2026年02月10日申万期货品种策略日报-国债-20260210

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Treasury futures prices generally rose, and the 10-year treasury bond active bond yield declined to 1.795%. The central bank's open market reverse repurchase had a net injection of 38 billion yuan, and the short - end Shibor varieties mostly rose, but the overnight interest rate was below 1.3%. The central bank continued to expand the scale of open - market treasury bond trading operations, and the capital market remained loose before the Spring Festival. - After three consecutive 25 - basis - point interest rate cuts, the Fed paused. The market expects the new - nominated Fed chairman's monetary policy to be a unique combination of "interest rate cuts and balance - sheet reduction". The preliminary reading of the University of Michigan Consumer Confidence Index in February reached 57.3, the highest in six months, and US Treasury yields rebounded. - In January, the three major manufacturing PMIs showed a seasonal decline. In December, the profits of industrial enterprises above a designated size increased by 5.3% year - on - year, and the annual fixed - asset investment decreased by 3.8% year - on - year, mainly dragged down by the decline in real estate development investment. The real estate market is still in adjustment. - The Ministry of Finance said that in 2026, the fiscal deficit and total expenditure will remain at a necessary level. The central bank pointed out that in 2026, it will continue to implement a moderately loose monetary policy, and there is still some room for reserve requirement ratio cuts and interest rate cuts this year. The market capital is loose, and treasury futures prices continue to stabilize. It is recommended to operate cautiously before the festival [3]. 3. Summary by Relevant Catalogs Futures Market - Price and Volume: The prices of treasury futures generally rose. For example, the T2603 contract rose 0.06%. The trading volume and open interest of different contracts changed. For instance, the open interest of TS2603 decreased by 3,008, while that of TS2606 increased by 4,514 [2]. - Arbitrage: The IRR of the CTD bonds corresponding to the main treasury futures contracts was at a low level, and there were no arbitrage opportunities [2]. Spot Market - Short - term Market Interest Rates: Short - term market interest rates showed mixed trends. SHIBOR7 - day interest rate rose 7bp, DR007 interest rate rose 4.61bp, and GC007 interest rate rose 3.7bp [2]. - China's Key - term Treasury Yields: The yields of key - term treasury bonds generally declined. The 10Y treasury bond yield declined 0.46bp to 1.81%, and the long - short (10 - 2) treasury bond yield spread was 34.38bp [2]. Overseas Market - Overseas Key - term Treasury Yields: The US 10Y Treasury yield remained unchanged, the German 10Y Treasury yield rose 3bp, and the Japanese 10Y Treasury yield rose 5.3bp. The internal - external yield spreads also changed accordingly [2]. Macro and Policy Information - Central Bank Operations: On February 9, the central bank carried out 113 billion yuan of 7 - day reverse repurchase operations, with a net injection of 38 billion yuan [3]. - Policy Adjustments: The Shanghai, Shenzhen, and Beijing stock exchanges optimized a package of refinancing measures, focusing on high - quality listed companies and the science and technology innovation field. The Ministry of Finance and other three departments extended the tax - preferential policy for returned cross - border e - commerce export goods for two years until the end of 2027 [3]. - Economic Data and Expectations: The preliminary reading of the University of Michigan Consumer Confidence Index in February reached 57.3. The US employment growth data is expected to slow down, and the market expects about 70,000 new jobs in the January non - farm payroll report [3].