国债衍生品周报-20260308

Report Information - Report Title: Treasury Bond Derivatives Weekly Report - Date: March 6, 2026 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 - Consulting Business Qualification: Shanghai Securities Regulatory Commission License [2012] No. 1515 [1] Industry Investment Rating - Not provided Core Views - There are both positive and negative factors affecting the treasury bond market Positive factors include the central bank's continuous net injection of liquidity, which supports the downward trend of the 10 - year treasury bond yield, and the inflow of funds into the bond market due to intensive policies during the Two Sessions, leading to a narrowing of the spread and a decline in yields Negative factors include the increasing expectation of CPI recovery, which may raise yields due to inflation pressure, and the central bank's renewal of MLF, which causes short - term yields to rise and the market sentiment to be bearish [2] - The current yield is approaching the support area It is recommended to pay attention to price - comparison opportunities and maintain a wait - and - see or light - short strategy [2] Summary by Related Content Treasury Bond Yields and Interest Rates - The report shows the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from June 2024 to December 2025, as well as the trends of deposit - type institutional pledged repurchase weighted interest rates (1 - day and 7 - day) and 7 - day reverse repurchase rate from December 2023 to December 2025 [3] Treasury Bond Term Spreads - The trends of the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from June 2024 to December 2025 are presented [4] Treasury Bond Futures Basis - The report shows the basis trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts at different time points [7][8][9][11] Inter - delivery Spreads - The inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented at different time points [13][12][17][15] Cross - variety Spreads - The cross - variety spreads of TS4 - T and T3 - TL are shown at different time points [18][19] Trading Volume - The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from December 2015 to December 2025 and from June 2024 to December 2025 are presented [16]