2026年02月02日申万期货品种策略日报-国债-20260202

Report Industry Investment Rating - Not provided Core Viewpoints - The prices of Treasury bond futures showed mixed trends, with the T2603 contract rising 0.06% and its open interest increasing. The IRR of CTD bonds corresponding to the main contracts of Treasury bond futures were at a low level, with no arbitrage opportunities. Short - term market interest rates also showed mixed trends, and the yields of key - term Treasury bonds at home and abroad were also mixed. Due to factors like central bank policies, economic data, and potential changes in Fed policies, Treasury bond futures prices have stabilized [2][3] Summary by Relevant Catalogs Futures Market - Prices and Changes: The closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 102.394, 102.418, 105.890, 105.920, 108.310, 108.310, 111.92, and 112.04 respectively. Their price changes were 0.000, - 0.010, 0.015, 0.010, 0.060, 0.055, - 0.250, and - 0.260, with corresponding percentage changes of 0.00%, - 0.01%, 0.01%, 0.01%, 0.06%, 0.05%, - 0.22%, and - 0.23%. The open interest of the contracts were 66252, 9944, 138897, 41141, 260856, 38227, 134801, and 43929, and the changes in open interest were 205, 293, - 325, 3584, 2252, 3821, - 1593, and 890. The trading volumes were 27498, 1747, 52879, 8129, 68999, 12230, 99361, and 13232 [2] - Cross - period Spreads: The cross - period spreads of TS, TF, T, and TL were - 0.024, - 0.030, 0.000, and - 0.120, compared to the previous values of - 0.034, - 0.0350, - 0.0050, and - 0.1300 [2] - IRR of CTD Bonds: The IRR of CTD bonds corresponding to the main contracts were 1.1521, 1.3421, 1.375, 1.4431, 1.2696, 1.381, 0.8513, and 0.4079, indicating no arbitrage opportunities [2] Spot Market - Short - term Market Interest Rates: SHIBOR overnight, SHIBOR7 days, DR001, DR007, GC001, GC007, FR001, and FR007 were 1.3280, 1.5800, 1.5086, 1.6401, 1.6290, 1.6140, 1.6, and 1.64 respectively. Their changes were - 4bp, 0.8bp, 7.05bp, 1.56bp, 6.8bp, 0.1bp, 14bp, and 2bp [2] - Domestic Key - term Treasury Bond Yields: The yields of 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y Treasury bonds were 1.29%, 1.30%, 1.38%, 1.58%, 1.68%, 1.81%, 2.30%, and 2.29%. The changes were - 2.49bp, 0.02bp, - 0.43bp, - 0.23bp, - 0.95bp, - 0.97bp, 1bp, and 0.5bp. The yield spreads of 10 - 2, 10 - 5, 5 - 2, and 30 - 10 were 38.10bp, 29.39bp, 8.71bp, and 47.47bp [2] - Overseas Key - term Treasury Bond Yields: The yields of US 2Y, 5Y, 10Y, 30Y, German 2Y, 10Y, Japanese 2Y, and 10Y Treasury bonds were 3.52%, 3.79%, 4.26%, 4.87%, 2.070%, 2.920%, 1.251%, and 2.247%. The changes were - 1.0bp, - 1.0bp, 2.0bp, 2.0bp, 0.0bp, 0.0bp, - 1.3bp, and - 0.5bp. The internal - external yield spreads were - 213.6bp, - 221.4bp, - 245.0bp, - 258.5bp, - 68.6bp, - 111.0bp, 13.3bp, and - 43.7bp [2] Macroeconomic News - Central Bank Operations: On January 30, the central bank conducted 477.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%. With 125 billion yuan of reverse repurchases maturing, the net injection was 352.5 billion yuan. This week, 1.7615 trillion yuan of reverse repurchases will mature, and 700 billion yuan of 91 - day repurchase - style reverse repurchases will mature on Wednesday [3] - PMI Data: The official manufacturing PMI in January was 49.3%, a 0.8 - percentage - point decrease from the previous month; the non - manufacturing PMI was 49.4%, a 0.8 - percentage - point decrease; the composite PMI output index was 49.8%, a 0.9 - percentage - point decrease [3] - Policy - related News: The Politburo of the CPC Central Committee held the 24th collective study session on forward - looking layout and development of future industries. President Xi Jinping's important article on building a financial power will be published in Qiushi Journal. US President Trump nominated Kevin Warsh as the next Fed Chair, but there are obstacles to the nomination [3] Industry Information - Money Market Interest Rates: On January 30, most money market interest rates declined. The weighted average interest rate of inter - bank pledged repurchases and inter - bank lending showed different trends for different tenors [3] - US Treasury Bond Yields: Yields of US Treasury bonds showed mixed trends, with the 2 - year yield down 2.85bp, 3 - year down 3.35bp, 5 - year down 2.42bp, 10 - year up 0.62bp, and 30 - year up 1.75bp [3] Comments and Strategies - The central bank's net injection this week was 580.5 billion yuan. Shibor short - end varieties showed differentiation, and the money market remained stable before the Spring Festival. The Fed maintained the benchmark interest rate, and there are expectations of a unique policy combination if Kevin Warsh becomes the Fed Chair. The 2025 GDP growth target was achieved as scheduled, but the real estate market is still adjusting. The Ministry of Finance and the central bank have announced policies, and due to increased volatility in the equity and commodity markets, Treasury bond futures prices have stabilized [3]