Group 1 - Report Title: Treasury Bond Futures Weekly: Partially Take Profits and Pay Attention to the Trend of Risk Assets [1] - Researcher: Shen Chen CFA [1] - Futures Practitioner Certificate Number: F3053225 [1] - Investment Consulting Certificate Number: Z0015885 [1] Group 2 - Report Industry Investment Rating: Not provided - Core View: The economic data released this week showed that the GDP deflator repaired faster, and the production side had sufficient resilience, but the improvement on the domestic demand side was limited, with investment and consumption both weaker than expected. The economic data was not necessarily negative for the bond market. After the central bank made it clear that there was still some room for overall easing this year and the yields at the medium - short end had fallen first, more allocation funds entered the market this week, driving the yields at the long end to start a compensatory decline. The current attitude of the central bank towards liquidity injection was warm, and the risks at the medium - short end were relatively controllable, but before the expectation of a policy rate cut significantly increased, the odds of going long at the medium - short end were still limited. The yield of 30Y treasury bonds had fallen by nearly 9bp from the previous high. Considering factors such as the improvement of the domestic "re - inflation" expectation and the concern about the supply of government bonds not being completely eliminated, the stage when the yield at the ultra - long end declined most smoothly might have passed. In the short term, the performance of the ultra - long end would largely depend on the trend of risk assets. [5] - Strategy Recommendation: - Unilateral: Partially take profits on the previous long positions of TL contracts at high prices [6] - Arbitrage: Moderately pay attention to the transaction of shorting the basis of the 30Y active bonds [6] Group 3: First Part - Weekly Core Points Analysis and Strategy Recommendation Economic Data - The Ministry of Finance Deputy Minister Liao Min stated that in 2026, a more proactive fiscal policy would continue to be implemented, and the specific details of subsequent fiscal policies to expand domestic demand were worth close attention [8] - The economic data for December last year and the fourth quarter showed differentiation. The fourth - quarter GDP deflator was - 0.65%, still in the negative range but up 0.44 percentage points from the third quarter. In December, supported by external demand, industrial production had sufficient resilience, and the industrial capacity utilization rate in the fourth quarter rose 0.3 percentage points to 74.9%. However, as a nominal indicator, the repair momentum on the domestic demand side was still weak. In December, the growth rate of domestic fixed - asset investment continued to decline, with the year - on - year growth rates of manufacturing and broad infrastructure investment at - 10.5% and - 16.0% respectively, down 6.1 and 4.1 percentage points from the previous month. The improvement in consumer goods retail was also limited, with the year - on - year growth rate of durable goods consumption by units above the designated size at - 4.3%, also continuing the negative growth trend [13][14] Central Bank's Liquidity Support - The central bank's attitude towards protecting liquidity was clear. On Friday, it over - renewed the due MLF by 70 billion yuan this month. Together with the outright reverse - repurchase operation, it had net injected 1 trillion yuan of medium - and long - term liquidity in a single month, and smooth cross - month of funds was still expected [16] Market Capital Situation - This week, the overall market capital situation was still balanced, and the disturbances caused by the tax period and the increased supply of local bonds were limited. As of Friday's close, DR001 and DR007 were at 1.3983% and 1.4935% respectively. The overnight and 7 - day non - bank capital spreads were 6.71bp and 4.25bp respectively. In terms of long - term funds, the issuance rate of 1Y inter - bank certificates of deposit by joint - stock banks fluctuated and declined this week, and as of Friday, it had fallen to around 1.61%. Next week, as it was the cross - month period and the issuance and payment of government bonds would further increase (more than 515 billion yuan), it was expected that the market capital situation would tighten [23] Futures Bond Valuation - Calculated according to the ChinaBond valuation and the futures settlement price, as of Friday's close, the IRRs of the TS, TF, T, and TL main contracts were 1.4223%, 1.5724%, 1.4680%, and 0.9765% respectively. Statically, the IRR of the TL main contract was relatively low, and the valuations of the main contracts for other tenors were relatively reasonable [29] Ultra - long Bond Spread - Last week, it was suggested that investors could use a moderate reverse thinking for potential negative factors such as the supply pressure of ultra - long bonds and not be overly pessimistic. After the bond market sentiment eased, as of Friday, the spread between the CTD bond of the TL main contract and the active bond of the same tenor (including tax) fell to 5.9bp, down 1.35bp from last Friday. However, affected by factors such as different trading times, the valuation of the TL contract had relatively large fluctuations compared with the spot bonds recently, and the basis had not significantly converged according to the ChinaBond valuation and the futures settlement price [33] Group 4: Second Part - Related Data Tracking Treasury Bond Futures Contract Spreads - It includes the spreads between TS, TF, T, and TL contracts [37] Trading Volume and Open Interest - It shows the trading volume and open - interest data of TS, TF, T, and TL contracts [40] Spot Bond Yields and Spreads - It involves the treasury bond spot yield curve (ChinaBond), treasury bond term spreads (ChinaBond), spreads between treasury bonds and local bonds (ChinaBond), and spreads between 10Y treasury bonds and China Development Bank bonds (ChinaBond) [43] US Treasury Bond Yields and Exchange Rates - It includes the 10 - year US treasury bond yield, the spread between Chinese and US 10 - year treasury bonds, the US dollar index, and the offshore US dollar - to - RMB exchange rate [46]

1. Report Industry Investment Rating - The rating for treasury bonds is "oscillation" [1] 2. Core Viewpoints of the Report - This week, treasury bond futures showed divergent trends, with ultra - long bonds experiencing a significant decline. Next week, mid - short - term bonds are likely to stabilize, while the stabilization of ultra - long bonds remains to be observed [2][3] 3. Summary by Relevant Catalogs 3.1 One - Week Review and Views 3.1.1 This Week's Trend Review - From December 1st to 7th, treasury bond futures showed divergent trends, with TL dropping significantly. By December 5th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.412, 105.755, 107.890, and 112.570 yuan respectively, changing by +0.034, +0.020, - 0.025, and - 1.890 yuan compared to last weekend [2][12] 3.1.2 Next Week's Viewpoint - Mid - short - term bonds are likely to stabilize as the Politburo meeting's policy tone is expected to be positive but not exceed market expectations, and the capital situation is balanced. However, the trading structure of ultra - long bonds is fragile, and whether they can stabilize remains uncertain [3][14] 3.2 Weekly Observation of Interest - Rate Bonds 3.2.1 Primary Market - This week, 78 interest - rate bonds were issued, with a total issuance volume of 430.717 billion yuan and a net financing of - 79.767 billion yuan. The total issuance and net financing of local government bonds were 108.717 billion yuan and 60.493 billion yuan respectively. The issuance and net financing of inter - bank certificates of deposit were 495.910 billion yuan and 47.100 billion yuan respectively [21] 3.2.2 Secondary Market - As of December 5th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.41%, 1.63%, 1.85%, and 2.27% respectively, with changes of - 1.10, + 1.41, + 0.53, and + 8.20 bp compared to last weekend. The 10Y - 1Y and 30Y - 10Y spreads widened, while the 10Y - 5Y spread narrowed [24] 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - As of December 5th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures changed by +0.034, +0.020, - 0.025, and - 1.890 yuan compared to last weekend. The trading volumes this week were 32,320, 73,177, 101,358, and 150,455 lots respectively, with changes of - 10,101, - 20,366, - 31,250, and + 8,160 lots compared to last week. The open interests were 67,038, 143,326, 238,115, and 169,766 lots respectively, with changes of - 2,505, - 11,924, - 22,264, and - 5,537 lots compared to last week [33][36] 3.3.2 Basis and IRR - This week, short - term varieties were relatively stable, while ultra - long bonds dropped significantly. The basis fluctuated and widened. Currently, the IRR of each variety has generally declined, and the positive arbitrage opportunity is not obvious [40] 3.3.3 Inter - period and Inter - variety Spreads - As of December 5th, the inter - period spreads of the 2512 - 2603 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were +0.024, - 0.035, +0.195, and +0.160 yuan respectively, changing by - 0.012, + 0.015, - 0.020, and - 0.070 yuan compared to last weekend [45] 3.4 Weekly Observation of the Capital Situation - This week, the central bank's 7 - day reverse repurchase operation resulted in a net withdrawal of 848 billion yuan. As of December 5th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.50%, 1.44%, 1.30%, and 1.42% respectively, with changes of - 2.59, - 2.88, + 0.00, and - 2.10 bp compared to last weekend. The average daily trading volume of inter - bank pledged repurchase was 7.93 trillion yuan, 0.84 trillion yuan more than last week [48][51][53] 3.5 Weekly Overseas Observation - The US dollar index weakened, and the yield of 10Y US treasury bonds increased. As of December 5th, the US dollar index fell 0.46% to 98.9830 compared to last weekend, the yield of 10Y US treasury bonds was 4.14%, up 12 bp from last weekend, and the spread between Chinese and US 10Y treasury bonds was inverted by 229.1 bp [57] 3.6 Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices generally rose. As of December 5th, the Southern China Industrial Product Index, Metal Index, and Energy and Chemical Index were 3511.97, 6612.13, and 1537.11 points respectively, with changes of + 12.72, + 112.05, and - 16.74 points compared to last weekend. Agricultural product prices also generally rose, with the prices of pork, 28 key vegetables, and 7 key fruits being 17.68, 5.93, and 7.41 yuan/kg respectively, changing by - 0.15, + 0.14, and + 0.19 yuan/kg compared to last weekend [63] 3.7 Investment Suggestions - The downside risk of mid - short - term varieties is basically eliminated. However, whether ultra - long bonds can stabilize remains to be observed. If the price is considered relatively reasonable, short - sellers can moderately realize floating profits, and long - buyers should be cautious [64]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The bond market is oscillating between the expectations of stable growth and monetary easing. The stock market trends, the continued expectation of Fed rate cuts, and the increased uncertainty in global trade are affecting foreign capital inflows. In the short - term, attention should be paid to policy signals at the end of the month [3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI increased by 0.2% month - on - month and year - on - year, while PPI rose 0.1% month - on - month and dropped 2.1% year - on - year [9]. - Monthly economic indicators: Social financing scale reached 437.72 trillion yuan, up 0.64 trillion yuan (0.15%) from the previous month; M2 year - on - year growth was 8.2%, down 0.2 percentage points; Manufacturing PMI was 49.2%, up 0.2 percentage points [10]. - Daily economic indicators: The US dollar index was 98.86, down 0.47 (-0.47%); USD/CNH (offshore) was 7.0585, down 0.012 (-0.18%); SHIBOR 7 - day was 1.43, down 0.01 (-0.56%); DR007 was 1.44, unchanged; R007 was 1.51, down 0.02 (-1.24%); AAA - rated 3 - month interbank certificates of deposit yield was 1.61, up 0.01 (+0.47%); AA - AAA 1 - year credit spread was 0.09, down 0.01 [10]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - Closing prices on December 3, 2025: TS, TF, T, and TL closed at 102.42 yuan, 105.85 yuan, 108.04 yuan, and 113.61 yuan respectively. Their daily changes were 0.03%, 0.07%, 0.06%, and - 0.26% respectively [3]. - Average net basis: TS, TF, T, and TL had average net basis of - 0.051 yuan, - 0.123 yuan, - 0.135 yuan, and - 0.103 yuan respectively [3]. III. Overview of the Money Market Funding Situation - Fiscal situation from January to October 2025: General public budget revenue increased 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth. The revenue completion progress was slightly lower than the historical average. General public budget expenditure increased only 2% year - on - year, slowing down for three consecutive months, mainly due to the lack of impetus after the front - loaded fiscal spending in the first half of the year and the weakening of infrastructure spending. Social security and education spending still grew relatively fast [2]. - Financial situation at the end of October: Social financing and credit expanded at a low level, government bond issuance remained strong, while corporate and household financing demand was weak. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality and a shift from current to time deposits. Long - term bond yields faced upward pressure, and the yield curve steepened [2]. - Central bank operation on December 3, 2025: The central bank conducted 793 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - Money market: The main repo rates for 1D, 7D, 14D, and 1M were 1.301%, 1.426%, 1.465%, and 1.520% respectively, and the repo rates had recently declined [2]. IV. Spread Overview - The report shows various spread trends, including inter - period spreads of treasury bond futures and spreads between spot and futures contracts of different varieties [27][33][34]. V. Two - Year Treasury Bond Futures - The report presents the implied interest rate of the two - year treasury bond futures main contract, the relationship between the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [36][37][46]. VI. Five - Year Treasury Bond Futures - It shows the implied interest rate of the five - year treasury bond futures main contract, the relationship between the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [48][52]. VII. Ten - Year Treasury Bond Futures - The report includes the implied yield of the ten - year treasury bond futures main contract, the relationship between the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [55][56]. VIII. Thirty - Year Treasury Bond Futures - It presents the implied yield of the thirty - year treasury bond futures main contract, the relationship between the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [62][64][68]. 4. Strategies - Unilateral strategy: With the decline in repo rates, treasury bond futures prices are oscillating [4]. - Arbitrage strategy: Pay attention to the decline of the 2603 basis [4]. - Hedging strategy: There is medium - term adjustment pressure, and short - position holders can moderately hedge with far - month contracts [4].

Report Industry Investment Rating No information provided. Core Viewpoints The bond market this week showed characteristics of weak and stable oscillations, being repeatedly driven by the stock - bond seesaw and sentiment. The market is influenced by factors such as macro - policies, inflation, fiscal and financial conditions, and central bank operations. The overall trend is weakly oscillating [1][2][3]. Summary by Related Catalogs Market Analysis Macro - economic Aspect - On October 27, the central bank restarted open - market treasury bond trading operations, releasing a clear signal to stabilize expectations. On October 30, the China - US economic and trade teams reached consensus on three aspects, including resolving the TikTok issue, the US suspending relevant investigations and export control rules, and canceling the "fentanyl tariff". China will continue to suspend the 24% additional tariff on US goods for one year and retain the 10% tariff [1]. - In October, the CPI increased by 0.2% year - on - year [1]. Fiscal Aspect - From January to October 2025, fiscal operations showed the characteristics of "moderate revenue recovery, a slowdown in expenditure rhythm, and a co - existence of fund contraction and a slowdown in special bonds". General public budget revenue increased by 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months, mainly due to insufficient follow - up force from the front - loaded fiscal efforts in the first half of the year and weak infrastructure spending [2]. Financial Aspect - At the end of October, social financing and credit maintained low - level expansion, while government bond issuance remained strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened, reflecting weak business vitality in the real economy and a return from current to time deposits. Interest - rate products faced upward pressure on long - term yields and a steeper yield curve [2]. Central Bank Operations - On November 21, 2025, the central bank conducted 375 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity bidding [2]. Money Market - The main term repurchase rates for 1D, 7D, and 14D were 1.32%, 1.44%, and 1.53% respectively, and the repurchase rates have recently declined [2]. Market Conditions - On November 21, 2025, the closing prices of TS, TF, T, and TL were 102.46 yuan, 105.86 yuan, 108.43 yuan, and 115.57 yuan respectively. Their weekly price changes were - 0.02%, - 0.05%, - 0.05%, and - 0.75% respectively [3]. - The average net basis spreads of TS, TF, T, and TL were 0.01 yuan, 0.03 yuan, 0.00 yuan, and 0.17 yuan respectively [3]. Strategies - **Unilateral Strategy**: With the decline in repurchase rates and the oscillating treasury bond futures prices, the 2512 contract is neutral [4]. - **Arbitrage Strategy**: Pay attention to the widening of the 2512 basis spread [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - position holders can use far - month contracts for appropriate hedging [4].

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The economic fundamentals' continuous repair and the implementation of broad fiscal policies require a low - interest - rate environment. The market generally expects the central bank to purchase medium - and short - term bonds, which may lead to a decline in short - term interest rates and potentially drive long - term interest rates down. However, there is a need to be vigilant about the potential suppression of long - term interest rates by the recovery of risk appetite. It is recommended to buy on dips with a light position [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: T, TF, and TL main contract closing prices decreased by 0.09%, 0.03%, and 0.28% respectively, while the TS main contract rose 0.01%. T, TF, and TL main contract trading volumes increased by 10433, 628, and 8267 respectively, and the TS main contract volume increased by 8855 [2]. - **Futures Spreads**: The spreads of TL2512 - 2603, T2512 - 2603, TF2512 - 2603, and TS2512 - 2603 changed by - 0.03, + 0.02, + 0.00, and + 0.01 respectively. Other spreads also had corresponding changes [2]. - **Futures Positions**: T, TF, and TL main contract positions decreased by 1354, 835, and 2186 respectively, while the TS main contract position increased by 894. The net short positions of T decreased by 165, while those of TF, TS, and TL increased by 1591, 621, and 88 respectively [2]. 3.2 CTD and Active Bonds - **CTD Net Prices**: Most CTD net prices decreased, such as 220017.IB decreasing by 0.1185, 250018.IB decreasing by 0.0744, etc., while 250012.IB increased by 0.0038 [2]. - **Active Bond Yields**: The yields of 1y, 3y, 7y, and 10y active bonds changed by 0bp, + 1bp, + 0.05bp, and + 0.25bp respectively, while the yields of 5y decreased by 0.15bp [2]. 3.3 Interest Rates - **Short - term Interest Rates**: The silver - pledged overnight and Shibor overnight rates decreased by 4.23bp and 0.20bp respectively, while the silver - pledged 7 - day rate increased by 1.50bp and the Shibor 7 - day rate decreased by 0.20bp [2]. - **LPR Rates**: The 1y and 5y LPR rates remained unchanged [2]. 3.4 Open Market Operations - The issuance scale of open - market operations was 92.8 billion yuan, the maturity scale was 342.6 billion yuan, and the net investment was - 249.8 billion yuan [2]. 3.5 Industry News - China announced specific measures to implement the consensus of the China - US economic and trade consultations in Kuala Lumpur, including canceling and suspending a number of reciprocal tariff measures [2]. - China's October S&P Services PMI was 52.6, and the Composite PMI was 51.8 [2]. - Premier Li Qiang attended the opening ceremony of the 8th China International Import Expo and stated that China will adhere to high - quality development and high - level opening - up [2]. 3.6 Market Situation - On Thursday, the yields of treasury bond cash bonds weakened collectively, and treasury bond futures showed short - term strength and medium - to long - term weakness. The DR007 weighted average rate fluctuated around 1.43%. The central bank's net investment in open - market treasury bond trading in October was 2 billion yuan [2]. - Domestically, the manufacturing PMI in October decreased by 0.8% to 49%, while the non - manufacturing PMI returned to the expansion range. Overseas, the US ADP added 42,000 new jobs in October, but the labor market recovery outlook remains unclear. The Fed cut interest rates by 25 basis points in October and will end the balance - sheet reduction on December 1st [2]. 3.7 Key Events to Watch - On November 6th at 22:00, the Bank of England will announce its interest - rate decision, meeting minutes, and monetary policy report. - On November 10th at 07:50, the Bank of Japan will announce the summary of the opinions of the deliberation members of the October monetary policy meeting [3].

Market Performance - Treasury futures closed lower across the board, with the 30-year main contract down 0.34%, the 10-year main contract down 0.12%, the 5-year main contract down 0.07%, and the 2-year main contract down 0.02% [1] - The yields on major interbank bonds showed mixed performance, with long-term bonds underperforming; the yield on the 10-year government bond "25附息国债16" rose by 0.95 basis points to 1.8370%, and the yield on the 30-year government bond "25超长特别国债06" increased by 1 basis point to 2.1950% [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 212.5 billion yuan at a fixed rate of 1.40%, with the same amount being the bid and awarded [2] - On the same day, 236 billion yuan of reverse repos matured, resulting in a net withdrawal of 23.5 billion yuan [2] - The interbank market remains stable, with overnight repurchase rates hovering around 1.31% for several days, while non-bank institutions have been borrowing against certificates of deposit and credit bonds at rates between 1.40% and 1.45% [2] Policy Developments - The Fourth Plenary Session of the 20th Central Committee of the Communist Party of China was held from October 20 to 23, 2025, outlining major goals for the "14th Five-Year Plan" period, including significant achievements in high-quality development and technological self-reliance [3] - By 2035, the goals include a substantial increase in economic, technological, and national defense strength, with the aim of achieving a per capita GDP at the level of moderately developed countries [3] Operational Suggestions - The bond market experienced fluctuations with mixed closing results, lacking direction ahead of major meetings and new regulations [4] - It is suggested to focus on new policy guidance from upcoming press conferences and the status of China-U.S. trade negotiations, with a recommendation for a wait-and-see approach for unilateral strategies [4]

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market sentiment is fragile. The recovery of risk appetite suppresses the bond market. Meanwhile, the expectation of continued interest rate cuts by the Federal Reserve and the increasing global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.00% month - on - month change and a - 0.40% year - on - year change; China's PPI (monthly) has a 0.00% month - on - month change and a - 2.90% year - on - year change [9]. - Social financing scale is 433.66 trillion yuan, with a month - on - month increase of 2.40 trillion yuan and a growth rate of 0.56%; M2 year - on - year is 8.80%, with no month - on - month change; manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% and a growth rate of 0.20% [10]. - The US dollar index is 98.48, with a day - on - day increase of 0.63 and a growth rate of 0.64%; the offshore US dollar against the Chinese yuan is 7.1292, with a day - on - day increase of 0.010 and a growth rate of 0.14%; SHIBOR 7 - day is 1.58, with a day - on - day decrease of 0.01 and a decline rate of 0.38%; DR007 is 1.60, with a day - on - day increase of 0.02 and a growth rate of 0.96%; R007 is 1.51, with a day - on - day decrease of 0.05 and a decline rate of 3.26%; the yield of inter - bank certificates of deposit (AAA) for 3 months is 1.61, with a day - on - day increase of 0.00 and a growth rate of 0.12%; the AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 and a growth rate of 0.12% [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market The report provides multiple figures about the treasury bond futures market, including the closing price trend, price change rate, precipitation of funds, position ratio, net position ratio, long - short position ratio, spread between national development bonds and treasury bonds, and treasury bond issuance [15][17][19]. 3. Overview of the Money Market Fundamentals It provides figures on bank - to - bank pledged repurchase transaction statistics and local government bond issuance [29]. 4. Spread Overview It includes figures on Shibor interest rate trends, yields of inter - bank certificates of deposit (AAA) at maturity, cross - period spreads of treasury bond futures, and spreads between spot bond term spreads and futures cross - variety spreads [32][35]. 5. Two - Year Treasury Bond Futures The report provides figures on the implied interest rate and treasury bond yield of the two - year treasury bond futures main contract, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [52][55]. 6. Five - Year Treasury Bond Futures It provides figures on the implied interest rate and treasury bond yield of the five - year treasury bond futures main contract, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [57][61]. 7. Ten - Year Treasury Bond Futures The report provides figures on the implied yield and treasury bond yield of the ten - year treasury bond futures main contract, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [64][66]. 8. Thirty - Year Treasury Bond Futures It provides figures on the implied yield and treasury bond yield of the thirty - year treasury bond futures main contract, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [71][77]. Strategy - Unilateral: As the repurchase rate rises, the price of treasury bond futures fluctuates [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].

Report Summary 1. Investment Rating The report does not provide an investment rating for the industry. 2. Core Views - The bond market showed a mixed performance last week. Although social financing data increased year-on-year, it was mainly driven by government bonds, and credit demand remained weak. The manufacturing PMI was below the boom-bust line, strengthening the market's judgment of weak economic conditions and supporting the bond market. Geopolitical tensions and external uncertainties increased risk aversion, which was also beneficial to the bond market. However, the Lujiazui Forum did not introduce unexpectedly loose measures, cooling the market's expectations of the central bank's bond trading. The bond market generally rose due to the unchanged LPR in June, the weak stock market, and the relatively stable capital situation. The market's expectations for loose policies in the second half of the year increased, and trading in ultra-long-term bonds was active, but overall, it was still affected by the policy vacuum period [3]. 3. Summary by Section 3.1 Interest Rate Pricing Tracking Indicators - The monthly Chinese CPI decreased by -0.10% year-on-year, and the PPI decreased by -3.30% year-on-year. The social financing scale was 426.16 trillion yuan, with a month-on-month increase of 2.16 trillion yuan and a growth rate of +0.51%. M2 decreased by -0.10% month-on-month, with a decline rate of -1.25%. The manufacturing PMI was 49.50%, with a month-on-month increase of 0.50% and a growth rate of +1.02%. The daily updated indicators included the US Dollar Index, USD/CNH (offshore), SHIBOR 7-day, DR007, R007, AAA-rated negotiable certificates of deposit (NCD) 3M, and AA-AAA credit spread (1Y) [8]. 3.2 Overview of Treasury Bonds and Treasury Bond Futures Market - On June 23, 2025, the closing prices of TS, TF, T, and TL were 102.53 yuan, 106.28 yuan, 109.16 yuan, and 121.29 yuan respectively. The price changes were -0.01%, 0.00%, -0.01%, and -0.04% respectively. The average net basis spreads of TS, TF, T, and TL were -0.068 yuan, -0.049 yuan, -0.087 yuan, and -0.396 yuan respectively [2]. 3.3 Overview of Money Market Capital - On June 23, 2025, the central bank conducted a 7-day reverse repurchase operation of 220.5 billion yuan at a fixed interest rate of 1.5%. The main term repurchase rates, including 1D, 7D, 14D, and 1M, were 1.367%, 1.497%, 1.713%, and 1.620% respectively, and the repurchase rates had recently declined [2]. 3.4 Overview of Spreads - The report provides various spread trend charts, including the inter - delivery spread trends of treasury bond futures, the term spread between spot bonds and cross - variety spreads in futures (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [7][39][43]. 3.5 Two - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the TS main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the TS main contract and the capital rate, the basis spread trend of the TS main contract in the past three years, and the net basis spread trend of the TS main contract in the past three years [46][49][59]. 3.6 Five - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the TF main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the TF main contract and the capital rate, the basis spread trend of the TF main contract in the past three years, and the net basis spread trend of the TF main contract in the past three years [55][59][61]. 3.7 Ten - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the T main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the T main contract and the capital rate, the basis spread trend of the T main contract in the past three years, and the net basis spread trend of the T main contract in the past three years [66][69][71]. 3.8 Thirty - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the TL main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the TL main contract and the capital rate, the basis spread trend of the TL main contract in the past three years, and the net basis spread trend of the TL main contract in the past three years [74][77][80].