建信期货国债日报-20260107

Report Information - Report Title: Treasury Bond Daily Report - Date: January 7, 2026 - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided Core Viewpoints - On January 6, 2026, the bond market sentiment was weak, and treasury bond futures fell across the board due to the central bank's bond purchase scale not exceeding expectations, the rise of A-shares, and the approaching supply peak [8]. - In December 2025, the bond market fluctuated weakly. In January 2026, the bond market will enter a phase where negative factors gradually materialize. Yields may rise first and then fall, and there may be an opportunity for treasury bond futures to recover from low levels [11][12]. Summary by Directory 1. Market Review and Operation Suggestions Market Conditions on the Day - The central bank's December bond purchase scale was 50 billion yuan, the same as the previous month, not exceeding expectations. Coupled with the rise of A-shares and the approaching supply peak, the bond market sentiment was weak, and treasury bond futures fell across the board [8]. Interest Rate Spot Bonds - The yields of major interbank interest rate spot bonds across all maturities rose. By 16:30, the yield of the 10-year treasury bond active bond 250016 rose by 2.45bp to 1.886% [9]. Money Market - The interbank liquidity tightened marginally. The net reverse repurchase withdrawal in the open market was 296.3 billion yuan. The interbank capital sentiment index rose, indicating tight liquidity. The overnight DR rate fluctuated around 1.26%, and the 7-day funding rate fluctuated around 1.43%. The medium- and long-term funds were stable, and the 1-year AAA certificate of deposit rate remained stable at around 1.6% [10]. Conclusion - In December, the bond market fluctuated weakly. In January, the bond market will enter a phase where negative factors gradually materialize. The implementation of the public fund fee regulations may ease the short-term redemption pressure. January will be a large supply month, and there is a demand for credit impulse at the beginning of the year, which will impact the bond allocation demand and increase the supply pressure. However, as the pressure of the supply-demand mismatch eases and the central bank is likely to provide support before the Spring Festival, the market's loose expectations may heat up again, bringing an opportunity for treasury bond futures to recover from low levels. Bond yields in January may rise first and then fall [11][12]. 2. Industry News - The central bank's net liquidity injection through open market treasury bond trading in December 2025 was 50 billion yuan, the net injection through MLF was 100 billion yuan, and the net injection through SLF was 7.1 billion yuan [13]. - The National Association of Financial Market Institutional Investors will strengthen the punishment of violations related to the preservation of bond trading records [13]. - At the beginning of 2026, many places held their "first meetings of the new year" to promote high-quality economic development. The core in 2026 is to promote high-quality development [14]. - In 2025, the total new land acquisition value, total price, and construction area of 100 real estate enterprises increased by 2%, 3%, and decreased by 5% respectively year-on-year, with investment concentrated in first- and second-tier cities [14]. - On January 5, 2026, Shandong Province issued 72.381 billion yuan of local government bonds, marking the official start of local government bond issuance in 2026. The issuance scale in the first quarter is expected to exceed 2 trillion yuan [15]. 3. Data Overview - The data overview includes information on treasury bond futures market conditions, including the trading data of various contracts on January 6, 2026, such as opening price, closing price, settlement price, price change, trading volume, open interest, etc. It also covers the spread between different maturities and varieties of treasury bond futures, as well as the trends of the main contracts. Additionally, it presents data on the money market, such as SHIBOR term structure changes, SHIBOR trends, and interbank repurchase interest rate changes, as well as data on the derivatives market, such as Shibor3M and FR007 interest rate swap fixing curves [6][16][29][35]