1. Report Information - Report Title: Treasury Bond Daily Report [1] - Date: February 26, 2026 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] 2. Industry Investment Rating No information provided. 3. Core Viewpoints - Due to profit - taking pressure, tight capital market, and a strong stock market, treasury bond futures closed down across the board. The yields of major inter - bank interest rates on current treasury bonds all increased, with an increase of less than 2bp. The inter - bank capital market was in a tight balance. Considering the cancelled IEEPA tariffs, the short - term impact on China was limited, and there was no need for urgent monetary policy tightening. After the Spring Festival, institutions holding bonds may have profit - taking needs, and the supply pressure of government bonds will rise. The bond market may fluctuate weakly [8][9][11][12] 4. Summary by Directory 4.1 Market Review and Operation Suggestions - **Market Performance**: Treasury bond futures closed down across the board under the pressure of profit - taking, tight capital market, and a strong stock market. The yields of major inter - bank interest rates on current treasury bonds all increased, with an increase of less than 2bp. By 16:30 pm, the yield of the 10 - year treasury bond active bond 250022 was reported at 1.8040%, up 1.4bp [8][9] - **Capital Market**: Facing the dual disturbances of tax payment and month - end, the inter - bank capital market was in a tight balance. The net investment in reverse repurchase in the open market was 159.5 billion yuan. The inter - bank capital sentiment index declined in the afternoon. The overnight DR rate in the inter - bank deposit market rose 1.66bp to 1.384%, the 7 - day capital interest rate fell 4.79bp to around 1.51%, the medium - and long - term capital was stable, and the 1 - year AAA certificate of deposit interest rate fluctuated narrowly between 1.56% and 1.58% [10] - **Conclusion**: The short - term impact on China was limited, and there was no need for urgent monetary policy tightening. After the Spring Festival, institutions may have profit - taking needs, the supply pressure of government bonds will rise, and the cash return will supplement liquidity. However, the central bank usually conducts net capital withdrawals after the Spring Festival, which may be unfavorable to short - term bonds. The market is more likely to bet on the holiday economic data, important meetings, and policies in March, but the current expectation of interest rate cuts is still not strong, and the bond market may fluctuate weakly [11][12] 4.2 Industry News - **US News**: US President Trump delivered his first State of the Union address in his second term. He said that gasoline prices in most US states were below $2.30 per gallon, mortgage rates were at a four - year low, inflation had been reduced to a five - year low (core inflation rate dropped to 1.7% in the last three months of 2025), the US had received investment commitments of $18 trillion, and had received more than 80 million barrels of Venezuelan oil [13] - **Shanghai Real Estate Policy**: Shanghai optimized its post - holiday real estate control policy, including reducing housing purchase restrictions, optimizing housing provident fund loan policies, and improving personal housing property tax policies. For example, the social security or tax - payment period for non - local residents to buy houses in the inner - ring area of Shanghai was shortened to 1 year, the maximum amount of the first - home provident fund loan was raised from 1.6 million yuan to 2.4 million yuan, and could be further increased to 3.24 million yuan for some special groups.沪籍 families could be exempted from property tax for their newly - purchased sole housing [14] - **Diplomatic News**: In response to the US's accusation of China's nuclear explosion test and the UK's inclusion of Chinese entities in the sanctions list against Russia, the Chinese Ministry of Foreign Affairs firmly refuted the accusations and expressed strong dissatisfaction, and stated that China would take necessary measures to safeguard its legitimate rights and interests [14][15] 4.3 Data Overview - **Treasury Bond Futures Market**: The report presented data on treasury bond futures trading on February 25, including contract information such as pre - settlement price, opening price, closing price, settlement price, price change, price change rate, trading volume, open interest, and change in open interest. It also mentioned the analysis of the spread between different contracts and the trend of the main contracts [6] - **Money Market**: The report provided data on the changes in the weighted average interest rate of inter - bank pledged repurchase, the interest rate of inter - bank deposit pledged repurchase, the term structure and trend of SHIBOR [28][33] - **Derivatives Market**: The report presented data on the fixed - rate curves of Shibor3M interest rate swaps and FR007 interest rate swaps [38]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In 2026, the government bond supply in January showed a return to front - loaded efforts, with increased issuance volume and a longer - term structure. The incremental supply mainly came from local bonds. The overall supply pressure in the first quarter remained high, with front - loaded rhythm and longer duration characteristics. The core of the phased impact was the increase in supply concentration and the rise in the proportion of ultra - long - term bonds. Although the primary market enthusiasm for bonds has limited recovery, the carrying capacity is temporarily stable, and the issuance and carrying environment will improve with the return of potential allocation forces. Attention should be paid to the micro - situation's impact on primary pricing and secondary sentiment in the short term, and the demand change trend of the term structure under the normal state of high supply in the medium term [2][4][30]. 3. Summary According to the Directory 1. January Government Bond Supply: Return of Front - Loaded Efforts and Longer Issuance Terms - **Scale and Rhythm**: In January 2026, the government bond issuance volume increased significantly compared to the same period last year, with a front - loaded trend. The total net financing was about 115.619 billion yuan, of which local bond net financing was about 72.944 billion yuan, contributing most of the incremental supply. Compared with the average level from 2020 to 2024, the net financing in January 2026 was slightly higher [9]. - **Term Structure**: In January 2026, the supply of treasury bonds showed an overall increase in all terms, with the medium - and long - term becoming the main increment. The proportion of 30 - year treasury bonds in the total issuance continued to decline. For local bonds, the issuance scale increased significantly year - on - year, the proportion of ultra - long - term bonds remained stable, and the weighted term increased from 16.4 years to 17.7 years, indicating that the market carrying pressure was more concentrated on 30 - year ultra - long - term varieties [10][12]. - **Issuance Tendering**: In January 2026, the issuance of local bonds remained stable, but the intensity of capital participation declined. The overall multiple of local bond issuance tenders decreased, and the issuance relied more on passive funds. The spread between local bonds and treasury bonds converged, indicating that the supply - demand relationship of local ultra - long - term bonds remained relatively stable [13][15]. 2. Outlook for the First Quarter: The Duration Pressure on the Supply Side Needs to be Re - balanced - **Issuance Plan**: In 2026, the total government bond supply will remain high. The net financing of treasury bonds in the first quarter is expected to be in the range of 50 - 150 billion yuan, and the net financing of local bonds is expected to be 245 - 247 billion yuan per quarter. The issuance intensity of treasury bonds is adjusted through single - period scale, and attention should be paid to the planned scale of the 2 - year treasury bond issued on February 4. The expected issuance scale of local bonds from January to March is about 244 billion yuan, with a front - high and back - low net financing characteristic. The subsequent local bonds may continue the high - duration issuance feature, and the demand side will be under continuous pressure [16][18]. - **Institutional Demand**: The equity allocation of insurance funds has a phased squeezing effect on the ultra - long - term, but there is marginal repair space. The allocation of insurance funds to ultra - long - term local bonds has strong seasonality, and the buying intensity usually recovers gradually during the year. The expansion of the insurance liability side provides a basis for subsequent bond allocation. The potential expansion space of the insurance side can support the subsequent ultra - long - term supply [20][23]. - **Spread Comparison**: Since January 2026, the pricing of ultra - long - term local bonds has shown the characteristics of spread convergence and stable repair of issuance interest rates. The deviation between the issuance interest rate and the secondary market yield of 30 - year local bonds has narrowed, and the spread between local bonds and treasury bonds has fallen back to the historical average range, indicating that the supply - demand relationship is gradually re - balanced [26]. - **Policy Tone**: The 2026 fiscal policy continues to be more proactive, with high - intensity in total amount, more focused in structure, stronger efficiency orientation, and parallel debt reduction and development. Attention should be paid to the implementation rhythm and structure of fiscal incremental arrangements and the subsequent issuance plan [27].

Core Viewpoint - The People's Bank of China (PBOC) is increasing the medium-term lending facility (MLF) operations to inject liquidity into the market, with a significant focus on supporting government bond issuances and maintaining financial stability [1][5]. Group 1: MLF Operations - On April 25, 2025, the PBOC will conduct a 600 billion yuan MLF operation with a one-year term, marking a net liquidity injection of 500 billion yuan after 1 trillion yuan MLF matures [1]. - This operation represents a significant increase from the previous month, indicating a stronger commitment from the PBOC to enhance medium-term liquidity in the market [1]. - The MLF balance will reach 46,570 billion yuan post-operation, reflecting the ongoing trend of increasing MLF operations [1]. Group 2: Government Bond Issuance - The issuance of ultra-long-term special government bonds is set to accelerate, with 1.3 trillion yuan planned for 2025, an increase of 300 billion yuan from 2024 [4]. - The first issuance of these bonds occurred on April 24, 2025, with 500 billion yuan for 20-year bonds at a yield of 1.98% and 710 billion yuan for 30-year bonds at a yield of 1.88% [1]. - The issuance schedule has been moved up by about a month compared to the previous year, indicating a proactive approach to funding [1]. Group 3: Financial Institutions Support - The issuance of special government bonds aimed at capital injection for financial institutions began on April 24, 2025, with a total amount of 165 billion yuan for a five-year term at a weighted average yield of 1.45% [5]. - This initiative is part of a broader strategy to support major banks in bolstering their core tier-one capital [7]. Group 4: Market Implications - The increase in MLF operations is likely a response to the upcoming government bond supply pressures, which may affect market liquidity [7]. - Analysts suggest that the PBOC's actions aim to mitigate potential liquidity strains during the upcoming Labor Day holiday and to counterbalance the large maturities of reverse repos [8]. - The multi-price bidding model for MLF is expected to lower the cost of liabilities for commercial banks, enhancing their ability to support the real economy sustainably [8].

文 ｜ 明明 章立聪 史雨洁 杨宏宇 我们测算二季度国债净融资规模约1 . 7 7万亿元，较往年同期高出约7 0 0 0亿元；地方债总发行规模为2 . 8万亿元，净发行规模约2 万亿元。货币政策长期维持支持性立场，随着财政政策扩张发力，货币配合的必要性提升，可以通过降准、扩大公开市场操作 规模等方式增加流动性供给。但短期来看，政策余量充足而不急于全部落地，结合近期股市修复韧性强，经济数据超预期，汇 率压力仍存等因素来看，操作时点上或有更多考量。 ▍ 一季度政府债供给情况。 国债方面，一季度净融资规模超过1 . 4万亿元，占全年计划6 . 6 6万亿元的2 2%。由于全年计划发行规模较大，因此即便在一季 度发行进度明显快于往年同期，剩余发行额度仍然超过5万亿元，远高于往年同期剩余额度的水平。地方债方面，一季度地方 政府债券发行规模达2 . 8 4万亿元，创历史新高，其中特殊再融资债贡献主要增量，新增债发行偏慢。 ▍ 二季度政府债供给预测。 ▍ 风险因素： 货币政策、财政政策超预期；央行公开市场操作投放超预期；信用违约事件频发等。 本文节选自中信证券研究部已于当日发布的《 晨会 》报告，具体分析内容（包括相关风险 ...