建信期货国债日报-20260401

Report Information - Report Name: Treasury Bond Daily Report [1] - Date: April 1, 2026 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] - Team: Macro Finance Team [4] Report Highlights 1. Investment Rating - No investment rating information provided. 2. Core Views - On March 31, due to the loose funds across the quarter, treasury bond futures closed slightly higher across the board. The yields of major term interest rate bonds in the inter - bank market declined comprehensively, with short - term yields rising by about 1bp, and the yield of the 10 - year treasury bond active bond 250022 rising by 0.9bp to 1.812% by 16:30. The funds were loose across the quarter, with a net reverse repurchase injection of 15 billion yuan in the open market. The overnight DR in the inter - bank market fell 3.84bp to around 1.27%, and the 7 - day fund rate fluctuated narrowly around 1.43%. The medium - and long - term funds loosened, and the 1 - year AAA certificate of deposit rate fell to around 1.48%. - Economic data from January to February were good, dampening market expectations of monetary easing. Coupled with the unclear situation in the Middle East, oil prices might remain at a high level for a long time, bringing imported inflation pressure and impacting the bond market. However, considering that the current inflation increase is mainly due to supply contraction rather than a significant increase in demand, the central bank's monetary policy is unlikely to change significantly. There may be opportunities to bet on market oversold conditions. In the short term, with economic data released and important policy information landed, market trading may focus on the capital side, policy deployment, and Sino - US relations. Attention should be paid to the possibility of reserve requirement ratio cuts and a resurgence of risk - aversion sentiment, and the short - term loose funds will provide strong support. [11][12] 3. Summary by Directory 3.1 Market Review and Operation Suggestions - Market Performance: Treasury bond futures closed slightly higher across the board due to loose funds across the quarter; the yields of major term interest rate bonds in the inter - bank market declined comprehensively, with short - term yields rising by about 1bp, and the 10 - year treasury bond yield changing slightly. The 10 - year treasury bond active bond 250022 yield rose 0.9bp to 1.812% by 16:30. The funds were loose across the quarter, with a net reverse repurchase injection of 15 billion yuan. The overnight DR in the inter - bank market fell 3.84bp to around 1.27%, the 7 - day fund rate fluctuated narrowly around 1.43%, and the 1 - year AAA certificate of deposit rate fell to around 1.48%. [8][9][10] - Conclusion: Economic data from January - February were good, dampening market easing expectations. With the unclear Middle East situation, high oil prices may bring imported inflation pressure and impact the bond market. But considering inflation is supply - driven, the central bank's policy may not change significantly. There may be opportunities in the oversold market. In the short term, the focus may shift to the capital side, policy, and Sino - US relations. Attention should be paid to RRR cuts and risk - aversion sentiment, and short - term loose funds will support. [11][12] 3.2 Industry News - The US State Department clarified the false report about Trump delaying his visit to China due to China's non - assistance in the Strait of Hormuz escort. The two sides are in communication about the visit. - The Fed will hold an interest - rate meeting after the US - Israeli air strikes on Iran. The strikes have caused oil price surges, affecting various assets. The Fed will discuss the impact of energy shocks on inflation and economic growth. Market expectations for a rate cut this year have dropped to once, and the war may strengthen the consensus that the Fed will keep rates unchanged. - China's economic data from January - February showed that fixed - asset investment increased 1.8% YoY (ex - real estate investment increased 5.2%), industrial added value increased 6.3% YoY, service production index increased 5.2% YoY, retail sales increased 2.8% YoY, real - estate development investment decreased 11.1%, new home sales area decreased 13.5%, new home sales volume decreased 20.2%, and the urban unemployment rate was 5.3%. The decline in new home prices in 70 large and medium - sized cities continued to narrow. [13][14] 3.3 Data Overview - Treasury Bond Futures Market: The report presents the trading data of treasury bond futures on March 31, including contract information such as the previous settlement price, opening price, closing price, settlement price, change, change rate, trading volume, open interest, and open interest change of various contracts. It also mentions data on the spread of main contract expirations, the spread between different - term main contracts (2 - year vs 30 - year, 10 - year, 5 - year; 5 - year vs 30 - year, 10 - year; 10 - year vs 30 - year), and the trend of main contracts. [6] - Money Market: The report includes the term structure change and trend of SHIBOR, the change of the weighted average interest rate of inter - bank pledged repurchase, and the change of the inter - bank deposit - based pledged repurchase rate. [30][34] - Derivatives Market: The report shows the fixed - rate curve (mean) of Shibor3M interest - rate swaps and FR007 interest - rate swaps. 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