金融期货周报-20260306

Report Information - Report Title: Financial Futures Weekly Report [1] - Date: March 6, 2026 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided in the report. Core Views - For the stock index, due to the impact of the US - Israel - Iran conflict, the market risk appetite is significantly suppressed, and the A - share market shows a panic - style decline. In the medium term, the stock index trend will return to the domestic fundamentals, and the market may rebound and repair after the panic sentiment is fully released. It is recommended to hold a light position. The IC and IM related to new - quality productivity are expected to have better relative performance [14][15]. - For treasury bonds, in March, treasury bond futures may be strong first and then weak. The market's concern about supply should be alleviated after the two - sessions, and the market may continue to oscillate strongly in the short term, considering the unclear Middle - East situation and the possible RRR cut [95][97]. Summary by Directory Stock Index 1. Market Review - At the beginning of the year, the A - share market had a "good start" due to the appreciation of the RMB and the strong performance of the Hong Kong stock market. However, regulatory measures were taken to cool down the over - heated market, and the market sentiment weakened. Later, due to factors such as the nomination of the next Fed chairman, the conflict in the Middle East, and the two - sessions, the market fluctuated. From March 2 to March 6, the A - share market showed a pattern of volume decline, with most broad - based indexes and sectors falling, and large - cap blue - chip stocks being relatively resistant to decline [7][8][9]. - In terms of the outlook, the US - Israel - Iran conflict suppresses the market risk appetite, but in the medium term, the stock index will return to domestic fundamentals. The market may rebound after the panic is released, but there is still great pressure above 4200 points on the Shanghai Composite Index. It is necessary to be vigilant about the window period after the policy expectation is fulfilled and the risk - aversion sentiment of funds during the annual report disclosure period. It is recommended to hold a light position. The IC and IM related to new - quality productivity are expected to have better relative performance [14][15]. [14][15] 2.成交持仓分析 - This week, the trading volume of stock index futures increased. The average daily trading volumes of IF, IH, IC, and IM were 128,500, 60,500, 191,100, and 232,000 lots respectively, an increase of 13,000, 12,300, 63,700, and 66,800 lots compared with last week. - The positions of stock index futures also generally increased. The average daily positions of IF, IH, IC, and IM were 282,300, 111,100, 309,700, and 386,100 lots respectively, an increase of 5,300, 4,600, 15,700, and 18,000 lots compared with last week [16]. 3.基差、跨期价差及跨品种价差分析 - 基差走势: This week, the basis of CSI 300 and SSE 50 changed from premium to discount, and the discount of CSI 500 and CSI 1000 deepened. The annualized basis rates of the main contracts of CSI 300, SSE 50, CSI 500, and CSI 1000 were - 7.97%, - 2.32%, - 11.61%, and - 11.55% respectively, with a month - on - month decrease of 9.12, 5.69, 9.03, and 5.65 percentage points [18][25][26]. - 跨期价差走势: As of March 6, the spreads between the next - month and current - month contracts of IF, IH, IC, and IM were all negative and generally widened. The spreads between the current - quarter and current - month contracts were also negative and widened [27]. - 跨品种价差走势: Large - cap stocks performed relatively better. The ratios of CSI 300/SSE 50, CSI 1000/CSI 500, CSI 300/CSI 1000, and SSE 50/CSI 1000 were at different historical percentile levels, with some showing month - on - month increases and some showing decreases [29]. 4. Industry Plate Overview - CSI 300 and CSI 500 sub - industry trends: In the CSI 300, the energy, public utilities, and industrial sectors led the gains, rising 9.22%, 4.13%, and 1.71% respectively, while the information technology, materials, and real estate sectors led the losses, falling 4.97%, 3.79%, and 3.24% respectively. In the CSI 500, the energy and public utilities sectors led the gains, rising 4.54% and 0.72% respectively, while the information technology, real estate, and optional consumption sectors led the losses, falling 6.32%, 5.81%, and 4.67% respectively [31]. - First - level industry gains and losses: The petroleum and petrochemical, coal, and public utilities sectors led the gains, rising 8.06%, 3.79%, and 3.42% respectively, while the media, non - ferrous metals, and computer sectors led the losses, falling 6.97%, 5.47%, and 5.29% respectively [33]. 5. Valuation Comparison - As of March 6, 2026, the rolling price - to - earnings ratios of CSI 300, SSE 50, CSI 500, and CSI 1000 were 14.1906 times, 11.5624 times, 37.5478 times, and 49.9769 times respectively, and they were at the 84.82%, 80.78%, 87.74%, and 82.68% percentile levels in the past ten years [38]. Treasury Bonds 1. This Week's Market Review - Treasury bond futures market: The geopolitical conflict in the Middle East reignited, and the risk - aversion sentiment pushed up the treasury bond futures. On Monday, the domestic risk - aversion sentiment heated up, and treasury bond futures rose across the board. On Tuesday, the A - share market adjusted significantly, and the bond market continued to be strong. On Wednesday, the weak PMI data in February and the continued adjustment of the A - share market led to the continued rise of treasury bond futures. On Thursday, although the economic targets in the government work report were lowered and the stimulus intensity did not exceed expectations, the stabilization of overseas stock markets suppressed the bond market, and treasury bond futures closed slightly lower across the board [42]. - Strategy performance: - 期现策略: This week, the performance of medium - and long - term futures was weaker than that of spot bonds. The basis of the 10 - year and 5 - year main contracts widened, and the IRR narrowed, indicating that the futures performed worse than the spot bonds. The IRR of the 30 - year and 2 - year bonds increased, and the futures performed better than the spot bonds [45]. - 基差策略: Currently, the basis of T2606 is significantly low. If the short - term risk - aversion sentiment cools down and the bond market corrects, it may bring opportunities for the basis to widen [48]. - IRR strategy: Currently, there is no positive arbitrage space [50]. - 跨期策略: Currently, the liquidity of the 2603 contract is poor, and it is not recommended to participate in the inter - period strategy [57]. - 跨品种策略: It is recommended to pay attention to the steepening strategy. In the first quarter, the fundamentals may continue to perform well, which will dampen the expectation of interest rate cuts. However, the central bank should have a strong willingness to protect the capital market, and the adjustment pressure of short - term interest rates should be less than that of long - term interest rates. Therefore, it is recommended to pay attention to the strategy of going long on the short - end and short on the long - end [62]. - Bond spot market: This week, most of the yields of treasury bond spot bonds declined. The short - term yields declined more due to the warming of risk - aversion sentiment and the loose funds at the beginning of the month. The yield of the 10 - year treasury bond reported 1.7801%, a decrease of 3.92bp from last Friday, and the yield of the 10 - year CDB bond reported 1.9631%, a decrease of 1.66bp. The yields of US bonds increased across the board. The 10 - year US bond yield reported 4.1300%, an increase of 16bp from last Friday, and the 2 - year US bond yield reported 3.5700%, an increase of 19bp from last Friday [67]. - 资金面: At the beginning of the month, the capital pressure was not large. After the Spring Festival, the central bank continued to net withdraw funds. This week, there were 2.525 trillion yuan of open - market maturities, and the central bank injected 1.0776 trillion yuan, achieving a net withdrawal of 1.4474 trillion yuan. The capital market was stable, and there was no liquidity stratification between banks and non - banks. The capital interest rates fluctuated. The overnight DR funds were around 1.27%, and the 7 - day funds decreased by 5.9bp to 1.4150% compared with last weekend. The 1 - year AAA certificate of deposit interest rate was around 1.58% [74][77]. - 利率衍生品: In terms of interest rate swaps, the yields of most swap varieties declined this week, and the liquidity expectation was stable [87]. 2. Market Analysis - Recent market logic: Fundamentally, the PMI in February was affected by the Spring Festival and weakened. However, the high - frequency economic indicators after the Spring Festival showed a fast resumption of production, and the overseas export demand was still strong. The implementation of the "Shanghai Seven Measures" may boost the real - estate market in the "Golden March" season. The economy in the first quarter may continue to perform well, which will dampen the market's expectation of easing. The visit of Trump to China at the end of March may push up the market risk appetite and suppress the bond market. However, the unclear situation in the Middle East in the short term is expected to support the risk - aversion demand, and the policy intensity of the two - sessions and the supply of government bonds are also lower than expected. The adjustment space of treasury bond futures should be limited. Later, attention should be paid to the economic data from January to February [95]. - This week's fundamental situation: The PMI data for February was released this week. Due to the Spring Festival falling in mid - February, the holiday had a greater impact on production, and the PMI in February fell by 0.3% to 49%, falling below the critical value for two consecutive months. The production index fell by 1 percentage point, which was the main drag. The demand side also declined synchronously, and the new export orders fell by 2.8 percentage points, more than the overall order demand, indicating that domestic demand was released during the holiday and had a certain resilience. The price indicators continued to rise, and the elasticity of raw material prices was significantly higher than that of ex - factory prices, which may put pressure on downstream profits. Considering the impact of the Spring Festival in February, the overall situation in the first quarter needs to be observed, and attention should be paid to the resumption of work and production in March [96]. - Next week's bond market outlook: After the policy boots of the two - sessions landed, the market's concern about supply should be alleviated. In the short term, attention should be paid to the possibility of a RRR cut. The unclear situation in the Middle East also provides some risk - aversion demand, and the market may continue to oscillate strongly [97]. 3. Next Week's Open - Market Maturities and Important Economic Calendar - Open - market maturities: There will be 427.6 billion yuan of open - market maturities next week, including reverse repurchase and treasury cash fixed - deposit maturities [100]. - Economic data: China's import and export data from January to February will be released next week [100].