2026年01月07日申万期货品种策略日报：国债-20260107

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The previous trading day saw a general decline in Treasury bond futures prices, with the T2603 contract dropping by 0.14% and an increase in open interest. The IRR of the CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, indicating no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term Treasury bond yields generally rose. The current market risk preference is strong, and under the stock - bond seesaw effect, Treasury bond futures prices are weak, but the expectation of loose policies at the beginning of the year provides some support for short - term Treasury bond futures prices [2][3] Summary by Relevant Content Futures Market - Yesterday's closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 102.366, 102.390, 105.570, 105.570, 107.700, 107.655, 110.93, and 111.08 respectively, showing declines compared to the previous day. Their respective price drops were - 0.048, - 0.062, - 0.135, - 0.150, - 0.155, - 0.190, - 0.390, and - 0.410, with percentage drops of - 0.05%, - 0.06%, - 0.13%, - 0.14%, - 0.14%, - 0.18%, - 0.35%, and - 0.37%. Open interest and trading volume data were also provided, along with changes in open interest. The cross - term spreads of some contracts increased compared to the previous values [2] - The IRR% of the active CTD bonds for each contract were 1.3291, 1.4752, 1.6297, 1.5494, 1.3585, 1.1945, 2.3902, and 2.2553 respectively, at a low level with no arbitrage opportunities [2] Spot Market - Short - term market interest rates showed mixed trends. SHIBOR 7 - day rate decreased by 0.1bp, DR007 rate increased by 0.69bp, and GC007 rate increased by 1.7bp [2] - Key - term Chinese Treasury bond yields generally rose. The 10Y Treasury bond yield increased by 2.21bp to 1.88%, and the long - short (10 - 2) Treasury bond yield spread was 41.9bp [2] Overseas Market - The previous trading day saw the US 10Y Treasury bond yield increase by 1bp, the German 10Y Treasury bond yield decrease by 4bp, and the Japanese 10Y Treasury bond yield increase by 1.2bp. The internal - external yield spreads were also provided [2] Macroeconomic News - On January 6, the central bank conducted 16.2 billion yuan of 7 - day reverse repurchase operations, with an operating rate of 1.40%. With 312.5 billion yuan of reverse repurchases maturing on the same day, the net withdrawal for the day was 296.3 billion yuan [3] - The 2026 work conference of the People's Bank of China emphasized continuing to implement a moderately loose monetary policy, increasing counter - cyclical and cross - cyclical adjustment efforts [3] - The 2026 national foreign exchange management work conference emphasized building a more convenient, open, safe, and intelligent foreign exchange management system, promoting reform and opening - up in the foreign exchange field [3] - China decided to ban the export of all dual - use items to Japanese military users and for military purposes [3] - China's emotional consumption market scale has been rising rapidly, expected to exceed 4.5 trillion yuan in 2029 [3] - The US is discussing multiple options to acquire Greenland, including purchase, free - association agreement, and military means [3] Industry Information - Most money market interest rates rose. The weighted average interest rate of inter - bank pledged repurchase for the 1 - day, 7 - day, and 14 - day varieties increased, while the 1 - month variety decreased to a new low in over a month. The weighted average interest rate of inter - bank lending also showed mixed trends [3] - US Treasury bond yields rose across the board. The 2 - year, 3 - year, 5 - year, 10 - year, and 30 - year yields all increased to varying degrees [3] Comments and Strategies - Treasury bond futures prices were generally weak. The central bank's net withdrawal of reverse repurchases, short - term Shibor trends, overseas events, and economic data all had an impact. The new regulations on public fund sales and the central bank's policy orientation also affected the market. The current strong market risk preference led to weak Treasury bond futures prices, but the expectation of loose policies at the beginning of the year supported short - term Treasury bond futures prices [3]