Report Overview - Report Title: "Treasury Bond Futures Delivery Review and Analysis of the 2512 Contract Delivery" - Report Date: November 7, 2025 - Analysts: Yu Kan, Song Ziyu (Contact) 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The delivery volume and delivery rate of the 2503 and 2506 contracts were generally at historical highs due to strong bullish sentiment in the bond market, which pushed up the IRR and attracted arbitrage funds to participate in delivery. The 2509 contract was affected by the VAT policy, leading to increased demand for old bonds and a significant decline in the delivery volume of TF and T contracts, while TS and TL maintained relatively high delivery levels due to short - term IRR opportunities. For the 2512 contract, TS and TF are expected to maintain low delivery volume and delivery rate, while TL may continue the high - delivery trend due to high IRR game cost - effectiveness [2]. 3. Summary by Relevant Catalogs 3.1 Historical Delivery Situation梳理 - After the volatile market from August to October, the treasury bond futures market experienced a relatively mild recovery from late October to November. As the 2512 contract is about to enter the delivery month, the delivery volume and rate of this round are difficult to determine. For the 2503 contract, except for the 10 - year treasury bond futures T2503, the delivery volume and rate of other contracts were at relatively high historical levels. For the 2506 contract, except for the 30 - year treasury bond futures TL2506, the delivery volume and rate of other contracts were also at historical highs, with T2506 and TF2506 reaching new highs. The main reason was the high IRR compared to the capital cost during March - April 2025, which led to more arbitrage opportunities [5]. - Since August 8, 2025, the restoration of VAT on the interest income of treasury bonds, local bonds, and financial bonds affected the 2509 contract. New bonds would be subject to VAT, making old bonds more popular, and affecting the delivery willingness of both short and long sides. TF2509 and T2509 saw varying degrees of decline in delivery volume and rate, with T2509 hitting a new low since 2023. TL2509 maintained a high level, possibly due to short - term IRR opportunities in mid - August. Overall, TF and T of the 2509 contract had below - average delivery volume and rate, while TS and TL maintained a certain high level due to short - term IRR opportunities [6]. - For different varieties of the 2509 contract, the delivery time characteristics were different. The largest delivery of TS2509 occurred on the first trading day of September, and then the delivery volume decreased as the delivery approached. TF2509's largest delivery was on the last delivery day, mainly concentrated on September 10 (1520 lots) and September 12 (4890 lots). T2509's delivery was mainly distributed on the last delivery day and two days before, with the largest delivery volume of 1820 lots on September 11. TL2506's main delivery volume was concentrated on the last delivery day, reaching 5070 lots [10]. 3.2 2512 Contract Delivery Situation Analysis - As of November 2025, the average positions of TS2512, TF2512, T2512, and TL2512 were 67,788 lots, 136,749 lots, 232,208 lots, and 146,206 lots respectively. Currently, TS and TF are at the lowest average position levels in the past three quarters, showing a significant decline compared to the past. On the contrary, T and TL are at the highest historical average position levels. In terms of IRR opportunities, except for TL which had some short - term high - cost - effectiveness IRR opportunities compared to the capital cost, other contracts had few IRR opportunities. Therefore, except for TL, the delivery volume and rate of other treasury bond futures may remain relatively low, while TL2512 may continue to maintain a high level [11]. 3.3 Conclusion - Overall, the final delivery situation of the 2512 contract needs to be comprehensively considered from aspects such as IRR level, spot bond liquidity, short - and long - term interest rate strength, and futures positions. Based on the delivery situations of the 2509 and 2506 contracts, except for TL2512, the delivery volume and rate of the 2512 contract may be relatively low. However, when the IRR level fluctuates sharply due to market sentiment or is affected by macro - events, the expectations of delivery volume and rate will also change [20].