Report Industry Investment Rating - Interest - rate bonds: The rating is based on the net price increase or decrease of interest - rate bonds within 3 months after the report date. There are three ratings including "Overweight" (interest rate risk decreases and net price has room to rise), "Neutral" (interest rate risk is stable and net price has slight fluctuations), and "Underweight" (interest rate risk increases and net price has room to fall) [69][73] - Credit bonds: The rating is based on the net price increase or decrease of credit bonds within 3 months after the report date. Ratings are "Overweight" (credit risk decreases and net price has room to rise), "Neutral" (credit risk is stable and net price has slight fluctuations), and "Underweight" (credit risk increases and net price has room to fall) [69] - Convertible bonds: The rating is based on the increase or decrease of the convertible bond price relative to the CSI Convertible Bond Index within 3 months after the report date. Ratings are "Overweight" (convertible bond performance is stronger than the CSI Convertible Bond Index), "Neutral" (convertible bond performance is the same as the CSI Convertible Bond Index), and "Underweight" (convertible bond performance is weaker than the CSI Convertible Bond Index) [70] Core Viewpoints - The incremental renewal of MLF in March released two positive meanings. First, the reduction in 3M - and 6M - term repurchase agreements was likely due to commercial bank demand. Second, after considering the negative externalities of high oil prices, the central bank still chose a relatively loose monetary policy [1][3][4] - The report is still optimistic about the continued looseness of inter - bank liquidity and the future trends of cash assets such as repurchase agreements, inter - bank certificates of deposit, short - term interest rates, short - term credit, and ABS [5] 3. March MLF Incremental Renewal's Two Positive Meanings - The central bank has constructed short - term, medium - term, and long - term quantitative monetary policy toolkits. Long - term tools include reserve requirement ratio cuts and treasury bond trading, medium - term tools include MLF, repurchase agreements, and various structural tools, and short - term tools include 7 - day open - market repurchase agreements and overnight repurchase agreements [2][12] - The reduction in 3M - and 6M - term repurchase agreements in March was likely due to commercial bank demand. In March, the 3M - term repurchase agreement decreased by 200 billion yuan, the 6M - term by 100 billion yuan, and in February, the central bank's net purchase of treasury bonds decreased by 50 billion yuan. However, the 5 - billion - yuan net MLF injection in March showed that the central bank's supportive attitude remained unchanged, as commercial banks had a higher acceptance of 1 - year MLF funds and less demand for 3M - and 6M - term repurchase agreements [3][12] - After considering the negative externalities of high oil prices, the central bank still chose a relatively loose monetary policy. High oil prices boosted domestic PPI and CPI, but the domestic price increase might be due to imported inflation. The incremental renewal of MLF released this policy signal. Also, on March 23, the NDRC adjusted domestic refined oil prices, indicating that macro - policies considered the negative externalities of high oil prices [4][13] 2. Narrow - sense Liquidity 2.1 Central Bank Operations - Short - term liquidity: Near the end of the quarter, the central bank increased its repurchase agreement injections. From March 23 to 27, the net injection of repurchase agreements was 231.9 billion yuan [17] - Medium - and long - term liquidity: The central bank's net MLF injection was 5 billion yuan [17] 2.2 Institutional Funding Supply and Demand - Funding supply (lenders): Near the end of the quarter, the net lending of large - scale banks decreased significantly [21] - Funding demand (borrowers): The absolute financing balance was high, while the relative leverage ratio was low [28] 2.3 Repurchase Market Transaction - Funding volume and price: The volume was abundant and the price was stable [42] - Funding sentiment index: The market was relatively relaxed [45] 2.4 Interest Rate Swaps - The cost of interest rate swaps fluctuated slightly, and the spread between CDs and IRS remained low [50] 3. Government Bonds 3.1 Next Week's Net Government Bond Payment: A Significant Decrease - In the past week, the total net government bond payment was 60.64 billion yuan, and in the next week, it is expected to be 1.5 billion yuan [51] 3.2 Government Bond Maturity Structure - As of March 27, the proportion of ultra - long - term bonds (over 10 years) in government bond issuance has changed over time. The issuance of treasury bonds and local government bonds also has different maturity structures [53][56][57] 4. Inter - bank Certificates of Deposit 4.1 Absolute Yield - The SHIBOR yield curve and the AAA - rated inter - bank certificate of deposit yield curve changed slightly in the past week [61] 4.2 Issuance and Outstanding Balance - As of March 27, the total issuance of inter - bank certificates of deposit was 772 billion yuan, with different proportions for different maturities. The total outstanding balance was 1,818.856 billion yuan, also with different maturity distributions [64][65] 4.3 Relative Valuation - The spreads of inter - bank certificates of deposit, such as the spread between the 1 - year AAA - rated inter - bank certificate of deposit yield and R007, DR007, and the 10 - year treasury bond yield, changed slightly, and their quantiles since 2020 are different [67]

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The central bank maintained liquidity during the quarter - end, with increased net open - market injections. Interest rates in the bond market were generally in a warm - fluctuating pattern, and the 30 - year treasury bond recovered significantly. The CD yield fluctuated, and the net financing of CDs turned positive. Government bond supply declined, and the inter - bank leverage ratio decreased slightly [1][2]. Summary by Related Catalogs 1. Funding Situation - **Central Bank Operations**: The central bank injected 4742 billion yuan through reverse repurchase and 5000 billion yuan through 1 - year MLF this week. Reverse repurchase maturities were 2423 billion yuan, and MLF maturities were 4500 billion yuan, resulting in a net reverse - repurchase injection of 2319 billion yuan and an excess MLF roll - over of 500 billion yuan [1]. - **Funding Prices**: R001 closed at 1.39% (previous value 1.40%), DR001 remained flat at 1.32% (previous value 1.32%), R007 closed at 1.51% (previous value 1.48%), and DR007 closed at 1.44% (previous value 1.42%). The spread between DR007 and the 7 - day OMO was 3.98bp. The 6M national - share bank draft transfer discount rate was 1.06% [1]. - **Bond Yields**: The 1 - year treasury bond yield dropped 0.5bp to 1.25%, the 10 - year treasury bond yield dropped 1.27bp to 1.82%, and the 30 - year treasury bond yield dropped 3.84bp to 2.35% [1]. 2. Inter - bank Certificates of Deposit (CDs) - **Yield Changes**: The 3M CD yield dropped 1.0bp to 1.46%, the 6M CD yield rose 0.75bp to 1.48%, and the 1Y CD yield rose 1.0bp to 1.53%. The spread between the 1 - year CD and R007 narrowed 2.00bp to 1.81bp [2]. - **Net Financing**: The net financing of CDs this week was 738 billion yuan, compared with - 4031 billion yuan previously. In terms of the issuance structure, the weighted - average issuance term this week was 7.9M (previous value 8.0M), with 877.0 billion yuan of 3M CDs issued, 1324.3 billion yuan of 6M CDs issued, and 2286.5 billion yuan of 1Y CDs issued [2]. 3. Institutional Behavior - **Government Bond Supply**: This week, the net issuance of treasury bonds was 948 billion yuan, and the net issuance of local bonds was 1300 billion yuan, with a total net issuance of government bonds of 2249 billion yuan (previous value 7402 billion yuan), and a total net payment of 5930 billion yuan (previous value 6652 billion yuan). Next week, the expected net issuance of local bonds is 406 billion yuan, and the net payment of local bonds is 686 billion yuan [2]. - **Inter - bank Leverage Ratio**: The average daily volume of pledged repurchase transactions this week was 7.94 trillion yuan (previous value 8.37 trillion yuan), and the average daily inter - bank market leverage ratio was 107.12% (previous value 107.26%) [2].

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - The funds remained loose this week despite some disturbances such as government bond supply and OMO net - withdrawals in the first half of the week. The MLF over - renewal and OMO net - injection on Wednesday limited the impact of the quarter - end factor. Short - term interest rates remained low, and the yields of medium - and short - term policy financial bonds continued to decline [3][15]. - The cross - quarter progress of funds slowed down further this week, with the cross - quarter progress of the whole market at 35.2%, 9.3 percentage points lower than the average from 2020 - 2025. However, the disturbance to funds at the quarter - end was limited, and the actual financing cost of non - banks was at a relatively low level compared with previous quarter - ends [4][29]. - Although the scale of money market funds rebounded rapidly in February, their demand for certificates of deposit was weaker than the seasonality, and the scale of reverse repurchase lending was also relatively limited. The probability of a significant rebound in short - term interest rates after the quarter - end was relatively low [39]. - The net payment of government bonds will decrease next week. With the central bank's support, institutions are likely to achieve a smooth cross - quarter. The exogenous disturbances to funds in early April after the quarter - end are also relatively limited, and the loose pattern is expected to continue in the short term [43][67]. 3. Summary According to the Directory 3.1 Money Market 3.1.1 This Week's Fund Review - The central bank's OMO had a net injection of 231.9 billion yuan this week. On Wednesday, the central bank conducted a 500 - billion - yuan MLF operation, with an over - renewal of 50 billion yuan compared with the maturity on that day. Despite the net withdrawal in the first half of the week and the large supply pressure of government bonds on Monday, the funds remained loose. DR001 remained at 1.32% for 11 consecutive trading days [3][15]. - The trading volume of pledged repurchase fluctuated and declined, with the average daily trading volume decreasing by 0.44 trillion yuan to 7.94 trillion yuan compared with last week. The overall scale of pledged repurchase first decreased and then increased, rising above 12 trillion yuan again on Friday. The net lending of large - scale banks first decreased and then increased, and was lower than last week as a whole; the net lending of small - scale banks continued to rise after Tuesday; the overall net lending of banks also first decreased and then increased, and was higher than last week [4][24]. - The non - bank rigid lending increased slightly continuously, mainly due to the large increase in the lending of money market funds. The non - bank rigid borrowing scale began to increase continuously on Tuesday, mainly due to the large increase in other products and insurance. The seasonally adjusted fund gap index fluctuated at a low level in the first half of the week and continued to rise after Wednesday, rising to - 314.6 billion yuan on Friday, higher than - 866.3 billion yuan last Friday; while the pre - seasonally adjusted index dropped to - 954.7 billion yuan, mainly affected by the large increase in the net lending of small - scale banks excluded from the seasonal adjustment [4][24]. - The cross - quarter progress of funds slowed down further. As of Friday, the cross - quarter progress of inter - bank funds was 35.4%, at the lowest level in the same period of previous years, and the gap with previous years continued to widen; the cross - quarter progress of the exchange slowed down again after accelerating on Tuesday, and the cross - quarter progress on Friday was 34.6%, also dropping to the lowest level in the same period of previous years. The cross - month progress of the whole market was 35.2%, 9.3 percentage points lower than the average from 2020 - 2025 [29]. 3.1.2 Next Week's Fund Outlook - The net payment of government bonds this week was 606.4 billion yuan. There is no treasury bond issuance plan next week. The issuance scale of local bonds in 5 regions such as Henan, Chongqing, and Sichuan is 118.4 billion yuan, including 2.1 billion yuan of new general bonds, 29.7 billion yuan of new special bonds, and 86.6 billion yuan of refinancing bonds, among which the issuance of replacement bonds is 11.7 billion yuan. Considering the time lag between issuance and payment, the payment scale of government bonds next week will drop to 146.4 billion yuan, the maturity scale will drop to 131.4 billion yuan, and the net payment scale will drop to 15 billion yuan [40][43]. - The actual issuance scale of treasury bonds in March was 1.38 trillion yuan, with a net financing of 300 billion yuan, in line with expectations. The issuance scale of local bonds in March was 1.08 trillion yuan, with a net financing of 670 billion yuan, lower than the expected 770 billion yuan. The overall actual issuance scale of government bonds in March was 2.47 trillion yuan, with a net financing of 960 billion yuan, lower than the expected 1.07 trillion yuan. The cumulative net financing of government bonds in the first quarter was 3.56 trillion yuan, lower than 4.1 trillion yuan in the same period of 2025 [56]. - Seven regions newly announced the Q2 local bond issuance plan this week. Currently, 22 regions have announced the Q2 plan, with a total scale of 1.9904 trillion yuan, still lower than the actual issuance of 2.0865 trillion yuan in Q1. It is estimated that the issuance scale of local bonds in April may be 1.03 trillion yuan, with a net financing of about 570 billion yuan, revised down by 130 billion yuan compared with last week's forecast. It is estimated that the issuance scale of local bonds in May and June will be 1.02 trillion yuan respectively, with net financings of 750 billion yuan and 490 billion yuan respectively. It is estimated that the issuance scale of government bonds in April, May, and June 2026 will be 2.36 trillion yuan, 2.39 trillion yuan, and 2.62 trillion yuan respectively, with net financings of 1.07 trillion yuan, 1.42 trillion yuan, and 1.06 trillion yuan respectively. The cumulative net financing scale of government bonds in the second quarter is expected to be about 3.55 trillion yuan, still lower than 3.7 trillion yuan in the same period of 2025 [60][62]. - The maturity scale of 7 - day reverse repurchases next week will rise to 474.2 billion yuan, and the net payment of government bonds will drop from 606.4 billion yuan this week to 15 billion yuan, with net repayments in the first half of the week. The new stock of Beijie Stock Exchange, Saiying Electronics, will be issued online on March 30, with a fundraising scale of about 270 million yuan, which may have a relatively lower impact on the exchange fund prices in the first half of the week. Overall, the maturity volume of reverse repurchases next week is lower than that in previous cross - quarter periods. With the central bank's support, institutions are likely to achieve a smooth cross - quarter. The exogenous disturbances to funds in early April after the quarter - end are also relatively limited, and the loose pattern is expected to continue in the short term [67]. 3.2 Inter - bank Certificates of Deposit - The 1 - year Shibor rate decreased by 1.45 BP to 1.5405% compared with March 20. The 1 - year AAA - grade inter - bank certificate of deposit secondary rate increased by 1 BP to 1.525% compared with March 20 [68]. - The issuance scale of inter - bank certificates of deposit increased while the maturity scale decreased this week, and the certificates of deposit turned to net financing of 7.27 billion yuan, an increase of 48.73 billion yuan compared with last week. The net financing scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were - 55.4 billion yuan, 131.7 billion yuan, 27.6 billion yuan, and - 11 billion yuan respectively. The 9 - month - term certificates of deposit had the largest issuance volume this week, accounting for 32%, and the issuance proportion of 1 - year certificates of deposit decreased by 5 percentage points to 30% compared with last week. The maturity scale of certificates of deposit next week is about 15.51 billion yuan, a decrease of 54.42 billion yuan compared with this week [74]. - The issuance success rates of joint - stock banks, city commercial banks, and rural commercial banks for certificates of deposit decreased month - on - month, while that of state - owned banks increased. Except for the relatively low issuance success rate of rural commercial banks, the others were near the average level in recent years. The issuance spread of 1 - year certificates of deposit between city commercial banks and joint - stock banks narrowed [75]. - The relative supply - demand strength index of certificates of deposit first decreased and then increased this week, rising by 0.2 percentage points to 29.3% for the whole week. The willingness of money market funds to increase holdings in the primary market increased slightly, the willingness of wealth management products and funds to increase holdings was stable, and the willingness of other products to increase holdings in the secondary market decreased. In terms of different terms, the supply - demand indexes of 1 - month and 1 - year certificates of deposit increased, while those of 3 - month, 6 - month, and 9 - month certificates of deposit decreased, with relatively large declines in 6 - month and 9 - month certificates of deposit [85]. 3.3 Bill Market The bill interest rate declined overall this week. As of March 27, the 3 - month and 6 - month bill interest rates of state - owned and joint - stock banks decreased by 13 BP and 11 BP respectively compared with March 20, to 1.30% and 1.06% [92]. 3.4 Bond Trading Sentiment Tracking - Interest - rate bonds fluctuated downward this week, and the credit spreads of medium - and long - term bonds compressed. Large - scale banks tended to reduce their bond holdings overall, and the scale of their increased holdings of treasury bonds also decreased. They tended to reduce their holdings of treasury bonds within 1 year and 5 - year treasury bonds, the willingness to increase holdings of 7 - year treasury bonds decreased, but they turned to be inclined to increase holdings of treasury bonds over 10 years. At the same time, they tended to reduce their holdings of policy financial bonds within 1 year, the willingness to reduce holdings of 1 - 3 - year policy financial bonds increased, but the willingness to reduce holdings of local bonds decreased [95]. - Trading - type institutions tended to increase their bond holdings overall. Among them, the willingness of securities companies to reduce holdings decreased, the willingness of fund companies to increase holdings increased, but the willingness of other institutions and products to increase holdings decreased [95]. - Allocation - type institutions' willingness to increase bond holdings increased overall. Among them, the willingness of small - and medium - sized banks to reduce holdings decreased, the willingness of wealth management products to increase holdings increased, but the willingness of insurance companies to increase holdings decreased [95].

Group 1 - Gold prices experienced a rapid decline, with spot gold dropping to $4433 per ounce, falling over 1.5% during the day, and briefly dipping below $4430 [1] - Silver prices also fell below the $70 mark, currently at $69.54 per ounce, with a daily drop exceeding 2% [1] - International oil prices continued to rise, with WTI crude oil increasing over 2% to surpass $92 per barrel, and ICE Brent crude nearing $99 per barrel [3] Group 2 - Major cryptocurrencies collectively declined, with Bitcoin falling below the $70,000 threshold, experiencing a drop of over 1.5%, and over 80,000 individuals globally facing liquidation in the last 24 hours [3] - The ongoing turmoil in the Middle East has led to significant military actions, including the Israeli Defense Forces targeting Iranian infrastructure, which may impact market stability [3] - Future gold prices are expected to be influenced by factors such as dollar credit and liquidity, with predictions of continued liquidity easing and weakened dollar credit potentially driving gold prices higher [3]

Group 1 - The report indicates that the liquidity situation remains stable, with interbank lending rates showing a downward trend, but the space for further declines in the one-year deposit rate is limited due to constrained policy rates and expectations of no significant interest rate cuts in the short term [8][5] - As of March 29, 2026, local government bonds issued reached a total of 30,804 billion yuan, with 16,143 billion yuan (52%) being long-term bonds and 11,308 billion yuan (37%) allocated for debt repayment [12][40] - The report highlights that the early repayment of non-privileged bonds has a minimal impact on valuations, typically within 2 basis points, as evidenced by recent events in Shaanxi province [13][41] Group 2 - The second quarter issuance plan for local government bonds is set to be concentrated, with a total of 15,827 billion yuan planned for issuance from April to June, including 6,786 billion yuan in April, 4,935 billion yuan in May, and 4,106 billion yuan in June [12][41] - The report notes that the net financing of local government bonds as of March 29, 2026, is slightly lower than the same period last year, with cumulative net financing of 24,294 billion yuan [12][40] - The report emphasizes the significant increase in net purchases of 15-year and 20-year local government bonds by small and medium banks and other institutions in Q1 2026, with total purchases of 1,148 billion yuan and 355 billion yuan, respectively [13][41]

Report Industry Investment Rating - Not provided in the report Core Viewpoint - From March 16 - 20, 2026, the central bank's short - term reverse repurchase had a net injection of 658 billion yuan, and the treasury cash fixed - term deposit had an injection of 180 billion yuan. During March 16 - 22, 2026, the net payment scale of government bonds increased, the yield to maturity of inter - bank certificates of deposit (CDs) declined, the net financing of inter - bank CDs was negative, and the average leverage ratio of the inter - bank bond market decreased slightly. From March 23 - 29, 2026, the expected net payment scale of government bonds is 566.4 billion yuan, and the maturity scale of inter - bank CDs is about 698.2 billion yuan. On March 20, 2026, the median durations of medium - long - term and short - term interest - rate style pure bond funds decreased by 0.23 years and 0.13 years respectively on a weekly basis [2]. Summary by Directory Fundamentals - During the tax - payment period, the central bank's 7 - day reverse repurchase had a small net injection. From March 16 - 20, 2026, the central bank's 7 - day reverse repurchase had an injection of 242.3 billion yuan and a withdrawal of 176.5 billion yuan, achieving a net injection of 65.8 billion yuan; the treasury cash fixed - term deposit had an injection of 180 billion yuan. The maturity scale of the Medium - term Lending Facility (MLF) in March is 450 billion yuan [6]. - The average fund interest rates decreased slightly on a weekly basis. From March 16 - 20, 2026, the average values of DR001 and R001 were 1.32% and 1.40% respectively, down 1.2 basis points and 0.2 basis points compared with March 9 - 13; the average values of DR007 and R007 were 1.43% and 1.49% respectively, down 2.3 basis points and 1.4 basis points compared with March 9 - 13 [6]. - The net financing scale of government bonds increased. From March 16 - 22, 2026, the net financing of government bonds was about 306.3 billion yuan, an increase of about 468.5 billion yuan compared with March 9 - 15, 2026. Among them, the net financing of treasury bonds was about 140.9 billion yuan, and the net financing of local government bonds was about 165.4 billion yuan. From March 23 - 29, 2026, the expected net financing of government bonds is about 566.4 billion yuan, including about 414.8 billion yuan of net financing of treasury bonds and about 151.6 billion yuan of net financing of local government bonds [7]. - The pressure on the cross - quarter fund situation is expected to be limited, but the frictional disturbances on the fund situation increased on a weekly basis. In March, with the net withdrawal of the central bank's outright reverse repurchase and the relatively small scale of 7 - day reverse repurchase injection, the fund interest rates still remained relatively stable, which may reflect that the liquidity of the current banking system is still relatively abundant. Also, from March 18, the 14 - day funds entered the cross - quarter range, but from the trend of the R014 fund interest rate, it only increased marginally by 6BP to 1.59% on March 18 and then declined steadily, which may also indicate that the pressure on the cross - quarter fund situation in March is limited. However, at the end of the quarter, attention should be paid to the possible phased increase in the volatility of fund interest rates. Specifically, first, the fund lending behavior of banks at the end of the quarter may be affected by the end - of - quarter assessment; second, the payment scale of government bonds from March 23 - 29 increased marginally, increasing the frictions on the fund situation; third, attention should be paid to the emotional disturbances on the fund situation caused by the MLF operation scale in March [8]. Inter - bank Certificates of Deposit - The yield to maturity of inter - bank CDs continued to decline. As of March 20, 2026, the yield to maturity of 1M and 3M inter - bank CDs were 1.4550% and 1.4650% respectively, down 4.5 basis points and 3.5 basis points compared with March 13, 2026; the yield to maturity of 1Y inter - bank CDs was 1.5150%, down 1.8 basis points compared with March 13, 2026 [9]. - The net financing of inter - bank CDs was negative. From March 16 - 22, 2026, the net financing of inter - bank CDs was about - 403.1 billion yuan. The expected maturity repayment amount of inter - bank CDs from March 23 - 29, 2026 is 698.2 billion yuan, and the maturity repayment amount of the previous week was 1162.9 billion yuan, with the pressure of maturity renewal decreasing [9]. Institutional Behavior - The average leverage ratio of the inter - bank bond market decreased slightly. From March 16 - 20, 2026, the average leverage ratio of the inter - bank bond market was 107.26%, and the average value calculated from March 9 - 13, 2026 was 107.42%. Among them, the calculated leverage ratios of the inter - bank bond market on March 20 and March 13, 2026 were about 107.30% and 107.40% respectively [10]. - Based on the calculation results, the durations of medium - long - term interest - rate pure bond funds and short - term interest - rate pure bond funds both decreased marginally. On March 20, 2026, the median duration (MA5) of medium - long - term interest - rate style pure bond funds was 4.30 years, down 0.23 years on a weekly basis, at the 73.8% quantile since the beginning of 2022; the median duration (MA5) of short - term interest - rate style pure bond funds was 1.94 years, down 0.13 years on a weekly basis, at the 70.2% quantile since the beginning of 2022 [10].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - **Stock Index Futures**: The market's risk - aversion sentiment has increased, and liquidity may be the key factor. The TACO trading may drive a short - term market rebound, but the market may still face pressure later. The key lies in whether liquidity increases. If the two - market stabilizes without a liquidity recovery, it may be a bull trap [1][10]. - **Stock Index Options**: The risk - aversion sentiment has escalated, and volatility has risen rapidly. In the context of long - term risk pricing of external events, one should be wary of the risk of secondary amplification of volatility caused by liquidity transmission. It is recommended to continue holding call options for defense in the short term [2][10]. - **Treasury Bond Futures**: The geopolitical situation has escalated, and most of the bond market has declined. One needs to pay attention to changes in the Middle East geopolitical conflict and inflation concerns. The short - end is relatively well - supported, while the long - end may be volatile [3][11]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: Yesterday, the stock market adjusted again. The Science and Technology Innovation 50 Index fell 4.31%, and the China Securities 1000 Index fell 4.81%. Precious metals, non - ferrous metals, and technology stocks were under pressure, and small - cap stocks led the decline [1][10]. - **Influencing Factors**: The Israel - Iran conflict heated up again over the weekend. The market is worried that the geopolitical risk may not end in the short term, and the impact of energy disturbances on inflation may be underestimated. Trump postponed the strike on Iran for 5 days after the market closed yesterday, leading to a rebound in crude oil and the US dollar index after a decline, and a weak stabilization of US and European stocks [1][10]. - **Outlook**: TACO trading may drive a short - term market rebound, but the market may still face pressure later. The key lies in whether liquidity increases. Reasons include: multi - asset resonance due to geopolitical conflicts, low trading volume in the past three days, and possible liquidity踩踏 caused by retail investors and hot money stopping losses [1][10]. - **Operation Suggestion**: Wait and see [10]. 3.2 Stock Index Options - **Market Performance**: On Monday, the underlying market declined throughout the day, and the total single - day trading volume of financial options soared to 21.83 billion yuan. The IV of each variety rose rapidly, reaching a relatively high level in the past quarter, and the position PCR declined rapidly, indicating that the implied risk is still being released [2][10]. - **Structural Features**: The upward volatility intensity of the call side of the 50 and 300 options is greater than that of the small - and medium - cap options, indicating that the market expects the former to be relatively more resistant to decline [2][10]. - **Strategy Suggestion**: In the context of long - term risk pricing of external events, be wary of the risk of secondary amplification of volatility caused by liquidity transmission. It is recommended to continue holding call options for defense in the short term [2][10]. 3.3 Treasury Bond Futures - **Market Performance**: Yesterday, the prices of the main contracts of treasury bond futures were divided. The price of the TL contract rose, while the prices of other varieties of contracts fell. The T main contract fluctuated downward after opening [3][11]. - **Influencing Factors**: The US - Iran situation escalated over the weekend, increasing the market's expectation of rising oil prices. At the same time, due to the decline in the stock market, some funds may have redemption on the liability side, leading to the net selling of spot bonds by some funds and a weakening of the treasury bond futures market [3][11]. - **Outlook**: One needs to pay attention to changes in the Middle East geopolitical conflict and inflation concerns. The short - end is relatively well - supported under the relatively loose capital situation, while the long - end may be volatile [3][11]. - **Operation Suggestion**: Trend strategy: volatile. Hedging strategy: pay attention to short - side hedging at low basis levels. Basis strategy: appropriately pay attention to the opportunity of reverse arbitrage at the ultra - long end. Curve strategy: the short - term curve may be steeper [11].

Core Viewpoint - Citic Securities indicates that in April, there is a liquidity gap due to government bond financing, seasonal fluctuations in M0, and an expanded base for reserve requirements [1] Group 1 - The liquidity gap is attributed to several factors including government bond financing and seasonal M0 fluctuations [1] - The impact of large-scale foreign exchange settlements on liquidity is highlighted as a significant concern [1] - If commercial banks continue to settle foreign exchange without the central bank purchasing foreign currency, the funding environment may face friction [1] Group 2 - The central bank may need to use other monetary policy tools to counteract the potential liquidity issues arising from these factors [1]

1. Report Industry Investment Rating - The report does not provide a specific industry investment rating. 2. Core Viewpoints of the Report - This week (March 16 - March 20), most of the funding rates declined, the average daily lending of large - scale banks decreased slightly, and funds slightly de - leveraged. The maturity of certificates of deposit (CDs) increased, and most of the CD maturity yields declined. In the cash bond trading, the main buyers were other institutions and funds, with funds still mainly increasing short - term credit holdings, large - scale banks increasing CD holdings, securities firms being the main sellers and selling 5 - 10Y interest - rate bonds, and insurance companies increasing 20 - 30Y interest - rate bond holdings [5]. 3. Summary by Directory 3.1 Monetary Fundamentals - This week, there were 17.65 billion yuan of reverse repurchase maturities. The central bank respectively injected 137.3 billion, 51 billion, 20.5 billion, 13 billion, and 20.5 billion yuan of reverse repurchases from Monday to Friday, with a total injection of 242.3 billion yuan. There were 500 billion yuan of outright reverse repurchase injections and 600 billion yuan of maturities on Monday. The net liquidity withdrawal for the whole week was 3.42 billion yuan. There will be 45 billion yuan of MLF maturing next Wednesday [5][8]. - As of March 20, R001, R007, DR001, and DR007 were 1.4%, 1.48%, 1.32%, and 1.42% respectively, with changes of 0.45BP, - 2.64BP, - 0.09BP, and - 4.07BP compared to March 13, and were at the 19%, 8%, 15%, and 2% historical quantiles respectively [5][11]. - From March 16 to March 20, the total lending scale of large - scale banks was 27.84 trillion yuan, with a daily maximum lending scale of 5.7 trillion yuan and an average daily lending scale of 5.6 trillion yuan, a decrease of 0.37 trillion yuan compared to the previous week's daily average [5][15]. - The trading volume of pledged repurchase decreased. The average daily trading volume was 8.37 trillion yuan, with a daily maximum of 8.50 trillion yuan, a 2.29% decrease compared to the previous week's daily average. The proportion of overnight repurchase transactions increased. The average daily proportion was 91.3%, with a daily maximum of 92.1%, an increase of 0.18 percentage points compared to the previous week's daily average, and was at the 97.6% quantile as of March 20 [5][17]. 3.2 Certificates of Deposit and Bills - This week (March 16 - March 22), the issuance scale of CDs decreased compared to the previous week, and the net financing was negative. The total issuance was 758.69 billion yuan, a decrease of 87.2 billion yuan compared to last week; the total maturity was 1162.86 billion yuan, an increase of 154.66 billion yuan compared to the previous week. The net financing was - 404.17 billion yuan, a decrease of 241.86 billion yuan compared to last week [5][20]. - By bank type, city commercial banks had the highest issuance scale. The issuance scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 124.57 billion yuan, 236.04 billion yuan, 338.59 billion yuan, and 32.77 billion yuan respectively, with changes of 5.8 billion yuan, - 109.61 billion yuan, 17.51 billion yuan, and - 11.21 billion yuan compared to the previous week [20]. - By term type, the 1 - year issuance scale was the highest. The issuance scales of 1M, 3M, 6M, 9M, and 1Y CDs were 54.32 billion yuan, 86.99 billion yuan, 202.37 billion yuan, 151.85 billion yuan, and 263.16 billion yuan respectively, with changes of - 5.38 billion yuan, - 30.22 billion yuan, 47.2 billion yuan, - 16.58 billion yuan, and - 82.22 billion yuan compared to the previous week. The 1 - year CD accounted for the highest proportion of the total issuance of CDs by different types of banks, at 34.69%, mainly due to more issuances by joint - stock banks; the 6 - month term accounted for 26.67%, mainly due to more issuances by city commercial banks [20]. - This week, the CD maturity volume increased. The total maturity was 1162.86 billion yuan, an increase of 154.66 billion yuan compared to last week. In the new week (March 22 - March 29), the CD maturity was 698.2 billion yuan [24]. - This week, the issuance interest rates of CDs of all banks and all terms decreased. By bank type, as of March 20, the issuance interest rates of one - year CDs of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks decreased by - 3.13BP, - 3.5BP, - 5.27BP, and - 3.62BP respectively compared to March 13, and were at the 0%, 2%, 0%, and 0% historical quantiles; by term, as of March 20, the issuance interest rates of 1M, 3M, and 6M CDs decreased by - 3.04BP, - 1.96BP, and - 1.16BP respectively compared to March 13, and were at the 2%, 0%, and 0% historical quantiles [28]. - This week, most of the Shibor rates declined. As of March 20, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates changed by - 0.2BP, - 4BP, 2.8BP, - 1.9BP, and - 2BP respectively compared to March 13 to 1.32%, 1.42%, 1.52%, 1.51%, and 1.52% [30]. - This week, the CD maturity yield curve shifted downward as a whole. As of March 20, the 1M, 3M, 6M, 9M, and 1Y maturity yields of AAA - rated ChinaBond commercial bank CDs were 1.46%, 1.47%, 1.47%, 1.5%, and 1.52% respectively, with changes of - 4.5BP, - 3.5BP, - 4BP, - 1.75BP, and - 1.75BP compared to March 13 [32]. - This week, the bill interest rates declined. As of March 20, the 3 - month national stock direct discount rate, 3 - month national stock transfer discount rate, 6 - month national stock direct discount rate, and 6 - month national stock transfer discount rate were 1.58%, 1.48%, 1.23%, and 1.22% respectively, with changes of - 4BP, - 5BP, - 3BP, and - 6BP compared to March 13 [36]. 3.3 Institutional Behavior Tracking - The inter - bank leverage ratio decreased slightly compared to the previous week. As of March 20, the total inter - bank leverage ratio in the bond market decreased by 0.05 percentage points to 105.23% compared to March 13, and was at the 19.90% historical quantile level since 2021 [38]. - The leverage ratio of broad - based funds remained basically unchanged. As of March 20, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.6%, 200.1%, 130.4%, and 104% respectively, with changes of - 0.05BP, - 10.64BP, - 0.15BP, and 0.01BP compared to March 13, and were at the 30%, 12%, 77%, and 1% historical quantile levels respectively [40]. - The weighted average net - buying duration of funds decreased compared to the previous week, and the duration of insurance companies decreased slightly. As of March 20, the weighted average net - buying duration (MA = 10) of funds was - 1.23 years, a decrease from 1.23 years on March 13, and was at the 15% historical quantile level; the weighted average net - buying duration (MA = 10) of wealth management products was - 0.08 years, a decrease compared to March 13, and was at the 38% historical quantile level; the weighted average net - buying duration (MA = 10) of securities firms was - 4.73 years, a decrease compared to March 13, and was at the 5% historical quantile level; the weighted average net - buying duration (MA = 10) of insurance companies was 15.72 years, a decrease compared to March 13, and was at the 99% historical quantile level [41]. - The duration of medium - and long - term pure - bond funds increased slightly compared to the previous week. As of March 20, the duration of medium - and long - term pure - bond funds increased by 0.01 years to 3.03 years compared to March 13, and was at the 11% historical quantile level since 2025; the duration of short - term pure - bond funds increased by 0.17 years to 1.48 years compared to March 13, and was at the 41% historical quantile level since 2025 [46].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The short - term trading of inflation expectations may have come to a temporary end. Before the next round of price data is released, the market's motivation for re - pricing inflation is limited, and the trading focus is expected to shift from fundamental expectations to the marginal changes in the capital and liquidity environment. The central bank is likely to continue to support liquidity and hedge through other monetary policy tools at key points, but there may still be a "frictional" liquidity shock due to the staggered rhythm of liquidity withdrawal and injection and the end - of - quarter factors. It is recommended to moderately reduce the allocation weight of highly crowded ultra - short - term assets and focus on 3 - 5 - year bonds [2][88]. Summary by Directory 1. Important Matters - In January - February 2026, the cumulative year - on - year growth rate of national fixed asset investment was 1.8%, showing a mild recovery. Manufacturing investment was resilient, and state - owned investment accelerated, while private investment was still in a cautious range [5]. - In March 2026, the 1 - year LPR was 3.00% and the 5 - year - plus LPR was 3.50%, remaining unchanged from the previous month. The reason may be that the comprehensive social financing cost has decreased, and the net interest margin of banks is still under pressure [9]. - On March 20, 2026, the draft of the Financial Law of the People's Republic of China was publicly solicited for opinions. The central bank focuses on the dual - pillar framework of monetary policy and macro - prudential policy, the National Financial Regulatory Administration focuses on micro - prudential and conduct supervision, and the China Securities Regulatory Commission focuses on capital market construction [10][11]. - In March 2026, the Fed maintained the policy interest rate, but the expectation of interest rate hikes increased. The market's pricing of the interest rate cut path in 2026 has converged, and the probability of not cutting interest rates is over 50% by December [12]. 2. Money Market 2.1 Open Market Operations and Fund Interest Rate Trends - From March 16 to 20, 2026, the central bank injected 2423 billion yuan through 7 - day reverse repurchase operations, with 1765 billion yuan due, resulting in a net injection of 658 billion yuan. From March 23 to 27, 2026, the expected maturity and withdrawal of base money is 6923 billion yuan [17]. - Last week, liquidity was still relatively loose, with DR001 fluctuating around 1.32%. As of March 20, 2026, R001, R007, DR001, and DR007 were 1.396%, 1.477%, 1.321%, and 1.421% respectively, with changes of 0.45BP, - 2.64BP, - 0.09BP, and - 4.07BP compared to March 16 [20]. 2.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Conditions - Last week, the issuance scale of inter - bank certificates of deposit was 758.69 billion yuan, a decrease of 87.19 billion yuan from the previous week. The maturity scale was 1162.86 billion yuan, an increase of 154.66 billion yuan from the previous week, and the net financing scale was - 404.17 billion yuan [27]. - The issuance interest rates of inter - bank certificates of deposit decreased last week. The average issuance interest rates of 3 - month and 1 - year inter - bank certificates of deposit for state - owned banks were 1.48% and 1.53% respectively, with changes of - 2.00BP and - 2.83BP from the previous week [31]. - In the secondary market, the demand for liquid assets was still strong. The yields of inter - bank certificates of deposit decreased significantly, and the term spread widened to some extent [33]. 3. Bond Market - In the primary market, last week, 98 interest - rate bonds were issued, with an actual issuance amount of 1071.234 billion yuan, a maturity amount of 253.192 billion yuan, and a net financing amount of 818.042 billion yuan. The issuance rhythm of national bonds in 2026 was slightly behind that of local bonds [35]. - In the secondary market, long - term bonds were still weak, while medium - and short - term bonds continued to perform well. The yield curve became steeper. The active bonds of 10 - year national bonds and 10 - year policy financial bonds changed, and the average spread between the active and secondary - active bonds of 10 - year national bonds and 10 - year policy financial bonds widened [35][45]. 4. Institutional Behavior Tracking - In February 2026, the leverage ratio of inter - bank institutions decreased seasonally, and the leverage ratio of securities companies decreased from a high level. Last week, the scale of leveraged trading remained high due to the relatively loose liquidity environment [61]. - In the cash bond market, large banks bought a large amount of national bonds with a maturity of less than 5 years, small and medium - sized banks continued to increase their holdings of national bonds with a maturity of more than 10 years, insurance companies increased their buying efforts, securities companies continued to sell, and funds continued to prefer policy financial bonds [70]. 5. High - Frequency Data Tracking - Last week, the settlement price of rebar futures increased by 5.97% week - on - week, the settlement price of wire rod futures decreased by 5.71% week - on - week, the settlement price of cathode copper futures increased by 2.04% week - on - week, the cement price index decreased by 0.37% week - on - week, and the Nanhua Glass Index increased by 2.02% week - on - week [86]. - The CCFI index decreased by 4.00% week - on - week, and the BDI index increased by 4.75% week - on - week. The wholesale price of pork decreased by 2.53% week - on - week, and the wholesale price of vegetables decreased by 5.02% week - on - week. The settlement prices of Brent crude oil futures and WTI crude oil futures decreased by 1.41% and 1.78% respectively week - on - week. The central parity rate of the US dollar against the RMB was 6.92 [86]. 6. Market Outlook - In the short term, the trading of inflation expectations may have ended. The trading focus will shift to the capital and liquidity environment. The central bank is likely to maintain the overall stability of the capital market, but there may be a "frictional" liquidity shock. It is recommended to reduce the allocation of ultra - short - term assets and focus on 3 - 5 - year bonds [88].