2026年02月05日申万期货品种策略日报-国债-20260205

Report Industry Investment Rating - Not provided Core Viewpoints - The prices of Treasury bond futures generally declined in the previous trading day, with the T2603 contract down 0.02% and the open interest decreasing. The IRR of CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term Treasury bond yields at home and abroad also fluctuated differently. Amid various macro - news and market conditions, Treasury bond futures prices have stabilized [2][3] Summary by Relevant Catalogs Futures Market - Price and Volume: The previous trading day saw a general decline in Treasury bond futures prices, such as the T2603 contract down 0.02%. The open interest of some contracts decreased, like T2603 with a reduction of 8950, while others increased, like TS2606 with an increase of 959. Trading volumes varied across contracts [2] - Arbitrage Situation: The IRR of CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, indicating no arbitrage opportunities [2] Spot Market - Short - term Market Interest Rates: Short - term market interest rates showed mixed trends, with SHIBOR7 - day rate down 1.5bp, DR007 rate up 0.43bp, and GC007 rate down 2bp [2] - Domestic Key - term Treasury Bond Yields: Key - term Treasury bond yields at home showed mixed changes. The 10Y - term Treasury bond yield rose 0.24bp to 1.82%, and the long - short (10 - 2) Treasury bond yield spread was 38.41bp [2] - Overseas Key - term Treasury Bond Yields: The US 10Y Treasury bond yield rose 1bp, the German 10Y Treasury bond yield rose 0bp, and the Japanese 10Y Treasury bond yield fell 0.9bp [2] Macro News - Central Bank Operations: On February 4, the central bank conducted 750 billion yuan of 7 - day reverse repurchase operations at a fixed - rate, quantity - tender method, and 3775 billion yuan of reverse repurchases matured on the same day, resulting in a net withdrawal of 3025 billion yuan [3] - International Relations: Chinese President Xi Jinping had a phone call with US President Trump, emphasizing the importance of the Taiwan issue. He also had a video meeting with Russian President Putin, stating that China and Russia should promote fairness and justice in the international community [3] - Financial Policy Meetings: The People's Bank of China held a 2026 credit market work conference, requiring enhanced financial services for key areas. The Shanghai headquarters of the central bank held a financial situation analysis meeting, putting forward requirements for credit growth, policy implementation, etc [3] - US Financial News: US President Trump said that a rate cut was almost certain. The US Treasury announced its quarterly refinancing plan, maintaining the issuance scale of medium - and long - term bonds, with a total of 125 billion US dollars of bonds to be issued this quarter [3] Industry Information - Interest Rate Changes: Most money - market interest rates in China rose, and US Treasury bond yields showed mixed trends. The 10 - year Treasury bond active bond yield in China rose to 1.808%, and the central bank's net withdrawal in the open - market reverse repurchase was 3025 billion yuan [3] Comments and Strategies - Market Analysis: The central bank's net withdrawal of funds, Shibor short - term varieties mostly rising, and the relatively stable pre - Spring Festival capital situation. The Fed's pause in rate cuts, the market's expectation of a "rate - cut and balance - sheet reduction parallel" policy in the US, and the rise of the US 1 - month ISM manufacturing PMI index. In China, the three major manufacturing PMIs showed a seasonal decline in January, and industrial enterprise profits and fixed - asset investment had different performance. The government's fiscal and monetary policies contributed to the stabilization of Treasury bond futures prices [3]