Group 1 - The core viewpoint of the article highlights the recent movements in German government bond yields, indicating a notable increase following a period of decline [1] - The 10-year German bond yield rose by 2.2 basis points to 2.748%, with a cumulative increase of 3.2 basis points for the week [1] - The 2-year German bond yield increased by 1.2 basis points to 2.023%, showing a weekly rise of 0.5 basis points and trading within a range of 1.988%-2.027% [1] - The 30-year German bond yield saw a rise of 2.7 basis points, reaching 3.337% [1] - The yield spread between the 2-year and 10-year German bonds increased by 1.030 basis points to +72.090 basis points, with a cumulative rise of 2.576 basis points for the week [1] - The rebound in yields followed the Federal Reserve's announcement of interest rate cuts on September 17 [1]

Report Overview - Report Title: Treasury Bond Derivatives Weekly Report - Report Date: September 19, 2025 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 Report Key Points Industry Investment Rating - Not provided Core Viewpoint - The Fed's 25 - basis - point rate cut and market expectations of more rate cuts have boosted Treasury bond futures prices, reflecting an increased expectation of loose policies. Traders expect the Fed to cut rates by nearly 50 basis points in the October and December meetings, which supports Treasury bond futures [3]. Section Summaries Factors Affecting Treasury Bonds - **Likely Positive Factors**: The Fed's 25 - basis - point rate cut and market expectations of more rate cuts drive up Treasury bond futures prices. The 10 - year Treasury bond yield dropped 1.56 basis points last week, indicating a rising price trend [3]. - **Likely Negative Factors**: The two - year US Treasury bond yield rose 4.44 basis points, reflecting short - term interest - rate pressure or yield - curve changes. The market's reaction is weaker than last year despite positive fundamentals, suggesting adverse external factors or sentiment [3]. Data Presentations - **Yield and Interest Rates**: Data on 2Y, 5Y, 10Y, 30Y, and 7Y Treasury bond yields, deposit - type institutional pledged - repo weighted rates, and reverse - repo rates are presented [4]. - **Term Spreads**: Information on the term spreads of 7Y - 2Y and 30Y - 7Y Treasury bonds is provided [4]. - **Positions and Trading Volumes**: Data on Treasury bond futures positions and trading volumes for 2 - year, 5 - year, 10 - year, and 30 - year contracts are shown [6][7]. - **Basis and Spread**: Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' current - quarter contracts, as well as the inter - quarter spreads of these contracts and cross - variety spreads, are presented [8][9][13][16][17][19]

Core Points - The 30-year Japanese government bond yield decreased by 3 basis points to 3.160% [1] Group 1 - The decline in the yield indicates a potential shift in investor sentiment towards long-term government bonds [1] - The current yield level may reflect broader economic conditions and monetary policy expectations in Japan [1] - This movement in bond yields could influence investment strategies and capital flows within the financial markets [1]

Group 1 - The 20-year Japanese government bond yield decreased by 0.5 basis points to 2.62% [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Since Q3 this year, the bond market has adjusted significantly, but the decline in the duration of public - offering bond funds is not obvious. It is expected that public - offering bond funds will maintain a moderately high duration level, with the 10 - year Treasury yield oscillating in the range of 1.7% - 1.8%. As the correlation between stocks and bonds weakens and fundamental pressure rises, the bond market environment in the fourth quarter is expected to be better than that in the third quarter [2][8] 3. Summary According to the Directory 3.1 Third - quarter Bond Market Adjustment with No Obvious Decline in Bond Fund Duration - In the third - quarter bond market adjustment, the decline in the duration of bond funds was not obvious. For example, in Q1, the 10 - year Treasury yield rose from about 1.6% in early February to nearly 1.9% in mid - March, and the median duration of the whole - market bond funds dropped from a high of 3 years to about 2.1 years. However, as of September 17, the median duration of public - offering bond funds remained at about 2.5 years, and the median duration of medium - and long - term interest - rate bond funds remained at about 3.1 years [5][14] 3.2 Four Reasons Why Bond Fund Duration is Difficult to Decrease - **Mild Adjustment and Multiple Repairs**: Compared with the Q1 adjustment, the Q3 bond market adjustment was relatively mild, with multiple repairs during the period and did not reach the short - term stop - loss lines of some funds. The adjustment range of the 10 - year Treasury active bond yield since Q3 was less than 20bps, and the adjustment lasted nearly a quarter. In contrast, in Q1, the 10 - year Treasury yield rose about 30bps in more than a month [8][17] - **Performance Assessment and Market Expectations**: The bond market has been volatile this year, especially the performance of bond funds focusing on the duration strategy was significantly weaker than last year. As the fourth quarter is a traditional window for bond market pre -emption and repair, from the perspective of achieving the annual performance assessment, bond funds may not significantly reduce their duration. As of September 14, the median yield of the whole - market bond funds this year was 1.21%, significantly lower than last year's 3.78% [8][26] - **Limited Strategy Options in a Low - interest - rate Environment**: The current bond market is in a low - interest - rate environment, with limited market strategy capacity and options. Public - offering funds have to extend the duration to obtain coupons. Institutions such as wealth management and bank self - operation also have a demand for long - duration bond allocations. As of August this year, the net financing proportion of long - term credit bonds rose to about 33%, a record high [8][33] - **Lack of Massive Redemption Pressure**: Institutions usually conduct continuous and large - scale redemptions of long - term bonds only when the bond market shows obvious "negative feedback" characteristics. A normal market adjustment of general amplitude may not trigger large - scale redemptions and re - allocation of redeemed assets. The current bond market is slowly oscillating and correcting, without triggering widespread market panic [8][34]

Group 1 - The US dollar continues to rebound, with the AUD/USD exchange rate slightly declining to 0.6609, down 0.05%, indicating low trading activity ahead of significant upcoming events [1] - US Treasury yields have collectively risen, with the 10-year yield increasing by 3.2 basis points to 4.108%, marking the first consecutive rise since early September and the largest two-day increase in a month [1] - A report from the US Labor Department showed that initial jobless claims fell by 33,000 to 231,000, significantly below economists' expectations of 240,000, reversing the previous week's surge [1] - The Philadelphia Fed manufacturing index for September rose to 23.2, well above the expected 2.5 and the previous value of -0.3, indicating a strong recovery in factory output despite a decline in price indicators [1] Group 2 - The Reserve Bank of Australia (RBA) Chairman will speak in the House of Representatives on Monday, and the August CPI data will be released on Wednesday, which is the last CPI data before the RBA's interest rate decision on September 30 [2] - The short-term support area for the AUD/USD exchange rate is near the lower Bollinger Band around 0.6590-95, with resistance levels at 0.69435 [2]

Group 1 - The core point of the article is that Japan's 2-year government bond yield has risen to 0.885%, marking the highest level since June 2008 [1] Group 2 - The increase in the yield indicates a significant shift in the Japanese bond market, reflecting changing economic conditions and investor sentiment [1] - This rise in yield may impact borrowing costs and investment strategies within the financial sector [1] - The current yield level suggests potential implications for monetary policy and future interest rate decisions by the Bank of Japan [1]

每经AI快讯，9月18日，印尼5年期国债收益率下降5个基点，降至2022年3月以来的最低水平。 ...

Report Overview - The report is a macro asset market analysis released by the research center's macro team on September 18, 2025, covering global asset market performance, including bond yields, exchange rates, stock indices, and trading data of stock index futures and treasury bond futures [2][3] Global Asset Market Performance Bond Yields - **10 - year Treasury Bond Yields**: Yields of major economies showed different trends. For example, the US 10 - year Treasury bond yield was 4.089 on September 17, 2025, with a latest change of 0.060, a one - week change of 0.042, a one - month change of - 0.203, and a one - year change of 0.388 [3] - **2 - year Treasury Bond Yields**: The US 2 - year Treasury bond yield was 3.540 on September 17, 2025, with a latest change of - 0.020, a one - week change of 0.050, and a one - year change of - 0.210 [3] Exchange Rates - **USD against Major Emerging Economies' Currencies**: The exchange rate of the US dollar against the Brazilian real was 5.305 on September 17, 2025, with a latest change of 0.14% and a one - month change of - 3.24% [3] - **Renminbi**: The on - shore RMB exchange rate was 7.104 on September 17, 2025, with a latest change of - 0.14%, a one - week change of - 0.24%, a one - month change of - 1.00%, and a one - year change of - 0.13% [3] Stock Indices - **Major Economies' Stock Indices**: The S&P 500 index was 6600.350 on September 17, 2025, with a latest change of - 0.10%, a one - week change of 1.05%, a one - month change of 3.20%, and a one - year change of 20.64% [3] - **Emerging Economies' Stock Indices**: The emerging economies' stock index was 1347.850 on September 17, 2025, with a latest change of 0.59%, a one - week change of 3.09%, a one - month change of 6.98%, and a one - year change of 26.74% [3] Credit Bond Indices - Different credit bond indices, such as the US investment - grade credit bond index (3528.030 on September 17, 2025) and the euro - zone high - yield credit bond index (407.110 on September 17, 2025), showed various trends in the latest, one - week, one - month, and one - year changes [3][4] Stock Index Futures Trading Data Index Performance - The A - share index closed at 3876.34 with a 0.37% increase, the CSI 300 index closed at 4551.02 with a 0.61% increase, etc. [5] Valuation - The PE (TTM) of the CSI 300 was 14.16 with a 0.07环比 change, and the PE (TTM) of the S&P 500 was 27.47 with a - 0.03环比 change [5] Risk Premium - The risk premium (1/PE - 10 - year interest rate) of the S&P 500 was - 0.45 with a - 0.06环比 change, and that of the German DAX was 2.52 with a 0.02环比 change [5] Fund Flows - The latest fund flow of A - shares was - 198.10, and the latest fund flow of the CSI 300 was 79.42 [5] Trading Volume - The latest trading volume of the Shanghai and Shenzhen stock markets was 23767.38, and the latest trading volume of the CSI 300 was 6084.54 [5] Basis and Spread - The basis of IF was 2.18 with a 0.05% spread, the basis of IH was 3.42 with a 0.12% spread, and the basis of IC was - 7.64 with a - 0.11% spread [5] Treasury Bond Futures Trading Data - Treasury bond futures T00, TF00, T01, and TF01 closed at 108.155, 105.890, 107.855, and 105.760 respectively, with increases of 0.18%, 0.13%, 0.18%, and 0.14% [6] - The R001, R007, and SHIBOR - 3M in the money market were 1.5536%, 1.5493%, and 1.5540% respectively, with daily changes of 5.00 BP, 5.00 BP, and 0.00 BP [6]

Core Viewpoint - The article discusses the recent movements in bond yields, particularly focusing on the impact of anticipated interest rate cuts by central banks, including the Federal Reserve and the Reserve Bank of New Zealand, on the bond market and related ETFs [1][2]. Interest Rate Movements - New Zealand's 2-year government bond yield has decreased by 10 basis points due to expectations of a rate cut by the Reserve Bank of New Zealand, with forecasts suggesting a drop to 2.5% in October and 2.25% in November [1]. - The U.S. 10-year Treasury yield fell from 4.04% to below 4.01%, while gold prices fluctuated between $3696.67 and $3654.44 [1]. - The Federal Reserve announced a 25 basis point rate cut, bringing the federal funds rate target range to 4.00%-4.25% [2]. Bond Market Performance - The 10-year government bond yield is approaching 1.75%, with a recent decline of approximately 7 basis points [3]. - The China Government Bond ETF (511020) for 5-10 years has seen a 0.24% increase, with a recent price of 116.99 yuan, and a weekly increase of 0.39% [4]. Fund Flows and Size - The China Government Bond ETF (511020) has reached a size of 1.509 billion yuan, marking a six-month high, with net inflows remaining balanced recently [5]. - Over the past five years, the ETF has recorded a net value increase of 21.44% [5]. Historical Performance Metrics - The ETF has a maximum drawdown of 1.09% over the past six months, with a historical profitability rate of 100% over three years [6][5]. - The ETF's management fee is 0.15%, and the custody fee is 0.05% [7]. Tracking Accuracy - The ETF closely tracks the China 5-10 Year Government Bond Active Index, with a tracking error of 0.038% over the past month [8].