Report Industry Investment Rating - No relevant information provided Core Viewpoints - TACO expectations are rising, and most Treasury bond futures closed higher. The bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [1][3] - The economy still shows a pattern of "strong supply and weak demand", and the foundation for the recovery of real estate and consumption is not yet solid. The financial data is neutral to positive for the bond market, but inflation expectations may disrupt short - term sentiment [2] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) has a 1.00% month - on - month increase and a 1.30% year - on - year increase; China's PPI (monthly) has a 0.40% month - on - month increase and a - 0.90% year - on - year decrease [9] - **Monthly Economic Indicators**: The social financing scale is 451.40 trillion yuan, with a month - on - month increase of 2.29 trillion yuan (+0.51%); M2 year - on - year is 9.00%, with no change; the manufacturing PMI is 49.00%, with a month - on - month decrease of 0.30% (-0.61%) [10] - **Daily Economic Indicators**: The US dollar index is 99.21, with a day - on - day increase of 0.09 (+0.09%); the US dollar against the offshore RMB is 6.8928, with a day - on - day decrease of 0.002 (-0.02%); SHIBOR 7 - day is 1.42, with a day - on - day decrease of 0.01 (-0.35%); DR007 is 1.41, with a day - on - day decrease of 0.01 (-1.00%); R007 is 1.55, with a day - on - day decrease of 0.01 (-0.55%); the 3 - month inter - bank certificate of deposit (AAA) is 1.46, with a day - on - day decrease of 0.01 (-0.34%); the AA - AAA credit spread (1Y) is 0.09, with a day - on - day decrease of 0.00 (-0.34%) [11] 2. Overview of Treasury Bonds and Treasury Bond Futures Market - The report provides multiple charts including the closing price trend, price change rate, precipitation funds trend, position ratio, net position ratio (top 20), and long - short position ratio (top 20) of Treasury bond futures main contracts [13][14][20] 3. Overview of the Money Market Fundamentals - The report presents charts on the spread between China Development Bank bonds and Treasury bonds, Treasury bond issuance, Shibor interest rate trend, inter - bank certificate of deposit (AAA) maturity yield trend, inter - bank pledged repo transaction statistics, and local bond issuance [27][28][26] 4. Spread Overview - The report shows charts on the inter - period spread trend of Treasury bond futures and the term spread of spot bonds and cross - variety spreads of futures, such as (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [41][34][36] 5. Two - year Treasury Bond Futures - The report includes charts on the implied interest rate and Treasury bond maturity yield of the two - year Treasury bond futures main contract, the IRR of the TS main contract and the funds rate, and the three - year basis trend and net basis trend of the TS main contract [43][44] 6. Five - year Treasury Bond Futures - The report provides charts on the implied interest rate and Treasury bond maturity yield of the five - year Treasury bond futures main contract, the IRR of the TF main contract and the funds rate, and the three - year basis trend and net basis trend of the TF main contract [46][60] 7. Ten - year Treasury Bond Futures - The report offers charts on the implied yield and Treasury bond maturity yield of the ten - year Treasury bond futures main contract, the IRR of the T main contract and the funds rate, and the three - year basis trend and net basis trend of the T main contract [55][59] 8. Thirty - year Treasury Bond Futures - The report shows charts on the implied yield and Treasury bond maturity yield of the thirty - year Treasury bond futures main contract, the IRR of the TL main contract and the funds rate, and the three - year basis trend and two - year net basis trend of the TL main contract [63][68] Strategies - **Unilateral Strategy**: Repo rates are falling, and Treasury bond futures prices are oscillating [4] - **Arbitrage Strategy**: Pay attention to the decline of the 2606 basis [4] - **Hedging Strategy**: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - Short - term attention should be paid to the evolution of the Middle East conflict. If geopolitical tensions ease, the short - term adjustment of stock indices will bring good long - position layout opportunities. The market sentiment recovered quickly and the stock indices broke upward after the Israel - Iran conflict in 2025 [7]. - The approaching "Two Sessions" in China, with expectations of incremental policies and stability - maintenance needs, will support the stock indices, and the short - term shock adjustment space of stock indices is expected to be relatively limited [7]. 3. Summary by Relevant Contents Market and Liquidity - DRO01 closed at 1.27, down 4.52bp; DR007 at 1.45, down 1.24bp; GC001 at 1.18, up 10.00bp; GC007 at 1.48, up 2.00bp; SHBOR 3M at 1.57, down 0.28bp; LPR 5 - year at 3.50, unchanged; 1 - year treasury at 1.30, down 0.82bp; 5 - year treasury at 1.54, up 0.23bp; 10 - year treasury at 1.78, up 0.24bp; 10 - year US treasury at 4.05, up 8.00bp [4]. - The central bank conducted 343 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40%. With 526 billion yuan of reverse repurchases maturing, the net withdrawal on the day was 491.7 billion yuan [4]. - This week (March 1 - 6), there will be 1.525 trillion yuan of reverse repurchases maturing in the central bank's open market, and 1 trillion yuan of 91 - day repurchase - style reverse repurchases will mature on March 6 [5]. Stock Index Futures - The closing prices and the changes compared with the previous day of major stock indices: CSI 300 closed at 4656, down 1.54%; SSE 50 at 3014, down 1.06%; CSI 500 at 8282, down 4.35%; CSI 1000 at 8142, down 3.95%. The closing prices and changes of corresponding stock index futures contracts were also provided [6]. - The trading volume and open interest of IF, IH, IC, and IM contracts and their changes were presented. For example, IF trading volume increased by 29.4% to 166,629, and its open interest increased by 0.1% to 287,927 [6]. Stock Index Futures Basis - The basis of IF contracts for the current month, next month, current quarter, and next quarter were 2.07%, 2.87%, 3.58%, and 4.52% respectively; for IH were - 3.37%, - 0.57%, 0.46%, and 2.52% respectively; for IC were 4.00%, 6.54%, 5.93%, and 6.39% respectively; for IM were 3.44%, 5.32%, 8.01%, and 8.46% respectively [8].

Group 1 - The People's Bank of China conducted a 7-day reverse repurchase operation amounting to 116 billion yuan at a fixed interest rate of 1.40% on February 28, 2026 [1][1][1] - The total bidding amount matched the amount awarded, indicating strong liquidity demand in the market [1][1][1]

Core Viewpoint - The People's Bank of China (PBOC) conducted a 7-day reverse repurchase operation today, injecting 116 billion yuan into the financial system at a stable interest rate of 1.40% [1] Group 1 - The PBOC's operation involved a total bidding amount of 116 billion yuan, with the same amount being awarded [1] - The interest rate for the reverse repurchase operation remains unchanged at 1.40%, indicating a consistent monetary policy stance [1]

Group 1 - The People's Bank of China conducted a 7-day reverse repurchase operation amounting to 269 billion yuan, with an interest rate of 1.40% [1]

Core Viewpoint - The People's Bank of China conducted a reverse repurchase operation of 269 billion yuan with a fixed interest rate of 1.40% for a 7-day term on February 27, 2026 [1] Group 1: Reverse Repo Operation Details - The total amount of the reverse repurchase operation was 269 billion yuan [1] - The interest rate for the 7-day reverse repurchase was set at 1.40% [1] - The bidding amount matched the winning amount, both being 269 billion yuan [1]

Group 1 - The People's Bank of China conducted a 7-day reverse repurchase operation amounting to 320.5 billion yuan on February 26, 2026 [1]

Group 1 - The central bank conducted a reverse repurchase operation of 320.5 billion yuan for 7 days, maintaining the operation interest rate at 1.40%, unchanged from previous levels [1]

Core Viewpoint - The People's Bank of China (PBOC) conducted a reverse repurchase operation of 409.5 billion yuan for a 7-day term at an interest rate of 1.40%, which remains unchanged from previous rates [1][3]. Group 1: Reverse Repo Operation - The PBOC executed a reverse repurchase operation amounting to 409.5 billion yuan for a 7-day term [2][4]. - The interest rate for the operation was set at 1.40%, consistent with prior rates [1][3]. - A total of 400 billion yuan in 14-day reverse repos matured on the same day [1][3].

Group 1 - The People's Bank of China conducted a reverse repurchase operation of 526 billion yuan for a 7-day term at a fixed interest rate of 1.40% on February 24, 2026 [1][1][1] - The total bidding amount matched the amount awarded, with both figures standing at 526 billion yuan [1][1][1]