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]

Market Overview - The market experienced a rebound on Monday, with the Shanghai Composite Index closing at 3924 points, up 0.54%, and the ChiNext Index rising by 2.6% [1] - The total market turnover was approximately 2.05 trillion, showing an increase compared to the previous period [1] Key Focus Areas - The market's rise was primarily driven by gains in non-bank financials and technology stocks, supported by insurance funds adjusting risk factors to release more investable capital [2] - The Politburo meeting emphasized the continuation of a more proactive fiscal policy and moderately loose monetary policy, indicating a favorable policy environment [2] - Despite the A-share market's increase, the Hang Seng Index fell by 1.2%, suggesting weak foreign capital inflow and limited signs of savings migration [2] Technical Analysis - The Shanghai Composite Index filled the gap from November 21 and closed slightly above the 20-day moving average, indicating that the technical rebound target has been achieved [2] - Future movements may require consolidation rather than a sustained upward trend, with attention on the potential for a "hawkish rate cut" from the Federal Reserve [2] External Market Conditions - Overnight, U.S. stock markets saw slight declines, with the Dow Jones Industrial Average down 0.45% and the Nasdaq down 0.14% [3] - The 10-year U.S. Treasury yield rose to approximately 4.16%, indicating a shift in bond market sentiment [3] - The A50 index and Hang Seng futures showed minor declines, reflecting a stable external environment [3] Investment Strategy - The strategy leans towards a rotational approach, focusing on sectors such as industrial machinery, satellite internet, and semiconductor equipment materials, which are seen as key areas for investment [3] - Continuous monitoring of external policy changes, including potential rate cuts by the Federal Reserve and interest rate hikes by the Bank of Japan, is essential for guiding investment decisions [3]

新华财经北京12月1日电（刘润榕）人民银行1日开展1076亿元7天逆回购操作，操作利率为1.40%，与 此前持平；鉴于当日有3387亿元逆回购到期，公开市场实现净回笼2311亿元。 展望年内资金面，方正固收指出，12月资金面整体宽松无忧，政府债供给压力回落，建议提前布局短端 资产。历史上12月资金中枢多上行，但今年财政前置明显，政府债剩余额度仅116亿元，净融资量不超 3000亿元，较去年压力大减；存单到期量3.7万亿元但银行发行意愿强，预计发行量超3万亿元；当前超 储率1.5%、银行净融出余额维持在3.5万亿元附近，叠加信贷需求弱，预计12月资金面无忧。 财通证券分析称，12月财政支出增加而政府债发行减少对资金表现偏支持，但银行负债端扰动因素颇 多。展望12月，11月末最后一个交易日DR001向下突破7天OMO-9BP，可能对下阶段的货币政策基调有 一定指向意义，结合季节性规律和近期央行态度，12月DR001运行区间可能下移，如果再乐观看待，年 底降准、年初降息的可能性并不低。 天风证券表示，结合历史经验，12月资金面波动主要来自跨年扰动，其余时间段资金利率基本围绕月度 中枢窄幅波动。今年下半年以来，资金面 ...

1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The inter - bank market liquidity remains loose, with the overnight repurchase rate of deposit - taking institutions staying around 1.32%. The November LPR quotes remain unchanged [4]. - The stock index rose and then fell yesterday, showing an overall volatile performance. It is expected that market differences will be gradually digested during the stock index's volatile adjustment, and the index is expected to rise further with the emergence of new mainlines. The bottom - fishing effect of Central Huijin provides a certain buffer, and the downside risk of the index is generally controllable. The recent market adjustment offers an opportunity to lay out for the further rise of the stock index next year [6]. 3. Summary According to Relevant Catalogs 3.1 Macro - financial Data - **Interest Rates**: DR001 closed at 1.31%, down 0.04bp; DR007 at 1.45%, down 2.79bp; GC001 at 1.38%, down 6.50bp; GC007 at 1.52%, down 1.00bp; SHBOR 3M at 1.58%, up 0.10bp; LPR 5 - year at 3.50%, unchanged; 1 - year treasury bond at 1.35%, down 0.60bp; 5 - year treasury bond at 1.57%, up 0.20bp; 10 - year treasury bond at 1.84%, down 0.10bp; 10 - year US treasury bond at 4.00%, down 1.00bp [3]. - **Central Bank Operations**: The central bank conducted 356.4 billion yuan of 7 - day reverse repurchase operations yesterday at an operating rate of 1.40%. With 300 billion yuan of reverse repurchases maturing on the same day, the net investment for the day was 56.4 billion yuan [3]. 3.2 Stock Index Market - **Closing Prices and Changes**: The CSI 300 closed at 4515, down 0.05%; the SSE 50 at 2972, up 0.02%; the CSI 500 at 6951.3, down 0.2%; the CSI 1000 at 7257.5, up 0.12%. The trading volume of the two stock markets in Shanghai and Shenzhen was 1.7098 trillion yuan, a decrease of 73.6 billion yuan from the previous day. Industry sectors showed mixed performance, with papermaking, batteries, consumer electronics, photovoltaic equipment, and chemical raw materials sectors leading the gains, while cultural media, cement building materials, Internet services, pharmaceutical commerce, and gaming sectors leading the losses [5]. - **Futures Contracts**: IF volume was 100,893, up 3.7%; IF open interest was 264,196, up 1.9%; IH volume was 42,497, up 19.7%; IH open interest was 92,285, up 7.0%; IC volume was 112,976, up 5.6%; IC open interest was 254,570, up 2.2%; IM volume was 183,443, up 3.3%; IM open interest was 364,043, up 0.8% [5]. 3.3 Futures Contract Premium and Discount - **IF**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts were 8.38%, 6.21%, 3.95%, and 3.99% respectively [7]. - **IH**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts were 5.51%, 3.70%, 1.81%, and 1.63% respectively [7]. - **IC**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts were 13.15%, 11.90%, 10.34%, and 11.10% respectively [7]. - **IM**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts were 17.93%, 15.48%, 13.47%, and 13.25% respectively [7].

Group 1 - The China A500 Index (000510) increased by 1.15%, with notable movements in key stocks: Kweichow Moutai decreased by 0.1%, CATL rose by 0.9%, Ping An increased by 1.6%, China Merchants Bank grew by 1.2%, and Midea Group slightly increased by 0.1%. Additionally, Filihua surged by 8.0% and Shenzhen South Circuit rose by 7.9% [1] - The A500 ETF managed by E Fund (159361) has seen significant capital inflows, with over 810 million yuan in net inflows over the past 5 days and over 1.1 billion yuan in net inflows over the past 20 days [1] - The People's Bank of China will conduct a 10 billion yuan MLF operation with a one-year term on November 25, maintaining a loose liquidity stance [1] Group 2 - E Fund is a leading comprehensive asset management institution in China with over 20 years of experience in index investment, offering a wide range of index products across various sectors and global exchanges [2] - The A500 ETF (159361) closely tracks the China A500 Index and is recognized for its broad industry coverage, strong growth attributes, low fees, and excellent liquidity, making it a key tool for investors looking to allocate to core Chinese assets [2]

Market Performance - Treasury futures closed higher across the board, with the 30-year main contract up 0.15% at 115.760 yuan, the 10-year main contract up 0.06% at 108.505 yuan, the 5-year main contract up 0.03% at 105.890 yuan, and the 2-year main contract up 0.01% at 102.418 yuan [1] - The yields on major interbank bonds showed mixed movements, with slight fluctuations. As of the report, the 10-year China Development Bank bond "25国开15" yield remained at 1.8740%, the 10-year government bond "25附息国债16" yield remained at 1.8125%, and the 30-year government bond "25超长特别国债06" yield increased by 0.05 basis points to 2.1590% [1] Funding Conditions - The central bank announced a 338.7 billion yuan 7-day reverse repurchase operation on November 24, with a fixed rate of 1.40%, and the full bid amount was accepted. On the same day, 283 billion yuan of reverse repos matured, resulting in a net injection of 55.7 billion yuan [2] - The interbank market showed a relaxed funding condition, with major term repo rates stabilizing at low levels. The overnight repo rate for deposit institutions slightly decreased to around 1.32% [2] Operational Recommendations - Since October, the resumption of government bond trading and weak fundamentals have led to a rebound in the bond market. However, by mid-November, despite stock market fluctuations, the bond market did not continue to strengthen significantly due to weak expectations for further easing [3] - The short-term bond market is in a range-bound phase, with the 10-year government bond active coupon 250016.IB expected to fluctuate between 1.8% and 1.82%, and the 30-year active coupon rate expected to fluctuate between 2.14% and 2.17% [3] - Factors that may break the current range include the implementation of new redemption fee regulations, the announcement of the central bank's bond purchase scale at the end of the month, and the release of November economic data. A range trading strategy is recommended, with an emphasis on accelerating the pace of position shifting for short investors as the month-end approaches [3]

Core Viewpoint - The overall market is experiencing an upward trend, with the index returning to a rating of 4.1 stars, indicating a positive investment environment [1]. Market Performance - Large, medium, and small-cap stocks are all rising, with medium-cap stocks showing slightly higher gains [2]. - Growth styles, particularly in the technology and innovation sectors, have rebounded strongly after recent declines [3]. - In the value style, stocks with strong free cash flow have increased by over 2%, approaching normal valuation levels [4]. - The Hong Kong stock market is also seeing overall gains, with the Hang Seng Index and the Hong Kong Technology Index rising by over 2% [6][7]. Historical Context of Market Ratings - The article discusses the rarity of 1-star market bubbles, which typically occur at the peak of bull markets, such as in 2007 and 2015 for A-shares, where the Shanghai Composite Index reached over 6000 and 5000 points respectively [12][16]. - The article notes that after the 1-star ratings in 2007 and 2015, A-shares experienced significant declines of 70% and 50% respectively [16]. - Comparatively, the Nasdaq experienced a similar bubble in 2000, with a subsequent drop of over 80% until it regained its previous levels in 2017 [17]. Current Market Conditions - The current market is characterized by a recovery in fundamentals, with a single-digit year-on-year profit growth for the CSI index, indicating a modest improvement compared to the previous year [26]. - The global market's rise is primarily driven by the Federal Reserve entering a rate-cutting cycle, leading to increased liquidity [26]. - The current market dynamics resemble those of 2015, with ample liquidity driving small-cap and growth stocks to lead the rally, although personal leverage is being strictly controlled [26]. Valuation Insights - The article provides a valuation table for various dividend and free cash flow indices, indicating the current earnings yield and other financial metrics for reference [28]. - The valuation data suggests that certain indices are currently undervalued and suitable for dollar-cost averaging, while others are overvalued [42]. Future Outlook - The potential for the current bull market to reach a 1-star rating is uncertain, with short-term fluctuations being unpredictable [26]. - The article emphasizes the importance of patience in investment, suggesting that investors should buy during downturns and sell during peaks, while waiting for opportunities in between [26].

Report Summary 1. Report Industry Investment Rating No information regarding the report industry investment rating is provided in the given content. 2. Core View of the Report - The overall situation of the Treasury bond futures market this week shows an oscillating and relatively strong pattern, with differences still existing in the market's expectations of loose capital and economic recovery [5]. - Maintain the view that the medium - term general direction is oscillating and slightly bearish. After the meeting between the Chinese and US leaders, the sentiment in the equity market has declined, boosting the performance of the bond market. The Treasury bond futures may break away from the previous downward channel and shift to an oscillating channel, and it is still possible to actively participate in the structural market where long - term players seek capital gains [4][5]. 3. Summary Based on Relevant Catalogs 3.1. Weekly Focus and Market Tracking - Treasury bond futures contracts declined across the board this week. Short - term prices were relatively stagnant, while long - term prices fluctuated greatly. After the meeting between the Chinese and US leaders, the sentiment in the equity market declined, enhancing the performance of the bond market [5]. - The market's expectations of loose capital and economic recovery differ. Although the central bank's reverse repurchase rate is stable, the FR007 interest rate swap curve has declined across all maturities, indicating that the market's expectation of the sustainability of policy easing has increased [5]. - On October 27, 2025, Governor Pan stated at the Financial Street Forum Annual Conference that "the People's Bank of China will resume open - market Treasury bond trading operations", which is beneficial to the bond market [5]. - On October 28, Xinhua News Agency released the full text of "Suggestions of the Central Committee of the Communist Party of China on Formulating the 15th Five - Year Plan for National Economic and Social Development", conveying important guidelines and policy signals. The Federal Reserve continued to cut interest rates by 25 basis points and ended balance - sheet reduction in December [5]. - The Treasury bond futures market shows the characteristics of a mild upward trend in the short - term and intensified fluctuations in the long - term. The yield curve continues to flatten. The short - term is driven by loose capital, while the long - term is affected by policy expectations and allocation needs [8]. 3.2. Liquidity Monitoring and Curve Tracking No specific text content is provided for this section, only a figure titled "Liquidity Monitoring and Curve Tracking" is given [10]. 3.3. Seat Analysis - Daily changes in net long positions by institutional type: Private funds decreased by 0.74%; foreign capital decreased by 2.47%, and wealth management subsidiaries decreased by 2.74%. Weekly changes: Private funds increased by 3.4%; foreign capital increased by 4.8%, and wealth management subsidiaries increased by 2.02% [11].