债市修复中，国债期货大多收涨

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The bond market is in the process of repair, with most Treasury bond futures closing higher. The bond market oscillates between stable growth and easing expectations, and short - term attention should be paid to the policy signals at the end of the month [1][3]. - The macro - policy in 2026 is to continue implementing a more proactive fiscal policy and a moderately loose monetary policy, with room for further reserve requirement ratio cuts and interest rate cuts. The deficit rate is planned to be around 4%, and a special ultra - long - term Treasury bond of 1.3 trillion yuan will be issued [1]. - The financial data in February shows a pattern of "stable total volume and structural differentiation". The credit growth rate continues to decline, and the household credit demand is weak, which has a neutral - to - positive impact on the bond market [2]. 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 decrease rate of 0.61% [10]. - Daily economic indicators: The US dollar index is 99.62, with a month - on - month increase of 0.41 and a growth rate of 0.41%; the US dollar against the offshore RMB is 6.9021, with a month - on - month increase of 0.007 and a growth rate of 0.10%; SHIBOR 7 - day is 1.44, with a month - on - month increase of 0.02 and a growth rate of 1.27%; DR007 is 1.44, with a month - on - month increase of 0.03 and a growth rate of 2.34%; R007 is 1.55, with a month - on - month decrease of 0.01 and a decrease rate of 0.55%; the 3 - month inter - bank certificate of deposit (AAA) is 1.47, with a month - on - month increase of 0.01 and a growth rate of 0.97%; the AA - AAA credit spread (1Y) is 0.09, with a month - on - month increase of 0.00 and a growth rate of 0.97% [10]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - The closing prices of TS, TF, T, and TL on March 25, 2026, are 102.49 yuan, 105.91 yuan, 108.16 yuan, and 111.18 yuan respectively, with the corresponding price changes of 0.02%, 0.00%, 0.00%, and 0.01% [3]. - The average net basis of TS, TF, T, and TL is 0.077 yuan, 0.097 yuan, 0.080 yuan, and 0.182 yuan respectively [3]. III. Overview of the Money Market Funding Situation - From January to February, the fiscal operation started smoothly. The general public budget revenue increased by 0.7% year - on - year, and the expenditure increased by 3.6% year - on - year. The government - funded revenue decreased by 16% year - on - year due to the drag of land sales, while the expenditure increased by 16% year - on - year due to the accelerated issuance of special bonds [2]. - On March 25, 2026, the central bank conducted a 7 - day reverse repurchase operation of 78.5 billion yuan at a fixed interest rate of 1.4% [2]. - The main term repurchase rates of 1D, 7D, 14D, and 1M are 1.319%, 1.435%, 1.511%, and 1.505% respectively, and the repurchase rates have recently declined [2]. IV. Spread Overview - The report provides various spread data, including the inter - period spread trends of Treasury bond futures varieties, and the spread between spot bond maturity and futures cross - varieties [34][35][37]. V. Two - year Treasury Bond Futures - The report presents the implied interest rate of the two - year Treasury bond futures main contract and the Treasury bond maturity yield, as well as the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [44][46]. VI. Five - year Treasury Bond Futures - The report shows the implied interest rate of the five - year Treasury bond futures main contract and the Treasury bond maturity yield, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [48][61]. VII. Ten - year Treasury Bond Futures - The report includes the implied yield of the ten - year Treasury bond futures main contract and the Treasury bond maturity yield, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [56][60]. VIII. Thirty - year Treasury Bond Futures - The report provides the implied yield of the thirty - year Treasury bond futures main contract and the Treasury bond maturity yield, the IRR of the TL main contract and the funding rate, and the three - year basis and two - year net basis trends of the TL main contract [64][67]. Strategies - Unilateral strategy: The repurchase rate has declined, and the Treasury bond futures prices are oscillating [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].