2025 年 11 月 24 日 债券研究周报 研究所： 证券分析师： 颜子琦 S0350525090002 yanzq@ghzq.com.cn 联系人 ： 郭溪源 S0350125090019 guoxy@ghzq.com.cn [Table_Title] 债市情绪处于分歧之中 债券研究周报 最近一年走势 相关报告 本篇报告解决了以下核心问题：最新一周债市卖方与买方的观点情绪变 化； 从我们统计的债市情绪指数来看，11 月 18 日-11 月 24 日（后同），债市 卖方情绪有所上升、买方情绪再度回落，买方卖方情绪走向背离，同时 卖方观点分歧度指数亦抬升至偏高水平。虽然日历效应渐进带来偏乐观 的因素，但市场情绪仍处于矛盾之中，机构谨慎态度未变。 卖方视角，债市情绪有所上升。基于对 24 家卖方机构观点的统计分析， 债市情绪有所上升，多家卖方观点从中性转为偏多。从市场情绪的角度 出发，目前卖方大多数持中性偏多态度，情绪较（11 月 11 日-11 月 17 日）上升，2 家看多，7 家偏多，14 家中性，1 家偏空，其中：①8%机 构均持看多态度，认为经济基本面承压、货币政策宽松预期、季节性规 律、机构抢配行 ...

Report Overview - The report is the Bond Research Weekly released on November 17, 2025, analyzing the sentiment changes of bond market sellers and buyers in the latest week [1][4] Industry Investment Rating - Not mentioned in the report Core Viewpoints - From November 11th to 17th, the bond market seller sentiment continued to decline, and the buyer sentiment remained negative. The divergence of seller views slightly increased. The bond market was in a policy vacuum period, and the driving force of positive factors was insufficient. After the release of the third - quarter monetary policy report, the market's expectation of the interest - rate cut time was postponed, and the sentiment entered a wait - and - see period [4] Summary by Directory 1. Seller Market Sentiment 1.1 Seller Market Interest - Rate Bond Sentiment Index - From November 11th to 17th, the unweighted tracking index was 0.38, a decrease of 0.11 compared with November 4th - 10th. The proportion of bullish views decreased. Currently, institutions generally hold neutral - bullish views: 2 are bullish, 5 are moderately bullish, and 17 are neutral. 8% of institutions are bullish, citing weak financial data, continuous decline in social financing growth, declining bank liability costs, and the continuation of the asset shortage pattern. 21% are moderately bullish, based on expectations of monetary policy easing, the central bank's restart of treasury bond trading, potential decline in risk appetite, and downward space for yields. 71% are neutral, as the market is temporarily in a "policy vacuum period", lacking a clear single main line to drive interest - rate breakthroughs, and institutions may take profit, while the year - end rush - to - buy demand of banks and insurance may support the market [11] 1.2 Buyer Market Interest - Rate Bond Sentiment Index - From November 11th to 17th, the unweighted tracking sentiment index was - 0.03, up from November 4th - 10th. Currently, institutions generally hold neutral - bearish views: 4 are moderately bullish, 20 are neutral, and 5 are bearish. 14% of institutions are moderately bullish, due to warming market sentiment, sensitivity to positive factors, insensitivity to negative factors, and the brewing of a bullish consensus. 69% are neutral, because of policy uncertainty, institutional behavior disturbances, and the market entering a wait - and - see period. 17% are bearish, citing the narrowing of monetary policy space, rising risk appetite, exhaustion of positive factors, increasing negative disturbances, and cautious institutional behavior [12][13]

最近一年走势 相关报告 《9 月中国金融数据点评：社融正成为债市定价基 本面的拐点*颜子琦》——2025-10-18 《9 月中国物价数据点评：反内卷对 PPI 的拉升正 在起变化*颜子琦》——2025-10-16 《利率新论系列（二）：基本面定价失效的两个反 思*颜子琦》——2025-10-12 《债市情绪 20251001：债市买方比卖方乐观*颜子 琦》——2025-10-04 《9 月中国 PMI 数据点评：生产与需求之间是债市 的机会*颜子琦》——2025-10-02 2025 年 10 月 21 日 债券研究周报 证券分析师： 颜子琦 S0350525090002 [Table_Title] 当前债市，买方谨慎，卖方乐观 债券研究周报 本篇报告解决了以下核心问题：最新一周债市卖方与买方的观点情绪变 化； 从我们统计的债市情绪指数来看，10 月 13 日-10 月 20 日（后同），债市 卖方情绪继续上行、买方情绪有所回落，同时卖方观点分歧度有所下降， 债市行情转暖后，卖方共识进一步凝聚，但买方情绪仍谨慎，在乐观行 情之下仍关注潜在的利空风险。 卖方视角，债市情绪继续升温。基于对 23 家卖方机构观点 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The Huaxia Securities view is to wait for the bond market to return to fundamental pricing, focus on trading long - term bonds, and the anti - decline of credit bonds may continue under loose funds. The current bond market is weak, with long - term interest rates reversing multiple times during the day. Policy factors, the stock - bond seesaw, and bond fund redemption fee reforms have impacted the bond market. The bullet strategy is theoretically better, and 10Y and 30Y bonds are suitable for intraday trading. There are opportunities in the spread compression of some high - coupon local bonds. Credit bonds are more anti - decline under loose funds [2]. - The seller's view is that the bond market sentiment remains low, and most expect a sideways movement. Currently, 22% of institutions are bullish, 56% are neutral, and 22% are bearish [2]. - The buyer's view is that over 60% of buyers are neutral. Overall, the sentiment of fixed - income buyers is bullish, and the sentiment index has risen. Currently, 20% of institutions are bullish, 68% are neutral, and 12% are bearish [2]. 3. Summary by Relevant Catalogs 3.1 Seller and Buyer Market 3.1.1 Seller Market情绪指数与利率债 - The weighted sentiment index this week is - 0.02, and the unweighted index is 0, both lower than last week. The overall view of institutions is neutral - bearish, with 6 bullish, 15 neutral, and 6 bearish institutions [10]. 3.1.2 Buyer Market情绪指数与利率债 - The weighted sentiment index this week is 0.05, and the unweighted index is 0.08, both higher than last week. The overall view of institutions is neutral - bullish, with 5 bullish, 17 neutral, and 3 bearish institutions [11]. 3.1.3 Credit Bonds - Market hot topics include the stock - bond seesaw and public fund fee reforms. The stock - bond seesaw leads to intensified capital diversion from the bond market, increased pressure on bond fund redemptions, and the public fund fee reform triggers a structural adjustment on the liability side, causing a full - scale increase in credit bond yields [16][17]. 3.1.4 Convertible Bonds - This week, institutions generally hold a neutral - bullish view. 40% of institutions are bullish, and 60% are neutral [20]. 3.2 Treasury Bond Futures Tracking 3.2.1 Futures Trading - Futures prices generally declined. As of September 12, the prices of TS/TF/T/TL contracts were 102.38 yuan, 105.60 yuan, 107.71 yuan, and 115.27 yuan respectively, with changes of - 0.01 yuan, + 0.01 yuan, - 0.24 yuan, and - 1.08 yuan compared to last Friday. The trading volume and open interest of each contract increased [24]. 3.2.2 Spot Bond Trading - The turnover rate of 30Y treasury bonds decreased to 4.00% on September 12, down 0.52 pct from last week. The turnover rate of interest - rate bonds and 10Y China Development Bank bonds increased [33][36]. 3.2.3 Basis Trading - The basis of TS and TF contracts widened, while that of T and TL contracts narrowed. The net basis of most contracts widened, and the IRR of main contracts showed mixed trends [40][43]. 3.2.4 Inter - period and Inter - variety Spreads - Except for the narrowing of the inter - period spread of the TL contract, the inter - period spreads of other contracts widened. Except for the narrowing of the 2*TS - TF spread, the inter - variety spreads of other contracts widened [51].

Market Performance - The futures market saw a decline in government bond futures, with the 30-year main contract dropping by 0.86% to 114.760, marking a new closing low since March 19 [1] - The 10-year main contract fell by 0.27% to 107.490, while the 5-year and 2-year contracts decreased by 0.15% and 0.04% respectively [1] - The yield on major interbank bonds increased, particularly for mid to long-term bonds, with the 10-year government bond yield rising nearly 4 basis points [1] Funding Conditions - The central bank conducted a 7-day reverse repurchase operation on September 10, with a fixed rate of 1.40% and a total of 304 billion yuan, resulting in a net injection of 749 billion yuan for the day [2] - The overnight repurchase weighted rate for deposit institutions slightly increased, remaining above 1.42%, while non-bank institutions saw rates for pledged certificates and credit bonds rise close to 1.50% [2] - Despite the central bank's shift to net injections, liquidity remains tight due to factors like maturing certificates and government bond issuances [2] Operational Suggestions - The recent increase in redemption fees for bond funds has contributed to a weak sentiment in the bond market, which may remain sensitive to negative news in the short term [3] - Investors are advised to observe funding trends and await clearer positive signals from the central bank, particularly after the release of August economic data [3] - The bond market sentiment is currently weak, with the 10-year government bond yield not stabilizing at 1.8%, suggesting potential further declines in bond prices [3]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Views of the Report - **Hua'an's View**: The adjustment space of the bond market is limited, and attention should be paid to the opportunities of individual bond spread mining. Although the bond market has been under pressure recently due to the strong performance of the equity market, it is expected to return to fundamental pricing in the medium and long term. After the Jackson Hole Annual Meeting released a dovish signal last Friday, it is predicted that there is no basis for a significant tightening of the capital market after the tax period. The central bank will cooperate with loose monetary policies in terms of supply. Currently, institutional behavior signals still indicate a long - position, the redemption/selling pressure of funds is controllable, and large banks' continuous bond - buying provides short - term certainty. As previously mentioned in the weekly report, the spread between 250210 and 250215 may widen [2]. - **Seller's View**: Bond market sentiment has turned negative for the second time this year, with nearly 30% of fixed - income sellers holding a bearish view. As of Monday this week, nearly 30% of fixed - income sellers are bearish on the bond market, 50% hold a neutral attitude, and the sentiment has declined compared to last week. There are 7 bullish, 19 neutral, and 8 bearish institutions. Most institutions maintain a cautious/volatile market judgment on the bond market [3]. - **Buyer's View**: Over 80% of buyers hold a neutral view. The overall view of fixed - income buyers is neutral, and the sentiment index has risen. Currently, among the market's buyer views, 3 are bullish, 25 are neutral, and 1 is bearish [3]. 3. Summary by Relevant Catalogs 3.1 Seller and Buyer Markets - **Seller Market Sentiment Index and Interest - rate Bonds**: The sentiment index has declined. The weighted index this week is - 0.02, and the unweighted index is - 0.03, down 0.29 from last week. Currently, institutions generally hold a neutral - bearish view, with 23% bullish, 50% neutral, and 27% bearish [12]. - **Buyer Market Sentiment Index and Interest - rate Bonds**: The sentiment index has risen. The weighted sentiment index this week is 0.05, and the unweighted index is 0.07, up 0.004 from last week. Currently, institutions generally hold a neutral - bullish view, with 10% bullish, 86% neutral, and 3% bearish [13]. - **Credit Bonds**: The main factors are the stock - bond seesaw and the Fed's dovish signal. In the short term, the strong stock market may continue to suppress the bond market, and the Fed's dovish signal indicates that overseas interest - rate cuts will benefit China's bond market [18]. - **Convertible Bonds**: Institutions generally hold a neutral - bullish view this week. 92% of institutions are bullish, believing that the equity market has a strong long - term upward trend, convertible bonds still face supply - demand mismatch, and the asset shortage supports high valuations. 8% of institutions are neutral, warning of the risks of valuation correction and forced redemptions [19]. 3.2 Treasury Bond Futures Tracking - **Futures Trading**: Prices have decreased across the board, and trading volumes have increased across the board. As of August 22, the prices of TS/TF/T/TL contracts were 102.32 yuan, 105.37 yuan, 107.66 yuan, and 115.98 yuan respectively, down 0.03 yuan, 0.29 yuan, 0.64 yuan, and 1.50 yuan from last Friday. The trading volumes of TS/TF/T/TL contracts in the 5 - day moving average (5MA) perspective were 1280 billion yuan, 1139 billion yuan, 1586 billion yuan, and 2663 billion yuan respectively, up 362.98 billion yuan, 337.95 billion yuan, 353.55 billion yuan, and 608.66 billion yuan from last Friday [24]. - **Spot Bond Trading**: The turnover rates of 30 - year treasury bonds, interest - rate bonds, and 10 - year China Development Bank bonds have all declined. On August 22, the turnover rate of 30 - year treasury bonds was 4.42%, down 0.73 percentage points from last week and 1.27 percentage points from Monday. The weekly average turnover rate was 4.82%. The weekly average turnover rate of interest - rate bonds was 0.88%, down 0.07 percentage points from last week and 0.15 percentage points from Monday. The turnover rate of 10 - year China Development Bank bonds was 4.09%, down 2.11 percentage points from last week and 1.47 percentage points from Monday [30]. - **Basis Trading**: The basis and net basis have generally widened. Except for the narrowing of the basis of the TS main contract, the basis of other main contracts has widened. As of August 22, the basis (CTD) of TS/TF/T/TL main contracts was 0.03 yuan, 0.07 yuan, 0.57 yuan, and 0.95 yuan respectively, with changes of - 0.01 yuan, + 0.07 yuan, + 0.60 yuan, and + 1.06 yuan from last Friday. The net basis of TS/TF/T/TL main contracts was 0.02 yuan, 0.08 yuan, 0.21 yuan, and 0.38 yuan respectively, with changes of - 0.01 yuan, + 0.10 yuan, + 0.26 yuan, and + 0.65 yuan from last Friday. The IRR of main contracts has generally declined [38]. - **Inter - period Spread and Inter - variety Spread**: Both have generally widened. Except for the narrowing of the spread of the TS main futures contract, the spreads of other main futures contracts have widened. As of August 22, the near - month to far - month spreads of TS/TF/T/TL contracts were 0.00 yuan, 0.10 yuan, 0.25 yuan, and 0.54 yuan respectively, with changes of + 0.04 yuan, + 0.09 yuan, + 0.15 yuan, and + 0.09 yuan from last Friday. Except for the narrowing of the spread of the 3*T - TL futures contract, the spreads of other main futures contracts have widened. As of August 22, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL were 99.27 yuan, 103.09 yuan, 301.62 yuan, and 207.07 yuan respectively, with changes of + 0.25 yuan, + 0.06 yuan, + 0.56 yuan, and - 0.25 yuan from last Friday [48][49].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints The report comprehensively analyzes the bond market situation through multiple indicators, showing that last week the bond market sentiment recovered slightly, while the trading activity in the secondary market decreased. The bond - fund issuance increased significantly, and there were changes in the bond - buying behavior of different institutions. The relative valuation of bonds also showed certain fluctuations [1][2]. 3. Summary by Directory 3.1 Bond Market Sentiment - The bond market sentiment index last week was 114.8, up 0.1 from the previous value; the bond market sentiment diffusion index was 50.1%, up 1.3 percentage points from the previous value [1]. 3.2 Institutional Duration - Last Friday, the fund duration was 2.21 years, up 0.01 years from the previous Friday; the rural commercial bank duration was 3.12 years, up 0.02 years; the insurance duration was 6.93 years, down 0.01 years [1]. 3.3 Leverage Ratio - Last week, the pledged repurchase balance was 11.9 trillion yuan, up 0.5 trillion yuan from the previous value; the large - bank net lending balance was 5.0 trillion yuan, up 1.0 trillion yuan; the bond market leverage ratio was 103.8%, up 0.2 percentage points [1]. 3.4 Secondary Market Transactions - Last week, in terms of turnover rate, the 30Y Treasury bond turnover rate was 2.3%, down 1.0 percentage point; the 10Y Treasury bond turnover rate was 0.7%, down 0.2 percentage points; the 10Y China Development Bank bond turnover rate was 28.7%, down 0.5 percentage points; the ultra - long - term credit bond turnover rate was 0.38%, down 0.06 percentage points [1]. 3.5 Institutional Allocation Power - Last week, the newly issued bond - fund shares were 25.1 billion yuan, up 22 billion yuan from the previous value. The stock market risk premium was 1.17%, up 0.02 percentage points; the US dollar index was 98.4, down 0.9. The rural commercial bank bond - allocation index was - 33.3%, up 19.3 percentage points; the insurance bond - allocation index was 50.1%, down 21.4 percentage points; the money - market fund bond - allocation index was 30.1%, down 16.1 percentage points; the insurance's allocation index for Tier 2 and perpetual bonds was - 10.2%, down 18.8 percentage points [2]. 3.6 Primary Market Subscription - Last week, the full - field multiple of Treasury bonds decreased by 1.2 times to 3.1 times, the full - field multiple of local government bonds decreased by 0.4 times to 23.3 times, and the full - field multiple of China Development Bank bonds was 3.5 times, remaining the same as the previous value [2]. 3.7 Relative Valuation - Last week, the spread between 10 - year China Development Bank bonds and Treasury bonds widened by 2.0bp to 8.3bp, the spread between 30 - year and 10 - year Treasury bonds widened by 1.4bp to 25.7bp, the spread between old and new 10 - year China Development Bank bonds narrowed by 0.9bp to 1.2bp, and the spread between 10 - year local government bonds and Treasury bonds widened by 2.1bp to 12.5bp [2].

Report Summary 1. Report Industry Investment Ratings The report does not explicitly mention overall industry investment ratings. Instead, it provides specific investment suggestions for different commodity futures contracts. 2. Core Viewpoints - The market is influenced by various factors such as US trade policies, liquidity, and geopolitical risks, leading to differentiated trends in different sectors [2]. - Different commodities have different supply - demand situations, which affect their price trends and investment opportunities. 3. Summary by Categories Financial Sector - **Stock Index Futures**: Indexes have broken through the upper edge of the short - term shock range, but caution is needed when testing key positions. It is recommended to wait and see for now [2]. - **Treasury Bond Futures**: The central bank's reverse - repurchase operations may boost bond market sentiment. In the medium - term, the curve strategy recommends paying attention to certain operations [2]. - **Precious Metals**: Gold prices are in high - level shock, and silver may have further pulse - type increases, but chasing high should be cautious [2]. Industrial Sector - **Shipping**: The container shipping index (European line) is expected to be in a strong - biased shock, and it is advisable to be cautiously bullish on the 08 contract [2]. - **Steel**: Industrial material demand and inventory are deteriorating. Pay attention to the decline in apparent demand. Arbitrage operations such as long materials and short raw materials can be considered [2]. - **Black Metals**: Market sentiment has improved, and it is recommended to go long on iron ore, coking coal, and coke at low prices [2]. - **Non - ferrous Metals**: The US inventory replenishment has ended. For copper, pay attention to the support level; for aluminum and its alloys, the macro uncertainty is increasing, and the spot market is in a weak season [2]. Energy and Chemical Sector - **Energy**: Oil prices are likely to be in a strong - biased shock. For different chemical products, due to different supply - demand situations, various investment strategies such as waiting and seeing, long - short operations, and attention to price ranges are recommended [2]. Agricultural Sector - Different agricultural products have different price trends. For example, palm oil is strong, while sugar is recommended for short - selling on rebounds. Each product has specific price ranges and investment suggestions [2]. Special and New Energy Sectors - Special commodities such as glass and rubber are affected by macro - atmosphere. For new energy products like polysilicon and lithium carbonate, due to various factors, it is generally recommended to wait and see [2].

Report Industry Investment Rating No relevant content provided. Core Views of the Report - The potential negative factors for the current bond market come from the fundamentals, including economic data disclosure and the progress of Sino-US negotiations. Under the consensus expectation, it is difficult to say that the bond market will reverse. Attention should be paid to the changes in bond market expectations caused by event shocks [2]. - The sentiment index of fixed-income sellers has reached a new high this year, while buyers mainly expect the market to fluctuate, and their sentiment has declined for three consecutive weeks [2]. Summary by Relevant Catalogs 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest Rate Bonds - This week, the weighted tracking index was 0.47, showing a mostly bullish view but lower than last week. The unweighted tracking index was 0.68, up 0.09 from last week. Currently, institutions generally hold a neutral-to-bullish view, with 18 bullish, 6 neutral, and 1 bearish [10]. - 72% of institutions are bullish, with keywords such as weak credit, slow economic recovery, external demand shocks, loose monetary policy, low supply pressure in July, and opportunities for a bullish flattening of the curve after the short end declines [4][10]. - 24% of institutions are neutral, with keywords such as the neutral impact of restarting treasury bonds, and potential disturbances from the stock-bond seesaw and unexpected Sino-US negotiations [4][10]. - 4% of institutions are bearish, with the view that the central bank's bond purchases are not the reason for the decline in interest rates, and the economic recovery in the second half of 2025 is expected to drive up prices and interest rates [4][10]. 1.2 Buyer Market Sentiment Index and Interest Rate Bonds - This week, the tracking sentiment index was 0.13, showing a mostly neutral view and lower than last week. Currently, institutions generally hold a neutral-to-bullish view, with 5 bullish and 18 neutral [11]. - 22% of institutions are bullish, with keywords such as loose funds and a possible quarter-on-quarter weakening of the economic fundamentals in the third quarter [11]. - 78% of institutions are neutral, with keywords such as the reduced expectation of broad credit after the second-quarter monetary policy meeting and the suppression of bond market sentiment by the equity market [11]. 1.3 Credit Bonds - Market hot topics include the recovery of wealth management scale and loose funds. The recovery of wealth management scale may further improve the demand for credit bonds, and loose funds, combined with weak fundamentals, support the overall strength of the bond market and a decline in benchmark interest rates [17]. 1.4 Convertible Bonds - This week, institutions generally hold a neutral-to-bullish view, with 8 bullish and 6 neutral [18]. - 57% of institutions are bullish, believing that with the new bond supply not accelerating significantly on the issuance side, the convertible bond market scale may gradually shrink in the second half of the year, and medium and large-cap convertible bonds among high-quality existing and newly issued bonds are worth attention [18]. - 43% of institutions are neutral, stating that there is still uncertainty about the US tariff increase, and the allocation value of convertible bonds will be better reflected after the valuation is moderately digested [18]. 2. Treasury Bond Futures Tracking 2.1 Futures Trading - Futures prices showed mixed trends. As of July 4, the prices of TS/TF/T/TL treasury bond contracts were 102.51 yuan, 106.26 yuan, 109.10 yuan, and 121.20 yuan respectively, with changes of -0.03 yuan, -0.01 yuan, +0.05 yuan, and +0.31 yuan compared to last Friday [21]. - The trading volume of treasury bond futures generally increased. As of July 4, from a 5MA perspective, the trading volumes of TS/TF/T/TL futures contracts were 640 billion yuan, 622 billion yuan, 766 billion yuan, and 988 billion yuan respectively, with changes of +3.04 billion yuan, +30.63 billion yuan, +77.98 billion yuan, and -19.99 billion yuan compared to last Friday [21]. - The trading-to-holding ratio of treasury bond futures generally increased. As of July 4, from a 5MA perspective, the trading-to-holding ratios of TS/TF/T/TL futures contracts were 0.27, 0.40, 0.38, and 0.85 respectively, with changes of +0.01, +0.03, +0.04, and -0.03 compared to last Friday [22]. 2.2 Spot Bond Trading - The turnover rate of 30-year treasury bonds decreased. On July 4, the turnover rate was 4.03%, down 3.90 percentage points from last week and up 0.61 percentage points from Monday, with an average weekly turnover rate of 4.21%. The weekly average turnover rate of interest rate bonds decreased, and the turnover rate on July 4 was 0.93%, down 0.09 percentage points from last week and up 0.28 percentage points from Monday [29]. - The turnover rate of 10-year China Development Bank bonds increased. On July 4, the turnover rate was 4.91%, up 0.45 percentage points from last week and up 1.60 percentage points from Monday [32]. 2.3 Basis Trading - The basis generally narrowed, while the net basis widened across the board. As of July 4, the basis (CTD) of TS/TF/T/TL main contracts were -0.02 yuan, 0.001 yuan, 0.14 yuan, and 0.25 yuan respectively, with changes of +0.05 yuan, +0.05 yuan, +0.16 yuan, and -0.07 yuan compared to last Friday [39]. - In terms of the net basis, the net basis of main contracts widened. As of July 4, the net basis (CTD) of TS/TF/T/TL main contracts were -0.05 yuan, -0.06 yuan, -0.11 yuan, and -0.11 yuan respectively, with changes of -0.01 yuan, -0.01 yuan, -0.07 yuan, and -0.12 yuan compared to last Friday [41]. - In terms of IRR, the IRR of T and TL main contracts increased, while the others decreased. As of July 4, the IRR (CTD) of TS/TF/T/TL main contracts were 1.65%, 1.69%, 1.89%, and 1.80% respectively, with changes of -0.20%, -0.23%, +0.03%, and +0.14% compared to last Friday [41]. 2.4 Inter-period and Inter-variety Spreads - Inter-period spreads showed mixed trends. As of July 4, the spreads between the near and far months of TS/TF/T/TL contracts were -0.12 yuan, -0.08 yuan, -0.08 yuan, and 0.13 yuan respectively, with changes of +0.01 yuan, -0.005 yuan, -0.07 yuan, and -0.01 yuan compared to last Friday [48]. - Inter-variety spreads of main futures contracts all narrowed. As of July 4, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL were 98.77 yuan, 103.39 yuan, 300.92 yuan, and 206.13 yuan respectively, with changes of -0.06 yuan, -0.07 yuan, -0.19 yuan, and -0.14 yuan compared to last Friday [48].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View Continue to hold and pay attention to short - end performance [1]. 3. Summary by Content Market Performance - Treasury bond futures rose in early trading, were affected by news in the afternoon, and closed higher. Structurally, long - end performed strongly during the day, with TS and TF main contracts flat and others rising. The central bank had a net injection of 173.8 billion yuan as there were no reverse repurchase maturities in the open market [1]. News - The General Office of the CPC Central Committee and the General Office of the State Council issued an opinion on further ensuring and improving people's livelihood and addressing urgent concerns of the public [2]. Market Analysis - The capital interest rate dropped further. The central bank's net injection in the open - market in the morning led to a decline in the capital interest rate, and the overnight inter - bank anonymous rate fell below 1.4% to 1.35%. The inter - bank certificate of deposit (NCD) rate declined, indicating improved liquidity. Currently, the bond market sentiment is good, but the relatively weak performance of short - term bonds does not match the market trend and NCD performance. If this structure continues, the upside potential of long - end bonds will be limited [3]. - There was a new round of China - US economic and trade negotiations in the UK this week. In the afternoon, false news of a China - US agreement caused a temporary drop in treasury bond futures prices. In the short - term, the biggest variable in the China - US negotiations may be a certain reduction of the 20% fentanyl tariff, but complete removal is unlikely. If the trade negotiation is favorable this week, it may be a case of "bad news being fully priced in" for the bond market [3]. Data | Contract | 2025 - 06 - 06 | 2025 - 06 - 05 | Today's Change | Last Week's Same Period | | --- | --- | --- | --- | --- | | TS2509 | 102.448 | 102.434 | 0.014 | 102.35 | | TF2509 | 106.125 | 106.06 | 0.065 | 105.875 | | T2509 | 108.9 | 108.735 | 0.165 | 108.5 | | TL2509 | 119.72 | 119.36 | 0.36 | 118.75 | | TS Basis (CTD) | - 0.0733 | - 0.0721 | - 0.0012 | - 0.0794 | | TF Basis (CTD) | - 0.0287 | - 0.0084 | - 0.0203 | - 0.0397 | | T Basis (CTD) | 0.2587 | - 0.0138 | 0.2725 | 0.3512 | | TL Basis (CTD) | 0.5255 | 0.6076 | - 0.0821 | 0.3512 | | DR001 | 1.4124 | 1.412 | 0.0004 | 0 | | DR007 | 1.5323 | 1.5509 | - 0.0186 | - 0.1007 | | DR014 | 1.5833 | 1.5892 | - 0.0059 | - 0.1352 | [3][4] Charts - The report includes charts on net basis and basis of TS, TF, T, and TL main contracts, long - end interest rate trends, treasury bond spreads (7Y - 2Y), US treasury bond trends, US - China spreads, exchange - traded fund prices, DR and policy anchors, and inter - bank capital transactions [5][10][12][15][16].