Report Industry Investment Rating No relevant information provided. Core Viewpoints - The bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month. Influenced by the stock market, the Political Bureau meeting released a signal of loose money, the LPR remained unchanged, and the Fed's interest - rate cut expectation continued while the uncertainty of global trade increased the uncertainty of foreign capital inflows [3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a 0.20% month - on - month increase and a 0.80% year - on - year increase; China's PPI (monthly) had a 0.20% month - on - month increase and a - 1.90% year - on - year decrease [9]. - Monthly economic indicators: The social financing scale was 440.07 trillion yuan, with a month - on - month increase of 2.35 trillion yuan (+0.54%); M2 year - on - year was 8.00%, with a month - on - month decrease of 0.20% (-2.44%); the manufacturing PMI was 50.10%, with a month - on - month increase of 0.90% (+1.83%) [10]. - Daily economic indicators: The US dollar index was 99.18, with a day - on - day increase of 0.30 (+0.30%); the US dollar against the offshore RMB was 6.9739, with a day - on - day increase of 0.003 (+0.04%); SHIBOR 7 - day was 1.52, with a day - on - day increase of 0.05 (+3.39%); DR007 was 1.55, with a day - on - day increase of 0.06 (+3.84%); R007 was 1.68, with a day - on - day increase of 0.17 (+11.44%); the inter - bank certificate of deposit (AAA) 3M was 1.61, with a day - on - day increase of 0.01 (+0.52%); the AA - AAA credit spread (1Y) was 0.09, with a day - on - day increase of 0.00 (+0.52%) [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - On January 13, 2026, the closing prices of TS, TF, T, and TL were 102.33 yuan, 105.63 yuan, 107.85 yuan, and 111.35 yuan respectively, and their price changes were 0.00%, 0.04%, 0.06%, and 0.28% respectively [3]. - The average net basis of TS, TF, T, and TL was 0.036 yuan, 0.000 yuan, 0.015 yuan, and 0.058 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - On January 13, 2026, the central bank conducted a 358.6 billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% through a quantity - tendering method [2]. - The main - term repurchase rates of 1D, 7D, 14D, and 1M were 1.391%, 1.523%, 1.534%, and 1.559% respectively, and the repurchase rates had rebounded recently [2]. 4. Spread Overview No specific numerical or detailed information provided other than the figure names. 5. Two - Year Treasury Bond Futures No specific numerical or detailed information provided other than the figure names. 6. Five - Year Treasury Bond Futures No specific numerical or detailed information provided other than the figure names. 7. Ten - Year Treasury Bond Futures No specific numerical or detailed information provided other than the figure names. 8. Thirty - Year Treasury Bond Futures No specific numerical or detailed information provided other than the figure names. Strategies - Unilateral strategy: As the repurchase rate rebounds, the price of treasury bond futures fluctuates [4]. - Arbitrage strategy: Pay attention to the decline of the 2603 basis [4]. - Hedging strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].

Group 1 - The report emphasizes that government bond futures are essential financial derivatives that extend the cash market, playing a crucial role in interest rate risk management, market liquidity enhancement, and price discovery [1] - The report outlines the pricing mechanism of government bond futures, detailing key valuation indicators such as basis, net basis, and implied repo rate (IRR) [1][21] - The report discusses various trading strategies including directional investment, cash-futures arbitrage, inter-temporal spread trading, curve trading, and hedging strategies, highlighting their practical applications and constraints [1] Group 2 - Government bond futures are defined as contracts based on government bonds, allowing parties to buy or sell a specified quantity of bonds at an agreed price on a future date, providing tools for managing interest rate risk and opportunities for speculation and arbitrage [9][10] - The report outlines the core pricing logic of government bond futures, including the basic pricing model and key factors influencing prices, such as the risk-free rate and accrued interest [21][22] - The report indicates that the relationship between government bond futures and cash bonds is highly correlated, with a correlation coefficient of 0.99, suggesting that their prices tend to move in tandem [29][30] Group 3 - The report highlights that the implied repo rate (IRR) is a theoretical yield obtained from buying cash bonds and using them for futures delivery, with IRR being closely linked to the basis of government bond futures [40][46] - The report explains the concept of the cheapest-to-deliver (CTD) bond, which is the bond with the lowest delivery cost, impacting the futures short's arbitrage strategy and market participants' profit calculations [57][58] - The report discusses the characteristics of the government bond futures market, including the migration of contracts and the impact of basis and IRR changes on trading strategies [64][66]

1. Report Industry Investment Rating - The investment rating for treasury bonds is "Shock" [4] 2. Core Viewpoints of the Report - This week, the central bank announced the resumption of open - market treasury bond trading, and broad - money became the main trading theme in the market. Treasury bond futures rose, and the yield curve first steepened and then flattened. Looking ahead to next week, with limited incremental market information, the bond market is expected to continue trading on broad - money - related logic, and treasury bond futures are likely to fluctuate on the stronger side [12]. - Market negatives for the bond market are relatively limited, and there are reasons to bet on broad - money policies. The impact of negative factors on the bond market is decreasing. The central bank's resumption of open - market treasury bond trading is a definite positive, and it is expected to announce relevant information in November. Additionally, the weaker - than - expected October PMI and the Fed's interest - rate cuts will increase market expectations for broad - money policies such as interest - rate cuts [13]. - The news of bond purchases is beneficial for short - term bonds, but the yield curve may not continue to steepen. Although the central bank's bond purchases are likely to target short - term bonds, the positive impact on short - term bonds this round should be weaker than last year. Long - term bonds have greater potential for price increases [13][14]. 3. Summary by Directory 3.1 One - Week Review and Views 3.1.1 This Week's Trend Review - From October 27 to November 2, treasury bond futures fluctuated and rose. By the close on October 31, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.544, 106.065, 108.665, and 116.640 yuan respectively, up 0.021, 0.450, 0.650, and 1.610 yuan from the previous weekend [11]. 3.1.2 Next Week's Viewpoint - The bond market is expected to continue trading on broad - money - related logic, and treasury bond futures are likely to fluctuate on the stronger side. The negatives for the bond market are decreasing, and the central bank's resumption of open - market treasury bond trading is a positive. The yield curve may not continue to steepen [12][13]. 3.2 Weekly Observation of Interest - Rate Bonds 3.2.1 Primary Market - This week, a total of 110 interest - rate bonds were issued, with a total issuance volume of 412.682 billion yuan and a net financing amount of 319.992 billion yuan. The net financing amount of local government bonds increased slightly, while that of inter - bank certificates of deposit decreased [21]. 3.2.2 Secondary Market - Treasury bond yields declined. By the close on October 31, the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond yields were 1.40%, 1.57%, 1.79%, and 2.15% respectively, down 9.23, 5.44, 5.12, and 6.60 basis points from the previous weekend. The 10Y - 1Y and 10Y - 5Y spreads widened, while the 30Y - 10Y spread narrowed [26]. 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures fluctuated and rose. By the close on October 31, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.544, 106.065, 108.665, and 116.640 yuan respectively, up 0.021, 0.450, 0.650, and 1.610 yuan from the previous weekend. The trading volumes and open interests of different - maturity treasury bond futures contracts changed to varying degrees [35][38]. 3.3.2 Basis and IRR - This week, the treasury bond market strengthened. The IRR of futures rose significantly at times, but the opportunity for cash - and - carry arbitrage did not last long. Looking ahead to next week, the basis is expected to narrow slightly [41]. 3.3.3 Inter - Delivery and Inter - Product Spreads - By the close on October 31, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures contracts 2512 - 2603 were + 0.046, + 0.075, + 0.260, and + 0.290 yuan respectively, down 0.034, 0.040, 0.070, and unchanged from the previous weekend. The inter - delivery spreads are expected to narrow, but the narrowing space is limited [47][48]. 3.4 Weekly Observation of the Funding Situation - This week, the central bank conducted 206.8 billion yuan in reverse repurchases and 90 billion yuan in MLF injections in the open market, with a net injection of 90.08 billion yuan. As of the close on October 31, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week rates were 1.49%, 1.46%, 1.32%, and 1.44% respectively, up 2.74, 4.41, 0.10, and 2.50 basis points from the previous weekend. The average daily trading volume of inter - bank pledged repurchases decreased [53][55][57]. 3.5 Weekly Overseas Observation - The US dollar index strengthened slightly, and the 10 - year US Treasury yield rose. As of the close on October 31, the US dollar index rose 0.80% to 99.7308, the 10 - year US Treasury yield was 4.11%, up 9 basis points from the previous week, and the yield spread between Chinese and US 10 - year treasury bonds was inverted by 231.6 basis points. The Fed cut interest rates by 25 basis points as expected and announced the end of balance - sheet reduction in December, which was in line with market expectations. Powell's statement led to a downward revision of market expectations for Fed interest - rate cuts, causing the US dollar index to strengthen and US Treasury yields to rise [59][60]. 3.6 Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices showed mixed trends. As of the close on October 31, the Nanhua Industrial Product Index, Metal Index, and Energy and Chemical Index were 3556.67, 6485.90, and 1590.82 points respectively, down 5.58, up 46.71, and down 15.63 points from the previous weekend. Agricultural product prices all rose. As of the close on October 31, the prices of pork, 28 key vegetables, and 7 key fruits were 17.80, 5.69, and 7.04 yuan per kilogram respectively, up 0.07, 0.32, and 0.02 yuan per kilogram from the previous weekend [63]. 3.7 Investment Suggestions - The bond market risk is low in the near term, and it is expected to fluctuate on the slightly stronger side, but the upside space is limited. When going long, one needs to grasp the rhythm and consider the odds [64].