国债期货日报 | 2026-02-27 止盈影响下，国债期货收跌 市场分析 宏观面：（1）宏观政策： 12月8日政治局会议明确实施更加积极的财政政策和适度宽松的货币政策，释放宽货币 信号；中央经济工作会议提出，2026年财政政策方面继续实施更加积极的财政政策，货币方面继续实施适度宽松 的货币政策，灵活高效运用降准、降息及结构性政策工具，为"十五五"良好开局提供稳定的宏观政策环境；2026 年1月19日起，下调再贷款、再贴现等一篮子利率0.25个百分点，同时今年还存在继续降准降息的空间。（2）通胀： 1月CPI同比上升0.2%。 财政：（3）财政：财政：2025年全年财政收支整体未达预期，收入受税收走弱与非税高基数拖累，全年一般公共 预算收入同比下降1.7%；支出节奏前置，年末力度减弱，全年完成度偏低。结构上呈现分化特征，民生支出总体 稳定，基建类支出占比下降，土地财政收入持续疲软。展望2026年，财政政策预计延续积极，强调"总量增加、结 构更优"，支出力度有望加强，节奏继续前置，对稳增长形成支撑。（4）金融：1月社融实现开门红，新增规模达 7.22万亿元，同比多增1662亿元，政府债券净融资回升，财政靠前发力 ...

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].

Group 1: Stock Index Futures - The stock index futures sector is in a "curve long" state, with IC and IM being "good curves" [1] - Key products include the Shanghai 50 (IH), CSI 300 (IF), CSI 500 (IC), and CSI 1000 (IM), all in a bullish state [1] - The market status shows a "consolidation" phase, with technical indicators indicating prices at a high level (750D Px_M Percentile > 0.95) [1] - IC and IM have the strongest curve strength, suitable for long positions, while IH and IF are slightly weaker and can serve as auxiliary positions [1] - The core logic indicates that the curve structure of small-cap indices is more favorable, reflecting optimistic expectations for their forward contracts [1] Group 2: Government Bond Futures - The government bond futures sector is in a "curve short" state, with TL showing the strongest short signal [1] - Key products include 2-year (TS), 5-year (TF), 10-year (T), and 30-year (TL) bonds, with TS in "consolidation" and TF, T, TL in "short" [1] - The 30-year bond's 750D Ctgo Percentile is at 0.965, indicating it is at a historically high position, facing adjustment pressure [1] - Opportunities exist to focus on short positions in TL and T, particularly as TL's curve structure is bearish [1] - The core logic suggests that long-term interest rate bonds face supply pressure and rising inflation expectations, suppressing bond prices [1] Group 3: Precious Metals - The precious metals sector is in a "possible curve short" state, but the market status is "bullish" [1] - Key products include gold (AU) and silver (AG), both showing high price levels (Px_M Percentile close to 1), indicating overheated market sentiment [1] - Caution is advised for pursuing long positions, with attention to potential opportunities after price corrections [1] - The core logic indicates that safe-haven sentiment and inflation expectations support prices, but the curve structure suggests insufficient premiums for forward contracts, warning of high-level adjustments [1] Group 4: Base Metals - The base metals sector shows copper (CU) and aluminum (AL) as "bullish," while zinc (ZN) is a "possible curve long," and nickel (NI) and tin (SN) are "possible curve shorts" [3] - Copper and aluminum prices are very strong, while zinc, nickel, and tin are in a "consolidation" state [3] - Opportunities for long positions exist in copper and aluminum, while zinc may present curve strengthening opportunities [3] - The core logic indicates that copper and aluminum benefit from investments in new energy and power grids, while zinc is supported by supply-side disruptions [3] Group 5: Black Metals - The black metals sector has iron ore (I) as a "good curve long," while rebar (RB) is a "possible curve short," and hot-rolled coil (HC) is in "consolidation" [3] - The market status for iron ore, rebar, and hot-rolled coil is "consolidation" [3] - Opportunities for long positions in iron ore are noted, while caution is advised for rebar [3] - The core logic suggests that iron ore is supported by supply-side factors and steel mill restocking, while rebar is constrained by weak demand [3] Group 6: Chemical Products - The chemical products sector includes crude oil (SC), low-sulfur fuel oil (LU), and asphalt (BU) as "curve long," while rubber (RU) is a "good curve short" [3] - SC, LU, and BU are in "consolidation," while RU is in a "short" state [3] - Opportunities for long positions are available in SC, LU, and BU, while RU shows a clear bearish trend [3] - The core logic indicates that energy and chemical products are supported by crude oil costs, while rubber is pressured by supply-demand imbalances [3] Group 7: Agricultural Products - The agricultural products sector includes soybean oil (Y) and palm oil (P) as "possible curve long," while soybean meal (M) is "short," and sugar (SR) is "curve long" [3] - Soybean oil and palm oil are in "consolidation," while soybean meal is in a "short" state [3] - Opportunities for long positions are noted in Y, P, and SR, while M should be avoided [3] - The core logic indicates that oilseeds are supported by recovering consumption and biodiesel policies, while soybean meal is pressured by ample supply [3] Group 8: Summary and Recommendations - Long opportunities identified include CSI 500/1000 futures, iron ore, crude oil, palm oil, and sugar [3] - Short opportunities include 30-year government bonds, rubber, and soybean meal [3] - Concentrated risk areas include potential adjustments in precious metals at high levels, demand shortfalls in black metals, and weather fluctuations affecting agricultural products [3]

Report Industry Investment Rating - The investment rating for stock index futures is "sideways", and for government bond futures is "relatively strong" [1] Core Viewpoints - The A-share market oscillated and closed lower yesterday, with TMT performing well and coal and power equipment sectors correcting. The overall market is expected to be range - bound in the short term as the liquidity-driven market since June ended and the focus returns to fundamentals. Traditional economic sectors are in a slow recovery, and overseas tech stocks also face expectation divergence [1]. - Government bond futures closed higher yesterday. The central bank's actions and economic expectations have a positive impact on the bond market, but the "stock - bond seesaw" effect causes some disturbances. The bond market is expected to continue its oscillating pattern [1][2] Summary by Directory 1. Research Views Stock Index Futures - Yesterday, the A - share market closed down with Wind All - A dropping 0.93% and a trading volume of 1.95 trillion yuan. The CSI 1000, CSI 500, SSE 50, and CSI 300 indices all declined. New - quality productivity themes led by AI have optimistic growth expectations, especially in the upstream hardware manufacturing of the tech sector, but they lack catalysts and have entered a sideways trend since November. Traditional economic sectors are in a slow recovery and are unlikely to enter a fundamental bull market in the short term. Overseas tech stocks also face expectation divergence [1]. Government Bond Futures - Yesterday, government bond futures closed higher, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rising. The central bank conducted 4075 billion yuan of 7 - day reverse repurchases, with a net injection of 37 billion yuan. DR001 rose 2BP to 1.53%, and DR007 remained flat at 1.52%. The central bank's actions strengthen the expectation of reasonable and sufficient funds, which is positive for the bond market. However, the "stock - bond seesaw" effect causes some disturbances, and the bond market is expected to oscillate [1][2] 2. Daily Price Changes Stock Index Futures - On November 18, 2025, IH dropped 0.39% to 2,997.6, IF dropped 0.58% to 4,555.0, IC dropped 0.89% to 7,079.8, and IM dropped 0.58% to 7,351.8 compared to November 17 [3]. Stock Indices - The SSE 50 dropped 0.30% to 3,003.0, the CSI 300 dropped 0.65% to 4,568.2, the CSI 500 dropped 1.17% to 7,151.0, and the CSI 1000 dropped 1.00% to 7,448.1 on November 18, 2025, compared to November 17 [3]. Government Bond Futures - On November 18, 2025, TS rose 0.01% to 102.49, TF rose 0.01% to 105.92, T rose 0.01% to 108.50, and TL rose 0.07% to 116.53 compared to November 17 [3] 3. Market News - As of the week ending October 18, the number of initial jobless claims in the US was 232,000, and the number of continuing jobless claims was 1,957,000, up from 1,947,000 the previous week. The US Federal government shutdown led to a lack of regular weekly data [4]. - China's Foreign Ministry held consultations with Japan's officials. China sternly protested against Japanese Prime Minister Kaochi Sanae's wrong remarks on China, urging Japan to retract the remarks and stop causing trouble on China - related issues [4] 4. Chart Analysis Stock Index Futures - The report provides charts of the trends of IH, IF, IM, IC main contracts, and their respective basis trends [6][7][9] Government Bond Futures - The report includes charts of the trends of government bond futures main contracts, bond yields, basis, inter - period spreads, cross - variety spreads, and fund rates [13][14][19] Exchange Rates - The report presents charts of the central parity rates of the US dollar, euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between major currencies [22][23][26]

Core Viewpoint - The article highlights the diverse opportunities and risks in the futures market, emphasizing the differentiation between bullish and bearish trends across various sectors, particularly in stock indices and certain commodities like iron ore and sugar [43]. Group 1: Stock Index Futures - Key bullish varieties include the CSI 500 futures (IC) and CSI 1000 futures (IM), indicating a "Good Curve Long" signal, while the CSI 300 futures (IF) show a "Curve Long" signal and the SSE 50 futures (IH) are "Maybe Curve Long," suggesting an overall bullish sentiment [2]. - The market is currently in a "Consolidation" phase, indicating a period of adjustment [3]. - The volatility of stock index futures is relatively low, with a Vol/Roll ratio between 1.4 and 5.0, and a moderate rolling Sharpe ratio of approximately 0.2 to 0.7, indicating active trading with manageable volatility [4]. - High positive correlation exists among IH, IF, IC, and IM, with correlation coefficients ranging from 0.68 to 0.94, reflecting strong interconnectivity within the sector [5]. - Investment opportunities lie in bullish positions for IC and IM due to strong curve structures and high annualized rolling returns (IC at 7.35%, IM at 10.69%), while IF and IH serve as auxiliary bullish positions suitable for low-cost accumulation during consolidation [6]. - The core logic suggests that small-cap stocks are relatively strong, benefiting from structural policy support and growth expectations, although the overall market lacks trend momentum and requires a breakout signal [8]. Group 2: Government Bond Futures - No clear curve signals are present for 2-year (TS), 5-year (TF), 10-year (T), and 30-year (TL) government bond futures, with all market states classified as "Consolidation" [9]. - Annualized rolling returns are negative (TS -0.26%, TF -0.26%, T -0.02%, TL 0.54%), indicating yield pressure [9]. - The volatility is low, with a Vol/Roll ratio between 0.0004 and 0.0027, and a varied rolling Sharpe ratio (TS at 0.43, T at 0.01), reflecting subdued trading activity and weak returns [10]. - Given the lack of clear direction, it is advised to remain observant or engage in light arbitrage, such as utilizing term spread changes [11]. - The core logic indicates that economic recovery and inflation expectations suppress the bond market, while safe-haven demand provides support, leading to a continued oscillating pattern [13]. Group 3: Precious Metals - Both gold (AU) and silver (AG) are classified as "Maybe Curve Short," but the market state is "Long," indicating a divergence between technical indicators and market conditions [14]. - Annualized rolling returns are negative (AU -2.24%, AG -2.11%), reflecting a bearish curve structure [14]. - The volatility is moderate, with a Vol/Roll ratio around 0.017 to 0.021, and low rolling Sharpe ratios (AU 0.08, AG 0.06), indicating active trading but poor returns [15]. - Cautious bearish positions are suggested, with attention to potential short-selling opportunities after rebounds or utilizing AU-AG price spread arbitrage [16]. - The core logic suggests that actual interest rates and dollar strength dominate prices, with a bearish technical outlook but support from safe-haven sentiment, leading to short-term weakness [18]. Group 4: Base Metals - Copper (CU) and international copper (BC) show no curve signals, with market states classified as "Long" or "Consolidation"; zinc (ZN) is "Maybe Curve Long," while nickel (NI) is "Short" [19]. - Annualized rolling returns vary (CU -0.28%, ZN 2.14%, NI -0.87%) [19]. - The volatility is moderate, with a Vol/Roll ratio between 0.005 and 0.011, and generally low rolling Sharpe ratios (CU 0.02, ZN 0.24), indicating stable trading [20]. - Zinc presents a clear long opportunity due to its bullish curve and positive returns, while nickel's clear bearish trend suggests short-selling at high points [21]. - The core logic indicates that supply-demand balance drives prices, with support from Chinese infrastructure and new energy demand for copper and zinc, but uncertainties arise from inventory levels and macro sentiment [23]. Group 5: Black Metals - Iron ore (I) is identified as "Good Curve Long," while coking coal (JM) is "Good Curve Short," and both coke (J) and rebar (RB) are "Maybe Curve Short" [24]. - Annualized rolling returns vary (I 6.49%, JM -5.35%) [25]. - The volatility is relatively high, with a Vol/Roll ratio around 0.010 to 0.024, and moderate rolling Sharpe ratios (I 0.39, JM 0.14), indicating active trading [26]. - Iron ore presents significant bullish opportunities, supported by positive returns and curve backing, while coking coal and coke show clear bearish trends suitable for short-selling [27]. - The core logic suggests that environmental policies and production cut expectations support iron ore, while weak terminal demand suppresses coking coal and coke, leading to notable sector differentiation [29]. Group 6: Energy and Chemicals - Crude oil (SC) and low-sulfur fuel oil (LU) are "Curve Long," while fuel oil (FU) is "Good Curve Long" but in a "Short" market state, and asphalt (BU) is "Curve Long" but also "Short" [30]. - Annualized rolling returns vary (SC 3.31%, FU 6.76%, BU 3.09%) [31]. - The volatility is moderate, with a Vol/Roll ratio between 0.014 and 0.026, and varied rolling Sharpe ratios (SC 0.14, FU 0.29), indicating strong interconnectivity within the sector [32]. - High-value bullish positions are recommended for SC and LU, benefiting from curve support and positive returns, while FU and BU require cautious validation due to their bearish market states [33]. - The core logic indicates that global crude oil supply-demand tightness supports prices, but downstream demand differentiation and chemical products are influenced by both cost and demand factors [36]. Group 7: Agricultural Products - Sugar (SR) is "Curve Long," soybean (A) is "Maybe Curve Long," palm oil (P) is "Good Curve Long" but in a "Short" market state, while rapeseed oil (OI) and rapeseed meal (RM) are "Maybe Curve Short," and live hogs (LH) and eggs (JD) are "Curve Short" [37]. - Annualized rolling returns vary (SR 3.58%, P 7.81%, LH -3.64%) [37]. - The volatility ranges from low to moderate, with a Vol/Roll ratio between 0.004 and 0.015, and moderate rolling Sharpe ratios (SR 0.56, LH 0.16) [38]. - Clear bullish opportunities exist for sugar and soybean, benefiting from curve support and positive returns, while palm oil's bullish curve requires waiting for stronger signals, and live hogs and eggs show clear bearish trends suitable for short-selling [40]. - The core logic indicates that supply-side factors (planting area, yield) and demand-side factors (feed, consumption) dominate, with significant differentiation among varieties and a need to monitor seasonal factors and global trade flows [42].