Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The short - term, medium - term, and overall view of TL2509 is "oscillation", with an intraday view of "oscillation on the weak side". The core logic is that the monetary policy environment is loose, but the possibility of short - term interest rate cuts is low [1]. - For the main varieties of financial futures (TL, T, TF, TS), the intraday view is "oscillation on the weak side", the medium - term view is "oscillation", and the overall reference view is "oscillation". In the short term, the Treasury bond futures will mainly oscillate and consolidate [5]. 3. Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Index Sector - For TL2509, the short - term, medium - term, and overall view is "oscillation", and the intraday view is "oscillation on the weak side". The core logic is that the monetary policy environment is loose, but the short - term possibility of interest rate cuts is low [1]. Main Variety Price Quotation Driving Logic - Financial Futures Index Sector - Yesterday, Treasury bond futures oscillated and slightly corrected, showing a trend of hitting the bottom and then rebounding. Due to the easing of Sino - US economic and trade relations, the strong resilience of China's macro - economy in the first half of the year, and the continuous increase in the stock market's risk appetite from the capital side, Treasury bond futures corrected in the short term [5]. - The market interest rate has risen to near the policy rate, and the room for further increase is limited, so the downward momentum of Treasury bond futures is limited. There is still a problem of insufficient effective domestic demand, and a loose monetary environment is needed to support the economy in the second half of the year, with an expectation of interest rate cuts. However, the possibility of short - term interest rate cuts is low, and the 7 - month LPR remains unchanged, so the upward space for Treasury bond futures in the short term is also limited [5].

General Information - Report Date: July 23, 2025 [2] - Researcher: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] - Report Type: Treasury Bond Daily Report [1] Report Highlights Investment Rating - No investment rating is provided in the report. Core Viewpoints - Short - term, the bond market lacks a clear direction due to stable fundamentals, policy, and capital conditions, along with elevated market risk appetite. Long - term, there may be an increase in monetary easing in October, but there's a risk of a bond market trend reversal if anti - involution effectively boosts domestic demand and inflation [11][12] Summary by Section 1. Market Review and Operation Suggestions - **Market Performance**: The marginal improvement in inter - bank liquidity continued, but the sharp rise in A - shares, especially the strength of cyclical stocks, significantly suppressed the bond market, and the decline of treasury bond futures widened in the afternoon [8] - **Interest Rate Bonds**: Yields of major inter - bank interest rate bonds across all maturities increased. Short - term yields changed slightly, while long - term yields rose by about 1 - 2bp. By 16:30, the yield of the 10 - year treasury bond active bond 250011 was reported at 1.689%, up 1.2bp [9] - **Funding Market**: The funding situation was stable. There were 462.5 billion yuan of reverse repurchase maturities, and the central bank conducted 214.8 billion yuan of reverse repurchase operations, resulting in a net withdrawal of 247.7 billion yuan. Short - term funding rates declined, and medium - and long - term funding remained stable [10] 2. Industry News - **LPR**: The LPR quotes in July remained stable, with the 1 - year LPR at 3% and the over - 5 - year variety at 3.5% [13] - **Sino - EU Relations**: European Council President Costa and European Commission President von der Leyen will visit China on July 24 [13] - **Central Bank Policy**: The central bank solicited public opinions on canceling the regulation on freezing bond repurchase collateral, mainly to enhance bond liquidity and optimize the central bank's monetary policy operation mechanism [13] - **Business and Trade**: The Ministry of Commerce responded to the US approval of the sale of NVIDIA H20 chips to China and Canada's tightened steel import restrictions [13] - **Infrastructure Project**: The construction ceremony of the hydropower project in the lower reaches of the Yarlung Zangbo River was held, with a total investment of about 1.2 trillion yuan. The China Yajiang Group Co., Ltd. was established [14] - **G20 Meeting**: At the third G20 Finance Ministers and Central Bank Governors' Meeting, China stated that it would implement a more proactive fiscal policy and expand high - level opening - up in the second half of the year [14] 3. Data Overview - **Treasury Bond Futures**: Data on trading, including prices, trading volumes, and open interest of various treasury bond futures contracts on July 22 were presented, as well as information on spreads between different contracts and their trends [6] - **Money Market**: Data on SHIBOR, inter - bank pledged repurchase weighted interest rates, and other money market indicators were covered [29][33] - **Derivatives Market**: Information on Shibor3M and FR007 interest rate swap fixing curves was provided [35]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The overall view on Treasury bond futures is that they will be in a stage of oscillatory adjustment in the short term, with an oscillatory trend in the medium - term and an oscillatory - weakening trend in the intraday period. The monetary policy environment is inclined to be loose, but the possibility of an interest rate cut in the short term is low [1][5]. 3. Summary by Related Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the TL2509 variety, the short - term, medium - term, and overall views are oscillatory, and the intraday view is oscillatory - weakening. The core logic is that the monetary policy environment is loose, but the short - term possibility of an interest rate cut is low [1]. 3.2 Main Variety Price Quotation Driving Logic - Financial Futures Stock Index Sector - The varieties include TL, T, TF, and TS. The intraday view is oscillatory - weakening, the medium - term view is oscillatory, and the reference view is oscillatory. The core logic is that Treasury bond futures oscillated and corrected yesterday, with the 30 - year Treasury bond futures having the largest decline. Recently, due to a large number of reverse repurchase maturities, the central bank's open - market operations have mainly been net withdrawals. The domestic macro - economic outlook is positive, the economic data in the first half of the year showed resilience, and the pressure for stable growth in the second half of the year has decreased. The risk appetite in the securities market has rapidly recovered, causing Treasury bond futures to enter an oscillatory adjustment stage. However, the anchoring effect of policy interest rates is strong, and the market interest rate is close to the policy interest rate, so the upward space for the market interest rate is limited. The problem of insufficient effective domestic demand still exists, and a relatively loose monetary environment is still needed to support the economy in the second half of the year. There is still an expectation of an interest rate cut, but the possibility of an interest rate cut in the short term is low, so the downward space for interest rates is also limited [5].

Core Viewpoint - The 30-year government bond ETF from Bosera has shown a slight decline recently but has experienced an overall increase in value year-to-date, indicating a mixed performance in the bond market influenced by liquidity and monetary policy adjustments [3][4]. Group 1: Market Performance - As of July 22, 2025, the 30-year government bond ETF from Bosera is priced at 111.84 CNY, down 0.18% [3]. - Year-to-date, the ETF has appreciated by 1.68% as of July 21, 2025 [3]. - The ETF has seen a trading volume of 38.74 billion CNY with a turnover rate of 40.3%, indicating active market participation [3]. Group 2: Liquidity and Monetary Policy - The liquidity in the market has been affected by tax-related disruptions, but the central bank's operations, including regular OMO and reverse repos, have provided support [4]. - Short-term bond performance remains strong, while long-term bonds are under pressure due to improved economic data and supply-side pressures [4]. Group 3: Fund Size and Inflows - The latest size of the 30-year government bond ETF from Bosera has reached 9.618 billion CNY, marking a one-year high [4]. - The ETF has seen a net inflow of 5.56 billion CNY over the past three days, with a peak single-day inflow of 475 million CNY [4]. Group 4: Historical Performance Metrics - Over the past year, the ETF has achieved a net value increase of 13.15%, ranking 6th out of 414 index bond funds [5]. - The maximum monthly return since inception is 5.35%, with a historical one-year profitability rate of 100% [5]. - The fund's management fee is 0.15%, and the tracking error over the past month is 0.032% [5].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints of the Report - The short - term, medium - term, and reference views for the TL2509 variety are all "oscillation", with an intraday view of "oscillation weakening". The core logic is that the monetary policy environment is loosely biased, but the possibility of a short - term interest rate cut is low [1]. - For the financial futures stock index sector including TL, T, TF, and TS, the intraday view is "oscillation weakening", the medium - term view is "oscillation", and the reference view is "oscillation". The core logic is that the domestic macro - economic outlook is positive, with the first - half economic data showing resilience and the second - half pressure on stable growth reduced. There are a large number of central bank reverse repurchases maturing this week, causing market interest rates to rise. Considering the anchoring effect of policy rates, the upward space for market interest rates is limited. A loose monetary environment is still needed to support the economy in the second half, and there is an expectation of interest rate cuts, but the short - term possibility is low, and the downward space for interest rates is also limited. So, treasury bond futures will mainly oscillate in the short term [5]. Group 3: Summary by Relevant Catalogs 1. Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the TL2509 variety, the short - term view is "oscillation", the medium - term view is "oscillation", the intraday view is "oscillation weakening", and the reference view is "oscillation". The core logic is that the monetary policy environment is loosely biased, but the short - term possibility of an interest rate cut is low [1]. 2. Main Variety Price and Market Driving Logic - Financial Futures Stock Index Sector - For varieties TL, T, TF, and TS, the intraday view is "oscillation weakening", the medium - term view is "oscillation", and the reference view is "oscillation". The core logic is that treasury bond futures oscillated and pulled back yesterday, with the 30 - year treasury bond futures having the largest decline. The domestic macro - economic outlook is positive, the first - half economic data shows resilience, and the second - half pressure on stable growth is reduced. There are a large number of central bank reverse repurchases maturing this week, causing market interest rates to rise. Considering the anchoring effect of policy rates, the upward space for market interest rates is limited. A loose monetary environment is still needed to support the economy in the second half, and there is an expectation of interest rate cuts, but the short - term possibility is low, and the downward space for interest rates is also limited. So, treasury bond futures will mainly oscillate in the short term [5].

2年期国债期货（TS）主力合约涨0.01%，5年期国债期货（TF）主力合约涨0.02%，10年期国债期货 （T）主力合约涨0.02%，30年期国债期货（TL）主力合约涨0.08%。 国债期货早盘开盘 ...

国债期货日报 2025年7月21日 左侧尝试 观点：交易盘试多，需要带好止损 南华研究院 高翔（Z0016413） 投资咨询业务资格：证监许可【2011】1290号 盘面点评： 国债期货跳空低开，T2509低开一毛钱，早盘偏弱震荡，午后小幅上行，跌幅收窄。资金方面，公开市场到 期2262亿，央行新做1707亿，净回笼555亿。流动性有所改善，DR001加权从上周五的1.45%回到1.35%附 近，午后隔夜匿名价格回到1.3%。非银流动性同样充裕，交易所资金价格日内震荡下行，同样回落到1.35% 附近。 日内消息： | TS2509 | 102.416 | 102.434 | -0.018 | 102.378 | TS合约持仓(手） | 122170 | 123247 | -1077 | 34519 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TF2509 | 105.935 | 106.005 | -0.07 | 105.885 | TF合约持仓(手） | 209691 | 206287 | 3404 | 208905 | ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The current core combination of "weak fundamental recovery + low inflation" remains unchanged, and the loose capital situation continues to support the bond market, with limited adjustment space. It is recommended to observe the adjustment of treasury bond futures in the short term and make allocations after stabilization. [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Data - **Futures Closing Prices and Volumes**: On July 21, 2025, the closing prices of TS, TF, T, and TL主力 contracts decreased by 0.01%, 0.05%, 0.05%, and 0.46% respectively; the trading volumes of T, TF, TS, and TL主力 contracts were 88,280, 72,060, 31,667, and 118,236 respectively, with increases of 3,602, 700, 91, and 6,587 respectively. [2] - **Futures Spreads**: Some spreads such as TL2512 - 2509, T2512 - 2509, and TF09 - T09 showed changes, with TL2512 - 2509 decreasing by 0.05, T2512 - 2509 decreasing by 0.03, and TF09 - T09 remaining unchanged. [2] - **Futures Positions**: The positions of T, TF, and TL主力 increased by 2,166, 3,892, and 962 respectively, while the position of TS主力 decreased by 1,247. [2] 3.2 CTD Bond Data - The net prices of some CTD bonds such as 220010.IB, 250007.IB, and 240020.IB decreased, with 220010.IB dropping by 0.1004, 250007.IB dropping by 0.0632, and 240020.IB dropping by 0.1193. [2] 3.3 Treasury Bond Active Bond Yields - The yields of 1 - 7Y treasury bonds increased by 0.25 - 1.60bp, while the yields of 10Y and 30Y treasury bonds increased by 1.05bp and 1.50bp respectively, reaching 1.67% and 1.89%. [2] 3.4 Short - term Interest Rates - The silver - pledged overnight rate decreased by 3.99bp to 1.3601%, and the Shibor overnight rate decreased by 9.60bp to 1.3660%. [2] 3.5 Industry News - The central bank is soliciting opinions on canceling the regulation of freezing the collateral for bond repurchase until August 17. [2] - In June, the total social electricity consumption was 867 billion kWh, a year - on - year increase of 5.4%. [2] - The LPR quotes in July remained stable, with the 1 - year LPR at 3.0% and the 5 - year LPR at 3.5%. [2] 3.6 Market Analysis - Domestic: In June, industrial added value and social retail sales slightly rebounded, fixed - asset investment remained stable, and the unemployment rate was flat. Social financing exceeded expectations, credit demand improved marginally, and deposit activation increased. Exports and imports rebounded significantly, but price levels were under pressure. [2] - Overseas: The US core CPI in June was continuously lower than expected, but inflation risks continued to rise. The Fed's internal differences on the impact of tariffs on the inflation path increased, and the possibility of a short - term interest rate cut decreased. [2] 3.7 Key Events to Watch - On July 21 at 22:00, the US June Conference Board Leading Index monthly rate will be released. - On July 23 at 17:15, the Bank of England Governor and other officials will speak at the UK Parliament's Treasury Committee. [3]

Report Industry Investment Rating - Not provided Core Viewpoints - The prices of Treasury bond futures generally declined in the previous trading session, with the T2509 contract down 0.09% and little change in open interest. The IRR of CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, presenting no arbitrage opportunities. Short - term market interest rates showed mixed movements, and key - term Treasury bond yields also varied. Overseas, US 10Y Treasury bond yields declined, German 10Y yields rose, and Japanese 10Y yields fell. The central bank will maintain a supportive monetary policy, which supports the price of Treasury bond futures, but the "anti - involution" policy drives some commodity prices to strengthen, increasing the volatility of Treasury bond futures prices in the short term [2][3] Summary by Relevant Catalogs Futures Market - **Prices and Changes**: On the previous trading day, for TS2509, the closing price was 102.434, down 0.006 (-0.01%); for TS2512, it was 102.498, down 0.004 (0.00%); for TF2509, 105.990, down 0.055 (-0.05%); for TF2512, 106.050, down 0.065 (-0.06%); for T2509, 108.790, down 0.095 (-0.09%); for T2512, 108.860, down 0.080 (-0.07%); for TL2509, 120.46, down 0.270 (-0.22%); for TL2512, 120.3, down 0.260 (-0.22%) [2] - **Open Interest and Volume**: Open interest for TS2509 was 113080 (down 174), TS2512 was 8999 (down 110), TF2509 was 157810 (up 943), TF2512 was 37446 (up 721), T2509 was 192316 (down 630), T2512 was 37438 (up 270), TL2509 was 115390 (down 1221), TL2512 was 32595 (up 128). Trading volumes were 22678 for TS2509, 1786 for TS2512, 44183 for TF2509, 2983 for TF2512, 51738 for T2509, 5384 for T2512, 72268 for TL2509, and 5564 for TL2512 [2] - **Spread**: The inter - delivery spread for TS was -0.064 (previous value -0.062), TF was -0.060 (previous value -0.070), T was -0.070 (previous value -0.055), and TL was 0.160 (previous value 0.170) [2] - **IRR**: The IRR of active CTD bonds for each contract was between 1.3735% - 1.8005%, indicating no arbitrage opportunities [2] Spot Market - **Domestic Treasury Yields**: Yields of key - term domestic Treasury bonds showed mixed movements. The 10Y Treasury bond yield rose 0.75bp to 1.67%, and the 10 - 2Y yield spread was 26.02bp [2] - **Overseas Treasury Yields**: US 10Y Treasury bond yields fell 3bp, German 10Y yields rose 1bp, and Japanese 10Y yields fell 1.4bp [2] Macro News - **Central Bank Operations**: On July 18, the central bank conducted 1875 billion yuan of 7 - day reverse repurchase operations at a rate of 1.4%, with a net injection of 1028 billion yuan. This week, 17268 billion yuan of reverse repurchases will mature, along with 2000 billion yuan of MLF and 1200 billion yuan of treasury cash fixed - term deposits [3] - **LPR**: The latest LPR will be announced on July 21, and it is widely expected to remain unchanged [3] - **Trade and Policy**: The Ministry of Commerce responded to US and Canadian trade - related measures, emphasizing cooperation and safeguarding Chinese enterprises' rights [3] - **Hydropower Project**: The construction of the Yarlung Zangbo River downstream hydropower project started, with a total investment of about 1.2 trillion yuan [3] - **Fed**: Fed Governor Waller called for a rate cut in July, and Trump urged the Fed to cut rates. The US July Michigan Consumer Confidence Index reached a five - month high, and the 5 - year inflation expectation hit a five - month low [3] Industry Information - **Money Market Rates**: On July 18, most money market interest rates showed mixed movements, with some rising and some falling [3] - **US Treasury Yields**: US Treasury yields declined across the board, mainly due to Waller's dovish remarks and the decline in inflation expectations [3] Comment and Strategy - The central bank's supportive monetary policy supports Treasury bond futures prices, but the "anti - involution" policy boosts commodity prices, increasing the short - term volatility of Treasury bond futures prices [3]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The short - term view of TL2509 is oscillatory, the medium - term view is oscillatory, and the intraday view is weakly oscillatory, with an overall oscillatory view. The core logic is that the monetary policy environment is loose, but the possibility of short - term interest rate cuts is low [1]. - For the main varieties (TL, T, TF, TS) in the financial futures stock index sector, the intraday view is weakly oscillatory, the medium - term view is oscillatory, and the reference view is oscillatory. Currently, the upward and downward momentum of Treasury bond futures is limited, in an oscillatory stage. With the central bank's net injection of liquidity and market interest rates close to policy rates, the upside of interest rates is limited. There is an expectation of interest rate cuts in the second half of the year, but the short - term possibility is low, so the downside of interest rates is also limited. In the short term, Treasury bond futures will mainly be in an oscillatory arrangement [5]. Group 3: Summaries According to Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - The time - cycle definition is that short - term is within one week, and medium - term is from two weeks to one month. For TL2509, short - term: oscillatory; medium - term: oscillatory; intraday: weakly oscillatory; overall view: oscillatory. The core logic is a loose monetary policy environment with a low short - term possibility of interest rate cuts [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For varieties TL, T, TF, TS, the intraday view is weakly oscillatory, the medium - term view is oscillatory, and the reference view is oscillatory. Last Friday, Treasury bond futures continued to oscillate. The upward and downward momentum of Treasury bond futures is limited. The central bank's net injection of liquidity and market interest rates close to policy rates limit the upside of interest rates. There is an expectation of interest rate cuts in the second half of the year, but the short - term possibility is low, limiting the downside of interest rates. Short - term Treasury bond futures will mainly oscillate [5].