申万期货品种策略日报：国债-20260331

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report indicates that the prices of treasury bond futures generally rose. The central bank's open - market reverse repurchase had a net injection of 26.15 billion yuan, and the MLF was renewed with an increased amount last week. Shibor short - term varieties mostly declined, and the capital market remained loose. The market risk appetite increased due to the news of a potential cease - fire in the Middle East. The profits of industrial enterprises above a designated size in the first two months of this year increased by 15.2% year - on - year, showing a continuous recovery. Looking ahead, there is still room for the central bank to cut the reserve requirement ratio and interest rates. With the gradual easing of the Middle East situation, the prices of treasury bond futures are expected to stabilize [3]. 3. Summary by Directory 3.1 Futures Market - Price and Volume: The prices of treasury bond futures generally rose. For example, the T2606 contract rose by 0.14%, and the trading volume and open interest of some contracts also changed. The open interest of T2606 increased by 9009 [2]. - Arbitrage: The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. 3.2 Spot Market - Short - term Market Interest Rates: The short - term market interest rates showed mixed trends. SHIBOR 7 - day rate decreased by 1bp, DR007 rate decreased by 1.77bp, and GC007 rate decreased by 1.8bp [2]. - Chinese Key - term Treasury Bond Yields: The yields of key - term treasury bonds generally declined. The 10Y treasury bond yield decreased by 1.24bp to 1.81%, and the long - short (10 - 2) treasury bond yield spread was 45.58bp [2]. 3.3 Overseas Market - Overseas Key - term Treasury Bond Yields: The yields of overseas key - term treasury bonds declined. The 10Y US treasury bond yield decreased by 9bp, the 10Y German treasury bond yield decreased by 2bp, and the 10Y Japanese treasury bond yield decreased by 1.2bp [2]. 3.4 Macro News - Central Bank Operations: On March 30, the central bank carried out 26.95 billion yuan of 7 - day reverse repurchase operations, with a net injection of 26.15 billion yuan. In the future, the central bank will flexibly use various monetary policy tools to maintain sufficient liquidity [3]. - Middle East Situation: The US President said that Iran had agreed to most of the content of the cease - fire plan, but Iran had different views, and the situation was still uncertain [3]. - Economic Data: The profits of industrial enterprises above a designated size in the first two months of this year increased by 15.2% year - on - year, and the industrial enterprise efficiency continued to recover [3]. - Tax Policy: The Ministry of Finance plans to formulate and revise laws such as the local surtax law [3]. - Consumption Policy: The Ministry of Commerce will introduce measures to optimize the tax - free shopping for outbound tourists and promote the expansion and upgrading of commodity consumption [3]. - Local Government Debt: As of March 30, local governments issued about 0.96 trillion yuan of refinancing special bonds for replacing implicit debts, accounting for nearly half of the planned issuance scale this year [3]. - Interest Rate Changes: In the money market, most interest rates declined. The yields of US treasury bonds also declined across the board [3].