1. Report Industry Investment Rating No information about the industry investment rating is provided in the content. 2. Core Viewpoints of the Report - In the context of inflation recovery expectations and concerns about ultra - long bond supply, the 30 - 10Y treasury bond term spread has further widened and reached the highest level since 2023. The spread may have some room for compression in the future, but the volatility remains high [1][9]. - In April, the bond market has more positive factors, but the downside space for interest rates is limited, and the market is difficult to break out of the volatile trend. The core driving factors of the current market are still the Middle East situation and inflation expectations [3][22]. 3. Summary According to the Directory 3.1 4 - Month Bond Market Outlook - Recently, due to inflation recovery expectations and concerns about ultra - long bond supply, the 30 - 10Y treasury bond term spread has risen above 50BP, reaching the highest level since 2023. The Chinese government will issue 1.3 trillion yuan of ultra - long special treasury bonds in 2026 [9]. - From the perspective of trading desks, securities firms' short - selling power at the end of the quarter is restricted and they turned to net buyers this week, while funds remain cautious about ultra - long bonds. As of March 27, the cumulative net purchase of 20 - 30Y treasury bonds by funds this month was 670 million yuan [12]. - From the perspective of allocation desks, large - scale banks only buy to stabilize at the end of the quarter, small and medium - sized banks become the main undertakers, and insurance institutions have a weak willingness to allocate. Insurance institutions have a stronger willingness to allocate local bonds than treasury bonds since 2025 and had a net sell of 20 - 30Y treasury bonds in March [16]. - The 30Y - 10Y treasury bond term spread may have some room for compression, but the volatility remains high. Funds' participation in ultra - long bonds this year has been low, and the short - covering of securities firms may drive the repair of ultra - long - end interest rates. For banks, 30 - year treasury bonds are more cost - effective, while insurance institutions' operations are mainly for band trading [18]. - Attention should be paid to the upcoming issuance plan of ultra - long special treasury bonds. In 2024 and 2025, after the plan was announced and before the issuance started, supply concerns drove up ultra - long bond interest rates. After the issuance started, the 30 - year treasury bond interest rate gradually declined. When trading in bands, attention should be paid to preventing the volatility risk of Bond 25 Special 6 [2][20]. - In April, the market has more positive factors, but the downside space for interest rates is limited. The core driving factors are the Middle East situation and inflation expectations. Short - term negative factors have not yet emerged. Positive factors include a loose capital situation and strong allocation desk power, but insurance institutions' purchases of long - term bonds are mainly for band trading [22]. 3.2 3 - Month Bond Market Review 3.2.1 Bond Market Trend Review - In the first week of March, the 10Y treasury bond yield rose 1bp to 1.78%. The bond market first traded risk appetite and Two Sessions expectations, with the short - end performing better than the long - end [24]. - In the second week, the 10Y treasury bond yield rose 3bp to 1.81%. Inflation shocks and inter - bank news alternately disturbed the bond market, with the long - end performing worse than the short - end [24]. - In the third week, the 10Y treasury bond yield rose 2bp to 1.83%. Influenced by the economic start - up, inflation recovery expectations, and external market fluctuations, the bond market fluctuated under the tug - of - war between bulls and bears [25]. - In the fourth week, the 10Y treasury bond yield fell 1bp to 1.82%. Geopolitical risks recurred, and the term differentiation of the bond market continued. The ultra - long end showed resistance to decline at the beginning of the week and then fluctuated [25]. 3.2.2 Capital Situation - The central bank net withdrew 141.68 billion yuan through four major tools in March. The capital price declined in March. The monthly average of R001 decreased by 1BP to 1.39%, and the monthly average of R007 decreased by 5bp to 1.50% [26][27]. 3.2.3 Secondary Market Trends - In March, the yield performance showed term differentiation, and the curve steepened. Except for 3m, 1y, and 3y, the interest rates of other key - term treasury bonds rose, and the term spreads of all key - term treasury bonds widened [33]. - As of March 27, the 10Y treasury bond new - old bond spread narrowed, the 10Y CDB bond new - old bond spread slightly widened after the new bond was listed, and the spread between the second - active and active 30Y treasury bonds first widened and then narrowed [34]. 3.2.4 Bond Market Sentiment - In March, the inter - bank leverage ratio first rose and then fell, the 30Y - 10Y treasury bond spread continued to widen, and the median duration of the full - sample bond funds increased significantly. The 10 - year CDB bond implicit tax rate narrowed overall in March [39]. 3.2.5 Bond Supply - In March, the net financing of interest - rate bonds decreased compared with February and March 2025. The net financing of treasury bonds, local government bonds decreased, and policy - financial bonds changed from net repayment to net financing [51]. - The issuance scale of treasury bonds in March increased both year - on - year and month - on - month. The issuance scale of local government bonds decreased month - on - month and increased year - on - year. The net repayment of inter - bank certificates of deposit increased, and the monthly issuance interest rate decreased significantly [54][56]. 3.3 Economic Data - From January to February, the profits of industrial enterprises above designated size achieved rapid growth. The total profit of industrial enterprises above designated size was 1.02456 trillion yuan, a year - on - year increase of 15.2% [60]. - Since March, second - hand housing transactions and port throughput have been stronger than the Spring Festival seasonality. In terms of infrastructure and price high - frequency data, the asphalt开工率 has been weak, and the prices of crude oil and asphalt have risen sharply and then stabilized [61][62]. 3.4 Overseas Bond Market - The US March composite PMI dropped to 51.4. Concerns about stagflation have increased, and the probability of the Fed raising interest rates within the year has exceeded 50% for the first time. Global bond markets generally declined in March [67][68][69]. 3.5 Major Asset Classes - The CSI 300 index adjusted. As of March 27, it closed at 4477.5 points, a 4.95% decline from February 27. The Nanhua Crude Oil Index strengthened significantly, the US dollar index strengthened slightly, and the Nanhua Pig Index and Shanghai Gold weakened [74]. 3.6 4 - Month Bond Market Calendar - The calendar provides information on liquidity injection and maturity, government bond supply, fundamental data, and important domestic and foreign events from March 30 to April 30, 2026 [79].

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]

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Views - **Likely Positive Factors**: The central bank conducted large - scale net reverse repurchase operations, injecting 44.8 billion yuan, leading to loose liquidity. The increased demand of institutions to hold bonds during the holiday supports the price of 10 - year treasury bonds [2]. - **Likely Negative Factors**: Structural interest rate cuts have been implemented, weakening the expectation of monetary easing. There is a large supply pressure of local government bonds. The inter - bank capital market has tightened, with a decline in reverse repurchase operations, putting pressure on the market [2]. - **Trading Advice**: It is recommended to wait and see the post - holiday market and pay attention to changes in the capital market and supply pressure [2]. Group 3: Data Summaries Treasury Bond Yields - The report shows the trends of 2Y, 5Y, 7Y, 10Y, and 30Y treasury bond yields from 2024/06 to 2025/12 [3]. Funding Rates - The trends of the weighted average interest rate of pledged repurchase by deposit - taking institutions for 1 - day and 7 - day tenors, as well as the 7 - day reverse repurchase rate, are presented from 2023/12 to 2025/12 [3]. Treasury Bond Term Spreads - The trends of the 7Y - 2Y and 30Y - 7Y treasury bond spreads are shown from 2024/06 to 2025/12 [4]. Treasury Bond Futures Positions - The positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented from 2015/12 to 2025/12 [6]. Treasury Bond Futures Trading Volumes - The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are shown from 2024/06 to 2025/12 [7]. Treasury Bond Futures Basis - The basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures for the current quarter contracts are presented at different time points [8][9][10][13]. Treasury Bond Futures Inter - delivery Spreads - The inter - delivery spreads (current quarter - next quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are shown at different time points [16][17]. Treasury Bond Futures Cross - variety Spreads - The cross - variety spreads of TS*4 - T and T*3 - TL are presented at different time points [18][19].

Report Core View - The central bank's reverse repurchase scale reached 1180.9 billion yuan this week, with abundant liquidity. Moderate inflation, negative PPI growth, and a reasonable and abundant capital supply support Treasury bond futures. However, the net supply of 10-year Treasury bonds has increased, and the bond supply bears have rebounded. The market is highly sensitive to negative factors, with rumors of a downward adjustment of the growth target and the central bank providing MLF funds to city commercial banks. It is recommended to pay attention to changes in the capital supply and the impact of the flattening of the yield curve on asset allocation [2] Data Charts - The report presents data charts on Treasury bond yields, capital rates, Treasury bond term spreads, Treasury bond futures positions, Treasury bond futures trading volumes, Treasury bond futures basis, Treasury bond futures inter - period spreads, and Treasury bond futures cross - variety spreads, covering different time ranges and maturities such as 2 - year, 5 - year, 10 - year, and 30 - year Treasury bonds [3][5][7]

Core Viewpoint - The report from Guotai Junan Securities' fixed income team indicates that while the Chinese bond market has shown some recovery, the 30-year bonds are expected to remain under pressure in the first half of the first quarter [1] Group 1: Market Conditions - The 30-year government bonds face directional operations due to rising interest rates, with strategies such as credit bond/ local bond duration reduction and neutral strategies being employed [1] - The expectation for a narrow downward space in bond yields is difficult to change, alongside a relatively strong stock market [1] Group 2: Issuance and Liquidity - There is an increase in the issuance of ultra-long bonds, which constrains the demand for 30-year government bonds [1] - The characteristics of high elasticity and high liquidity of 30-year government bonds are unlikely to change [1] Group 3: Yield Spread - The yield spread between 30-year and 10-year government bonds, as well as the central tendency of the yield spread between 10-year policy bank bonds and government bonds, may continue to remain elevated [1] - The yield spread between ultra-long local bonds and government bonds is expected to stay at relatively low levels [1]

Report Core View - Bullish factors include the central bank conducting reverse repurchase operations with a net investment of 21.22 billion yuan, resulting in a marginal easing of liquidity. Also, Treasury bond futures closed slightly stable, heating up at the end of the session with a slight decline in yields [2] - Bearish factors are that both China's CPI and PPI rose in December, increasing inflation pressure, and the decreased expectation of the Fed's interest rate cut and rising global trade uncertainties have led to increased uncertainty in foreign capital inflows [2] - The trading advisory view suggests paying attention to the short - term decline of the basis and closely monitoring the price support from the central bank's liquidity operations [2] Data Presented in the Report (Sources from Wind) 1. Treasury Bond Yield - The report shows the trends of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 - 04 to 2025 - 12 [3] 2. Treasury Bond Term Spread - It presents the trends of the 7Y - 2Y and 30Y - 7Y Treasury bond spreads from 2024 - 04 to 2025 - 12 [4] 3. Treasury Bond Futures 3.1 Open Interest - The open interest trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from 2015 - 12 to 2025 - 12 are shown [6] 3.2 Trading Volume - The trading volume trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from 2024 - 04 to 2025 - 12 are presented [7] 3.3 Basis of Current - Quarter Contracts - The basis trends of current - quarter contracts for 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures are shown in different time periods [8][9][12] 3.4 Inter - Delivery Spread (Current - Quarter - Next - Quarter) - The inter - delivery spread trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from different time periods are presented [16][17] 3.5 Inter - Variety Spread - The trends of the TS * 4 - T and T * 3 - TL inter - variety spreads from different time periods are shown [18][19]

Group 1: Core Viewpoints - Bullish factors for the 10-year Treasury bond last week include the recovery of allocation demand due to alleviated concerns about ultra-long-term supply and increased institutional allocation willingness, and a loose funding environment with the entry of incremental funds at the beginning of the year, leading to downward pressure on interest rates [2] - Bearish factors are the weak expectation of monetary easing as the Fed's rate cut expectation lacks strong fundamental support in the short term, and the pressure from the stock-bond seesaw, with capital preference for the bond market causing selling pressure on the stock market and yield fluctuations [2] - The trading advisory view is that the bond market sentiment was generally cautious last week. It is recommended to focus on the allocation window brought by the widening of spreads, buy configuration-type contracts on dips, maintain a wait-and-see attitude, and avoid unilateral chasing [2] Group 2: Data Presentations Yields - The document presents the historical data of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 to 2025 [3] Funding Rates - It shows the historical data of the weighted average interest rate of pledged repurchase by deposit-taking institutions for 1-day and 7-day tenors and the 7-day reverse repurchase rate from 2023 to 2025 [3] Term Spreads - The historical data of the 7Y - 2Y and 30Y - 7Y Treasury bond term spreads from 2024 to 2025 are presented [4] Futures Basis - The historical data of the basis of 2Y, 5Y, 10Y, and 30Y Treasury bond futures' current-quarter contracts are shown [7][8][9][15] Futures Inter - Delivery Spreads - The historical data of the inter - delivery spreads (current - quarter minus next - quarter) of 2Y, 5Y, 10Y, and 30Y Treasury bond futures are presented [11][13][16] Futures Trading Volume - The historical trading volume data of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2015 to 2025 are shown [14] Futures Cross - Product Spreads - The historical data of the cross - product spreads of TS*4 - T and T*3 - TL are presented [17][18]

Report Summary Core View - There are both positive and negative factors in the bond market. Positive factors include a loose capital market despite the contraction of the manufacturing PMI, and rumors of "dual cuts" in the political situation boosting sentiment, leading to a decline in yields and an overall rise in futures. Negative factors are that the central bank's bond - buying scale is lower than expected, causing yields to rise and futures to fall, as well as banks selling bonds to realize profits and bond funds facing redemption pressure, resulting in consecutive increases in yields and falling futures. The trading advice is to pay attention to the central bank's bond - buying intensity and short - term liquidity and keep positions flexible [2] Specific Data and Indicators Yield and Interest Rate - Data on 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08 are presented, along with data on deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day terms and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [3] Term Spread - Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are provided [4][5] Futures Position and Trading Volume - Data on the positions and trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from different time periods are shown [7][8] Basis and Spread - Data on the basis of the current - quarter contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented, as well as the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures. Additionally, data on cross - variety spreads (TS*4 - T and T*3 - TL) are provided [9][10][14][16][18][19][20]

Report Summary Core View - The capital market maintains a loose pattern, and abundant liquidity supports the bond market. The economic fundamentals have no significant negative factors, and the market environment is relatively stable. However, there are potential risks of rising inflation expectations and geopolitical uncertainties, which may put pressure on the bond market. It is recommended to maintain a wait - and - see approach, control risks, and pay attention to policy signals and economic data trends [2] Data Analysis - **Yield to Maturity**: The report presents the yield - to - maturity data of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bonds from 2024/04 to 2025/08 [3] - **Funding Rates**: It shows the funding rates including the deposit - type institutional pledged repurchase weighted average rate for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 [3] - **Treasury Bond Term Spreads**: The term spreads of 7Y - 2Y and 30Y - 7Y treasury bonds from 2024/04 to 2025/08 are provided [4][5] - **Treasury Bond Futures Positions**: The positions data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are presented [7] - **Treasury Bond Futures Trading Volume**: The trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/08 are shown [8] - **Treasury Bond Futures Basis**: The basis data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided with different time ranges [9][10][11][13] - **Treasury Bond Futures Inter - Period Spreads**: The inter - period spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures (current - quarter minus next - quarter) are presented with different time ranges [14][15][16][18] - **Treasury Bond Futures Inter - Variety Spreads**: The inter - variety spreads of TS*4 - T from 2024/04 to 2025/08 and T*3 - TL from 2023/06 to 2025/06 are shown [19][20]

Core Viewpoint - The bond market is experiencing significant declines, with long-term bonds facing increased selling pressure and widening yield spreads, indicating a challenging environment for investors [3][5][6]. Group 1: Market Performance - On December 4, the bond market saw a notable decline, with the 30-year government bond futures contract dropping over 1%, marking the largest single-day decline in recent times [3][5]. - The yield on the 30-year special government bond reached approximately 2.28%, while the 10-year bond yield rose to 1.8525% [6][5]. - The yield spread between 30-year and 10-year government bonds has widened to around 43 basis points, reflecting a significant shift in market sentiment [6][12]. Group 2: Market Dynamics - The ongoing decline in the bond market is attributed to a combination of trading behaviors and a lack of positive market signals, leading to heightened panic among investors [7][9]. - Banks and non-bank financial institutions are primarily responsible for the selling pressure, as many institutions seek to realize gains from previous investments amid market volatility [9][10]. - The recent regulatory changes regarding public fund redemption fees have contributed to increased selling pressure, particularly among public funds and brokerages [11][12]. Group 3: Future Outlook - Despite the short-term bearish sentiment, many institutions maintain a cautiously optimistic view on the long-term trend of the bond market, anticipating potential recovery as liquidity conditions improve [14]. - Analysts suggest that the current high yields on long-term bonds may present buying opportunities, especially if monetary policy shifts towards easing [14][13]. - The upcoming central bank operations, including a planned 10 billion yuan reverse repurchase agreement, are expected to influence market liquidity and investor sentiment [14][12].