国债期货日报：市场情绪企稳，国债期货全线收涨-20260318

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to the policy signals at the end of the month. The market sentiment has stabilized, and Treasury bond futures have closed higher across the board. The macro - policy is supportive, but there are still uncertainties such as inflation expectations and foreign capital inflows [1][3]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) has a month - on - month increase of 1.00% and a year - on - year increase of 1.30%; China's PPI (monthly) has a month - on - month increase of 0.40% and a year - on - year decrease of 0.90% [9]. - Monthly Economic Indicators: The social financing scale is 451.40 trillion yuan, with a month - on - month increase of 2.29 trillion yuan and a growth rate of 0.51%. M2 year - on - year is 9.00% with no change. The manufacturing PMI is 49.00%, with a month - on - month decrease of 0.30% and a decline rate of 0.61% [10]. - Daily Economic Indicators: The US dollar index is 99.57, with a month - on - month decrease of 0.24 and a decline rate of 0.24%. The US dollar against the offshore RMB is 6.8832, with a month - on - month decrease of 0.003 and a decline rate of 0.04%. SHIBOR 7 - day is 1.43, with a month - on - month decrease of 0.01 and a decline rate of 0.83%. DR007 is 1.43, with a month - on - month decrease of 0.02 and a decline rate of 1.20%. R007 is 1.55, with a month - on - month decrease of 0.01 and a decline rate of 0.55%. The 3 - month inter - bank certificate of deposit (AAA) is 1.50, with no change in value and a decline rate of 0.20%. The AA - AAA credit spread (1Y) is 0.09, with no change in value and a decline rate of 0.20% [11]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - The report provides figures on the closing price trend, percentage change, precipitation funds trend, position ratio, net position ratio (top 20), and long - short position ratio (top 20) of Treasury bond futures main contracts [13][17][18]. III. Overview of the Money Market Funding Situation - The report includes figures on the spread between China Development Bank bonds and Treasury bonds, Treasury bond issuance, Shibor interest rate trend, inter - bank certificate of deposit (AAA) maturity yield trend, inter - bank pledged repurchase transaction statistics, and local government bond issuance [26][27][24]. IV. Spread Overview - The report presents figures on the inter - period spread trend of Treasury bond futures varieties and the spread between spot bond term spreads and futures cross - varieties [37][33][35]. V. Two - Year Treasury Bond Futures - The report shows figures on the implied interest rate and Treasury bond maturity yield of the two - year Treasury bond futures main contract, the IRR of the TS main contract and the funding rate, and the three - year basis trend and net basis trend of the TS main contract [39][40]. VI. Five - Year Treasury Bond Futures - The report provides figures on the implied interest rate and Treasury bond maturity yield of the five - year Treasury bond futures main contract, the IRR of the TF main contract and the funding rate, and the three - year basis trend and net basis trend of the TF main contract [42][57]. VII. Ten - Year Treasury Bond Futures - The report includes figures on the implied yield and Treasury bond maturity yield of the ten - year Treasury bond futures main contract, the IRR of the T main contract and the funding rate, and the three - year basis trend and net basis trend of the T main contract [52][56]. VIII. Thirty - Year Treasury Bond Futures - The report shows figures on the implied yield and Treasury bond maturity yield of the thirty - year Treasury bond futures main contract, the IRR of the TL main contract and the funding rate, and the three - year basis trend and two - year net basis trend of the TL main contract [60][65]. Strategies - Unilateral Strategy: As the repurchase rate declines, the price of Treasury bond futures oscillates [4]. - Arbitrage Strategy: Pay attention to the decline of the 2606 basis [4]. - Hedging Strategy: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4].