1. Report Industry Investment Rating - No relevant information provided in the report 2. Core Viewpoints of the Report - The economic data in January - February showed significant improvement and exceeded market expectations. The improvement was mainly affected by the Spring Festival holiday misalignment, and the high - tech manufacturing industry also played a role. However, the sustainability of economic recovery remains to be observed, and domestic demand still awaits the stabilization of residents' income and policy support. The Iran geopolitical conflict has led to concerns about imported inflation, and combined with the year - on - year increase in China's February inflation data, the upward pressure on inflation may put pressure on the bond market. The bond market is expected to be volatile and weak in the short term, and the medium - to - long - term strategy is to go long on dips [10][12] - The recommended trading strategy is to go long on dips with a profit - to - loss ratio of 3:1 and a recommended cycle of 6 months, driven by the logic of loose monetary policy and the difficulty of credit improvement [14] 3. Summary by Directory 3.1. Weekly Assessment and Strategy Recommendation - **Economic and Policy**: In February, inflation and export data exceeded expectations, mainly due to the Spring Festival holiday misalignment, the improvement of service consumption, and external demand. The economic data achieved a "good start", but the sustainability of the economic recovery momentum needs further observation. Overseas, the conflict between the US and Iran continues, increasing market risk - aversion sentiment, and rising oil prices suppress the Fed's monetary easing expectations [10] - **Liquidity**: This week, the central bank conducted 474.2 billion yuan in reverse repurchases and 500 billion yuan in MLF operations, with 242.3 billion yuan in reverse repurchases and 450 billion yuan in MLF maturing, resulting in a net injection of 281.9 billion yuan. The DR007 interest rate closed at 1.44% [12] - **Interest Rates**: The latest 10 - year Treasury yield closed at 1.82%, down 1.28 BP week - on - week; the 30 - year Treasury yield closed at 2.34%, down 4.90 BP week - on - week; the latest 10 - year US Treasury yield was 4.42%, up 3.00 BP week - on - week [12] - **Summary**: The economic data in January - February improved significantly, but the sustainability of the economic recovery needs to be observed. The capital market is generally stable and loose. The Iran geopolitical conflict has led to concerns about imported inflation, and inflation pressure may put pressure on the bond market. The bond market is expected to be volatile and weak in the short term [12] - **Fundamental Assessment**: The improvement of the fundamentals still needs to be observed. The net basis is low, the price is moderate, the policy is in a neutral period, the liquidity pressure is expected to ease, and the discount is low. The medium - to - long - term strategy for the bond market is to go long on dips [13] - **Trading Strategy Recommendation**: The recommended strategy is to go long on dips with a profit - to - loss ratio of 3:1 and a recommended cycle of 6 months, driven by the logic of loose monetary policy and the difficulty of credit improvement [14] 3.2. Futures and Spot Markets - **T Contract**: The report presents the closing price and annualized discount trend of the T current - quarter contract, as well as the settlement price and net basis trend of the T main contract [17] - **TL Contract**: The report shows the closing price and annualized discount trend of the TL current - quarter contract, as well as the settlement price and net basis trend of the TL main contract [22] - **TF Contract**: The report displays the closing price and annualized discount trend of the TF current - quarter contract, as well as the settlement price and net basis trend of the TF main contract [25] - **TS Contract**: The report presents the closing price and annualized discount trend of the TS current - quarter contract, as well as the settlement price and net basis trend of the TS main contract [28] - **TS and TF Positions**: The report shows the closing price and position volume of the TS and TF contracts [31] - **T and TL Positions**: The report presents the closing price and position volume of the T and TL contracts [36] 3.3. Main Economic Data 3.3.1. Domestic Economy - **GDP and PMI**: In Q4 2025, the actual GDP growth rate was 4.5%, and the economy maintained resilience throughout the year. In February, the manufacturing PMI was 49.0%, down 0.3 percentage points from the previous value; the service PMI was 49.7%, up 0.2 percentage points from the previous value, showing a divergence between the manufacturing and service sectors [41] - **Manufacturing PMI Sub - items**: In February 2026, the supply and demand sides of the manufacturing industry weakened. The production index decreased by 1.0 percentage point to 49.6%, and new orders decreased by 0.6 percentage points to 48.6% [47] - **Price Index**: In February, CPI increased by 1.3% year - on - year (previous value: 0.2%); core CPI increased by 1.8% year - on - year (previous value: 0.8%); PPI was - 0.9% year - on - year (previous value: - 1.4%). From a month - on - month perspective, CPI increased by 1.0% (previous value: 0.2%); core CPI increased by 0.7% (previous value: 0.3%); PPI increased by 0.4% (previous value: 0.4%) [50] - **Export and Import**: From January to February, China's export data was stronger than expected, mainly due to the holiday misalignment and improved external demand. Exports (in US dollars) increased by 21.8% year - on - year (previous value: 6.6%), and imports increased by 19.8% year - on - year (previous value: 5.7%). China's exports to the US were still weak, while exports to ASEAN maintained a relatively high growth rate [53] - **Industrial Added Value and Retail Sales**: From January to February, the year - on - year growth rate of industrial added value was 6.3% (previous value: 5.2%), and the growth rate of industrial production rebounded. The year - on - year growth rate of total retail sales of consumer goods in January - February was 2.8%, up 1.9 percentage points from the previous value. The growth of retail sales was driven by the high growth of service consumption during the Spring Festival, while durable goods such as cars and home appliances declined due to high bases and the diminishing marginal utility of subsidies [56] - **Fixed - Asset Investment and Real Estate**: From January to February, the cumulative year - on - year growth rate of fixed - asset investment was 1.8% (previous value: - 3.8%); the cumulative year - on - year growth rate of real estate investment was - 11.1% (previous value: - 17.2%); the cumulative year - on - year growth rate of infrastructure investment was 11.4% (previous value: - 1.4%); the cumulative year - on - year growth rate of manufacturing investment was 3.1% (previous value: 0.6%). In February, the month - on - month change of second - hand housing prices in 70 large and medium - sized cities was - 0.4% (previous value: - 0.5%); the year - on - year change was - 6.3% (previous value: - 6.2%) [59] - **Real Estate Construction and Sales**: From January to February, the cumulative value of new housing starts was 50.84 million square meters, with a cumulative year - on - year decrease of 23.1% (previous value: - 20.4%); the cumulative value of new housing construction was 5.35372 billion square meters, with a cumulative year - on - year decrease of 11.7% (previous value: - 10.0%). The cumulative year - on - year decline of completion data from January to February was 27.88% (previous value: - 18.16%); the new housing sales data in 30 large - and medium - sized cities has recently recovered, but the sustainability of the real estate improvement needs to be observed [62][65] 3.3.2. Foreign Economy - **US Economy**: In Q4, the annualized current - price GDP of the US was $3.149 trillion, with an actual year - on - year growth rate of 2.23% and a quarter - on - quarter growth rate of 1.40%. In February, the US CPI increased by 2.4% year - on - year (previous value: 2.4%); the core CPI increased by 2.5% year - on - year (previous value: 2.5%) and 0.4% month - on - month (previous value: 0.4%). In January, the order amount of durable goods in the US was $321.3 billion, with a year - on - year increase of 10.34% (previous value: 10.59%). In February, the seasonally - adjusted non - farm payroll employment in the US decreased by 92,000, and the unemployment rate was 4.4% (previous value: 4.3%). In February, the US ISM manufacturing PMI was 52.4 (previous value: 52.6), and the non - manufacturing PMI was 56.1 (previous value: 53.8) [68][71][74] - **EU Economy**: In Q4, the GDP of the EU increased by 1.5% year - on - year and 0.3% quarter - on - quarter. In January, the CPI of the eurozone increased by 1.7% year - on - year (expected: 1.7%, previous value: 1.9%), and decreased by 0.5% month - on - month (expected: - 0.3%, previous value: 0.2%). In February, the manufacturing PMI of the eurozone was 50.8 (previous value: 49.5), and the service PMI was 51.9 (previous value: 51.6) [74][77] 3.4. Liquidity - **Money Supply and Social Financing**: In February, the growth rate of M1 was 5.9% (previous value: 4.9%); the growth rate of M2 was 9.0% (previous value: 9.0%), and the growth rate of M1 rebounded. The increment of social financing in February was 2.38 trillion yuan (2.23 trillion yuan in the same period last year); the new RMB loans were 0.8 trillion yuan, an increase of 195.6 billion yuan year - on - year. In the sub - items of social financing in February, the year - on - year growth rate of government bonds decreased, and the financing of the real - economy sector rebounded. The growth rate of social financing of the household and enterprise sectors in February was 6.1% (previous value: 5.9%), and the growth rate of government bonds was 16.6% (previous value: 17.3%) [82][85] - **MLF and Reverse Repurchase**: In February, the balance of MLF was 7.25 trillion yuan, with a net injection of 300 billion yuan. This week, the central bank conducted 474.2 billion yuan in reverse repurchases and 500 billion yuan in MLF operations, with 242.3 billion yuan in reverse repurchases and 450 billion yuan in MLF maturing, resulting in a net injection of 281.9 billion yuan. The DR007 interest rate closed at 1.44% [88] 3.5. Interest Rates and Exchange Rates - **Interest Rate Changes**: The report provides the latest values, daily changes, weekly changes, and monthly changes of various interest rates, including repurchase rates, Treasury bond yields, and US Treasury bond yields [91] - **Interest Rate Charts**: The report presents charts of Treasury bond yields, inter - bank pledged repurchase rates, US Treasury bond yields, Treasury bond yields of the UK, France, Germany, and Italy, the Fed's target interest rate, and exchange rates [96][100][101]

Market Overview - Nasdaq 100 futures declined by 0.98%, returning the index to negative territory after a previous rebound, influenced by fading optimism regarding Iran peace talks [2] - The VIX remains elevated near 27, indicating persistent investor fear [2] Oil Market Impact - West Texas Intermediate crude oil increased by 4.26%, while Brent crude surpassed $101, driven by ongoing conflict between Iran and the U.S.-Israeli alliance [3] - Rising oil prices are contributing to inflation expectations, which in turn are pushing Treasury yields higher, particularly affecting growth stocks [3] - The 10-year Treasury yield rose by 14 basis points to 4.39%, its highest level in months, creating headwinds for long-duration growth stocks [3] Technology Sector Developments - Amazon Web Services experienced disruptions in its Bahrain region due to drone activity, marking the second outage since the onset of the Iran conflict, prompting tech companies to reassess data center expansion plans in the Middle East [4] Index Performance - The Nasdaq 100 closed at $588, down 4% year-to-date and 2% over the past week [5] - The S&P 500 is down nearly 5% over the past month, while the Dow has seen a nearly 7% decline since late February [5][6] - The iShares Russell 2000 ETF showed relative resilience with less than a 1% decline over five days [6] Company-Specific News - JPMorgan reduced Fair Isaac's (FICO) price target from $1,825 to $1,325 due to concerns over pricing power erosion in mortgage credit scoring and potential regulatory pressures [6]

Group 1 - The 10-year Treasury yield increased due to renewed volatility in oil markets and ongoing tensions in the Middle East, causing investor unease [2][4] - Oil prices rebounded after a significant drop, indicating that markets are skeptical about a quick resolution to the Middle East conflict, especially after Iranian officials denied any talks took place [3][4] - Analysts highlighted that conflicting news has heightened uncertainty, making both energy and rates markets sensitive to developments in the region [4][5] Group 2 - Headline risk remains high as the conflict continues without a clear resolution, with U.S. rates expected to be influenced primarily by fluctuations in energy prices until more clarity is achieved [5]

Group 1 - The current borrowing environment is challenging due to high inflation risks and tight monetary policy, making good deals scarce, further exacerbated by the ongoing war in Iran [1] - U.S. mortgage rates have surged above 6.22% since the conflict began, highlighting the significant impact of geopolitical stress on the economy [2] - The relationship between mortgage rates and Treasury yields is crucial, as mortgage rates are more closely aligned with government debt than with the Federal Reserve's monetary policy [5][6] Group 2 - Lenders increase mortgage rates in response to rising Treasury yields to manage duration risk and protect their profit margins [6] - The war in the Middle East has led to increased demand for Treasury bonds as a safe-haven asset, pushing yields up due to a heightened global risk premium [6] - Rising oil prices from the conflict are contributing to inflation concerns, which in turn drives Treasury yields higher as investors seek compensation for diminished purchasing power [7]

Group 1: Futures Data - The Friday settlement price of 10 - year Treasury bond futures T2606.CFE is 108.235 with a weekly decline of 0.29%, and T2609.CFE is 108.210 with a weekly decline of 0.30% [8] - The Friday settlement price of 5 - year Treasury bond futures TF2606.CFE is 105.965 with a weekly decline of 0.16%, and TF2609.CFE is 105.795 with a weekly decline of 0.16% [8] - The Friday settlement price of 2 - year Treasury bond futures TS2606.CFE is 102.470 with a weekly decline of 0.04%, and TS2609.CFE is 102.490 with a weekly decline of 0.04% [8] - The Friday settlement price of 30 - year Treasury bond futures TL2606.CFE is 111.110 with a weekly decline of 1.47%, and TL2609.CFE is 110.830 with a weekly decline of 1.48% [8] Group 2: Spread Data - The inter - delivery spread of T2606 - T2609 is 0.025 with a weekly increase of 0.015, TF2606 - TF2609 is 0.170 with a weekly increase of 0.005, and TS2606 - TS2609 is - 0.020 with a weekly increase of 0.004 [8] - The cross - variety spreads: 2TS - T is 301.645 with a weekly increase of 0.166, 2TF - T is 103.695 with a weekly decline of 0.020, and TS - TF is 98.975 with a weekly increase of 0.093 [8] Group 3: Spot Bond Yields - The Friday closing price of 1Y Treasury bond yield is 1.28% with a weekly decline of 0.90 BP, 2Y is 1.35% with a weekly increase of 0.53 BP, 3Y is 1.37% with a weekly increase of 0.75 BP, 5Y is 1.56% with a weekly increase of 2.69 BP, 7Y is 1.70% with a weekly increase of 3.72 BP, 10Y is 1.81% with a weekly increase of 3.33 BP, 30Y is 2.37% with a weekly increase of 8.52 BP [8] - The Friday closing price of 1Y China Development Bank bond yield is 1.49% with a weekly decline of 1.36 BP, 3Y is 1.62% with a weekly decline of 1.45 BP, 5Y is 1.72% with a weekly decline of 0.27 BP, 7Y is 1.84% with a weekly decline of 0.48 BP, 10Y is 1.96% with a weekly increase of 0.60 BP, 30Y is 2.50% with a weekly increase of 8.52 BP [8] Group 4: Funding Rates - The Friday price of bank - to - bank pledged repo rate DR001 is 1.32% with a weekly increase of 0.22 BP, DR007 is 1.46% with a weekly increase of 4.67 BP, DR014 is 1.49% with a weekly increase of 2.15 BP [8] - The Friday price of SHIBOR rate SHIBOR1M is 1.53% with a weekly decline of 0.87 BP, SHIBOR3N is 1.54% with a weekly decline of 1.28 BP [8] Group 5: Other Information - The OMO rate is 1.4%, and the range is 10% - 20% [15] - There is information about TACO, with a 30% ratio and a quantity of 100, and related to G7 TACO [15] - The IOER is 0.35%, and there are some related quantity and rate information such as 100 at 1.4%, 20 at 0.4%, 80 at 1.65%, 25bp for 1Y and 10bp [18]

Group 1: War Context and Economic Impact - The military strikes by the US and Israel against Iran have lasted nearly two weeks, with significant impacts on the Strait of Hormuz, which accounts for over 25% of global oil shipping and about 20% of natural gas[1] - International oil prices have stabilized above $80 per barrel, which could lead to inflationary pressures in the US as the midterm elections approach[1] - Public support for the war in the US is low, with only 25% of Americans in favor, increasing pressure on Trump to consider a ceasefire[1][9] Group 2: Factors Influencing Ceasefire Decisions - Economic factors, including rising oil prices and increased borrowing costs, are likely to drive Trump towards a ceasefire as they affect voters' lives[1][5] - If the 30-year US Treasury yield exceeds 5%, the probability of Trump opting for a ceasefire will significantly increase[1] - Iran's economic instability, with 90% of its oil exports and 70% of non-oil trade passing through the Strait of Hormuz, may force its government to seek a resolution to the conflict due to domestic pressures[5] Group 3: Constraints on Ceasefire - Despite potential US intentions to cease hostilities, Iran is likely to continue its military actions due to its new leadership and the need to maintain internal cohesion after significant losses[3] - Israel's government and public support for military action remains strong, with 82% of Israelis backing the strikes, making a quick ceasefire unlikely[4] - The ongoing blockade of the Strait of Hormuz by Iran is expected to continue exerting economic pressure on the US, complicating any potential withdrawal[3]

Core Viewpoint - The forum highlighted investment opportunities in the context of a low interest rate environment, emphasizing the importance of asset allocation for both institutions and individuals [2]. Group 1: Investment Themes - The first investment theme focuses on the opportunities in financial technology and brokerage firms driven by the influx of retail funds into the market due to a low interest rate environment [4]. - The second theme anticipates a valuation recovery in the insurance sector starting in early 2026, particularly for companies with strong asset management and improving fundamentals [4]. - The third theme revolves around the digital RMB, supported by national development initiatives, which is expected to enhance banking system transformation, payment terminal upgrades, and increase service fees in the banking IT and third-party payment sectors [4]. Group 2: Banking Sector Outlook - The 2026 outlook for the banking sector suggests that government bond yields may enter a narrow fluctuation range, potentially reducing the volatility of banks' fair value gains and losses [5]. - The trend of "deposit migration" continues, primarily driven by the maturity of existing three-year and longer-term deposits, with a significant portion flowing into wealth management products [7]. - Stock selection for 2026 is expected to focus on companies with anticipated earnings growth, banks with convertible bond expectations, and a diversified approach to dividend stocks that balances yield certainty with asset quality stability [7]. Group 3: Real Estate Market Development - The government emphasizes stabilizing the real estate market as a top priority, with a focus on improving living standards and integrating housing policies with population growth strategies [10]. - Demand-side policies are expected to continue evolving, particularly in major cities, with adjustments to purchase restrictions and support for first-time homebuyers and families with multiple children [10]. - On the supply side, the current policy aims to reduce inventory, encouraging the revitalization of existing properties and accelerating the renovation of dilapidated housing to enhance living conditions [10].

Group 1 - The core point of the article is that the Chinese interbank 30-year government bond yield increased by 3 basis points due to the unexpected rise in the Consumer Price Index (CPI) in February [1]

Group 1 - The core point of the article is that the Chinese interbank 30-year government bond yield increased by 3 basis points due to the unexpected rise in the Consumer Price Index (CPI) in February [1]

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 TS*4 - T and T*3 - 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]