债市情绪面周报（3月第3周）：固收买方观点转多-2025-03-25

Report Industry Investment Rating No relevant content provided. Core Viewpoints - This week, the sentiment of both sellers and buyers in the market has generally recovered, with a significant decrease in the number of institutions holding bearish views. From February 24th to March 24th, the number of institutions with bullish views decreased to 3, those with bearish views decreased to 2, and those with neutral views increased to 14. Among them, 16% of institutions held bullish views, 74% held neutral views, and 10% held bearish views [2]. - The overall view of fixed - income buyers is neutral to bullish. Currently, 4 institutions are bullish and 18 are neutral. 18% of institutions hold bullish views, and 82% hold neutral views [3]. - The turnover rate of interest - rate bonds has decreased. There are positive arbitrage opportunities in the TS contract, the yield curve can still be steepened, and the inter - delivery spread of the TL contract is relatively low [4]. Summary by Directory 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest - Rate Bonds - This week, the tracked weighted index of seller sentiment was 0.12, with a neutral - to - bullish market view, up 0.16 from last week. Currently, institutions generally hold a neutral - to - bullish view, with 3 bullish, 14 neutral, and 2 bearish. 16% of institutions are bullish, 74% are neutral, and 10% are bearish [12]. 1.2 Buyer Market Sentiment Index and Interest - Rate Bonds - This week, the tracked buyer sentiment index was 0.17, with a neutral - to - bullish market view, up 0.17 from last week. Currently, institutions generally hold a neutral - to - bullish view, with 4 bullish and 18 neutral. 18% of institutions are bullish, and 82% are neutral [13]. 1.3 Credit Bonds - Market hot topics include changes in wealth - management scale and tight balance of funds. Wealth - management products still face certain pressure of funds flowing back to banks next week, which will disrupt the credit - bond market. The decline in fund interest rates drives down credit - bond interest rates [14][15][18]. 1.4 Convertible Bonds - This week, institutions generally hold a neutral - to - bullish view, with 2 bullish, 6 neutral, and 1 bearish. 22% of institutions are bullish, 67% are neutral, and 11% are bearish [21]. 2. Treasury Futures Tracking 2.1 Futures Trading - Except for a slight increase in the price of the TS contract, the prices of other futures contracts decreased. As of March 21st, the prices of the TS/TF/T/TL contracts were 102.36 yuan, 105.39 yuan, 107.42 yuan, and 115.09 yuan respectively, with changes of +0.01 yuan, - 0.11 yuan, - 0.16 yuan, and - 0.26 yuan from last Friday. - Except for a decrease in the position of the TL contract, the positions of other futures contracts increased. As of March 21st, the positions of the TS/TF/T/TL contracts were 95,000 lots, 145,000 lots, 176,000 lots, and 106,000 lots respectively. - Except for an increase in the trading volume of the TS contract, the trading volumes of other futures contracts decreased. As of March 21st, from a 5 - day moving average perspective, the trading volumes of the TS/TF/T/TL contracts were 87.7 billion yuan, 67.3 billion yuan, 95.2 billion yuan, and 162.4 billion yuan respectively. - Except for an increase in the trading - to - position ratio of the TS contract, the trading - to - position ratios of other futures contracts decreased. As of March 21st, from a 5 - day moving average perspective, the trading - to - position ratios of the TS/TF/T/TL contracts were 0.46, 0.47, 0.54, and 1.51 respectively [25][26]. 2.2 Spot Bond Trading - The turnover rate of 30 - year treasury bonds decreased. On March 21st, the turnover rate was 3.61%, down 0.44 percentage points from last Friday and 0.50 percentage points from Monday, with a weekly average turnover rate of 4.07%. The turnover rate of interest - rate bonds decreased. On March 21st, it was 0.97%, down 0.06 percentage points from last Friday and 0.12 percentage points from Monday. The turnover rate of 10 - year China Development Bank bonds increased, reaching 7.07% on March 21st, up 0.10 percentage points from last Friday and 0.07 percentage points from Monday [36]. 2.3 Basis Trading - The basis of the main contracts of treasury futures has narrowed. As of March 21st, the basis (CTD) of the TS/TF/T/TL main contracts was - 0.25 yuan, - 0.08 yuan, +0.14 yuan, and +0.20 yuan respectively. - In terms of net basis, the net basis of the TS contract narrowed, that of the T/TL contracts widened, and that of the TF contract remained unchanged. As of March 21st, the net basis (CTD) of the TS/TF/T/TL main contracts was - 0.09 yuan, - 0.10 yuan, - 0.06 yuan, and - 0.15 yuan respectively. - In terms of IRR, the IRR of the TS/TF contracts decreased, and that of the T/TL contracts increased. As of March 21st, the IRR (CTD) of the TS/TF/T/TL main contracts was 2.14%, 2.18%, 2.05%, and 2.22% respectively. The TS main contract's basis was negative this week, and the weekly average IRR was 2.22%, at a relatively high level. With the overall phased easing of the capital market this week, positive arbitrage strategies for the TS contract can be considered [43][44]. 2.4 Inter - Delivery and Inter - Product Spreads - The inter - delivery spreads have generally narrowed. As of March 21st, the near - to - far spreads of the TS/TF/T/TL contracts were - 0.04 yuan, - 0.02 yuan, +0.06 yuan, and - 0.13 yuan respectively. - In terms of inter - product spreads, the spreads of 2TS - TF and 4TS - T widened, while the others narrowed. As of March 21st, 2TS - TF, 2TF - T, 4TS - T, and 3T - TL were 99.32 yuan, 103.38 yuan, 302.01 yuan, and 207.19 yuan respectively. It is recommended to continue to focus on the strategy of going long on short - term and short on long - term to steepen the yield curve [54].