Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints - In 2026, fiscal policy may maintain the general deficit ratio basically stable compared to 2025, and monetary policy has room for two 10BP interest rate cuts and 1 - 2 times of 25BP reserve requirement ratio cuts. The coordinated fiscal and monetary policies have a significant impact on interest rates. The bond market in 2026 is expected to remain range - bound with band trading opportunities, especially when the 10 - year Treasury yield approaches or reaches 1.9% [3][57]. Summary by Relevant Catalogs 1. Fiscal, Monetary Policy Coordination and the Bond Market Relationship - Fiscal and monetary policy coordination is crucial for bond market interest rates. An expansionary fiscal policy shifts the IS curve to the right, putting upward pressure on interest rates, while an expansionary monetary policy shifts the LM curve downward, exerting downward pressure on interest rates. When both policies are implemented simultaneously, the net impact on interest rates depends on which policy is more active [11]. 2. Overall Ideas for Fiscal and Monetary Policy Coordination in 2026 - The 2025 Central Economic Work Conference called for a proactive fiscal policy and a moderately loose monetary policy in 2026. The central bank aims to promote stable economic growth and reasonable price recovery, and keep the social comprehensive financing cost at a low level. The Ministry of Finance will continue to implement a more proactive fiscal policy, focusing on improving the efficiency of fiscal funds [16][17][18]. 3. Review of China's Fiscal and Monetary Policy Coordination in 2025 - In 2025, China's fiscal policy remained strong, with the ratio of fiscal total expenditure to GDP rising again. Fiscal revenue as a share of GDP declined, including budget - internal revenue and government - funded revenue. As a result, government bond supply grew at a high rate. The monetary policy met market expectations, with a 50BP reserve requirement ratio cut and a 10BP policy interest rate cut, supporting the growth of money supply and social financing [20][23][26]. 4. Analysis of the Policy Space for Demand - Side Stimulus in China in 2026 - In 2026, demand - side policies still need to be strengthened as the nominal GDP growth slowed down in the second half of 2025, possibly due to limited demand - side support. Monetary policy still has some room for action. Low - interest rates are consistent with supporting economic growth and social financing. The 10 - year Treasury yield in the range of 1.6 - 1.9% may be the central bank's perceived balance state [30][32][35]. 5. Outlook for China's Fiscal and Monetary Policy Coordination in 2026 - Fiscal policy may keep the general deficit ratio stable, with the ratios of fiscal total expenditure and budget - internal revenue to GDP remaining stable. The decline in government - funded revenue as a share of GDP may be limited. Monetary policy is expected to be the focus of incremental policies, with two 10BP interest rate cuts and 1 - 2 times of 25BP reserve requirement ratio cuts. If only one 25BP reserve requirement ratio cut is implemented, the central bank will increase the base money supply [43][46][47]. 6. Challenges Faced by China's Bond Market: Lack of Duration Preference - As bank deposit growth slows down, the bond market faces the challenge of a lack of duration preference. The proportion of bonds held by commercial banks and insurance institutions has decreased, making it more difficult to balance the upward pressure on yields. Therefore, it is important for monetary policy to maintain interest rates in a low - level range [52][54][55]. 7. Main Conclusions - In 2026, fiscal policy may maintain the general deficit ratio stable compared to 2025, and monetary policy has room for two 10BP interest rate cuts and 1 - 2 times of 25BP reserve requirement ratio cuts. The coordinated fiscal and monetary policies have a significant impact on interest rates. The bond market in 2026 will still be affected by the lack of duration preference, but the pressure from the expected policy combination will be less than in 2025. The bond market is expected to remain range - bound with band trading opportunities, especially when the 10 - year Treasury yield approaches or reaches 1.9% [57].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In 2026, the government bond supply increment is expected to decrease significantly, with a possible rhythm disturbance rather than a trend impact [3] - The current core pressure lies on the demand side, but the demand side is expected to improve recently [4] - The bond market may remain volatile this month, waiting for possible allocation opportunities at the end of the month [5] 3. Summary by Relevant Catalogs 3.1 First Quarter Government Bond Issuance Plan - **Treasury Bonds**: The issuance plan in Q1 2026 is similar to that of last year. The issuance scale of single - issue treasury bonds has increased this week, but whether it will continue to be large - scale needs further observation. From 2024 - 2025, the single - issue scale of general treasury bonds is usually lower in Q1 and Q4 and higher in Q2 and Q3 [8] - **Local Bonds**: The planned issuance scale in Q1 2026 may be lower than last year. The issuance rhythm is more front - loaded in January, but the planned issuance amount and net financing in February and March are expected to be lower than last year. The term structure of the disclosed areas has been shortened, but the national - level change needs further observation [13][16] 3.2 Past Government Bond Issuance Characteristics - **Rhythm**: In 2025, the issuance of general treasury bonds and special refinancing bonds was front - loaded, and the issuance rhythm of special bonds was slower than expected. This characteristic is expected to continue in Q1 2026 [23][25] - **Term**: In recent years, the issuance term of government bonds has generally lengthened, with the average duration of local bonds increasing from 11.95 years in 2021 to 15.62 years in 2025, and the issuance term of treasury bonds rising from 6.34 years in 2022 to 8.33 years in 2025 [30] 3.3 Supply Pressure as a Disturbance, Long - term Bond Demand as the Core - **Supply**: The government bond increment in 2026 is expected to decrease significantly, with the impact being more about rhythm rather than trend [33] - **Demand**: The demand for long - term bonds was insufficient at the end of 2025, but the demand side is expected to improve recently. The bond market may be volatile in January and is expected to gradually recover after the supply shock at the end of the month [33][35][36]

Market Overview - The bond market showed significant recovery on January 8, with futures and cash bonds strengthening in the afternoon, leading to a rise in government bond futures across the board [1] - The interbank cash bond yield decreased by approximately 2 basis points, while the central bank conducted a net injection of 9.9 billion yuan in the open market [1] Bond Futures Performance - Government bond futures closed higher, with the 30-year main contract rising by 0.37% to 111.00, the 10-year main contract up by 0.15% to 107.79, and the 5-year main contract increasing by 0.09% to 105.60 [2] - The China Convertible Bond Index rose by 0.39% to 509.26 points, with notable gains in several convertible bonds [2] International Bond Market - In North America, U.S. Treasury yields showed mixed results, with the 2-year yield increasing by 1.45 basis points to 3.470% and the 10-year yield decreasing by 2.16 basis points to 4.147% [3] - In Asia, Japanese bond yields fell significantly, with the 10-year yield down by 5.1 basis points to 2.07% [3] - In the Eurozone, yields on various government bonds also decreased, with the 10-year French bond yield down by 3.1 basis points to 3.520% [3] Primary Market Activity - The Export-Import Bank issued financial bonds with yields below market estimates, with the 1.2521-year and 5.5041-year bonds yielding 1.4444% and 1.7827%, respectively [4] - The China Development Bank's 3-year and 7-year financial bonds had yields of 1.6783% and 1.94%, respectively, indicating strong demand [4] Liquidity Conditions - The central bank announced a 99 billion yuan reverse repo operation at a fixed rate of 1.40%, with no reverse repos maturing on that day [5] - Short-term funding rates in the Shibor market mostly increased, with the overnight rate rising by 0.4 basis points to 1.27% [5] Institutional Insights - Guotai Junan Fund emphasized the importance of pure bond funds focusing on stable long-term returns and the transformation of "fixed income +" funds to attract more aggressive capital [6] - CITIC Securities projected that China would remain in a low-interest-rate environment through 2026, with potential downward pressure on long-term bond yields as economic recovery progresses [6] - Shenwan Hongyuan suggested that monetary policy would likely remain generous in 2026, with expectations of 1-2 reserve requirement ratio cuts and one interest rate cut during the year [6]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content. 2. Core Viewpoints of the Report - The bond market is currently facing multiple shocks, with a significant increase in adjustment pressure. The better-than-expected recovery of the manufacturing PMI in December may lead to a marginal improvement in the economic data of that month, weakening the fundamental support and reducing the short - term necessity of loose monetary policy. - After the holiday, the strong performance of the equity market has intensified the liquidity pressure on the bond market. - In January, the issuance scale of government bonds has increased compared with the same period last year, but the market allocation power remains weak, and the ultra - long bonds have continued to rise under the supply pressure. - In the short term, interest rates are expected to fluctuate weakly. [4] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: On January 7, 2026, the closing prices of T, TF, TS, and TL futures all declined, with decreases of 0.08%, 0.06%, 0.03%, and 0.44% respectively. The trading volumes of T, TF, TS, and TL were 86,507, 69,708, 50,979, and 122,870 respectively, with increases of 3,627, 640, 7,144, and 15,230 respectively compared to the previous period. - **Futures Spreads**: Some spreads such as TL2603 - 2606 and TS2603 - 2606 decreased, while others like T03 - TL03, T2603 - 2606, etc. increased. - **Futures Positions**: The positions of T, TF, and TS decreased by 1,119, 1,320, and 2,839 respectively, while the position of TL increased by 4,241. The net short positions of T and TS increased, while that of TF decreased. [2] 3.2 Bond Market - **CTD Bonds**: The net prices of several CTD bonds such as 250018.IB, 220025.IB, etc. all declined. - **Active Treasury Bonds**: The yields of 1 - 10 - year active treasury bonds mostly increased, with the 1 - year yield remaining unchanged, and the 3 - year, 5 - year, 7 - year, and 10 - year yields increasing by 3.25bp, 2.75bp, 2.35bp, and 2.15bp respectively. [2] 3.3 Interest Rates - **Short - term Interest Rates**: The overnight silver - pledged repo rate decreased by 14.39bp, while the Shibor overnight rate increased by 0.30bp. The 7 - day silver - pledged repo rate decreased by 3.00bp, while the Shibor 7 - day rate increased by 2.80bp. The 14 - day silver - pledged repo rate increased by 4.00bp, while the Shibor 14 - day rate decreased by 1.20bp. - **LPR Rates**: Both the 1 - year and 5 - year LPR rates remained unchanged. [2] 3.4 Open Market Operations - On January 7, 2026, the issuance scale of reverse repurchase operations was 286 billion yuan, the maturity scale was 5,288 billion yuan, with a net回笼 of 5,002 billion yuan, and the interest rate was 1.4% for 7 - day operations. [2] 3.5 Industry News - **Monetary Policy**: The 2026 China People's Bank of China Work Conference was held from January 5th to 6th. The central bank will continue to implement a moderately loose monetary policy, use various monetary policy tools such as reserve requirement ratio cuts and interest rate cuts flexibly and efficiently to maintain sufficient liquidity, and strengthen financial support for key areas. - **Foreign Exchange Management**: The 2026 National Foreign Exchange Management Work Conference was held in Beijing, aiming to create a more convenient, open, safe, and intelligent foreign exchange policy environment. - **Trade Policy**: The Ministry of Commerce announced a ban on the export of all dual - use items to Japanese military users, military purposes, and other end - user purposes that contribute to enhancing Japan's military strength. [2] 3.6 Overseas Situation - The US raided Venezuela and arrested Maduro, causing geopolitical shocks. - The US ISM manufacturing PMI index in December 2025 unexpectedly dropped to 47.9, the lowest since 2024, indicating continuous manufacturing contraction. - The minutes of the Fed's December meeting showed differences among officials, but most participants believed that if inflation declined as expected, future monetary policy would be further relaxed. [4]

Core Viewpoint - The bond market is under pressure with a weak trend due to limited expectations for monetary easing at the beginning of the year and concerns over supply pressure [1] Market Performance - Government bond futures closed lower across the board, with the 30-year main contract down 0.44% at 110.47, the 10-year main contract down 0.08% at 107.61, the 5-year main contract down 0.06% at 105.5, and the 2-year main contract down 0.03% at 102.332 [2] - The interbank major interest rate bond yields briefly fell before rising again, with the 10-year policy bank bond yield up 1.15 basis points to 1.99%, and the 10-year government bond yield up 0.75 basis points to 1.891% [2] Monetary Policy and Market Outlook - The People's Bank of China emphasized maintaining a moderately loose monetary policy, enhancing financial services for high-quality economic development, and ensuring a stable financial environment [7][8] - Institutions expect the bond market to remain volatile, with a preference for carry trades and small positions in adjusted wave trading strategies [9] Funding Conditions - The central bank conducted a 286 billion yuan 7-day reverse repurchase operation at a rate of 1.40%, resulting in a net withdrawal of 500.2 billion yuan for the day [6] - Shibor rates showed mixed performance, with the overnight rate rising by 0.3 basis points to 1.266% and the 7-day rate rising by 2.8 basis points to 1.45% [6] Institutional Insights - Western fixed income analysts believe that new public fund sales regulations will positively impact the bond market, potentially improving institutional sentiment [9] - Expectations for monetary policy in 2026 include possible rate cuts and reserve requirement ratio reductions, with a focus on maintaining liquidity and supporting economic growth [9]

021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 行业 国债日报 日期 2026 年 1 月 6 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货1月5日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2603 | 111.380 | 111.650 | 111.320 | 111.270 | -0.060 | -0.05 | ...

Market Performance - The 30-year treasury futures contract closed down 0.05%, while the 10-year contract rose 0.03%. The 5-year and 2-year contracts fell by 0.02% and 0.03% respectively. The yields on major interbank bonds mostly increased, with the 10-year government bond yield rising by 2.1 basis points to 1.8615%, and the ultra-long government bond yield increasing by 3.05 basis points to 2.282% [1] Funding Conditions - The central bank announced a 135 billion yuan 7-day reverse repurchase operation at a bid rate of 1.4%, unchanged from the previous rate. On the same day, 482.3 billion yuan of 7-day reverse repos matured, resulting in a net withdrawal of 468.8 billion yuan. In the interbank market, the weighted rate of DR001 rose by 2.05 basis points to 1.2624%, while DR007 increased by 0.26 basis points to 1.4312%. In the exchange repo market, the weighted average rate of GC001 fell by 47.61 basis points to 1.5044%, and GC007 decreased by 21.11 basis points to 1.5329%. The overnight SHIBOR was reported at 1.264%, up by 0.6 basis points, while the 1-week SHIBOR fell by 0.5 basis points to 1.423% [2] Operational Recommendations - The new redemption fee regulations for bond funds that took effect on December 31 had a weaker-than-expected negative impact on the bond market. Coupled with market expectations of a relaxation in banks' EVE indicators, this is expected to benefit long-term bond demand. However, concerns over the supply of government bonds at the beginning of the year have led to a weak market sentiment, affecting futures trading. The central bank's announcement of a bond purchase of only 50 billion yuan was below expectations, although the funding conditions remain stable and ample, which is relatively favorable for short-term bonds. The market is expected to experience increased volatility due to consistent behavior among participants, and stabilization or recovery of long-term bonds may require clearer government bond supply structures [3]

Group 1 - The core viewpoint is that despite adjustments in government bonds, it is expected that the bond market will stabilize, leading to a compression in the yield spread between government bonds and policy bank bonds, as well as a continued compression in the credit spread of secondary bonds [1] - The sentiment in the bond market was poor recently, but the negative factors are not strong in the short term, suggesting a cautious but not overly bearish outlook on the bond market [1] - The 10-year government bond yield is considered to have value when it is above 1.9% [1] Group 2 - As of January 5, 2026, the China Bond 5-10 Year Treasury Active Bond Index (net price) decreased by 0.04%, while the government bond ETF for 5 to 10 years was trading at 115.24 yuan [3] - The liquidity for the 5-10 year government bond ETF showed a turnover of 1.53% with a transaction volume of 30.72 million yuan, and the average daily transaction volume over the past month was 609 million yuan [3] - The latest scale of the 5-10 year government bond ETF reached 2 billion yuan, with a net inflow of 62.15 million yuan over the last eight trading days [3] Group 3 - The 5-10 year government bond ETF closely tracks the China Bond 5-10 Year Treasury Active Bond Index, which includes bonds with maturities of 5, 7, and 10 years, calculated using a non-market capitalization weighted method [4] - The management fee for the 5-10 year government bond ETF is 0.15%, and the custody fee is 0.05% [3]

投资咨询业务资格：证监许可【2012】31号 【国债周报（TL&T&TF&TS)】 债期超长端弱势不改 樊梦真 从业资格证号：F3035483 投资咨询证号 ：Z0014706 报告日期：2026-1-5 本报告非期货交易咨询业务项下服务，其中的观点和信息仅供参考，不构成任何投资建议；期市有风险，投资需谨慎 本报告非期货交易咨询业务项下服务，其中的观点和信息仅供参考，不构成任何投资建议，期市有风险，投资需谨慎 主要观点 01 PART ONE 主要观点 周度行情一览 • 上周国债期货市场小幅走弱。市场交易主线围绕跨年资金面博弈与基本面预期分化展开。一方面，12月制造业PMI站上荣枯线一度引发债市调整，但随后市场意 识到经济修复的持续性仍需观察，尤其是11月工业企业利润同比降幅扩大至13.1%的数据，强化了基本面弱复苏的预期。另一方面，跨年资金仍有波澜，年前几 个交易日，资金价格大幅波动走高，尤其是31日。政策层面，财政部与发改委联合下达首批625亿元消费品以旧换新补贴资金，但补贴范围收窄、比例下调，市 场解读为财政政策发力更侧重精准性，而非大规模刺激，对债市供给冲击的担忧有所缓解。此外，央行四季度货币政策委员 ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - In December 2025, both manufacturing and non - manufacturing PMI rebounded above the boom - bust line. The new kinetic energy is supporting the manufacturing industry, but related industries may be more vulnerable to external demand fluctuations. The pace of new - old kinetic energy conversion is an important window to observe the economic recovery [2]. - The report expects long - term interest rates to fluctuate widely, with the 10 - year Treasury yield expected to oscillate between 1.8% - 1.9% and the 30 - year Treasury yield between 2.2% - 2.4% [2][7]. Group 3: Summary by Related Catalogs Event Description - In December 2025, the manufacturing PMI rose 0.9pct to 50.1%, with the month - on - month increase expanding by 0.7pct. The non - manufacturing business activity index rebounded 0.7pct to 50.2%. The construction business activity index soared 3.2pct to 52.8%, and the service business activity index rebounded 0.2pct to 49.7% [5]. Event Comment Non - manufacturing Sector - The non - manufacturing sector's return above the boom - bust line is in line with seasonal trends, led by construction. The improvement in new orders, inventory, and employment is driven by domestic demand, while new export orders declined. The profit margin may be compressed, and the sustainability of the improvement needs further observation. In construction, seasonal factors and high - growth financial activities may support the improvement. In services, the transmission of upstream manufacturing prosperity to downstream consumption remains to be seen [7]. Manufacturing Sector - New kinetic energy supports the manufacturing industry, but related industries are more susceptible to external demand. The high - frequency indicators have weakened, but the manufacturing industry improved due to the high - level prosperity of new kinetic energy industries. The 10 - year and 30 - year Treasury yields are expected to fluctuate in specific ranges [7]. Other Aspects of Manufacturing - Manufacturing PMI continued to rise, with production, demand, and inventory all improving. External demand contributed to new orders, and the profit repair pressure may be reduced. Large and medium - sized enterprises and high - tech manufacturing showed better performance [9].