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 current IRR level of the TF main contract remains high, while the basis level of the TL2603 contract is slightly elevated [1] - The recent redemption regulations have exceeded expectations, presenting potential hedging opportunities with 5-year bonds, but the significance of these strategies diminishes if 5-year government bond rates are expected to decline [1] - The short-end government bond rates are already low, suggesting a slight focus on T/TL-TS contract spread trading opportunities [1] Group 2 - As of December 31, 2025, the China Bond 5-10 Year Treasury Active Bond Index (net price) showed fluctuations, with the 5-10 Year Treasury ETF latest quote at 115.29 yuan [3] - The liquidity of the 5-10 Year Treasury ETF is active, with a turnover rate of 15.17% and a transaction volume of 304 million yuan [3] - The latest scale of the 5-10 Year Treasury ETF reached 2.005 billion yuan, marking a one-year high [3] Group 3 - The 5-10 Year Treasury 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]

Global Asset Market Performance - The latest yields of 10 - year government bonds in major economies: 4.123% in the US, 4.497% in the UK, 3.562% in France, 2.854% in Germany, 3.548% in Italy, 3.286% in Spain, 0.276% in Switzerland, 3.439% in Greece, 2.059% in Japan, 6.197% in Brazil, 1.851% in China, 4.746% in Australia, 4.381% in New Zealand [1] - The latest yields of 2 - year government bonds in major economies: 3.449% in the US, 3.721% in the UK, 2.119% in Germany, 1.168% in Japan, 2.193% in Italy, 1.332% in China (1Y yield), 4.041% in Australia [1] - The exchange rates of the US dollar against major emerging - economy currencies: 16.593 against the South African rand, 1439.750 against the South Korean won, 31.505 against the Thai baht, 4.049 against the Malaysian ringgit. The latest on - shore RMB exchange rate is 6.996, and the offshore RMB exchange rate is 6.992 [1] - The latest values of major economies' stock indices: 6896.240 for the Dow Jones, 48367.060 for the S&P 500, 23419.080 for the Industrial Index, 64366.700 for the Nasdaq, 9940.710 for the Mexican stock index, 8168.150 for the UK stock index, 24490.410 for the French CAC, 17354.900 for the German DAX, etc [1] - The latest value of the US investment - grade credit bond index is 5.475 [1] Stock Index Futures Trading Data - Index performance: The closing prices of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are 3965.12, 4651.28, 3036.55, 3242.90, and 7458.94 respectively. The percentage changes are - 0.00%, 0.26%, 0.06%, 0.63%, and 0.38% respectively [2] - Valuation: The PE (TTM) of CSI 300, SSE 50, CSI 500, S&P 500, and German DAX are 14.19, 11.83, 33.79, 27.55, and 18.95 respectively. The环比 changes are 0.03, 0.02, 0.09, - 0.03, and 0.10 respectively [2] - Risk premium: The 1/PE - 10 - year interest rate of S&P 500 is - 0.49, and that of German DAX is 2.42. The环比 changes are 0.00 and - 0.06 respectively [2] - Fund flow: The latest values of A - shares, the main board, the small and medium - sized enterprise board, ChiNext, and CSI 300 are - 279.78, - 268.14, N/A, - 0.27, and 84.86 respectively. The 5 - day average values are - 155.53, - 161.57, N/A, 5.04, and 31.34 respectively [2] Other Trading Data - Transaction amount: The latest values of the Shanghai and Shenzhen stock markets, CSI 300, SSE 50, the small and medium - sized board, and ChiNext are 21423.26, 4571.85, 1131.75, 4636.74, and 5594.95 respectively. The环比 changes are 29.88, - 254.29, - 39.45, 7.14, and 215.29 respectively [3] - Main contract's premium or discount: The basis of IF, IH, and IC are - 29.08, - 1.15, and - 77.94 respectively. The amplitudes are - 0.63%, - 0.04%, and - 1.04% respectively [3] - Treasury futures trading data: The closing prices of T2303, TF2303, T2306, and TF2306 are 107.94, 105.82, 107.95, and 105.82 respectively. The percentage changes are - 0.03%, - 0.02%, - 0.04%, and - 0.02% respectively [3] - Fund interest rates: The R001, R007, and SHIBOR - 3M are 1.3782%, 2.0620%, and 1.6000% respectively. The daily changes are - 56.00BP, 12.00BP, and 0.00BP respectively [3]

Core Viewpoint - The bond futures market showed an upward trend on December 30, with most contracts experiencing gains, particularly the 30-year and 10-year contracts [1][2]. Group 1: Market Performance - The 30-year main contract increased by 0.3% [1][2]. - The 10-year main contract rose by 0.03% [1][2]. - The 5-year main contract saw a slight increase of 0.01% [1][2]. - The 2-year main contract remained stable with no change [1][2]. Group 2: Specific Contract Details - The 30-year bond futures contract (TLM) closed at 111.980, reflecting a 0.30% increase [2]. - The 10-year bond futures contract (T2606) closed at 108.010, with a 0.03% rise [2]. - The 5-year bond futures contract (TF2609) closed at 105.685, showing a minimal increase of 0.01% [2]. - The 2-year bond futures contract (TSM) remained unchanged at 102.482 [2].

Group 1: Global Asset Market Performance - The latest yields of 10 - year government bonds in major economies: US 4.111, UK 4.486, France 3.524, Germany 2.828, Italy 3.503, Spain 3.249, Switzerland 0.263, Greece 3.393, Japan 2.045, Brazil 6.156, China 1.854, Australia 4.755, New Zealand 4.439 [3] - The latest yields of 2 - year government bonds in major economies: US 3.456, UK 3.715, Germany 2.114, Japan 1.151, Italy 2.205, China (1Y yield) 1.324, Australia 4.049 [3] - The latest exchange rates of the US dollar against major emerging - economy currencies: Brazil 5.573, South Africa zar 16.678, Korean won 1434.000, Thai baht 31.448, Malaysian ringgit 4.060 [3] - The latest exchange rates of the RMB: on - shore RMB 7.006, off - shore RMB 6.997, RMB central parity rate 7.033, RMB 12 - month NDF 6.871 [3] - The latest values of major economies' stock indices: S&P 500 6905.740, Dow Jones Industrial Average 48461.930, Nasdaq 23474.350, Mexican stock index 65347.080, UK stock index 9866.530, France CAC 8112.020, Germany DAX 24351.120, Spanish stock index 17195.800, Japanese Nikkei 50526.920, Hong Kong Hang Seng Index 25635.230, Shanghai Composite Index 3965.280, Taiwan stock index 28810.890, South Korean stock index 4220.560, Indian stock index 8644.256, Thai stock index 1254.030, Malaysian stock index 1680.990, Australian stock index 9032.046, emerging - economy stock index 1401.660 [3] - The latest values of credit - bond indices: Eurozone investment - grade credit - bond index 265.878, Eurozone high - yield credit - bond index 410.230 [3] Group 2: Stock Index Futures Trading Data - Index performance: A - share closing price 3965.28, up 0.04%; CSI 300 closing price 4639.37, down 0.38%; SSE 50 closing price 3034.63, down 0.35%; ChiNext closing price 3222.61, down 0.66%; CSI 500 closing price 7430.61, down 0.38% [4] - Valuation: PE (TTM) of CSI 300 is 14.16 (up 0.01), SSE 50 is 11.81 (up 0.03), CSI 500 is 33.70 (down 0.13), S&P 500 is 27.59 (down 0.09), Germany DAX is 18.85 (up 0.01) [4] - Risk premium: 1/PE - 10 - year interest rate of S&P 500 is - 0.49 (up 0.03), Germany DAX is 2.48 [4] - Fund flow: A - shares' latest value is - 858.51, 5 - day average is - 242.00; Main - board's latest value is - 675.82, 5 - day average is - 229.00; ChiNext's latest value is - 163.63, 5 - day average is - 17.01; CSI 300's latest value is - 150.77, 5 - day average is 25.26 [4] Group 3: Other Trading Data - Transaction amount: The latest value of Shanghai and Shenzhen stock markets is 21393.38 (down 208.53), CSI 300 is 4826.14 (up 221.87), SSE 50 is 1171.20 (up 162.03), small and medium - sized board is 4629.60 (down 42.78), ChiNext is 5379.66 (down 333.48) [5] - Main contract basis and spread: IF basis is - 29.17 (- 0.63%), IH basis is 3.37 (0.11%), IC basis is - 94.01 (- 1.27%) [5] - Treasury - bond futures: T2303 closing price is 107.98 (down 0.30%), TF2303 closing price is 105.84 (down 0.20%), T2306 closing price is 107.99 (down 0.30%), TF2306 closing price is 105.85 (down 0.17%) [5] - Fund interest rates: R001 is 1.3376% (down 19.00 BP), R007 is 1.9360% (up 41.00 BP), SHIBOR - 3M is 1.6000% (no change) [5]

Group 1 - The central economic work conference emphasizes the continuation of a moderately loose monetary policy to promote stable economic growth and reasonable price recovery [1] - The monetary policy will utilize various tools such as reserve requirement ratio cuts and interest rate reductions, while ensuring ample liquidity and effective transmission of monetary policy [1] - The expectation for reserve requirement ratio and interest rate cuts has increased, but significant downward pressure on the interest rate center is unlikely due to the alignment with fiscal debt issuance [1] Group 2 - In 2025, China's economy is expected to show steady progress, with marginal improvements in prices and supply-demand relationships in certain industries [2] - The manufacturing sector is highlighted by improved conditions for small and medium-sized enterprises in foreign trade, as well as high growth rates in industrial added value and profits in sectors like electronics, automotive, and transportation equipment [2] - The global liquidity remains loose, and the logic of global capital reallocation has not changed, indicating that the bond market is under pressure, while the supportive stance of monetary policy limits the upward space for interest rates [2]

Global Asset Market Performance - 10-year Treasury yields: US at 4.129, Japan at 2.034, Brazil at 6.191, China at 1.833, South Korea at 3.371 [1] - 2-year Treasury yields: US at 3.480, Japan at 1.102, China (1Y yield) at 1.293, South Korea at 2.797 [1] - USD exchange rates against major emerging economies: Brazil at 5.544, South Africa (zar) at 16.661, South Korea (won) at 1442.300, Thailand (baht) at 31.068, Malaysia (ringgit) at 4.049 [1] - RMB exchange rates: Onshore at 7.005, offshore at 7.005, mid - price at 7.036, 12 - month NDF at 6.886 [1] - Major stock indices: S&P 500 at 6929.940, Dow Jones Industrial Average at 48710.970, NASDAQ at 23593.100, Nikkei at 50750.390, Shanghai Composite Index at 3963.679 [1] - Credit bond indices: US investment - grade at 3546.540, Eurozone investment - grade at 265.380, emerging economies investment - grade at 290.230, US high - yield at 2908.630, Eurozone high - yield at 409.840, emerging economies high - yield at 1822.849 [1] Stock Index Futures Trading Data - Index closing prices: A - shares at 3963.68, CSI 300 at 4657.24, SSE 50 at 3045.40, ChiNext at 3243.88, CSI 500 at 7458.84 [2] - Index price changes (%): A - shares at 0.10, CSI 300 at 0.32, SSE 50 at 0.41, ChiNext at 0.14, CSI 500 at 0.65 [2] - Index valuations (PE(TTM)): CSI 300 at 14.13, SSE 50 at 11.78, CSI 500 at 33.61, S&P 500 at 27.68, Germany DAX at 18.84 [2] - Index valuation环比 changes: CSI 300 at 0.00, SSE 50 at 0.00, CSI 500 at 0.00, S&P 500 at - 0.01, Germany DAX at 0.00 [2] - Index risk premiums (1/PE - 10 - year interest rate): S&P 500 at - 0.52 [2] - Index risk premium环比 changes: S&P 500 at 0.00 [2] Transaction Amount and Basis Data - Transaction amounts: Shanghai and Shenzhen stock markets at 21601.91, CSI 300 at 4604.27, SSE 50 at 1009.17, SME board at 4672.38, ChiNext at 5713.14 [3] - Transaction amount环比 changes: Shanghai and Shenzhen stock markets at 2356.68, CSI 300 at 750.71, SSE 50 at 188.41, SME board at 520.91, ChiNext at 450.21 [3] - Futures basis: IF at - 18.84, IH at 6.00, IC at - 70.84 [3] - Futures basis amplitude (%): IF at - 0.40, IH at 0.20, IC at - 0.95 [3] Treasury Futures Trading Data - Treasury futures closing prices: T2303 at 108.30, TF2303 at 106.05, T2306 at 108.32, TF2306 at 106.03 [3] - Treasury futures price changes (%): T2303 at 0.10, TF2303 at 0.06, T2306 at 0.10, TF2306 at 0.04 [3] Money Market Data - Money market interest rates: R001 at 1.3450%, R007 at 1.5264%, SHIBOR - 3M at 1.6000% [3] - Money market interest rate daily changes (BP): R001 at - 17.00, R007 at 1.00, SHIBOR - 3M at 0.00 [3]

1. Report's Industry Investment Rating - The investment rating for the treasury bond in the macro and financial sector is "oscillation" [1] 2. Core View of the Report - Treasury bond futures are likely to oscillate in the short - term, and trading - type investors are advised to conduct band operations [1] 3. Summary by Relevant Catalogs 3.1 Market Review - On Thursday, most of the main contracts of treasury bond futures opened roughly flat and fluctuated horizontally and narrowly throughout the day. The TL variety oscillated and declined. As of the close, the 30 - year treasury bond futures main contract TL2603 fell 0.24%, the 10 - year T2603 fell 0.02%, the 5 - year TF2603 fell 0.03%, and the 2 - year TS2603 fell 0.02% [1] 3.2 Important Information 3.2.1 Open Market - On Thursday, the central bank carried out 177.1 billion yuan of 7 - day reverse repurchase operations, with 88.3 billion yuan of reverse repurchases maturing on the same day. The central bank also carried out 400 billion yuan of MLF operations, with 300 billion yuan of MLF maturing on the same day. The net investment on that day was 188.8 billion yuan [1] 3.2.2 Money Market - On Thursday, the overnight interest rate in the inter - bank money market remained at a low level. The weighted average of DR001 throughout the day was 1.26%, the same as the previous trading day; the weighted average of DR007 throughout the day was 1.48%, compared with 1.38% in the previous trading day [1] 3.2.3 Cash Bond Market - On Thursday, the closing yields of inter - bank treasury bond cash bonds fluctuated narrowly compared with the previous trading day. The yield to maturity of 2 - year treasury bonds decreased by 0.43 BP to 1.34%, the 5 - year increased by 0.37 BP to 1.60%, the 10 - year increased by 0.30 BP to 1.84%, and the 30 - year decreased by 0.50 BP to 2.23% [1] 3.3 Market Logic - In November, fixed - asset investment decreased by 2.6% year - on - year, and social retail sales increased by 1.3% year - on - year, both lower than market expectations. In November, China's export growth rate was 5.9%, exceeding market expectations. China's CPI and core CPI both decreased by 0.1% month - on - month, and PPI increased by 0.1% month - on - month, with the inflation level remaining moderate. The fourth - quarter meeting of the central bank's monetary policy committee pointed out that it is necessary to grasp the intensity, rhythm, and timing of monetary policy implementation according to domestic and international economic and financial situations and financial market operation conditions. On Thursday, the Wind All - A Index opened slightly lower, rose slightly in the morning session, continued to rise slightly in the afternoon session and then moved sideways, closing with a small positive line, up 0.60% from the previous trading day, with a trading volume of 1.94 trillion yuan, slightly larger than the 1.90 trillion yuan in the previous trading day. The stock market rose on Thursday, while most treasury bond futures moved sideways [1] 3.4 Trading Strategy - Trading - type investors are advised to conduct band operations [1]

| 项目类别 | 数据指标 | 最新 | 环比 项目 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 108.230 | 0.02% T主力成交量 | 69143 | -29383↓ | | | TF主力收盘价 | 106.025 | -0.01% TF主力成交量 | 54708 | -24224↓ | | | TS主力收盘价 | 102.526 | 0% TS主力成交量 | 26501 | -8831↓ | | | TL主力收盘价 | 112.840 | 0.02% TL主力成交量 | 110763 | -29971↓ | | 期货价差 | TL2603-2606价差 | -0.22 | -0.05↓ T03-TL03价差 | -4.61 | 0.00↑ | | | T2603-2606价差 | 0.00 | +0.00↑ TF03-T03价差 | -2.21 | -0.01↓ | | | TF2603-2606价差 | 0.01 | +0.01↑ TS03-T03价差 | -5.70 | -0.01↓ | | | TS ...

Group 1 - The 30-year main contract increased by 0.09% to 112.920 yuan [1][2] - The 10-year main contract rose by 0.01% to 108.220 yuan [1][2] - The 5-year main contract remained unchanged at 106.030 yuan [1][2] - The 2-year main contract also held steady at 102.522 yuan [1][2]