2026年03月16日申万期货品种策略日报：国债-20260316

Report Industry Investment Rating - Not provided in the report Core Viewpoints of the Report - The long - end of the treasury bond market declined last week. The central bank's net reverse - repurchase withdrawal tightened the short - term funds, leading to an increase in short - term interest rates. The unchanged US prices, combined with the tense Middle East situation pushing up oil prices, increased inflation expectations, causing US treasury bond yields to continue rising and market volatility to intensify. China's foreign trade returned to double - digit growth in the first two months of this year, and financial data remained high, increasing capital activity. Affected by the Spring Festival and rising international commodity prices, the CPI and PPI both exceeded expectations in both month - on - month and year - on - year terms. The government bond scale in the government work report is the largest in recent years, and the monetary policy continues to use various policy tools such as reserve requirement ratio cuts and interest rate cuts flexibly and efficiently. Although the economic growth target in the government work report has been lowered and the central bank still has room for reserve requirement ratio cuts and interest rate cuts, and the volatile equity market supports short - end treasury bond futures prices, better - than - expected price data and rising commodity prices will continue to put pressure on long - end treasury bond futures prices [3] Summary by Relevant Catalogs Futures Market - Price and Volume: The prices of treasury bond futures generally fell in the previous trading day. For example, the T2606 contract fell 0.08%. The trading volume and open interest of different contracts showed various changes, such as the open interest of TS2606 increasing by 400, while that of T2606 decreasing by 6426 [2] - Arbitrage Situation: The IRR of the CTD bonds corresponding to the main treasury bond futures contracts was at a low level, indicating no arbitrage opportunities [2] Spot Market - Short - term Market Interest Rates: Short - term market interest rates generally declined in the previous trading day. For instance, the SHIBOR 7 - day rate dropped 0.8bp, the DR007 rate dropped 0.87bp, and the GC007 rate dropped 0.7bp [2] - China's Key - term Treasury Bond Yields: The yields of key - term treasury bonds showed mixed changes. The 10Y - term treasury bond yield rose 0.76bp to 1.81%, and the long - short (10 - 2) treasury bond yield spread was 41.32bp [2] - Overseas Key - term Treasury Bond Yields: In the previous trading day, the US 10Y treasury bond yield rose 1bp, the German 10Y treasury bond yield rose 1bp, and the Japanese 10Y treasury bond yield rose 5.4bp [2] Macro News - Monetary Policy Operations: The central bank will conduct a 5000 - billion - yuan 6 - month outright reverse - repurchase operation on March 16, 1000 billion yuan less than the maturity amount. There will be 1765 billion yuan of reverse - repurchases maturing in the central bank's open market this week, and 6000 billion yuan of 182 - day outright reverse - repurchases will mature on Monday [3] - Policy Release: The "15th Five - Year Plan Outline" was officially released on March 13, which is the "blueprint" for China's economic and social development in the next five years. The State Council executive meeting discussed and passed the "Division of Key Work in 2026" and studied the establishment of a negative list management mechanism for local fiscal subsidies [3] - Economic and Trade Negotiations: Vice - Premier He Lifeng will lead a delegation to France to hold the sixth round of China - US economic and trade consultations with the US from March 14 - 17. The Chinese side has made representations to the US regarding the 301 investigation [3] - Economic Data: In the first two months of this year, RMB loans increased by 5.61 trillion yuan, and the increment of social financing scale was 9.6 trillion yuan, 316.2 billion yuan more than the same period last year. At the end of February, M2 increased by 9% year - on - year, and the stock of social financing scale increased by 8.2% year - on - year. The average interest rates of new corporate loans and new individual housing loans in February were both about 3.1% [3] - International Situation: US President Trump said that Iran was willing to negotiate a cease - fire but the conditions were not good enough, so the US would not reach a cease - fire agreement with Iran for the time being. Iranian Foreign Minister Araqchi said that Iran had never requested a cease - fire and would continue to defend [3] Industry Information - Money Market Interest Rates: Money market interest rates showed mixed changes. The weighted average interest rate of pledged repurchase in the inter - bank deposit market decreased for 1 - day, 7 - day, and 14 - day varieties, and increased for 1 - month variety. The weighted average inter - bank lending rate decreased for 1 - day and 7 - day varieties and increased for 14 - day and 1 - month varieties [3] - US Treasury Bond Yields: US treasury bond yields showed mixed changes. The yields of 2 - year and 3 - year US treasury bonds decreased, while the yields of 5 - year, 10 - year, and 30 - year US treasury bonds increased [3]