Group 1 - The benchmark government bond ETF (511100) has increased by 0.18% as of July 31, 2025, with a latest price of 109.35 yuan, and has accumulated a rise of 5.06% over the past year as of July 30, 2025 [1][2] - The average daily trading volume of the benchmark government bond ETF was 1.645 billion yuan over the past week, with a net inflow of 22.9268 million yuan recently [1][2] - Since its inception, the benchmark government bond ETF has recorded a maximum monthly return of 2.67%, a longest consecutive monthly gain of 9 months, and a longest cumulative gain of 6.94%, with a historical one-year holding profit probability of 100% [1] Group 2 - The benchmark government bond ETF tracks the Shanghai Stock Exchange's benchmark market-making government bond index, selecting approximately two recently listed bonds from various maturities, currently comprising 21 bonds [2] - According to Zhongyou Securities, after previous adjustments in the bond market, the configuration is gradually returning, and the market structure is becoming more balanced, with government bond supply expected to slow down significantly from August [2] - The current market sentiment is more influenced by volatility than by fundamental shocks, and the odds of long-term interest rates declining are gradually improving [2]

Report Information - Report Title: Treasury Bond Futures Daily Report 2025/7/29 [1] - Data Source: Third - party - Researcher: Liao Hongbin - Futures Practitioner Qualification Number: F30825507 - Futures Investment Consulting Practitioner Certificate Number: Z0020723 Report Industry Investment Rating - Not provided in the report Core View - On Tuesday, Treasury bond spot yields weakened collectively, and Treasury bond futures closed down. The central bank continued net injections, and the weighted average DR007 rate fell to around 1.56%. Domestically, the decline in industrial enterprise profits narrowed in June, but weak PPI remained a drag. Industrial growth rose slightly, fixed - asset investment and social retail sales declined slightly, and the unemployment rate remained stable. Socially - financed growth exceeded expectations, credit demand improved marginally, and deposit activation increased. Overseas, the US July S&P Global Composite PMI rebounded unexpectedly, the labor market was stable, and global trade tensions eased. Affected by policy themes, risk appetite increased, and the bond market was under pressure. If relevant policies are further introduced, the bond market may continue to face pressure in the short - term, and interest - rate bonds may be adjusted. It is recommended to observe the adjustment of Treasury bond futures in the short - term and allocate after stabilization [2] Summary by Relevant Catalogs 1. Futures Disk - **Closing Prices**: T, TF, TS, and TL main contract closing prices decreased by 0.25%, 0.17%, 0.06%, and 0.78% respectively [2] - **Trading Volumes**: T and TL main contract trading volumes increased by 94 and 5157 respectively, while TF and TS main contract trading volumes decreased by 1398 and 677 respectively [2] 2. Futures Spreads - TL2512 - 2509, T2512 - 2509, and TS2512 - 2509 spreads decreased by 0.09, 0.02, and 0.01 respectively; T09 - TL09, TF09 - T09, TS09 - T09, and TS09 - TF09 spreads increased by 0.64, 0.09, 0.21, and 0.12 respectively [2] 3. Futures Positions - **Main Contract Positions**: T and TS main contract positions decreased by 625 and 2929 respectively, while TF main contract positions decreased by 32, and TL main contract positions increased by 488 [2] - **Top 20 Long and Short Positions**: T top 20 long positions decreased by 379, and short positions increased by 1659; TF top 20 long positions increased by 1156, and short positions increased by 309; TS top 20 long positions increased by 149, and short positions decreased by 2562; TL top 20 long and short positions increased by 3633 and 3786 respectively [2] 4. CTD (Cheapest to Deliver) - The net prices of various CTD bonds, such as 220010.IB, 250007.IB, etc., all decreased [2] 5. Active Treasury Bonds - Yields of active Treasury bonds with maturities of 1y, 3y, 5y, 7y, and 10y decreased by 1.75bp, 2.05bp, 2.50bp, 2.25bp, and 1.75bp respectively [2] 6. Short - term Interest Rates - Silver - pledged overnight, 7 - day, Shibor overnight, and 7 - day interest rates all decreased [2] 7. Industry News - The national child - rearing subsidy system implementation plan was announced on July 28. From January 1, 2025, a subsidy of 3600 yuan per child per year will be provided for children under 3 years old [2] - In June, the profits of industrial enterprises above designated size decreased by 4.3% year - on - year, with a narrowing decline compared to May. The profits of new - kinetic - energy industries represented by the equipment industry grew rapidly. From January to June, the total profits of industrial enterprises above designated size were 3436.5 billion yuan, a year - on - year decrease of 1.8%. The profits of the ferrous metal smelting and rolling processing industry increased 13.7 times year - on - year, and the profits of the mining industry decreased by 30.3% year - on - year [2] 8. Key Data to Focus On - July 29, 22:00, US July Conference Board Consumer Confidence Index - July 30, 20:15, US July ADP Employment (in ten thousand people) [3]

Market Overview - The bond futures market experienced a decline across the board, with the 30-year main contract falling by 0.78% to 117.870 yuan, and the 10-year main contract down by 0.25% to 108.130 yuan [1] - The yields on medium to long-term government bonds rose significantly, with the 10-year government bond yield increasing by 3 basis points to 1.745%, and the 30-year government bond yield rising by 3.7 basis points to 1.96% [1][2] Economic Sentiment - Market concerns are heightened regarding the potential introduction of anti-involution policies and measures to stabilize the real estate sector, coinciding with a rebound in the equity market [2] - Despite a decrease in interbank funding prices, non-bank funding remains high, with the average R001 rate at 1.65% [2] Central Bank Operations - The central bank conducted a 7-day reverse repurchase operation amounting to 4,492 billion yuan at a fixed rate of 1.40%, with a net injection of 2,344 billion yuan for the day [2] - Short-term Shibor rates mostly declined, with the overnight rate down by 10.1 basis points to 1.366% [2][3] Bond Auction Results - Recent bond auctions showed varying results, with the 2-year bonds yielding 1.598% and 1.7045% for different issuances, indicating strong demand with bid-to-cover ratios of 5.2 and 3.16 respectively [5] - The non-financial corporate bond market saw significant declines in certain bonds, with H0 Zhongjun 02 dropping by 78.16% [6] Credit Market Trends - The credit market displayed mixed performance, with some non-financial corporate bonds experiencing notable gains, while others faced substantial losses [6][7] - AAA-rated certificates of deposit showed demand at rates between 1.55% and 1.68%, reflecting a slight increase from the previous day [7]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The foundation of economic recovery needs to be consolidated, and domestic demand restoration still requires policy support. Attention should be paid to the policy signals released by the Politburo meeting in July [1]. - The property market shows a weak performance, and the supply - demand sides are both weak. In the second half of the year, more active property - easing policies may be needed to release the demand for improved housing [2][3]. - The commodity futures market is generally rising, with black - series, new - energy materials, and building materials leading the gains. The "anti - involution" policy strengthens the supply - side contraction expectation and drives the industry valuation repair [7][106]. 3. Summary by Relevant Catalogs 3.1 Demand: New home sales increase month - on - month, and automobile consumption shows marginal improvement - New home sales: The transaction area of 20 - city commercial housing increased by 22% month - on - month and decreased by 7% year - on - year as of the week ending July 25. Second and third - tier cities had larger increases in new home sales, while first - tier cities decreased by 7% [13]. - Second - hand home sales: Among the monitored key cities, Beijing and Shanghai's second - hand home transaction areas increased by 4% and 3% month - on - month respectively, while Shenzhen and Hangzhou decreased by 13% and 15% [33]. - Automobile consumption: The average daily retail sales of passenger cars increased by 22.4% month - on - month and 14.3% year - on - year as of the week ending July 25. The national movie box office increased by 39.0% month - on - month, but was weaker than the same period last year. The national migration scale index decreased by 2.2% month - on - month [42]. 3.2 Production: Industrial production runs smoothly, and infrastructure construction starts remain strong - Mid - and upstream: As of the week ending July 25, the Tangshan blast furnace operating rate remained at 80.4%, the rebar operating rate rose by 1.0 pct to 43.9%, the PTA operating rate remained at 80.8%, the polyester filament operating rate in Jiangsu and Zhejiang decreased by 0.8 pct to 92.1%, and the petroleum asphalt plant operating rate decreased by 4.0 pct to 28.8% [49]. - Downstream: The operating rates of automobile all - steel tires and semi - steel tires decreased month - on - month, but the semi - steel tire operating rate was still at a seasonal high [49]. 3.3 Investment: Apparent consumption of rebar improves, and rebar prices continue to rise - Rebar: As of the week ending July 25, the apparent consumption of rebar increased by 5.0% month - on - month to 217 tons, and the rebar price increased by 4.3% month - on - month to 3433.2 yuan/ton [64]. - Cement: As of the week ending July 25, the cement price decreased by 1.9% month - on - month to 105.9 points. As of the week ending July 18, the cement shipping rate increased by 0.8 pct to 40.9%, and the cement inventory ratio increased by 0.8 pct to 62.3% [64]. 3.4 Trade: Port throughput increases, and export container shipping prices decline - Export: As of the week ending July 25, port container throughput increased by 2.6% month - on - month, higher than the same period last year. The CCFI composite index decreased by 3.2% month - on - month. The BDI index continued to rise, increasing by 10.9% month - on - month [73]. - Import: The CICFI composite index decreased by 0.5% month - on - month [6]. 3.5 Prices: Agricultural product prices decline, and black - series products lead the gains - CPI: The agricultural product wholesale price 200 index decreased by 0.2% month - on - month as of the week ending July 25. Pork, egg, and vegetable prices increased, while fruit prices decreased [7]. - PPI: The Nanhua industrial product price index increased by 4.2% month - on - month. Brent crude oil spot price decreased by 1.1% month - on - month, COMEX gold futures price increased by 1.3% month - on - month, and LME copper spot price increased by 2.4% month - on - month [7]. - Commodity futures: Polysilicon futures settlement price increased by 17.5%, industrial silicon futures settlement price increased by 9.0%, coking coal futures settlement price increased by 28.9%, coke futures settlement price increased by 13.8%, glass futures settlement price increased by 21.1%, and PVC futures settlement price increased by 6.5% [106]. 3.6 Interest - rate Bond Tracking: The cumulative issuance progress of replacement bonds this year exceeds 94% - Next week (July 28 - August 1): The planned issuance of interest - rate bonds is 5532 billion yuan, with a net financing of 4345 billion yuan. Among them, treasury bonds are planned to issue 1800 billion yuan with a net financing of 1600 billion yuan, local bonds 3372 billion yuan with a net financing of 2431 billion yuan, and policy - bank bonds 360 billion yuan with a net financing of 315 billion yuan [110]. - Issuance progress: As of July 25, the cumulative issuance progress of replacement bonds was 94.1%, that of new general bonds was 64.7%, and that of new special bonds was 59.0%. The cumulative net issuance progress of treasury bonds was 57.7%, and that of policy - bank bonds was 68.6% [8][114][116]. 3.7 Policy Weekly Observation - On July 21, the "Housing Rental Regulations" was announced to regulate the housing rental market [118]. - On July 23, a subsidy project for elderly care services for moderately and severely disabled elderly was launched [119]. - On July 23, the tax policy for goods in Hainan Free Trade Port at the time of full - island customs closure was released [120]. - On July 25, it was reported that the national general public budget expenditure in the first half of 2025 was 141271 billion yuan, a year - on - year increase of 3.4% [121]. - On July 22, Chengdu planned to cancel housing sales restrictions in batches and increase housing provident fund loan support [123]. - On July 24, Zhongshan introduced measures to promote the high - quality development of the real - estate market [124].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On July 24, Treasury bond spot yields weakened collectively, with 1 - 7Y maturity yields rising by about 2.75 - 3.60bp, and 10Y and 30Y yields rising by about 3.15bp to 1.74% and 1.95% respectively. Treasury bond futures closed down collectively, with the TS, TF, T, and TL main contracts falling by 0.07%, 0.21%, 0.29%, and 0.91% respectively. The central bank continued net withdrawals, and affected by the capital gap, the weighted average rate of DR007 climbed to around 1.57% [2]. - Domestically, in June, industrial added - value increased slightly, fixed - asset investment and social retail sales decreased slightly, and the unemployment rate remained low. In terms of financial data, social financing increased more than expected, credit demand improved marginally, and the degree of deposit activation increased. Overseas, the US and Japan reached a trade agreement, easing global trade tensions. Recently, Fed officials' statements showed increased internal divergence on the impact of tariffs on the inflation path, but the policy tone remained cautiously watchful, and there was no consensus on interest - rate cuts, reducing the possibility of a short - term rate cut [2]. - Catalyzed by policy themes such as "anti - involution" and Yajiang water conservancy construction, the equity market continued to strengthen, and the bond market continued to adjust. The long - end performance was significantly weaker than the short - end. If more detailed rules related to "anti - involution" are introduced, it will continue to pressure the bond market in the short term. Affected by the weak economic recovery and loose liquidity, the adjustment space of long - term bonds may be limited, and interest - rate bonds are likely to continue the pattern of oscillating weakness. Attention should be paid to the sustainability of the strong performance of risk assets. Operationally, it is recommended to observe the adjustment of Treasury bond futures in the short term and choose the opportunity to allocate after stabilization [2]. 3. Summary by Related Catalogs 3.1 Futures Market 3.1.1 Futures Prices and Volumes - T main contract closed at 108.220, down 0.29%, with a trading volume of 90,744 contracts, a decrease of 675 contracts [2]. - TF main contract closed at 105.585, down 0.21%, with a trading volume of 88,969 contracts, a decrease of 666 contracts [2]. - TS main contract closed at 102.304, down 0.07%, with a trading volume of 55,229 contracts, a decrease of 417 contracts [2]. - TL main contract closed at 118.250, down 0.92%, with a trading volume of 152,329 contracts, a decrease of 275 contracts [2]. 3.1.2 Futures Spreads - TL2512 - 2509 spread was - 0.20, down 0.03; T09 - TL09 spread was - 10.03, up 0.72 [2]. - T2512 - 2509 spread was 0.03, down 0.05; TF09 - T09 spread was - 2.64, up 0.09 [2]. - TF2512 - 2509 spread was 0.08, unchanged; TS09 - T09 spread was - 5.92, up 0.22 [2]. - TS2512 - 2509 spread was 0.09, up 0.01; TS09 - TF09 spread was - 3.28, up 0.13 [2]. 3.1.3 Futures Positions - T main contract open interest was 196,329 contracts, an increase of 2,431 contracts. The top 20 long positions were 201,483 contracts, an increase of 3,049 contracts; the top 20 short positions were 194,743 contracts, an increase of 1,102 contracts; the net short position of the top 20 was - 6,740 contracts, a decrease of 1,947 contracts [2]. - TF main contract open interest was 159,796 contracts, an increase of 1,940 contracts. The top 20 long positions were 165,141 contracts, an increase of 4,183 contracts; the top 20 short positions were 176,706 contracts, an increase of 1,546 contracts; the net short position of the top 20 was 11,565 contracts, a decrease of 2,637 contracts [2]. - TS main contract open interest was 106,090 contracts, a decrease of 974 contracts. The top 20 long positions were 80,831 contracts, an increase of 926 contracts; the top 20 short positions were 90,943 contracts, a decrease of 2,360 contracts; the net short position of the top 20 was 10,112 contracts, a decrease of 3,286 contracts [2]. - TL main contract open interest was 122,606 contracts, an increase of 2,694 contracts. The top 20 long positions were 126,655 contracts, an increase of 3,656 contracts; the top 20 short positions were 126,589 contracts, an increase of 2,682 contracts; the net short position of the top 20 was - 66 contracts, an increase of 974 contracts [2]. 3.2 Bond Market 3.2.1 CTD Bonds - The net prices of CTD bonds such as 220010.IB (6y), 250007.IB (6y), 240020.IB (4y) all declined [2]. 3.2.2 Active Treasury Bonds - Yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year active Treasury bonds all increased, with increases of 1.50bp, 1.85bp, 2.25bp, 1.15bp, and 1.40bp respectively [2]. 3.3 Interest Rates 3.3.1 Short - term Interest Rates - Overnight silver - pledged repo rate was 1.5412%, up 15.12bp; Shibor overnight was 1.6350%, up 26.80bp [2]. - 7 - day silver - pledged repo rate was 1.5800%, down 2.00bp; Shibor 7 - day was 1.5450%, up 8.20bp [2]. - 14 - day silver - pledged repo rate was 1.6500%, up 5.00bp; Shibor 14 - day was 1.6150%, up 8.80bp [2]. 3.3.2 LPR Rates - The 1 - year LPR was 3.00%, unchanged; the 5 - year LPR was 3.5%, unchanged [2]. 3.4 Open Market Operations - The issuance scale of reverse repurchase was 331 billion yuan, and the maturity scale was 450.5 billion yuan, with a net withdrawal of 119.5 billion yuan at an interest rate of 1.4% for 7 days [2]. 3.5 Industry News - Chinese Vice - Premier He Lifeng will go to Switzerland from July 27th to 30th for economic and trade talks with the US [2]. - The National Development and Reform Commission and the State Administration for Market Regulation solicited public opinions on the draft amendment to the Price Law, further clarifying the criteria for identifying improper price behavior [2]. - Hainan Free Trade Port will start the full - island customs closure operation on December 18th this year, and the proportion of "zero - tariff" commodity tariff items for "first - line" imports will increase from 21% to 74% [2]. 3.6 Key Data to Watch - At 20:15 on July 24th, the European Central Bank will announce its interest - rate decision [3]. - At 20:30 on July 24th, the number of initial jobless claims in the US for the week ending July 19th will be released [3].

Group 1: Report Industry Investment Rating - No specific industry investment rating is mentioned in the report. Group 2: Core Viewpoints of the Report - Rural commercial banks (RCCs) have become important participants in the bond market, preferring to invest in inter - bank certificates of deposit, government bonds, local bonds, policy - financial bonds, and participating in urban investment bond investments. In 2024, RCCs significantly increased their allocation of ultra - long - term government bonds, and their bond investment is shifting from "hold - to - maturity" to trading [1]. - In the medium - to - long - term, the proportion of commercial banks' bond investment is likely to increase. As the era of real estate wanes and infrastructure investment space shrinks, credit demand may be weak in the long run, and the asset structure of the banking system will change accordingly [1]. - The bond - holding scale of rural financial institutions is estimated to exceed 13 trillion yuan. If the bond investment ratio is controlled within 20% or 15%, it may lead to significant bond investment reduction and impact the bond market [1]. - Interest - rate bonds are expected to show narrow - range fluctuations in 25Q3. The report continues to be bullish on long - duration urban investment bonds, capital bonds, and suggests paying attention to investment opportunities in Hong Kong - listed banks and China Property Insurance's capital - supplementary bonds [1]. Group 3: Summary by Related Information Rural Commercial Banks' Bond Investment Preferences - RCCs tend to invest in inter - bank certificates of deposit, government bonds, local bonds, policy - financial bonds, and participate in urban investment bond investments. In 2024, they significantly increased their allocation of ultra - long - term government bonds [1]. Trend of Commercial Banks' Bond Investment Proportion - From the overall situation of small and medium - sized banks, the proportion of bond investment increased from 13.7% at the end of January 2015 to 22.7% at the end of May 2025 [1]. Estimation of Rural Financial Institutions' Bond - Holding Scale - As of the end of May 2025, small and medium - sized banks (joint - stock banks, city commercial banks, and RCCs) held a total of 46.4 trillion yuan in bonds, accounting for 22.7% of total assets. As of the end of March 2025, if the bond investment ratio of rural financial institutions is the same as that of small and medium - sized banks, their bond - holding scale reaches 13.6 trillion yuan. If calculated based on the 27.8% bond investment ratio of A - share listed RCCs at the end of 2024, the bond - holding scale of rural financial institutions reaches 16.6 trillion yuan [1]. Potential Impact of Regulatory Policies - If the bond investment ratio of rural financial institutions is controlled within 20%, at least 1.6 trillion yuan of bond investment needs to be reduced; if controlled below 15%, the reduction scale exceeds 4.6 trillion yuan, which may significantly impact the bond market [1]. Bond Market Outlook and Investment Suggestions - In 25Q3, the possibility of an interest - rate cut is low, and interest - rate bonds are expected to show narrow - range fluctuations. The report recommends band - trading interest - rate bonds and paying attention to the money supply. It continues to be bullish on long - duration urban investment bonds, capital bonds, and insurance sub - debt, and suggests paying attention to investment opportunities in Hong Kong - listed banks and China Property Insurance's capital - supplementary bonds [1].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The real - estate market shows weak supply and demand, and more aggressive easing policies may be needed in the second half of the year. The strength of policy implementation will significantly affect the real - estate market and investment. Industrial production runs smoothly, and infrastructure construction starts strongly. There are fluctuations in consumption, investment, trade, and prices, and the issuance progress of interest - rate bonds is relatively fast. [1][2][3][4][5][6] 3. Summary by Related Catalogs 3.1 Demand - New home sales declined both month - on - month and year - on - year, with significant drops in first - and second - tier cities. The real - estate market's supply and demand are weak, and more aggressive easing policies are needed to release the demand for improved housing. If policy strength exceeds expectations, the decline in real - estate sales and investment may slow down; otherwise, the market may remain at a low level. Second - hand home sales also decreased month - on - month. Automobile consumption declined marginally, while the national migration scale index increased, and the subway passenger volume in first - tier cities decreased. [11][41] 3.2 Production - In the mid - and upstream sectors, the blast furnace operating rate in Tangshan decreased, while the PTA operating rate increased. In the downstream sectors, the operating rates of automobile all - steel and semi - steel tires improved, and the semi - steel tire operating rate remained at a seasonal high. The infrastructure construction start - up showed marginal improvement. [48] 3.3 Investment - The apparent consumption of rebar decreased, but its price increased. The price of cement decreased, and the cement shipment rate and inventory ratio also declined. [64] 3.4 Trade - In terms of exports, port container throughput decreased, and the overall container shipping price declined, with the European route rising and the US West and East routes falling. The BDI index increased. In terms of imports, the container shipping price continued to decline. [75] 3.5 Prices - Agricultural product prices showed a marginal improvement, with pork and vegetable prices rising and egg and fruit prices falling. International crude oil prices generally increased, while the price of gold slightly declined. [86][96] 3.6 Interest - rate Bond Tracking - Next week (July 14 - 18), the planned issuance of interest - rate bonds is 500.2 billion yuan, with a net financing of - 10.6 billion yuan. As of July 11, the cumulative issuance progress of replacement bonds exceeded 90%, and the issuance progress of new general bonds and new special bonds was 58.3% and 50.6% respectively. [106][109][112] 3.7 Policy Weekly Observation - The central bank increased its gold reserves for the 8th consecutive month in June. The State Council issued a notice to support stable employment. The Shanghai Composite Index broke through 3500 points. Trump announced a 50% tariff on copper starting from August 1. The Ministry of Finance adjusted the assessment of state - owned commercial insurance companies. Some cities adjusted housing - related policies, including housing provident fund policies and housing consumption supply optimization. [118][119][120][121][122][123]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the second half of 2025, the monetary policy will remain "moderately loose," with 1 - 2 times of RRR cuts and interest rate cuts possible, likely in September - October. The policy will focus on raising price levels, boosting domestic demand, strengthening cooperation with fiscal policy, and intensifying the use of structural tools such as relending. There is also a possibility of restarting treasury bond trading [4][32]. - The issuance of interest - rate bonds in the second half of the year may exceed 14 trillion yuan. The supply pressure will be high in the third quarter, and there may be an additional issuance of government bonds in the fourth quarter. The core trading range of the 10 - year treasury bond yield is expected to be 1.4% - 1.7% [4][36]. 3. Summary According to the Table of Contents 3.1 Monetary Policy and Liquidity Monitoring - **Implementation of a Package of Monetary Policy Measures with a Continuously "Moderately Loose" Tone**: The monetary policy framework has been continuously adjusted, with the policy - rate attribute of MLF fading out. The 7 - day reverse repurchase rate has become the core policy rate. The policy tone remains "moderately loose," with RRR cuts and interest rate cuts implemented again, and structural tools continuously exerting their effects. Open - market operations have been marginally relaxed, and more attention has been paid to asset prices [6][7][9]. - **Quarterly Decline in the Central Level of Capital Interest Rates**: In the first quarter, due to the central bank's emphasis on preventing capital idling, the capital market was relatively tight. In the second quarter, after the implementation of RRR cuts and interest rate cuts and the marginal easing of the central bank's attitude, the capital interest rates declined. The spread between DR007 and R007 remained at a low level [13]. 3.2 Operating Characteristics of the Interest - Rate Bond Market - **Year - on - Year Increase in the Issuance of All Types of Interest - Rate Bonds**: In the first half of 2025, the issuance scale of interest - rate bonds reached 16.88 trillion yuan, a year - on - year increase of 37.8%. The issuance of treasury bonds, local government bonds, and policy - bank bonds all increased. Special treasury bonds worth over 1 trillion yuan were issued [16]. - **Downward Trend in the Central Level of Interest - Rate Bond Yields**: The yields of interest - rate bonds generally showed a trend of rising first and then falling, with the central level declining quarterly. The operation of the 10 - year treasury bond yield can be divided into three rounds, with different influencing factors in each round [21][22]. - **Widening but Still Low Term Spread and Narrowing Local Bond Spread**: In the second quarter, the 10Y - 1Y spread widened marginally but remained at a historically low level. The local bond spread narrowed, which may be related to the previous decline in treasury bond yields and increased trading and allocation of local bonds by some institutions [28]. 3.3 Outlook for the Second Half of the Year - **Possible RRR Cuts and Interest Rate Cuts and Strengthened Use of Structural Tools**: Due to the uncertainty of external and domestic demand increasing the pressure on economic recovery, the monetary policy will remain "moderately loose" in the second half of the year, with 1 - 2 times of RRR cuts and interest rate cuts possible. The policy will focus on raising price levels, boosting domestic demand, strengthening cooperation with fiscal policy, and intensifying the use of structural tools [32]. - **Issuance of Interest - Rate Bonds May Exceed 14 Trillion Yuan and Declining Yield Central Level**: In the second half of the year, the issuance of interest - rate bonds may exceed 14 trillion yuan, with high supply pressure in the third quarter and a possible additional issuance of government bonds in the fourth quarter. The central level of yields will continue to decline, and the core trading range of the 10 - year treasury bond yield is expected to be 1.4% - 1.7% [36][39].

Core Viewpoint - The bond ETF for 5 to 10 years has shown a mixed performance with a recent price of 117.49 yuan and a year-to-date increase of 5.34% as of July 10, 2025 [3] Group 1: Performance Metrics - The bond ETF has a recent trading volume of 631.07 million yuan with a turnover rate of 0.42% [3] - The fund's total size has reached 1.496 billion yuan [3] - Over the past five years, the net value of the bond ETF has increased by 21.89% [3] - The highest monthly return since inception was 2.58%, with the longest consecutive monthly gain being 10 months and a maximum increase of 5.81% [3] - The annual profit percentage stands at 100.00%, with a monthly profit probability of 72.69% [3] - The Sharpe ratio over the last two years is 1.28 [4] Group 2: Risk and Drawdown - The maximum drawdown for the bond ETF this year is 2.15%, compared to a benchmark drawdown of 0.59% [4] Group 3: Fees and Tracking Accuracy - The management fee for the bond ETF is 0.25%, and the custody fee is 0.05% [5] - The tracking error for the past month is 0.018%, closely following the index of active bonds with maturities of 5, 7, and 10 years [6] Group 4: Market Sentiment and Outlook - Recent market adjustments in the bond sector are attributed to rumors regarding real estate stimulus and investment constraints in rural commercial banks [6] - Institutions suggest that a new round of interest rate cuts of 10-20 basis points is needed to support the 10-year government bond yield [6] - The trading activity in the secondary market shows mixed results among different banking sectors, with significant movements in large banks and rural commercial banks [6] - The outlook remains cautiously optimistic for long-duration bonds and certain types of municipal and dollar bonds [6]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - The central bank's tolerance of the current 10Y Treasury yield means it's unlikely to significantly raise DR rates if the (ultra) long - end of the yield curve stays at current levels or declines slightly and slowly [3][14]. - Before the next OMO rate cut, the room for further decline in the DR007 and DR001 central rates is limited [1][2][11]. - The 1Y CD rate is currently slightly overvalued, and the central bank will consider its impact on bank net interest margins, loan issuance, yield curve long - end, and future Treasury trading when supplying medium - term base money [15]. 3. Summary by Section 7 - month Funding Situation - Since July, the money market interest rates have been falling. As of July 4, DR001 and DR007 have dropped to 1.31% and 1.42% respectively, but the room for further decline is limited before the next OMO rate cut [1][9]. - OMO reverse repurchase operations have "tool mode" and "non - tool mode". In the "non - tool mode", the DR007 central rate is slightly higher than the 7D OMO rate, and DR001 is slightly lower. Currently, the spreads between DR007, DR001 and 7D OMO are lower than the 2024 average, approaching the 1/4 quantile [2][11]. - In the "non - tool mode", DR007 is not an indication of monetary policy attitude and is unlikely to decline ahead of the 7D OMO rate. In 2024, the 7D OMO rate changed first, and then DR007 adjusted accordingly [2][11]. Treasury Yield Analysis - The 10Y Treasury yield has been stable around 1.65% recently, and the central bank tolerates its current trend [3][14]. - Since June, the decline of the 50Y Treasury yield has been greater than that of the 10Y variety. As of July 4, the spread between the 50Y and 10Y Treasuries has compressed by 11.1bp compared to the end of May. If the (ultra) long - term interest rate yields decline significantly or rapidly, OMO may switch from "non - tool mode" to "tool mode", and the DR007 central rate may rise significantly [4][14]. CD Rate Analysis - The 1Y CD rate is currently slightly overvalued. On July 4, the spread between the 1Y AAA - rated CD and 7D OMO was 19.3bp, lower than 83% of trading days in 2024 [15]. - The central bank will consider the impact of CD rates on bank net interest margins, loan issuance, yield curve long - end, and future Treasury trading when supplying medium - term base money [15].