1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The bond market is oscillating between the expectations of stable growth and monetary easing. In the short term, attention should be paid to the policy signals at the end of the month. The market is affected by geopolitical conflicts, with CPI and import - export data exceeding expectations, LPR remaining unchanged, and the Fed's rate - cut expectations continuing. There is uncertainty in foreign capital inflows due to increased global trade uncertainty [1][3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - The monthly Chinese CPI has a 1.00% month - on - month increase and a 1.30% year - on - year increase; the monthly Chinese PPI has a 0.40% month - on - month increase and a - 0.90% year - on - year decrease [9]. - The social financing scale is 449.11 trillion yuan, with a month - on - month increase of 6.99 trillion yuan and a growth rate of 1.58%. M2 year - on - year is 9.00%, with a month - on - month increase of 0.50% and a growth rate of 5.88%. The manufacturing PMI is 49.00%, with a month - on - month decrease of 0.30% and a decline rate of 0.61% [10]. - The dollar index is 99.21, with a day - on - day increase of 0.28 and a growth rate of 0.28%. The offshore US dollar to RMB exchange rate is 6.8768, with a day - on - day increase of 0.012 and a growth rate of 0.17%. SHIBOR 7 - day is 1.46, with a day - on - day increase of 0.03 and a growth rate of 1.96%. DR007 is 1.46, with a day - on - day increase of 0.02 and a growth rate of 1.68%. R007 is 1.55, with a day - on - day decrease of 0.01 and a decline rate of 0.55%. The 3 - month interbank certificate of deposit (AAA) is 1.51, with a day - on - day change of 0.00 and a decline rate of 0.17%. The AA - AAA credit spread (1Y) is 0.09, with a day - on - day change of 0.00 and a decline rate of 0.17% [11]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - On March 11, 2026, the closing prices of TS, TF, T, and TL were 102.45 yuan, 105.95 yuan, 108.26 yuan, and 111.25 yuan respectively, with price changes of - 0.01%, - 0.03%, - 0.04%, and - 0.19% respectively [3]. - The average net basis of TS, TF, T, and TL was 0.037 yuan, 0.030 yuan, 0.022 yuan, and 0.146 yuan respectively [3]. III. Overview of the Money Market Fundamentals - On March 11, 2026, the central bank conducted a 26.5 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4%. The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.367%, 1.460%, 1.500%, and 1.535% respectively, and the repurchase rates have recently declined [2]. - In January, the social financing scale had a good start, with a new - added scale of 7.22 trillion yuan, 166.2 billion yuan more than the same period last year. The net financing of government bonds rebounded, and the front - loaded fiscal efforts were obvious. The year - on - year growth rate of M1 rebounded to 4.9%, the growth rate of M2 rebounded to 9%, and the M2 - M1 gap narrowed to 4.1%. The growth rate of RMB loans declined to 6%, while the growth rate of deposits rebounded to 10.1%, and the gap between deposit and loan growth rates widened [2]. IV. Spread Overview The report provides various spread data, including the inter - period spread trends of treasury bond futures varieties, the term spread of cash bonds and the cross - variety spread of futures [35][34]. V. Two - Year Treasury Bond Futures The report presents data on the implied interest rate and the maturity yield of the two - year treasury bond futures main contract, as well as the IRR of the TS main contract and the capital interest rate, and the basis and net basis trends of the TS main contract in the past three years [40][42]. VI. Five - Year Treasury Bond Futures The report shows data on the implied interest rate and the maturity yield of the five - year treasury bond futures main contract, the IRR of the TF main contract and the capital interest rate, and the basis and net basis trends of the TF main contract in the past three years [44][51]. VII. Ten - Year Treasury Bond Futures The report provides data on the implied yield and the maturity yield of the ten - year treasury bond futures main contract, the IRR of the T main contract and the capital interest rate, and the basis and net basis trends of the T main contract in the past three years [52]. VIII. Thirty - Year Treasury Bond Futures The report offers data on the implied yield and the maturity yield of the thirty - year treasury bond futures main contract, the IRR of the TL main contract and the capital interest rate, and the basis and net basis trends of the TL main contract in the past three years [56][59]. 4. Strategies - Unilateral: As the repurchase rate declines, the price of treasury bond futures oscillates [4]. - Arbitrage: Pay attention to the decline of the 2606 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market fluctuates between stable growth and easing expectations, affected by the Iran geopolitical conflict, the Politburo meeting's signal of loose monetary policy, unchanged LPR, continued expectations of Fed rate cuts, and increased uncertainty in global trade, which adds uncertainty to foreign capital inflows. Short - term attention should be paid to policy signals at the end of the month [2][4]. - The repurchase rate has declined, and treasury bond futures prices are oscillating. Attention should be paid to the decline of the 2606 basis. In the medium - term, there is adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [5]. 3. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's monthly CPI has a month - on - month and year - on - year increase of 0.20%, while the monthly PPI has a month - on - month increase of 0.40% and a year - on - year decrease of 1.40% [10]. - **Monthly Economic Indicators**: The social financing scale is 449.11 trillion yuan, with a month - on - month increase of 6.99 trillion yuan and a growth rate of 1.58%. M2 year - on - year is 9.00%, with a month - on - month increase of 0.50% and a growth rate of 5.88%. The manufacturing PMI is 49.30%, with a month - on - month decrease of 0.80% and a decline rate of 1.60% [11]. - **Daily Economic Indicators**: The US dollar index is 99.06, with a month - on - month increase of 0.51 and a growth rate of 0.52%. The offshore US dollar to RMB exchange rate is 6.9164, with a month - on - month increase of 0.026 and a growth rate of 0.38%. SHIBOR 7 - day is 1.45, with a month - on - month decrease of 0.02 and a decline rate of 1.23%. DR007 is 1.45, with a month - on - month decrease of 0.01 and a decline rate of 0.85%. R007 is 1.56, with a month - on - month decrease of 0.12 and a decline rate of 6.95%. The 3 - month inter - bank certificate of deposit (AAA) is 1.54, with a month - on - month decrease of 0.02 and a decline rate of 0.96%. The AA - AAA credit spread (1Y) is 0.09, with a month - on - month increase of 0.00 and a decline rate of 0.96% [12]. II. Overview of Treasury Bonds and Treasury Bond Futures Market No specific text - based summary content provided, but there are figures including the closing price trend of the main continuous contracts of treasury bond futures, the price change situation of each variety of treasury bond futures, the precipitation fund trend of each variety of treasury bond futures, the position ratio of each variety of treasury bond futures, the net position ratio of the top 20 of each variety of treasury bond futures, and the long - short position ratio of the top 20 of each variety of treasury bond futures [14][15][18]. III. Overview of the Money Market Liquidity No specific text - based summary content provided, but there are figures including the spread between national development bonds and treasury bonds, the issuance situation of treasury bonds, the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance situation of local bonds [25][26][24]. IV. Spread Overview No specific text - based summary content provided, but there are figures including the inter - period spread trend of each variety of treasury bond futures, and the spread between the spot bond term spread and the futures cross - variety spread (4*TS - T, 2*TS - TF, 2*TF - T, 3*T - TL, 2*TS - 3*TF + T) [37][32][34]. V. Two - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures including the implied interest rate of the main contract of two - year treasury bond futures and the treasury bond maturity yield, the IRR of the TS main contract and the capital interest rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [41][43]. VI. Five - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures including the implied interest rate of the main contract of five - year treasury bond futures and the treasury bond maturity yield, the IRR of the TF main contract and the capital interest rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [45][52]. VII. Ten - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures including the implied yield of the main contract of ten - year treasury bond futures and the treasury bond maturity yield, the IRR of the T main contract and the capital interest rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [53][56]. VIII. Thirty - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures including the implied yield of the main contract of thirty - year treasury bond futures and the treasury bond maturity yield, the IRR of the TL main contract and the capital interest rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [59][60].

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - In March, the bond market may be slightly affected by geopolitical conflicts, but the overall focus remains on the policy expectations of the Two Sessions. The current supply pressure of government bonds is generally controllable, and the "weak recovery" pattern of the fundamentals has not changed, providing bottom - support for the bond market. As the Two Sessions approach, market gaming on policy expectations intensifies, potentially causing periodic fluctuations. It is expected that Treasury bond futures in March will continue the range - bound pattern [2] 3. Summary by Relevant Catalog 3.1 Futures Market Data - **Futures Closing Prices and Volume Changes**: T, TF, TS, and TL main contract closing prices increased by 0.13%, 0.09%, 0.02%, and 0.55% respectively; T and TL main contract trading volumes increased by 4445 and 15112 respectively, while TF and TS main contract trading volumes decreased by 15942 and 2843 respectively [2] - **Futures Spread Changes**: Some spreads such as TL2606 - 2603 and T2606 - 2603 increased, while others like TF2606 - 2603 and TS2606 - 2603 decreased [2] - **Futures Position Changes**: The main contract positions of T and TF increased by 10738 and 2383 respectively, while those of TS and TL decreased by 1700 and 3208 respectively. The net positions of the top 20 in T, TS, and TL increased, while that of TF decreased [2] 3.2 Bond Market Data - **CTD Bond Net Price Changes**: The net prices of several CTD bonds such as 230004.IB and 250014.IB increased [2] - **Active Bond Yield Changes**: The yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year active bonds decreased by 1.00bp, 1.00bp, 2.50bp, 2.50bp, and 2.75bp respectively [2] 3.3 Interest Rate Data - **Short - term Interest Rate Changes**: Silver - pledged overnight, 7 - day, and 14 - day interest rates decreased by 0.70bp, 5.46bp, and 6.51bp respectively; Shibor overnight, 7 - day, and 14 - day interest rates decreased by 0.30bp, 3.40bp, and 0.60bp respectively [2] - **LPR Interest Rate**: The 1 - year LPR remained at 3.00%, and the 5 - year LPR remained at 3.5% [2] 3.4 Open Market Operations - The issuance scale of reverse repurchase operations was 19 billion yuan, with a maturity scale of 0 billion yuan and an interest rate of 1.4% for 7 days [2] 3.5 Industry News - The 4th Session of the 14th National Committee of the Chinese People's Political Consultative Conference will be held in Beijing on March 4, 2026 [2] - China's GDP in 2025 was 14,018.79 billion yuan, a 5.0% increase from the previous year; national total income was 13,937 billion yuan, a 5.1% increase. The population decreased by 339,000 at the end of 2025. There were 92 space launches, including 50 commercial launches. Domestic tourism reached 6.52 billion person - times, a 16.2% increase, and the number of foreigners entering China through visa - free policies was 30.08 million, a 49.5% increase [2] - Iranian Supreme Leader Khamenei was assassinated on February 28, and the US and Israel launched a joint military strike against Iran on the same day. US President Trump said the military action might last about four weeks, and the new Iranian leadership hopes to resume negotiations [2] 3.6 Key Events to Watch - The US February ISM manufacturing index at 17:00 on March 2; the 4th Session of the 14th National People's Congress will be held in Beijing on March 5 [3]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market oscillates between stable growth and easing expectations. It is necessary to pay attention to the policy signals at the end of the month in the short - term. The stock market, policy signals, real - estate policies, and external factors all have an impact on the bond market [3]. - The repurchase rate has declined, and the prices of treasury bond futures are oscillating. Attention should be paid to the decline of the 2606 basis. In the medium - term, there is adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]. 3. Summary According to the Directory 3.1 Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) has a month - on - month and year - on - year increase of 0.20%, while China's PPI (monthly) has a month - on - month increase of 0.40% and a year - on - year decrease of 1.40% [9]. - **Monthly Economic Indicators**: The social financing scale is 449.11 trillion yuan, with a month - on - month increase of 6.99 trillion yuan and a growth rate of 1.58%. M2 year - on - year is 9.00%, with a month - on - month increase of 0.50% and a growth rate of 5.88%. The manufacturing PMI is 49.30%, with a month - on - month decrease of 0.80% and a decline rate of 1.60% [10]. - **Daily Economic Indicators**: The US dollar index is 97.79, with a month - on - month increase of 0.13 and a growth rate of 0.13%. The US dollar against the offshore RMB is 6.8433, with a month - on - month increase of 0.010 and a growth rate of 0.15%. SHIBOR 7 - day is 1.46, with a month - on - month decrease of 0.04 and a decline rate of 2.67%. DR007 is 1.48, with a month - on - month decrease of 0.02 and a decline rate of 1.55%. R007 is 1.56, with a month - on - month decrease of 0.12 and a decline rate of 6.95%. The 3 - month inter - bank certificate of deposit (AAA) is 1.56, with a month - on - month increase of 0.00 and a growth rate of 0.03%. The AA - AAA credit spread (1Y) is 0.09, with a month - on - month increase of 0.00 and a growth rate of 0.03% [11]. 3.2 Overview of the Treasury Bond and Treasury Bond Futures Market - **Closing Prices and Price Changes**: On February 26, 2026, the closing prices of TS, TF, T, and TL were 102.43 yuan, 105.98 yuan, 108.37 yuan, and 112.09 yuan respectively, with price changes of - 0.03%, - 0.08%, - 0.10%, and - 0.53% [3]. - **Net Basis**: The average net basis of TS, TF, T, and TL is 0.065 yuan, 0.055 yuan, - 0.010 yuan, and 0.060 yuan respectively [3]. 3.3 Overview of the Money Market Fundamentals - **Central Bank Operations**: On February 26, 2026, the central bank conducted a 7 - day reverse repurchase operation of 320.5 billion yuan at a fixed interest rate of 1.4% [2]. - **Repurchase Rates**: The main - term repurchase rates of 1D, 7D, 14D, and 1M are 1.368%, 1.457%, 1.529%, and 1.550% respectively, and the repurchase rates have declined recently [2]. 3.4 Spread Overview The report provides multiple spread analysis charts, including the inter - period spread trends of various treasury bond futures varieties and the spread between spot - bond term spreads and futures cross - variety spreads [47][38][40]. 3.5 Two - Year Treasury Bond Futures The report presents charts of the implied interest rate and the treasury bond maturity yield of the two - year treasury bond futures main contract, the IRR of the TS main contract and the capital interest rate, and the three - year basis and net basis trends of the TS main contract [49][51]. 3.6 Five - Year Treasury Bond Futures The report shows charts of the implied interest rate and the treasury bond maturity yield of the five - year treasury bond futures main contract, the IRR of the TF main contract and the capital interest rate, and the three - year basis and net basis trends of the TF main contract [53][60]. 3.7 Ten - Year Treasury Bond Futures The report includes charts of the implied yield and the treasury bond maturity yield of the ten - year treasury bond futures main contract, the IRR of the T main contract and the capital interest rate, and the three - year basis and net basis trends of the T main contract [61][64]. 3.8 Thirty - Year Treasury Bond Futures The report provides charts of the implied yield and the treasury bond maturity yield of the thirty - year treasury bond futures main contract, the IRR of the TL main contract and the capital interest rate, and the three - year basis and net basis trends of the TL main contract [68][71].

1. Report's Industry Investment Rating - No relevant information provided 2. Core View of the Report - Recently, the equity and precious metal markets have entered an adjustment phase, with a significant decline in market risk appetite. Coupled with the central bank's increased liquidity injection before the holiday to offset the pressure of cash withdrawal, the capital price remains low. In the short - term, multiple positive factors may drive the bond market to strengthen slightly. However, there is no clear main line in the bond market before the holiday, market trading is light, and the downward space for yields is limited. It is expected that interest rates will continue to fluctuate within a narrow range [4] 3. Summary According to Relevant Contents 3.1 Futures Market Conditions - **Futures Closing Price and Volume**: T, TF, TS, and TL main contract closing prices increased by 0.06%, 0.08%, 0.04%, and 0.14% respectively. T and TL main contract trading volumes decreased by 2217 and 25288 respectively, while TF and TS main contract trading volumes increased by 7777 and 10661 respectively [2] - **Futures Spreads**: Some spreads such as TL2603 - 2606, T2603 - 2606, and TF2603 - 2606 increased, while others like TS2603 - 2606, T03 - TL03, etc. decreased [2] - **Futures Positions**: The main contract positions of T, TF, TS, and TL all decreased. The long positions of the top 20 in T, TF, TS, and TL increased, and the short positions also increased. The net short positions of T, TF, and TS increased, while that of TL decreased [2] 3.2 Bond Market Conditions - **CTD Bond Net Price**: The net prices of several CTD bonds such as 250018.IB, 220025.IB, etc. all increased [2] - **Active Bond Yields**: The yields of 1 - year active bonds increased by 1.00bp, while those of 3 - year, 5 - year, 7 - year, and 10 - year active bonds decreased by 0.10bp, 0.75bp, 1.00bp, and 0.40bp respectively [2] 3.3 Interest Rate Conditions - **Short - Term Interest Rates**: The silver - pledged overnight, 7 - day, and 14 - day interest rates increased by 14.50bp, 12.42bp, and 3.57bp respectively. Shibor overnight decreased by 0.70bp, while Shibor 7 - day and 14 - day increased by 7.00bp and 8.00bp respectively [2] - **LPR Interest Rates**: The 1 - year and 5 - year LPR interest rates remained unchanged [2] 3.4 Open Market Operations - The issuance scale of reverse repurchase operations was 1130 billion, the maturity scale was 750 billion, and the interest rate was 1.4% for 7 days, with a net investment of 380 billion [2] 3.5 Industry News - The State Council executive meeting studied policies and measures to promote effective investment, aiming to plan and promote a number of major projects in key areas [2] - Premier Li Qiang pointed out that macro - policies should be implemented in advance, and fiscal funds should be arranged as early as possible. Policy pre - research and reserve should be done well [3] - As of the end of January 2026, China's foreign exchange reserves increased for the sixth consecutive month, and gold reserves increased for 15 consecutive months [3] 3.6 Key Data to Watch - On February 11 at 09:30, China's January CPI & PPI data will be released - On February 11 at 21:30, the US January non - farm payroll data will be released [4]

1. Report Industry Investment Rating No information provided. 2. Core View of the Report The bond market is oscillating between stable growth and easing expectations. It is influenced by the stock market, the broad - money signal released by the Politburo meeting, the unchanged LPR, the continued expectation of the Fed's interest - rate cut, and the increasing uncertainty of global trade, which adds uncertainty to foreign capital inflows. Short - term attention should be paid to the policy signals at the end of the month [3]. 3. Summary by Relevant Catalogs 3.1 Interest Rate Pricing Tracking Indicators - China's CPI monthly环比 is 0.20% and同比 is 0.80%; PPI monthly环比 is 0.20% and同比 is - 1.90% [8] - Social financing scale is 442.12 trillion yuan, with a环比 increase of 2.05 trillion yuan and a环比 change rate of 0.47%; M2同比 is 8.50%, with a环比 change rate of + 6.25%; Manufacturing PMI is 50.10%, with a环比 change rate of + 1.83% [9] - The US dollar index is 95.77, with a环比 decrease of 1.28 and a环比 change rate of - 1.32%; The US dollar against the offshore RMB is 6.9335, with a环比 decrease of 0.020 and a环比 change rate of - 0.29%. SHIBOR 7 - day is 1.56, with a环比 increase of 0.02 and a环比 change rate of + 1.36%; DR007 is 1.58, with a环比 increase of 0.01 and a环比 change rate of + 0.60%; R007 is 1.68, with a环比 increase of 0.17 and a环比 change rate of + 11.44%; The 3 - month interbank certificate of deposit (AAA) is 1.59, with a环比 increase of 0.01 and a环比 change rate of + 0.55%; The AA - AAA credit spread (1Y) is 0.09, with a环比 increase of 0.00 and a环比 change rate of + 0.55% [9] 3.2 Overview of the Treasury Bond and Treasury Bond Futures Market No specific text summary information provided, but there are figures including the closing price trend of the main continuous contract of treasury bond futures, the price change rate of each variety of treasury bond futures, the precipitation fund trend of each variety of treasury bond futures, the position ratio of each variety of treasury bond futures, etc. [12][15][19] 3.3 Overview of the Money Market Fundamentals No specific text summary information provided, but there are figures such as the Shibor interest rate trend, the maturity yield trend of the inter - bank certificate of deposit (AAA), the bank - to - bank pledged repurchase transaction statistics and the local government bond issuance [29][32] 3.4 Spread Overview No specific text summary information provided, but there are figures about the inter - term spread trend of each variety of treasury bond futures and the term spread of cash bonds and the cross - variety spread of futures [31][37][38] 3.5 Two - Year Treasury Bond Futures No specific text summary information provided, but there are figures about the implied interest rate and the treasury bond maturity yield of the main contract of two - year treasury bond futures, the IRR of the TS main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TS main contract [40][42][48] 3.6 Five - Year Treasury Bond Futures No specific text summary information provided, but there are figures about the implied interest rate and the treasury bond maturity yield of the main contract of five - year treasury bond futures, the IRR of the TF main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TF main contract [49][52] 3.7 Ten - Year Treasury Bond Futures No specific text summary information provided, but there are figures about the implied yield and the treasury bond maturity yield of the main contract of ten - year treasury bond futures, the IRR of the T main contract and the fund interest rate, and the three - year basis trend and net basis trend of the T main contract [54][55] 3.8 Thirty - Year Treasury Bond Futures No specific text summary information provided, but there are figures about the implied yield and the treasury bond maturity yield of the main contract of thirty - year treasury bond futures, the IRR of the TL main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TL main contract [60][65]

Report Summary 1. Report Date and Data Sources - The report is a full - variety spread daily report dated January 28, 2026. Data sources include Wind, Mysteel, and GF Futures Research Institute [2] 2. Commodity Information Ferrous Metals - For silicon iron (SF603), the spot price is 5604, the futures price is 5628. The basis of the converted price of 72 - grade silicon iron qualified blocks from Inner Mongolia to Tianjin warehouse receipts is 24 with a basis rate of 0.43% and a historical quantile of 57.90% [1] - For silicon manganese (SM603), the spot price is 5818. The basis of the converted price of 6517 - grade silicon manganese from Inner Mongolia to Hubei warehouse receipts is 134 with a basis rate of 4.29% and a historical quantile of 51.20% [1] - For rebar (RB2605), the spot price of HRB400 20mm in Shanghai is 3280, the futures price is 3260, with a basis of - 9 and a basis rate of - 0.27% and a historical quantile of 15.00% [1] - For hot - rolled coil (HC2605), the spot price of Q235B 4.75mm in Shanghai is 3289, the futures price is 3289, with a basis of 0, a basis rate of 0%, and a historical quantile of 47.00% [1] - For iron ore (I2605), the spot price (converted price of 62.5% Brazilian mixed powder (BRBF) from Vale at Rizhao Port) is 788, with a basis rate of 3.32% and a historical quantile of 86.75% [1] - For coke (J2605), the spot price (converted price of quasi - first - grade metallurgical coke A13, S0.7, CSR60, MT7 at Rizhao Port) is 1723, the futures price is 1668, with a basis of 55, a basis rate of 3.54%, and a historical quantile of 40 [1] - For coking coal (JM2605), the spot price (converted price of S1.3 G75 main coking coal (Mongolian No.5) at Shaheyi) is 1156, the futures price is 1117, with a basis of 39, a basis rate of 3.50%, and a historical quantile of 38.20% [1] Non - ferrous Metals - For copper (CU2603), the spot price (SMM electrolytic copper average) is 101370, the futures price is 102600, with a basis of - 1230, a basis rate of - 1.20%, and a historical quantile of 1.87% [1] - For aluminum (AL2603), the spot price (SMM A00 aluminum average) is 23870, the futures price is 24305, with a basis of - 435, a basis rate of - 1.79%, and a historical quantile of 0.83% [1] - For alumina (AO2605), the spot price (SMM alumina index average) is 2628, the futures price is 2734, with a basis of - 106, a basis rate of - 3.88%, and a historical quantile of 12.99% [1] - For zinc (ZN2603), the spot price (SMM 1 zinc ingot average) is 24690, the futures price is 24950, with a basis of - 260, a basis rate of - 1.04%, and a historical quantile of 7.29% [1] - For tin (SN2603), the spot price (SMM 1 tin average) is 451160, the futures price is 428400, with a basis of 22760, a basis rate of 5.31%, and a historical quantile of 0.20% [1] - For nickel (NI2603), the spot price (SMM 1 imported nickel average) is 146110, the futures price is 144950, with a basis of 1160, a basis rate of 0.79%, and a historical quantile of 13.75% [1] - For stainless steel (SS2603), the spot price (304/2B:2 * 1240 * C: Wuxi Hongwang (including trimming fee)) is 14670, the futures price is 14540, with a basis of 130, a basis rate of 0.89%, and a historical quantile of 24.67% [1] - For lithium carbonate (LC2605), the spot price (SMM battery - grade lithium carbonate average) is 179600, the futures price is 172500, with a basis of 7100, a basis rate of 3.95% [1] - For industrial silicon (SI2605), the spot price (SMM future oxygen - passing 215530 average) is 9250, the futures price is 8860, with a basis of 390, a basis rate of 4.40%, and a historical quantile of 22.10% [1] Precious Metals - For gold (AU2604), the spot price (Shanghai Gold Exchange gold spot AU (T + D)) is 1142.9, the futures price is 1148.4, with a basis of - 5.5, a basis rate of - 0.50%, and a historical quantile of 1.90% [1] - For silver (AG2604), the spot price (Shanghai Gold Exchange silver spot AG (T + D)) is 28300.0, the futures price is 28732.0, with a basis of - 432.0, a basis rate of - 1.50%, and a historical quantile of 99.20% [1] Agricultural Products - For soybean meal (M2605), the spot price (factory price of common - protein soybean meal in Zhangjiagang, Jiangsu) is 3060, the futures price is 2766.0, with a basis of 294.0, a basis rate of 10.63%, and a historical quantile of 69.70% [1] - For soybean oil (Y2605), the spot price (factory price of grade - four soybean oil in Zhangjiagang, Jiangsu) is 8620, the futures price is 8258.0, with a basis of 362.0, a basis rate of 4.38%, and a historical quantile of 65.20% [1] - For palm oil (P2605), the spot price (delivery price of 24 - degree palm oil at Huangpu Port) is 9238.0, the futures price is 9190, with a basis of 48.0, a basis rate of 0.52%, and a historical quantile of 11.90% [1] - For rapeseed meal (RM605), the spot price (factory price of rapeseed meal in Zhanjiang, Guangdong) is 2271.0, the futures price is 2199.0, with a basis of 72.0, a basis rate of 3.27%, and a historical quantile of 83.20% [1] - For rapeseed oil (Oleos), the spot price (factory price of grade - four rapeseed oil in Nantong, Jiangsu) is 10130, the futures price is 9326.0, with a basis of 804.0, a basis rate of 8.62%, and a historical quantile of 96.50% [1] - For corn (C2603), the spot price (free - on - board price of corn at Xuzhou Port) is 2360, the futures price is 2283.0, with a basis of 77.0, a basis rate of 3.37%, and a historical quantile of 74.00% [1] - For corn starch (CS2603), the spot price (factory price of corn starch in Changchun, Jilin) is 2630, the futures price is 2540.0, with a basis of 90.0, a basis rate of 3.54%, and a historical quantile of 41.30% [1] - For live pigs (LH2603), the spot price (factory price of live pigs (ex - ternary) in Henan) is 13150, the futures price is 11285.0, with a basis of 1865.0, a basis rate of 16.53%, and a historical quantile of 90.50% [1] - For eggs (JD2603), the spot price (factory price of eggs in Shijiazhuang, Hebei) is 3840, the futures price is 3047.0, with a basis of 793.0, a basis rate of 26.03%, and a historical quantile of 84.20% [1] - For cotton (CF605), the spot price (market price of cotton in Xinjiang) is 15700, the futures price is 14565.0, with a basis of 1135.0, a basis rate of 7.79%, and a historical quantile of 77.00% [1] - For sugar (SR605), the spot price (spot price of white sugar at Liuzhou Station, Guangxi) is 5330, the futures price is 5168.0, with a basis of 162.0, a basis rate of 3.13%, and a historical quantile of 26.60% [1] - For apples (AP605), the spot price (delivery theoretical price of apples (daily/Steel Union)) is 8820.0, the futures price is 8000, with a basis of 820.0, a basis rate of 10.25%, and a historical quantile of 24.10% [1] - For red dates (CJ605), the spot price (wholesale price of first - grade grey dates in Hebei (Steel Union)) is 9400, the futures price is 9504.0, with a basis of - 104.0, a basis rate of - 1.09%, and a historical quantile of 39.50% [1] Energy and Chemicals - For paraxylene (PX603), the spot price (CFR spot price at Chinese main ports, converted to RMB) is 7241.0, the futures price is 7286.0, with a basis of - 45.0, a basis rate of - 0.62%, and a historical quantile of 19.80% [1] - For PTA (TA605), the spot price (market price (middle price) of purified terephthalic acid (PTA) in East China) is 5258.0, the futures price is 5170.0, with a basis of 88.0, a basis rate of 1.67%, and a historical quantile of 20.70% [1] - For ethylene glycol (EG2605), the spot price (market price (middle price) of ethylene glycol (MEG) in East China) is 3938.0, the futures price is 3810.0, with a basis of 128.0, a basis rate of 3.25%, and a historical quantile of 12.60% [1] - For polyester staple fiber (PF603), the spot price (market price (mainstream price) of polyester staple fiber (1.4D * 38mm (direct - spinning)) in East China market) is 6662.0, the futures price is 6660.0, with a basis of 2.0, a basis rate of 0.03%, and a historical quantile of 42.20% [1] - For styrene (EB2603), the spot price (market price in East China, China (spot benchmark price)) is 7905.0, the futures price is 7649.0, with a basis of 256.0, a basis rate of 3.35%, and a historical quantile of 72.90% [1] - For methanol (MA605), the spot price (market price in Jiangsu Taicang, China (spot benchmark price)) is 2304.0, the futures price is 2267.0, with a basis of 37.0, a basis rate of 1.61%, and a historical quantile of 15.50% [1] - For urea (UR605), the spot price (market price (mainstream price) of small - particle urea in Shandong) is 1790.0, the futures price is 1760.0, with a basis of 30.0, a basis rate of 1.68%, and a historical quantile of 8.80% [1] - For LLDPE (L2605), the spot price (duty - paid self - pick - up price (middle price) of linear low - density polyethylene LLDPE (film grade) in Shandong) is 6899.0, the futures price is 6825.0, with a basis of 74.0, a basis rate of 1.07%, and a historical quantile of 6.70% [1] - For PP (PP2605), the spot price (duty - paid self - pick - up price (middle price) of polypropylene PP (wire - drawing grade, melt index 2 - 4) in Zhejiang) is 6715.0, the futures price is 6709.0, with a basis of 6.0, a basis rate of 0.09%, and a historical quantile of 26.80% [1] - For PVC (V2605), the spot price (market price (mainstream price) of polyvinyl chloride (SG - 5) in Changzhou Market, China) is 4911.0, the futures price is 4710.0, with a basis of 201.0, a basis rate of 4.27%, and a historical quantile of 27.80% [1] - For caustic soda (SH603), the spot price (market price (mainstream price) of 32% ion - membrane caustic soda in Shandong market, converted to 100%) is 1951.0, the futures price is 1884.0, with a basis of 67.0, a basis rate of 3.41%, and a historical quantile of 32.90% [1] - For LPG (PG2603), the spot price (market price of liquefied petroleum gas in Guangzhou) is 4848.0, the futures price is 4248.0, with a basis of 600.0, a basis rate of 14.12%, and a historical quantile of 76.90% [1] - For asphalt (BU2603), the spot price (market price (mainstream price) of heavy - traffic asphalt in Shandong) is 3279.0, the futures price is 3140.0, with a basis of 139.0, a basis rate of 4.24%, and a historical quantile of 22.50% [1] - For butadiene rubber (BR2603), the spot price (distribution price in China: cis - butadiene rubber (Daqing, BR9000) of PetroChina East China) is 13045.0, the futures price is 13000.0, with a basis of 45.0, a basis rate of 0.34%, and a historical quantile of 26.40% [1] - For glass (FG605), the spot price (market price of 5mm float glass, large board in Shahe: Shahe Great Wall Glass (daily)) is 1066.0, the futures price is 932.0, with a basis of 134.0, a basis rate of 14

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The bond market is gradually digesting potential negatives, and sentiment has eased. In the short - term, interest rates are expected to continue in a volatile pattern due to the intersection of multiple factors. The government bond issuance scale in Q1 is expected to be roughly the same as in Q1 2025, and the specific proportion of ultra - long bond supply remains to be confirmed. The strong performance of the equity market at the beginning of the year may lead to a short - term profit - taking demand and a market consolidation, which is expected to relieve liquidity pressure. However, the fundamental support may weaken, and the necessity of further loose monetary policies in the short - term has decreased [4] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices**: T, TF, TS, and TL main contract closing prices increased by 0.15%, 0.09%, 0.02%, and 0.37% respectively. - **Futures Volumes**: T, TF, and TS main contract trading volumes decreased by 10,723, 262, and 12,149 respectively, while TL main contract trading volume increased by 1,357. - **Futures Spreads**: Some spreads increased (e.g., TL2603 - 2606, T2603 - 2606), while others decreased (e.g., T03 - TL03, TF03 - T03). - **Futures Positions**: T main contract open interest increased by 2,197, TF and TS main contract open interests decreased by 4,357 and 889 respectively, and TL main contract open interest decreased by 2,129 [2] 3.2 Bond Market - **CTD Bonds**: The net prices of several CTD bonds increased, such as 250018.IB (up 0.0793), 220025.IB (up 0.0642), etc. - **Active Bonds**: The yields of 3y, 5y, 7y, and 10y active bonds increased by 3.50bp, 1.25bp, 1.25bp, and 1.55bp respectively, while the 1y yield remained unchanged [2] 3.3 Interest Rates - **Short - term Rates**: Silver - pledged overnight rate decreased by 2.91bp, Shibor overnight rate increased by 0.40bp; silver - pledged 7 - day rate decreased by 5.62bp, Shibor 7 - day rate increased by 1.20bp; silver - pledged 14 - day rate increased by 1.67bp, Shibor 14 - day rate increased by 2.90bp. - **LPR Rates**: 1y and 5y LPR rates remained unchanged [2] 3.4 Open Market Operations - On January 8, the central bank will conduct 1100 billion yuan of 3 - month outright reverse repurchase operations, with 1100 billion yuan of 3 - month outright reverse repurchase maturing this month, achieving an equal - amount offset and the third consecutive month of equal - amount roll - over [2] 3.5 Industry News - China's foreign exchange reserves reached a ten - year high in December 2025, with a scale of 3357.9 billion US dollars, a month - on - month increase of 1.15 billion US dollars. Gold reserves increased by 30,000 ounces month - on - month, marking the 14th consecutive month of increase. - Eight departments including the Ministry of Industry and Information Technology issued the "Implementation Opinions on the Special Action of 'Artificial Intelligence + Manufacturing'", aiming to achieve a safe and reliable supply of key core technologies in artificial intelligence by 2027 [2][3]

Report Information - Report Title: All-variety Spread Daily Report [3] - Date: December 17, 2025 [3] - Data Sources: Wind, Mysteel, GF Futures Research Institute [3] Commodity Analysis Ferrous Metals - **Silicon Iron (SF603)**: Futures price is 5558, spot price is 5482, with a basis rate of 1.39% and a historical quantile of 64.50% [1] - **Silicon Manganese (SM603)**: Futures price is 5736, spot price is 5810, with a basis rate of 1.29% and a historical quantile of 39.60% [1] - **Rebar (RB2605)**: Futures price is 3081, spot price is 3280, with a basis rate of 6.45% and a historical quantile of 71.30% [1] - **Hot Rolled Coil (HC2605)**: Futures price is 3246, spot price is 3270, with a basis rate of 0.74% and a historical quantile of 28.40% [1] - **Iron Ore (I2605)**: Futures price is 761, spot price is 832, with a basis rate of 9.38% and a historical quantile of 55.40% [1] - **Coke (J2601)**: Futures price is 1581, spot price is 1515, with a basis rate of 4.39% and a historical quantile of 88.32% [1] - **Coking Coal (JM2605)**: Futures price is 1139, spot price is 1068, with a basis rate of 6.70% and a historical quantile of 42.10% [1] Non-ferrous Metals - **Copper (CU2602)**: Futures price is 91920, spot price is 91700, with a basis of -220, a basis rate of -0.24% and a historical quantile of 27.70% [1] - **Aluminum (AL2602)**: Futures price is 21630, spot price is 21845, with a basis of -215, a basis rate of -0.98% and a historical quantile of 4.79% [1] - **Alumina (AO2601)**: Futures price is 2541, spot price is 2788, with a basis of 247, a basis rate of 9.72% and a historical quantile of 82.15% [1] - **Zinc (ZN2601)**: Futures price is 23030, spot price is 23110, with a basis of 80, a basis rate of 0.35% and a historical quantile of 70.20% [1] - **Tin (SN2601)**: Futures price is 320620, spot price is 320500, with a basis of -120, a basis rate of -0.04% and a historical quantile of 46.87% [1] - **Nickel (NI2601)**: Futures price is 112290, spot price is 112350, with a basis of 60, a basis rate of 0.05% and a historical quantile of 53.33% [1] - **Stainless Steel (SS2602)**: Futures price is 12870, spot price is 12320, with a basis of -4750, a basis rate of -4.72% and a historical quantile of 92.48% [1] - **Lithium Carbonate (LC2605)**: Futures price is 100600, spot price is 95850, with a basis of -4750, a basis rate of -4.72% and a historical quantile of 6.60% [1] - **Industrial Silicon (SI2605)**: Futures price is 835, spot price is 8365, with a basis of 7530, a basis rate of 9.98% and a historical quantile of 56.14% [1] Precious Metals - **Gold (AU2602)**: Futures price is 964.7, spot price is 971.4, with a basis of -6.8, a basis rate of -0.69% and a historical quantile of 0.30% [1] - **Silver (AG2602)**: Futures price is 14649.0, spot price is 14666.0, with a basis of -17.0, a basis rate of -0.12% and a historical quantile of 59.20% [1] Agricultural Products - **Soybean Meal (M2605)**: Futures price is 2777.0, spot price is 3060, with a basis of 283.0, a basis rate of 10.19% and a historical quantile of 67.90% [1] - **Soybean Oil (Y2605)**: Futures price is 7872.0, spot price is 8290, with a basis of 418.0, a basis rate of 5.31% and a historical quantile of 72.10% [1] - **Palm Oil (P2605)**: Futures price is 8410.0, spot price is 8460, with a basis of 50.0, a basis rate of 0.59% and a historical quantile of 35.40% [1] - **Rapeseed Meal (RM2605)**: Futures price is 2359.0, spot price is 2500, with a basis of 141.0, a basis rate of 5.98% and a historical quantile of 75.90% [1] - **Rapeseed Oil (OI2605)**: Futures price is 9063.0, spot price is 9540, with a basis of 477.0, a basis rate of 5.25% and a historical quantile of 90.50% [1] - **Corn (C2603)**: Futures price is 2202.0, spot price is 2290, with a basis of 88.0, a basis rate of 4.00% and a historical quantile of 76.70% [1] - **Corn Starch (CS2601)**: Futures price is 2502.0, spot price is 2650, with a basis of 148.0, a basis rate of 5.92% and a historical quantile of 74.70% [1] - **Live Hogs (H2603)**: Futures price is 114

1. Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints - In the medium to long term, the report maintains a bullish view on the economy and suggests that using stock index futures as a long - term alternative can yield certain excess returns. It recommends buying long - term contracts of various varieties on dips. For bond futures, considering the upward trend of risk appetite and the expectation of economic recovery, it suggests hedging on rallies for T and TL contracts [3]. 3. Summary by Directory 3.1 Market Performance - On December 10th, the four major A - share stock indices showed mixed performance. The Shanghai Composite Index fell 0.23% to close at 3900.5 points, the Shenzhen Component Index rose 0.29% to 13316.42 points, the ChiNext Index fell 0.02% to 3209 points, and the STAR 50 Index fell 0.03% to 1346.7 points. Market turnover was 17,916 billion yuan, a decrease of 1,261 billion yuan from the previous day. In terms of industry sectors, real estate (+2.53%), commerce and retail (+1.97%), and social services (+1.22%) led the gains, while banks (-1.58%), power equipment (-0.87%), and computers (-0.63%) led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising, flat, and falling stocks were 2,433, 178, and 2,841 respectively. Net inflows of institutional, main force, large - investor, and retail funds in the Shanghai and Shenzhen stock markets were - 59 billion yuan, - 141 billion yuan, 26 billion yuan, and 174 billion yuan respectively, with changes of +98 billion yuan, +62 billion yuan, - 22 billion yuan, and - 138 billion yuan respectively [2]. - On December 10th, interest - rate bonds stabilized and rose. Among the active contracts, TS rose 0.04%, TF rose 0.06%, T rose 0.06%, and TL rose 0.3% [3]. 3.2 Stock Index Futures - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts were 118.24, 90.19, 34.23, and 14.04 points respectively, with annualized basis yields of - 15.35%, - 12.12%, - 7.17%, and - 4.52% respectively, and three - year historical quantiles of 14%, 14%, 15%, and 21% respectively [3]. - **Trading Strategy**: In the medium to long term, maintain a bullish view on the economy. Using stock index futures as a long - term alternative can yield certain excess returns. Recommend buying long - term contracts of various varieties on dips [3]. 3.3 Bond Futures - **Spot Bonds**: The current active contract is the 2603 contract. The CTD bond of the 2 - year bond futures is 250017.IB, with a yield change of - 1.05bps, a corresponding net basis of - 0.046, and an IRR of 1.62%; the CTD bond of the 5 - year bond futures is 2500801.IB, with a yield change of - 0.45bps, a corresponding net basis of - 0.09, and an IRR of 1.79%; the CTD bond of the 10 - year bond futures is 250018.IB, with a yield change of - 0.3bps, a corresponding net basis of - 0.023, and an IRR of 1.54%; the CTD bond of the 30 - year bond futures is 220008.IB, with a yield change of - 1.15bps, a corresponding net basis of 0.011, and an IRR of 1.43% [3]. - **Funding Situation**: In open - market operations, the central bank injected 189.8 billion yuan and withdrew 79.3 billion yuan, resulting in a net injection of 110.5 billion yuan [3]. - **Trading Strategy**: In the medium to long term, considering the upward trend of risk appetite and the expectation of economic recovery, suggest hedging on rallies for T and TL contracts [3]. 3.4 Economic Data - High - frequency data shows that at the beginning of December, the manufacturing and real - estate sectors were less prosperous than in previous periods, while import and export data were relatively strong. Further observation is needed [10].