2026年02月03日申万期货品种策略日报-国债-20260203

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - The prices of Treasury bond futures showed mixed trends, with the T2603 contract falling 0.06% and its trading volume decreasing. The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, indicating no arbitrage opportunities. Short - term market interest rates also showed mixed trends, with SHIBOR7, DR007, and GC007 rates declining. Key - term Treasury bond yields in China were mixed, with the 10Y Treasury bond yield rising 0.79bp to 1.82%. Overseas, the 10Y US Treasury bond yield rose 3bp, the 10Y German Treasury bond yield remained unchanged, and the 10Y Japanese Treasury bond yield fell 1.2bp. Due to factors such as the central bank's open - market operations, Fed's policy, and economic data, Treasury bond futures prices have stabilized [2][3] 3. Summary by Directory 3.1 Futures Market - Prices and Changes: The closing prices of TS2603, TS2606, TF2603, TF2606, T2603, and T2606 decreased, while those of TL2603 and TL2606 increased. The price changes were - 0.004, - 0.010, - 0.030, - 0.025, - 0.060, - 0.100, 0.140, and 0.160 respectively, with corresponding percentage changes of 0.00%, - 0.01%, - 0.03%, - 0.02%, - 0.06%, - 0.09%, 0.13%, and 0.14% [2] - Trading Volume and Open Interest: The trading volumes were 33674, 3970, 57350, 10522, 78497, 20309, 116697, and 17233 respectively. The open interests were 63614, 10586, 130539, 43446, 256467, 45727, 130181, and 46089 respectively. The changes in open interests were - 2638, 642, - 8358, 2305, - 4389, 7500, - 4620, and 2160 respectively [2] - Inter - delivery Spread: The inter - delivery spreads of TS, TF, T, and TL were - 0.018, - 0.035, 0.040, and - 0.140 respectively, compared with previous values of - 0.024, - 0.030, 0.000, and - 0.120 [2] - IRR: The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures were 1.1375, 1.365, 1.3435, 1.4487, 1.4027, 1.3704, 0.4891, and 1.5034 respectively, indicating no arbitrage opportunities [2] 3.2 Spot Market - Short - term Market Interest Rates: SHIBOR overnight was 1.3650%, up 3.7bp; SHIBOR7 was 1.4850%, down 9.5bp; DR001 was 1.4341%, down 7.45bp; DR007 was 1.5427%, down 9.74bp; GC001 was 1.7290%, up 10bp; GC007 was 1.6060%, down 0.8bp; FR001 was 1.46%, down 14bp; FR007 was 1.55%, down 9bp [2] - China's Key - term Treasury Bond Yields: The yields of 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y Treasury bonds were 1.28%, 1.30%, 1.38%, 1.57%, 1.69%, 1.82%, 2.29%, and 2.28% respectively, with changes of - 0.94bp, 0.63bp, 0.02bp, - 0.19bp, 0.96bp, 0.79bp, - 1bp, and - 0.5bp respectively. The 10 - 2Y yield spread was 38.43bp [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 3.57%, 3.83%, 4.29%, 4.90%, 2.080%, 2.920%, 1.265%, and 2.235% respectively, with changes of 5.0bp, 4.0bp, 3.0bp, 3.0bp, 1.0bp, 0.0bp, 1.4bp, and - 1.2bp respectively. The internal - external yield spreads were - 218.6bp, - 225.6bp, - 247.2bp, - 262.0bp, - 69.6bp, - 110.2bp, 11.9bp, and - 41.7bp respectively [2] 3.3 Macro and Policy - The central bank's open - market reverse repurchase had a net withdrawal of 755 billion yuan. The Fed maintained the benchmark interest rate at 3.50% - 3.75% and paused after three consecutive 25 - basis - point rate cuts. The US 1 - month ISM manufacturing PMI index rose to 52.6%, much higher than expected. The three major manufacturing PMIs in January showed a seasonal decline. The profits of industrial enterprises above a designated size in December increased by 5.3% year - on - year, and the annual fixed - asset investment decreased by 3.8% year - on - year, mainly dragged down by real estate development investment. The Ministry of Finance stated that the fiscal deficit and expenditure in 2026 would remain at a necessary level, and the central bank pointed out that it would continue to implement a moderately loose monetary policy, with room for reserve requirement ratio cuts and interest rate cuts this year [3]