Report Industry Investment Rating - No relevant information provided Core View of the Report - The prices of treasury bond futures fluctuated, with the T2509 contract down 0.01%. 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 were mixed, and the yields of key - term treasury bonds generally increased. Overseas, the yields of US, German, and Japanese treasury bonds also rose. The external environment became more complex, with increased global economic uncertainty due to the "reciprocal tariff" policy. The domestic market had insufficient effective demand, and the prices of treasury bond futures fluctuated more due to the enhanced expectation of real - estate stabilization policies [2][3] Summary by Relevant Catalogs Futures Market - **Price and Volume**: The prices of treasury bond futures on the previous trading day were mixed. For example, the T2509 contract fell 0.01%, and the trading volume and open interest of each contract changed. The open interest of TS2509 decreased by 418, while that of TS2512 increased by 231 [2] - **Arbitrage**: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2] Spot Market - **Domestic Treasury Bond Yields**: The yields of key - term domestic treasury bonds generally increased. The 10Y treasury bond yield rose 0.47bp to 1.66%, and the spread between long - and short - term (10 - 2) treasury bonds was 23.61bp [2] - **Overseas Treasury Bond Yields**: The yields of overseas key - term treasury bonds increased. The US 10Y treasury bond yield rose 8bp, the German 10Y treasury bond yield rose 6bp, and the Japanese 10Y treasury bond yield rose 0.9bp [2] Macro News - **Central Bank Operations**: On July 11, the central bank conducted 847 billion yuan of 7 - day reverse repurchase operations, with a net injection of 507 billion yuan. There will be 4257 billion yuan of reverse repurchases and 1000 billion yuan of MLF maturing this week [3] - **Diplomatic Meetings**: Chinese Foreign Minister Wang Yi met with US Secretary of State Rubio in Kuala Lumpur, and both sides agreed to strengthen communication and dialogue [3] - **Policy Regulations**: The Ministry of Finance required state - owned commercial insurance companies to improve asset - liability management and adjusted the assessment methods of some indicators [3] - **Economic Data**: In the second quarter, high - frequency data in multiple domestic fields improved. The offline consumption heat index increased by 25.5% year - on - year, and the online retail sales of major home appliances rose by 28.0% [3] - **International Trade**: US President Trump announced tariffs on products from Mexico, the EU, and Canada, increasing market concerns about inflation and trade tensions [3] - **Japanese Central Bank Action**: The Bank of Japan launched a "morning quote" for spot transactions, lending Japanese government bonds to support market liquidity [3] Industry Information - **Interest Rate Changes**: On July 11, most money - market interest rates in China increased. US Treasury yields rose across the board, driven by Trump's tariff announcements [3] Comments and Strategies - **Market Situation**: The central bank's open - market operations shifted from net withdrawal to net injection last week. Shibor remained low, and the domestic money market was relatively stable. Overseas, tariff announcements increased concerns about inflation and trade tensions. The domestic economy was generally expanding in June, but market demand was weak, and commodity prices were affected by policies [3] - **Market Outlook**: The external environment became more complex, with increased global economic uncertainty. The domestic market had insufficient effective demand, and the central bank maintained a supportive monetary policy. The "anti - involution" market trend continued, increasing the expectation of real - estate stabilization policies and causing greater fluctuations in treasury bond futures prices [3]

Report Overview - Report Date: July 14, 2025 [1] - Report Team: Research Center's Macro Team Global Asset Market Performance 10 - Year Treasury Yields of Major Economies - On July 11, 2025, yields varied widely: US (4.411%), UK (4.621%), etc [2]. - Latest changes ranged from 0.002% (Greece) to 0.060% (US). - One - week changes were between 0.044% (Switzerland) and 0.134% (France). - One - month changes spanned from 0.010% (US) to 0.190% (Germany). - One - year changes varied from - 0.412% (Italy) to 0.450% (UK). 2 - Year Treasury Yields of Major Economies - As of July 11, 2025, yields were as follows: US (3.860%), UK (3.851%), etc [2]. - Latest changes were from - 0.040% (US) to 0.025% (Australia). - One - week changes ranged from - 0.019% (South Korea) to 0.128% (Australia). - One - month changes were between - 0.083% (UK) and 0.140% (Australia). - One - year changes varied from - 1.352% (Italy) to 0.421% (Japan). Dollar Exchange Rates Against Major Emerging Economies' Currencies - On July 11, 2025, exchange rates were: Brazil (5.560), South Africa (17.942), etc [2]. - Latest changes were from 0.10% (Malaysian ringgit) to 1.10% (South African rand). - One - week changes ranged from 0.10% (Malaysian ringgit) to 2.56% (Brazilian real). - One - month changes were between - 0.02% (South African rand) and 2.56% (Brazilian real). - One - year changes varied from - 11.58% (Thai baht) to 0.12% (Brazilian real). Stock Indices of Major Economies - On July 11, 2025, indices included: S&P 500 (6259.750), Dow Jones (44371.510), etc [2]. - Latest changes were from - 0.94% (Spanish index) to 0.60% (Indian index). - One - week changes ranged from - 2.39% (Mexican index) to 3.98% (South Korean index). - One - month changes were between - 1.66% (Indian index) and 6.07% (Nasdaq). - One - year changes varied from - 4.91% (Malaysian index) to 32.01% (German DAX). Credit Bond Indices - Latest changes in credit bond indices were from - 0.49% (US investment - grade) to - 0.03% (Eurozone high - yield) [2][3] - One - week changes ranged from - 0.62% (US investment - grade) to 0.26% (Eurozone high - yield) - One - month changes were between 0.32% (Eurozone investment - grade) and 1.62% (emerging economies high - yield) - One - year changes varied from 5.51% (US investment - grade) to 14.46% (emerging economies high - yield) Stock Index Futures Trading Data Index Performance - Closing prices on July 11, 2025: A - share (3510.18), CSI 300 (4014.81), etc [4] - Percentage changes were from - 0.01% (SSE 50) to 0.80% (ChiNext) Valuation - PE (TTM) values: CSI 300 (13.31), SSE 50 (11.39), etc -环比变化 were from - 0.09% (S&P 500) to 0.21% (CSI 500) Risk Premium - 1/PE - 10 - year interest rate values: S&P 500 (- 0.65), German DAX (2.10) -环比变化 were from - 0.04% (S&P 500) to 0.02% (German DAX) Fund Flows - Latest values: A - shares (75.13), Main Board (- 50.13), etc - 5 - day average values were from - 178.82 (A - shares) to 48.76 (CSI 300) Trading Volume - Latest trading volumes: Shanghai and Shenzhen markets (17121.19), CSI 300 (4437.81), etc -环比变化 were from 184.64 (Small - and Medium - sized Board) to 959.44 (CSI 300) Main Contract Basis - Basis values: IF (- 21.41), IH (- 5.17), IC (- 4.08) - Basis percentages were from - 0.53% (IF) to - 0.07% (IC) Treasury Bond Futures Trading Data - Closing prices on July 11, 2025: T00 (108.830), TF00 (105.995), etc [5] - Percentage changes were from - 0.22% (T01) to - 0.15% (TF01) - Funding rates: R001 (1.4038%), R007 (1.5086%), SHIBOR - 3M (1.5570%) - Daily changes in basis points were from - 12.00 (R001) to 0.00 (SHIBOR - 3M)

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The Treasury bond futures significantly corrected this week. The "anti-involution" signal and the market's expectation of real estate updates created short-term bearish sentiment. The stock-bond seesaw effect continued to amplify, and the bond market was under full pressure. However, the current weak economic fundamentals remain unchanged, coupled with a balanced and loose capital situation. There is still room for policy easing under low inflation, and the long-term support logic of the bond market is difficult to be substantially broken in the short term. It is recommended to observe the adjustment of Treasury bond futures in the short term and allocate after confirming stability [94]. Summary by Relevant Catalogs 1. Market Review - **Performance of Treasury Bond Futures Contracts**: The main contracts of 30-year (TL2509), 10-year (T2509), 5-year (TF2509), and 2-year (TS2509) Treasury bond futures fell by 0.49%, 0.25%, 0.24%, and 0.09% respectively this week. The closing prices of the main contracts of each term are presented in corresponding charts [12][16][22]. - **Volume and Open Interest**: The trading volumes of the main contracts of TS, TF, T, and TL all increased. The open interests of the main contracts of TS and T decreased, while those of TF and TL increased [30]. 2. News Review and Analysis - **Domestic News**: "14th Five-Year Plan" achievements show that China's economic increment is expected to exceed 35 trillion yuan, and this year's economic aggregate is expected to reach about 1.4 quadrillion yuan. In June, CPI increased by 0.1% year-on-year, and PPI decreased by 3.6% year-on-year. The State Council issued a notice on further strengthening employment stabilization policies. In the first half of 2025, significant breakthroughs were made in prospecting for important minerals in China [33]. - **Overseas News**: US President Trump announced a 50% tariff on copper starting from August 1, 2025, and plans to impose tariffs ranging from 25% to 50% on 22 countries starting from August. The Fed's internal differences over the impact of tariffs on the inflation path have increased, but the policy tone remains cautiously wait-and-see [35][93]. 3. Chart Analysis - **Spread Changes**: The yield spreads between 10-year and 5-year, 10-year and 1-year Treasury bonds, as well as the spreads between the main contracts of 2-year and 5-year, 5-year and 10-year Treasury bond futures all narrowed slightly. The inter - term spreads of 10-year contracts narrowed slightly, while those of 30-year contracts widened slightly. The inter - term spreads of 2-year contracts narrowed slightly, and those of 5-year contracts fluctuated [43][47][53]. - **Treasury Bond Futures Main Position Changes**: The net short positions of the top 20 positions in the T Treasury bond futures main contract decreased significantly [64]. - **Interest Rate Changes**: Overnight and 1 - week Shibor rates increased, while 2 - week and 1 - month Shibor rates decreased. The weighted average rate of DR007 rebounded to around 1.47%. The yields of domestic Treasury bonds weakened, with the 1 - 7Y yields rising by about 3.2 - 4.0bp, and the 10Y and 30Y yields rising by about 1.9bp and 2.5bp to 1.66% and 1.87% respectively. The yield spreads between Chinese and US 10 - year and 30 - year Treasury bonds both narrowed slightly [68][72]. - **Open Market Operations**: The central bank conducted 425.7 billion yuan in reverse repurchases in the open market this week, with 652.2 billion yuan in reverse repurchases maturing, resulting in a net withdrawal of 226.5 billion yuan. The weighted average rate of DR007 rebounded to around 1.47% [75]. - **Bond Issuance and Maturity**: This week, bond issuance was 1.145151 trillion yuan, with a total repayment of 850.151 billion yuan and a net financing of 295 billion yuan [77]. - **Market Sentiment**: The central parity rate of the RMB against the US dollar was 7.1475, with a cumulative increase of 60 basis points this week. The spread between offshore and onshore RMB strengthened. The 10 - year US Treasury yield decreased slightly, the VIX index decreased significantly, the 10 - year Treasury yield in China increased slightly, and the A - share risk premium decreased [81][87][90]. 4. Market Outlook and Strategy - **Domestic Fundamentals**: In June, the price level continued to be under pressure. The CPI index improved marginally, turning from a year - on - year decrease to an increase. The PPI of industrial products remained in the negative range, falling into a deflationary range of negative growth for 7 consecutive months. The "anti - involution" signal and the issuance of fiscal subsidy funds in July may support subsequent prices and promote a moderate recovery of the inflation level [93]. - **Overseas Situation**: The US labor market continues to show resilience, and trade risks have resurfaced. The Fed's internal differences over the impact of tariffs on the inflation path have increased, but the policy tone remains cautiously wait - and - see, and there is no consensus on the expectation of interest rate cuts [93]. - **Investment Strategy**: Observe the adjustment of Treasury bond futures in the short term and allocate after confirming stability [94].

Market Overview - The three major A-share indices showed mixed performance in the morning session, with the Shanghai Composite Index rising by 0.36% to surpass 3500 points, while the Shenzhen Component Index increased by 0.02%, and the ChiNext Index fell by 0.3% [1] - The total market turnover for the half-day was 934.4 billion yuan, a decrease of 34.7 billion yuan compared to the previous day, with over 3100 stocks declining [1] Bond Market Insights - The 30-year government bond ETF, Boshi (511130), opened lower and fell by 24 basis points during the session, with a trading volume of nearly 2.5 billion yuan and a turnover rate exceeding 30%. The ETF has seen a net inflow of 274 million yuan over the past five days [1][2] - Huatai Futures indicated that the central bank's continuous net injection has maintained a loose market liquidity, leading to a widening yield spread, reflecting a certain expectation for short-term liquidity easing [2] - The 30-year government bond ETF, established in March 2024, is one of only two long-duration bond ETFs in the market, tracking the "Shanghai Stock Exchange 30-Year Government Bond Index" [2] Economic Indicators - The National Bureau of Statistics reported June inflation data, with the CPI rising by 0.1% year-on-year and the PPI declining by 3.6%, indicating weak overall performance that is unfavorable for endogenous growth in domestic demand [1] - Baocheng Futures noted that the current weak inflation performance and insufficient endogenous growth momentum in domestic demand, combined with external demand being susceptible to tariff impacts, suggest a need for a relatively loose monetary environment in the second half of the year to support demand and stabilize expectations [1]

| 7月09日 22:00 美国5月批发销售月率 | | | --- | --- | | 重点关注 | 7月10日 02:00 美联储公布货币政策会议纪要 20:30 美国至7月5日当周初请失业金人数 | | 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：T为10年期国债期货，TF为5年期国债期货，TS为2年期国债期货 | | | 研究员： | 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 | 免责声明 本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完 整性不做任何保证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是否 符合其特定状况。本报告版权仅为我公司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发布。 如引用、刊发，需注明出处为瑞达期货股份有限公司研究院，且不得对本报告进行有悖原意的引用、删节和修改。 端在期货 | 项目类别 | 数据指标 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | -- ...

2年期国债期货（TS）主力合约持平，5年期国债期货（TF）主力合约涨0.01%，10年期国债期货（T） 主力合约涨0.03%，30年期国债期货（TL）主力合约涨0.03%。 国债期货早盘开盘 ...

Report Summary 1) Report Industry Investment Rating No relevant information provided. 2) Core View of the Report - The overall view of Treasury bond futures is to continue the range - bound consolidation in the short - term, with a higher possibility of an upward trend in the medium - to - long - term. The short - term view is that TL2509 will be range - bound, and the intraday view is range - bound to the downside, while the medium - term view is range - bound. The main varieties (TL, T, TF, TS) have an intraday view of range - bound to the downside and a medium - term view of range - bound [1][5]. 3) Summary by Related Catalogs Variety View Reference - Financial Futures Stock Index Sector - For the variety TL2509, the short - term view is range - bound, the medium - term view is range - bound, the intraday view is range - bound to the downside, and the overall view is range - bound. The core logic is that the monetary policy environment is relatively loose, but the possibility of a short - term interest rate cut is low [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - Yesterday, Treasury bond futures slightly pulled back. Recently, the central bank has net withdrawn funds in the open market, and the risk appetite in the stock market has recovered, leading to a range - bound adjustment of Treasury bond futures. However, considering the anchoring effect of policy interest rates, the downside space of Treasury bond futures is limited. Currently, domestic inflation is weak, the endogenous growth momentum of domestic demand is insufficient, and external demand is vulnerable to tariff factors. A relatively loose monetary environment is still needed in the second half of the year to support demand and stabilize expectations, so the possibility of an upward trend in Treasury bond futures in the medium - to - long - term is high [5].

Report Summary 1. Report Industry Investment Rating The report does not mention the industry investment rating. 2. Core View of the Report The current fundamentals continue the weak recovery trend. After the cross - quarter, the easing of capital pressure kicks off the seasonal easing window, and the overall environment is favorable for the bond market. However, with the central bank's reserve requirement ratio cut and interest rate cut expectations not dispelled, the downward space for yields is limited. The bond market is expected to fluctuate strongly, and it is recommended to buy on dips [2]. 3. Summary by Relevant Catalogs 3.1 Futures Disk - T, TF, TS, and TL main contract closing prices decreased by 0.08%, 0.08%, 0.03%, and 0.22% respectively, while trading volumes increased by 845, 490, 434, and 2498 respectively [2]. 3.2 Futures Spreads - Different contract spreads show various changes, such as the TL2512 - 2509 spread decreased by 0.02, and the T2512 - 2509 spread increased by 0.00 [2]. 3.3 Futures Positions - The positions of T, TF, TS, and TL main contracts and the long - short positions of the top 20 show different changes, with the net short positions of most contracts decreasing [2]. 3.4 Top Two CTD (Clean Prices) - The clean prices of multiple CTD bonds decreased, such as the 220010.IB (6y) decreased by 0.1041 [2]. 3.5 Active Treasury Bonds - Yields of 1 - 7y active treasury bonds increased by 0.15 - 0.90bp, while the 10y yield decreased by 0.10bp [2]. 3.6 Short - term Interest Rates - The silver - pledged overnight interest rate decreased by 7.49bp, and the silver - pledged 7 - day interest rate increased by 2.00bp [2]. 3.7 LPR Interest Rates - The 1y and 5y LPR interest rates remained unchanged [2]. 3.8 Open Market Operations - The issuance scale was 690 billion, the maturity scale was 1310 billion, and the interest rate was 1.4% for 7 days [2]. 3.9 Industry News - The central bank is actively researching and promoting other measures for the opening - up of the bond market; the Chinese Ministry of Finance is willing to deepen BRICS financial cooperation; the US will impose tariffs on 14 countries and extend the tariff negotiation suspension period to August 1st [2]. 3.10 Key Data to Focus On - On July 9th at 22:00, the US May wholesale sales month - on - month rate; on July 10th at 02:00, the Fed will release the minutes of the monetary policy meeting, and at 20:30, the US initial jobless claims for the week ending July 5th [3].

Report Summary 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core View - The fundamentals continue the weak recovery trend. After the cross - quarter period, the capital pressure subsides, and the seasonal loosening window opens. The overall environment is bullish for the bond market. However, due to the unclear policy disturbances in the second half of the year, the downward space for yields is limited, and the bond market is expected to fluctuate strongly [2]. 3. Summary by Relevant Catalogs a. Futures Market - **Futures Prices and Volumes**: T, TF, TS, and TL主力合约收盘价分别为109.105、106.225、102.502、121.150，其中TF、TS、TL主力合约分别下跌0.02%、0.01%、0.04%，T主力合约持平；T、TF、TL主力成交量分别减少218、865、1354，TS主力成交量增加257 [2]. - **Futures Spreads**: Some spreads like TL2512 - 2509 increased by 0.02, while others such as T2512 - 2509 decreased by 0.02 [2]. - **Futures Positions**: T主力持仓量为216,298手，减少0.01%；TF主力持仓量为157,986手，增加81手；TS主力持仓量为115,517手，减少1,682手；TL主力持仓量为122,562手，减少16手。 The net short positions of T, TS, and TL decreased, while that of TF increased [2]. b. CTD and Active Bonds - **CTD Bonds**: The net prices of some CTD bonds like 220010.IB increased by 0.0337, while others such as 240020.IB decreased by 0.0414 [2]. - **Active Bonds**: The yields of 1 - 7Y active bonds decreased by 0.10 - 0.15bp, while the 10Y yield increased by 0.15bp [2]. c. Interest Rates - **Short - term Interest Rates**: The overnight silver - pledged repo rate increased by 2.25bp to 1.3225%, the 7 - day silver - pledged repo rate increased by 16.08bp to 1.4908%, and the 14 - day silver - pledged repo rate decreased by 2.00bp to 1.5000%. Shibor overnight decreased by 0.10bp to 1.3120%, Shibor 7 - day increased by 3.50bp to 1.4580%, and Shibor 14 - day decreased by 2.90bp to 1.4940% [2]. - **LPR Rates**: The 1 - year and 5 - year LPR rates remained unchanged at 3.00% and 3.5% respectively [2]. d. Market News - **Domestic News**: The Hong Kong "Stablecoin Ordinance" will come into effect in August. The Minister of Finance of China attended the 2025 BRICS Finance Ministers and Central Bank Governors Meeting and expressed China's willingness to deepen BRICS financial cooperation [2]. - **Overseas News**: US President Trump said that the US government will start sending letters to trading partners to set new unilateral tariff rates, which may range from 10% - 70%, and are likely to take effect on August 1 [2]. e. Key Data to Focus On - On July 07 at 17:00, the eurozone May retail sales month - on - month rate will be released. On July 08 at 20:30, US President Trump will start sending tariff letters to other countries [3].

Group 1: CTA Product Overview - In Q2 2025, 100 new CTA products were issued, indicating a continuous upward trend in issuance [5][10] - The median annualized return for the reported CTA products was 16.37%, with a median Sharpe Ratio of 1.60 and a median maximum drawdown of -4.28% [10][11] - The overall profitability ratio of CTA products in Q2 was 69.4% [10][11] Group 2: Stock Index Futures Analysis - Stock index futures experienced a trend decline in volatility during Q2, reaching near historical lows [2][40] - The market outlook suggests limited upward space for A-shares due to valuation pressures, with stock index futures expected to remain volatile in Q3 [2][40] - The average daily trading volume for major index futures contracts showed a decline compared to the previous quarter [12] Group 3: Government Bond Futures Outlook - The yield levels for medium to long-term government bonds are at historically low levels, limiting downward potential [3][51] - Economic weakness and insufficient demand are suppressing the upward movement of interest rates, leading to a forecast of a primarily oscillating market for government bond futures in Q3 [3][51] - The performance of government bond CTA strategies is expected to be negatively impacted by low volatility in the absence of extraordinary market events [3][51] Group 4: Commodity Market Insights - Commodity volatility is currently low, with significant price movements in precious metals and energy sectors during Q2, followed by a return to oscillation [4][65] - The overall lack of trading signals in the commodity market is attributed to ongoing deflation in China and slow interest rate cuts in the U.S., leading to a wait-and-see approach for CTA strategies [4][65] - The average return for commodity trend-following strategies was -1.5% in Q2, indicating underperformance across major commodities [64]