申万期货品种策略日报：国债-20260120

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided content. 2. Core View of the Report - The price of treasury bond futures fluctuated, with the T2603 contract down 0.02% and an increase in open interest. The IRR of CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term treasury bond yields at home and abroad also showed mixed trends. The price of treasury bond futures stabilized due to factors such as the central bank's implementation of a moderately loose monetary policy and the cooling of the equity market [2][3]. 3. Summary by Relevant Catalogs 3.1 Futures Market - Price and Volume Information: The closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 102.400, 102.428, 105.785, 105.815, 108.040, 107.980, 110.92, and 111.03 respectively. The price changes were 0.004, - 0.002, - 0.020, - 0.025, - 0.025, - 0.030, - 0.240, and - 0.260 respectively, with corresponding percentage changes of 0.00%, 0.00%, - 0.02%, - 0.02%, - 0.02%, - 0.03%, - 0.22%, and - 0.23%. The open interest was 69553, 7201, 141773, 21429, 234657, 20086, 141983, and 33744 respectively, with changes of - 600, 241, 1075, 111, - 2327, 768, 2030, and 991 respectively. The trading volumes were 23651, 730, 43774, 3593, 52248, 4918, 78148, and 9319 respectively [2]. - IRR and Arbitrage: The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. 3.2 Spot Market - Short - term Market Interest Rates: SHIBOR overnight, SHIBOR7 days, DR001, DR007, GC001, GC007, FR001, and FR007 were 1.3180, 1.4670, 1.3752, 1.5288, 1.5790, 1.5810, 1.39, and 1.54 respectively. The changes were - 0.7bp, - 0.3bp, 0.18bp, 1.51bp, 24.8bp, 4.4bp, - 1bp, and 1bp respectively [2]. - Chinese Key - term Treasury Bond Yields: The yields of 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y treasury bonds were 1.29%, 1.29%, 1.40%, 1.61%, 1.72%, 1.84%, 2.34%, and 2.38% respectively. The changes were - 0.55bp, 3.05bp, - 0.01bp, 0.29bp, 0.34bp, - 0.23bp, 0bp, and 7.2bp respectively. The 10 - 2Y, 10 - 5Y, 5 - 2Y, and 30 - 10Y yield spreads were 43.53bp, 31.72bp, 11.81bp, and 53.24bp respectively [2]. 3.3 Overseas Market - Overseas Key - term Treasury Bond Yields: The yields of US 2Y, US 5Y, US 10Y, US 30Y, German 2Y, German 10Y, Japanese 2Y, and Japanese 10Y treasury bonds were 3.59%, 3.82%, 4.24%, 4.83%, 2.080%, 2.900%, 1.230%, and 2.266% respectively. The changes were 3.0bp, 5.0bp, 7.0bp, 4.0bp, - 2.0bp, 1.0bp, 2.5bp, and 8.4bp respectively [2]. 3.4 Macro and Policy Information - Central Bank Operations: On January 19, the central bank conducted 1583 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.40%. With 861 billion yuan of reverse repurchases maturing on the same day, the net investment was 722 billion yuan [3]. - Economic Data: In 2025, China's GDP increased by 5% year - on - year to 140.19 trillion yuan. The added value of industries above the designated size increased by 5.9% year - on - year, the added value of the service industry increased by 5.4% and accounted for 57.7% of GDP, the total retail sales of consumer goods increased by 3.7% year - on - year, and fixed - asset investment decreased by 3.8% year - on - year, with real - estate development investment decreasing by 17.2% [3]. - Housing Price Data: In December 2025, in the secondary housing market, the prices of 70 large and medium - sized cities all declined month - on - month, with the decline in first - tier cities narrowing. In the new housing market, the decline in first - tier cities also narrowed, and Shanghai was the only first - tier city with both month - on - month and year - on - year price increases [3]. - Policy Direction: The central bank stated that in 2026, it would continue to implement a moderately loose monetary policy, increase counter - cyclical and cross - cyclical adjustment, and there was still room for reserve requirement ratio cuts and interest rate cuts [3]. - International Economic Outlook: The IMF raised the global economic growth forecast for 2026 by 0.2 percentage points to 3.3% and also raised the economic growth forecasts for China, the US, the Eurozone, and Japan [3].