降息预期与通胀升温的博弈

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - In the first ten days of March, the bond market was mainly priced by two logics: the rising risk - aversion sentiment caused by the Middle - East geopolitical conflict and whether there were new statements or incremental policies in the government work report of the Two Sessions. With the long - end interest rates in a sideways shock state and short - end performance being more dominant, the interest - rate bond curve steepened as a whole. Meanwhile, the general credit bonds and Tier 2 capital bonds continued their strong performance [1]. - Starting from mid - March, three logics are worthy of attention: the price - rising logic, the marginal changes at the institutional level, and the central bank's possible "slow withdrawal" of medium - and long - term redundant funds. Without incremental positive factors, long - end interest rates may be in a "unable to decline" state, and the key variable to break the lower bound of interest rates may be the implementation of interest - rate cuts, with April being a critical window [2][3]. - For bond - market strategies, the box - thinking may still work. When the yield of 10 - year Treasury bonds enters the range of 1.83 - 1.85%, it may be in a state where long - end interest rates "cannot rise", and high - elasticity varieties can be added to increase the duration; when the yield of 10 - year Treasury bonds drops to the range of 1.75 - 1.77%, a catalyst is needed for further decline, and one can consider taking profits on long - term bonds and waiting, using the leverage + coupon strategy as a transition. In mid - March, one should play the game of rising inflation while taking into account the possibility of interest - rate cuts, with the portfolio duration placed at a neutral level and a more extreme dumbbell strategy adopted [3]. 3. Summary According to the Directory 3.1. Multi - factor Intertwining, Cautious Pricing in the Bond Market - From March 2 - 6, affected by domestic important meetings and overseas geopolitical conflicts, the bond market priced cautiously. The long - end interest rates of 10 - year Treasury bonds, 30 - year Treasury bonds, and 10 - year CDB bonds had slight fluctuations, while the short - end interest rates of 1 - year and 3 - year Treasury bonds also changed [8]. - In the first week of March, the central bank routinely withdrew the cross - month funds, and the weekly average of R001 and R007 were 1.36% and 1.51% respectively. In a loose environment, the short - end performed better, and the interest - rate bond curve steepened. The yields of general credit bonds showed a parallel downward trend, and the issuance rates of inter - bank certificates of deposit declined counter - seasonally [10][13]. 3.2. Three Logics Worthy of Attention from Mid - March - Price - rising logic: Since the beginning of March, the full blockade of the Strait of Hormuz by Iran has led to a sharp rise in crude - oil prices. If the average price of Brent crude oil in March reaches $90, $100, and $120 per barrel respectively, the impact on the year - on - year growth rate of China's PPI in March will be + 0.5pct, + 0.7pct, and 1.2pct respectively, and the delayed impact on April data may reach + 0.6pct, + 0.8pct, and 1.4pct. The market may pre - price the potential accelerated recovery of inflation [19]. - Institutional - level marginal changes: From January to March 2026, the medium - and long - term bond allocation behavior of large banks in the secondary market went through three stages: over - buying in January, slow - buying in February, and no - buying in March, indicating that the early - year asset - grabbing is coming to an end. As the primary - market supply accelerates, large banks are gradually returning to the role of sellers of long - term bonds in the secondary market. Near the end - of - quarter revenue settlement, banks may turn to taking profits and have a higher demand to reduce medium - and long - term bonds [21]. - The central bank's possible "slow withdrawal" of medium - and long - term redundant funds: Recently, the central bank has started to implement a "slow withdrawal" operation for medium - and long - term funds. For example, the bond - buying scale in February decreased from 100 billion yuan to 50 billion yuan, and the net withdrawal of 3 - month repurchase in March was 200 billion yuan. It is crucial to observe the stability of the money market after the Two Sessions [24]. 3.3. The Seasonal Recovery of Wealth - Management Scale in the First Week of the Month - Weekly scale: The wealth - management scale decreased at the end of February due to the impact of balance - sheet return pressure. In the first week of March, it recovered as expected, with a week - on - week increase of 33.5 billion yuan to 33.37 trillion yuan. As the end of the quarter approaches, the balance - sheet return pressure will gradually emerge [35]. - Wealth - management risks: The retracement of equity - containing products has increased, and the negative - return ratio of wealth - management products has risen. The overall negative - return ratio of wealth - management products has increased by 7.73pct to 9.65% this week. The net - breaking rate of all products has increased by 0.02pct to 0.31%, and the performance non - compliance rate has increased by 0.3pct to 25.1% [41][49]. 3.4. The Leverage Ratio in the Inter - bank and Exchange Markets Has Both Increased - From March 2 - 6, the money market loosened spontaneously under the influence of fiscal expenditure. The average daily trading volume of inter - bank pledged repurchase increased significantly, and the proportion of overnight trading also increased. The inter - bank leverage ratio, exchange - market leverage ratio, and the leverage ratio of non - bank institutions all increased [55][59]. 3.5. Both Interest - type and Credit - type Medium - and Long - term Bond Funds Have Extended Their Durations - From March 2 - 6, the durations of interest - type and credit - type medium - and long - term bond funds have both increased. The weekly average duration of interest - type medium - and long - term bond funds has increased from 3.26 years to 3.43 years, and that of credit - type medium - and long - term bond funds has increased from 1.96 years to 2.05 years. The durations of short - term and medium - short - term bond funds have slightly decreased [66][75]. 3.6. The Net Issuance Scale of Government Bonds Has Decreased - From March 9 - 13, the planned issuance of government bonds is 49.75 billion yuan, slightly higher than the previous week. However, the net payment of government bonds on a payment - date basis will turn negative, estimated to be about - 162.1 billion yuan. The net payment of Treasury bonds has decreased significantly, and the net payment of local bonds has also decreased [77][80].