国债期货周报：国内政策平稳，中东地缘升温-20260309

Report Industry Investment Rating No information provided. Core Viewpoints of the Report - The contraction in supply and demand led to the official manufacturing PMI in February being weaker than expected, but holiday seasonal factors may be the main disturbance. Leading indicators and high - frequency data show that current external demand has strong support, and the actual performance may be better than the new export order sub - item of the manufacturing PMI. The fiscal policy strength in the government work report during the "Two Sessions" is generally stable compared to last year, with the narrow - sense deficit rate remaining at 4.0% and the broad - sense deficit rate falling by 0.4 percentage points to 8.1%. The central bank's reduction in the net purchase of national bonds in February and the reduction in the roll - over of three - month repurchase in March are likely routine operations to adjust the medium - and long - term liquidity injection rhythm, which may make it difficult for market capital prices to decline further in the short term. The Middle East geopolitical disturbance has led to a short - term decline in market risk appetite, which is favorable for the bond market, but in the long term, it may lead to a "stagflation" situation and a "double - kill" of stocks and bonds. The bond market may switch between safe - haven and "stagflation" trading. Considering the marginal reduction in the central bank's medium - and long - term liquidity injection and the increase in short - term inflation readings due to input factors, it is recommended to take profits on the remaining T - contract long positions and short the TS contract at high prices [8]. Summary According to Relevant Catalogs First Part: Weekly Core Points Analysis and Strategy Recommendation Comprehensive Analysis - The official manufacturing PMI in February was 49.0, a 0.3 - percentage - point decline from the previous month, with both production and demand weakening. The production index fell 1.0 percentage point to 49.6, and the new export order index led the overall new order index to fall 0.6 percentage points to 48.6, reaching a new low in recent years. The raw material inventory index rose 0.1 percentage point to 47.5, and the finished - product inventory fell 2.8 percentage points to 45.8, showing a state of small - scale replenishment at the raw material end and passive destocking at the finished - product end, which is in line with price indicators, indicating that the contraction in production and demand may be mainly due to the Spring Festival holiday [13][10]. - Leading indicators and high - frequency data show that current external demand has strong support, and the actual performance may be better than the new export order sub - item of the manufacturing PMI. As of early March, the year - on - year growth rate of the sales area of commercial housing in 30 large - and medium - sized cities was - 23.7%. In late February, the month - on - month decline of the domestic second - hand housing listing price index was significant again [19]. - The government work report during the "Two Sessions" shows that the main economic and fiscal targets are generally consistent with last year. The narrow - sense deficit rate is still set at around 4%, the narrow - sense deficit scale is 5.89 trillion yuan, an increase of 230 billion yuan year - on - year. The ultra - long - term special treasury bonds are 1.3 trillion yuan, and the new special bond quota is 4.4 trillion yuan, both remaining the same as last year. The injection special treasury bonds are 300 billion yuan, a reduction of 200 billion yuan. The new policy - based financial instruments are 800 billion yuan, an increase of 300 billion yuan. Without considering factors such as the carry - over of existing funds, the part of special bonds used for debt resolution and storage, and quasi - fiscal tools, the broad - sense deficit rate this year is 8.1%, a 0.4 - percentage - point decline from last year [24]. - The Middle East geopolitical disturbance continued to ferment this week, and as of the weekend, the Strait of Hormuz was still in a state of de facto blockade, with supply contraction driving up energy prices rapidly. In the short term, the event led to a decline in market risk appetite, which is favorable for the bond market. But in the long term, the impact of supply contraction and price increases on the demand side may gradually appear, increasing the probability of the global economy entering a "stagflation" state and easily leading to a "double - kill" of stocks and bonds. For China, although imported inflation from the overseas supply side is unlikely to cause the central bank to tighten monetary policy, the timing of "loose money" intensification may be postponed [29][26]. - At the beginning of the month, the market capital situation was balanced and slightly loose. As of Friday's close, DR001 and DR007 were 1.3194% and 1.4149% respectively. The overnight and 7 - day non - bank capital spreads were 6.88bp and 7.71bp respectively. In terms of long - term funds, the issuance interest rate of 1 - year inter - bank certificates of deposit of joint - stock banks further declined to the range of 1.55 - 1.56%. With the tax period not yet coming and the net payment scale of government bonds turning negative, the disturbances faced by the market capital situation next week are relatively limited. However, the central bank's net purchase of national bonds in February decreased by 50 billion yuan, and in March, the three - month repurchase was also rolled over with a reduction of 200 billion yuan. This is likely a routine operation to adjust the medium - and long - term liquidity injection rhythm, which may mean that market capital prices are difficult to decline further in the short term [35]. - Calculated according to the ChinaBond valuation and futures settlement price, as of Friday's close, the IRR of the TS, TF, T, and TL main contracts were 1.4263%, 1.4873%, 1.6175%, and 1.3861% respectively. Except for the slightly high valuation of the T main contract, the futures bond market valuation is at a neutral level [40]. - As of Friday's close, the net long - position ratios of the top ten seats of TS, TF, T, and TL were - 23.71%, - 7.79%, - 1.29%, and - 2.98% respectively, changing by - 3.20, + 3.64, + 0.95, and - 1.36 percentage points compared to last Friday [42]. Strategy Recommendation - Unilateral: Take profits on the previous long positions of the T contract and try to short the TS contract at high prices with a light position. - Arbitrage: Wait and see [7]. Second Part: Relevant Data Tracking - This part provides data on various aspects such as the price difference between treasury bond futures contracts, trading volume and open interest, spot bond yields and spreads, and US treasury bond yields and exchange rates, but no specific text analysis of these data is provided. The data includes the price difference between different - term contracts of TS, TF, T, and TL; the trading volume and open interest of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures; the yield curve, term spreads, spreads between national bonds and local bonds, and spreads between 10 - year national bonds and national development bonds of national bond spot bonds; and the 10 - year US treasury bond yield, Sino - US 10 - year treasury bond spread, US dollar index, and US dollar - offshore RMB exchange rate [48][51][54][57].