Report Industry Investment Rating - No relevant content provided Core Viewpoints - The weekly technical analysis of treasury bond futures shows that the neckline of the head-and-shoulders bottom of the 30-year treasury bond futures was broken, weakening the pattern, and attention should be paid to the subsequent repair strength. TL2603 fell back after a rebound and is in a short-term adjustment. If it further declines after the repair, subsequent market conditions need to be dealt with cautiously [1]. - The data tracking of treasury bond futures indicates that the main contract is about to change, and the cash-and-carry strategy of the 2603 contract still has some participation value. This week, the performance of treasury bond futures was differentiated, and the trading activity increased overall. The CTD net basis of the 2603 contract decreased overall, and the IRR increased except for TL. Currently, the IRR of T2603 and TL2603 is still significantly higher than the capital interest rate [2]. Summary by Directory 1. Weekly Technical Analysis 1.1 Pre - trend Review - This week, the trends of T and TL were differentiated. T rose slightly, while TL declined continuously since Wednesday. TL2603 first rose and then fell, and TL2512 broke below the upper edge of the bottom area (around 115.57) on Friday, breaking the neckline of the head-and-shoulders bottom pattern and closing near the 60 - day line [6]. 1.2 Subsequent Market Outlook - TL2603 showed signs of weakening after breaking below the neckline of the head-and-shoulders bottom on Friday. From the perspective of the wave theory, the adjustment since November 5th may form a platform type, and it may be at the end of the short - term adjustment. Attention should be paid to the repair strength. If the market declines again after the repair, the risk of further continuation of the adjustment needs to be concerned. TL2603 was weaker than T2603 this week. T2603 also broke below 115.57 on Friday, weakening the pattern. If the end of the platform type forms a phased low, the subsequent market can still be optimistic [9]. 2. Weekly Tracking of Treasury Bond Futures - This week, the performance of treasury bond futures was differentiated. As of November 21st, the closing prices of the 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.460, 105.855, 108.430, and 115.57 yuan respectively, with changes of +0.006, -0.020, +0.015, and -0.59 yuan compared with the previous week [15]. - The trading activity of treasury bond futures increased overall this week. The average daily trading volume of the 2512 contracts of each maturity increased compared with last week, and the trading volume/holding volume increased for each maturity [15]. - As of November 21st, the holding volume of the 2512 contracts of treasury bond futures decreased across the board, while that of the 2603 contracts increased across the board, indicating that participants continued to shift positions [15]. - As of November 21st, the CTD net basis of the 2603 contracts of each maturity decreased overall, with little change in TL. The CTD net basis of the 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year were -0.07, -0.05, -0.11, and -0.13 yuan respectively. In terms of IRR, the IRR of the CTD of the 2603 contracts of 2 - year, 5 - year, 10 - year, and 30 - year were 1.66%, 1.60%, 1.77%, and 1.75% respectively, increasing except for TL. The cash - and - carry strategies of T2603 and TL2603 still have some participation value. The spread between the 2512 - 2603 contracts decreased overall this week [18].

Market Performance - Government bond futures closed higher across the board, with the 30-year main contract up 0.16%, the 10-year main contract up 0.05%, the 5-year main contract up 0.05%, and the 2-year main contract up 0.04% [1] - The yields on major interbank rate bonds mostly declined, with the 10-year policy bank bond "25国开15" yield down 1.9 basis points to 1.9010%, the 10-year government bond "25附息国债11" yield down 1 basis point to 1.7580%, the 30-year government bond "25超长特别国债02" yield down 1.35 basis points to 2.0725%, and the 30-year government bond "25超长特别国债06" yield down 2.8 basis points [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 159.5 billion yuan at a fixed rate, with a bid amount of 159.5 billion yuan and a successful bid amount of 159.5 billion yuan [2] - On the same day, 91 billion yuan of reverse repos matured, resulting in a net injection of 68.5 billion yuan [2] - The interbank market showed an overall balanced funding condition, with overnight repurchase rates for deposit institutions fluctuating around 1.31% [2] - Non-bank institutions borrowed overnight using certificates of deposit and credit bonds at around 1.4%, slightly lower than the previous day [2] - The central bank's shift to net injections is aimed at supporting liquidity amid tax periods and month-end pressures, with expectations for continued liquidity support [2] Operational Recommendations - The bond market experienced fluctuations but lacks direction due to new fund redemption fee regulations and upcoming significant meetings [3] - Two scenarios are considered: if incremental policies are below expectations, investors can bet on yield spread recovery and consider long positions in long-term bonds; if policies exceed expectations, short-term risk appetite may rise, potentially suppressing bonds [3] - In a supportive liquidity environment, a pullback in the bond market could present buying opportunities if T2512 falls below 107.4 [3] - Given the current uncertainties, a cautious approach is recommended, focusing on observing market conditions rather than aggressive strategies [3]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The weekly technical analysis of Treasury bond futures shows that the rebound is ongoing, and any adjustment is still an opportunity to participate. The rebound of T and TL may continue. Observing TL2512, it may currently be in the third wave of the rebound. There may be an adjustment next week, with the extreme downside position to watch around 114.8 - 114.9. After the decline, there may still be a fifth - wave upward movement, with the final target temporarily set above 116 and near the 60 - day moving average [2]. - The Treasury bond futures data tracking indicates that all contracts have risen, and it is advisable to seize the opportunity to participate in the cash - and - carry strategy [3]. Summary by Directory 1. Weekly Technical Analysis 1.1 Pre - trend Review - This week, T2512 fell on Monday, turned strongly upward after hitting the bottom on Tuesday, then oscillated strongly, and reached a short - term high on Friday. The Treasury bond futures briefly declined at the beginning of the week and then continued to rebound. Currently, the weekly line is close to the MA20 moving average, and the daily line is above the moving average system. The rebound that started on September 25 may still be ongoing [9]. 1.2 Future Market Outlook - TL2512 showed significantly increased elasticity on Thursday and Friday this week. There may be an adjustment next week, with the extreme downside position to watch around 114.8 - 114.9. After that, there may be a fifth - wave upward movement, and the overall rebound target is above 116 and near the 60 - day moving average. From the perspective of the TL2512 trend, it may currently be in the third wave of the rebound. Next week, there may be a fourth - wave adjustment, and the extreme downside position to watch is around the high point of the first wave at 114.8 - 114.9. If it is supported at this level, it may continue to rebound in the fifth wave [10]. 2. Weekly Tracking of Treasury Bond Futures - All Treasury bond futures contracts rose this week. As of the close on October 17, the closing prices of the 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures 2512 contracts were 102.378, 105.780, 108.295, and 115.87 yuan respectively, up 0.024, 0.130, 0.315, and 1.90 yuan from the previous week [16]. - The trading activity of Treasury bond futures increased overall this week. The average daily trading volume of the 2512 contracts of Treasury bond futures of each maturity increased overall compared with last week, except for TS. In terms of the trading volume/holding volume ratio, all increased except for TS. As of October 17, the holding volume of the 2512 contracts of Treasury bond futures increased across the board [16]. - As of October 17, the CTD net basis of the 2512 contracts of Treasury bond futures of each maturity declined across the board, with the CTD net basis of the 2 - year, 5 - year, 10 - year, and 30 - year 2512 contracts being - 0.03, - 0.05, - 0.05, and - 0.07 yuan respectively. In terms of IRR, the IRR corresponding to the CTD of the 2 - year, 5 - year, 10 - year, and 30 - year 2512 contracts were 1.56%, 1.71%, 1.72%, and 1.72% respectively, all of which increased. Currently, the IRR level is significantly higher than the funding rate, and overall, the value of participating in the cash - and - carry strategy has recovered, and one can seize the opportunity to participate. The spread performance of the 2512 - 2603 contracts was divergent this week, with the spreads of the 2 - year and 10 - year contracts rebounding and the spreads of the 5 - year and 30 - year contracts falling [21].

Report Title - Futures | Waiting for a Turnaround [1] Report Industry Investment Rating - Not provided Core Views - The 10Y Treasury bond active bond yield may be in the 5th wave of upward movement since May 7th, with the upward target point possibly being the high of 1.75% on July 25th (the high of the 3rd wave). The upward movement of interest rates started on May 7th when the central bank proposed dual cuts at a pre - market press conference, and the equity market reacted most明显, which promoted the adjustment of the bond market [3]. - The weekly technical analysis of Treasury bond futures shows a short - term decline, and attention should be paid to the possible turning points. This week, the 10 - year Treasury bond futures were weak. After the short - term rebound, they fell again. T2509 entered the 5th wave of decline after the equal - tariff situation, and attention should be paid to the possible turning points when the decline structure is complete or broken. The long - end Treasury bonds were significantly adjusted this week, with TL being the weakest [4]. - The data tracking of Treasury bond futures shows that they fell across the board, and it is still necessary to wait for the right time to participate in the long - basis trading strategy. This week, the trading activity of Treasury bond futures rebounded, and the position transfer was in progress. As of August 15th, the positions of the 2509 contracts of Treasury bond futures declined across the board. The CTD net basis and IRR of the 2512 contracts showed differentiation, and considering the recent upward movement of market yields, it is better to wait for a better opportunity to participate in the long - basis trading strategy [5]. Summary by Directory 1. Weekly Technical Analysis 1.1 Pre - trend Review - This week, Treasury bond futures declined significantly, and TL hit a new low first. T2509's short - term rebound ended, and it started to fall on Monday. TL had a larger decline and hit a new low on July 30th on Thursday. Currently, both the daily and weekly lines are below the moving average system, showing short - term weakness [9]. 1.2 Future Market Outlook - T2509 fell again this week and may still be in the process of decline. Attention should be paid to the changes in the trend structure during the decline, and it may bottom out and rebound after the decline ends. T2509 opened lower and moved lower on Monday, confirming that it entered the 5th wave of decline since the equal - tariff situation and may currently be in the 3rd sub - wave of the decline. Wait for the decline structure to be complete or broken for possible turning points [11]. 2. Weekly Tracking of Treasury Bond Futures - This week, Treasury bond futures fell across the board. As of the close on August 15th, the closing prices of the 2509 contracts of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures were 102.346, 105.660, 108.295, and 117.48 yuan respectively, changing by - 0.038, - 0.180, - 0.345, and - 1.84 yuan compared with the previous week [16]. - The trading activity of Treasury bond futures increased significantly this week. The average daily trading volume of the 2509 contracts of Treasury bond futures at all maturities increased to varying degrees compared with last week. The trading volume/position ratio increased at all maturities [16]. - As of August 15th, the positions of the 2509 contracts of Treasury bond futures declined across the board, and investors gradually transferred their positions to the 2512 contracts [16]. - As of August 15th, the CTD net basis of the 2512 contracts of Treasury bond futures at all maturities showed differentiation, with the 5 - year and 30 - year net basis declining and the 2 - year and 10 - year net basis rising. The IRR of the 2512 contracts at all maturities also showed differentiation, with the 2 - year IRR declining and the 5 - year, 10 - year, and 30 - year IRR rising. Considering the recent upward movement of market yields, it is better to wait for a better opportunity to participate in the long - basis trading strategy. The spread between the 09 - 12 contracts increased across the board this week [21].

Group 1 - The core viewpoint of the article indicates a significant increase in coking coal futures, with the main contract reaching a peak of 1822.0 yuan and closing at 1735.0 yuan, reflecting a rise of 1.97% [1] - According to Fangzheng Zhongqi Futures, there is a rapid short-term rebound in coking coal prices, supported by increased trading volume and a favorable supply-demand structure, despite the deterioration of coking enterprises' profits [2] - Zhonghui Futures suggests a cautious approach, recommending market participants to observe rather than engage, as the market shows signs of excessive enthusiasm following the rapid price increase [3] Group 2 - Fangzheng Zhongqi Futures notes that while there have been two rounds of price increases in July, the raw material prices have risen more significantly, leading to a potential acceleration in the pace and extent of future price increases [2] - The recovery in downstream demand is evident, with iron output rebounding to 242 million tons, which supports the expectation of further price increases in the coking coal market [2] - The current market atmosphere is characterized by heightened optimism, driven by coal production restrictions and the steel mills' ongoing inventory replenishment [3]

Core Insights - The concentration of short positions in TS contracts is driven by significant entry of arbitrage funds, with expectations that the basis will initially widen slightly before stabilizing [1][3] - The current low interest rate environment, cautious sentiment in the bond market, and high Internal Rate of Return (IRR) are key factors influencing this phenomenon [1] Summary by Sections Historical Context - The concentration of short positions in TS contracts was observed from early 2024 to May 2024, driven by the entry of arbitrage funds and a surge in bullish sentiment [2] - The basis of TS contracts dropped to -0.24 yuan, while IRR peaked at 3.4%, attracting more arbitrage funds [2] Current Market Analysis - As of now, the short position held by CITIC Futures has peaked and is beginning to decline, indicating a potential for the basis to widen slightly before stabilizing [3] - The influx of arbitrage funds has led to a noticeable recovery in the current TS contract basis, although the incremental entry of these funds is expected to be limited [3]

Market Performance - Treasury futures closed lower across the board, with the 30-year main contract down 0.26% at 119.460, the 10-year main contract down 0.11% at 108.735, the 5-year main contract down 0.03% at 106.030, and the 2-year main contract down 0.02% at 102.408 [1] - Major interbank bond yields rose, with the 30-year government bond yield increasing by 0.8 basis points to 1.9180%, the 10-year government bond yield rising by 1.4 basis points to 1.7090%, and the 3-year government bond yield up by 0.50 basis points to 1.4925% [1] Funding Conditions - The central bank announced a fixed-rate reverse repurchase operation of 448 billion yuan for 7 days at an interest rate of 1.40%, with a net injection of 91 billion yuan for the day [2] - Liquidity remains loose, with overnight and 7-day pledged repo rates declining, the former down over 6 basis points and the latter down over 3 basis points [2] - The one-year interbank certificates of deposit rates are around 1.71%, showing little change from the previous day, indicating pressure on banks' liabilities [2] Operational Suggestions - The bond market is expected to continue a narrow range of fluctuations, with limited risk of a significant decline in the short term due to the central bank's support for liquidity [3] - Short-term 10-year government bond yields are anticipated to fluctuate between 1.65% and 1.7%, while 30-year government bond yields are expected to range between 1.85% and 1.95% [3] - A single strategy of observation is recommended, focusing on high-frequency economic data and liquidity dynamics, while a spread strategy is suggested for the 2509 contract [3]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Short - term, the bond market is difficult to break out of the shock range. After the deposit rate cut, the pressure on the bank's liability side has increased, and large - banks' capital lending is still scarce. The flow of deposits to non - bank institutions is beneficial to the bond market. The main concerns of the bond market are economic data such as May PMI, supply pressure, and the tightness of the capital side. However, it is difficult to have unexpected factors or trend - type market conditions. Investors should maintain the duration and increase the weight of band trading in the environment of low coupon and expensive funds [2]. - The overall view of fixed - income buyers is neutral to bullish. The sentiment in the Treasury futures market has increased significantly, and there is a positive arbitrage opportunity. Sellers' view is that the interest - rate cut is difficult to boost bond - market sentiment, and the bulls are further loosening, with more than 60% holding a neutral view. Buyers' view is that the proportion of institutions seeing a shock in the market has also increased [3]. 3. Summaries According to the Directory 3.1 Seller and Buyer Markets 3.1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted tracking index this week is 0.19, with a neutral - to - bullish market view, up 0.01 from last week. The unweighted tracking index is 0.28, remaining unchanged from last week. Currently, 30% of institutions are bullish, 63% are neutral, and 7% are bearish [12]. 3.1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The tracking sentiment index this week is 0.23, with a neutral - to - bullish market view, up 0.05 from last week. Currently, 35% of institutions are bullish, 62% are neutral, and 3% are bearish [13]. 3.1.3 Credit Bonds - Market hot - topics are deposit rate cuts and science - and - technology bond support policies. Deposit rate cuts may cause deposit transfers and benefit short - and medium - term credit bonds. The science - and - technology bond support policy promotes issuance and improves liquidity [18]. 3.1.4 Convertible Bonds - This week, institutions generally hold a neutral - to - bullish view. 27% of institutions are bullish, and 73% are neutral [19]. 3.2 Treasury Futures Tracking 3.2.1 Futures Trading - Futures prices have risen across the board. As of May 23, the prices of TS/TF/T/TL contracts are 102.41 yuan, 106.05 yuan, 108.85 yuan, and 119.60 yuan respectively, up 0.03 yuan, 0.33 yuan, 0.37 yuan, and 0.69 yuan from last Friday. - Treasury futures' open interest has increased across the board. As of May 23, the open interest of TS/TF/T/TL contracts is 101,000 lots, 119,000 lots, 164,000 lots, and 89,000 lots respectively, with an increase of 17,269 lots, 39,584 lots, 64,352 lots, and 38,747 lots from last Friday. - Treasury futures' trading volume has decreased across the board. As of May 23, from a 5 - day moving average perspective, the trading volumes of TS/TF/T/TL contracts are 100.7 billion yuan, 77.3 billion yuan, 108.6 billion yuan, and 112.3 billion yuan respectively, with a decrease of 32.2 billion yuan, 21.2 billion yuan, 22.5 billion yuan, and 43.3 billion yuan from last Friday. - The trading - to - open - interest ratio of Treasury futures has decreased across the board. As of May 23, from a 5 - day moving average perspective, the trading - to - open - interest ratios of TS/TF/T/TL contracts are 0.53, 0.80, 0.86, and 1.78 respectively, down 0.48, 0.17, 0.17, and 0.80 from last Friday [24][25]. 3.2.2 Spot Bond Trading - The turnover rate of 30 - year Treasury bonds has increased. On May 23, the turnover rate was 2.63%, up 0.31 percentage points from last week and from Monday, with a weekly average turnover rate of 2.50%. - The turnover rate of interest - rate bonds has decreased. On May 23, the turnover rate was 0.84%, down 0.05 percentage points from last week and 0.16 percentage points from Monday. - The turnover rate of 10 - year China Development Bank bonds has decreased. On May 23, the turnover rate was 5.09%, down 0.71 percentage points from last week and 1.15 percentage points from Monday [36][38]. 3.2.3 Basis Trading - In terms of basis, the basis of the T main contract has narrowed, while the basis of other main contracts has widened. As of May 23, the basis (CTD) of TS/TF/T/TL main contracts are - 0.10 yuan, + 0.21 yuan, - 0.08 yuan, and + 0.46 yuan respectively, compared with - 0.03 yuan, + 0.16 yuan, - 0.18 yuan, and + 0.29 yuan from last Friday. - In terms of net basis, the net basis of main contracts has widened. As of May 23, the net basis (CTD) of TS/TF/T/TL main contracts are - 0.10 yuan, - 0.14 yuan, - 0.07 yuan, and - 0.04 yuan respectively, compared with - 0.05 yuan, - 0.17 yuan, - 0.09 yuan, and - 0.07 yuan from last Friday. - In terms of IRR, the IRR of main contracts has increased. As of May 23, the IRR (CTD) of TS/TF/T/TL main contracts are 1.90%, 2.00%, 1.82%, 1.67% respectively, up 0.11%, 0.69%, 0.36%, 0.29% from last Friday. The basis of the TS main contract is negative this week, and the weekly average of IRR is 1.82%, at a relatively high level. With the overall phased relaxation of the capital side this week, the weekly average of DR007 is 1.58%. Attention can be paid to the positive arbitrage strategy of the TS contract [43][46]. 3.2.4 Inter - delivery Spread and Inter - variety Spread - In terms of inter - delivery spread, the spreads of main futures contracts have widened. As of May 23, the spreads of TS/TF/T/TL contracts (near - month - far - month) are - 0.16 yuan, - 0.30 yuan, - 0.28 yuan, - 0.68 yuan respectively, compared with - 0.05 yuan, - 0.10 yuan, - 0.11 yuan, - 0.34 yuan from last Friday. - In terms of inter - variety spread, the spreads of 2*TF - T and 3*T - TL contracts have widened, while the spreads of other main futures contracts have narrowed. As of May 23, 2*TS - TF, 2*TF - T, 4*TS - T, 3*T - TL are 98.76 yuan, 103.24 yuan, 300.75 yuan, 206.97 yuan respectively, compared with - 0.28 yuan, + 0.31 yuan, - 0.26 yuan, + 0.47 yuan from last Friday. Currently, the downward space of long - term interest rates is limited. If the central bank takes measures to ease liquidity, there may be a downward opportunity for the medium - and short - term. There is considerable gaming space in short - term Treasury futures. It is recommended to continue to pay attention to the strategy of going long on the short - end and short on the long - end to steepen the yield curve [53].

Core Viewpoint - The short-duration bond market is experiencing significant volatility, challenging the perception of these bonds as low-risk assets, prompting fund managers to reconsider their defensive strategies in light of uncertain liquidity conditions [2][3][10] Group 1: Market Dynamics - Following the Spring Festival, there has been a noticeable increase in investor risk appetite, leading to pressure on bond fund managers who typically rely on short-duration bonds as a defensive strategy [3][4] - Despite expectations that short-duration bonds would perform well in a tightening liquidity environment, they have shown greater volatility than long-duration bonds, contradicting traditional investment logic [4][5] - Since early 2025, the yield on China's 3-year government bonds has fluctuated significantly, rising from 1.3052% to a peak of 1.6926% before settling at 1.5100%, indicating a challenging environment for bond investors [4][6] Group 2: Factors Influencing Short-Duration Bonds - The persistent pressure on short-duration bonds is attributed to high funding rates and the negative carry effect, which has led institutions to reduce their leverage and holdings in these bonds [6][7] - The overall liquidity in the market has remained tight, with the DR001 rate hovering between 1.4% and 1.5%, reflecting cautious expectations regarding short-term liquidity [6][7] - The market has seen a significant reduction in the volume of pledged repo transactions, indicating a contraction in overall market leverage since February [7][8] Group 3: Investor Sentiment and Strategy - Investors have reported increased volatility in short-term financial products, contrasting with previous experiences of stable returns, leading to a sense of unease among them [9][10] - The shift from a defensive to a more volatile investment landscape serves as a reminder for fund managers and investors to remain vigilant and adaptable in their strategies, especially in uncertain macroeconomic conditions [10]