Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on April 1, 2026, covering the market performance of A-shares, stock index futures, and treasury bond futures on March 31, 2026 [1][2][3] Market Performance A-share Market - On March 31, the four major A-share stock indexes pulled back. The Shanghai Composite Index fell 0.8% to close at 3,891.86 points; the Shenzhen Component Index fell 1.81% to close at 13,478.06 points; the ChiNext Index fell 2.7% to close at 3,184.95 points; the STAR 50 Index fell 2.59% to close at 1,256.33 points [2] - Market turnover was 2.0059 trillion yuan, an increase of 78.4 billion yuan from the previous day [2] - In terms of industry sectors, household appliances (+1.57%), banks (+0.72%), and food and beverages (+0.23%) performed well; coal (-3.67%), power equipment (-3.21%), and electronics (-2.71%) performed poorly [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1,008/107/4,372 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large, and retail investors had net inflows of -26.9 billion, -22.5 billion, 15.6 billion, and 33.8 billion yuan respectively, with changes of -21.2 billion, -11 billion, +11.4 billion, and +20.8 billion yuan respectively [2] Stock Index Futures - The basis of the next-month contracts of IM, IC, IF, and IH was 121.85, 90.93, 36.65, and 4.72 points respectively. The annualized basis yields were -13.33%, -9.95%, -6.86%, and -1.39% respectively, and the three-year historical quantiles were 24%, 23%, 17%, and 37% respectively [3] - The trading strategy is to maintain the judgment of going long on the economy in the medium and long term. Currently, using stock index futures as a long substitute has a certain excess return. It is recommended to allocate long positions in the forward contracts of each variety on dips [3] Treasury Bond Futures - On March 31, treasury bond futures strengthened slightly. Among the active contracts, TS remained flat, TF rose 0.03%, T rose 0.04%, and TL rose 0.15% [3] - For the current active contract 2606, the CTD bond of the 2-year treasury bond futures was 250024.IB, with a yield change of +1bps, a corresponding net basis of 0.058, and an IRR of 1.15%; the CTD bond of the 5-year treasury bond futures was 250014.IB, with a yield change of +0.5bps, a corresponding net basis of 0.017, and an IRR of 1.34%; the CTD bond of the 10-year treasury bond futures was 250025.IB, with a yield change of +0.4bps, a corresponding net basis of -0.017, and an IRR of 1.5%; the CTD bond of the 30-year treasury bond futures was 210014.IB, with a yield change of +0.25bps, a corresponding net basis of -0.099, and an IRR of 1.82% [3] - In terms of the money market, the central bank injected 32.5 billion yuan and withdrew 17.5 billion yuan through open market operations, with a net injection of 15 billion yuan [3] - The trading strategy is that the short-term trend is unclear, so it is recommended to wait and see; in the medium and long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for T and TL [3] Tables and Figures Stock Index Futures and Spot Market Performance - The table shows the performance of stock index futures and spot markets, including codes, names, price changes, current prices, price changes, trading volumes, trading amounts, open interests, daily position changes, settlement prices, basis, and annualized basis yields [5] Treasury Bond Futures and Spot Market Performance - The table shows the performance of treasury bond futures and spot markets, including codes, names, price changes, current prices, trading volumes, trading amounts, open interests, daily position changes, settlement prices, net basis, and implied interest rates of CTD bonds [6] Short-term Fund Interest Rate Market Changes - The table shows the changes in short-term fund interest rates, including the current price, previous price, price one week ago, and price one month ago [9] Treasury Bond Spot Term Structure - The figure shows the term structure of treasury bond spots from March 31, 2025, to March 31, 2026 [7][8]

Group 1: Manufacturing PMI Insights - The manufacturing PMI for March rose to 50.4%, exceeding market expectations, indicating a recovery driven by external demand[3] - The new orders index increased by 3.0 percentage points (pp) to 51.6%, while the production index rose by 1.8 pp to 51.4%, reflecting a clear trend of supply recovery driven by demand[7] - The PMI for large enterprises remains high, but the recovery in March was primarily driven by small and medium-sized enterprises[7] Group 2: External Demand and Production Recovery - The new export orders index improved significantly, rising by 4.1 pp to 49.1%, indicating a strong recovery in external demand[7] - High-frequency data, such as container shipping metrics, also showed robust recovery in March, suggesting increased resilience in domestic exports[7] - The production index's increase was less than seasonal expectations, indicating cautious production choices by enterprises[7] Group 3: Price Dynamics and Inventory Management - The main raw material purchase price index surged by 9.1 pp to 63.9%, the highest level since May 2022, reflecting significant price pressures[7] - Despite rising input costs, companies are hesitant to increase inventory levels, as indicated by the raw material and finished goods inventory indices not exceeding seasonal trends[7] Group 4: Non-Manufacturing Sector Performance - The non-manufacturing PMI rose to 50.1%, with the construction PMI at 49.3%, still in contraction territory and below seasonal expectations[7] - The service sector PMI increased by 0.5 pp to 50.2%, but also underperformed against seasonal norms, indicating weaker consumer demand in sectors like tourism[7] Group 5: Economic Outlook and Policy Implications - The recovery in manufacturing PMI suggests a positive economic outlook driven by external demand, reducing the necessity for preemptive policy measures[7] - The improvement in external demand may lead to a virtuous cycle, potentially easing the improvement cycle for domestic industries like construction[7]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - In March 2026, the manufacturing PMI rebounded beyond expectations, indicating an economic recovery, but the recovery strength is average and the expectations are cautious. Without considering external uncertainties, the prices of domestically - priced commodities are expected to rise. The manufacturing PMI in April 2026 is likely to decline, which is a crucial observation window [4][5][6]. - In March 2026, the non - manufacturing PMI rose, but multiple sub - items are at historically low levels, and the non - manufacturing industry is still in the bottom - building process. The construction industry is still in a downward trend, but the sales price sub - item has bottomed out [29][32]. 3. Summary by Relevant Catalogs Part 1: Review of China's Manufacturing and Non - manufacturing PMI Data Tables - Manufacturing PMI: In March 2026, all sub - items of the manufacturing PMI increased compared to February. The significant increases include the purchase price of main raw materials (up 9 to 63.9), ex - factory price (up 4.8 to 55.4), import (up 4.2 to 49.8), new export orders (up 4.1 to 49.1), and new orders (up 3 to 51.6) [3][4]. - Non - manufacturing PMI: In March 2026, the business activity of non - manufacturing PMI was 50.1, up 0.6 from the previous month. The sub - items with relatively large increases were new export orders, input prices, sales prices, and delivery time. The sub - items with relatively large decreases were domestic demand, inventory, business activity expectations, and employees [3][29]. Part 2: March Manufacturing PMI Reflects Economic Service Beyond Expectations - Manufacturing PMI reached 50.4 in March 2026, up 1.4 from the previous month, higher than the market expectation of 50.1, and above the 50 boom - bust line again after two months. All sub - items increased, indicating an economic recovery. However, some key sub - items are still below 50, and some sub - items are at the second - lowest or lowest levels in the same period since 2018. The economic recovery is influenced by factors such as the arrival of the demand peak season, economic improvement, and price increases due to the Middle East conflict. The recovery strength is average, and expectations are cautious. The prices of domestically - priced commodities are expected to rise. In April 2026, the manufacturing PMI is likely to decline, which is a crucial observation window [4][5][6]. Part 3: Multiple Sub - items of March Non - manufacturing PMI are at Historically Low Levels - In March 2026, the non - manufacturing PMI business activity was 50.1, up 0.6 from the previous month and higher than the expected 49.9, returning above 50 again after two months. The sub - items of non - manufacturing PMI showed mixed trends. The new orders and domestic demand sub - items decreased against the season, indicating that the non - manufacturing industry is still in the bottom - building process. Some sub - items are at the lowest or second - lowest levels in the same period over the years. The construction industry PMI shows a downward trend, but the sales price sub - item has bottomed out, suggesting that the housing price may be stabilizing, but the sustainability needs to be observed [29][32].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - A steepening bond market trend in the past is a reference. In the first half of 2009, there was a notable "short - end down, long - end up" situation in 1y and 10y treasury bonds, similar to March this year. The key is to judge the trend of credit expansion. If credit expansion is weak, the long - end interest rate has a clear ceiling and will reverse after adjustment. For now, the weak bill rate in March indicates that credit投放 momentum is hard to sustain, and the net financing of government bonds has no significant increase. So, the social financing growth rate is likely to decline in the second quarter, presenting a long - end trend opportunity [1]. - After the curve steepens, two key factors are the central bank's support and credit expansion. Without credit expansion, economic stabilization may not be sustainable, and long - end yields are likely to decline, leading to a "compressing spread" (bull steepening) scenario [2][10]. Summary of Each Section According to the Table of Contents 1 Curve Steepening: Key Considerations - The situation in March this year is similar to that in the first half of 2009. The central bank's sufficient liquidity injection and continuous support led to short - end yields following the funds and moving lower. Meanwhile, long - end yields oscillated upward as they were influenced by economic recovery and inflation expectations [7][8]. - After the curve steepens, two crucial factors are the central bank's stance and credit expansion. As long as the global political situation is complex and the financial market is volatile, the central bank is likely to maintain stability. Credit expansion is crucial for economic recovery, and it can crowd out bond - allocating funds and affect market expectations. Without credit expansion, long - end rates are more likely to decline, and the bond market still has trend opportunities [2][10][11]. 2 Steepening Market in the First Half of 2009 2.1 Prelude: Policy Shift Caused by the 2008 Subprime Mortgage Crisis and Curve "Bull Steepening" - In July 2008, the Politburo meeting focused on controlling inflation. However, after the subprime mortgage crisis fully erupted in September 2008, economic data deteriorated significantly, and the policy shifted to "stable growth" [13][14]. - The government adopted "broad fiscal + broad monetary" policies. The central bank cut the reserve requirement ratio three times, lowered interest rates four times, and carried out open - market operations. The government also launched a 4 - trillion - yuan stimulus plan, leading to an increase in long - term bond issuance. The yield curve showed a bull - steepening pattern starting from October 2008 [16][17][20]. 2.2 How Did the Bull Steepening Market in 2009 Unfold? 2.2.1 Steepening from January to July 2009: "Stable Low - level Funding Rates + Recovery Expectations" - Short - end: The release of reserve - requirement - cut funds and the high degree of deposit current - account conversion led to low - level funding rates. Although the central bank did not cut the reserve requirement ratio or interest rates in the first half of 2009, it continued to support the market. The 1 - year treasury bond rate oscillated in the range of 0.90% - 1.00% from March to June, after adjustments in January and February [28][29]. - Long - end: The market was caught in a tug - of - war over "recovery expectations." At the beginning of the year, the better - than - expected credit data led to a short - term recovery trade in the bond market. However, due to the ample funds of allocation - oriented investors, long - term bond rates oscillated until the end of May when they started to rise again [32]. 2.2.2 From July to December 2009: The Central Bank Exited "Excessive Easing" + Long - Term Bonds Were Traded Based on Economic Recovery Expectations - Short - end: In July, the central bank restarted the issuance of 1 - year central bank bills, indicating a shift from excessive easing to a tighter monetary policy. The 1 - year short - term bond rate rose from around 0.98% to around 1.49% by the end of the year [39]. - Long - end: Interest rates oscillated upward following economic expectations. The 10 - year treasury bond rate fluctuated due to factors such as economic data, bond supply, and inflation expectations. By the end of December, the 10 - year treasury bond yield was around 3.64% [42][45][46].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - Last week, bond yields oscillated downward, showing the characteristics of "long - end decline and curve flattening". The main drivers were the central bank's precise liquidity injection and the rise in risk - aversion sentiment due to geopolitical risks. The bond market is in a pattern where support and constraints coexist. On one hand, the improvement in industrial enterprise profits, the continuation of production resilience, and the marginal recovery of external demand, along with the high - level supply of government bonds, impose phased constraints on the decline of interest rates. On the other hand, the loose monetary policy and the stable capital interest rate provide support for the bond market. In the future, attention should be paid to the rhythm of government bond issuance, marginal changes in central bank monetary policy operations, geopolitical developments, and changes in the Fed's monetary policy path [3][7] 3. Summary by Relevant Catalogs 3.1 Investment Highlights - Bond yields oscillated downward last week, with the 1 - year Treasury yield dropping 0.5BP to 1.252%, the 10 - year Treasury yield falling 1.2BP to 1.82%, and the 30 - year Treasury yield declining 4BP to 2.35%. The long - end decline was greater than the short - end, narrowing the 10Y - 1Y term spread by 0.8BP to 56.5%. The main reasons for the decline in bond yields were the central bank's precise liquidity injection and the rise in risk - aversion sentiment due to geopolitical risks [3] 3.2 Fundamental Aspect - The profit growth rate of industrial enterprises above a designated size improved significantly, with the cumulative year - on - year growth rate of total profits from January to February reaching 15.2%, 14.6 percentage points higher than the previous value. High - frequency data showed that production was moderately recovering, with different industries' production start - up rates showing mixed trends. Consumption and prices were weak, while exports showed marginal improvement. Overall, the pattern of strong production and weak demand continued, and the economic recovery momentum was moderately repaired, which imposed phased constraints on the bond market [4] 3.3 Policy Aspect - Multiple tools were used in a coordinated manner to precisely maintain liquidity at the end of the quarter. Open - market operations flexibly hedged to maintain short - term liquidity. MLF was over - renewed to stabilize expectations, with a net currency injection of 500 billion yuan. The bill market was in a balanced supply - demand state, providing neutral support to the capital side. Overall, monetary policy operations remained flexible and appropriate, maintaining a reasonable and abundant liquidity environment [5] 3.4 Supply Aspect - Government bond issuance continued to accelerate, and the bond supply pressure remained high. The overall bond market issuance scale reached 1.96 trillion yuan last week, with a net financing of 238.5 billion yuan. Interest - rate bonds were the main supply force, and the net financing of credit bonds improved marginally. Government bonds, including national bonds and local government bonds, showed significant growth [6] 3.5 Capital Aspect - The capital side remained in a loose and balanced state, and the cross - quarter pressure was generally controllable. Term interest rates showed structural differentiation, with overnight capital interest rates slightly declining and 7 - day interest rates rising due to end - of - quarter demand. Although the end - of - quarter factors had a certain impact on short - term capital prices, the capital price center remained within a reasonable range [6]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - In the medium to long term, maintain the judgment of going long on the economy. It is recommended to allocate long positions in various varieties of forward contracts on dips [3] - In the short term, the trend of Treasury bond futures is unclear, so it is advisable to wait and see. In the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high levels for T and TL contracts [3] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On March 26, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 1.09% to 3889.08 points, the Shenzhen Component Index fell 1.41% to 13606.44 points, the ChiNext Index fell 1.34% to 3272.49 points, and the Science and Technology Innovation 50 Index fell 2.02% to 1288.81 points. Market turnover was 1957 billion yuan, a decrease of 235.9 billion yuan from the previous day [2] - In terms of industry sectors, coal (+0.59%), petroleum and petrochemicals (+0.47%), and banks (+0.37%) performed well; computers (-2.74%), non - bank finance (-2.74%), and communications (-2.35%) performed averagely. In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 915, 83, and 4490 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -24.5 billion, -27 billion, 14.1 billion, and 37.4 billion yuan respectively, with changes of -42.4 billion, -24.1 billion, +30.6 billion, and +35.9 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 156.58, 124.53, 41.73, and 5.47 points respectively. The annualized basis yields were -15.53%, -12.34%, -7.06%, and -1.47% respectively, and the three - year historical quantiles were 14%, 13%, 16%, and 36% respectively [2] - Specific performance data of various stock index futures contracts and spot indexes are shown in Table 1 [5] 3.2 Treasury Bond Futures and Spot Market Performance - On March 26, Treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.02%, TF rose 0.07%, T rose 0.08%, and TL rose 0.22% [3] - For the current active 2606 contract, the CTD bond of the 2 - year Treasury bond futures was 250024.IB, with a yield change of -1.35bps, a corresponding net basis of 0.058, and an IRR of 1.19%; the CTD bond of the 5 - year Treasury bond futures was 250014.IB, with a yield change of -1bps, a corresponding net basis of 0.055, and an IRR of 1.2%; the CTD bond of the 10 - year Treasury bond futures was 250025.IB, with a yield change of -0.5bps, a corresponding net basis of 0.023, and an IRR of 1.34%; the CTD bond of the 30 - year Treasury bond futures was 210014.IB, with a yield change of -0.25bps, a corresponding net basis of -0.097, and an IRR of 1.81% [3] - In terms of the money market, the central bank injected 224 billion yuan and withdrew 13 billion yuan, with a net injection of 211 billion yuan [3] - Specific performance data of various Treasury bond futures contracts and spot bonds are shown in Table 2 [6] 3.3 Economic Data - High - frequency data shows that the prosperity of various sectors has declined [9] - Based on the changes of medium - term data in each module compared with the same period in the past five years (the month - on - month of year - on - year), a scoring system from -2 to +2 is used to represent the prosperity. Positive scores represent an improvement in prosperity, negative scores represent a weakening of prosperity, and a score of zero represents little change in prosperity [12]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - and long - term, and recommend allocating long - term contracts of various varieties at dips [2]. - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - and long - term, due to the rising risk appetite and the expectation of economic recovery, it is recommended to conduct hedging on T and TL at high prices [3]. 3. Summary According to Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On March 25th, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 1.3% to close at 3931.84 points; the Shenzhen Component Index rose 1.95% to close at 13801 points; the ChiNext Index rose 2.01% to close at 3316.97 points; the Science and Technology Innovation 50 Index rose 1.91% to close at 1315.41 points. The market turnover was 21,929 billion yuan, an increase of 968 billion yuan from the previous day. In terms of industry sectors, comprehensive (+3.87%), communication (+3.71%), and non - ferrous metals (+2.97%) performed well; coal (-1.29%) and petroleum and petrochemicals (-0.44%) performed moderately. In terms of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,871/59/559 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 179, - 29, - 165, and 15 billion yuan respectively, with changes of +106, +56, - 1, and - 162 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 164.98, 137.67, 49.67, and 12.53 points respectively, and the annualized basis yields were - 15.65%, - 13.03%, - 8.05%, and - 3.22% respectively, with three - year historical quantiles of 14%, 11%, 12%, and 27% respectively [2]. - Details of various stock index futures contracts such as IC, IF, IH, and IM including price, trading volume, open interest, basis, and annualized basis yield are shown in Table 1 [5]. 3.2 Treasury Bond Futures and Spot Market Performance - On March 25th, treasury bond futures remained flat. Among the active contracts, TS rose 0.02%, TF remained flat, and TL rose 0.01%. For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of +0.1 bps, a corresponding net basis of 0.057, and an IRR of 1.19%; the CTD bond of the 5 - year treasury bond futures was 250014.IB, with a yield change of - 0.5 bps, a corresponding net basis of 0.074, and an IRR of 1.12%; the CTD bond of the 10 - year treasury bond futures was 250025.IB, with a yield change of - 0.3 bps, a corresponding net basis of 0.067, and an IRR of 1.15%; the CTD bond of the 30 - year treasury bond futures was 210014.IB, with a yield change of +0 bps, a corresponding net basis of 0.228, and an IRR of 0.64% [3]. - In terms of the money market, the central bank injected 785 billion yuan and withdrew 205 billion yuan, with a net injection of 580 billion yuan [3]. - Details of various treasury bond futures contracts such as TS, TF, T, and TL including price, trading volume, open interest, net basis, and CTD bond implied interest rate are shown in Table 2 [7]. 3.3 Economic Data - High - frequency data shows that the prosperity of various sectors has declined [10]. - Based on the changes (year - on - year month - on - month) of meso - level data in each module compared with the same period in the past five years, the prosperity of manufacturing, real estate, social activities, infrastructure, and import and export is scored. Positive scores represent an improvement in prosperity, negative scores represent a decline in prosperity, and zero scores represent little change in prosperity [12][13].

Report Summary 1. Market Performance - On March 24, the four major A-share stock indices all rose, with the Shanghai Composite Index up 1.78% to 3881.28 points, the Shenzhen Component Index up 1.43% to 13536.56 points, the ChiNext Index up 0.5% to 3251.55 points, and the STAR 50 Index up 2.33% to 1290.79 points. Market turnover was 20,961 billion yuan, a decrease of 3,520 billion yuan from the previous day [2]. - In the industry sectors, environmental protection (+4.29%), textile and apparel (+3.99%), and building materials (+3.66%) performed well, while petroleum and petrochemicals (-0.86%) and coal (-0.49%) performed moderately [2]. - In terms of market strength, IM > IC > IH > IF, and the number of rising, flat, and falling stocks was 5,135, 26, and 328 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 73, - 85, - 164, and 177 billion yuan respectively, with changes of +475, +308, - 357, and - 426 billion yuan respectively [2]. 2. Stock Index Futures - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 128.26, 113.17, 47.72, and 10.25 points respectively, and the annualized basis yields were - 12.05%, - 10.64%, - 7.62%, and - 2.59% respectively, with three - year historical quantiles of 31%, 19%, 14%, and 28% respectively [2]. - **Trading Strategy**: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - position alternative has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips [2]. 3. Treasury Bond Futures - **Market Performance**: On March 24, the treasury bond futures showed a neutral - to - strong trend. Among the active contracts, TS fell 0.02%, TF remained flat, T rose 0.02%, and TL rose 0.52% [3]. - **Cash Bonds**: The current active contract is the 2606 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for different - term treasury bond futures are provided. For example, for the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of - 0.05 bps, a net basis of 0.062, and an IRR of 1.14% [3]. - **Funding Situation**: In the open - market operations, the central bank injected 175 billion yuan and withdrew 510 billion yuan, resulting in a net withdrawal of 335 billion yuan [3]. - **Trading Strategy**: The short - term trend is unclear, so it is recommended to wait and see. In the medium - to - long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 4. Economic Data - High - frequency data shows that the prosperity of various sectors has declined [9].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - For stock index futures, in the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips as using stock index as a long - term substitute has certain excess returns [2] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3. Summaries According to Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On March 23, A - share four major stock indexes continued to correct. The Shanghai Composite Index fell 3.63% to 3813.28 points, the Shenzhen Component Index fell 3.76% to 13345.51 points, the ChiNext Index fell 3.49% to 3235.22 points, and the Science and Technology Innovation 50 Index fell 4.31% to 1261.44 points. Market turnover was 24,481 billion yuan, an increase of 1,453 billion yuan from the previous day. Coal (+0.2%) and petroleum and petrochemicals (+0.06%) performed well, while social services (-6.41%), beauty care (-6.02%), and agriculture, forestry, animal husbandry and fishery (-5.56%) performed poorly. From the perspective of market strength, IH>IF>IC>IM. The number of rising/flat/falling stocks was 305/14/5,170 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - investor, and retail investors' net inflows of funds throughout the day were - 402, - 393, 192, and 603 billion yuan respectively, with changes of - 284, - 111, +219, +177 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 111.11, 103.15, 32.8, and 0.73 points respectively, and the annualized basis yields were - 10.41%, - 9.63%, - 5.16%, and - 0.18% respectively. Their three - year historical quantiles were 42%, 24%, 24%, and 49% respectively [2] - **Transaction Strategy**: In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On March 23, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.02%, TF fell 0.05%, T fell 0.09%, and TL rose 0.07% [2] - **Cash Bond Situation**: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of +0.8bps, a corresponding net basis of 0.041, and an IRR of 1.25%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of +0.75bps, a corresponding net basis of 0.045, and an IRR of 1.24%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of +1bps, a corresponding net basis of 0.039, and an IRR of 1.26%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.35, and an IRR of 0.21% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 8 billion yuan and withdrew 137.3 billion yuan, with a net withdrawal of 129.3 billion yuan [2] - **Transaction Strategy**: The short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3.3 Economic Data - High - frequency data shows that the prosperity of various sectors has declined [8]

1. Report Industry Investment Rating There is no information about the industry investment rating in the provided content. 2. Core Viewpoints of the Report - Overseas, the US President signaled short - term easing, leading to a significant increase in global risk appetite. International energy prices dropped sharply, and the US dollar index and US Treasury yields declined. Domestically, the Chinese economy rebounded better - than - expected from January to February, with exports far exceeding expectations and inflation continuing to recover. The goals and policy intensity in the government work report for 2026 are lower than those in 2025. The market trading logic is mainly focused on the Middle East geopolitical risks. In the short term, the stock index may be volatile and weak, but it may pick up after the US President's easing signal. Attention should be paid to the changes in the Middle East geopolitical situation, the implementation of policies after the Two Sessions, and market sentiment [3][4]. - For different asset classes: short - term stock index is volatile and weak, with intensified fluctuations, and short - term cautious observation is recommended; government bonds are short - term volatile, and cautious observation is needed; in the commodity sector, black metals are short - term volatile and rebounding, and short - term cautious observation is required; non - ferrous metals are short - term volatile and weak, and short - term cautious observation is recommended; energy and chemical products are short - term highly volatile, and cautious long - positions are advised; precious metals are short - term highly volatile and generally weak, and cautious observation is needed [3]. 3. Summary by Related Catalogs Macro - finance - Overseas, the US President's statement about postponing the attack on Iran's energy infrastructure (though Iran denied it) led to a short - term easing of the situation, a sharp drop in international energy prices, and a decline in the US dollar index and US Treasury yields. Domestically, the economy and inflation from January to February were better than expected. The goals and policy intensity in the 2026 government work report are lower than in 2025. The stock index may be volatile and weak in the short term but may improve after the US President's easing signal. Attention should be paid to the Middle East geopolitical situation, policy implementation after the Two Sessions, and market sentiment [3]. Stock Index - Affected by sectors such as precious metals, hotels and tourism, and components, the domestic stock market fell sharply. The economy and inflation from January to February were better than expected. The market trading logic is focused on the Middle East geopolitical risks. The stock index is short - term volatile and weak, but may pick up after the US President's easing signal. Short - term cautious observation is recommended [4]. Precious Metals - The precious metals market had a significant gap - up on Monday night. The Shanghai gold main contract closed at 980 yuan/gram, down 1.3%; the Shanghai silver main contract closed at 17,246 yuan/kilogram, up 3.47%. Spot gold and silver fluctuated greatly. Short - term precious metals are highly volatile and have rebounded. Short - term cautious observation is recommended [5]. Black Metals - **Steel**: The domestic steel futures and spot markets rebounded slightly on Monday, with low trading volume. The price rebound was driven by strong coking coal, but the industry fundamentals are still weak. Steel inventory has peaked and declined, and the growth of apparent consumption of five major varieties has slowed. After the important meeting, the output of five major varieties of steel and hot metal increased last week. The steel market will follow the cost in the short term, and attention should be paid to the price adjustment risk after the cost drops [7]. - **Iron Ore**: The futures and spot prices of iron ore rebounded slightly on Monday, boosted by the strong crude oil price. In terms of fundamentals, the daily average hot metal output of blast furnaces increased, and the profitability of steel mills remained around 42%, so the demand for iron ore is still resilient. The shipment and arrival volume of iron ore will increase this week, and the problem of short - term supply - demand mismatch is gradually being alleviated. It is expected that the room for further price increase of iron ore is limited, and attention should be paid to the short - term adjustment risk after the energy price weakens [7]. - **Silicon Manganese/Silicon Iron**: The spot prices of silicon iron and silicon manganese were flat on Monday, and the futures prices rebounded slightly. The rebound was affected by the rising crude oil price and the energy substitution logic and will continue in the short term. The manganese ore spot price is still firm. The capacity utilization rate of silicon manganese enterprises increased slightly, and the daily output decreased slightly. The northern production is relatively stable, and the profit margin is acceptable. The silicon iron and silicon manganese futures prices can be considered from a volatile and upward perspective [8]. Non - ferrous Metals and New Energy - **Copper**: The spot TC has dropped below - 60 US dollars/ton, a new low. By - product revenues such as sulfuric acid and precious metals make up for the smelting profit. The refined copper production growth rate is at a high level. The core contradiction lies in the mine end, and the copper mine is generally considered to be tight, but the probability of extreme shortage is not high. The inventory at home and abroad has continued to accumulate, reaching a record high. The copper price has dropped sharply, and downstream enterprises have replenished their stocks intensively at low prices, resulting in a significant decline in social copper inventory. The sustainability of inventory reduction needs to be observed [9]. - **Aluminum**: The market trading logic on Monday continued from last week, trading on the logic that high oil prices lead to an increase in inflation expectations and a delay in interest rate cuts. The precious metals continued to fall sharply, and the non - ferrous metal sector was searching for a bottom. The domestic primary aluminum output increased significantly from January to February, and the pattern of weak domestic and strong overseas may change temporarily. The domestic primary aluminum imports remain high, and the waste aluminum imports have decreased slightly. The domestic aluminum supply is rigid and remains at a high level, and the previously shut - down production capacity will resume production later, so the supply pressure still exists [9]. - **Zinc**: The zinc ore processing fees in the southern and northern regions of China have changed. The domestic smelting capacity is still expanding, and by - product revenues make up for losses, so the domestic smelting output remains at a relatively high level. Overseas smelters reduced production in 2025 but will resume production in 2026. The demand is not optimistic, and the zinc ingot inventory has decreased after seasonal accumulation. The LME zinc inventory has increased significantly [11]. - **Lead**: The production of primary lead and secondary lead has increased seasonally. The supply pressure still exists. The demand peak season has passed and is gradually entering the off - season. The LME lead inventory has remained at a high level since 2025, and the domestic primary lead social inventory has continued to accumulate. Although the LME lead inventory has not fluctuated much recently, it is still at the highest level in the same period in recent years [12]. - **Nickel**: The core contradiction lies in the mine end. The RKAB quota in Indonesia in 2026 has dropped significantly, and although there is room for improvement later, the decline compared with 2025 is basically a foregone conclusion. In the first quarter, the mining enterprises will maintain normal production. Due to the Middle East conflict and previous tailings accidents, the MHP supply may decline. The nickel price has support below, but the upside is limited by high inventories at home and abroad [12]. - **Tin**: The import of tin ore from Myanmar in the first two months increased significantly, and the import from other sources also increased rapidly. The opening rate is still at a high level in the same period in recent years. The tin ingot import has decreased. The demand is uneven, with the semiconductor industry growing rapidly but other industries performing poorly. The downstream enterprises have replenished their stocks intensively at low prices, resulting in a decline in social tin ingot inventory, while the LME inventory has increased. The tin price may stabilize and rebound in the short term, but caution is needed when going long [13]. - **Lithium Carbonate**: The weekly production of lithium carbonate has reached a new high, and the social inventory has decreased slightly. The supply and demand are both strong, and the social inventory is continuously being depleted. The Middle East geopolitical conflict has led to a stronger US dollar, suppressing commodity prices, but high oil prices are beneficial to the long - term demand for new energy. The price rebounded at the end of yesterday, but the rumored shutdown of a lithium mine in Zimbabwe needs to be verified, and the rebound height is expected to be limited. It is expected to oscillate at the support level in the short term [14]. - **Industrial Silicon**: The weekly production has increased, and the number of open furnaces has increased slightly. The social inventory is at a high level and stable, and the warehouse receipt inventory has decreased. Under the situation of weak supply and demand, over - capacity, and high - level inventory accumulation, industrial silicon is priced close to the cost. Affected by coking coal, it is expected to be strongly volatile [15]. - **Polysilicon**: The weekly inventory has decreased slightly, and the warehouse receipt has decreased. In the long - term, the policy - oriented market clearance is negative. The price is currently in the full - cost range of the industry. The inventory is continuously accumulating at a high level, and the spot price is continuously decreasing. Attention should be paid to the de - stocking situation of the photovoltaic industry after April. It is recommended to hold short positions cautiously or partially take profits [15]. Energy and Chemicals - **Crude Oil**: The US postponed the attack on Iran's power facilities, and Trump said that his team had started discussions on ending the conflict. Although Iran denied it, the oil price dropped by more than 14%. The potential negotiation situation is still unclear, but the short - term upside space of the oil price will be limited. However, the US military's attacks on Iran's power - related facilities and the deployment of the Marine Corps still attract market attention. The oil price will continue to be strongly volatile in the short term [16]. - **Asphalt**: The oil price dropped sharply, and asphalt followed. The terminal demand showed some negative feedback, but the total inventory remained low, and the inventory accumulation pressure was limited, giving some upward expectations to asphalt. Recently, refineries have预防性 reduced their production, and the supply will continue to be at a low level. The short - term absolute price will continue to fluctuate greatly following the crude oil. Attention should be paid to the subsequent changes in the Iran situation [16]. - **PX**: The oil price dropped sharply, and PX followed the energy and chemical sector. The price difference between PX and naphtha was suppressed. The downstream start - up recovery is slow, and the willingness to purchase raw materials after the previous emotional stockpiling has decreased. PX is affected by negative feedback. If the oil price strengthens later, there is still some upward space under the cost - driven logic [16]. - **PTA**: The energy and chemical sector followed the crude oil to drop sharply. PTA has seen obvious capital inflows recently, and the decline is about 4%. The downstream manufacturers' willingness to stockpile has decreased significantly, leading to negative feedback and suppressing the PTA price. The basis has decreased significantly, and the production - sales ratio has also decreased. The processing fee has continued to decrease. If the oil price remains strongly volatile, the PTA price will temporarily remain in a range [17]. - **Ethylene Glycol**: After the polyester sector followed the crude oil price to drop sharply, ethylene glycol gave back a lot of its gains. However, the overall overseas supply shortage is difficult to change. The export expectation of ethylene glycol has increased significantly, and the port inventory has started to be depleted. The basis of ethylene glycol has strengthened slightly, and there is still upward momentum after breaking through the previous high [18]. - **Short - fiber**: The polyester sector has declined significantly. The production - sales ratio remains at a low level, and the terminal start - up is significantly lower than in previous years, suppressing the upside space of short - fiber. The price negative feedback continues to be transmitted, and the inventory has increased again after the previous de - stocking. The manufacturers' willingness to stockpile has decreased. It will continue to be strongly volatile following PTA and other varieties in the short term [18]. Agricultural Products - **US Soybeans**: The 05 - month soybean contract closed at 1164.50, up 3.25 or 0.28% (settlement price 1163.50). The stability of Sino - US soybean trade relations has been disturbed by the news of Trump's postponed visit to China. During the South American soybean harvest season, the export and sales data of high - priced US soybeans have deteriorated, dragging down the CBOT soybean price. The US biodiesel policy will be finalized soon, and the trading sentiment of US soybean oil driven by crude oil is cautious, with increased uncertainty and more fund - holding for observation [19]. - **Soybean and Rapeseed Meal**: The arrival of imported soybeans at oil mills has decreased seasonally, and there is no news of reserve auctions. The current operation level remains medium, and the soybean and soybean meal inventories are being depleted rapidly, supporting the soybean meal basis to be stable and strong. Although the cost support has weakened with the adjustment of US soybeans, the risk of delayed shipment and arrival of Brazilian soybeans still exists. The rapeseed meal inventory has increased, and with the increase in rapeseed imports, the supply concern has subsided. The price difference between soybean meal and rapeseed meal has widened slightly, but it is still low, and the substitution consumption space of rapeseed meal is limited. It will mainly fluctuate with soybean meal [20]. - **Soybean and Rapeseed Oil**: The domestic soybean oil inventory is being depleted rapidly, supporting the basis to be stable, and there is a possibility of further pricing the risk of short - term shortage of imported soybeans. The rapeseed oil supply pressure may gradually appear with the increase in Canadian rapeseed arrivals, and it basically fluctuates in line with soybean and palm oil [21]. - **Palm Oil**: The international crude oil is oscillating at a high level, but during the important observation window of the Middle East situation, the trading sentiment of crude oil is cautious, and the support of vegetable oils from crude oil risks has weakened. Internationally, the export of Malaysian palm oil has increased, the production has decreased, and the inventory may continue to decline. Domestically, the palm oil inventory has decreased [21][22]. - **Corn**: The national corn price has fluctuated. The futures price is running strongly, driving up the purchase price at the northern port. The sales progress of corn in the main producing areas has slowed down, and the storage cost of traders is high, so there is still a sentiment of supporting the price. The port and deep - processing inventories are low, supporting the price to be stable. The downstream feed enterprises are using more imported grains and policy - auctioned grains, and their acceptance of high - priced corn has decreased. The news of brown rice auctions in early April has not been confirmed, which may have a negative impact on the corn price [22]. - **Hogs**: The pig production capacity is in the painful period of accelerated adjustment. The demand has improved marginally but is still in the off - season. The losses of farmers have increased, and the expectation of production capacity reduction has increased. The pig weight is increasing, and the second - fattening and frozen - product storage have increased. Retail farmers are reluctant to sell, but the group - farm sales have increased significantly. It is expected that the short - term spot and futures prices may continue to fall, and there are still risks in the futures market [22].