Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The short - term view of TL2512 is oscillatory, the medium - term view is oscillatory, and the intraday view is weakly oscillatory, with an overall oscillatory outlook. The core logic is that there are still medium - to - long - term expectations for interest rate cuts, but the possibility of a comprehensive short - term interest rate cut is low [1]. - For financial futures in the bond index sector including TL, T, TF, and TS, the intraday view is weakly oscillatory, the medium - term view is oscillatory, and the reference view is oscillatory. Yesterday, bond futures oscillated throughout the day. Due to the recent short - term adjustment in the stock market, risk - aversion sentiment increased, and the market interest rate's upward space is limited under the anchoring effect of the policy interest rate, so bond futures rebounded from the bottom. However, there is insufficient need for a comprehensive short - term interest rate cut, and the downward space of the short - term market interest rate is limited, so the upward momentum of bond futures may be insufficient. In the medium - to - long - term, the future monetary policy environment is generally loose, and with the increasing expectation of the Fed's interest rate cut overseas, the depreciation pressure on the RMB exchange rate has greatly weakened, so there is still room for interest rate cuts in the future, and bond futures are more likely to rise in the medium - to - long - term. In general, bond futures will mainly oscillate in the short - term [5]. Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For TL2512, the short - term is oscillatory, the medium - term is oscillatory, the intraday is weakly oscillatory, and the overall view is oscillatory. The core logic is the co - existence of medium - to - long - term interest rate cut expectations and low possibility of short - term comprehensive interest rate cuts [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of TL, T, TF, and TS is weakly oscillatory, the medium - term view is oscillatory, and the reference view is oscillatory. The core logic is that bond futures oscillated yesterday. The short - term stock market adjustment increased risk - aversion sentiment, and the policy interest rate limited the upward space of the market interest rate, leading to a rebound of bond futures. But short - term interest rate cut needs are insufficient, limiting the downward space of market interest rates and the upward momentum of bond futures. Attention should be paid to the bond issuance rhythm of the Ministry of Finance and the central bank's bond trading operations after the second meeting of the joint working group. In the medium - to - long - term, the loose monetary policy and the weakening RMB depreciation pressure due to the Fed's expected interest rate cut leave room for interest rate cuts, increasing the possibility of bond futures rising [5].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View - The current stock market is in a volatile adjustment, with market risk appetite slightly declining, leading to a phased recovery in the bond market. However, its fluctuation rhythm is still restricted by the stock - bond "seesaw" effect. If the upward momentum of the equity market weakens and the continuous upward trend ends, it may create favorable conditions for the bond market to have an independent market. - As the market's expectation of the Fed's interest rate cut in September continues to rise, attention should be paid to China's fundamental data performance in August. If the economic data continues to weaken, it may boost the market's expectation of overall easing policies. - Operationally, it is recommended to wait and see for the time being [2]. 3. Summary by Related Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: T, TF, TS, and TL main contract closing prices increased by 0.21%, 0.17%, 0.04%, and 0.46% respectively, and trading volumes increased by 26100, 9741, 4112, and 40760 respectively. - **Futures Spreads**: Some spreads such as TL2512 - 2509, T12 - TL12, TF12 - T12, etc. showed different changes, with some narrowing and some widening. - **Futures Positions**: The main contract positions of T, TF, TS, and TL all increased, and the net short positions of the top 20 in each contract also increased [2]. 3.2 Bond Market - **CTD Bonds**: The net prices of several CTD bonds such as 220019.IB, 220017.IB, etc. increased. - **Active Bonds**: The yields of 1y - 10y active bonds decreased, with a decline of 0.1 - 0.75bp [2]. 3.3 Interest Rates - **Short - term Interest Rates**: Silver - pledged overnight, Shibor overnight, silver - pledged 7 - day, and Shibor 7 - day interest rates increased, while Shibor 14 - day interest rate decreased. - **LPR Rates**: The 1y and 5y LPR rates remained unchanged [2]. 3.4 Open Market Operations The issuance scale of open - market operations was 229.1 billion yuan, the maturity scale was 379.9 billion yuan, and the interest rate was 1.4% for 7 - day operations, with a net withdrawal of 150.8 billion yuan [2]. 3.5 Industry News - China's economic prosperity level continued to expand in August. The official manufacturing PMI, non - manufacturing PMI, and composite PMI were 49.4%, 50.3%, and 50.5% respectively, with month - on - month increases. - The Ministry of Finance and the State Taxation Administration issued a notice on the tax policy for the operation and management of state - owned equity and cash income transferred to enrich the social security fund, exempting VAT on certain income. - The "Implementation Plan for the Fiscal Interest Subsidy Policy for Personal Consumption Loans" was officially implemented on September 1st, and some bank executives were optimistic about its impact [2]. 3.6 Key Data to Watch - On September 4th, 20:15, the US ADP employment number for August (in ten thousand people). - On September 5th, 20:30, the US seasonally adjusted non - farm payrolls for August (in ten thousand people) [3].

Report Summary Investment Rating - No investment rating for the industry is provided in the report. Core View - The report suggests a band - trading approach. It notes that on September 3, 2025, treasury bond futures rebounded as expected. Given the current situation where the 10 - year treasury bond yield has returned to 1.75% and the bond market lacks catalytic factors, caution should be exercised regarding the further upside potential. It advises against chasing high prices, setting profit - taking when bottom - fishing, and keeping a small long position at low levels [1][2]. Summary by Relevant Content 1. Market Performance - On Wednesday, treasury bond futures opened higher, rose in the morning and then declined, fluctuated in the afternoon, and rose again at the end of the session, with all varieties closing up. Spot bond yields generally declined. There was a net withdrawal of 150.8 billion from the open market, and the funds were loose with DR001 at 1.31% [1]. - The A - share market continued to decline with a large adjustment range on this day. The morning rebound in the stock market reduced the bond market's gains, but the stock market's inability to stop the decline in the afternoon led to an expansion of the bond market's gains at the end of the session. The stock market had a volume - shrinking adjustment, and if it enters a range - bound state in the future, its impact on the bond market will gradually weaken [2]. 2. Contract Data | Contract | 2025 - 09 - 03 Price | 2025 - 09 - 02 Price | Price Change | 2025 - 09 - 03 Position (Lots) | 2025 - 09 - 02 Position (Lots) | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.44 | 102.41 | 0.03 | 75575 | 74372 | 1203 | | TF2512 | 105.69 | 105.55 | 0.14 | 139553 | 138200 | 1353 | | T2512 | 108.12 | 107.93 | 0.19 | 213046 | 205357 | 7689 | | TL2512 | 117.03 | 116.61 | 0.42 | 142705 | 140312 | 2393 | | TS Basis (CTD) | - 0.0225 | - 0.04 | 0.0175 | TS Main Contract Trading Volume (Lots) | 25604 | 21492 | 4112 | | TF Basis (CTD) | 0.0846 | 0.0256 | 0.059 | TF Main Contract Trading Volume (Lots) | 62433 | 52692 | 9741 | | T Basis (CTD) | 0.4403 | 0.3548 | 0.0855 | T Main Contract Trading Volume (Lots) | 86857 | 60757 | 26100 | | TL Basis (CTD) | 0.7408 | 0.5696 | 0.1712 | TL Main Contract Trading Volume (Lots) | 156936 | 116176 | 40760 | [3] 3. Other Information - U.S. technology stocks led the decline in the U.S. stock market, and the 30 - year treasury bond yields of the UK, Germany, and France reached multi - year highs. Gold futures broke through $3600, hitting a record high [2]. - Trump stated that he would request the Supreme Court to make a "quick ruling" on the global tariff case. If he wins, the stock market will rise sharply; otherwise, it will experience a huge shock. Bessent predicted that the Supreme Court would support Trump's tariff policy but was also considering alternative plans [2].

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core Viewpoints - The short - term view of treasury bond futures is mainly for oscillatory consolidation, with limited upside and downside space. The overall view for TL2512 is oscillatory, with a short - term and mid - term oscillatory trend and an intraday oscillatory - weakening trend, due to the decreased possibility of a comprehensive interest rate cut and the rising risk appetite in the stock market [1][5]. - Although the short - term necessity for a comprehensive interest rate cut is insufficient, with structural easing to support technology and boost consumption, the future monetary policy environment is generally loose. The increasing expectation of the Fed's interest rate cut overseas has weakened the RMB exchange - rate depreciation pressure, leaving room for future interest rate cuts. The market interest rate is anchored by the policy rate, limiting the upside space of the market interest rate and the downside space of treasury bond futures [5]. 3. Summary by Relevant Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For TL2512, the short - term view is oscillatory, the mid - term view is oscillatory, the intraday view is oscillatory - weakening, and the overall view is oscillatory. The core logic is the decreased possibility of a comprehensive interest rate cut and the rising risk appetite in the stock market [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include TL, T, TF, TS. The intraday view is oscillatory - weakening, the mid - term view is oscillatory, and the reference view is oscillatory. Yesterday, all treasury bond futures oscillated and pulled back. The short - term necessity for a comprehensive interest rate cut is insufficient, with structural easing as the main approach. The strong risk appetite in the stock market has a siphoning effect on funds, suppressing bond - buying demand, limiting the rebound space of treasury bond futures. However, the future monetary policy environment is loose, and the increasing expectation of the Fed's interest rate cut overseas has weakened the RMB exchange - rate depreciation pressure, leaving room for future interest rate cuts. The market interest rate is anchored by the policy rate, limiting the upside space of the market interest rate and the downside space of treasury bond futures [5].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Adopt a trading strategy of bottom - fishing on a trading range basis, take profits when favorable, and hold a small position of long positions at low levels to wait for a continued rebound [3] 3. Summary According to Related Catalogs 3.1 Market Situation - On Tuesday, bond futures fluctuated weakly, with all varieties closing down. Spot bond yields fluctuated within a narrow range. There was a net withdrawal of 150.1 billion yuan in the open market. The money market was loose, and DR001 fell to 1.31% [1] - A - shares adjusted at a high level today, with previously popular sectors falling sharply, but the bond market did not benefit from this, and the intraday correlation between stocks and bonds was low [3] 3.2 News - Wang Yi introduced the eight achievements of the SCO Tianjin Summit, including expressing support for the fair stance of the multilateral trading system, deciding to establish the SCO Development Bank, and formulating six high - quality development action plans such as artificial intelligence cooperation [2] - The Implementation Plan for the Fiscal Interest Subsidy Policy for Personal Consumption Loans was officially implemented on September 1st, and pilot banks and other institutions officially accepted applications for the interest subsidy plan [2] 3.3 Market Outlook - Recently, the trading activity of spot bonds has significantly declined, indicating that institutional sentiment is relatively cautious. As September 3rd approaches, the market may first observe the situation before making further plans. In the short term, the bond market lacks its own catalytic factors and still mainly observes stock market fluctuations [3] 3.4 Data Comparison | Contract | 2025 - 09 - 02 Price | 2025 - 09 - 01 Price | Price Change | 2025 - 09 - 02 Position (hands) | 2025 - 09 - 01 Position (hands) | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.41 | 102.428 | - 0.018 | 74372 | 76122 | - 1750 | | TF2512 | 105.55 | 105.59 | - 0.04 | 138200 | 136916 | 1284 | | T2512 | 107.93 | 107.985 | - 0.055 | 205357 | 206714 | - 1357 | | TL2512 | 116.61 | 116.89 | - 0.28 | 140312 | 145522 | - 5210 | | TS Basis (CTD) | - 0.04 | - 0.0411 | 0.0011 | 21492 | 25178 | - 3686 | | TF Basis (CTD) | 0.0256 | 0.0528 | - 0.0272 | 52692 | 60563 | - 7871 | | T Basis (CTD) | 0.3548 | 0.4394 | - 0.0846 | 60757 | 84189 | - 23432 | | TL Basis (CTD) | 0.5696 | 0.7136 | - 0.144 | 116176 | 121725 | - 5549 | [4]

Group 1 - The core point of the article indicates a decline in U.S. Treasury futures, with the 10-year Treasury futures dropping by 3 points and the 30-year Treasury futures falling by 12 points [1]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - On September 1, the yields of treasury bond cash bonds strengthened collectively, with the yields of 1Y - 7Y maturities declining by about 0.25 - 1.25bp, and the yields of 10Y and 30Y maturities declining by about 0.20bp to 1.77% and 2.02% respectively. Treasury bond futures also strengthened collectively, with the TS, TF, T, and TL main contracts rising by 0.02%, 0.08%, 0.17%, and 0.30% respectively. The weighted average rate of DR007 declined and fluctuated around 1.45%. [2] - In terms of the domestic fundamentals, the manufacturing PMI in August rebounded slightly but remained below the boom - bust line, with marginal improvements in supply and demand. The non - manufacturing PMI expanded at a faster pace, and overall production and business activities remained stable. The year - on - year decline in the profits of industrial enterprises above the designated size in July was 1.5%, and the decline in profits has narrowed for two consecutive months. The Ministry of Commerce will introduce several policies to expand service consumption in September, which will promote the recovery of consumption growth. [2] - Overseas, the US PCE data for July met market expectations, the price level remained stable, and market expectations for a Fed rate cut in September continued to rise. Although the bond market has shown an independent trend recently, the current stock - bond cost - performance ratio is high, and the overall trend is still subject to changes in market risk appetite. In the short term, capital liquidity factors remain the core logic guiding bond market trading. [2] - The profit - taking sentiment of cash bond trading desks is strong. In the next stage, monetary policy will focus more on structural tools, and there is limited room for loosening at the aggregate level. Without incremental positive stimuli, the interest rate center lacks the impetus to decline further and may maintain high - level fluctuations. It is recommended to wait and see for now. [2] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: The closing prices of T, TF, TS, and TL main contracts were 108.000, 105.595, 102.436, and 116.910 respectively, with increases of 0.17%, 0.08%, 0.02%, and 0.3% respectively. The trading volumes of T and TF main contracts increased by 10472 and 4284 respectively, while the trading volumes of TS and TL main contracts decreased by 8257 and 19489 respectively. [2] - **Futures Spreads**: Some spreads changed, such as the TL2512 - 2509 spread increasing by 0.10 to - 0.41, and the T2512 - 2509 spread decreasing by 0.06 to - 0.30. [2] - **Futures Positions**: The positions of T, TF, TS, and TL main contracts changed. For example, the T main contract position increased by 7482, and the TF main contract position decreased by 145. The net short positions of T, TF, TS, and TL also changed to varying degrees. [2] 3.2 Cash Bond Market - **CTD Bonds**: The net prices of some CTD bonds changed, such as the 220019.IB (6y) increasing by 0.1553 to 105.7464, and the 220022.IB (2y) decreasing by 0.0068 to 102.1141. [2] - **Active Treasury Bonds**: The yields of active treasury bonds with maturities of 1y, 3y, 5y, 7y, and 10y decreased by 0.25bp, 1.75bp, 2.00bp, 1.75bp, and 1.00bp respectively. [2] 3.3 Interest Rates - **Short - term Interest Rates**: The silver - pledged overnight rate increased by 2.74bp to 1.3174%, and the Shibor overnight rate decreased by 1.60bp to 1.3150%. The silver - pledged 7 - day rate decreased by 10.57bp to 1.4243%, and the Shibor 7 - day rate decreased by 7.20bp to 1.4380%. [2] - **LPR Rates**: The 1 - year and 5 - year LPR rates remained unchanged at 3.00% and 3.5% respectively. [2] 3.4 Open Market Operations - The issuance scale of open market operations was 182.7 billion yuan, the maturity scale was 288.4 billion yuan, and the net withdrawal was 105.7 billion yuan, with an interest rate of 1.4% for 7 - day reverse repurchase. [2] 3.5 Industry News - China's economic prosperity level continued to expand overall in August. The official manufacturing PMI, non - manufacturing PMI, and composite PMI were 49.4%, 50.3%, and 50.5% respectively, with month - on - month increases of 0.1, 0.2, and 0.3 percentage points. [2] - Li Chenggang, the Chinese Vice Minister of Commerce, visited the US and held talks with relevant US officials on Sino - US economic and trade relations. [2] - The National Development and Reform Commission announced measures to improve the long - term mechanism for private enterprises to participate in major national projects and implement policies such as consumer goods trade - in. [2] 3.6 Key Data to Focus On - On September 1 at 17:00, the Eurozone's July unemployment rate; on September 2 at 22:00, the US August ISM manufacturing PMI. [3]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The market showed active trading last week with a convergence in the discount of index futures, indicating optimistic market expectations. In the short - term, the market may enter a high - level consolidation phase. Policy expectations and improved economic data support the market, but valuation pressures are emerging. Investors are advised to focus on market structural changes, seize sector rotation opportunities, and control positions to prevent short - term adjustment risks [28]. 3. Section Summaries 3.1 Market Review - On August 29, A - share major indices rose. The Shanghai Composite Index rose 0.37% to 3857.93 points, the Shenzhen Component Index rose 0.99% to 12696.15 points, and the ChiNext Index rose 2.23% to 2890.13 points. The trading volume of the two markets was 27983 billion yuan, a decrease of 1725 billion yuan from the previous trading day. Battery, insurance, and other sectors led the gains, while education, semiconductor, etc. declined [5]. - Last week, domestic stock index futures strengthened. The weekly increases of the main contracts of CSI 300, SSE 50, CSI 500, and CSI 1000 futures were +3.01%, +1.73%, +3.09%, and +0.64% respectively [5]. - Last week, treasury bond futures rose. The 30 - year, 10 - year, 5 - year, and 2 - year treasury bond futures rose 0.56%, 0.14%, 0.14%, and 0.10% respectively [6]. 3.2 Fundamental Analysis - The CSRC held a symposium, emphasizing the consolidation of the capital market's recovery, promoting reform and opening - up, and advocating long - term, value, and rational investment [7]. - As of August 29, 5299 A - share companies disclosed their 2025 semi - annual reports, with 4085 companies having positive net profits, accounting for 77.09%. 643 companies had a year - on - year net profit growth rate of over 100% [7]. - From August 27 - 29, Chinese official visited the US to discuss Sino - US economic and trade relations, emphasizing cooperation and dialogue [7]. - Last week, the central bank conducted 22731 billion yuan in reverse repurchase operations and 6000 billion yuan in 1 - year MLF operations, with a net withdrawal of 4039 billion yuan. This week, 22731 billion yuan in reverse repurchases and 10000 billion yuan in 91 - day repurchase agreements will mature [8]. 3.3 Valuation Analysis - As of August 29, the PE, percentile, and PB of the CSI 300, SSE 50, CSI 500, and CSI 1000 indices are presented. For example, the CSI 300 index has a PE of 14.15 times, a percentile of 86.86%, and a PB of 1.48 times [12]. - The report explains the concept and calculation formulas of the stock - bond yield spread [23]. 3.4 China - Buffett Indicator On August 29, 2025, the ratio of total market capitalization to GDP was 86.95%. The percentile of the current "total market capitalization/GDP" in historical data was 86.46%, and in the past 10 - year data was 90.36% [26]. 3.5 Comprehensive Analysis and Operation Suggestions - The market last week was characterized by active trading and a convergence in index futures discounts. In the short - term, the market may enter a high - level consolidation phase [28]. - Operation suggestions include: for single - side trading, buy on dips while being wary of valuation risks; for arbitrage, participate in the IM/IH spread convergence strategy and watch for style - switching signals; for options, use covered calls to increase returns or buy put options to hedge volatility risks [29].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report In August, the domestic stock index futures market strengthened significantly. The market sentiment continued to improve under policy expectations and capital promotion, with small and medium - cap varieties outperforming weight - based contracts. The economic fundamentals showed structural improvement. In the short term, the market may enter a high - level shock stage, and the mid - term trend is still optimistic, but attention should be paid to volume changes and policy implementation results. [5][29] 3. Summary by Directory 3.1 Market Review - In August, the domestic stock index futures market strengthened significantly. IC and IM outperformed IF and IH. The monthly increase rates of IF, IH, IC, and IM were 11.24%, 7.50%, 14.47%, and 12.87% respectively. [5] - In the bond market, 30 - year and 10 - year treasury bond futures rose, while 5 - year and 2 - year treasury bond futures fell. [6] 3.2 Fundamental Analysis - In August, the manufacturing PMI was 49.4%, up 0.1 percentage points from the previous month, and the manufacturing prosperity level improved. [7] - In August, the non - manufacturing business activity index was 50.3%, up 0.2 percentage points from the previous month, and the non - manufacturing industry continued to expand. [10] - In August, the composite PMI output index was 50.5%, up 0.3 percentage points from the previous month, indicating that the overall expansion of China's enterprise production and business activities accelerated. [15] 3.3 Valuation Analysis - As of August 29, the PE, percentile, and PB of the CSI 300 index were 14.15 times, 86.86%, and 1.48 times respectively; those of the SSE 50 index were 11.94 times, 92.16%, and 1.31 times respectively; those of the CSI 500 index were 33.33 times, 78.82%, and 2.24 times respectively; and those of the CSI 1000 index were 46.87 times, 73.53%, and 2.50 times respectively. [18] 3.4 Other Data - The quantile of the current "total market value/GDP" in historical data was 86.46%, and the quantile in the past 10 - year data on August 29, 2025, was 86.95%. [28] 3.5 Comprehensive Analysis - In August, the stock index futures market continued to be strong, with significant increases in all major contracts. Small and medium - cap varieties outperformed weight - based contracts, and the technology - growth style dominated. The capital side remained loose, and the northbound funds continued to flow in. The economic fundamentals showed structural improvement. [29] - In the short term, the market may enter a high - level shock stage, and the mid - term trend is still optimistic, but attention should be paid to volume changes and policy implementation results. [29] 3.6 Operation Suggestions - Unilateral: Buy on dips, but beware of valuation risks. - Arbitrage: Participate in the IM/IH spread convergence strategy periodically and pay attention to style - switching signals. - Options: Use covered call writing to increase returns or buy put options to hedge against volatility risks. [30]

Core Viewpoint - The 30-year government bond ETF from Bosera has shown strong performance with a recent price increase and significant liquidity, indicating a positive market sentiment towards long-term government bonds [3][4]. Group 1: Performance Metrics - As of August 29, 2025, the 30-year government bond ETF from Bosera rose by 0.18%, with a latest price of 108.71 yuan, and has accumulated a 6.61% increase over the past year [3]. - The ETF's latest scale reached 19.004 billion yuan, marking a one-year high, and the number of shares reached 1.75 million, also a one-year high [4]. - The ETF has seen continuous net inflows over the past nine days, totaling 3.419 billion yuan, with a maximum single-day net inflow of 1.504 billion yuan [4]. Group 2: Trading Activity - The trading volume for the ETF was active, with a turnover rate of 11.38% and a transaction value of 2.169 billion yuan [3]. - The average daily transaction value over the past month was 4.623 billion yuan, indicating robust market activity [3]. Group 3: Fund Characteristics - The ETF has a management fee of 0.15% and a custody fee of 0.05% [5]. - The tracking error for the ETF over the past three months was 0.054%, demonstrating its effectiveness in tracking the underlying index [5]. Group 4: Risk and Return Analysis - The maximum drawdown over the past six months was 4.93%, with a relative benchmark drawdown of 0.53% [5]. - The ETF has a historical one-year profit probability of 100%, with an average monthly return of 2.09% and a monthly profit percentage of 62.50% [4].