Report Overview - Report Title: "Treasury Bond Futures Delivery Review and Analysis of the 2512 Contract Delivery" - Report Date: November 7, 2025 - Analysts: Yu Kan, Song Ziyu (Contact) 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The delivery volume and delivery rate of the 2503 and 2506 contracts were generally at historical highs due to strong bullish sentiment in the bond market, which pushed up the IRR and attracted arbitrage funds to participate in delivery. The 2509 contract was affected by the VAT policy, leading to increased demand for old bonds and a significant decline in the delivery volume of TF and T contracts, while TS and TL maintained relatively high delivery levels due to short - term IRR opportunities. For the 2512 contract, TS and TF are expected to maintain low delivery volume and delivery rate, while TL may continue the high - delivery trend due to high IRR game cost - effectiveness [2]. 3. Summary by Relevant Catalogs 3.1 Historical Delivery Situation梳理 - After the volatile market from August to October, the treasury bond futures market experienced a relatively mild recovery from late October to November. As the 2512 contract is about to enter the delivery month, the delivery volume and rate of this round are difficult to determine. For the 2503 contract, except for the 10 - year treasury bond futures T2503, the delivery volume and rate of other contracts were at relatively high historical levels. For the 2506 contract, except for the 30 - year treasury bond futures TL2506, the delivery volume and rate of other contracts were also at historical highs, with T2506 and TF2506 reaching new highs. The main reason was the high IRR compared to the capital cost during March - April 2025, which led to more arbitrage opportunities [5]. - Since August 8, 2025, the restoration of VAT on the interest income of treasury bonds, local bonds, and financial bonds affected the 2509 contract. New bonds would be subject to VAT, making old bonds more popular, and affecting the delivery willingness of both short and long sides. TF2509 and T2509 saw varying degrees of decline in delivery volume and rate, with T2509 hitting a new low since 2023. TL2509 maintained a high level, possibly due to short - term IRR opportunities in mid - August. Overall, TF and T of the 2509 contract had below - average delivery volume and rate, while TS and TL maintained a certain high level due to short - term IRR opportunities [6]. - For different varieties of the 2509 contract, the delivery time characteristics were different. The largest delivery of TS2509 occurred on the first trading day of September, and then the delivery volume decreased as the delivery approached. TF2509's largest delivery was on the last delivery day, mainly concentrated on September 10 (1520 lots) and September 12 (4890 lots). T2509's delivery was mainly distributed on the last delivery day and two days before, with the largest delivery volume of 1820 lots on September 11. TL2506's main delivery volume was concentrated on the last delivery day, reaching 5070 lots [10]. 3.2 2512 Contract Delivery Situation Analysis - As of November 2025, the average positions of TS2512, TF2512, T2512, and TL2512 were 67,788 lots, 136,749 lots, 232,208 lots, and 146,206 lots respectively. Currently, TS and TF are at the lowest average position levels in the past three quarters, showing a significant decline compared to the past. On the contrary, T and TL are at the highest historical average position levels. In terms of IRR opportunities, except for TL which had some short - term high - cost - effectiveness IRR opportunities compared to the capital cost, other contracts had few IRR opportunities. Therefore, except for TL, the delivery volume and rate of other treasury bond futures may remain relatively low, while TL2512 may continue to maintain a high level [11]. 3.3 Conclusion - Overall, the final delivery situation of the 2512 contract needs to be comprehensively considered from aspects such as IRR level, spot bond liquidity, short - and long - term interest rate strength, and futures positions. Based on the delivery situations of the 2509 and 2506 contracts, except for TL2512, the delivery volume and rate of the 2512 contract may be relatively low. However, when the IRR level fluctuates sharply due to market sentiment or is affected by macro - events, the expectations of delivery volume and rate will also change [20].

Report Overview - The report focuses on the delivery of Treasury bond futures, specifically analyzing the historical delivery situation and the potential delivery trends of the 2509 contract, while also introducing the concept, process, benefits of Treasury bond futures delivery, and the advantages of Guotai Junan Futures in delivery [2][6][22] 1. Industry Investment Rating - No industry investment rating is provided in the report 2. Core Viewpoints - The historical delivery volume and delivery rate of Treasury bond futures have been rising, and the 2509 contract has a high position - holding volume and significant arbitrage opportunities, indicating that the delivery volume may remain high. However, the new VAT policy may change the delivery logic and expectations, potentially leading to a lower - than - expected delivery volume [2] - The final delivery situation of the 2509 contract needs to be comprehensively considered from aspects such as IRR level, cash - bond liquidity, short - and long - term interest rate strength, futures position - holding volume, combined with the delivery willingness of the short side and the bond - taking willingness of the long side [20] 3. Summary by Directory 3.1 Historical Delivery Situation and 2509 Delivery Highlights 3.1.1 Historical Delivery Situation - From 2303 to 2506, the average position - holding volume of four Treasury bond futures contracts (except TS) showed an upward trend. The delivery volume and delivery rate of some contracts, such as T2506 and TF2506, reached historical highs. The delivery time characteristics of different varieties in the 2506 contract vary [6][8] - In terms of positive arbitrage opportunities, TS2506 and TF2506 had relatively more positive arbitrage opportunities, leading to stronger short - side delivery willingness. T2506 and TL2506 had fewer positive arbitrage opportunities but still had some short - side delivery due to such opportunities [10] - From the long - side perspective, in the two months before the 2506 delivery, the short - end was strong and the long - end was weak. The long - side's bond - taking attitude varied depending on the liquidity of the delivery bonds [15] 3.1.2 2509 Contract Delivery Situation Analysis - The average IRR levels of TS2509, TF2509, T2509, and TL2509 in the past month are all higher than the R007 average level, indicating positive arbitrage space. The position - holding volume of the 2509 contract is at a relatively high level in the same period of history. Without considering the VAT impact, the delivery volume and delivery rate of the 2509 contract may reach historical highs [19] - After the VAT policy change, new bonds will be subject to VAT, making old bonds more popular. The short - side's delivery willingness may decrease, while the long - side's bond - taking willingness may increase, which may drive the futures price up and the intraday IRR to rise [19] 3.1.3 Conclusion - The final delivery situation of the 2509 contract needs comprehensive consideration. Based on the previous contracts, the delivery volume and delivery rate of the 2509 contract may remain high, but the VAT policy may cause the delivery volume and rate to be lower than expected [20] 3.2 Concept and Basic Process of Treasury Bond Futures Delivery - Treasury bond futures delivery is the process of fulfilling the contract through the transfer of physical bonds at the contract's expiration. It uses a physical delivery system to ensure the convergence of futures and spot prices. The main participants include the short side, the long side, the exchange, and the settlement institution [22] - The delivery months are March, June, September, and December, and the last trading day is the second Friday of the contract month. The delivery includes rolling delivery and concentrated delivery, and there are two delivery modes: general mode and DVP mode [22][23] 3.3 Benefits of Treasury Bond Futures Delivery - For the short side: It can lock in the selling price for positive arbitrage investors, eliminate basis risk for institutions hedging bond portfolios, provide a selling channel for illiquid bonds, and offer time and bond - type selection rights [24] - For the long side: It can ensure the receipt of qualified bonds, obtain cost - effective CTD bonds, gain interest - rate spread benefits in a loose - money environment, and help obtain old bonds not subject to VAT [25] 3.4 Advantages of Guotai Junan Futures in Delivery - Guotai Junan was the first member to handle Treasury bond delivery for clients after the listing of Treasury bond futures. In the first half of 2025, its Treasury bond delivery volume accounted for 23.12% of the market, ranking among the top in the industry [26] - It provides a professional institutional service platform with full - process electronic CFFEX business, no need for stamping, and real - time progress tracking [26] - It offers total - to - total services, including pre - confirming bond account status, sending delivery calendar reminders, and confirming bond settlement status [26] - It has in - depth experience in serving clients' Treasury bond collateral business and has won relevant honorary awards from China Central Depository & Clearing Co., Ltd. for five consecutive years [27]

Core Viewpoint - The China Financial Futures Exchange has announced the addition of a new 5-year government bond to the deliverable bonds for futures contracts, indicating a strategic move to enhance the liquidity and trading options in the bond market [1] Group 1: Announcement Details - The new government bond is part of the special treasury bonds issued by central financial institutions, specifically the first phase scheduled for 2025 [1] - The bond meets the deliverable bond criteria for contracts TF2506, TF2509, and TF2512, with conversion factors of 0.9312, 0.9345, and 0.9378 respectively [1] - The bond will be included in the deliverable bond range starting from the next trading day after its listing, allowing for declaration of delivery intentions [1] Group 2: Information Access - Relevant information regarding the new bond can be accessed through the participant service platform and the exchange's official website [1]