3月固定收益月报：货币增强新方向与两会前后日历效应-20260301

1. Report's Investment Rating for the Industry No investment rating information for the industry is provided in the report. 2. Core Views of the Report - In 2026, before the Spring Festival, the scale of Short - Term Financing ETFs exceeded 80 billion yuan and surpassed 2 money ETFs, potentially becoming a new direction for on - site cash management. This is driven by the market's demand for enhanced returns, as evidenced by the scale of FOF and bank wealth management's top - holding funds. It is expected to boost the overall scale and strategy diversification of bond ETFs in the future [1][7]. - Reviewing the calendar effect around the Two Sessions, the period from the Spring Festival to the Two Sessions is usually a traditional adjustment window for the bond market due to factors like credit expansion and rising policy expectations. During the Two Sessions, the market often enters a volatile phase. After the Two Sessions and before the Politburo meeting in April, it is typically a period for economic data verification, and with the return of bond - allocation power after the "good start" of credit, the bond market usually strengthens. However, the calendar effect may fail under certain circumstances such as liquidity tightening (2025) and extreme asset shortage (2024), and the macro - mainline of the year should be the key consideration [1][7]. - In March, the central bank's open - market operations are likely to remain active. During the period when interest rates are at a high - level grinding stage, it is recommended to moderately extend the duration when the market adjusts. The current after - tax interest rates of many 30 - year old bonds exceed the after - tax value of personal housing loan interest rates, and the 30Y - 10Y treasury bond spread is approaching 50 BP, making ultra - long bonds highly cost - effective [2][20]. 3. Summary by Relevant Catalog 3.1 3 - Month Bond Market Outlook - Short - term financing ETFs may take over part of the on - site cash management role of money ETFs. As of the end of February, the scale of short - term financing ETFs was 77.2 billion yuan, exceeding the two largest on - site money ETFs. Institutions' willingness to hold short - term financing ETFs and short - duration interest - rate ETFs has increased, which is expected to boost the scale and strategy diversification of bond ETFs [8][10]. - Based on seasonal patterns, from 2021 - 2025, the yields of 10 - year treasury bonds and 1 - year AAA inter - bank certificates of deposit (CDs) often trended downward after the Two Sessions. This year, in addition to economic growth and price targets, attention should be paid to the expected differences in fiscal and real - estate policies, the recalibration of loose - money expectations, and the stability of banks' end - of - quarter liabilities and the sustainability of bond - allocation [13][14]. 3.2 2 - Month Bond Market Review 3.2.1 Bond Market Trend Review - The long - term bond broke through the resistance level but then fluctuated repeatedly, and geopolitical risks became a new variable at the end of the month. The yield of 10 - year treasury bonds decreased to 1.78% in February [25][27]. 3.2.2 Funding Situation - The central bank net - injected 77.95 billion yuan through four major tools. In February, the funding rate was low, and it is expected to remain so in March under policy guidance. The central bank's open - market operations are likely to remain active [20][28]. 3.2.3 Secondary Market Trend - In February, bond yields showed a strong - side fluctuation. Except for the 1 - year bond, the yields of other key - term treasury bonds declined, and most key - term spreads narrowed [36]. 3.2.4 Bond Market Sentiment - In February, the inter - bank leverage ratio first rose and then fell, the 30Y - 10Y treasury bond spread continued to widen, the median duration of the full - sample bond funds decreased, while that of interest - rate bond funds increased slightly [46]. 3.2.5 Bond Supply - In February, the net financing of local bonds increased month - on - month, while the net financing of treasury bonds and policy - financial bonds decreased. The issuance interest rate of inter - bank certificates of deposit declined [60][65]. 3.3 Economic Data - The LPR quotation has remained unchanged for 9 consecutive months. Since February, post - holiday real - estate transactions have been stronger than the same period last year, while industrial production has weakened marginally [70][71]. 3.4 Overseas Bond Market - The US PPI accelerated unexpectedly. The US dollar's trend is centered around the Fed's interest - rate cut expectations, with increasing internal policy divergence. US bonds rose, while most emerging - market bond markets declined [79][81]. 3.5 Major Asset Classes - In February, the CSI 1000 index rose, the Nanhua Crude Oil index strengthened, and the Nanhua Rebar index and Shanghai Gold weakened. The performance order of major assets was: CSI 1000 > Crude Oil > Chinese Dollar - Denominated Bonds > Convertible Bonds > US Dollar > Shanghai Copper > CSI 300 > Chinese Bonds > Live Pigs > Shanghai Gold > Rebar [86]. 3.6 3 - Month Bond Market Calendar - The calendar provides a detailed schedule of liquidity injections, government bond supplies, fundamental data releases, and important domestic and international events from March 2 to March 31, 2026 [90].