Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report - The price of Treasury bond futures generally declined, with the T2603 contract down 0.02% and its open interest decreasing. The IRR of CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, indicating no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term Treasury bond yields at home and abroad also had different changes. Overall, due to factors such as the central bank's open - market operations, economic data, and the Fed's monetary policy expectations, the price of Treasury bond futures was generally weak under the stock - bond seesaw effect [2][3]. 3. Summary by Relevant Contents Futures Market - **Prices and Changes**: The closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 all declined compared to the previous day, with declines ranging from - 0.01% to - 0.15%. The open interest of T2603 decreased, while others had different changes [2]. - **Trading Volume and Open Interest**: The trading volume and open interest of each contract varied. For example, the trading volume of TS2603 was 28154, and its open interest increased by 121 [2]. - **Spread**: The inter - delivery spread of some contracts changed. For instance, the inter - delivery spread of T2603 - T2606 decreased from 0.095 to 0.080 [2]. - **IRR**: The IRR of CTD bonds corresponding to the main contracts of Treasury bond futures was between 0.7727% and 1.5483%, indicating no arbitrage opportunities [2]. Spot Market - **Short - term Market Interest Rates**: SHIBOR7 - day rate decreased by 0.1bp, DR007 rate decreased by 1.04bp, and GC007 rate increased by 2.1bp [2]. - **China's Key - term Treasury Bond Yields**: Yields of key - term Treasury bonds showed mixed trends. The 10Y - term Treasury bond yield decreased by 0.17bp to 1.88%, and the long - short (10 - 2) Treasury bond yield spread was 41.56bp [2]. Overseas Market - **Overseas Key - term Treasury Bond Yields**: The 10Y Treasury bond yields of the US, Germany, and Japan decreased by 1bp, 1bp, and 4.1bp respectively [2]. - **Interest Rate Spreads**: The internal - external interest rate spreads between China and overseas countries were different, such as - 229.9bp for the 10Y US - China spread [2]. Macro and Policy Information - **Central Bank Operations**: Last week, the central bank's open - market reverse repurchase had a net withdrawal of 16550 billion yuan and carried out 11000 billion yuan of 3 - month outright reverse repurchase operations to fully offset the matured funds. This week, there will be 1387 billion yuan of reverse repurchases and 6000 billion yuan of outright reverse repurchases maturing [3]. - **Economic Data**: In December 2025, China's CPI increased by 0.8% year - on - year, with the core CPI increasing by 1.2% year - on - year. The PPI decreased by 1.9% year - on - year, with a narrowing decline, and increased by 0.2% month - on - month for three consecutive months. The US added 50,000 non - farm jobs in December 2025, lower than expected, and the Fed's probability of cutting interest rates in January 2026 was almost zero [3]. - **Policy News**: The State Council deployed a package of policies for fiscal and financial coordination to promote domestic demand. The Ministry of Commerce issued a task list for the comprehensive pilot program of expanding the opening - up of the service industry in 9 cities [3].

Report Overview - The report is a daily strategy report on Treasury bond futures from Shenwan Futures on December 8, 2025, providing data on Treasury bond futures, short - term market rates, and macro - news [1][2][3] 1. Treasury Bond Futures Market 1.1 Futures Market Data - Yesterday, Treasury bond futures prices generally rose, with the T2603 contract rising 0.19%. The trading volume and price changes varied among different contracts, and most contracts saw a decrease in open interest [2] - The active CTD bond IRR% of each Treasury bond futures main contract was at a low level, with no arbitrage opportunities [2] 1.2 Market Indicators - Short - term market interest rates showed mixed trends. SHIBOR 7 - day rate decreased by 0.8bp, DR007 rate increased by 1.11bp, and GC007 rate increased by 1.2bp [2] - Key - term Chinese Treasury bond yields generally declined. The 10Y Treasury bond yield dropped 2.34bp to 1.85%, and the long - short (10 - 2) Treasury bond yield spread was 34.93bp [2] - Overseas key - term Treasury bond yields mostly increased. The US 10Y Treasury bond yield rose 3bp, the German 10Y Treasury bond yield rose 2bp, and the Japanese 10Y Treasury bond yield rose 1.2bp [2] 2. Macro News 2.1 Central Bank Operations - On December 5, the central bank conducted 139.8 billion yuan of 7 - day reverse repurchase operations at a fixed rate, with a net withdrawal of 161.5 billion yuan. This week, 663.8 billion yuan of reverse repurchases will mature [3] 2.2 Regulatory Policies - The draft of the "Guidelines for Performance Evaluation and Management of Fund Management Companies" requires higher follow - up investment ratios for executives and fund managers. For example, at least 30% of the annual total performance compensation of the chairman and executives of a fund company should be used to purchase the company's funds [3] 2.3 Industry Events - At the Eighth Member Congress of the China Securities Association, the CSRC Chairman Wu Qing pointed out that A - shares have achieved reasonable growth in quantity and effective improvement in quality. He also put forward requirements for the securities industry, such as playing the role of analysis and research, expanding the capital space and leverage limit of securities firms, and so on [3] 2.4 National Policies - The CSRC Chairman Wu Qing published a signed article clarifying the key tasks and measures for improving the institutional inclusiveness and adaptability of the capital market during the 15th Five - Year Plan period [3] 2.5 International Economic Data - The US September core PCE price index rose 2.8% year - on - year and 0.2% month - on - month, basically in line with market expectations. The one - year inflation expectation of the University of Michigan in December dropped to 4.1%, and the five - year inflation expectation dropped to 3.2% [3] 3. Industry Information and Comments 3.1 Interest Rate Movements - Money market interest rates showed mixed trends. Some inter - bank lending rates decreased, while some repurchase rates increased. US Treasury bond yields rose across the board [3] 3.2 Market Analysis - The market funds were stable, but concerns about global liquidity tightening and some domestic factors such as the decline in demand for long - term Treasury bonds and the implementation of new fund sales regulations affected the bond market. The long - term Treasury bond futures prices weakened [3]

Report Summary 1. Report Industry Investment Rating No information provided on the report industry investment rating. 2. Core View of the Report - The prices of treasury bond futures generally rose, with the T2509 contract rising 0.2%, and the short - term market interest rates generally declined. The yields of key - term treasury bonds at home and abroad changed, and the price fluctuations of short - term treasury bond futures will continue to increase due to multiple factors [2][3]. 3. Summary by Relevant Catalogs Futures Market - **Prices and Volumes**: The prices of treasury bond futures generally rose, such as the T2509 contract rising 0.2%. The trading volume and open interest of each contract varied, with some open interest decreasing [2]. - **Arbitrage Opportunities**: The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. Short - term Market Interest Rates - The short - term market interest rates generally declined. For example, the SHIBOR 7 - day rate decreased by 2.4bp, the DR007 rate decreased by 6.73bp, and the GC007 rate decreased by 2.9bp [2]. Spot Market - **Domestic Treasury Bond Yields**: The yields of key - term treasury bonds at home changed differently. The 10Y treasury bond yield decreased by 2.24bp to 1.72%, and the yield spread between long - and short - term (10 - 2) treasury bonds was 30.73bp [2]. - **Overseas Treasury Bond Yields**: The 10Y US treasury bond yield increased by 2bp, the 10Y German treasury bond yield decreased by 7bp, and the 10Y Japanese treasury bond yield decreased by 3.4bp [2]. Macro News - **Monetary Policy**: The central bank conducted 495.8 billion yuan of 7 - day reverse repurchase operations, with a net investment of 325.1 billion yuan [3]. - **Economic Meetings**: The national industrial and information authorities' symposium deployed eight key tasks for the second half of the year, including promoting industrial development and expanding domestic demand [3]. - **Other Policies**: The implementation plan of the national child - rearing subsidy system was officially announced, and the CF40 report suggested increasing counter - cyclical policies [3]. Industry Information - **Interest Rate Changes**: Most money market interest rates declined, and most US treasury bond yields fell. Trump's remarks affected the market's expectations of the Fed's policies [3]. Comment and Strategy - The price of 10 - year treasury bond active bonds rebounded significantly, and the yield dropped to 1.715%. Due to factors such as the central bank's operations, overseas economic data, and domestic policies, the price fluctuations of short - term treasury bond futures will continue to increase [3].