2026年03月12日申万期货品种策略日报：国债-20260312

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The prices of treasury bond futures generally declined in the previous trading session, with the T2606 contract down 0.04% and its open interest decreasing. The IRR of CTD bonds corresponding to the main contracts of various treasury bond futures was at a low level, indicating no arbitrage opportunities. Short - term market interest rates showed mixed trends, with the SHIBOR 7 - day rate rising 2.8bp, the DR007 rate rising 0.57bp, and the GC007 rate falling 0.4bp. Key - term treasury bond yields at home and abroad also showed mixed trends, with the 10Y domestic treasury bond yield rising 0.46bp to 1.81%, and the US 10Y and German 10Y treasury bond yields rising while the Japanese 10Y treasury bond yield falling. Looking ahead, short - term treasury bond futures prices are still supported, but long - term treasury bond futures prices are under pressure due to rising inflation expectations [2][3] 3. Summary by Relevant Catalogs Futures Market - Prices and Changes: The previous trading session saw widespread declines in treasury bond futures prices. The TS2606, TS2609, TF2606, TF2609, T2606, T2609, TL2606, and TL2609 contracts fell by - 0.01%, - 0.02%, - 0.03%, - 0.04%, - 0.04%, - 0.03%, - 0.22%, and - 0.20% respectively [2] - Open Interest and Volume: The open interest of TS2606, TS2609, TF2609, T2609, TL2606, and TL2609 increased by 671, 52, 212, 616, 665, and 537 respectively, while that of TF2606 and T2606 decreased by 246 and 3836 respectively. The trading volumes of TS2606, TS2609, TF2606, TF2609, T2606, T2609, TL2606, and TL2609 were 28051, 212, 54976, 1303, 59789, 2155, 70320, and 5182 respectively [2] - Inter - period Spreads: The inter - period spreads of TS, TF, T, and TL were - 0.024, 0.165, 0.010, and 0.230 respectively, compared with the previous values of - 0.038, 0.1550, 0.0200, and 0.2500 [2] - IRR: The IRR of the CTD bonds corresponding to the main contracts of various treasury bond futures was at a low level, with no arbitrage opportunities [2] Spot Market - Domestic Treasury Bond Yields: Key - term domestic treasury bond yields showed mixed trends. The 6M and 1Y yields remained unchanged, while the 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y yields rose by 0.27bp, 0.66bp, 0.26bp, 0.46bp, 1.25bp, and 1.1bp respectively. The 10 - 2Y yield spread was 40.42bp [2] - Overseas Treasury Bond Yields: The US 2Y, 5Y, 10Y, and 30Y treasury bond yields rose by 7.0bp, 6.0bp, 6.0bp, and 8.0bp respectively; the German 2Y and 10Y treasury bond yields rose by 7.0bp and 5.0bp respectively; the Japanese 2Y and 10Y treasury bond yields fell by - 0.5bp and - 2.1bp respectively [2] Macro and Market Analysis - Market Environment: The 10 - year treasury bond active bond yield rose to 1.8175%. The central bank's open - market reverse repurchase had a net withdrawal of 140 billion yuan. Shibor short - term varieties were differentiated, and the money market remained relatively stable. The US February 2026 non - farm payrolls decreased by 92,000, far lower than expected, and the unemployment rate reached a new high since December 2025. Due to the tense situation in the Middle East, global risk - aversion sentiment increased, the passage of the Strait of Hormuz was restricted, leading to a sharp rise in crude oil prices and pushing up inflation expectations. The yields of US treasury bonds rose, and market volatility increased [3] - Domestic Economic Situation: China's foreign trade returned to double - digit growth in the first two months of this year. Affected by the Spring Festival, rising international commodity prices, rapid growth in domestic demand in some industries, and the continuous effectiveness of macro policies, the month - on - month and year - on - year increases in CPI and PPI exceeded expectations. The scale of government bonds in the government work report was the largest in recent years, and the monetary policy continued to flexibly and efficiently use various policy tools such as reserve requirement ratio cuts and interest rate cuts to maintain ample liquidity [3] - Outlook: The economic growth target in the government work report was slightly lowered. The central bank still had room for reserve requirement ratio cuts and interest rate cuts, and MLF was renewed with an increased volume to ensure ample liquidity. The volatility of the equity market increased, which still provided some support for short - term treasury bond futures prices. However, the CPI and PPI data in February were better than expected, and the sharp rise in commodity prices such as crude oil pushed up market inflation expectations, putting pressure on long - term treasury bond futures prices [3]