Core Viewpoints - The current bond market is expected to remain volatile, with a possibility of the 10-year government bond yield breaking below 1.80%, but the downward space may be limited without substantial positive factors like reserve requirement ratio cuts or increased trading volume of government bonds [3][11][15] - The equity market maintains an optimistic outlook, with calendar effects likely benefiting small-cap stocks and sustaining strong performance [3][8][15] Bond Market Analysis - The bond market has shown a slight strengthening trend recently, driven by renewed expectations of loose monetary policy, but the performance has been asymmetric, with mid to long-term bonds performing better while ultra-long 20-year and 30-year bond yields have risen [4][12] - A recalibration of perceptions regarding the bond market is necessary, as bonds may now be viewed as weak assets despite some positive catalysts, contrasting with the previous bull market from 2021 to early 2025 [4][12] - The 30-year bond's recognition needs to be reassessed, as its performance has been tied to specific macroeconomic factors, and the current yield spread is at a relatively low level historically [5][13] - The difficulty in capturing market waves has increased, with rapid pricing adjustments occurring within 1-2 trading days, necessitating enhanced trading capabilities [5][12] February Calendar Effects - The bond market in February has historically shown mixed performance, with 4 years of gains and 6 years of losses from 2016 to 2025, influenced by cash demand during the Spring Festival [6][14] - The equity market in February exhibits a style divergence favoring small-cap stocks, driven by a lack of verifiable financial data and a shift in market logic towards future growth narratives [7][14] - The timing of the Spring Festival can significantly impact February's equity market performance, with later festivals correlating with stronger market movements due to the convergence of seasonal and policy factors [7][14]

Report Summary 1. Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints The bond market is experiencing a volatile adjustment, with all Treasury bond futures closing lower. Influenced by the stock market, the Political Bureau meeting signaled loose monetary policy, the LPR remained unchanged, and the Fed's interest - rate cut expectations and rising global trade uncertainties increased the uncertainty of foreign capital inflows. Overall, 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 [1][3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's monthly CPI had a 0.20% month - on - month increase and 0.80% year - on - year increase; monthly PPI had a 0.20% month - on - month increase and - 1.90% year - on - year increase [8]. - **Monthly Economic Indicators**: The social financing scale was 442.12 trillion yuan, a 0.47% increase from the previous month; M2 year - on - year growth was 8.50%, a 6.25% increase from the previous month; the manufacturing PMI was 50.10%, a 1.83% increase from the previous month [9]. - **Daily Economic Indicators**: The US dollar index was 98.28, a - 0.51% change from the previous day; the offshore US dollar to RMB exchange rate was 6.9647, a 0.10% increase from the previous day. Other indicators such as SHIBOR 7 - day, DR007, etc. also showed corresponding changes [9]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - **Closing Price and Fluctuation**: On January 22, 2026, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.84 yuan, 108.15 yuan, and 112.17 yuan respectively, with fluctuations of - 0.02%, - 0.04%, - 0.05%, and - 0.07% respectively [3]. - **Other Indicators**: The average net basis of TS, TF, T, and TL was 0.018 yuan, 0.019 yuan, - 0.013 yuan, and 0.069 yuan respectively [3]. III. Overview of the Money Market Liquidity - **Central Bank Operations**: On January 22, 2026, the central bank conducted 210.2 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - **Repo Rates**: The main term repo rates of 1D, 7D, 14D, and 1M were 1.413%, 1.497%, 1.590%, and 1.557% respectively, and the repo rates have recently declined [2]. IV. Spread Overview - **Inter - period and Inter - variety Spreads**: There are various spread indicators such as the inter - period spread of Treasury bond futures and the inter - variety spread between spot bonds and futures, including 4*TS - T, 2*TS - TF, etc. [26][29][35] V. Two - year Treasury Bond Futures - **Implied Interest Rate and Yield**: The implied interest rate of the two - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the TS main contract and the relationship with the funding rate [38][40]. - **Basis and Net Basis**: The three - year basis and net basis trends of the TS main contract are shown [46]. VI. Five - year Treasury Bond Futures - **Implied Interest Rate and Yield**: The implied interest rate of the five - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the TF main contract and the relationship with the funding rate [47]. - **Basis and Net Basis**: The three - year basis and net basis trends of the TF main contract are shown [54]. VII. Ten - year Treasury Bond Futures - **Implied Yield and Yield**: The implied yield of the ten - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the T main contract and the relationship with the funding rate [55]. - **Basis and Net Basis**: The three - year basis and net basis trends of the T main contract are shown [56]. VIII. Thirty - year Treasury Bond Futures - **Implied Yield and Yield**: The implied yield of the thirty - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the TL main contract and the relationship with the funding rate [61]. - **Basis and Net Basis**: The three - year basis and net basis trends of the TL main contract are shown [67]. 4. Strategies - **Unilateral Strategy**: With the decline in repo rates, Treasury bond futures prices are oscillating [4]. - **Arbitrage Strategy**: Pay attention to the decline in the basis of the 2603 contract [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for moderate hedging [4].

Report Industry Investment Rating - No relevant content provided Core Viewpoints - Affected by the stock market, the Political Bureau meeting signaled loose monetary policy, the LPR remained unchanged, and the Fed's interest - rate cut expectation continued while the uncertainty of global trade increased the uncertainty of foreign capital inflows. Overall, the bond market oscillates between stable growth and loose expectations, and short - term attention should be paid to the policy signals at the end of the month [3] Summary by Related Catalogs I. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI had a 0.20% month - on - month increase and 0.80% year - on - year increase, while the monthly PPI had a 0.20% month - on - month increase and - 1.90% year - on - year decrease [8] - Monthly economic indicators: The social financing scale was 442.12 trillion yuan, with a month - on - month increase of 2.05 trillion yuan and a growth rate of 0.47%; M2 year - on - year was 8.50%, with a month - on - month increase of 0.50% and a growth rate of 6.25%; the manufacturing PMI was 50.10%, with a month - on - month increase of 0.90% and a growth rate of 1.83% [9] - Daily economic indicators: The US dollar index was 98.55, with a month - on - month decrease of 0.49 and a decline rate of 0.49%; the offshore US dollar to RMB exchange rate was 6.9551, with a month - on - month increase of 0.001 and a growth rate of 0.02%; SHIBOR 7 - day was 1.48, with a month - on - month increase of 0.02 and a growth rate of 1.09%; DR007 was 1.49, with a month - on - month increase of 0.02 and a growth rate of 1.19%; R007 was 1.68, with a month - on - month increase of 0.17 and a growth rate of 11.44%; the 3 - month AAA - rated inter - bank certificate of deposit was 1.60, with a month - on - month increase of 0.00 and a growth rate of 0.13%; the AA - AAA credit spread (1Y) was 0.09, with a month - on - month increase of 0.00 and a growth rate of 0.13% [10] II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant charts include the closing price trend of the main continuous contracts of treasury bond futures, the price change rates of various treasury bond futures varieties, the trend of the settled funds of various treasury bond futures varieties, the position - holding ratio of various treasury bond futures varieties, the net position - holding ratio of the top 20 of various treasury bond futures varieties, the long - short position - holding ratio of the top 20 of various treasury bond futures varieties, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [11][14][17][20] III. Overview of the Money Market Liquidity - Relevant charts include the trend of Shibor rates, the trend of the maturity yields of AAA - rated inter - bank certificates of deposit, the transaction statistics of inter - bank pledged repurchase, and the issuance of local government bonds [27][28] IV. Spread Overview - Relevant charts include the inter - term spread trend of various treasury bond futures varieties, the spread between the spot - bond term spread and the futures cross - variety spread (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [32][36][37] V. Two - Year Treasury Bond Futures - Relevant charts include the implied interest rate and the treasury bond maturity yield of the main contract of two - year treasury bond futures, the IRR of the TS main contract and the funding rate, and the three - year basis trend and net basis trend of the TS main contract [39][43][48] VI. Five - Year Treasury Bond Futures - Relevant charts include the implied interest rate and the treasury bond maturity yield of the main contract of five - year treasury bond futures, the IRR of the TF main contract and the funding rate, and the three - year basis trend and net basis trend of the TF main contract [49][54] VII. Ten - Year Treasury Bond Futures - Relevant charts include the implied yield and the treasury bond maturity yield of the main contract of ten - year treasury bond futures, the IRR of the T main contract and the funding rate, and the three - year basis trend and net basis trend of the T main contract [55][56] VIII. Thirty - Year Treasury Bond Futures - Relevant charts include the implied yield and the treasury bond maturity yield of the main contract of thirty - year treasury bond futures, the IRR of the TL main contract and the funding rate, and the three - year basis trend and net basis trend of the TL main contract [61][67]

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - In December 2025, after policy support, the endogenous driving force of the economy bottomed out and rebounded, with industrial added - value growing more than expected. The full - year economic target was successfully achieved, and in 2026, the economy is expected to have a good start under a series of policy layouts [3][5]. - The 10 - year Treasury bond target range is 2 - 3%, with a central value of around 2.5% [5]. 3. Summary by Relevant Catalogs 3.1 December 2025 Economic Data Highlights - **Industrial Added - Value**: In December 2025, the year - on - year growth of industrial added - value of large - scale industries was 5.2%, 0.4 percentage points higher than the previous value, and the month - on - month growth was 0.49%, 0.05 percentage points higher than the previous value. It exceeded market expectations, in line with the PMI data. Policy support, pre - holiday inventory replenishment, and the recovery of export orders promoted the growth [3]. - **Consumption and Exports**: Retail sales of consumer goods increased by 0.9% year - on - year in December, 0.4 percentage points lower than the previous value, while exports increased by 6.6% year - on - year, 0.7 percentage points higher than the previous value, showing a continuous differentiation trend [4]. - **Investment**: The cumulative year - on - year decrease in fixed asset investment was 3.8%, 1.2 percentage points lower than the previous value. Real estate development investment decreased by 17.2% year - on - year in 2025, and the real estate climate index continued to decline, putting continuous pressure on the investment side [4]. 3.2 Structural Highlights in the Transformation of New and Old Driving Forces - **Investment Structure**: Investment in high - tech service industries increased by 3.5% year - on - year, accounting for 5.6% of total service industry investment, 0.6 percentage points higher than the same period in 2024 [5]. - **New Quality Productivity Industries**: The cumulative year - on - year growth of the added - value of large - scale high - tech manufacturing industries was 9.4%, the highest since 2022, contributing 26.1% to the growth of all large - scale industries [5]. - **Equipment Manufacturing Industry**: The added - value of large - scale equipment manufacturing industries increased by 9.2% year - on - year in 2025, accounting for 36.8% of the total added - value of large - scale industries, 2.2 percentage points higher than the previous year, and has exceeded 30% for 34 consecutive months [5]. 3.3 Bond Market Views - **Fundamentals**: The falsification of the under - expected economic recovery, combined with possible broad credit and broad fiscal policies at the beginning of 2026, will accelerate the cyclical recovery [5]. - **Broad Monetary Policy**: If there is a broad monetary policy (such as reserve requirement ratio cuts, interest rate cuts, bond purchases), it will be a reduction opportunity, similar to 2025 [5]. - **Inflation**: Inflation is rising. Attention should be paid to whether the month - on - month increase of PPI can remain positive [5]. - **Funds Rate**: If the month - on - month inflation continues to rise, there is a possibility of tightened funds, and the yields of short - term bonds will also start to rise [5]. - **Real Estate**: Real estate is not used as a means to stabilize growth this time. Similar to the situation in the United States after 2008, real estate is a lagging indicator and may bottom out after the recovery of various economic indicators and the rise of the stock market [5]. - **Bonds**: The target range of the 10 - year Treasury bond is 2 - 3%, with a central value of around 2.5% [5].

国债期货日报 | 2026-01-20 结构性降息落地，国债期货大多收跌 市场分析 宏观面：（1）宏观政策： 12月8日政治局会议明确实施更加积极的财政政策和适度宽松的货币政策，释放宽货币 信号；中央经济工作会议提出，2026年财政政策方面继续实施更加积极的财政政策，货币方面继续实施适度宽松 的货币政策，灵活高效运用降准、降息及结构性政策工具，为"十五五"良好开局提供稳定的宏观政策环境；2026 年1月19日起，下调再贷款、再贴现等一篮子利率0.25个百分点，同时今年还存在继续降准降息的空间。（2）通胀： 12月CPI同比上升0.8%。 财政：（3）财政：11 月一般公共预算收入在高基数影响下同比放缓，但全年收入进度仍偏快，第一本账完成压力 不大，财政托底能力仍在。支出端呈现出降幅明显收窄的特征，前期预算内资金逐步转化为实际支出，结构上更 加向民生和投资于人倾斜，基建相关支出边际改善但整体仍偏弱。政府性基金收入继续受地产拖累，但专项债发 行提速带动支出同比转正，对广义财政形成支撑。整体来看，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 ...

Economic Outlook - December economic data shows improvement, with exports increasing by 6.6% YoY, surpassing expectations of 2.2%[21] - The market anticipates Q4 GDP growth in the range of 4.4-4.5% YoY, indicating potential economic resilience[21] - The likelihood of interest rate cuts in January-February has decreased due to improved economic indicators[21] Market Sentiment - Recent adjustments in margin requirements by exchanges aim to curb speculative behavior in the stock market, leading to a clearer slow-bull market pattern[24] - Risk appetite in the market has declined, impacting sentiment towards the bond market[24] Funding and Supply Dynamics - The banking system's net lending dropped from 5.55 trillion yuan to 4.44 trillion yuan during the tax period, causing short-term funding rates to rise[25] - The upcoming local government bond issuance remains uncertain, with 13 provinces yet to announce specific plans, potentially affecting market supply dynamics[26] Institutional Behavior - Large banks have increased purchases of 5-10 year government bonds, with net buying of 2.25 trillion yuan in January, indicating a shift in investment strategy[28] - The duration of bond funds remains low, with the average duration for rate-sensitive bond funds at 3.59 years, suggesting limited risk of significant market adjustments[31] Investment Strategy - The bond market is currently characterized by limited opportunities but manageable risks, making it suitable for gradual entry by institutional investors[32] - Trading institutions are advised to maintain a cautious approach, focusing on observing market developments before making significant moves[32]

1. Report Industry Investment Rating - The report does not provide a specific industry investment rating [1][3] 2. Core Viewpoints of the Report - The central bank indicates there is still room for reserve requirement ratio cuts and interest rate cuts. The pre - released policies are mainly "broad - credit" in effect, and the exchange rate does not strongly constrain interest rate cuts. The large - scale maturity and repricing of long - term deposits in 2026 will help stabilize the net interest margin [3] - Deposit repricing supports the space for interest rate cuts, but the bond market also needs to pay attention to the diversion effect of the stock market on matured deposits. The proportion of non - bank deposits may reach a new high, which is related to the form and rhythm of the stock market [3] - The year - on - year increase in the US core CPI in December last year was the same as the previous month. The risk of re - inflation is temporarily limited, and the impact of the US tax - cut policy on inflation remains to be observed [3] - Powell is facing a criminal investigation. The decision of the grand jury may be the key variable affecting the uncertainty of the Fed's subsequent decision - making process and the volatility of US Treasury bonds [3] - Geopolitical risks have caused oil price fluctuations. There are also changes in the prices and indicators of various domestic products such as agricultural products, industrial products, and metals [3] 3. Summary by Relevant Catalogs 3.1 High - frequency Data Scan - The repricing of time deposits supports the space for interest rate cuts. In 2025, with a 10BP cut in the LPR, the bank's net interest margin remained stable, and this effect should be further enhanced in 2026. However, the bond market needs to pay attention to the impact of the stock market on the diversion of matured deposits [3] - The year - on - year increase in the US core CPI in December last year was flat compared to the previous month. The risk of re - inflation is temporarily limited, and the impact of the US tax - cut policy on inflation remains to be seen. Powell's criminal investigation may affect the volatility of US Treasury bonds [3] - In the week of January 16, 2026, the average wholesale price of pork increased by 0.45% week - on - week and decreased by 20.75% year - on - year; the average wholesale price of 28 key - monitored vegetables decreased by 1.44% week - on - week and increased by 6.49% year - on - year. There were also changes in the prices and indicators of other products such as cement, iron ore, and crude oil [3] 3.2 High - frequency Data Panoramic Scan - The report presents data on the growth rate of time and other deposits, the relationship between LPR and bank net interest margin, and the proportion of non - bank deposits, as well as data on the ratio of US currency in circulation to GDP and personal consumption, and the relationship between US non - farm weekly wages and core CPI [11][16] - It also shows the week - on - week and year - on - year changes in various high - frequency indicators, including food, other consumer goods, bulk commodities, energy, non - ferrous metals, ferrous metals, real estate, and shipping [21][22] 3.3 Comparison of High - frequency Data and Important Macroeconomic Indicators' Trends - The report provides multiple sets of charts to show the relationship between high - frequency indicators such as copper spot price, crude steel daily output, and various price indices, and important macroeconomic indicators such as industrial added value, PPI, CPI, and fixed - asset investment [24][29][32] 3.4 Important High - frequency Indicators in the US, Europe, and Japan - It includes charts showing the relationship between US weekly economic indicators and actual economic growth, the number of first - time unemployment claims and the unemployment rate, US same - store sales growth and PCE year - on - year, as well as the implied prospects of interest rate hikes or cuts by the US Federal Reserve, the Bank of Japan, and the European Central Bank in the derivatives market [94][102][105] 3.5 Seasonal Trends of High - frequency Data - The report shows the seasonal trends (in terms of month - on - month increases) of high - frequency indicators such as the commodity trading area in 30 large and medium - sized cities, LME copper spot settlement price, and crude steel daily output [108][110][114] 3.6 High - frequency Traffic Data in Beijing, Shanghai, Guangzhou, and Shenzhen - It presents the year - on - year changes in subway passenger volumes in Beijing, Shanghai, Guangzhou, and Shenzhen [157][162]

Group 1: Banking and Financial Services - The scale of bank wealth management reached a historical high, with 14 wealth management companies managing over 10 trillion yuan, growing nearly 3 trillion yuan since the beginning of 2025, and the total industry scale peaked at 34 trillion yuan in November 2025 [1] - The central bank implemented a series of measures to support high-quality economic development, including a 0.25 percentage point reduction in re-lending and rediscount rates, and an increase of 500 billion yuan in re-lending for agriculture and small enterprises [1] - The Shanghai, Shenzhen, and Beijing stock exchanges raised the minimum margin ratio for financing to 100%, aimed at reducing leverage and protecting investors' rights [2] Group 2: Automotive and New Energy - Three departments are working to regulate the competitive order in the new energy vehicle industry, aiming to resist disorderly "price wars" and promote a fair market environment [3] Group 3: Investment Funds - As of January 14, 2026, 30 QDII funds have issued warnings about premium risks, indicating a market characterized by both heat and risk [3] - In the first week of 2026, solid income plus funds dominated the market, with 398 funds accounting for 56.70% of the total number and a scale of 651.61 billion yuan, representing 62.20% of the total scale [14] Group 4: Insurance Sector - Insurance companies are focusing on channel transformation and refined services, with several companies withdrawing from the market [3] Group 5: Global Market Trends - Global stock markets showed mixed performance, with the Chinese market experiencing fluctuations, while the U.S. market indices all declined [4] - Recent trends in bond yields showed a decline in Chinese government bond yields, while U.S. 10-year bond yields increased [9]

Group 1 - The scale of bank wealth management reached a historical high, with 14 wealth management companies managing over 10 trillion yuan, an increase of nearly 3 trillion yuan from the beginning of 2025, peaking at 34 trillion yuan in November 2025 [2] - The central bank implemented a "combination punch" to support high-quality economic development, including a 0.25 percentage point reduction in re-lending and rediscount rates, and an increase of 500 billion yuan in re-lending for agriculture and small enterprises [2] - The Shanghai, Shenzhen, and Beijing stock exchanges raised the minimum margin ratio for financing to 100%, aimed at reducing leverage and protecting investors' rights [3] Group 2 - Three departments are regulating the competition order in the new energy vehicle industry to resist disorderly "price wars," enhancing cost investigations and price monitoring [4] - As of January 14, 2026, 30 QDII funds have issued warnings about premium risks, indicating a market characterized by both heat and risk [5] - Insurance companies are focusing on refined services as they continue to downsize, with several companies approved to exit the market [6] Group 3 - The recent week saw a mixed performance in global stock markets, with the Shanghai Composite Index down 0.45% and the Shenzhen Component Index up 1.14% [8] - Recent trends in government bond yields showed a decline in 1-year, 5-year, and 10-year Chinese government bond yields, while the 10-year U.S. Treasury yield increased [11] - The recent week saw a stable performance in the Wande Fund Index, with various fund categories showing positive growth [12] Group 4 - In the commodity market, precious metals saw significant gains, with COMEX gold rising by 2.23% and silver by 13.37%, while international oil prices continued to rise [14] - The recent week saw solid performance in fixed-income funds, with 398 "fixed income plus" funds dominating the market, accounting for 56.70% of the total number of products [16] - Bank wealth management subsidiaries have become the core force in fundraising, with 561 subsidiaries participating in product issuance, accounting for 79.91% of all institutions [18]

Financial Data Overview - In December 2025, new social financing (社融) amounted to 22,075 billion yuan, a year-on-year decrease of 6,462 billion yuan, significantly exceeding the market expectation of 18,153 billion yuan[1] - The new RMB loan scale was 9,100 billion yuan, a year-on-year decrease of 800 billion yuan, also higher than the market expectation of 6,794 billion yuan[1] Key Observations on December Financial Data - New government bond financing in December 2025 was only 6,833 billion yuan, down 10,733 billion yuan from 17,566 billion yuan in December 2024, which was a major drag on social financing[2] - New loans to the real economy reached 9,804 billion yuan, an increase of 1,402 billion yuan year-on-year, marking the first positive growth since June 2025[2] Loan Trends - New corporate loans in December 2025 were 10,700 billion yuan, the second-highest level for the same period in nearly a decade, following 12,637 billion yuan in 2022[3] - New household loans were -916 billion yuan, with short-term loans at -1,023 billion yuan and medium to long-term loans at 100 billion yuan, indicating a significant decline but a slower rate compared to previous months[3] Consumer and Business Loan Dynamics - The decline in short-term consumer loans was -1,041 billion yuan, while medium to long-term consumer loans were -1,318 billion yuan, suggesting cautious consumer behavior in housing purchases[4] - The overall corporate financing demand showed a steady recovery, with total financing needs from September to December 2025 reaching 1.64 trillion, 0.56 trillion, 1.27 trillion, and 1.23 trillion yuan respectively, with a cumulative year-on-year increase of 20,955 billion yuan[5] Monetary Policy Signals - The central bank announced a 25 basis point reduction in the re-lending and rediscount rates, bringing the one-year re-lending rate down to 1.25%[8] - Structural monetary tools are being emphasized to enhance credit availability, with an increase in the re-lending quota for small and micro enterprises by 5,000 billion yuan[8] Economic Outlook - The M1 money supply growth rate fell to 3.8% year-on-year, attributed to base effects, despite a strong performance in December 2025[6] - Overall, December's financial data indicates a temporary recovery in demand, with corporate financing willingness remaining strong, while household loan demand shows structural issues but marginal improvement in total[6]