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]

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 structural interest rate cut has been implemented, increasing the demand for medium - and long - term bonds. The abundant capital, stable liquidity, and moderate inflation support bond prices. However, the slight decline in Treasury bond yields implies weakening demand, and the rising US Treasury yields increase the pressure of capital outflows. It is recommended to pay attention to the MA60 support level and maintain a wait - and - see position [2] Data Presented 1. Yield and Interest Rate - The report shows the trends of 2Y, 5Y, 10Y, 30Y, and 7Y Treasury bond yields from 2024/04 to 2025/12, the trends of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day and 7 - day reverse repurchase rate from 2023/12 to 2025/12, and the trends of 7Y - 2Y and 30Y - 7Y Treasury bond term spreads from 2024/04 to 2025/12 [3] 2. Futures Position and Transaction Volume - The trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures positions from 2015/12 to 2025/12 and the trends of their trading volumes from 2024/04 to 2025/12 are presented [5][6] 3. Futures Basis and Spread - The trends of the basis of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' current - quarter contracts are shown. Also, the trends of the current - quarter minus next - quarter spreads of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures are presented. Additionally, the trends of TS*4 - T and T*3 - TL cross - variety spreads are provided [7][14][16]

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]

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]

Report Summary Core View - The report analyzes the factors affecting the Treasury bond market, suggesting to focus on the layout opportunities of far - month contracts and be aware of the short - term volatility risks caused by the widening basis [2] Factors Affecting the Market Bullish Factors - The funding situation has eased, and the inter - bank liquidity has significantly improved after the impact of the tax period has subsided [2] - The central bank has restarted Treasury bond trading operations, providing direct buying demand for the market [2] Bearish Factors - The economic fundamentals remain weak, and indicators such as investment and exports continue to face pressure [2] - The rise in US Treasury yields exerts external pressure on domestic bond yields [2] Data Analysis Yield and Spread - The report presents the historical data of Treasury bond yields for 2Y, 5Y, 10Y, 30Y, and 7Y, as well as the term spreads of 7Y - 2Y and 30Y - 7Y [3][4][5] Trading Volume and Open Interest - It shows the historical trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures, and also mentions the open interest of Treasury bond futures [8][18] Basis and Spread - The historical basis data of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' current - quarter contracts are provided, along with the inter - delivery spreads (current - quarter minus next - quarter) of these contracts [9][10][11][17][19] - The cross - variety spreads of TS*4 - T and T*3 - TL are also presented [20][21]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The possibility of a trend - weakening in the bond market is low, and yields are expected to maintain a high - level oscillation pattern. It is recommended to stay on the sidelines for unilateral trading [2] 3. Summary by Related Catalogs 3.1 Market Factors - **Liduo Factors**: The capital market is balanced and slightly loose, with the central bank's net injection supporting market liquidity. After the bond market became desensitized to the stock market, it generally rose. The marginal weakening of economic data and the continuation of supply - demand contradictions provide core support for the bond market [2] - **Likong Factors**: The issuance of 50 - year ultra - long - term special treasury bonds was poor, triggering market concerns. Strong overseas risk appetite put pressure on the bond market [2] 3.2 Market Data - **Yield**: Data on 2Y, 5Y, 7Y, 10Y, and 30Y treasury bond yields from 2024/04 to 2025/08 are presented [3] - **Funding Rate**: Data on deposit - type institutional pledged repurchase weighted average rates (1 - day and 7 - day) and 7 - day reverse repurchase rates from 2023/12 to 2025/06 are presented [3] - **Term Spread**: Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are presented [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 are presented [7][8] - **Futures Basis**: Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are presented [9][11][12][14] - **Futures Inter - period Spread**: Data on the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [18][20] - **Futures Inter - variety Spread**: Data on the inter - variety spreads (TS*4 - T and T*3 - TL) of treasury bond futures are presented [21][22]

Core Viewpoint - The U.S. Labor Department announced that if a government shutdown occurs, its statistical agencies will suspend the release of economic data, including the highly anticipated September employment report, which is crucial for market participants and policymakers [1][3]. Group 1: Impact of Government Shutdown - The Labor Department confirmed that during a government shutdown, it will "suspend data collection, processing, and release," affecting key reports like the non-farm payroll data [3]. - The shutdown comes amid rising concerns about the quality of U.S. economic data, which has long been considered the "gold standard" in the industry [3]. - If the shutdown lasts for an extended period, it may lead to delays in the release of other important economic data, such as the Consumer Price Index (CPI) scheduled for October 15 [5]. Group 2: Market Reactions and Strategies - Market participants are preparing for a potential lack of official data, which may lead them to focus more on public statements from Federal Reserve officials, complicating the assessment of future policy directions [1][5]. - Investment firms suggest strategies such as increasing fixed-income asset allocations, buying mid-term U.S. Treasury bonds, and maintaining a cash reserve of 5% to 10% for potential market opportunities post-shutdown [6]. - The potential delay in employment data could lead traders to close or hedge positions in Treasury derivatives, increasing market volatility during this uncertain period [5].

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core View - The report analyzes the factors affecting the bond market, with bank - to - bank funds in a loose environment supporting the bond market, and the 10 - year main contract rising 0.12% weekly, showing stable market sentiment and attracting buyers. However, there are also negative factors such as better - than - expected import and export data (4.8% export growth) and high risk preference. It is recommended to closely monitor the capital situation and economic fundamentals and maintain a cautious and wait - and - see attitude [3] Group 3: Summary by Related Data Bond Market Influencing Factors - Positive factors: Bank - to - bank funds in a loose environment support the bond market, and the 10 - year main contract rising 0.12% weekly attracts buyers [3] - Negative factors: Import and export data are better than expected (4.8% export growth), which may push up interest rate expectations, and high risk preference increases the pressure of capital diversion [3] Yield and Interest Rate - The report presents the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08, as well as the trends of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [4] Term Spread - It shows the trends of 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/08 [4] Futures Position and Trading Volume - The trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures positions from 2015/12 to 2023/12 and trading volumes from 2024/04 to 2025/08 are presented [8][9] Basis and Spread - The report shows the trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures basis for the current quarter, as well as the trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures spreads between the current and next quarters from 2024/04 to 2025/08 (for 30 - year from 2023/06 to 2025/06) [10][17][20] - It also presents the trends of TS*4 - T and T*3 - TL cross - variety spreads from 2024/04 to 2025/08 (for T*3 - TL from 2023/06 to 2025/06) [21][22]