2026年01月13日申万期货品种策略日报-国债-20260113

1. Report's Investment Rating for the Industry - There is no information about the industry investment rating in the report. 2. Core View of the Report - The prices of Treasury bond futures showed mixed trends, with the T2603 contract rising 0.07% and its trading volume decreasing. The IRR of the CTD bonds corresponding to the main contracts was at a low level, indicating no arbitrage opportunities. Short - term market interest rates generally increased, and the yields of key - term Treasury bonds also fluctuated. The market risk preference increased, suppressing the bond market sentiment, and the prices of Treasury bond futures were generally weak under the stock - bond seesaw effect [2][3]. 3. Summary by Relevant Catalogs Futures Market - Prices and Changes: The closing prices of TS2603, TF2603, T2603, and TL2603 increased, while those of TS2606, TF2606, T2606, and TL2606 showed different changes. The T2603 contract rose 0.07%. The trading volume and open interest of each contract also changed, with the open interest of T2603 and TF2603 decreasing [2]. - Cross - period Spreads: The cross - period spreads of TS, TF, T, and TL contracts changed, with some spreads widening and some narrowing [2]. - IRR: The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. Spot Market - Short - term Market Interest Rates: Short - term market interest rates generally increased. SHIBOR 7 - day rate rose 1.2bp, DR007 rate rose 0.92bp, and GC007 rate rose 5.4bp [2]. - Key - term Treasury Bond Yields in China: The yields of key - term Treasury bonds showed mixed trends. The 10Y - term Treasury bond yield decreased 1.38bp to 1.87%, and the long - short (10 - 2) Treasury bond yield spread was 45.72bp [2]. - Key - term Treasury Bond Yields Overseas: The 10Y Treasury bond yield in the US rose 1bp, that in Germany rose 0bp, and that in Japan rose 1.3bp [2]. Macro News - Central Bank Operations: On January 12th, the central bank conducted 86.1 billion yuan of 7 - day reverse repurchase operations, with a net investment of 36.1 billion yuan after 50 billion yuan of repurchases matured [3]. - Policy Announcements: The State Council issued the "2026 First Batch of Key Matters List for 'Efficiently Completing One Thing'", and four departments jointly released work methods for government investment funds [3]. - International News: The US Department of Justice launched a criminal investigation into Fed Chairman Powell, which led to concerns about the Fed's independence and an increase in the prices of gold and silver [3]. Industry Information - Interest Rate Changes: On January 12th, most money market interest rates in China increased, and US Treasury bond yields also rose collectively [3]. Comment and Strategy - Market Analysis: The central bank's net investment, rising short - term interest rates, improved economic data, and increased market risk preference all put pressure on the bond market. Although there are expectations of loose policies at the beginning of the year, the prices of Treasury bond futures are generally weak under the stock - bond seesaw effect [3].