2026年01月27日申万期货品种策略日报-国债-20260127

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints - The prices of Treasury bond futures showed mixed trends, and the T2603 contract decreased by 0.01% with an increase in open interest. The IRRs of CTD bonds corresponding to major Treasury bond futures contracts were at low levels, indicating no arbitrage opportunities. Short - term market interest rates generally increased, and the yields of key - term Treasury bonds also showed mixed trends. The 10Y Treasury bond yield dropped by 0.87bp to 1.83%, and the long - short (10 - 2) Treasury bond yield spread was 40.57bp. Overseas, the 10Y Treasury bond yields of the US, Germany, and Japan all declined [2]. - The 10 - year Treasury bond active bond yield dropped to 1.816%. The central bank conducted a net reverse - repurchase withdrawal of 7.8 billion yuan. Shibor short - term varieties mostly increased, and the money market remained relatively stable. The US GDP in Q3 2025 had a final annualized quarter - on - quarter growth of 4.4%, higher than the initial value. The Japanese bonds stabilized, and the US bond yields rose first and then fell. The 2025 GDP growth target of 5% was achieved as scheduled, but there were slowdowns in some economic data. The Ministry of Finance and the central bank announced relevant policies, and the Treasury bond futures prices stabilized [3]. 3. Summary by Relevant Catalogs Futures Market - Prices and Changes: The closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 102.392, 102.416, 105.850, 105.895, 108.180, 108.180, 112.51, and 112.68 respectively. The price changes were - 0.026, - 0.034, - 0.030, - 0.005, - 0.015, - 0.005, 0.210, and 0.210, with corresponding percentage changes of - 0.03%, - 0.03%, - 0.03%, 0.00%, - 0.01%, 0.00%, 0.19%, and 0.19% [2]. - Open Interest and Volume: The open interests of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 67591, 7715, 146300, 32282, 246340, 29448, 141712, and 37434 respectively. The trading volumes were 29013, 2055, 47329, 6291, 59708, 7785, 72096, and 7627 respectively. The changes in open interest were - 1505, 711, - 905, 1370, - 1394, 1879, 1223, and 838 respectively [2]. - Inter - period Spreads: The inter - period spreads of TS, TF, T, and TL were - 0.024, - 0.045, 0.000, and - 0.170, with previous values of - 0.032, - 0.020, 0.010, and - 0.170 respectively [2]. - IRR of CTD Bonds: The IRRs of CTD bonds corresponding to major contracts were 1.329, 1.4849, 1.3355, 1.5361, 1.3663, 1.4884, 1.3571, and 1.3439 respectively, indicating no arbitrage opportunities [2]. Spot Market - Short - term Market Interest Rates: SHIBOR overnight, SHIBOR7 days, DR001, DR007, GC001, GC007, FR001, and FR007 had yesterday's values of 1.4200, 1.5430, 1.4898, 1.6245, 1.4210, 1.6160, 1.51, and 1.64 respectively, with an increase of 2.4bp, 5.2bp, 2.44bp, 8.85bp, 4.6bp, 3.5bp, 1bp, and 9bp respectively compared to the previous day [2]. - Yields of Chinese Key - term Treasury Bonds: The yields of 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y Treasury bonds were 1.29, 1.29, 1.40, 1.60, 1.70, 1.83, 2.27, and 2.27 respectively, with changes of - 0.01bp, 1.42bp, 0.88bp, 0.08bp, 0.28bp, - 0.87bp, - 0.5bp, and - 1.9bp respectively. The yield spreads of 10 - 2, 10 - 5, 5 - 2, and 30 - 10 were 40.57bp, 29.55bp, 11.02bp, and 44.40bp respectively [2]. Overseas Market - Yields of Overseas Key - term Treasury Bonds: The yields of US 2Y, US 5Y, US 10Y, US 30Y, German 2Y, German 10Y, Japanese 2Y, and Japanese 10Y Treasury bonds were 3.56, 3.82, 4.22, 4.80, 2.110, 2.940, 1.277, and 2.236 respectively, with changes of - 4.0bp, - 2.0bp, - 2.0bp, - 2.0bp, - 2.0bp, - 2.0bp, 1.5bp, and - 1.7bp respectively. The internal - external yield spreads were - 215.9bp, - 222.4bp, - 239.5bp, - 253.1bp, - 70.9bp, - 111.5bp, 12.4bp, and - 41.1bp respectively [2]. Macro News and Information - Central Bank Operations: On January 26, the central bank conducted 150.5 billion yuan of 7 - day reverse - repurchase operations, with an operation rate of 1.40%. The net withdrawal was 7.8 billion yuan [3]. - Economic Data: The US GDP in Q3 2025 had a final annualized quarter - on - quarter growth of 4.4%, higher than the initial value. China's 2025 GDP growth target of 5% was achieved as scheduled. In December, the year - on - year growth rate of social retail sales slowed down to 0.9%, the added value of industrial enterprises above the designated size increased by 5.2% year - on - year, and the annual fixed - asset investment decreased by 3.8% year - on - year, mainly dragged down by real estate development investment [3]. - Policy Announcements: The Ministry of Finance stated that in 2026, the fiscal deficit and expenditure volume would remain at a necessary level. The central bank pointed out that in 2026, it would continue to implement a moderately loose monetary policy, with a certain space for reserve requirement ratio cuts and interest rate cuts this year, and announced a 0.25 - percentage - point reduction in the interest rates of various structural monetary policy tools [3]. - Other News: Policies to expand inbound consumption, start the construction of national digital trade demonstration zones, and optimize the implementation of consumer goods replacement will be introduced. The bond connect company expanded its service scope to support overseas investors' cross - border repurchase and offshore RMB bond repurchase business. The US threatened to impose 100% tariffs on Canadian imports if Canada reached a new trade agreement with China [3].