2026年02月06日申万期货品种策略日报-国债-20260206

Group 1: Report Investment Rating - No relevant information about the industry investment rating is provided. Group 2: Core Viewpoints - The prices of treasury bond futures have stabilized due to factors such as the central bank's open - market operations, the Fed's monetary policy stance, the performance of economic data, and the volatility in equity and commodity markets. The central bank will continue to implement a moderately loose monetary policy in 2026, and there is still room for reserve requirement ratio cuts and interest rate cuts this year [3]. Group 3: Summary by Related Catalogs Futures Market - Price and Volume: The prices of treasury bond futures generally rose on the previous trading day. For example, the T2603 contract rose 0.07%. The trading volume and open - interest changes varied among different contracts. For instance, the open - interest of T2603 increased by 1378, while the open - interest of TS2603 decreased by 2659 [2]. - Arbitrage: The IRR of the CTD bonds corresponding to the main treasury bond futures contracts was at a low level, indicating no arbitrage opportunities [2]. Spot Market - Short - term Interest Rates: Short - term market interest rates showed mixed trends. SHIBOR7 - day interest rate decreased by 0.9bp, DR007 interest rate decreased by 0.32bp, and GC007 interest rate decreased by 1bp [2]. - Chinese Treasury Bond Yields: Yields of key - term Chinese treasury bonds showed mixed changes. The 10Y treasury bond yield decreased by 0.39bp to 1.82%, and the long - short (10 - 2) treasury bond yield spread was 36.44bp [2]. - Overseas Treasury Bond Yields: The 10Y US treasury bond yield decreased by 8bp, the 10Y German treasury bond yield decreased by 1bp, and the 10Y Japanese treasury bond yield decreased by 1.8bp [2]. Macro and Market News - Domestic: The central bank's open - market reverse repurchase had a net injection of 645 billion yuan, and the net injection of the central bank's open - market treasury bond trading in January expanded to 1000 billion yuan. The three major manufacturing PMIs in January showed a seasonal decline. The profit of industrial enterprises above the designated size in December increased by 5.3% year - on - year, and the annual fixed - asset investment decreased by 3.8% mainly due to the decline in real estate development investment [3]. - Overseas: The Fed paused its rate cuts after three consecutive 25 - basis - point cuts. The US 12 - month JOLTS job openings hit a five - year low. The European Central Bank kept the benchmark interest rate unchanged for the fifth consecutive time since June last year, and the Bank of England kept the benchmark interest rate at 3.75%, with four of the nine monetary policy committee members voting for a 25 - basis - point rate cut [3]. Market Performance - Domestic Bond Market: The yields of inter - bank market cash bonds decreased by about 1bp, and treasury bond futures closed higher across the board, with the 30 - year main contract rising 0.38% [3]. - US Bond Market: US bond yields declined collectively. For example, the 2 - year US bond yield fell 9.04 basis points to 3.457%, and the 10 - year US bond yield fell 9.34 basis points to 4.180% [3].