Group 1 - The report emphasizes the importance of nominal growth, with expectations for a moderate increase in nominal GDP growth to around 5.3% in Q2, influenced by high oil prices and a stable inflation index [4][34][35] - Export performance is projected to show some short-term slowdown, but medium-term resilience is expected due to China's industrial chain advantages, which may help offset the impact of high oil prices on external demand [4][17][21] - The real estate market is characterized by a "small spring" effect, where volume increases are driven by price reductions, but the foundation for stabilization remains uncertain, particularly in April [4][22][27] Group 2 - Monetary conditions indicate limited probability for broad monetary easing, with banks potentially shifting their liability structures, leading to a stable funding environment [4][10][11] - The supply-demand dynamics in the bond market are improving, with manageable supply pressures and increased non-bank institutional participation, which is expected to enhance the overall market conditions [4][13][18] - The report suggests that Q2 typically presents a favorable environment for asset management products, indicating a good window for achieving higher portfolio returns [4][5][22] Group 3 - The bond market strategy focuses on maintaining a safety cushion in a "money-rich" environment, emphasizing small-scale trading opportunities and the exploration of excess yield spreads [4][6][7] - The report anticipates that the 10-year government bond yield will fluctuate between 1.75% and 1.85%, while the 30-year bond yield may see core fluctuations around 40-50 basis points [4][7][11] - Attention is drawn to the potential for yield compression and structural opportunities in the bond market, particularly with the expected increase in asset management product sizes in April [4][6][7]

Report Information - Report Title: Treasury Bond Derivatives Weekly Report [1] - Report Date: March 20, 2026 [1] - Author: Xu Liang (Z0002220) [1] - Reviewer: Tang Yun (Z0002422) [1] Core Viewpoints - **Leveraging Factors**: Safe-haven sentiment and loose funding support demand and suppress yield increases; buying power from funds and other sources supports the medium- and long-term strength [2] - **Negative Factors**: The Fed's non - rate cut causes spillover pressure that disturbs market sentiment; the unclear situation in the Strait of Hormuz and fluctuating oil prices lead to an increase in inflation expectations [2] - **Trading Advice**: Maintain a light - position wait - and - see approach, and focus on the impact of M1M2 data and geopolitical dynamics on liquidity [2] Data Graphs and Their Content Treasury Bond Yields - Graphs show the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/06 to 2025/12 [3] Funding Rates - Graph shows the trends of deposit - type institution pledged repo weighted average rates (1 - day and 7 - day) and 7 - day reverse repo rates from 2023/12 to 2025/12 [3] Treasury Bond Term Spreads - Graphs show the trends of 7Y - 2Y and 30Y - 7Y treasury bond spreads from 2024/06 to 2025/12 [3] Treasury Bond Futures Positions - Graph shows the positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2025/12 [5] Treasury Bond Futures Trading Volumes - Graph shows the trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/06 to 2025/12 [6] Treasury Bond Futures Basis - Graphs show the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts [7][8][9][11] Treasury Bond Futures Inter - delivery Spread - Graphs show the inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures [14][15] Treasury Bond Futures Cross - Variety Spreads - Graphs show the cross - variety spreads of TS*4 - T and T*3 - TL from 2023/06 to 2025/12 [16][17]

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - On March 16, the capital market remained loose; inflation expectations intensified, causing the bond market to weaken under pressure; the main indices of the convertible bond market closed down collectively, and most convertible bond issues declined; the yields of U.S. Treasuries across all maturities generally decreased, and the yields of 10-year government bonds in major European economies generally decreased [1] 3. Summary by Relevant Catalogs 3.1 Bond Market News 3.1.1 Domestic News - From March 15 - 16, China and the U.S. held economic and trade consultations in Paris, France, and reached some new consensuses [3] - On March 16, Premier Li Qiang chaired the 11th plenary meeting of the State Council, deploying the implementation of key tasks in 2026 [4] - Data from January - February showed that major economic indicators significantly rebounded, with industrial added value, fixed - asset investment, and social consumption rising [5] - In February, the bank settlement and sales of foreign exchange surplus reached $42.8 billion, a 46% decline from the previous month [6] - The Ministry of Natural Resources and the National Forestry and Grassland Administration introduced a notice linking new construction land with the revitalization of existing land [7] - The Financial Regulatory Administration launched a regulatory rating for wealth management companies [8] 3.1.2 International News - On March 16, manufacturing activity in New York State stagnated, but inflation expectations eased [9] 3.1.3 Commodities - On March 16, international crude oil futures prices turned down, and MYMEX natural gas futures prices continued to fall [10] 3.2 Capital Market 3.2.1 Open Market Operations - On March 16, the central bank conducted 7 - day reverse repurchase operations of 137.3 billion yuan, resulting in a net capital injection of 88.8 billion yuan [12] 3.2.2 Capital Interest Rates - On March 16, the capital market remained loose, with DR001 rising 0.01bp to 1.322% and DR007 falling 0.93bp to 1.452% [13] 3.3 Bond Market Dynamics 3.3.1 Interest Rate Bonds - On March 16, due to high international oil prices, inflation expectations intensified, and the bond market weakened. The yields of 10 - year Treasury bonds and 10 - year China Development Bank bonds increased [15] - Multiple bonds were issued on March 16, with details such as issue scale and winning bid yields provided [17] 3.3.2 Credit Bonds - On March 16, the trading price of "H3 Vanke 01" deviated by over 10%, falling more than 13% [17] - Multiple credit bond events occurred, including debt restructuring, non - full repayment of debt funds, asset transfers, and rating adjustments [18] 3.3.3 Convertible Bonds - On March 16, the A - share market had mixed performance, and the main indices of the convertible bond market closed down. Most convertible bond issues declined [18][19] - Some convertible bonds were about to be subscribed online, and some announced changes in conversion prices [24] 3.3.4 Overseas Bond Markets - On March 16, the yields of U.S. Treasuries across all maturities generally decreased, and the yield spreads between some maturities changed [22][25] - The yields of 10 - year government bonds in major European economies generally decreased [27] - The daily price changes of Chinese - funded U.S. dollar bonds as of the close of March 16 were provided [29]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - On March 3, the capital market at the beginning of the month remained loose, the bond market was generally strong but long - term bonds weakened slightly, convertible bond market indices fell collectively, and most convertible bond issues declined. Yields of U.S. Treasuries across maturities generally rose, and 10 - year government bond yields of major European economies also generally increased [1] 3. Summary by Directory 3.1 Bond Market News 3.1.1 Domestic News - The press conference of the 4th Session of the 14th National Committee of the Chinese People's Political Consultative Conference was held on March 3. The spokesperson Liu Jieyi answered questions on China's economic situation, development prospects, opening - up, and the integration and development of the Greater Bay Area, stating that China's economy has strong resilience and long - term positive fundamentals [3] - The central bank released the operation of the financial market in January 2026 on March 3. In January 2026, net financing of government bonds was 976.39 billion yuan, an increase of 283.13 billion yuan year - on - year; net financing of corporate bonds was 503.26 billion yuan, an increase of 57.9 billion yuan year - on - year. At the end of January 2026, the bond market custody balance was 197.7 trillion yuan. In the money market, the average daily turnover of inter - bank lending was 493.75 billion yuan, a year - on - year increase of 84.4%; the average daily turnover of bond repurchase in the inter - bank market was 8.5 trillion yuan, a year - on - year increase of 47.7%. At the end of January 2026, the outstanding balance of inter - bank lending was 0.8 trillion yuan, and the outstanding balance of bond repurchase in the inter - bank market was 12.0 trillion yuan [4] 3.1.2 International News - Minneapolis Fed President Kashkari, a voting member of the FOMC, said that if inflation cools, one or two interest rate cuts later this year might be appropriate, but the Middle East war could lead to a longer - term pause in action. He considered the current 3.5% - 3.75% interest rate range to be close to the "neutral level" [5] - New York Fed President Williams said that if inflation continues to decline after the impact of tariffs fades, the Fed will have reason to further cut interest rates. He expected that tariffs would put additional pressure on consumer prices in the first half of this year, and the inflation rate would drop to 2.5% by the end of 2026 and to 2% in 2027. He also expected the unemployment rate to decline slightly in the next two years and the economic growth rate to be about 2.5% this year [6] 3.1.3 Commodities - On March 3, WTI April crude oil futures rose 4.67% to $74.56 per barrel, with a cumulative increase of 14.34% since February 26; Brent May crude oil futures rose 4.71% to $81.40 per barrel; COMEX gold futures fell 3.98% to $5099.40 per ounce; NYMEX natural gas futures rose 1.98% to $3.039 per ounce [7] 3.2 Capital Market 3.2.1 Open Market Operations - On March 3, the central bank conducted 3.43 billion yuan of 7 - day reverse repurchase operations at a fixed - rate and quantity - tender method, with an operating rate of 1.40%. There were 52.6 billion yuan of reverse repurchases due on the same day, resulting in a net withdrawal of 49.17 billion yuan [9] 3.2.2 Capital Interest Rates - On March 3, despite the central bank's net withdrawal in the open market, the capital market at the beginning of the month remained loose, and major repurchase interest rates declined significantly. DR001 dropped 4.52bp to 1.3266%, and DR007 dropped 1.24bp to 1.452% [10] 3.3 Bond Market Dynamics 3.3.1 Interest - Bearing Bonds - **Yield Trends of Spot Bonds**: On March 3, affected by the stock market decline and loose capital market, the bond market was generally strong, but long - term bonds weakened slightly due to the lower - than - expected bond - buying scale of the central bank in February. As of 20:00, the yield of the 10 - year Treasury bond active issue 250016 rose 0.45bp to 1.7935%, and the yield of the 10 - year CDB bond active issue 250220 rose 0.35bp to 1.9630% [13] - **Bond Tendering Situation**: Various bonds such as 26 Guokai 02, 25 Guokai 18 (Increment 28), etc., were tendered, with different issuance scales, winning yields, full - field multiples, and marginal multiples [15] 3.3.2 Credit Bonds - **Abnormal Secondary - Market Transactions**: On March 3, the trading prices of 4 industrial bonds deviated by more than 10%. "H1 Vanke 06" rose more than 11%, "H1 Vanke 04" rose more than 14%, "H0 Baolong 04" rose more than 66%, and "H1 Bidi 03" rose more than 100% [16] - **Credit Bond Events**: Companies such as Vanke, Agile Group, and Zhongnan Construction announced loan renewals, postponement of liquidation hearings, and meetings to discuss bond extensions [19] 3.3.3 Convertible Bonds - **Equity and Convertible Bond Indices**: On March 3, the A - share market fell with heavy trading volume, and the three major stock indices declined. The convertible bond market also followed the equity market down significantly. The CSI Convertible Bond Index, Shanghai Stock Exchange Convertible Bond Index, and Shenzhen Stock Exchange Convertible Bond Index fell 1.81%, 1.71%, and 1.98% respectively. Most convertible bond issues declined [20] - **Convertible Bond Tracking**: On March 3, Wentai Convertible Bond and Hongtu Convertible Bond announced that the board of directors proposed to lower the conversion price; Kehua Convertible Bond announced that it was about to trigger the condition for lowering the conversion price. Anji Convertible Bond and Hengyi Convertible Bond announced early redemptions; Baichuan Convertible Bond 2 and Liyang Convertible Bond announced that they were about to meet the early redemption conditions [24] 3.3.4 Overseas Bond Markets - **U.S. Bond Market**: On March 3, yields of U.S. Treasuries across maturities generally rose. The 2 - year U.S. Treasury yield rose 4bp to 3.51%, and the 10 - year U.S. Treasury yield rose 1bp to 4.06%. The yield spread between the 2 - year and 10 - year U.S. Treasuries narrowed 3bp to 55bp; the yield spread between the 5 - year and 30 - year U.S. Treasuries narrowed 1bp to 107bp. The break - even inflation rate of the 10 - year U.S. Treasury Inflation - Protected Securities (TIPS) remained unchanged at 2.29% [23][25][26] - **European Bond Market**: On March 3, 10 - year government bond yields of major European economies generally rose. Germany's 10 - year government bond yield rose 7bp to 2.78%, and those of France, Italy, Spain, and the UK rose 8bp, 11bp, 6bp, and 8bp respectively [27] - **Daily Price Changes of Chinese - Issued U.S. Dollar Bonds**: As of the close on March 3, some Chinese - issued U.S. dollar bonds had price increases or decreases, with different daily and monthly changes [29]

1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints of the Report - The stock index is expected to be volatile. Although geopolitical risks such as the US - Iran conflict and Trump's tariff policy may impact the global equity market, the overall influence is limited. The technology theme is a relatively certain main line in the first half of this year, while the stabilization and recovery of the consumption and pro - cyclical sectors may occur after the inflation data turns warmer [1]. - The bond market is expected to be volatile with a bearish bias. The core drivers of the bond market recently are the loose capital supply and the weak economic recovery, but it is restricted by factors such as government bond supply pressure and the warming of the equity market. With the 10 - year Treasury yield breaking below the important 1.8% mark, the "odds of going long" for further decline are insufficient [2]. 3. Summary by Directory 3.1 Research Views - **Stock Index**: On February 24, most stocks in the A - share market rose. The Wind All - A index rose 1.06% with a trading volume of 222 million yuan. The CSI 1000 index rose 1.16%, the CSI 500 index rose 1.12%, the SSE 300 index rose 1.01%, and the SSE 50 index rose 0.23%. Geopolitical risks are still brewing, and the US - Iran conflict may break out soon. Trump's tariff policy may impact the global equity market, but the overall influence is limited. The style switch after the Spring Festival is a market concern, and the technology theme is a strong main line in the first half of the year [1]. - **Treasury Bonds**: Treasury bond futures closed with gains. The 30 - year main contract rose 0.35%, the 10 - year main contract rose 0.08%, the 5 - year main contract rose 0.07%, and the 2 - year main contract rose 0.03%. The central bank carried out 526 billion yuan of 7 - day reverse repurchase on February 24, with a winning bid rate of 1.4%. The open - market operations achieved a net withdrawal of 926.4 billion yuan. The bond market is currently in a state of "narrow - range yield fluctuations with the ultra - long end leading the rise", and is expected to be bearishly volatile [1][2]. 3.2 Daily Price Changes - **Stock Index Futures**: The IH contract decreased by 8.4 points (- 0.27%), the IF contract increased by 2.0 points (0.04%), the IC contract increased by 112.4 points (1.35%), and the IM contract increased by 97.0 points (1.18%) [3]. - **Stock Indexes**: The SSE 50 index decreased by 8.7 points (- 0.28%), the SSE 300 index increased by 5.8 points (0.12%), the CSI 500 index increased by 97.8 points (1.17%), and the CSI 1000 index increased by 75.3 points (0.91%) [3]. - **Treasury Bond Futures**: The TS contract increased by 0.036 points (0.04%), the TF contract increased by 0.015 points (0.01%), the T contract increased by 0.045 points (0.04%), and the TL contract increased by 0.12 points (0.11%) [3]. 3.3 Market News - During the 9 - day Spring Festival holiday, the travel scale reached a new high. The cumulative cross - regional personnel flow in the whole society exceeded 28 billion person - times, with an average daily flow of 311 million person - times, a year - on - year increase of 8.2% [4]. 3.4 Chart Analysis - **Stock Index Futures**: The report provides various charts showing the trends of IH, IF, IM, IC main contracts and their corresponding basis [6][7][8][9][10]. - **Treasury Bond Futures**: The report includes charts showing the trends of Treasury bond futures main contracts, Treasury bond spot yields, basis, inter - period spreads, cross - variety spreads, and capital interest rates [13][14][15][16][17][19]. - **Exchange Rates**: The report presents charts of the central parity rate of the US dollar against the RMB, the euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between different currencies [22][23][24][26][27].

Market Overview - The A-share market saw most stocks rise, with Wind All A increasing by 1.06% and a trading volume of 2.22 billion [3] - The geopolitical risks remain in the background, particularly with the potential for conflict between the US and Iran, which could impact market sentiment [3] - The US Supreme Court ruled that Trump's tariff policy under the IEEPA was illegal, but this does not affect his ability to impose tariffs through other domestic laws [3] Bond Market - The bond futures closed with the 30-year main contract up by 0.35%, and the 10-year main contract up by 0.08% [10] - The People's Bank of China conducted a 7-day reverse repurchase operation of 526 billion yuan at a rate of 1.4%, maintaining liquidity in the banking system [10] - The bond market is driven by a loose funding environment and a weak economic recovery, with long-term bond yields declining more than short-term yields [10][5] Precious Metals - Gold and silver prices showed weak fluctuations, while platinum and palladium experienced stronger movements [11] - The uncertainty surrounding US tariffs has increased global economic uncertainty, impacting precious metal prices [11] - Gold is expected to trade in a wide range around $5,000 per ounce post-holiday, with a focus on geopolitical developments and potential interest rate cuts [11]

Core Viewpoint - The article discusses the increasing popularity of government bond reverse repos as a method for investors to manage idle funds during the upcoming Spring Festival holiday, highlighting the operational details and market conditions affecting returns [3][6]. Group 1: Government Bond Reverse Repo Operations - Investors can engage in 1-day government bond reverse repos on February 12, allowing them to earn interest for 11 days, with funds available for trading on February 13 [5][6]. - The operation is characterized as a short-term loan where investors lend money against bond collateral, offering flexibility, safety, low fees, and simplicity [6][7]. - The trading window for optimal returns is emphasized, with February 12 identified as the best day for transactions before the holiday [7]. Group 2: Market Conditions and Interest Rates - This year's pre-holiday funding rates are notably lower compared to previous years, indicating a more relaxed liquidity environment, which diminishes the potential returns from reverse repos [8][10]. - Historical trends show that funding rates typically rise before holidays due to increased cash demand, but this year, the central bank's liquidity support has kept rates low [9][10]. - As of February 12, the 1-day government bond reverse repo rates were reported at 1.27% and 1.21% for Shanghai and Shenzhen exchanges, respectively, reflecting a downward trend [10]. Group 3: Central Bank Actions - The central bank announced a significant reverse repo operation of 1 trillion yuan to maintain liquidity, indicating a continued supportive stance towards monetary policy [11]. - The expectation of further liquidity support through various tools, including medium-term lending facilities and government bond transactions, is anticipated in the coming months [11].

Core Viewpoint - The central theme of the article revolves around the current monetary policy stance of the central bank, indicating a trend towards easing, as evidenced by a stable and slightly relaxed funding environment [1]. Group 1: Monetary Policy and Market Conditions - The central bank conducted a total of 5,000 billion yuan in buyout-style reverse repos, contributing to a balanced and slightly relaxed funding environment, which led to a minor decline in long-term bond yields [3][5]. - The overnight funding rates remained stable, with DR001 around 1.36% and DR007 at approximately 1.53%, reflecting a relaxed liquidity condition [3]. - The market saw a net injection of 4,480 million yuan from the central bank's operations, with 1,185 million yuan in 7-day reverse repos maturing [3]. Group 2: Bond Market Performance - The 10-year government bond yield opened at 1.785% and subsequently declined to 1.7725%, indicating a positive sentiment in the bond market [5]. - The trading volume in the interbank market showed a decrease, with R001 at 58,446.31 million yuan, down by 8,692.67 million yuan, while R007 had a trading volume of 5,401.27 million yuan, up by 2,567.72 million yuan [4]. Group 3: Economic Indicators - The latest data indicated that the number of marriage registrations in 2025 reached 6.734 million pairs, reflecting a year-on-year increase of 10.76% [6]. - The overall market sentiment is characterized by a slow and steady rise in stock and bond transactions, with a notable decline in trading activity [6].

Report Summary 1. Report Industry Investment Rating - Not provided in the report 2. Core View - The capital market remains loose, and the yields of interest - rate bonds have declined slightly overall. The risk - assets in the market continued to decline this week, but the mood improved on Friday. The Fed's new chairman nomination has raised doubts about the degree of easing, while the double - easing policy brought about by the high - vote victory of Japan's Komeito Party is expected to enhance global liquidity and support the subsequent rise of risk - assets. Before the holiday, it is expected that risk - assets may rise further, and the liquidity environment will improve. It is recommended to maintain the bond position for the upcoming nine - day holiday [1][4] 3. Summary by Related Catalogs 3.1 Capital and Interest - rate Bond Yield Situation - This week, DR007 ranged from 1.46% to 1.50%, and DR001 ranged from 1.28% to 1.36%. The central levels of DR001 and DR007 both declined compared with the previous week [1] - The yields of interest - rate bonds declined slightly this week. For treasury bonds, the 1 - year yield rose 2bp, the 3 - year and 5 - year yields declined 2bp each, the 7 - year yield declined 1bp, and the 10 - year yield remained flat. For CDB bonds, the 1 - year yield declined 1bp, the 3 - year yield declined 2bp, the 5 - year yield declined 4bp, the 7 - year yield declined 3bp, and the 10 - year yield declined 3bp [1][2] 3.2 Yield Changes of Treasury Bonds and CDB Bonds | Variety | 1 - year | 3 - year | 5 - year | 7 - year | 10 - year | | --- | --- | --- | --- | --- | --- | | Treasury Bond (Weekly Change, BP) | +2 | -2 | -2 | -1 | 0 | | Treasury Bond (Monthly Change, BP) | +1 | -2 | -2 | -2 | -1 | | Treasury Bond (Annual Change, BP) | -1 | 0 | -6 | -6 | -3 | | CDB Bond (Weekly Change, BP) | -1 | -2 | -4 | -3 | -3 | | CDB Bond (Monthly Change, BP) | -2 | -2 | -3 | -3 | -2 | | CDB Bond (Annual Change, BP) | +2 | -2 | -5 | -6 | -3 | [2][3] 3.3 Term Spread Situation - On February 6, the 10 - 1Y term spread of treasury bonds was 48.95bp, and that of CDB bonds was 39.44bp, narrowing 2.18bp and 0.88bp respectively compared with January 30 [3] 3.4 Market and Operation Suggestions - This week, the risk - assets in the market continued to decline, but the mood improved on Friday. The Shanghai Composite Index was in the red for most of the day and then closed down at the end of the session. The bond yields were strongly consolidated above 1.80%. Overnight, US stocks, cryptocurrencies, and precious metals rebounded significantly [4] - The Fed's new chairman nomination has raised doubts about the degree of easing, while Japan's double - easing policy is expected to enhance global liquidity and support the subsequent rise of risk - assets. Before the holiday, it is expected that risk - assets may rise further, and the liquidity environment will improve [4] - For the upcoming nine - day holiday, it is recommended that both trading and investment accounts in the bond market maintain their positions and do not need to reduce holdings. The upcoming price data is of limited reference due to the Spring Festival date misalignment, and potential emergencies during the holiday should be noted if geopolitical negotiations such as the US - Iran negotiations do not go well [4]

Group 1 - The China Banking Index (399986) saw a slight increase of 0.05% as of February 9, 2026, with notable gains from several banks, including Qingnong Commercial Bank up by 1.90% and Qilu Bank up by 1.70% [1] - The People's Bank of China conducted a 1,130 billion yuan reverse repurchase operation with a rate of 1.40%, maintaining the previous level, and achieved a net injection of 380 billion yuan into the market [1] - Analysts indicate that the central bank's actions, including the excess continuation of the 3-month reverse repurchase, reflect its intention to stabilize liquidity before the Spring Festival, suggesting a continued loose monetary environment [1] Group 2 - China Galaxy believes that the current proactive fiscal policy and stable monetary policy will support bank performance and benefit valuation recovery, making the banking sector an attractive investment opportunity [2] - The Huaxia Bank ETF (515020) is noted for having the lowest comprehensive fee rate among ETFs tracking the China Banking Index (399986) [2]