1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In the last week of July, with the central bank's support, funds smoothly crossed the month. The outcome of the Sino-US talks was in line with expectations, and the Politburo meeting mainly focused on advancing existing policies. The equity market fluctuated weakly, and the bond market shifted towards recovery. On Friday, the VAT policies for treasury bonds, local government bonds, and financial bonds were adjusted, and the yield of the 10-year active treasury bond fell below 1.7%. Throughout the week, the yield of the 1-year active treasury bond dropped by 1.75BP to 1.3600%, the yield of the 10-year active treasury bond decreased by 3.75BP to 1.6950%, and the yield of the 30-year treasury bond declined by 4.45BP to 1.9030% [3][6][7]. 3. Summary According to the Table of Contents (1) Interest Rate Bond Market Review: Limited Increment from the Politburo Meeting, "Old Bond Rush" Driven by VAT Adjustment - **Overall Situation**: In the last week of July, with the central bank's support, funds smoothly crossed the month. The Sino-US talks had no unexpected results, and the Politburo meeting mainly advanced existing policies. The equity market fluctuated weakly, and the bond market recovered. After the bond VAT adjustment policy was announced on Friday, the yield of the 10-year active treasury bond fell below 1.7% [3][6][7]. - **Daily Performance**: - **July 28th**: The central bank net injected 3251 billion yuan. The bond market continued the recovery trend, and the yields of major treasury bonds decreased by 1.5 - 2.5BP [7][10][11]. - **July 29th**: The central bank net injected 2344 billion yuan. Affected by the Sino-US talks and Politburo meeting expectations, the equity market strengthened, and the yields of medium - and long - term treasury bonds over 5 years increased by 3 - 4BP [7][12]. - **July 30th**: The central bank net injected 1585 billion yuan. The Politburo meeting did not mention "anti - involution" and real estate policies much. The equity market rebounded, and the yields of major treasury bonds decreased by 2 - 4BP [7][13]. - **July 31st**: The central bank net withdrew 478 billion yuan in the morning. Due to factors such as the PMI data being lower than expected and the weakening of the equity market, the bond market performed strongly, and the yields of major treasury bonds decreased by 1 - 2BP [7][14]. - **August 1st**: The central bank net withdrew 6633 billion yuan in the morning. The equity market continued to correct. After the bond VAT adjustment policy was announced in the evening, the yield of the 10-year treasury bond first rose and then fell, closing at 1.6950% [7][15][16]. (2) Funding Situation: The Central Bank Conducted Net OMO Injections Near the Month - End, and the Funding Situation was Balanced and Loose The central bank net injected 69 billion yuan this week. The funding sentiment index was generally below 50. The cross - month funding situation was stable and loose. The issuance price of 1-year national and joint - stock bank certificates of deposit dropped to 1.6250%, and the weekly average of DR007 was 1.53% [1][7]. (3) Primary Issuance: Net Financing of Treasury Bonds, Policy Financial Bonds, and Interbank Certificates of Deposit Increased, while Net Financing of Local Government Bonds Decreased No specific data on the increase and decrease of net financing are provided in the text, but it is mentioned that the net financing of treasury bonds, policy financial bonds, and interbank certificates of deposit increased, and the net financing of local government bonds decreased [24]. (4) Benchmark Changes: The Term Spreads of Treasury Bonds and China Development Bank Bonds Both Narrowed - **Yield Curve Changes**: The yields of short - term treasury bonds dropped by 1.01BP, and the yields of short - term China Development Bank bonds decreased by 2.52BP. The yields of long - term treasury bonds declined by 2.65BP, and the yields of long - term China Development Bank bonds fell by 4.64BP [19]. - **Absolute Level of Term Spreads**: The 10Y - 1Y spread of treasury bonds narrowed by 1.64BP to 33.25BP, and the 10Y - 1Y spread of China Development Bank bonds narrowed by 2.12BP to 26.45BP [19].

Report Information Report Title - "National Debt Daily" [1] Report Date - August 1, 2025 [2] Researchers - He Zhuoqiao (Macro Precious Metals), contact: 18665641296, email: hezhuoqiao@ccb.ccbfutures.com, futures qualification number: F3008762 [3] - Huang Wenxin (National Debt and Container Shipping), contact: 021 - 60635739, email: huangwenxin@ccb.ccbfutures.com, futures qualification number: F3051589 [3] - Nie Jiayi (Stock Index), contact: 021 - 60635735, email: niejiayi@ccb.ccbfutures.com, futures qualification number: F03124070 [3] Key Points Report Industry Investment Rating - Not provided in the report Report Core View - Since mid - late July, market risk preference has significantly increased. The strong performance of the stock market, the recovery of commodities, and the rising inflation expectations have pressured the bond market. However, the bond market did not experience a panic - driven decline. The long - term bullish environment for the bond market remains unchanged due to the potential economic downturn and the room for monetary easing. The third quarter is likely a policy observation period [11][12] Summary by Directory 1. Market Review and Operation Suggestions - **Market Performance**: Commodity price drops dragged down cyclical stocks and the stock market, cooling inflation expectations and leading to a full - line rebound in national debt futures. The yields of major term interest - rate bonds in the inter - bank market all rose by about 1 - 2bp, while the yield of the 10 - year active bond 250011 dropped by 1.6bp to 1.7040% [8][9] - **Funding Market**: Cross - month funds were abundant, and the central bank shifted to a net withdrawal. There were 3310 billion yuan of reverse repurchases due, and the central bank conducted 2832 billion yuan of reverse repurchase operations, resulting in a net withdrawal of 478 billion yuan. Short - term interest rates rose slightly but remained at a loose level, and medium - and long - term funds were stable and abundant [10] - **Conclusion**: The bond market adjustment was not a panic - driven decline. The sustainability of the rally in cyclical stocks and commodities is questionable. If economic growth and inflation expectations are revised, the bond market will recover. In the long run, the bullish environment for the bond market remains unchanged, but the third quarter is likely a policy observation period [11][12] 2. Industry News - **Macro Data**: China's official non - manufacturing PMI in July was 50.1, down 0.4 percentage points month - on - month but still above the critical point. The official manufacturing PMI was 49.3, down 0.4 percentage points, and the composite PMI output index was 50.2, down 0.5 percentage points, indicating that overall business activities remained in an expansionary range [13] - **Macro Policy**: The Political Bureau of the CPC Central Committee decided to hold the Fourth Plenary Session of the 20th CPC Central Committee in October. It emphasized maintaining policy continuity and stability, implementing a more proactive fiscal policy and a moderately loose monetary policy, and taking various measures to support the economy and resolve risks [14] 3. Data Overview - **National Debt Futures Market**: Data on trading, including opening prices, closing prices, settlement prices, price changes, trading volumes, open interests, etc., of various national debt futures contracts on July 31 were presented [6] - **Money Market**: Information on SHIBOR term structure changes, SHIBOR trends, inter - bank pledged repurchase weighted interest rate changes, and silver - deposit inter - bank pledged repurchase rate changes was provided [28][32] - **Derivatives Market**: Information on Shibor3M interest rate swap fixing curves and FR007 interest rate swap fixing curves was provided [34]

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - In July 2025, extreme weather affected the release of downstream demand, causing a decline in new orders and production, with demand sub - items returning to the contraction zone. However, there were also increasing positive factors such as rising price indicators and improved macro - confidence. For the bond market, attention should be paid to the seesaw effect between data verification and risk - preference boosting, and the transmission effect of "strong expectations" to reality after August [4][10][11]. 3. Summary by Related Catalogs 3.1 Manufacturing PMI: Weather Factors Disturb, and the Boom Declines Temporarily 3.1.1 Supply and Demand: Demand Declines More Than Production - Production slowed down, with a month - on - month decrease of 0.5 pct to 50.5%. Factors included the weakening of the June rush - to - deliver effect, extreme high - temperature weather affecting demand and restocking, and industry "anti - involution" measures [2][16]. - New orders fell into the contraction zone, with a month - on - month decrease of 0.8 pct to 49.4%. The gap between new orders and new export orders narrowed to 2.3 pct, and domestic demand orders slowed more than export orders due to extreme weather [2][19]. 3.1.2 Foreign Trade: The Marginal Effect of "Rushing to Export" Weakens - New export orders declined month - on - month by 0.6 pct to 47.1%, and imports remained flat at 47.8%. The concentrated release of previous back - logged export orders in May - June weakened in July [2][22]. 3.1.3 Price: The Expectation of "Anti - Involution" and Rising Commodity Prices Lead to Accelerated Price Repair - The purchase price of raw materials and the ex - factory price increased by 3.1 pct and 2.1 pct month - on - month to 51.5% and 48.3% respectively. The increase was larger than in June, and it was expected that the PPI in July would improve marginally [2][27]. 3.1.4 Inventory: The De - stocking Rhythm Accelerates Relatively - Raw material inventory decreased by 0.3 pct month - on - month to 47.7%, and finished - product inventory decreased by 0.7%. Production restocking slowed down, and enterprises de - stocked faster [2][30]. 3.2 Non - manufacturing PMI: Construction Slows Down, and Service Consumption Differentiates Widely - In July, the non - manufacturing PMI was 50.1%, a month - on - month decrease of 0.4 pct. The service industry PMI decreased by 0.1 pct to 50.0%, and the construction industry PMI decreased by 2.2 pct to 50.6%. - The construction industry PMI declined due to the influence of the rainy season, with housing construction activities falling below the boom - bust line and civil engineering construction remaining above 55%. After the rainy season, there may be a rush - to - work effect, and the PMI is expected to recover. - The service industry PMI dropped to the boom - bust line. Retail and transportation industries were boosted by summer consumption, while the accommodation and catering industries had relatively weak demand growth [3][37].

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: July 31, 2025 [2] - Research Team: Macro Financial Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Investment Rating - No investment rating information is provided in the report. Core Viewpoints - Since mid - late July, the market risk preference has significantly increased, and the stock market's strength, commodity warming, and rising inflation expectations have pressured the bond market. However, the bond market did not experience a panic - driven decline. The market is still cautious about traditional factors driving the stock - bond pattern shift. The sustainability of the rally in cyclical stocks and commodities is questionable. If economic growth and inflation expectations are revised, the bond market will recover. In the long run, the bullish environment for the bond market remains, but the Politburo meeting's optimistic economic judgment and the lack of mention of RRR cuts and interest rate cuts may make the third quarter a policy observation period [11][12]. Summary by Section 1. Market Review and Operation Suggestions Market Conditions - The progress of the China - US talks on the extension exemption period did not exceed market expectations. Inter - bank cross - month funds were stable, and the A - share market tumbled in the afternoon, leading to a full - line recovery and gain in treasury bond futures [8]. Interest Rate Bonds - The yields of major inter - bank interest rate bonds across all maturities declined by about 2 - 3bp. By 16:30 pm, the yield of the active 10 - year treasury bond 250011 reported at 1.7155%, down 3.2bp [9]. Money Market - At the end of the month, the central bank made consecutive net injections, and the inter - bank money market was loose. There were 150.5 billion yuan of reverse repurchase maturities, and the central bank conducted 309 billion yuan of reverse repurchase operations, achieving a net injection of 158.5 billion yuan. The inter - bank money sentiment index eased, short - term money rates declined across the board, and medium - long - term funds were stable [10]. 2. Industry News - On July 23, the CPC Central Committee held a symposium for non - Party personages to listen to opinions on the current economic situation and the second - half economic work. From July 28 - 29, China - US economic and trade talks were held in Stockholm, and both sides agreed to extend the suspension of part of the US reciprocal tariffs (24%) and China's counter - measures for 90 days [13]. - Minister of Finance Lan Fo'an wrote that the government should make full use of a more proactive fiscal policy, increase counter - cyclical fiscal adjustment, and promote the healthy development of the real estate market [14]. 3. Data Overview Treasury Bond Futures - The report provides data on treasury bond futures trading on July 30, including contract information such as opening price, closing price, settlement price, price change, trading volume, open interest, etc. It also mentions the spread between different contracts and the trend of the main contracts [6]. Money Market - The report presents data on the SHIBOR term structure change, SHIBOR trend, inter - bank pledged repo weighted interest rate change, and inter - bank deposit - pledged repo rate change [28][32]. Derivatives Market - The report shows the Shibor3M interest rate swap fixing curve (mean) and the FR007 interest rate swap fixing curve (mean) [34].

Group 1: Report Overview - Industry: Treasury Bonds [1] - Date: July 30, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Group 2: Core Viewpoints - The market risk appetite has significantly increased since mid - July, with the stock market strengthening and commodity prices warming up, which has put pressure on the bond market. However, the bond market has not experienced a panic - driven decline. The long - term bullish environment for the bond market remains unchanged, and the decline in bond - allocation costs in the second half of the year may further expand the bond market space [11][12] Group 3: Market Conditions Market Quotes - On July 29, the afternoon recovery of the stock market and commodities suppressed the bond market, causing the decline of treasury bond futures to widen in the afternoon. The yields of major inter - bank interest - rate bonds all rose, with an increase of about 3bp. By 16:30, the yield of the 10 - year treasury bond active bond 250011 was reported at 1.7475%, up 3.25bp [8][9] Transaction Data | Contract | Closing Price | Change | Change Rate (%) | Volume | Open Interest | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TL2509 | 117.870 | - 0.930 | - 0.78 | 140838 | 120771 | 488 | | TL2512 | 117.490 | - 1.000 | - 0.84 | 20938 | 39248 | 3664 | |... |... |... |... |... |... |... | [6] Capital Market - At the end of the month, the central bank made continuous net injections, and the inter - bank capital market loosened. There were 2148 billion yuan of reverse repurchases due, and the central bank conducted 4492 billion yuan of reverse repurchase operations, achieving a net injection of 2344 billion yuan. Short - term capital interest rates declined across the board, while medium - and long - term capital remained stable [10] Group 4: Industry News - On July 28, local time, the China - US economic and trade teams held economic and trade talks in Stockholm, Sweden. The National Conference on the Heads of Industry and Information Technology Departments in Beijing deployed eight key tasks for the second half of the year. The Market Supervision and Development Planning Symposium in Beijing put forward requirements for market supervision in the "15th Five - Year Plan" period. The CF40's macro - policy quarterly report for Q2 2025 pointed out that further counter - cyclical policies are needed to achieve the annual economic growth target [13][14] Group 5: Data Overview - The data overview includes treasury bond futures market (such as main contract spreads and trends), money market (such as SHIBOR and inter - bank repurchase rates), and derivatives market (such as interest - rate swap curves) [15][23][33]

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - The bond market is under significant pressure due to increased institutional redemptions, with the 10y Treasury bond yield fluctuating. The current redemption is a small - scale wave driven by the stock - bond seesaw effect, and the central bank maintains a relatively mild monetary policy stance. The bond market will enter a "hard mode" from August to October, and investment strategies should shift from alpha - mining to beta - trading [11][3][59] Group 3: Summary by Relevant Catalogs 1. How will the stock - bond seesaw driven by risk preference play out? - **Judgment on the current redemption level**: Bank wealth management has a safety cushion, and the focus is on the redemption pressure of funds. Since the beginning of the year, the safety cushion of wealth management has stabilized the net value, and it has maintained net buying of bonds. The current redemption is concentrated in the fund sector, with obvious preventive redemptions by institutional investors [15][18] - **Review of bond market redemptions driven by the stock - bond seesaw effect**: Since 2022, there have been eight rounds of redemptions, with only the one in November 2022 being a large - scale one involving both funds and bank wealth management. The rest are small - scale ones mainly affecting funds. Redemption periods usually last 1 - 2 weeks, and they often end with a decline in the equity market [21][26] - **Current stage of redemption**: The market is in the negative feedback stage of the redemption wave, with the intensity similar to that in February 2025. Although the redemption pressure shows signs of relief, there is still a risk of recurrence, and the 10y Treasury bond yield may have an additional 4 - 8BP adjustment space [34][35] 2. Has the central bank's attitude changed? - The short - term amplification of capital friction during the bond market's weak adjustment does not necessarily mean a change in the central bank's attitude. The central bank's current liquidity injection is mainly short - term, and in the third quarter, factors such as fiscal policies, equity market diversion, and redemption frictions have increased capital disturbances. However, the central bank's current operations still show a relatively mild monetary policy stance [3][56] 3. From August to October, the bond market trading enters the "hard mode" - Seasonally, from August to October, bond market disturbances increase, and yields tend to rise. This year, due to the central bank's tightening of funds in the first quarter and the forward - shifting of market trading, the 10y Treasury bond yield has adjusted ahead of the seasonal pattern. After August, the bond market still faces uncertainties such as tariff negotiations and policy effect verification [59][61] - In reality, the fundamental data shows a "weak recovery" pattern, and there is no signal of a trend reversal, which provides some support for the bond market's upward movement [63] 4. Bond market strategy: Shift from alpha - mining to beta - trading - Maintain the view of a volatile bond market in the second half of the year. The 10y Treasury bond above 1.75% has allocation value, and the 30y Treasury bond has allocation value when the 30 - 10y spread is around 25bp. Trading desks should avoid large - scale left - hand trading [70][71] - From August to October, the market will be volatile, increasing the demand for liquidity. It is necessary to shift from alpha - mining to beta - trading and reduce positions in illiquid assets that have realized profits during favorable market windows [72][75] - Short - term products such as certificates of deposit have allocation value when the central bank's attitude is stable. Certificates of deposit above 1.65% and credit products after adjustment may be considered for allocation [78] 5. Review of the interest - rate bond market: Institutional redemption sentiment resurfaces, and the bond market is significantly pressured - **Funding situation**: The central bank's OMO has a small - scale net injection, and the funding situation is tight first and then loose [12] - **Primary issuance**: The net financing of Treasury bonds, policy - bank bonds, and inter - bank certificates of deposit has decreased, while that of local government bonds has increased [94] - **Benchmark changes**: The term spreads of both Treasury bonds and China Development Bank bonds have widened [88]

行业 国债日报 日期 2025 年 7 月 24 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ | 一、行情回顾与操作建议 | | --- | | | 表1：国债期货7月23日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2509 | 119.520 | 118.900 | 119.270 | 119.35 ...

Group 1 - The core asset in the stock market is the CSI 300 index, recognized for its strong representation, high market acceptance, active trading, and large allocation [1] - The bond market has not experienced the anticipated bull market in the first half of the year, instead showing a "V-shaped" fluctuation due to various factors including changes in monetary policy and liquidity [3][4] - The 10-year government bond yield reached a high of 1.90% in March before stabilizing around 1.66% by July 10, 2025, indicating a return to a more stable environment [3][6] Group 2 - The external environment, including tariff policies and domestic economic factors, suggests a favorable environment for the bond market in the second half of the year, with expectations of a downward trend in bond yields [6][7] - The 10-year government bond is considered the core asset of the bond market, widely accepted as a benchmark for measuring interest rates and market yields [8] - The 10-year government bond ETF (511260) has shown consistent positive returns since its inception in August 2017, making it suitable for investors seeking stability [9][12] Group 3 - The 10-year government bond ETF offers advantages such as T+0 trading, low management fees of approximately 0.2% per year, and transparency in holdings, making it an attractive option for investors [12] - The rapid growth of the 10-year government bond ETF, surpassing 15 billion, reflects the market's recognition of this core asset [12]

行业 国债日报 日期 2025 年 7 月 10 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货7月9日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2509 | 120.860 | 120.900 | 121.090 | 120.960 | 0.230 | 0.19 | 74267 | 118951 ...