2026年03月30日申万期货品种策略日报-国债-20260330

1. Report Industry Investment Rating - No relevant information provided. 2. Core View of the Report - The short - term market interest rates generally declined, with the SHIBOR 7 - day rate down 1bp, the DR007 rate down 2.23bp, and the GC007 rate down 3.2bp. The yields of key - term Chinese treasury bonds fluctuated, with the 10Y treasury bond yield rising 0.02bp to 1.82%, and the long - short (10 - 2) treasury bond yield spread at 43.27bp. Overseas, the 10Y US, German, and Japanese treasury bond yields rose by 2bp, 9bp, and 9.4bp respectively. The central bank's open - market operations had net injections last week. The national industrial enterprise profits in the first two months of this year increased by 15.2% year - on - year. Looking ahead, there is still room for the central bank to cut reserve requirements and interest rates. The short - end treasury bond futures prices are supported, while the long - end treasury bond futures prices are expected to face pressure due to rising commodity prices and the Fed's hawkish stance [2][3]. 3. Summary by Relevant Catalogs 3.1 Futures Market - Price and Volume: The prices of treasury bond futures fluctuated. The T2606 contract fell 0.01%. The trading volume and open interest of each contract also changed. For example, the open interest of TS2606 decreased by 489, while that of TF2606 increased by 4461 [2]. - Arbitrage: The IRR of the CTD bonds corresponding to the main treasury bond futures contracts was at a low level, with no arbitrage opportunities [2]. 3.2 Spot Market - Short - term Market Interest Rates: The short - term market interest rates generally declined. SHIBOR 7 - day, DR007, and GC007 rates decreased by 1bp, 2.23bp, and 3.2bp respectively [2]. - Chinese Key - term Treasury Bond Yields: The yields of key - term Chinese treasury bonds fluctuated. The 10Y treasury bond yield rose 0.02bp to 1.82%, and the long - short (10 - 2) treasury bond yield spread was 43.27bp [2]. - Overseas Key - term Treasury Bond Yields: The 10Y US, German, and Japanese treasury bond yields rose by 2bp, 9bp, and 9.4bp respectively [2]. 3.3 Macro News - Central Bank Operations: On March 27, the central bank conducted 1462 billion yuan of 7 - day reverse repurchase operations, with a net injection of 1257 billion yuan on that day. Last week, the central bank had a net injection of 2319 billion yuan through reverse repurchase operations and carried out 5000 billion yuan of MLF operations to replace the 4500 billion yuan of matured MLF [3]. - International Situation: The US - Israel - Iran conflict continued to be intense. Iran increased its attacks on the US and Israel, and the US proposed a cease - fire plan which was rejected by Iran. The US vice - president said that the rise in US domestic oil prices was a short - term market reaction and would fall after the US withdrew from Iran [3]. - Domestic Policy: The State Council emphasized promoting the development of the service industry and improving the graded diagnosis and treatment system. The National Bureau of Statistics announced that the profits of industrial enterprises above designated size from January to February increased by 15.2% year - on - year. The central bank required to improve the financial risk prevention and resolution system [3]. 3.4 Industry Information - Interest Rates: The money market interest rates mostly declined, while the inter - bank lending rates showed mixed trends. The yields of US treasury bonds also fluctuated, with short - term yields falling and long - term yields rising [3]. - Market Outlook: The central bank's open - market operations maintained a relatively stable capital supply. The Middle East situation pushed up inflation expectations and increased financial market volatility. The industrial enterprise profits showed a recovery trend. The short - end treasury bond futures prices were supported, while the long - end prices were expected to face pressure [3].