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]

Core Viewpoint - The manufacturing PMI for February decreased to 49.0%, indicating a contraction in the manufacturing sector, influenced by the Spring Festival holiday and related factors [2][3][11]. Group 1: Factory Prices Continue to Improve - The manufacturing PMI factory price index rose to 50.6%, remaining above the threshold for two consecutive months, indicating price increases for several goods [3][7]. - The BCI survey showed that the enterprise sales forward-looking index reached 69.12%, up from 64.71%, suggesting improved sales prospects [4][7]. - The rise in factory prices is expected to enhance corporate sales, with the BCI enterprise profit forward-looking index at 51.16%, indicating profitability above the threshold for two months [4][7]. Group 2: Data on Manufacturing PMI Decline - The manufacturing PMI for February was reported at 49.0%, down from 49.3% in January, with specific indices showing declines in production, new orders, and export orders [11][12]. - The new export orders index fell to 45.0%, down from 47.8%, indicating a slowdown in export activity [11][13]. - The construction sector's business activity index dropped to 48.2%, reflecting the impact of the Spring Festival on construction projects [11][13]. Group 3: Price and Inventory Trends - The main raw material purchasing price index was at 54.8%, remaining above the threshold for eight consecutive months, indicating sustained price pressures [12]. - The procurement index for February was 48.2%, down from 48.7%, suggesting a potential decline in inventory levels [12]. - The production index for comprehensive PMI output was 49.5%, indicating a slowdown in overall production activities compared to the previous month [14].

Core Viewpoint - The manufacturing PMI has marginally declined due to seasonal disruptions from the longest Spring Festival holiday in history, with input inflation being a key concern moving forward [1][2]. Manufacturing Sector - In February 2026, the manufacturing PMI stood at 49.0%, down 0.3 percentage points from the previous month, indicating a lower-than-average performance for this time of year due to the holiday disruption [2]. - The production index was notably affected, particularly impacting small and medium-sized enterprises, while high-tech manufacturing remains in the expansion zone [2]. - The consumer goods sector's PMI increased to 48.8%, up 0.5 percentage points from last month, driven by consumption policies [2]. Supply and Demand Index - The supply and demand index experienced a seasonal decline, with new export orders showing a significant drop, although domestic demand remains relatively stable when seasonal factors are excluded [3]. - Industries such as agricultural processing and computer communication equipment are expanding, while textiles and automotive sectors remain below the critical point [3]. - The purchasing price index for raw materials has slightly decreased, while factory prices remain stable, potentially improving revenue expectations for businesses [3]. Non-Manufacturing Sector - The service sector showed stable performance with a slight increase in the business activity index, although there is significant structural differentiation [3]. - Industries related to consumer travel, such as accommodation and dining, are experiencing rapid growth, while capital market services and real estate are operating at low levels [3]. - The construction sector's business activity index has marginally declined due to the holiday, with some projects temporarily halted [3]. Future Outlook - The macroeconomic policy is expected to be more proactive, with a focus on supporting overall demand [4]. - The Central Political Bureau has indicated a commitment to more active fiscal policies and moderately loose monetary policies, with potential for further interest rate cuts [4]. - There will be an emphasis on boosting consumption and expanding investment, including infrastructure projects like parking lots and charging stations [4].

Group 1: Manufacturing Sector - The manufacturing PMI for February is 49.0%, down 0.3 percentage points month-on-month, indicating continued weakness influenced by the Spring Festival effect[1] - The production PMI decreased by 1.0 percentage points to 49.6%, while new orders, new export orders, and import PMIs fell by 0.6, 2.8, and 1.7 percentage points to 48.6%, 45.0%, and 45.6% respectively[12] - Large enterprises showed improvement with a PMI increase of 1.2 percentage points, while medium and small enterprises saw declines of 1.2 and 2.6 percentage points respectively[20] Group 2: Non-Manufacturing Sector - The construction PMI fell by 0.6 percentage points to 48.2%, with new orders index slightly improving by 2.1 percentage points to 42.2%[25] - The service sector PMI increased to 49.7%, up 0.2 percentage points, but new orders remain weak[32] - The issuance progress of special bonds reached approximately 18.7%, better than 13.0% in the same period of 2025[25] Group 3: Economic Outlook - The resumption of work is slightly faster than in previous years, with a construction resumption rate of 8.9% as of February 25, 2026, an increase of 1.5 percentage points year-on-year[37] - Economic fundamentals in Q1 are expected to remain under pressure, necessitating stronger growth stabilization policies, including additional policy financial tools and accelerated fiscal spending[37] - Risks include unexpected policy changes and potential downturns in the U.S. economy affecting domestic exports[42]

Group 1: Industry Investment Rating - No information provided Group 2: Core Views - Despite the month-on-month decline in February's manufacturing PMI, the actual performance was slightly better than the seasonal average, indicating an improvement in economic sentiment [10][13] - The decline in the export order index in February may be due to the Spring Festival holiday, and export data may still maintain resilience [17] - The price index remained strong, and the rise in oil prices may accelerate the recovery of PPI, with the possibility of turning positive earlier [20][21] - During the holiday, the non-manufacturing sector showed a mixed performance, and the construction industry's resumption of work after the holiday was better than the same period last year [23] - The economic performance in the first quarter faces certain pressure, but the early issuance of special bonds and the positive performance of resumption of work create favorable conditions for a stable start [24] Group 3: Summary by Directory 1. This month's economic sentiment seems weak but is actually strong - February's manufacturing PMI fell 0.3 points to 49.0, but was slightly better than the seasonal average [10][11] - Most sub - indices weakened, but the demand side declined less than the supply side, and the finished product inventory index dropped significantly [10] - The "PMI (new orders - production - inventory) trend value" ended its downward trend and rebounded [13] - The decline in the export order index may be due to the Spring Festival, and actual export performance was not weak [17] 2. Soaring oil prices support the earlier return of PPI to positive - Although the raw material price index declined and the ex - factory price index did not rise further, both were in the expansion range [20] - The rise in oil prices may accelerate the recovery of PPI, with the possibility of turning positive as early as March in an optimistic scenario, and in May - June in neutral or pessimistic scenarios [21] 3. The construction industry's resumption of work after the holiday is stronger than the same period last year - During the holiday, the non - manufacturing sector showed a mixed performance, with high sentiment in consumer - related industries and low sentiment in some industries such as capital markets and real estate [23] - The business activity index of the construction industry declined, but the business activity expectation index returned above the critical point [23] - As of February 25, the construction site resumption rate, labor employment rate, and fund availability rate were all higher than the same period last year [23]

Group 1: PMI and Economic Indicators - February manufacturing PMI was 49.0, down from 49.3, indicating a seasonal decline consistent with historical trends[3] - The BCI index for February recorded 52.4, down from 53.7 in January, but still above the 49.8 level from December last year[3] - The estimated actual GDP growth for February is 4.81%, with nominal GDP at 4.70%[4] Group 2: Manufacturing and Business Conditions - The production index in February was 49.6, down 1.0 points, while the new orders index was 48.6, down 0.6 points[5] - Large enterprises showed a PMI of 51.5, up 1.2 points, while small enterprises had a PMI of 44.8, down 2.6 points[5] - The production expectation index rose to 53.2, indicating positive future production plans despite current slowdowns[6] Group 3: Price Indices and Industry Performance - The raw material purchase price index decreased to 54.8, while the factory price index remained stable at 50.6[8] - High-tech manufacturing PMI was 51.5, while consumer goods industry PMI improved to 48.8, indicating sector-specific growth[7] - The construction business activity index fell to 48.2, but the expectation index rose to 50.9, suggesting optimism for future activity[8] Group 4: Consumer and Service Sector Insights - The service sector PMI increased slightly to 49.7, with hospitality and entertainment sectors showing strong performance, indices above 60[9] - The long holiday effect positively influenced consumer spending, particularly in retail and services, indicating potential for future policy impacts[11]

Group 1 - The core process of targeted issuance includes five main stages: preparation and plan design, internal decision-making, regulatory review, issuance implementation, and subsequent registration [2][3][4] - The implementation of the comprehensive registration system in 2023 has adjusted the review process to "exchange review + CSRC registration" [3][4] - The initial stage involves project establishment and due diligence, where companies communicate with intermediaries to determine the purpose of the issuance and conduct feasibility studies [4] Group 2 - The internal decision-making process requires board approval of the issuance plan and related proposals, followed by shareholder meeting approval [4][6] - The exchange reviews the application documents, focusing on compliance, project rationality, and information disclosure adequacy [4][6] - After obtaining registration approval, companies can proceed with roadshows and pricing, with the final issuance price set at no less than 80% of the average stock price over the previous 20 trading days [4][5][6] Group 3 - Key points for successful targeted issuance include the qualification of issuance objects, pricing mechanisms, lock-up period arrangements, and restrictions on the use of raised funds [6][7] - The issuance is limited to no more than 35 specific investors, who must meet regulatory requirements [7] - The lock-up period varies, with ordinary investors facing a 6-month lock-up, while major shareholders and strategic investors may have an 18-month lock-up [7]

Core Insights - The total number of listed companies in China's stock market reached 5,484 as of January 31, 2026, with a total market capitalization of 114.5 trillion yuan, indicating steady expansion and structural optimization of the multi-tiered capital market, enhancing its service to the real economy [1] Market Structure - The Shanghai, Shenzhen, and Beijing Stock Exchanges have developed collaboratively, with 2,306 companies listed on the Shanghai Stock Exchange, 2,886 on the Shenzhen Stock Exchange, and 292 on the Beijing Stock Exchange, creating a market system that covers different stages of development and types of enterprises [1] - Among the listed companies, 5,233 are A-share companies, 244 are multi-share type companies (A+H, A+B), and only 7 are B-share companies, indicating a solid A-share dominance and diversified financing structure, with a gradual increase in market internationalization [1] New Listings and Market Dynamics - In January, there were 9 new initial public offerings (IPOs) in the market, raising 9.053 billion yuan, with 8 of these being manufacturing enterprises, reflecting a targeted capital flow towards advanced manufacturing and key areas of the real economy [1] - The market saw a breakthrough in the delisting process, with 2 companies delisted in January, including the first delisted company from the Beijing Stock Exchange outside of the transfer board, marking the extension of the normalized delisting mechanism across all sectors and accelerating the formation of a "survival of the fittest" market ecology [1]

Group 1 - The core viewpoint of the article highlights the profound transformation of China's main board market in 2026, focusing on the comprehensive implementation of the registration system, optimization of governance structures, mandatory ESG disclosures, and reinforcement of industry positioning [1] - The China Securities Regulatory Commission (CSRC) and listing advisory institutions are undertaking a series of systematic measures to reconstruct the value creation and compliance management pathways for listed companies on the main board [1] - The article aims to provide feasible listing pathways for prospective listed companies by deeply analyzing the policy orientation, characteristics of successful cases, and strategies for enhancing corporate value in the 2026 main board market [1]

Core Viewpoint - The new refinancing policy introduced by the three major exchanges in China focuses on supporting high-quality listed companies and the technology innovation sector, aiming to enhance efficiency in the refinancing process [1][2]. Group 1: Key Measures of the New Policy - The new refinancing policy includes measures such as improving review efficiency, revising the standards for "light assets and high R&D investment," supporting fundraising directed towards new industries, new business formats, and new technologies that have synergistic effects with the main business, and shortening the financing interval for unprofitable listed companies [1][2]. - The policy emphasizes the importance of optimizing resource allocation in the capital market by supporting high-quality listed companies while limiting poor-quality ones [1]. Group 2: Efficiency Improvement - Enhancing refinancing efficiency is crucial, as the previous process was often lengthy and inefficient, sometimes taking years from proposal approval to actual fundraising [2]. - A rapid review mechanism for refinancing could be established to create a green channel for high-quality listed companies, thereby improving the overall efficiency of the process [2]. Group 3: Fund Utilization - Companies need to ensure timely investment of raised funds and avoid misusing them or changing their intended use, as this would waste valuable market resources [3]. - The effectiveness of fundraising projects should be closely monitored, as many projects fail to meet profitability expectations, indicating that the refinancing outcomes are not ideal [3]. - The new policy emphasizes the need for strict regulations to prevent arbitrary changes in the use of raised funds and to ensure that funds are invested according to the disclosed timelines [3].