国债期货周报：资金偏松，曲线趋陡-20260323

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The marginal improvement of domestic macro - economic indicators from January to February is significant, but the absolute value of domestic demand growth is still low. External demand is the main driver of the improvement in the early - year fundamentals. The 1 - 2 month tax revenue growth turned slightly positive, and whether tax revenue and industrial enterprise profits can rise in sync with industrial product prices is an important factor to test the quality of PPI. The impact of energy supply disruptions on domestic industrial production is currently relatively controllable, and external demand may remain strong. The real - estate sales volume has seasonally increased, but there are few bright spots in prices, and the "price - for - volume" strategy in the second - hand housing market may continue. The impact of tax payments and government bond issuances on the capital market is limited, and market liquidity is expected to remain relatively loose, but the possibility of the central bank's liquidity management returning to a phased tight balance cannot be ruled out. The bond market lacks strong upward drivers, and it is recommended to wait and see. For the yield curve, it is advisable to consider a "left - hand" light - position attempt to short the 30Y - 7Y term spread [6][7]. Summary According to Relevant Catalogs First Part: Weekly Core Points Analysis and Strategy Recommendations - Economic Data: The domestic economic data from January to February showed significant marginal improvement, better than market expectations. However, the absolute value of domestic demand growth was still low, with fixed - asset investment and total retail sales of consumer goods increasing by only 1.8% and 2.8% year - on - year respectively. External demand was the main driver of the improvement in the early - year fundamentals, and domestic demand needed further boosting [12]. - Tax Revenue: From January to February, the general public budget revenue increased by 0.7% year - on - year, with tax revenue increasing by 0.1% and non - tax revenue by 3.4%. Tax revenue growth was still weak but improved compared to December last year. Whether tax revenue and industrial enterprise profits can rise in sync with industrial product prices is an important factor to test the quality of PPI [13]. - High - Frequency Data: In the chemical industry, the impact of energy supply disruptions on domestic industrial production was relatively controllable. In March's second week, port cargo throughput and container throughput rebounded, with year - on - year increases of 2.3% and 11.1% respectively, indicating strong external demand. The real - estate sales volume increased seasonally, but the second - hand housing "price - for - volume" strategy may continue, and the second - hand housing listing price index declined for the third consecutive week. The bill interest rate dropped slightly, with the 3M and 6 - month national - share transfer discount rates at 1.43% and 1.17% respectively, down 5bp and 6bp from last week [6][25][31]. - Liquidity: The impact of tax payments and government bond issuances on the capital market was limited. As of Friday, DR001 and DR007 were at 1.3207% and 1.4209% respectively, and the overnight and 7 - day non - bank capital spreads were 7.54bp and 5.60bp respectively. The 1 - year inter - bank certificate of deposit issuance rate of joint - stock banks continued to decline, falling below 1.53%. Market liquidity is expected to remain relatively loose, but the central bank may return to a phased tight - balance liquidity management if external supply shocks persist [37]. - Futures Market: As of Friday, the IRRs of TS, TF, T, and TL main contracts were 1.2762%, 1.2858%, 1.3341%, and 0.5332% respectively. The futures market valuation was relatively low, indicating a cautious market sentiment. The net long - position ratios of the top ten seats in TS, TF, T, and TL were - 17.76%, - 6.96%, + 0.87%, and - 2.73% respectively, with changes of + 3.59, - 1.62, + 1.99, and + 2.16 percentage points from last Friday [42][43]. - Strategy Recommendations: For unilateral trading, it is recommended to wait and see. For arbitrage, it is advisable to consider a light - position attempt to short the 30Y - 7Y term spread (TL - 3T) [8]. Second Part: Relevant Data Tracking - Trading Volume and Open Interest: The trading volume and open interest data of TS, TF, T, and TL contracts are presented, but specific analysis is not provided in the content [52]. - Inter - delivery Spread: The inter - delivery spread data of TS, TF, T, and TL contracts are presented [55]. - Inter - commodity Spread: The inter - commodity spread data of 2TS - TF, 3TF - 2T, 3T - TL, and TS + T - 2TF are presented [58]. - Cash Bond Yield Curve and Spread: The current and 5 - day - ago cash bond yield curves, weekly yield changes, key - term spreads, and the spreads between national bonds and local bonds are presented. The 30Y - 7Y term spread has reached a relatively high level in the past decade [61]. - Historical Quantile of Term Spread: The historical quantile data of 5Y - 2Y, 7Y - 5Y, and 30Y - 7Y term spreads are presented [64][65]. - US Treasury Yield and Exchange Rate: The data of the US 10 - year Treasury yield, 10Y US Treasury break - even inflation rate, US dollar index, and US dollar - offshore RMB exchange rate are presented [67].