投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 宝城期货国债期货早报（2026 年 1 月 9 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | TL2603 | 震荡 | 震荡 | 偏弱 | 震荡整理 | 短期降息概率较低，中长期宽松 预期仍存 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 专业研究·创造价值 1/2 请务必阅读文末免责条款 2.跌幅大于 1%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 3.偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 品种：TL、T、TF、TS 日内观点：偏弱 中期观点：震荡 参考观点：震荡整理 核心逻辑：昨日国债期货均震荡小幅反弹。由于短期内宏观数据表现较强韧性，货币政策宽松的紧迫 性下降，叠加一 ...

正文 摘要 2026年1月6日第一财经研究院中国高频经济活动指数（YHEI）为1.13，较2025年12月30日上升0.05。具体来看，截至1月6日的一周内，工业相关指标"沿 海煤炭运价指数"上升0.13，是YHEI走高的重要原因；"进口干散货运价指数"则与一周前水平基本接近（1.15）。 国家统计局公布2025年12月采购经理指数。12月，制造业PMI为50.1%，高于上月0.9个百分点，为2025年4月以来首次回到扩张区间，制造业景气水平有 所回升。其中，高技术制造业、装备制造业和消费品行业PMI分别高于上月2.4、0.6和1.0个百分点至52.5%、50.4%和50.4%，均高于荣枯线。 从具体指标来看，2025年12月，制造业市场需求显著回升，新订单指数由上个月的49.2%升至50.8%。新出口订单指数则高于上月1.4个百分点至49.0%，也 有一定改善。伴随着市场需求上升，制造业企业生产活动持续增多，12月，生产指数高于上月1.7个百分点至51.7%；对原材料的需求也相应地有所增加， 采购量指数高于上月1.6个百分点至51.1%，回到扩张区间。12月，供货商配送时间指数则高于上月0.1个百分点至50 ...

国债衍生品周报 2025/12/26 咨询业务资格：沪证监许可【2012】1515号 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（您）并不能依靠本报告以取代行 使独立判断。对交易者（您）依据或者使用本报告所造成的一切后果，本公司及作者均不承担任何法律责任。本报告版权仅为本公司所有。未经本公司书面许可，任何机构或个人不得以翻 版、复制、发表、引用或再次分发他人等任何形式侵犯本公司版权。如征得本公司同意进行引用、刊发的，需在允许的范围内使用，并注明出处为"东亚期货"，且不得对本报告进行任何有 悖原意的引用、删节和修改。本公司保留追究相 ...

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]

Report Summary Core View - The capital market maintains a loose pattern, and abundant liquidity supports the bond market. The economic fundamentals have no significant negative factors, and the market environment is relatively stable. However, there are potential risks of rising inflation expectations and geopolitical uncertainties, which may put pressure on the bond market. It is recommended to maintain a wait - and - see approach, control risks, and pay attention to policy signals and economic data trends [2] Data Analysis - **Yield to Maturity**: The report presents the yield - to - maturity data of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bonds from 2024/04 to 2025/08 [3] - **Funding Rates**: It shows the funding rates including the deposit - type institutional pledged repurchase weighted average rate for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 [3] - **Treasury Bond Term Spreads**: The term spreads of 7Y - 2Y and 30Y - 7Y treasury bonds from 2024/04 to 2025/08 are provided [4][5] - **Treasury Bond Futures Positions**: The positions data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are presented [7] - **Treasury Bond Futures Trading Volume**: The trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/08 are shown [8] - **Treasury Bond Futures Basis**: The basis data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided with different time ranges [9][10][11][13] - **Treasury Bond Futures Inter - Period Spreads**: The inter - period spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures (current - quarter minus next - quarter) are presented with different time ranges [14][15][16][18] - **Treasury Bond Futures Inter - Variety Spreads**: The inter - variety spreads of TS*4 - T from 2024/04 to 2025/08 and T*3 - TL from 2023/06 to 2025/06 are shown [19][20]

国债衍生品周报 2025/11/28 咨询业务资格：沪证监许可【2012】1515号 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（您）并不能依靠本报告以取代行 使独立判断。对交易者（您）依据或者使用本报告所造成的一切后果，本公司及作者均不承担任何法律责任。本报告版权仅为本公司所有。未经本公司书面许可，任何机构或个人不得以翻 版、复制、发表、引用或再次分发他人等任何形式侵犯本公司版权。如征得本公司同意进行引用、刊发的，需在允许的范围内使用，并注明出处为"东亚期货"，且不得对本报告进行任何有 悖原意的引用、删节和修改。本公司保留追究相 ...

Report Summary Core View - There are both positive and negative factors in the bond market. Geopolitical risks and the escalation of the Sino-US trade war support the bond market, while the accelerated bond supply and the weak performance of long-term interest rate bonds pose challenges. Traders can focus on short-term trading opportunities for rebounds while controlling risks [2] Factors Analysis Positive Factors - High geopolitical risks increase market risk aversion, supporting the bond market [2] - The escalation of the Sino-US trade war drives down the spot bond interest rate, which is beneficial to futures prices [2] Negative Factors - The accelerated bond supply may put pressure on market liquidity [2] - Long-term interest rate bonds are relatively weak, with the 30-year Treasury bond futures falling [2] Data Analysis - **Yield to Maturity**: The report presents the yield to maturity data of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bonds from 2024/04 to 2025/08 [3] - **Funding Rate**: It shows the funding rate data including the weighted average rate of pledged repo by deposit-taking institutions for 1-day and 7-day, and the 7-day reverse repo rate from 2023/12 to 2025/06 [3] - **Term Spread**: The term spreads of 7Y - 2Y and 30Y - 7Y Treasury bonds are presented from 2024/04 to 2025/08 [4][5] - **Futures Position and Trading Volume**: The position data of 2-year, 5-year, 10-year, and 30-year Treasury bond futures from 2015/12 to 2023/12 and the trading volume data from 2024/04 to 2025/08 are shown [7][8] - **Basis and Spread**: The basis data of 2-year, 5-year, 10-year, and 30-year Treasury bond futures for the current quarter, as well as the inter - quarterly spreads of these futures and the cross - variety spreads of TS*4 - T and T*3 - TL are provided [9][11][12][16][17][18][19][20]

Group 1: Economic Activity Index - The China High-Frequency Economic Activity Index (YHEI) for October 14, 2025, is 1.00, down 0.05 from October 7, 2025 [1][4] - The decline in the YHEI is attributed to a decrease in the "import dry bulk freight index," which fell 0.25 to 1.01 [1][4] - Post-National Day holiday, the "8-city subway flow index" decreased by 0.04 to 1.15, while the "30-city commodity housing sales index" increased by 0.08 to 0.41 [1][4] Group 2: Price Indices - In September, the Consumer Price Index (CPI) decreased by 0.3% year-on-year, with the core CPI increasing by 1.0%, marking a continuous rise for five months [2][49] - Food prices saw a year-on-year decline of 4.4%, with pork and fresh fruit prices dropping to 17.0% and 4.2%, respectively [2][49] - The Producer Price Index (PPI) fell by 2.3% year-on-year in September, with the decline narrowing by 0.6 percentage points compared to the previous month [3][50] Group 3: Monetary Policy - As of October 14, 2025, the central bank's net fund injection was 765.8 billion yuan, with a reverse repurchase operation of 1.3658 trillion yuan [6][7] - The overnight interbank rate decreased by 26 basis points to 1.36%, while the seven-day repo rate fell by 17 basis points to 1.48% [11][12] Group 4: Industrial Production - As of October 14, 2025, the price of steel billets decreased by 0.68% week-on-week, while cement prices fell by 2.42% [29][31] - The operating rate of short-process steel mills dropped from 69.79% to 64.58%, while the operating rate of long-process steel mills increased from 50.00% to 51.67% [29] Group 5: Real Estate Market - After the National Day holiday, new housing transaction areas in first, second, and third-tier cities increased by 180.22%, 486.81%, and 221.87% respectively [42][43] - The transaction area for second-hand houses in first, second, and third-tier cities surged by 2267.37%, 723.57%, and 49589.55% respectively [45][46] Group 6: Global Economic Indicators - The US dollar index rose by 1.23 points to 99.05, while the RMB to USD exchange rate fell by 225 basis points to 7.1411 [53][56] - The Chicago Board Options Exchange (CBOE) VIX index increased by 3.57 points to 20.81 [61]

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core View - The report analyzes the factors affecting the bond market, with bank - to - bank funds in a loose environment supporting the bond market, and the 10 - year main contract rising 0.12% weekly, showing stable market sentiment and attracting buyers. However, there are also negative factors such as better - than - expected import and export data (4.8% export growth) and high risk preference. It is recommended to closely monitor the capital situation and economic fundamentals and maintain a cautious and wait - and - see attitude [3] Group 3: Summary by Related Data Bond Market Influencing Factors - Positive factors: Bank - to - bank funds in a loose environment support the bond market, and the 10 - year main contract rising 0.12% weekly attracts buyers [3] - Negative factors: Import and export data are better than expected (4.8% export growth), which may push up interest rate expectations, and high risk preference increases the pressure of capital diversion [3] Yield and Interest Rate - The report presents the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08, as well as the trends of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [4] Term Spread - It shows the trends of 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/08 [4] Futures Position and Trading Volume - The trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures positions from 2015/12 to 2023/12 and trading volumes from 2024/04 to 2025/08 are presented [8][9] Basis and Spread - The report shows the trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures basis for the current quarter, as well as the trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures spreads between the current and next quarters from 2024/04 to 2025/08 (for 30 - year from 2023/06 to 2025/06) [10][17][20] - It also presents the trends of TS*4 - T and T*3 - TL cross - variety spreads from 2024/04 to 2025/08 (for T*3 - TL from 2023/06 to 2025/06) [21][22]

Economic Activity - The China High-Frequency Economic Activity Index (YHEI) as of September 9, 2025, is 0.98, a decrease of 0.06 from September 2 [1][3] - Key industrial indicators such as the "coastal coal freight index" and "import dry bulk freight index" have declined, with the coastal coal freight index at 0.71, the lowest since June [1][3] Price Indices - The Consumer Price Index (CPI) in August fell by 0.4% year-on-year, with core CPI rising by 0.9%, an increase of 0.1 percentage points from the previous month [42] - Food prices saw a significant decline, with fresh vegetable and pork prices dropping by 15.2% and 16.1% year-on-year, respectively [42] - The Producer Price Index (PPI) decreased by 2.9% year-on-year, with the decline in production material prices narrowing to 3.2% [42][2] Monetary Policy - As of September 9, 2025, the central bank net withdrew 948.8 billion yuan through open market operations, with a reverse repurchase rate of 1.4% [5][6] Interest Rates - The overnight interbank rate rose by 12 basis points to 1.48%, while the seven-day repo rate increased by 3 basis points to 1.49% [9][10] - The yields on 1-year, 5-year, and 10-year government bonds increased by 3.46, 1.35, and 4.74 basis points, respectively [14] Industrial Sector - As of September 9, 2025, steel billet prices increased by 1.69% week-on-week, while cement prices decreased by 1.01% [23][24] - The operating rate of short-process steel mills remained stable at 69.79%, while long-process steel mills saw a decline to 50.00% [23] Shipping Sector - The China Coastal Bulk Freight Index fell by 59.07 points to 994.29 points, while the Baltic Dry Index rose by 93 points to 2079 points [31] Real Estate Market - In the week ending September 9, 2025, new and second-hand home transaction areas in first-tier cities decreased by 24.64% and 4.17%, respectively [35][36] Global Economic Indicators - The US dollar index decreased by 0.54 points to 97.77, while the RMB appreciated by 228 basis points to 7.1248 against the dollar [44][45]