Report Summary 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core View - On January 16, the liquidity gradually returned to a loose state, with major repurchase rates declining; the bond market generally warmed up; the main indices of the convertible bond market rose collectively, and most convertible bond issues saw price increases; yields of U.S. Treasury bonds across various maturities generally went up, and yields of 10 - year government bonds in major European economies also mostly increased [1][2]. 3. Summary by Section 3.1 Bond Market News - **Domestic News** - The central bank and the National Financial Regulatory Administration adjusted the minimum down - payment ratio for commercial real estate mortgages to no less than 30% on January 17 [4]. - The Ministry of Finance and the State Taxation Administration extended the tax incentives for public rental housing until December 31, 2027, on January 16 [4]. - The China Securities Regulatory Commission emphasized maintaining market stability, strengthening monitoring, and guiding long - term investment at its 2026 system work meeting on January 15 [5]. - The National Financial Regulatory Administration called for promoting the regular operation of the urban real estate financing coordination mechanism and supporting the resolution of financing platform debt risks at its 2026 regulatory work meeting on January 15 [5]. - **International News** - On January 16, Federal Reserve Governor Bowman called on the Fed to be ready to cut interest rates if the labor market does not improve sustainably [7]. - **Commodities** - On January 16, international crude oil futures prices turned up while international natural gas prices turned down. WTI February crude oil futures rose $0.25, or 0.42%, to $59.44 per barrel; Brent March crude oil futures rose 0.58% to $64.13 per barrel; COMEX gold futures fell 0.57% to $4597 per ounce, with a cumulative weekly increase of 2.12%; NYMEX natural gas prices fell 1.11% to $3.109 per ounce [8]. 3.2 Liquidity - **Open - Market Operations** - On January 16, the central bank conducted 7 - day reverse repurchase operations worth 86.7 billion yuan at a fixed interest rate of 1.40%, with a net injection of 52.7 billion yuan after 34 billion yuan of reverse repurchases matured [10]. - **Funding Rates** - On January 16, the liquidity gradually loosened, and major repurchase rates declined. DR001 dropped 4.73bp to 1.320%, and DR007 dropped 5.94bp to 1.443% [11]. 3.3 Bond Market Dynamics - **Interest - Rate Bonds** - **Yield Trends of Cash Bonds** - On January 16, due to the loosening liquidity and the decline of the stock market, the bond market generally warmed up. As of 20:00 Beijing time, the yield of the 10 - year Treasury bond active issue 250016 dropped 1.20bp to 1.8430%, and the yield of the 10 - year China Development Bank bond active issue 250215 dropped 0.40bp to 1.9640% [14]. - **Bond Tendering Results** - The 3 - year 25 Jinchu 13 (Increment 7) was issued with a scale of 6 billion yuan, a winning yield of 1.6176%, a full - field multiple of 4.66, and a marginal multiple of 5.32 [16]. - **Credit Bonds** - **Abnormal Secondary - Market Transactions** - On January 16, the trading prices of 3 industrial bonds deviated by more than 10%. "21 Vanke 06" rose over 10%, "23 Vanke 01" rose over 21%, and "23 Vanke MTN003" rose over 39% [16]. - **Credit Bond Events** - Shenye Group cancelled the issuance of "26 Shenye MTN001" due to market reasons. Moody's revoked Hailong Holdings' "Ca" corporate family rating at the company's request. Fitch downgraded Wanda Commercial and Wanda Hong Kong's long - term foreign - currency issuer ratings to "RD" and then upgraded them to "CC". Guang'an Aizhong expected its net profit in 2025 to be negative. Gome Electric was listed as a dishonest executor with a total execution target of 116 million yuan. The Shanghai Stock Exchange publicly condemned Jiangsu Baoguangli Video Technology Group for failing to disclose its interim report on time [17]. - **Convertible Bonds** - **Equity and Convertible Bond Indices** - On January 16, the three major A - share indices fell. The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index dropped 0.26%, 0.18%, and 0.20% respectively, with a total trading volume of 3.06 trillion yuan. The main convertible bond market indices rose collectively. The CSI Convertible Bond Index, Shenzhen Convertible Bond Index, and Shanghai Convertible Bond Index rose 0.47%, 0.59%, and 0.31% respectively. The trading volume of the convertible bond market was 103.48 billion yuan, an increase of 8.109 billion yuan from the previous trading day. Among 388 convertible bond issues, 236 rose, 139 fell, and 13 remained flat [18]. - **Convertible Bond Tracking** - On January 17, Changgao Electric and Haitian Co., Ltd. received CSRC approval for convertible bond issuance. On January 16, Meinuo Convertible Bond proposed a downward revision of the conversion price; Changqi Convertible Bond, Oujing Convertible Bond, Jidong Convertible Bond, Aojia Convertible Bond, and Mars Convertible Bond were about to trigger the downward - revision clause of the conversion price. Guanglian Convertible Bond, Jiamei Convertible Bond, and Fumiao Convertible Bond announced early redemption; Huazheng Convertible Bond and Daotong Convertible Bond were expected to trigger the early - redemption clause [26]. - **Overseas Bond Markets** - **U.S. Bond Market** - On January 16, yields of U.S. Treasury bonds across various maturities generally went up. The 2 - year U.S. Treasury bond yield rose 3bp to 3.59%, and the 10 - year yield rose 7bp to 4.24%. The 2/10 - year U.S. Treasury bond yield spread widened by 4bp to 65bp, and the 5/30 - year yield spread narrowed by 1bp to 101bp. The break - even inflation rate of the 10 - year U.S. Treasury Inflation - Protected Securities (TIPS) rose 4bp to 2.33% [22][23][24]. - **European Bond Market** - On January 16, yields of 10 - year government bonds in major European economies generally increased. The 10 - year German government bond yield rose 3bp to 2.84%, and those of France, Italy, Spain, and the UK rose 3bp, 1bp, 1bp, and 1bp respectively [25]. - **Daily Price Changes of Chinese - Issued U.S. Dollar Bonds (as of the close on January 16)** - The prices of some Chinese - issued U.S. dollar bonds changed. For example, the price of New World Development's bond rose 13.6%, while that of Bilibili's bond fell 1.3% [27].

Core Viewpoint - The People's Bank of China (PBOC) conducted a 99 billion yuan reverse repurchase operation with a fixed rate of 1.4%, indicating a strategy to maintain liquidity in the financial system [1] Group 1: Monetary Policy Actions - The PBOC executed a 99 billion yuan 7-day reverse repurchase operation on January 8, with an interest rate set at 1.4% [1] - There were no 7-day reverse repos maturing on that day, but 1.1 trillion yuan of 3-month reverse repos were set to mature, leading to a net injection of 99 billion yuan [1] Group 2: Market Implications - Experts suggest that various factors, including fiscal deposits and credit issuance, will influence liquidity in January [1] - The central bank is expected to continue using various policy tools, such as government bond transactions and Medium-term Lending Facility (MLF), to ensure ample liquidity [1] - It is anticipated that the funding environment will remain loose in the near term [1]

Group 1 - The report indicates that the liquidity in the money market remains loose, with a net injection of 11,710 billion yuan this week, despite some fluctuations in funding prices due to year-end factors [2][17]. - The average DR001 rate dropped to 1.28% in December, marking a new low for the year, while the DR007 rate slightly increased but remains low compared to previous years [3][39]. - The report highlights that the overall funding environment is expected to remain loose, with limited room for further declines in funding rates before any potential interest rate cuts by the central bank [3][39]. Group 2 - The report forecasts that the net financing scale for government bonds in January, February, and March 2026 will be approximately 1.18 trillion yuan, 0.81 trillion yuan, and 1.12 trillion yuan respectively, totaling around 3.1 trillion yuan for the first quarter [5][62]. - It is anticipated that local government bond issuance in January will be around 1 trillion yuan, with net financing expected to be approximately 890 billion yuan [5][59]. - The report notes that several regions have announced their local bond issuance plans for the first quarter of 2026, with a total planned issuance of 19,658 billion yuan, closely aligning with the actual issuance from the previous year [4][52]. Group 3 - The report discusses the trends in interbank certificates of deposit, noting that the issuance of 1-year AAA-rated certificates has decreased slightly to 1.63% [10][73]. - The Shibor rates for various maturities have shown minor fluctuations, with the 1-year rate remaining stable at 1.65% [68][73]. - The report indicates that the overall sentiment in the bond market is weak, with a notable decrease in the willingness of major banks to increase their bond holdings [11].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - On December 26, 2025, the treasury bond futures market declined across the board, showing a pattern of long - term weakness and short - term stability. The 30 - year main contract (TL2603) led the decline, hitting the largest single - day decline since December 18. The 10 - year (T2603), 5 - year (TF2603), and 2 - year (TS2603) contracts fell slightly, with limited short - end declines supported by loose liquidity. The total market turnover was 281.724 billion yuan, and the 30 - year contract turnover was 107.144 billion yuan, accounting for 38% of the total market, indicating that the ultra - long end remained the core of capital game [11]. 3. Summary by Directory 3.1 Futures Market - **Contract Price**: On December 26, 2025, the ten - year treasury bond (T2603) futures contract opened lower at 108.200 yuan, showed a volatile trend during the day, with an intraday low of 108.195 yuan. The daily K - line closed positive, with a trading volume of 67,379 lots and an open interest of 253,517 lots [2]. - **Variety Price**: Among the 12 treasury bond futures contracts, the prices of the two - year treasury bond contracts (TS2603, TS2606, TS2609) showed a pattern of near - term low and long - term high; the prices of the five - year treasury bond contracts (TF2603, TF2606, TF2609) showed a pattern of near - term high and long - term low; the prices of the ten - year treasury bond contracts (T2603, T2606, T2609) showed a long - term low pattern; the prices of the thirty - year treasury bond contracts (TL2603, TL2606, TL2609) showed a near - term low pattern. The open interest of the ten - year treasury bond (T2603) contract was the highest among all contracts [3][5]. 3.2 Spot Market - On December 26, 2025, the People's Bank of China conducted 93 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.40% through quantity tender. The maturity amount was 56.2 billion yuan, resulting in a net injection of 36.8 billion yuan [6]. 3.3 Related Information - Technical Analysis - For the ten - year treasury bond (T2603) futures contract, the daily K - line closed positive, with an intraday high of 108.330 yuan. The MACD indicator continued to run with a golden cross near the zero - axis, and the trading volume was greater than the previous day [9].

Core Viewpoint - The financial market experienced a loose liquidity environment last week, leading to a decline in short-term interest rates, with DR001 dropping to 1.25% and a nearly 7 basis points decrease in the 1-year government bond yield [1] Market Overview - The yield changes for various government bonds from December 19 to December 26, 2025, were as follows: 1-year (-6.75 BP), 2-year (-3.74 BP), 3-year (-3.14 BP), 5-year (-0.73 BP), 7-year (-2.25 BP), 10-year (+0.68 BP), 30-year (-0.19 BP), and 50-year (-1.5 BP) [2] - The 10-year and 30-year government bond yields remained stable at 1.83% and 2.22%, respectively, indicating a steepening yield curve [1] Bond Market Activity - The bond market showed mixed performance with the 10-year government bond yield fluctuating slightly, closing at 1.8355% after a weekly change of +0.05 BP [5] - The trading sentiment in the bond market was cautious as year-end approached, with expectations for more incremental information to guide market movements [1] Government Bond Issuance - A total of 9 government bonds were issued last week, amounting to 210.08 billion yuan, including 3 government bonds worth 208.04 billion yuan and 6 local government bonds worth 2.037 billion yuan [6] International Bond Market - The U.S. Treasury yields experienced fluctuations, with the 10-year yield dropping by 2 BP to 4.72% and the 2-year yield also down by 2 BP to 3.48% [7] - Japan's government approved a record budget for the fiscal year 2026, raising concerns about the sustainability of its fiscal situation as the debt-to-GDP ratio reached 240% [8] Central Bank Operations - The central bank conducted various operations throughout the week, including 7-day reverse repos totaling 673 billion yuan to 930 billion yuan, and maintained the 1-year and 5-year Loan Prime Rates (LPR) at 3% and 3.5%, respectively [9][10] Economic Indicators - The National Bureau of Statistics reported a 0.1% year-on-year increase in profits for industrial enterprises from January to November 2025, with manufacturing profits growing by 5.0% [11] - The People's Bank of China emphasized the need for a stable monetary environment and plans to support key sectors and manage financial risks effectively [12]

Group 1 - The core view of the report indicates that the equity market is showing signs of upward momentum, with the total A-share index rising by 0.60% and trading volume increasing by 467 billion yuan compared to the previous day [1][2] - The report highlights that the market is attempting to establish new narratives, which historically accompany successful breakthroughs of previous highs at year-end [1][2] - The report suggests that the index is approaching previous highs, with the total A-share index breaking through 6400 points, nearing the highs of October and November [2] Group 2 - The report identifies strong performance in specific sectors, particularly defense, military, and communication industries, which have successfully broken through previous high points, indicating a positive market sentiment towards these sectors [2] - The commercial aerospace sector has led the market with a cumulative increase of 31.12% since November 24, and its trading volume has reached a historical high of 6.05% of total A-share trading volume [3] - The bond market is experiencing a mixed performance, with short-term bonds showing a downward trend while long-term bonds are under pressure due to rising yields influenced by equity market movements [4][5] Group 3 - The report notes that the commodity market has shifted from a broad rally to a more differentiated performance, with precious metals experiencing a decline while industrial metals remain resilient [6] - The report emphasizes that the long-term bullish logic for precious metals remains intact, but short-term volatility may arise due to profit-taking after significant price increases [7] - The report discusses the dynamics in the polysilicon industry, where price increases are being driven by supply-side adjustments, despite ongoing supply-demand imbalances [7]

Group 1 - Recent funding rates have declined rapidly, with overnight rates dropping to 1.27%. The yield on the 2-year active bond 250017 has also decreased to a new low of 1.3650%, indicating a continued loose funding environment [1] - The long-end rates have shown fluctuations due to trading influences, with the 10-year rate slightly rebounding to 1.8450%. The low funding rates reflect the central bank's supportive stance towards the bond market, suggesting a moderate recovery in the bond market moving forward [1] - Recent economic data indicates that domestic total demand is still in need of repair, and the foundation for inflation recovery remains unstable, which is marginally beneficial for the bond market. The widening term spread is unfavorable for monetary policy transmission, but the continued loose liquidity environment may allow short-term rate declines to transmit to long-term rates [3] Group 2 - Considering the manageable fiscal pressure for the next year and the pending implementation of broad monetary tools, long-term bonds still hold investment value. It is recommended to pay attention to the 10-year government bond ETF (511260) and consider allocation opportunities after short-term rate adjustments [3]

Report Summary Core View - There are both positive and negative factors in the bond market. Positive factors include a loose capital market despite the contraction of the manufacturing PMI, and rumors of "dual cuts" in the political situation boosting sentiment, leading to a decline in yields and an overall rise in futures. Negative factors are that the central bank's bond - buying scale is lower than expected, causing yields to rise and futures to fall, as well as banks selling bonds to realize profits and bond funds facing redemption pressure, resulting in consecutive increases in yields and falling futures. The trading advice is to pay attention to the central bank's bond - buying intensity and short - term liquidity and keep positions flexible [2] Specific Data and Indicators Yield and Interest Rate - Data on 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08 are presented, along with data on deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day terms and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [3] Term Spread - Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are provided [4][5] Futures Position and Trading Volume - Data on the positions and trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from different time periods are shown [7][8] Basis and Spread - Data on the basis of the current - quarter contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented, as well as the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures. Additionally, data on cross - variety spreads (TS*4 - T and T*3 - TL) are provided [9][10][14][16][18][19][20]

Core Viewpoint - The recent decline in the DR001 overnight interest rate to a new low of 1.27% is attributed to a combination of factors including accelerated fiscal spending, proactive central bank liquidity support, and weak institutional demand, indicating a stable and ample year-end liquidity environment [1][3][4]. Group 1: Factors Influencing DR001 - The issuance of replacement bonds and accelerated fiscal spending have contributed to liquidity support in December [1][3]. - The central bank's liquidity injections are aligned with institutional demand, stabilizing expectations for the funding environment [1][3]. - Historical trends show that fluctuations in funding rates during December are typically concentrated around the year-end, with other periods exhibiting narrow fluctuations around a central tendency [1][3]. Group 2: Market Dynamics - The overnight funding rate has shown a steady decline, breaking the previous lower limit of 1.30% that had been maintained for over six months [2][3]. - The net funding outflow from the banking system reached 4.49 trillion yuan from December 8 to 12, indicating a high level of net outflow in the fourth quarter [3]. Group 3: Tax Period and Liquidity Outlook - Despite the upcoming tax period, the overall liquidity is expected to remain stable due to the central bank's proactive measures and multiple supporting factors [4][5]. - The central bank has conducted a total of 1.6 trillion yuan in reverse repos this month, with a net injection of 200 billion yuan after accounting for maturing repos [4]. - December is not a traditional tax month, with an average tax payment of approximately 1.32 trillion yuan over the past three years, suggesting manageable overall funding pressure [5].

Report Information - Report Title: Treasury Bond Derivatives Weekly Report - Report Date: 2025/12/12 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 Investment Rating - Not provided Core Viewpoints - Bullish factors include the synergy of counter - cyclical policies and fiscal - monetary easing, and loose liquidity, which support the bond market [2] - Bearish factors are that the 10 - year Treasury bond futures are in a short - term state with a flat curve structure and limited policy stimulus [2] - The trading advice is to monitor liquidity and policy trends and maintain a wait - and - see or light - position strategy [2] Content Summary Bond Yields and Interest Rates - Information on 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024/04 to 2025/08 and deposit - class institutional repurchase rates from 2023/12 to 2025/06 is presented [3] Bond Spreads - Data on 7Y - 2Y and 30Y - 7Y Treasury bond spreads from 2024/04 to 2025/08 are provided [4][5] Futures Positions and Trading Volume - Information on the positions of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2015/12 to 2023/12 and trading volume from 2024/04 to 2025/08 is shown [7] Futures Basis and Spreads - Data on the basis of 2Y, 5Y, 10Y, and 30Y Treasury bond futures' current - quarter contracts and the spreads between current - and next - quarter contracts of 2Y, 5Y, 10Y, and 30Y Treasury bond futures are presented [8][9][10][13][15][16] Cross - Variety Spreads - Information on TS*4 - T and T*3 - TL cross - variety spreads from 2023/06 to 2025/08 is included [18][19]