Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market fluctuates between stable growth and easing expectations, influenced by the stock market, the Fed's interest - rate cut expectations, and global trade uncertainties. Short - term attention should be paid to the policy signals at the end of the month [3]. - Due to the rising repo rate and the oscillating Treasury bond futures prices, the 2512 contract is rated as neutral. Attention should be paid to the decline of the 2512 basis. For hedging, considering the medium - term adjustment pressure, short - position holders can moderately hedge with far - month contracts [4]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI increased by 0.2% month - on - month and 0.2% year - on - year; monthly PPI increased by 0.1% month - on - month and decreased by 2.1% year - on - year [9]. - Monthly economic indicators: Social financing scale reached 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year growth was 8.4%, down 0.4% (-4.55%); manufacturing PMI was 49%, down 0.8% (-1.61%) [10]. - Daily economic indicators: The US dollar index was 99.48, down 0.14 (-0.14%); the offshore US dollar - to - RMB exchange rate was 7.1238, up 0.003 (+0.05%); SHIBOR 7 - day was 1.50, up 0.02 (+1.56%); DR007 was 1.51, up 0.01 (+0.89%); R007 was 1.51, down 0.02 (-1.24%); the 3 - month inter - bank certificate of deposit (AAA) was 1.58, up 0.01 (+0.40%); the AA - AAA credit spread (1Y) was 0.08, up 0.00 (+0.40%) [10]. II. Treasury Bonds and Treasury Bond Futures Market Overview - Multiple figures are provided to show the situation of 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 [13][16][19][22]. III. Money Market Funding Situation - Multiple figures are provided to show the money market situation, including the Shibor interest rate trend, the yield - to - maturity trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and local bond issuance [28][33][34]. IV. Spread Overview - Multiple figures are provided to show various spread situations, such as the inter - term spread trend of Treasury bond futures and the spread between spot bond term spreads and futures cross - variety spreads [33][38][43]. V. Two - Year Treasury Bond Futures - Multiple figures are provided to show the situation of two - year Treasury bond futures, including the implied interest rate and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the TS main contract, and the three - year basis and net basis trends of the TS main contract [40][45][52]. VI. Five - Year Treasury Bond Futures - Multiple figures are provided to show the situation of five - year Treasury bond futures, including the implied interest rate and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the TF main contract, and the three - year basis and net basis trends of the TF main contract [54][58]. VII. Ten - Year Treasury Bond Futures - Multiple figures are provided to show the situation of ten - year Treasury bond futures, including the implied yield and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the T main contract, and the three - year basis and net basis trends of the T main contract [61][63]. VIII. Thirty - Year Treasury Bond Futures - Multiple figures are provided to show the situation of thirty - year Treasury bond futures, including the implied yield and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the TL main contract, and the three - year basis and net basis trends of the TL main contract [68][73].

Report Information - Report Name: Treasury Bond Daily Report [1] - Date: September 19, 2025 [2] - Research Team: Macro Finance Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided in the report Core Viewpoints - The Fed cut interest rates as expected, but China is unlikely to follow suit in the short term. Expectations for the central bank to restart bond purchases have also cooled. Due to tax period disturbances, treasury bond futures adjusted across the board [8]. - Yields of major term interest rate bonds in the inter - bank market rose across the board, with medium - and long - term increases mostly around 2bp. By 16:30 pm, the yield of the 10 - year treasury bond active bond 250011 reported 1.7825%, up 1.95bp [9]. - Affected by the tax period, the central bank returned to net investment in the open market, and the money market tightened further. There were 292 billion yuan of reverse repurchase maturities, and the central bank conducted 487 billion yuan of reverse repurchase operations, achieving a net investment of 195 billion yuan. Short - term money rates rose across the board [10]. - The national economic activities in August showed weakening, with consumption slowing down and the decline in the real estate market expanding again. The infrastructure investment on the policy side also slowed down significantly, dragging down the overall investment. However, the overall data showed marginal weakening rather than a stall. It is not necessary for China's monetary policy to implement easing following the Fed in September. Policy may focus more on fiscal and credit easing and real estate policies, which will bring disturbances to the bond market. The suppression of the bond market by the stock market may ease, but the bond market still lacks a breakthrough [11][12]. Summary by Directory 1. Market Review and Operation Suggestions - **Market Conditions**: Treasury bond futures adjusted across the board due to the Fed's rate cut, the cooling of expectations for the central bank to buy bonds, and tax period disturbances [8]. - **Interest Rate Bonds**: Yields of major term interest rate bonds in the inter - bank market rose, with the 10 - year treasury bond active bond 250011 yield up 1.95bp to 1.7825% [9]. - **Money Market**: The central bank conducted net investment in the open market, and short - term money rates rose. The overnight weighted rate of inter - bank deposits rose about 2.6bp to 1.5127%, and the 7 - day rate rose 1.62bp to 1.5566%. The 1 - year AAA certificate of deposit rate fell to 1.59% [10]. - **Conclusion**: The national economic data in August showed weakening, but it is not necessary for China to follow the Fed's easing in September. Policy may focus on fiscal and credit easing and real estate. The bond market suppression may ease, but it still lacks a breakthrough. The short - end may be more resilient than the long - end [11][12]. 2. Industry News - **Fed Rate Cut**: The Fed cut interest rates by 25 basis points to 4.00% - 4.25%, the first rate cut this year. FOMC statement pointed out employment risks, economic slowdown, and rising inflation. The dot - plot showed different expectations for further rate cuts. The probability of a rate cut in October is over 90% [13]. - **Fiscal Revenue**: From January to August, the national general public budget revenue was 14.82 trillion yuan, a year - on - year increase of 0.3%. Tax revenue was 12.11 trillion yuan, with the cumulative growth rate turning positive for the first time this year [14]. - **HKMA Rate Cut**: The Hong Kong Monetary Authority cut the benchmark interest rate by 25 basis points to 4.50% [15]. 3. Data Overview - **Treasury Bond Futures**: Data on multiple treasury bond futures contracts including TL, T, TF, and TS were provided, including settlement prices, opening prices, closing prices, price changes, trading volumes, open interests, and position changes [6]. - **Money Market**: Information on SHIBOR, bank - to - bank pledged repurchase weighted rates, and other money market indicators was mentioned, but specific data was mainly in the form of figures [31][33]. - **Derivatives Market**: Information on Shibor3M and FR007 interest rate swap fixed - rate curves was provided, mainly in the form of figures [36].

证券研究报告|宏观点评报告 [Table_Date] 2025 年 06 月 12 日 [Table_Title] 资产配置日报：资金预防性收紧，莫慌 | | | 复盘与思考: 6 月 12 日，权益市场横盘震荡，板块线索暂不明晰，科技、医药、消费均有亮点；债市在资金面偏紧背景下 普遍上行，仅超长端表现较强。 复盘各类资产表现，股市，各大指数窄幅震荡，大盘指数中，上证指数微涨 0.01%，中证红利指数持平，沪 深 300 下跌 0.06%；小微盘表现相对占优，中证 2000、万得微盘股指分别上涨 0.26%、1.36%；科技行情延续调 整，科创 50、恒生科技分别下跌 0.30%、2.20%。债市，利率曲线继续走平，长端小幅分化，10 年期国债活跃券 收益率上行 0.3bp 至 1.65%，30 年期活跃券收益率则下行 0.2bp 至 1.85%；10 年期主力合约下跌 0.04%，30 年 期主力合约小幅收涨 0.07%。 商品方面，或受美国降息预期升温推动，黄金价格持续上涨趋势，伦敦金价格由 3360 美金/盎司升至 3380 美 金/盎司，纽约金价格由 3380 美金/盎司攀升至 3408 美金/盎司以 ...