Report Industry Investment Rating No relevant content provided. Core Viewpoints -受股市行情带动，LPR保持不变，宽财政强于宽货币预期、配置盘犹豫与交易盘主导，同时美联储降息预期延续、全球贸易不确定性上升增加了外资流入的不确定性，期债震荡走跌 [3] -当前财政体现为稳总量、调结构、托底为主，短期对经济形成一定支撑，但更强拉动仍有赖于准财政资金和明年政策加码的进一步落地 [2] -在需求走弱与政策宽松预期并存背景下，后续稳增长仍更依赖货币侧发力 [2] Summary by Directory 1. Interest Rate Pricing Tracking Indicators -物价指标方面，中国CPI（月度）环比 -0.10%，同比 0.70%；中国PPI（月度）环比 0.10%，同比 -2.20% [9] -经济指标（月度更新）中，社会融资规模 440.07 万亿元，环比 +2.35 万亿元，环比变化率 +0.54%；M2同比 8.00%，环比 -0.20%，环比变化率 -2.44%；制造业PMI 49.20%，环比 +0.20%，环比变化率 +0.41% [10] -经济指标（日度更新）中，美元指数 98.00，环比 -0.06，环比变化率 -0.06%；美元兑人民币（离岸）7.0081，环比 +0.006，环比变化率 +0.08%；SHIBOR 7天 1.56，环比 +0.11，环比变化率 +7.60%等 [10] 2. Overview of Treasury Bonds and Treasury Bond Futures Market -展示了国债期货主力连续合约收盘价走势、各品种涨跌幅情况、各品种沉淀资金走势、持仓量占比、净持仓占比（前20名）、多空持仓比（前20名）、国开债 - 国债利差、国债发行情况等图表 [12][15][17][21] 3. Overview of Money Market Liquidity -展示了Shibor利率走势、同业存单（AAA）到期收益率走势、银行间质押式回购成交统计、地方债发行情况等图表 [26][28] 4. Spread Overview -展示了国债期货各品种跨期价差走势、现券期限利差与期货跨品种价差（4*TS - T、2*TS - TF、2*TF - T、3*T - TL、2*TS - 3*TF + T）等图表 [33][37][40][41] 5. Two - Year Treasury Bond Futures -展示了两年期国债期货主力合约隐含利率与国债到期收益率、TS主力合约IRR与资金利率、TS主力合约近三年基差走势、近三年净基差走势等图表 [39][42][49] 6. Five - Year Treasury Bond Futures -展示了五年期国债期货主力合约隐含利率与国债到期收益率、TF主力合约IRR与资金利率、TF主力合约近三年基差走势、近三年净基差走势等图表 [53][57] 7. Ten - Year Treasury Bond Futures -展示了十年期国债期货主力合约隐含收益率与国债到期收益率、T主力合约IRR与资金利率、T主力合约近三年基差走势、近三年净基差走势等图表 [60][63] 8. Thirty - Year Treasury Bond Futures -展示了三十年期国债期货主力合约隐含收益率与国债到期收益率、TL主力合约IRR与资金利率、TL主力合约近三年基差走势、近三年净基差走势等图表 [67][70][73] Strategies -单边策略：回购利率回落，国债期货价格震荡 [4] -套利策略：关注2603基差回落 [4] -套保策略：中期存在调整压力，空头可采用远月合约适度套保 [4]

Report Summary 1. Industry Investment Rating - Not mentioned in the report. 2. Core Viewpoints - The bond market has been declining, with all Treasury bond futures closing down. The bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month. Influenced by the stock market, along with the continuation of the Fed's interest - rate cut expectations and the increase in global trade uncertainties, the inflow of foreign capital is also uncertain [1][3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) had a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - Economic indicators (monthly update): The social financing scale was 437.72 trillion yuan, with a 0.64 - trillion - yuan month - on - month increase and a 0.15% growth rate; M2 year - on - year was 8.20%, with a - 2.38% change rate; the manufacturing PMI was 49.20%, with a 0.41% growth rate [10]. - Economic indicators (daily update): The US dollar index was 99.06, with a 0.20% growth rate; the US dollar against the offshore RMB was 7.0638, with a 0.08% growth rate; SHIBOR 7 - day was 1.42, with a - 0.14% change rate; DR007 was 1.44, with a - 0.23% change rate; R007 was 1.51, with a - 1.24% change rate; the 3 - month inter - bank certificate of deposit (AAA) was 1.62, with a 1.20% growth rate; the AA - AAA credit spread (1Y) was 0.09, with a 1.20% growth rate [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - The report presents multiple charts including the closing price trend, price change rate, precipitation of funds, position ratio, net position ratio (top 20), long - short position ratio (top 20), spread between national development bonds and Treasury bonds, and Treasury bond issuance of Treasury bond futures main contracts [13][14][22]. III. Overview of the Money Market Liquidity - The report shows charts of Shibor interest rate trends, inter - bank certificate of deposit (AAA) maturity yield trends, inter - bank pledged repurchase transaction statistics, and local government bond issuance [25][26]. IV. Spread Overview - The report provides charts of the term spread of spot bonds and cross - variety spreads of futures, such as (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [33][34][36]. V. Two - Year Treasury Bond Futures - The report includes charts of the implied interest rate and Treasury bond maturity 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 [36][37][46]. VI. Five - Year Treasury Bond Futures - The report shows charts of the implied interest rate and Treasury bond maturity 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 [48][52]. VII. Ten - Year Treasury Bond Futures - The report presents charts of the implied yield and Treasury bond maturity 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 [55][56]. VIII. Thirty - Year Treasury Bond Futures - The report includes charts of the implied yield and Treasury bond maturity 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 [62][68]. 4. Strategies - Unilateral strategy: As the repurchase rate declines, the price of Treasury bond futures falls [4]. - Arbitrage strategy: Pay attention to the decline of the 2603 basis [4]. - Hedging strategy: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for moderate hedging [4].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Affected by the central bank's restart of treasury bond trading and the continued expectation of a Fed rate cut, most treasury bond futures closed higher yesterday. Overall, the increasing global trade uncertainty adds to the uncertainty of foreign capital inflows. 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 by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI had a 0.10% month - on - month change and a - 0.30% year - on - year change; China's monthly PPI had a 0.00% month - on - month change and a - 2.30% year - on - year change [9]. - Monthly economic indicators: The social financing scale was 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year was 8.40%, with a - 0.40% change (-4.55%); the manufacturing PMI was 49.80%, with a +0.40% month - on - month change (+0.81%) [10]. - Daily economic indicators: The US dollar index was 99.13, with a +0.42 month - on - month change (+0.43%); the offshore US dollar to RMB exchange rate was 7.0972, with a +0.000 month - on - month change (+0.00%); SHIBOR 7 - day was 1.51, with a - 0.02 month - on - month change (-1.18%); DR007 was 1.55, with a - 0.01 month - on - month change (-0.82%); R007 was 1.53, with a +0.02 month - on - month change (+1.49%); the 3 - month inter - bank certificate of deposit (AAA) was 1.59, with a - 0.01 month - on - month change (-0.32%); the AA - AAA credit spread (1Y) was 0.09, with a +0.00 month - on - month change (-0.32%) [11]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - Multiple charts are provided to show the situation of the treasury bond and treasury bond futures market, including the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each variety of treasury bond futures, the precipitation of funds in each variety of treasury bond futures, the position ratio of each variety of treasury bond futures, etc. [15][16][18] III. Overview of the Money Market Funding Situation - Multiple charts are provided to show the money market funding situation, including the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the local government bond issuance situation [28][31] IV. Spread Overview - Multiple charts are provided to show the spread situation, including the inter - period spread trend of each variety of treasury bond futures, the term spread of spot bonds and the cross - variety spread of futures [37][40][44] V. Two - Year Treasury Bond Futures - Multiple charts are provided to show the situation of two - year treasury bond futures, including the implied interest rate of the main contract of two - year treasury bond futures and the treasury bond maturity yield, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, etc. [42][46][54] VI. Five - Year Treasury Bond Futures - Multiple charts are provided to show the situation of five - year treasury bond futures, including the implied interest rate of the main contract of five - year treasury bond futures and the treasury bond maturity yield, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, etc. [56][60][61] VII. Ten - Year Treasury Bond Futures - Multiple charts are provided to show the situation of ten - year treasury bond futures, including the implied yield of the main contract of ten - year treasury bond futures and the treasury bond maturity yield, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, etc. [63][65][66] VIII. Thirty - Year Treasury Bond Futures - Multiple charts are provided to show the situation of thirty - year treasury bond futures, including the implied yield of the main contract of thirty - year treasury bond futures and the treasury bond maturity yield, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, etc. [70][72][76] Strategy - Unilateral: With the decline of repurchase interest rates, be cautiously bullish on 2512 [4]. - Arbitrage: Pay attention to the basis rebound of 2512 [4]. - Hedging: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4].

Report Industry Investment Rating No relevant content provided. Core View of the Report Affected by the central bank's restart of treasury bond trading and the expectation of a Fed rate cut, the treasury bond futures closed higher the previous day. Overall, the rising global trade uncertainty increases the uncertainty of foreign capital inflows. The bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [4]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - China's monthly CPI has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; PPI has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [10]. - The social financing scale is 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year is 8.40%, with a month - on - month decrease of 0.40% (-4.55%); the manufacturing PMI is 49.80%, with a month - on - month increase of 0.40% (+0.81%) [10]. - The dollar index is 98.71, with a day - on - day decrease of 0.10 (-0.10%); the offshore dollar - to - RMB exchange rate is 7.0974, with a day - on - day decrease of 0.015 (-0.21%); SHIBOR 7 - day is 1.53, with a day - on - day decrease of 0.01 (-0.78%); DR007 is 1.56, with a day - on - day decrease of 0.02 (-1.50%); R007 is 1.53, with a day - on - day increase of 0.02 (+1.49%); the 3 - month inter - bank certificate of deposit (AAA) is 1.59, with a day - on - day decrease of 0.01 (-0.77%); the AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 (-0.77%) [10]. II. Overview of Treasury Bonds and Treasury Bond Futures Market No specific content other than the indication of relevant figures (such as the closing price trends, price change rates, etc. of treasury bond futures) is provided. The figures include the closing price trends, price change rates, precipitation funds trends, positions ratios, net positions ratios (top 20), long - short positions ratios (top 20), the spread between national development bonds and treasury bonds, and treasury bond issuance [14][16][18][22]. III. Overview of the Money Market Fundamentals The figures include Shibor interest rate trends, the maturity yield trends of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and local government bond issuance [26][27]. IV. Spread Overview The figures include the inter - period spread trends of various treasury bond futures, and the term spreads of spot bonds and cross - variety spreads of futures (such as 4*TS - T, 2*TS - TF, 2*TF - T, 3*T - TL, 2*TS - 3*TF + T) [33][38][39]. V. Two - Year Treasury Bond Futures The figures include the implied interest rate and the maturity yield of the two - year treasury bond futures' main contract, the IRR of the TS main contract and the fund interest rate, and the three - year basis trends and net basis trends of the TS main contract [41][42][51]. VI. Five - Year Treasury Bond Futures The figures include the implied interest rate and the maturity yield of the five - year treasury bond futures' main contract, the IRR of the TF main contract and the fund interest rate, and the three - year basis trends and net basis trends of the TF main contract [53][58]. VII. Ten - Year Treasury Bond Futures The figures include the implied yield and the maturity yield of the ten - year treasury bond futures' main contract, the IRR of the T main contract and the fund interest rate, and the three - year basis trends and net basis trends of the T main contract [60][62]. VIII. Thirty - Year Treasury Bond Futures The figures include the implied yield and the maturity yield of the thirty - year treasury bond futures' main contract, the IRR of the TL main contract and the fund interest rate, and the three - year basis trends and net basis trends of the TL main contract [67][73]. Strategy - Unilateral: As the repurchase interest rate rises, be cautiously bullish on 2512 [5]. - Arbitrage: Pay attention to the basis rebound of 2512 [5]. - Hedging: There is medium - term adjustment pressure. Short - side investors can use far - month contracts for appropriate hedging [5].

Group 1 - Report Industry Investment Rating - Not provided Group 2 - Report's Core View - This week, the bond market declined overall. At the beginning of the week, the three departments' press conference did not release further easing signals, and the market's expectations were disappointed. After Wednesday, as institutions bought long - term treasury bonds at low prices and the central bank resumed 14 - day reverse repurchase operations, the market gradually stabilized and rebounded. The overnight and 7 - day repurchase rates first rose and then fell due to the end - of - quarter factor, and the central bank carried out net MLF and 14 - day reverse repurchase operations to maintain liquidity [3] Group 3 - Summary by Relevant Catalogs Macro - economic Aspect - **Policy**: From August 8, 2025, the interest income of newly issued treasury bonds, local government bonds, and financial bonds will be subject to VAT. The 24% tariff between China and the US will be suspended for 90 days from August 12. The government emphasizes measures to stabilize the real estate market, expand consumption and investment, and implement more proactive macro - policies [1] - **Inflation**: In August, the CPI decreased by 0.4% year - on - year [1] Capital Aspect - **Finance**: At the end of August, M2 increased by 8.8% year - on - year, M1 rebounded to 6%, and the gap between them narrowed. The RMB loans increased by 13.46 trillion yuan in the first eight months, and the cumulative social financing increment was 26.56 trillion yuan. The growth rates of credit and deposits both declined slightly [2] - **Central Bank**: On September 26, 2025, the central bank conducted 165.8 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4%. This week, the central bank conducted net MLF operations of 30 billion yuan and 14 - day reverse repurchase operations of 90 billion yuan [2][3] - **Money Market**: The main repurchase rates for 1D, 7D, and 14D were 1.32%, 1.53%, and 1.71% respectively, and the repurchase rates have recently declined [2] Market Aspect - **Closing Price and Fluctuation**: On September 26, 2025, the closing prices of TS, TF, T, and TL were 102.34 yuan, 105.54 yuan, 107.68 yuan, and 114.19 yuan respectively. The weekly fluctuations were - 0.05%, - 0.22%, - 0.27%, and - 0.82% respectively [2] - **Net Basis Spread**: The average net basis spreads of TS, TF, T, and TL were - 0.02 yuan, 0.02 yuan, 0.02 yuan, and - 0.54 yuan respectively [2] Strategy Aspect - **Single - side Strategy**: With the decline of repurchase rates and the oscillation of treasury bond futures prices, the 2512 contract is neutral [4] - **Arbitrage Strategy**: Pay attention to the basis spread rebound of TL2512 [4] - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market is in a weak recovery, with all Treasury bond futures closing higher. The bond market is oscillating between the expectations of stable growth and monetary easing. In the short - term, attention should be paid to the policy signals at the end of the month [1][3]. - The stock market's strong performance boosts risk appetite, which suppresses the bond market. Meanwhile, the increasing expectation of the Fed's interest - rate cut and rising global trade uncertainties add to the uncertainty of foreign capital inflows [3]. 3. Summary According to the Directory I. Interest Rate Pricing Tracking Indicators - **Price 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]. - **Monthly Economic Indicators**: The social financing scale is 433.66 trillion yuan, with a month - on - month increase of 2.40 trillion yuan (+0.56%); M2 year - on - year growth is 8.80% with no month - on - month change; the manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [10]. - **Daily Economic Indicators**: The US dollar index is 97.32, with a month - on - month decrease of 0.29 (-0.30%); the offshore US dollar to RMB exchange rate is 7.1213, with a month - on - month increase of 0.005 (+0.07%); SHIBOR 7 - day is 1.47, with a month - on - month increase of 0.01 (+0.68%); DR007 is 1.48, with a month - on - month increase of 0.03 (+1.76%); R007 is 1.51, with a month - on - month decrease of 0.05 (-3.26%); the 3 - month inter - bank certificate of deposit (AAA) is 1.57, with a month - on - month increase of 0.01 (+0.40%); the AA - AAA credit spread (1Y) is 0.08, with a month - on - month increase of 0.00 (+0.40%) [11]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Multiple figures are presented, including the closing price trend of the main continuous contracts of Treasury bond futures, the price change rates of various Treasury bond futures varieties, the precipitation of funds in various Treasury bond futures varieties, the proportion of open interest in various Treasury bond futures varieties, the net open interest proportion of the top 20 in various Treasury bond futures varieties, the long - short open interest ratio of the top 20 in various Treasury bond futures varieties, the spread between China Development Bank bonds and Treasury bonds, and the issuance of Treasury bonds [14][15][18][24]. III. Overview of the Money Market Liquidity - Figures show the trading statistics of inter - bank pledged repurchase and the issuance of local government bonds [27]. IV. Spread Overview - Figures display the inter - delivery spread trend of various Treasury bond futures varieties and the term spread of cash bonds and cross - variety spreads of futures [31][36][37]. V. Two - Year Treasury Bond Futures - Figures show the implied interest rate of the main contract of two - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [39][40][48]. VI. Five - Year Treasury Bond Futures - Figures show the implied interest rate of the main contract of five - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [50][54]. VII. Ten - Year Treasury Bond Futures - Figures show the implied yield of the main contract of ten - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [57][59]. VIII. Thirty - Year Treasury Bond Futures - Figures show the implied yield of the main contract of thirty - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [64][70]. 4. Strategies - **Unilateral Strategy**: As the repurchase rate rises, the price of Treasury bond futures oscillates [4]. - **Arbitrage Strategy**: Pay attention to the decline of the 2512 basis [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - position holders can use far - month contracts for appropriate hedging [4].