2026年01月12日申万期货品种策略日报-国债-20260112

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