国债期货周报：季末资金平稳，超长端阶段性修复-20260327

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The inflation trading in the bond market is nearing its end, and the market logic may shift to changes in capital and risk appetite in the short term. With the central bank's support at the end of the quarter, liquidity remains abundant, short - term interest rates are relatively stable, and long - term interest rates have a chance for phased recovery. However, high geopolitical uncertainties and volatile oil prices may lead to continued adjustments, and the development of the Iranian situation should be monitored [104] 3. Summary According to the Table of Contents 3.1 Market Review - Weekly Data: The 30 - year TL2609 contract rose 0.45% with a settlement price of 111.18 and a trading volume of 399,800; the 10 - year T2609 contract fell 0.02% to 108.23 with a trading volume of 365,600; the 5 - year TF2609 contract rose 0.01% to 105.98 with a trading volume of 354,200; the 2 - year TS2609 contract fell 0.01% to 102.51 with a trading volume of 186,200. The prices of the top two CTD bonds for each term also changed accordingly [12] - Market Review of Treasury Bond Futures: The 30 - year and 5 - year main contracts rose, while the 10 - year and 2 - year main contracts fell. The trading volumes of TS and T main contracts decreased, while those of TF and TL main contracts increased. The open interests of TS, TF, T, and TL main contracts all decreased [15][21][27] 3.2 News Review and Analysis - Key News: On March 20, the draft financial law solicited public opinions; on March 23, the Minister of Finance emphasized investment in people; on March 24, the State - owned Assets Supervision and Administration Commission focused on the development of Xiongan New Area; on March 25, the central bank conducted MLF operations; on March 26, the OECD released an economic outlook report, and there were developments in the US - Iran situation and US unemployment data [33][34][35] 3.3 Chart Analysis - Spread Changes - Treasury Yield Spreads: The spreads between 10 - year and 5 - year, and 10 - year and 1 - year yields narrowed [41] - Main Contract Spreads: The spread between 2 - year and 5 - year main contracts widened, while that between 5 - year and 10 - year main contracts narrowed [50] - Treasury Bond Futures Near - Far Month Spreads: The 10 - year contract spread narrowed, the 30 - year contract spread widened, the 5 - year contract spread significantly narrowed, and the 2 - year contract spread widened [54][61] - Changes in Main Positions of Treasury Bond Futures: The net short positions of the top 20 positions in the T main contract decreased significantly [68] - Interest Rate Changes - Shibor and Treasury Yields: The 1 - week Shibor rate rose, while the overnight, 2 - week, and 1 - month Shibor rates fell. The DR007 weighted average rate rose to around 1.44%. Treasury bond yields declined across the board [72] - Sino - US Treasury Yield Spreads: The spreads between 10 - year and 30 - year Sino - US Treasury bonds widened [78] - Central Bank Open Market Operations: The central bank conducted 474.2 billion yuan in reverse repurchases with 242.3 billion yuan due, and a net MLF injection of 50 billion yuan, resulting in a total net injection of 281.9 billion yuan. The DR007 weighted average rate rose to around 1.44% [81] - Bond Issuance and Maturity: This week, bonds worth 1,583.458 billion yuan were issued, with a total repayment of 1,174.929 billion yuan, and a net financing of 408.529 billion yuan [86] - Market Sentiment - USD/CNY Exchange Rate: The central parity rate of the RMB against the US dollar was 6.9141, depreciating 243 basis points this week, and the spread between offshore and onshore RMB narrowed [90] - US Treasury Yields and VIX Index: The 10 - year US Treasury yield rose, and the VIX index rebounded significantly [96] - A - share Risk Premium: The 10 - year Treasury yield declined, and the A - share risk premium rose slightly [101] 3.4 Market Outlook and Strategy - Domestic Fundamentals: From January to February this year, the profits of industrial enterprises above designated size increased significantly. However, the structural characteristics of "strong external demand, weak internal demand; strong supply, weak demand" remain, and slow terminal demand recovery may pressure the profit margins of mid - and downstream enterprises [104] - Overseas Situation: The prospects for the US - Iran cease - fire negotiation are unclear, which has pushed up inflation expectations. The US labor market is stable, and the market is pricing in expectations of Fed rate hikes this year [104]