2026年国债期货白皮书：宏观继续稳增长，利率延续震荡市

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The global economy is expected to maintain steady growth in 2026, similar to 2025. Developed countries will keep stable economic growth, and developing countries will also maintain a relatively stable growth rate. Global geopolitics may ease [3][57]. - China's economic growth rate in 2026 may slow slightly compared to 2025, with the full - year growth rate likely ranging from 4.5% - 5.0%. The marginal effect of the "two - new" policies will diminish, real estate investment may continue to decline, and export growth may fall slightly compared to 2025 [3][57]. - China's monetary policy in 2026 is expected to remain generally loose. There is a possibility of a small - scale interest rate cut, and the probability of raising policy interest rates is low. The short - end of the Treasury yield curve may continue to decline, while the long - end and ultra - long - end may remain horizontally volatile, making band trading suitable for Treasury futures [3][70][90]. 3. Summary According to the Table of Contents 3.1 First Part: Treasury Futures Contracts and Delivery System - China Financial Futures Exchange has four listed Treasury futures varieties: 2 - year, 5 - year, 10 - year, and 30 - year. Each has specific contract elements such as contract value, minimum price change, daily price limit, minimum margin, and deliverable bond maturity [13][14]. - Treasury futures contracts have common elements including trading hours, last trading day, last delivery day, delivery method, contract months, and quotation methods. The delivery process includes rolling delivery and centralized delivery. The price of Treasury futures is mainly affected by spot prices, which are influenced by factors such as money supply, macro - economic policies, and supply - and - demand [16][17][18]. 3.2 Second Part: Treasury Yield and Futures Market Review in 2025 - Over the past 10 years, the 10 - year Treasury yield has shown different trends due to factors such as nominal economic growth, inflation, and the COVID - 19 pandemic. In 2024 - 2025, due to low inflation and loose monetary policies, the yield continued to decline [23][26]. - In 2025, Treasury futures prices fluctuated due to factors such as central bank policies, A - share market performance, and international trade relations. The market first rose, then fell, and rebounded later [3][27]. - In 2025, the cumulative trading volume of 30 - year Treasury futures was 30.46 million lots, 10 - year was 21.85 million lots, 5 - year was 16.80 million lots, and 2 - year was 9.66 million lots. The total annual trading volume was 97 trillion yuan, a 44% year - on - year increase. By the end of December, the 10 - year Treasury futures had the largest open interest, followed by the 30 - year, 5 - year, and 2 - year. The total open - interest amount was about 726 billion yuan [35]. 3.3 Third Part: Macroeconomic Review and Outlook - China's GDP grew by 5.0% in 2025, achieving the target set by the Two Sessions [3][38]. - In 2025, national fixed - asset investment decreased by 3.8% year - on - year. General infrastructure investment decreased by 1.5%, manufacturing investment increased by 0.6%, and real estate development investment decreased by 17.2%. In 2026, manufacturing investment may maintain low - single - digit growth, and real estate investment is likely to continue to decline [40][43]. - In 2025, the total retail sales of consumer goods was 50.1202 trillion yuan, a 3.7% year - on - year increase. In 2026, fiscal policies may continue to promote consumption, and the total retail sales growth rate is expected to be about 4.5% [46][48]. - In 2025, China's total export value was $3.77 trillion, a 5.5% year - on - year increase, and the import value was $2.58 trillion, remaining flat. In 2026, export growth may decline slightly [51][57]. - In 2025, the CPI remained flat compared to the previous year, and the PPI decreased by 2.6%. In 2026, CPI may have a moderate increase of about 0.5%, and the year - on - year decline of PPI is expected to narrow significantly [54]. 3.4 Fourth Part: Analysis of Treasury Supply and Demand - China's fiscal deficit rate has generally increased since 2012. In 2025, the target deficit rate was raised to 4%. In 2026, more active fiscal policies will be continued, including boosting consumption, expanding investment, supporting innovation, and strengthening social security [58][60][62]. - In 2025, the central bank cut the reserve requirement ratio by 0.5 percentage points and the 7 - day reverse repurchase rate by 10 basis points. The open - market Treasury trading operation was restarted in October. In 2026, the central bank will maintain liquidity and guide market interest rates [66][67][69]. 3.5 Fifth Part: Outlook for Treasury Futures Trends - In 2026, China's monetary policy will remain loose. The short - end of the Treasury yield curve may decline, and the long - end and ultra - long - end may remain horizontally volatile. The probability of a slightly bull - steep yield curve is high [70][72]. - The 10 - year Treasury yield in 2026 is expected to fluctuate between 1.5% - 2.0% [73]. 3.6 Sixth Part: Analysis and Outlook for Treasury Futures Arbitrage Opportunities - Curve strategy: When the spread between the 30 - year and 10 - year Treasury yields is around 0.15% or lower, consider going long on the spread. Also, when the yield curve is likely to steepen, consider going long on 2*TS - T [76][77][79]. - Spot - futures strategy: When the implied repo rate (IRR) of the Treasury futures main contract exceeds the 3 - month interbank certificate of deposit yield, there is an opportunity for positive arbitrage. When IRR is significantly lower than the funding rate minus the bond - borrowing cost, the value of reverse arbitrage is prominent. Also, consider trading based on the relationship between the Treasury futures price and the basis [81][83]. - Inter - delivery - month strategy: There may be arbitrage opportunities in the inter - delivery - month spread near the delivery month. For example, in 2025, there were opportunities to short TL00 - TL01 when it exceeded 0.30 yuan [86]. 3.7 Seventh Part: Treasury Futures Hedging Case - In October 2025, an insurance company expected new premiums in January 2026. To avoid the risk of rising Treasury prices, it bought Treasury futures with the same amount expiring in three months. After the funds arrived, it could choose to buy Treasury bonds in the spot market and close the long - position in the futures market or take delivery at maturity [89]. 3.8 Eighth Part: Conclusion and Operational Suggestions - In the first half of 2026, the Fed is likely to continue cutting interest rates, and China's monetary policy may also cut interest rates. The inflation level in 2026 is expected to rise compared to 2025. Band trading is suitable for Treasury futures [90].