国债衍生品周报 2025/09/26 交易咨询观点: 建议密切关注资金面动向和经济基本面数据，保持谨慎观望态势。 国债到期收益率 source： wind % 2Y国债到期收益率 5Y国债到期收益率 10Y国债到期收益率 30Y国债到期收益率 7Y国债到期收益率 24/04 24/08 24/12 25/04 25/08 2 3 资金利率 source： wind % 存款类机构质押式回购加权利率:1天 存款类机构质押式回购加权利率:7天 逆回购利率：7天 23/12 24/06 24/12 25/06 1 2 3 国债期限利差：7Y-2Y bp 国债利差：7Y-2Y 国债期限利差：30Y-7Y bp 国债利差：30Y-7Y source： wind 24/04 24/08 24/12 25/04 25/08 0 20 40 60 source： wind 24/04 24/08 24/12 25/04 25/08 0 20 40 . 80 咨询业务资格：沪证监许可【2012】1515号 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制 ...

1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core View of the Report - The report analyzes the factors affecting the bond market. The positive factors include a stable and loose capital supply, which provides continuous liquidity support and eases the pressure on the bond market, and the slower - than - expected issuance of government bonds, which reduces supply and eases concerns about the "asset shortage". The negative factors are that the manufacturing PMI has risen above 50, enhancing the expectation of economic improvement and suppressing the demand for bonds, and the 10 - year treasury bond variety has undergone shock adjustments, increasing the potential profit - taking pressure and weighing on market sentiment. The trading advice is to pay attention to the allocation value of the 10 - year treasury bond yield in the range of 1.75% - 1.80% and seize the trading opportunities [3]. 3. Summary According to Related Figures 3.1 Bond Yields - The report presents the trends of 2 - year, 5 - year, 7 - year, 10 - year, and 30 - year treasury bond yields from 2024/04 to 2025/04 [4]. 3.2 Interest Rates - The trends of the weighted average interest rate of pledged repurchase by deposit - taking institutions for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 are shown [4]. 3.3 Bond Term Spreads - The trends of the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/04 are presented [4]. 3.4 Bond Futures Positions - The positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are shown [6]. 3.5 Bond Futures Trading Volumes - The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/04 are presented [7]. 3.6 Bond Futures Basis - The trends of the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures for the current - quarter contracts are shown from different time periods: 02/29 - 10/31 for 2 - year, 2024/04 - 2025/04 for 5 - year, 02/29 - 10/31 for 10 - year, and 2023/06 - 2025/06 for 30 - year [8][9][10][14]. 3.7 Bond Futures Inter - delivery Spreads - The trends of the inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented from different time periods: 2024/04 - 2025/04 for 2 - year, 5 - year, and 10 - year, and 2023/06 - 2025/06 for 30 - year [12][13][15][16]. 3.8 Bond Futures Cross - variety Spreads - The trends of the cross - variety spreads of TS*4 - T from 2024/04 to 2025/04 and T*3 - TL from 2023/06 to 2025/06 are presented [17][18].

Group 1: Report Industry Investment Rating - The report does not mention the industry investment rating. Group 2: Core View of the Report - This week, all Treasury bond futures closed lower. The closing prices of the 30 - year (TL), 10 - year (T), 5 - year (TF), and 2 - year (TS) Treasury bond futures in the main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week. The overall Treasury bond futures market showed a trend of rising first and then falling, with prices of all - term contracts declining. Due to the support of loose funding at the short - end, TF and TS performed better than TL and T. After the increase in equity risk appetite, Treasury bond futures were more likely to fall than rise. Although the weak economic data released on Friday morning supported a rebound in the morning session, the market then returned to the bearish direction [4]. Group 3: Summary by Related Catalogs Price and Volume - **Price**: The closing prices of TL, T, TF, and TS main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week [4]. - **Open Interest**: The open interest of the main contracts continued to decline. The open interest of TL, T, TF, and TS main contracts decreased by 26.1%, 28%, 23.3%, and 19.6% respectively compared to last week. The total open interest of all contracts also decreased, with T, TL, TF, and TS decreasing by 0.7%, 1.3%, 5.6%, and 4.6% respectively compared to last week. The total open interest of all Treasury bond futures decreased by 2.83% compared to last week [4]. - **Trading Volume**: The trading volume of Treasury bond futures rebounded significantly compared to last week. The trading volumes of TL, T, TF, and TS main contracts increased by 28%, 21.1%, 8.3%, and 18.9% respectively compared to last week; the trading volumes of all contracts increased by 44.6%, 31.8%, 16.6%, and 20.9% respectively compared to last week [4]. Spread and Ratio - **Inter - delivery Spread**: Except for the unchanged inter - delivery spread of the T variety, the spreads of other varieties widened. From the 09 - 12 month spread, the inter - delivery spread of TL continued to widen, rising by 0.1 yuan; the spreads of TS and TF reversed, rising from a decline to 0.014 yuan and 0.055 yuan respectively; the spread of T remained unchanged compared to last week [4]. - **Long - Short Ratio**: The long - short ratios of the top 20 seats in the main contracts of TL, T, TF, and TS were 0.99, 1.03, 0.93, and 0.93 respectively, changing by - 0.018, + 0.027, - 0.001, and + 0.019 respectively compared to last week. Among them, the long - short ratios of T and TS improved [4]. IRR and Basis - **IRR**: From the perspective of IRR, the IRR corresponding to the CTD of the T and TF main contracts rebounded marginally this week. The IRR corresponding to the CTD of the TL, T, TF, and TS main contracts were - 1.2584%, 2.1507%, 1.5529%, and 1.1675% respectively, changing by - 2.6924%, + 0.7559%, + 0.0154%, and - 0.2929% respectively compared to last week. Among them, TL moved towards the lower extreme, T returned to the 3/4 quantile level of history, and TF and TS were at relatively low levels in history [4]. - **Basis**: The basis of TL and TS widened, while the basis of T and TF converged. The discount of the TL main contract widened by 0.2855 yuan compared to the closing price last week, and the widening of the discount may reflect that the market was more cautious about the future market trend [4]. Technical Analysis - Technically, the bearish sentiment dominated the market this week, and the price of the TL main contract broke through the support level. During the week, TL and T opened and closed lower, with significant declines compared to the closing price last Friday. Based on the trading volume distribution, the trading price of TL was mainly distributed (more than 80%) between about 117.52 - 118.43, while the trading price of T was distributed between about 108.31 - 108.48. According to the closing data on Friday, the prices of the T and TL main contracts both broke below the lower limit of the trading volume distribution center of gravity [4].

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: July 17, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Core Viewpoints - The economic data released this week basically met expectations. Although the economy grew by 5.3% in the first half of the year, achieving the 5% annual target remains challenging if exports decline significantly [11]. - The economic data shows that external demand drives strong production, while domestic demand, including consumption and real estate, is weak and needs further consolidation [11]. - Considering the short - term economic resilience, the third quarter is expected to be a policy observation period. Monetary easing may pick up in October after the economic recovery in the third quarter becomes clear, tariff negotiations conclude, and the Fed cuts interest rates [11][12]. - The bond market is currently constrained by funds. The money market rate has bottomed out and is facing upward pressure during the July tax - payment month, and the short - term rate restricts the decline of the long - term rate [12]. Market Conditions Bond Futures - On July 16, most Treasury bond futures contracts declined slightly. For example, TL2509 fell 0.060 with a decline of 0.05%, and T2509 fell 0.050 with a decline of 0.05% [6]. Interest - rate Bonds - The yields of major inter - bank interest - rate bonds showed a pattern of short - term decline and long - term increase, with a change of less than 1bp. By 16:30, the yield of the 10 - year Treasury bond active bond 250011 rose 0.4bp to 1.6590% [9]. Money Market - The central bank actively offset the tax - period disturbances, and the money market remained stable. There were 755 billion yuan of reverse repurchase maturities, and the central bank conducted 520.1 billion yuan of reverse repurchase operations [10]. - The inter - bank money market sentiment index slightly rebounded, and short - term money market rates declined. The overnight weighted rate of inter - bank deposits fell 6.1bp to 1.47%, and the 7 - day rate fell 4.1bp to around 1.53%. The medium - and long - term funds were stable and loose, and the 1 - year AAA certificate of deposit rate remained stable around 1.62 - 1.63% [10]. Industry News - Wang Huning emphasized the importance of comprehensively expanding domestic demand at a symposium, and relevant research results need to be deepened and applied [13]. - The "old - for - new" housing policy has been implemented in multiple cities, which is expected to boost the real estate market [13]. - Trump announced a 30% tariff on EU imports starting from August 1, which may escalate trans - Atlantic trade conflicts [14]. - The US Trade Representative's Office launched a 301 investigation into Brazil's unfair trade practices [14]. - Fed's Logan said that the Fed needs to maintain high interest rates for a longer time to control inflation, and tariff hikes may cause additional inflationary pressure [14]. Data Overview - The report presents data on Treasury bond futures, including contract prices, trading volumes, and open interests. It also includes information on money market rates and derivatives market curves such as SHIBOR, inter - bank repurchase rates, and interest - rate swap curves [6][29][35]