2026年01月22日申万期货品种策略日报-国债-20260122

Report Industry Investment Rating - Not provided in the report Core View - The prices of Treasury bond futures showed mixed trends, with the T2603 contract rising 0.02% and its open interest increasing. The IRR of the CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, with no arbitrage opportunities. Short - term market interest rates also showed mixed trends. Key - term Treasury bond yields at home and abroad had different changes, and the prices of Treasury bond futures stabilized due to factors such as central bank policies and macro - economic conditions [2][3] Summary by Relevant Catalogs Futures Market - Yesterday's closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 102.430, 102.462, 105.880, 105.875, 108.200, 108.190, 112.25, and 112.36 respectively. The price changes were - 0.014, - 0.008, 0.005, - 0.005, 0.020, 0.085, 0.760, and 0.760, with corresponding percentage changes of - 0.01%, - 0.01%, 0.00%, 0.00%, 0.02%, 0.08%, 0.68%, and 0.68%. Open interest and trading volume varied, and open - interest changes were - 1054, - 262, - 194, 2516, 1698, 2880, - 78, and 1594 respectively [2] - The cross - term spreads of TS, TF, T, and TL were - 0.032, 0.005, 0.010, and - 0.110 respectively, with previous values of - 0.026, - 0.0050, 0.0750, and - 0.1100 [2] - The IRR of the active CTD bonds for each main contract was 1.5505, 1.5706, 1.6019, 1.5664, 1.6297, 1.6116, 1.9417, and 1.4765, and there were no arbitrage opportunities [2] Spot Market - Short - term market interest rates showed mixed trends. SHIBOR 7 - day rate rose 0.5bp, DR007 rate fell 0.33bp, and GC007 rate fell 1.7bp [2] - Key - term Chinese Treasury bond yields also showed mixed trends. The 10Y Treasury bond yield rose 0.57bp to 1.83%, and the long - short (10 - 2) Treasury bond yield spread was 41.78bp [2] - Overseas key - term Treasury bond yields changed. The US 10Y Treasury bond yield fell 4bp, the German 10Y Treasury bond yield fell 2bp, and the Japanese 10Y Treasury bond yield fell 5bp [2] Macro News - On January 21, the central bank conducted 363.5 billion yuan of 7 - day reverse repurchase operations, with a net injection of 122.7 billion yuan after 240.8 billion yuan of reverse repurchases matured [3] - The Minister of Housing and Urban - Rural Development said that the focus in urban renewal this year is on three aspects, and efforts will be made to stabilize the real estate market and build basic systems [3] - The US Trade Representative expressed hope for another round of potential trade negotiations with China, and the Chinese Foreign Ministry responded [3] - The People's Bank of China held a payment and settlement work meeting in 2026, putting forward requirements for payment and settlement work [3] - The Ministry of Finance and other three departments extended the tax policy for the pilot stage of innovative enterprise CDRs to December 31, 2027 [3] - The US President reached an agreement framework on the Greenland issue with the NATO Secretary - General, and the US stock market rose while spot silver fell [3] Industry Information - On January 21, most money - market interest rates rose. The weighted average interest rate of inter - bank pledged repurchase and inter - bank lending had different changes in different tenors [3] - US Treasury bond yields fell collectively, with different declines in 2 - year, 3 - year, 5 - year, 10 - year, and 30 - year yields [3] Comment and Strategy - Long - term Treasury bonds rose, and the yield of the 10 - year active Treasury bond rose to 1.823%. The central bank's net injection of reverse repurchases, stable LPR in January, and other factors affected the market. The market risk appetite declined, US Treasury bond yields fell, and the real estate market was still in adjustment [3] - In 2025, the GDP growth target of 5% was achieved as scheduled. In December, the year - on - year growth rate of social retail sales slowed down, and the year - on - year growth rate of industrial added value of large - scale industries increased. The annual fixed - asset investment decreased year - on - year, mainly dragged down by real - estate development investment [3] - The Ministry of Finance said that the fiscal deficit, total debt, and total expenditure in 2026 would remain at necessary levels, and the central bank would continue to implement a moderately loose monetary policy, with room for reserve - requirement ratio cuts and interest - rate cuts, leading to the stabilization of Treasury bond futures prices [3]