2月债市回顾及3月展望：两会窗口与地缘摩擦下，债市会否出现新定价？

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In March, key factors to watch include market expectation gaps from the Two Sessions, economic data from January - February, supply pressure and central bank liquidity hedging, and bond market pricing under geopolitical conflicts and risk aversion [5][61]. - The bond market has favorable conditions in the long - term, but short - term substantial loose monetary policy implementation needs to wait. The current odds for the 10 - year bond at around 1.78% are not high, and it is recommended to gradually reduce duration leverage and stay calm [6][64]. 3. Summary by Directory 3.1 Bond Market Review: Interest Rates Oscillate Downward, and the Yield Curve Flattens - In February, the bond market showed a pre - holiday strong and post - holiday strengthening trend. The 10Y Treasury yield decreased by 3.6BP, and the 1Y Treasury yield increased by 1.7BP. The term spread narrowed by 5.28BP to 45.9BP [1][10]. - The yield curve flattened in February, with the 6M, 5Y, and 10Y yields decreasing by about 4BP, and the 2 - 3Y and 7Y yields decreasing by 1 - 2BP. The 9M - 1Y yields increased by 1 - 2BP [11]. - Overseas, US inflation showed a decline, but there were differences in the Fed's interest - rate decisions. The US bond yield decreased from 4.26% to 3.97%, and the Sino - US yield spread inverted and narrowed by 24.5BP to about 219BP [12]. 3.2 This Month's Outlook and Strategy 3.2.1 Bond Market Outlook: Pay Attention to Key Statements from the Two Sessions and Supply Pressure - Fundamentals: Monitor whether the bond market will price in re - inflation risks under the moderate recovery of CPI and continuous positive growth of PPI; pay attention to the possible rebound of export growth due to the decline of new US tariffs on China; note the implementation and data verification of Shanghai's real - estate policies after the Spring Festival housing sales recovery; and focus on the Two Sessions and the government work report and their expectation gaps with the market [2][26]. - Supply: The net supply of government bonds in March is expected to be about 1.77 trillion yuan, with more special bonds issued, especially the debt - resolution part may continue to accelerate. The net supplies of new special bonds, replacement hidden - debt special bonds, Treasury bonds, and new general bonds are expected to be about 3793 billion yuan, 6167 billion yuan, 7011 billion yuan, and 684 billion yuan respectively [2][36]. - Funding: In March, focus on the impact of the Two Sessions' expectation gaps and geopolitical conflicts on the bond market under the front - loaded fiscal policy. Historically, the funding situation around the Two Sessions shows a pattern of "loose before the meeting, stable during the meeting, and tight after the meeting", but the central bank's intention to maintain liquidity is clear, and the funding is not expected to tighten significantly [3][43]. - Policy: In March, the key is the implementation of expectations from the Two Sessions. The GDP growth target in 2026 is expected to be 4.5 - 5.0%. The government will maintain an active front - loaded fiscal policy and a moderately loose monetary policy, with a 50BP reserve - requirement ratio cut and a 10 - 20BP interest - rate cut in line with the baseline expectation [3][52]. - Institutional Behavior: In February, institutional allocation continued to increase but at a slower pace. The main buyers shifted from large banks to small and medium - sized banks and insurance companies. The net selling of trading desks decreased significantly. In March, if interest rates continue to decline, trading - desk sentiment may improve; if the Two Sessions' economic and fiscal policies exceed expectations, the willingness of insurance and other allocation desks may increase, and the over - adjustment of interest rates may be limited [4][58]. 3.2.2 Bond Market Strategy: The Deduction after the 10 - Year Bond Yield Breaks Below 1.8%, with the Expectation Gap of the Two Sessions and the Geopolitical Conflict Direction as Key Factors - In March, pay attention to the market expectation gap from the Two Sessions, economic data from January - February, supply pressure and central bank liquidity hedging, and bond market pricing under geopolitical conflicts and risk aversion [61]. - In terms of interest rates, the funding in March may fluctuate around the Two Sessions but will likely return to equilibrium. There is room for loose monetary policy, and historical experience shows that the 10 - year bond yield is more likely to decline after the Two Sessions. The current odds for the 10 - year bond at around 1.78% are not high. It is recommended to gradually reduce duration leverage and stay calm [6][64]. 3.3 March Important Economic Calendar The report lists important economic indicators and their expected values to be announced in March, including PMI, PPI, CPI, and trade data [66].