Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is oscillating between stable growth and easing expectations. Influenced by the strong stock market, the rising risk appetite suppresses the bond market. Meanwhile, the increasing expectation of the Fed's interest rate cut and the rising global trade uncertainty add to the uncertainty of foreign capital inflows. In the short - term, attention should be paid to the policy signals at the end of the month [1][2][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI monthly环比 is 0.40% and同比 is 0.00%; PPI monthly环比 is - 0.20% and同比 is - 3.60% [9] - Social financing scale is 431.26 trillion yuan, with a环比 increase of 1.04 trillion yuan and a环比 change rate of 0.24%; M2同比 is 8.80%, with a环比 increase of 0.50% and a环比 change rate of 6.02%; Manufacturing PMI is 49.40%, with a环比 increase of 0.10% and a环比 change rate of 0.20% [9] - The US dollar index is 97.69, with a环比 decrease of 0.16 and a环比 change rate of - 0.16%; The US dollar against the offshore RMB is 7.1260, with a环比 increase of 0.001 and a环比 change rate of 0.02%; SHIBOR 7 - day is 1.44, with a环比 decrease of 0.07 and a环比 change rate of - 4.77%; DR007 is 1.45, with a环比 decrease of 0.07 and a环比 change rate of - 4.64%; R007 is 1.67, with a环比 decrease of 0.26 and a环比 change rate of - 13.67%; The 3 - month inter - bank certificate of deposit (AAA) is 1.54, with a环比 change of 0.00 and a环比 change rate of - 0.16%; The AA - AAA credit spread (1Y) is 0.09, with a环比 change of 0.00 and a环比 change rate of - 0.16% [10] 2. Overview of the Treasury Bond and Treasury Bond Futures Market The report provides multiple charts including the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation of funds trend, the position ratio, the net position ratio (top 20), the long - short position ratio (top 20), the spread between national development bonds and treasury bonds, and the issuance of treasury bonds [13][14][16] 3. Overview of the Money Market Fundamentals Multiple charts are provided, such as the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local bonds [25][31] 4. Spread Overview The report provides charts on the inter - term spread trend of each treasury bond futures variety and the term spread of spot bonds and cross - variety spreads of futures [30][33][34] 5. Two - year Treasury Bond Futures Charts are provided on the term spread of spot bonds and cross - variety spreads of futures, the implied interest rate and the maturity yield of the main contract of two - year treasury bond futures, the IRR of the TS main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TS main contract [38][39][44] 6. Five - year Treasury Bond Futures Charts are provided on the implied interest rate and the maturity yield of the main contract of five - year treasury bond futures, the IRR of the TF main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TF main contract [49][55] 7. Ten - year Treasury Bond Futures Charts are provided on the implied yield and the maturity yield of the main contract of ten - year treasury bond futures, the IRR of the T main contract and the fund interest rate, and the three - year basis trend and net basis trend of the T main contract [56][57][59] 8. Thirty - year Treasury Bond Futures Charts are provided on the implied yield and the maturity yield of the main contract of thirty - year treasury bond futures, the IRR of the TL main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TL main contract [63][68] Strategies - Unilateral: As the repurchase rate falls, the price of treasury bond futures oscillates [4] - Arbitrage: Pay attention to the decline of the 2512 basis [4] - Hedging: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for moderate hedging [4]

Report Industry Investment Rating No information provided. Core View of the Report The LPR quote remained unchanged in August, and the monetary policy continued with a moderately loose tone. The signal of overall loosening was still unclear, which was in line with market expectations. Although the bond market was still disturbed by the risk appetite of the stock market in the short term, its overall downward space was limited supported by the fundamentals and capital situation [3]. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) had a 0.40% month - on - month increase and 0.00% year - on - year change; PPI (monthly) had a - 0.20% month - on - month change and - 3.60% year - on - year change [9]. - Social financing scale was 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan and a growth rate of 0.24%. M2 year - on - year growth was 8.80%, up 0.50% month - on - month with a growth rate of 6.02%. Manufacturing PMI was 49.30%, down 0.40% month - on - month with a decline rate of 0.80% [9]. - The US dollar index was 98.23, down 0.04 with a decline rate of 0.04%. The US dollar against the offshore RMB was 7.1865, up 0.003 with a growth rate of 0.04%. SHIBOR 7 - day was 1.53, up 0.02 with a growth rate of 1.12%. DR007 was 1.57, up 0.02 with a growth rate of 1.48%. R007 was 1.56, down 0.12 with a decline rate of 7.38%. The 3 - month interbank certificate of deposit (AAA) was 1.55, up 0.00 with a decline rate of 0.01%. The AA - AAA credit spread (1Y) was 0.08, up 0.01 with a decline rate of 0.01% [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - The section includes figures such as the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation fund trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between national development bonds and treasury bonds, and the issuance of treasury bonds [14][16][21]. III. Overview of the Money Market Funding Situation - It includes figures such as the Shibor interest rate trend, the maturity yield trend of interbank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local bonds [27][28]. IV. Spread Overview - It includes figures such as the inter - period spread trend of each treasury bond futures variety, the spread between the spot bond term spread and the futures cross - variety spread [31][38][40]. V. Two - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the TS main contract and the treasury bond maturity yield, the IRR of the TS main contract and the funds interest rate, the basis trend of the TS main contract in the past three years, and the net basis trend of the TS main contract in the past three years [42][52]. VI. Five - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the TF main contract and the treasury bond maturity yield, the IRR of the TF main contract and the funds interest rate, the basis trend of the TF main contract in the past three years, and the net basis trend of the TF main contract in the past three years [51][56]. VII. Ten - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the T main contract and the，treasury bond maturity yield, the IRR of the T main contract and the funds interest rate, the basis trend of the T main contract in the past three years, and the net basis trend of the T main contract in the past three years [59][62]. VIII. Thirty - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the TL main contract and the treasury bond maturity yield, the IRR of the TL main contract and the funds interest rate, the basis trend of the TL main contract in the past three years, and the net basis trend of the TL main contract in the past three years [67][72]. Market Analysis Macro Aspect - The Politburo meeting in July proposed to implement a more proactive fiscal policy and a moderately loose monetary policy, manage the disorderly competition of enterprises in accordance with laws and regulations, resolve local government debt risks actively and steadily, and prohibit the addition of implicit debts. On August 1, 2025, the Ministry of Finance and the State Taxation Administration announced that starting from August 8, 2025, the interest income from newly issued treasury bonds, local government bonds, and financial bonds would be subject to value - added tax. Previously issued bonds would still be exempt until maturity. On August 19, the Ministry of Finance announced market - making support operations to increase the supply of scarce bond types [1]. - In July, the year - on - year change of CPI was flat [1]. Capital Aspect - In July 2025, the year - on - year growth rates of M1 and M2 rebounded to 5.6% and 8.8% respectively, and the gap narrowed to 3.2%, indicating abundant liquidity and increased activity of corporate current funds. However, the credit derivation efficiency was weak, and the medium - and long - term loans of residents and enterprises continued to shrink, with insufficient investment and consumption demand. The year - on - year growth of social financing stock was only 9%, mainly relying on government bond issuance to add leverage. The medium - and long - term financing demand of enterprises remained sluggish, and a large amount of funds flowed to non - bank institutions [2]. - On August 20, 2025, the central bank conducted 616 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity tender [2]. - The main term repurchase interest rates of 1D, 7D, 14D, and 1M were 1.473%, 1.534%, 1.596%, and 1.532% respectively, and the repurchase interest rates had recently rebounded [2]. Market Aspect - On August 20, 2025, the closing prices of TS, TF, T, and TL were 102.33 yuan, 105.43 yuan, 107.86 yuan, and 116.05 yuan respectively. The price change rates were 0.00%, - 0.10%, - 0.18%, and - 0.35% respectively [3]. - The average net basis of TS, TF, T, and TL was 0.024 yuan, 0.137 yuan, 0.069 yuan, and 0.589 yuan respectively [3]. Strategy - **Unilateral**: As the repurchase interest rate rebounded and the treasury bond futures prices fluctuated, it was recommended to short at high levels for the 2509 contract [4]. - **Arbitrage**: Pay attention to the decline of the basis of TF2509 [5]. - **Hedging**: There was medium - term adjustment pressure, and short - side investors could use far - month contracts for appropriate hedging [5].

Report Summary 1. Core View - The market is in a new stage of anti - involution, with commodities falling and Treasury bond futures recovering, and the curve flattening periodically. The report maintains the view that the overall trend in the second half of the year is oscillating with a bearish bias. However, in the short term, attention should be paid to the impact of the tax on Treasury bonds and policy - financial bonds on new and old bonds, inter - period spreads, and market risk appetite [2]. 2. Content Summary by Section 2.1. Weekly Focus and Market Tracking - Treasury bond futures contracts recovered weekly, and the curve flattened periodically. The market shows a differentiated pattern where long - end trading intensifies while short - end resilience continues. The 30 - year main contract (TL) fluctuated significantly during the week due to weak PMI data and rising expectations of interest rate cuts, indicating high sensitivity of long - end interest rates to policies. The yield curve shows alternating "steepening - flattening" characteristics, and attention should be paid to the verification of the curve structure by subsequent policy implementation and key data disclosure [3][5]. 2.2. Liquidity Monitoring and Curve Tracking - The report provides a liquidity monitoring and curve tracking chart, but specific text content is not provided [7]. 2.3. Seat Analysis - Daily changes in net long positions by institutional type: private funds decreased by 2.39%, foreign capital increased by 1.76%, and wealth management subsidiaries increased by 2.41%. Weekly changes: private funds increased by 1.65%, foreign capital increased by 6.69%, and wealth management subsidiaries increased by 7.26% [8].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall capital situation is loose, and with the central bank's 1.4 trillion repurchase, the bond yields have declined. The bond market will continue its short - term volatile pattern, while in the medium and long term, it will maintain a bullish foundation supported by the weak economic recovery and loose policies. However, attention should be paid to the fluctuations caused by macro data and overseas negotiation progress and the necessity of adjusting the duration [2]. - For the 2509 contract, it is considered neutral due to the rising repurchase rate and the fluctuating price of treasury bond futures. Attention should be paid to the widening of the basis, and short - side investors can use far - month contracts for appropriate hedging in the medium term [3]. 3. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) has a month - on - month change of - 0.10% and a year - on - year change of 0.10%; China's PPI (monthly) has a month - on - month change of - 0.40% and a year - on - year change of - 3.60% [8]. - **Monthly Economic Indicators**: The social financing scale is 430.22 trillion yuan, with a month - on - month increase of 4.06 trillion yuan and a growth rate of 0.95%; M2 year - on - year is 8.30%, with an increase of 0.40% and a growth rate of 5.06%; the manufacturing PMI is 49.70%, with an increase of 0.20% and a growth rate of 0.40% [8]. - **Daily Economic Indicators**: The US dollar index is 98.31, with a decrease of 0.33 and a decline rate of 0.33%; the offshore US dollar - to - RMB exchange rate is 7.1810, with an increase of 0.006 and a growth rate of 0.08%; SHIBOR 7 - day is 1.50, with a decrease of 0.04 and a decline rate of 2.72%; DR007 is 1.53, with a decrease of 0.04 and a decline rate of 2.58%; R007 is 1.68, with an increase of 0.04 and a growth rate of 2.35%; the 3 - month inter - bank certificate of deposit (AAA) is 1.54, with a decrease of 0.01 and a decline rate of 0.80%; the AA - AAA credit spread (1Y) is 0.08, with an increase of 0.02 and a change rate of - 0.80% [8]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - **Market Performance on July 16, 2025**: The closing prices of TS, TF, T, and TL are 102.42 yuan, 106.00 yuan, 108.84 yuan, and 120.71 yuan respectively, with price changes of 0.01%, - 0.01%, - 0.05%, and - 0.05% respectively. The average net basis of TS, TF, T, and TL are - 0.015 yuan, - 0.025 yuan, - 0.015 yuan, and 0.074 yuan respectively [2]. III. Overview of the Money Market Capital Situation - **Central Bank Operations**: On July 16, 2025, the central bank conducted a 520.1 billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% through quantity tendering [2]. - **Money Market Interest Rates**: The main - term repurchase rates of 1D, 7D, 14D, and 1M are 1.466%, 1.504%, 1.559%, and 1.540% respectively, and the repurchase rates have recently rebounded [2]. IV. Spread Overview No specific numerical analysis content is provided in the text, but it is expected to analyze various spread trends such as the inter - period spread of treasury bond futures and the spread between spot bond term spreads and futures cross - variety spreads. V. Two - Year Treasury Bond Futures No specific numerical analysis content is provided in the text, but it is expected to analyze indicators such as the implied interest rate, IRR, and basis of the TS main contract. VI. Five - Year Treasury Bond Futures No specific numerical analysis content is provided in the text, but it is expected to analyze indicators such as the implied interest rate, IRR, and basis of the TF main contract. VII. Ten - Year Treasury Bond Futures No specific numerical analysis content is provided in the text, but it is expected to analyze indicators such as the implied interest rate, IRR, and basis of the T main contract. VIII. Thirty - Year Treasury Bond Futures No specific numerical analysis content is provided in the text, but it is expected to analyze indicators such as the implied interest rate, IRR, and basis of the TL main contract.