2026年03月13日申万期货品种策略日报：国债-20260313

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The prices of treasury bond futures generally rose in the previous trading day, with the T2606 contract rising 0.05% and its trading volume decreasing. 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, and the yields of key - term treasury bonds also fluctuated. Looking ahead, the short - term treasury bond futures prices are still supported, while the long - term treasury bond futures prices are under pressure [2][3] Summary by Relevant Catalogs Futures Market - Price and Volume: The prices of TS2606, TS2609, TF2606, TF2609, T2606, T2609, TL2606, and TL2609 all rose, with increases of 0.024, 0.018, 0.025, 0.025, 0.050, 0.045, 0.160, and 0.090 respectively, and the corresponding increases were 0.02%, 0.02%, 0.02%, 0.02%, 0.05%, 0.04%, 0.14%, and 0.08%. The trading volumes were 27647, 245, 57220, 1494, 76637, 2870, 85737, and 8021 respectively, and the changes in open interest were 398, 100, 1095, 288, - 2890, - 88, - 1657, and - 551 respectively [2] - Arbitrage Analysis: The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, with no arbitrage opportunities [2] Spot Market - Short - term Market Interest Rates: SHIBOR7 - day interest rate rose 0.5bp, DR007 interest rate rose 0.34bp, and GC007 interest rate fell 0.8bp [2] - Chinese Key - term Treasury Bond Yields: The yields of key - term treasury bonds showed mixed trends. The 10Y - term treasury bond yield fell 0.03bp to 1.81%, and the long - short (10 - 2) treasury bond yield spread was 41.22bp [2] - Overseas Key - term Treasury Bond Yields: The 10Y - term US treasury bond yield rose 6bp, the 10Y - term German treasury bond yield rose 4bp, and the 10Y - term Japanese treasury bond yield rose 2.3bp [2] Macro News - Central Bank Operations: On March 12, the central bank carried out 24.5 billion yuan of 7 - day reverse repurchase operations, with a net investment of 1.5 billion yuan [3] - Industry Policy: More than 10 trillion yuan of inter - bank deposits may see interest rate cuts. The Ministry of Finance revised the government revenue and expenditure classification in 2026, adding new expenditure items for ultra - long - term special treasury bonds [3] - Economic Outlook: The central bank will continue to implement a moderately loose monetary policy. The social logistics cost ratio in 2025 reached a record low. Iran's statement may affect the global situation [3] Industry Information - Interest Rate Changes: Most money market interest rates rose, and US treasury bond yields also increased [3] - Market Analysis: The central bank's net investment in reverse repurchase, Shibor short - term varieties mostly rose, and the capital market remained relatively stable. Affected by the Middle East situation, the global risk - aversion sentiment increased, and the inflation expectation was pushed up, leading to an increase in US treasury bond yields and greater market fluctuations [3] - Market Outlook: The short - term treasury bond futures prices are still supported, while the long - term treasury bond futures prices are under pressure due to factors such as better - than - expected CPI and PPI data and rising commodity prices [3]