2026年03月03日申万期货品种策略日报-国债-20260303

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - The prices of treasury bond futures generally rose, with the T2606 contract up 0.12% and an increase in open interest. The IRR of the 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. Key - term treasury bond yields in China generally declined, and overseas key - term treasury bond yields also changed. The escalation of the Middle East situation has a short - term positive impact on the US dollar and the prices of treasury bond futures. The central bank's open - market operations and the policy combination of a more active fiscal policy and a moderately loose monetary policy also affect the market [2][3] 3. Summary by Related Catalogs 3.1 Futures Market - Price and Volume: The prices of various treasury bond futures contracts rose, with T2606 up 0.12%. The open interest of T2606 increased by 10738, while that of TL2606 decreased by 3208. The trading volume of each contract also showed different trends [2] - IRR: The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, and there were no arbitrage opportunities [2] 3.2 Spot Market - Short - term Market Interest Rates: SHIBOR7 - day interest rate decreased by 3.4bp, DR007 interest rate increased by 2.45bp, and GC007 interest rate decreased by 4.8bp [2] - China's Key - term Treasury Bond Yields: Key - term treasury bond yields generally declined, with the 10Y treasury bond yield down 4.3bp to 1.78%. The 10 - 2 year treasury bond yield spread was 34.68bp [2] 3.3 Overseas Market - Overseas Key - term Treasury Bond Yields: The 10Y US treasury bond yield increased by 8bp, the 10Y German treasury bond yield decreased by 3bp, and the 10Y Japanese treasury bond yield decreased by 4.5bp [2] 3.4 Macro News - Central Bank Operations: On March 2, the central bank carried out 190 billion yuan of 7 - day reverse repurchase operations, with a net investment of 190 billion yuan [3] - Diplomatic News: There were diplomatic interactions regarding the Middle East situation, including statements from the Chinese Ministry of Foreign Affairs, phone calls between Chinese and foreign ministers, and statements from the US and Iranian leaders [3] 3.5 Industry Information - Interest Rates: Most money - market interest rates showed mixed trends. US treasury bond yields rose across the board [3] 3.6 Comment and Strategy - The prices of treasury bond futures were generally supported by factors such as the central bank's open - market operations, the policy combination, and the escalation of the Middle East situation. Attention should be paid to policies to be introduced in the Two Sessions [3]