396, down 0.01%; the TF2509 contract closed at 106.02, down 0.03%; the T2509 contract closed at 108.725, down 0.11%; the TL2509 contract closed at 119.41, down 0.16% [5]. III. Treasury Bond Yield Changes - **Yield Changes**: Last week, long - term interest rates decreased, and the yield spread narrowed [8]. IV. Treasury Bond CTD Bonds and Basis - **Arbitrage Opportunities**: This week, the IRR of long - term Treasury bond futures is higher than the short - term financing rate, presenting arbitrage opportunities [11]. V. Treasury Bond Futures Spreads and Basis - **TF - T Spread**: The spread between 5 - year and 10 - year Treasury bond futures and their basis both narrowed [12]. VI. Treasury Bond Term Structure - **Term Structure Changes**: The latest Treasury bond term structure has flattened compared to May 28th, with medium - to - long - term yields decreasing [18].