Group 1: Report Industry Investment Rating - No relevant content Group 2: Report's Core View - The short - term view of TL2603 is shock, the medium - term view is shock, and the intraday view is weak, with an overall view of shock consolidation due to the reduced possibility of a comprehensive interest rate cut in the short term [1] - For financial futures index stock sectors including TL, T, TF, and TS, the intraday view is weak, the medium - term view is shock, and the reference view is shock consolidation. In the short term, the upward and downward drivers of treasury bond futures are both weak, mainly in a range of shock consolidation. On one hand, the macro - economic data in December weakened, showing insufficient effective domestic demand, so the future monetary and credit environment is relatively loose, providing strong support for treasury bond futures. On the other hand, the central bank implemented a structural interest rate cut in January, indicating that structural monetary policy is the central bank's first choice, and the possibility of a comprehensive interest rate cut in the short term is low, resulting in insufficient upward momentum for treasury bond futures [5] Group 3: Summary by Related Catalogs Variety View Reference - Financial Futures Index Stock Sector - For TL2603, the short - term is shock, the medium - term is shock, the intraday is weak, with a view of shock consolidation, and the core logic is the reduced possibility of a comprehensive interest rate cut in the short term [1] Main Variety Price Market Driving Logic - Financial Futures Index Stock Sector - For varieties TL, T, TF, TS, the intraday view is weak, the medium - term view is shock, and the reference view is shock consolidation. In the short term, treasury bond futures are in shock consolidation. The upward and downward drivers are weak. The weak December macro - economic data provides support due to loose future monetary and credit environment, while the January structural interest rate cut reduces the possibility of a short - term comprehensive interest rate cut and the upward momentum [5]

Morning session notice Morning session notice 早盘提示 早盘提示 更多精彩内容请关注格林大华期货官方微信 更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2026 年 2 月 2 日星期一 研究员： 刘洋 从业资格： F3063825 交易咨询资格：Z0016580 联系方式：liuyang18036@greendh.com | 板块 | 品种 | 多（空） | 推荐理由 | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 【行情复盘】 | 上周五国债期货主力合约开盘多数持平，早盘冲高回落，午后窄幅波动，30 | 年期品 | | | | | | | | | | | | | | | | 种跌幅较大，截至收盘 | 30 | 年期国债期货主力合约 | TL2603 | 下跌 | 0.23%，10 | 年期 | T ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The stock index will decline while bonds will rebound. Stock index futures will see a decline in trading volume below 3 trillion, and the stock market will experience an oscillating decline. For treasury bond futures, due to sufficient monetary liquidity and a decline in domestic market interest rates, long positions in treasury bonds can be held lightly [122][124] 3. Summary by Relevant Catalogs 3.1 Market Review - **Shanghai 50 and CSI 300**: These indices are oscillating at high levels [9] - **CSI 500 and 10 - year Treasury Bonds**: The CSI 500 has fallen from high levels, and treasury bond futures have rebounded slightly [15][16] 3.2 Market Momentum Analysis - **Trading Volume**: The trading volumes of the Shanghai 50, CSI 300, CSI 500, and CSI 1000 have all increased [20][23] - **Margin Trading Balance**: The margin trading balance exceeds 2.5 trillion [27] - **Turnover Rate**: The turnover rates of the Shanghai 50 and CSI 300 are stable, while those of the CSI 500 and CSI 1000 have significantly declined [30] - **CSI 300 Sector**: The sectors are relatively consistent. The ALPHA of the energy, materials, and telecommunications sectors is positive, while that of the industrial, optional, consumer, financial, pharmaceutical, and public sectors is negative throughout the cycle [36][39] - **Newly - Listed Companies**: In December, the number of listed companies increased by a net of 13 [47] 3.3 Fundamental Analysis - **Monetary Market Indicators** - **Treasury Bond IRR**: The quarterly IRR of 10 - year treasury bond futures has significantly declined, while that of 5 - year treasury bond futures is stable [77][80] - **Inter - bank Repurchase Rate**: The inter - bank repurchase weighted interest rate has slightly declined [84] - **Shibor**: The short - term Shibor has slightly declined [89] - **Economic Indicators** - **CPI - PPI**: In December, the CPI was 0.8%, showing a slight rebound, and the PPI growth rate reached - 1.9% [93] - **PMI**: In December, the PMI fell to 50.1, and the non - manufacturing PMI was 50.2, indicating weak economic recovery [98] - **Consumption**: In December, the year - on - year growth rate of total retail sales of consumer goods was 0.9%, and consumer data declined. However, consumer confidence is trending upwards [104][108] - **Monetary Supply**: In December, the year - on - year growth rate of M2 was 8.5%, and the growth of credit accelerated. M1 was 3.8%. The newly - added RMB loans were 910 billion [111][115] 3.4 Market Outlook - **Stock Index Futures**: The trading volume of the stock market will shrink below 3 trillion. Policy adjustments and regulatory actions will lead to an oscillating decline in the stock index [124] - **Treasury Bond Futures**: Due to sufficient monetary liquidity and a decline in domestic market interest rates, the 10 - year treasury bond yield has fallen to around 1.8090%. Long positions in treasury bonds can be held lightly [124]

Morning session notice Morning session notice 早盘提示 早盘提示 更多精彩内容请关注格林大华期货官方微信 更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2026 年 1 月 30 日星期五 研究员： 刘洋 从业资格： F3063825 交易咨询资格：Z0016580 联系方式：liuyang18036@greendh.com | 板块 | 品种 | 多（空） | 推荐理由 | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 【行情复盘】 | 周四国债期货主力合约开盘集体高开，早盘上涨后横盘，午后有所回落，截至收盘 | | | | | | | | | | | | | | | | 30 | 年期国债期货主力合约 | TL2603 | 上涨 | 0.07%，10 | 年期 | T2603 | 上涨 | 0.06%，5 | 年期 ...

Global Asset Market Performance - The latest yields of 10 - year government bonds in major economies: US 4.244, UK 4.543, France 3.427, Germany 2.856, Italy 3.464, Spain 3.220, Switzerland 0.228, Greece 3.466, Japan 2.234, Brazil 6.205, China 1.814, Australia 4.814, New Zealand 4.628 [2] - The latest yields of 2 - year government bonds in major economies: US 3.573, UK 3.735, Germany 2.096, Japan 1.242, Italy 2.148, China (1Y yield) 1.292, Australia 4.189 [2] - The latest exchange rates of the US dollar against major emerging - economy currencies: Brazil 5.197, South Africa zar 15.773, South Korean won 1436.250, Thai baht 31.052, Malaysian ringgit 3.920 [2] - The latest exchange rates of the RMB: on - shore RMB 6.948, off - shore RMB 6.944, RMB central parity rate 6.976, RMB 12 - month NDF 6.815 [2] - The latest values of major economies' stock indices: S&P 500 6978.030, Dow Jones Industrial Average 49015.600, NASDAQ 23857.450, Mexican stock index 69959.730, UK stock index 10154.430, French CAC 8066.680, German DAX 24822.790, Spanish stock index 17607.600, Russian stock index (not available), Nikkei 53358.710, Hang Seng Index 27826.910, Shanghai Composite Index 4151.238, Taiwan stock index 32803.820, South Korean stock index 5170.810, Indian stock index 8320.556, Thai stock index 1338.900, Malaysian stock index 1756.490, Australian stock index 9250.602, emerging - economy stock index 1556.800 [2] - The latest values of credit - bond indices: Eurozone investment - grade credit - bond index 267.587, Eurozone high - yield credit - bond index 413.360 [2] Stock Index Futures Trading Data - Index performance: A - share closing price 4151.24 (up 0.27%), CSI 300 closing price 4717.99 (up 0.26%), SSE 50 closing price 3060.56 (up 0.27%), ChiNext closing price 3323.56 (down 0.57%), CSI 500 closing price 8601.16 (up 0.61%) [3] - Valuation: PE(TTM) of CSI 300 14.20 (up 0.06), SSE 50 11.67 (up 0.04), CSI 500 38.95 (up 0.25), S&P 500 27.87 (unchanged), German DAX 19.26 (down 0.06) [3] - Risk premium: 1/PE - 10 - year interest rate of S&P 500 - 0.66 (unchanged), German DAX 2.34 (up 0.04) [3] - Fund flow: A - share latest value - 1539.22, 5 - day average - 1092.50; Main - board latest value - 940.00, 5 - day average - 842.94; ChiNext latest value - 483.26, 5 - day average - 201.04; CSI 300 latest value - 581.72, 5 - day average - 527.18 [3] Other Trading Data - Transaction amount: Shanghai and Shenzhen stock markets latest value 29654.10 (up 704.28), CSI 300 latest value 8294.14 (up 1141.46), SSE 50 latest value 2526.23 (up 502.96), Small - and - medium - sized board latest value 5584.64 (up 21.30), ChiNext latest value 7441.76 (down 8.67) [4] - Main contract basis: IF basis 14.81 (0.31%), IH basis 9.24 (0.30%), IC basis 20.84 (0.24%) [4] - Treasury - bond futures: T2303 closing price 108.21 (up 0.02%), TF2303 closing price 105.87 (up 0.03%), T2306 closing price 108.19 (up 0.02%), TF2306 closing price 105.92 (up 0.03%) [4] - Fund interest rates: R001 1.4381% (down 19.00 BP), R007 1.6122% (down 2.00 BP), SHIBOR - 3M 1.5947% (down 1.00 BP) [4]

Group 1 - The core viewpoint indicates that interest rates are expected to remain stable without expectations of rate cuts, leading to a volatile bond market, while opportunities in interest rate bonds with compressed spreads can be explored [1] - The current floating rate bonds are considered expensive, but the 2-3 year floating rate policy bank bonds may present value based on the logic of the compression of the national development bank and treasury bond spreads [1] - In the context of national bond futures, short-term hedging strategies are recommended if there are concerns about rising interest rates, although continuous hedging is not advised due to low value [1] Group 2 - As of January 27, 2026, the National Development Bank Bond ETF (159651) has increased by 0.01%, marking three consecutive days of gains, with a latest price of 106.94 yuan and a cumulative increase of 1.08% over the past year [1] - The trading volume of the National Development Bank Bond ETF was active, with a turnover rate of 59.1% and a transaction value of 331 million yuan, while the average daily transaction over the past year was 28.2 million yuan [1] - Over the past three months, the National Development Bank Bond ETF has seen a significant growth in scale, increasing by 53.38 million yuan [2] Group 3 - The management fee for the National Development Bank Bond ETF is 0.15%, and the custody fee is 0.05% [3] - As of January 27, 2026, the tracking error of the National Development Bank Bond ETF over the past three months is 0.009%, closely tracking the China Bond - 0-3 Year National Development Bank Bond Index [4]

数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注： T为10年期国债期货，TF为5年期国债期货，TS为2年期国债期货 免责声明 国债期货日报 2026/1/26 | 项目类别 | 数据指标 | 最新 | 环比 项目 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 108.180 | -0.02% T主力成交量 | 59708 | -6575↓ | | | TF主力收盘价 | 105.850 | -0.02% TF主力成交量 | 47329 | -15830↓ | | | TS主力收盘价 | 102.392 | -0.02% TS主力成交量 | 29013 | 5574↑ | | | TL主力收盘价 | 112.510 | 0.2% TL主力成交量 | 72096 | -23480↓ | | 期货价差 | TL2603-2606价差 | -0.17 | +0.00↑ T03-TL03价差 | -4.33 | -0.22↓ | | | T2603-2606价差 | 0.00 | -0.01↓ TF03-T03价差 ...

Group 1 - The core point of the news is the performance of government bond futures on January 26, with the 30-year main contract increasing by 0.20% while the 10-year, 5-year, and 2-year main contracts all decreased by 0.02% each [1] Group 2 - The 30-year government bond futures showed a positive trend, indicating potential investor confidence in long-term bonds [1] - The slight declines in the 10-year, 5-year, and 2-year contracts suggest a mixed sentiment in the shorter-term bond market [1]

Global Asset Market Performance - The latest yields of 10-year government bonds in major economies: US 4.226%, UK 4.511%, France 3.493%, Germany 2.905%, Italy 3.512%, Spain 3.270%, Switzerland 0.278%, Greece 3.506%, Japan 2.248%, Brazil 6.208%, China 1.825%, South Korea 3.603%, Australia 4.818%, New Zealand 4.589% [3] - The latest yields of 2-year government bonds in major economies: US 3.595%, UK 3.722%, Germany 2.127%, Japan 1.240%, Italy 2.205%, China (1Y yield) 1.273%, South Korea 2.924%, Australia 4.183% [3] - The latest exchange rates of the US dollar against major emerging - economy currencies: Brazil 5.286, South Africa (zar) 16.127, South Korean won 1464.000, Thai baht 31.195, Malaysian ringgit 4.007 [3] - The latest exchange rates of the RMB: on - shore RMB 6.963, off - shore RMB 6.949, RMB central parity rate 6.993, RMB 12 - month NDF 6.817 [3] - The latest values of major economies' stock indices: S&P 500 6915.610, Dow Jones Industrial Average 49098.710, Nasdaq 23501.240, Mexican stock index 68195.150, UK stock index 10143.440, France CAC 8143.050, Germany DAX 24900.710, Spanish stock index 17544.400, Russian stock index (not available), Nikkei 53846.870, Hang Seng Index 26749.510, Shanghai Composite Index 4136.164, Taiwan stock index 31961.510, South Korean stock index 4990.070, Indian stock index 8951.010, Thai stock index 1314.390, Malaysian stock index 1719.990, Australian stock index 9189.871, emerging - economy stock index 1501.110 [3] - The latest values of credit - bond indices: US investment - grade credit - bond index 3555.310, euro - zone investment - grade credit - bond index 266.753, emerging - economy investment - grade credit - bond index 290.590, US high - yield credit - bond index 2933.910, euro - zone high - yield credit - bond index 412.990, emerging - economy high - yield credit - bond index 1838.807 [3] Stock Index Futures Trading Data - Index performance: A - share closing price 4136.16 (up 0.33%), CSI 300 closing price 4702.50 (down 0.45%), SSE 50 closing price 3032.19 (down 0.69%), ChiNext closing price 3349.50 (up 0.63%), CSI 500 closing price 8590.17 (up 2.42%) [4] - Valuation: PE(TTM) of CSI 300 14.08 (down 0.09%), SSE 50 11.49 (down 0.11%), CSI 500 38.90 (up 0.83%), S&P 500 27.62 (up 0.01%), Germany DAX 19.32 (up 0.03%) [4] - Risk premium: 1/PE - 10 - year interest rate of S&P 500 - 0.61 (up 0.01%), Germany DAX 2.27 (down 0.03%) [4] - Fund flow: A - share latest value - 58.18, main - board latest value - 331.92, ChiNext latest value 183.94, CSI 300 latest value - 814.22, A - share 5 - day average - 466.98, main - board 5 - day average - 321.96, ChiNext 5 - day average - 123.99, CSI 300 5 - day average - 457.40 [4] - Transaction amount: Shanghai and Shenzhen stock markets latest value 30852.24 (up 3934.91), CSI 300 latest value 7556.18 (up 653.83), SSE 50 latest value 2004.56 (up 70.45), small - and medium - sized board latest value 6259.27 (up 921.92), ChiNext latest value 8169.10 (up 1353.75) [5] - Main contract basis and spread: IF basis 6.70 (0.14%), IH basis 5.61 (0.18%), IC basis 68.03 (0.79%) [5] Treasury Futures Trading Data - Treasury futures closing prices: T2303 108.20 (up 0.04%), TF2303 105.88 (up 0.04%), T2306 108.19 (up 0.06%), TF2306 105.90 (up 0.05%) [5] - Fund interest rates: R001 1.4654% (down 8.00BP), R007 1.5360% (down 1.00BP), SHIBOR - 3M 1.5980% (unchanged) [5]

投资咨询业务资格：证监许可【2012】31号 【国债周报（TL&T&TF&TS)】 01 PART ONE 主要观点 周度行情一览 • 上周国债期货市场呈现震荡上行的态势，超长期品种表现尤为突出。周初市场分化明显，30年期国债期货表现疲软，但随后三个交易日逐渐走强，至周五各期限 合约全线收涨。配置需求与外资流入是推动本周债市走强的主要逻辑。在优质资产欠配的背景下，银行、保险等机构对长端利率债的配置需求持续存在。特别是 保险机构"开门红"分红险销售亮眼，带动了拉长久期的需求。与此同时，境外避险资金的流入提供了额外支撑。在全球金融市场波动加大的环境下，人民币资 产避险属性凸显，部分外资机构将中国国债视为全球债市的"避风港"。尽管海外主要经济体国债收益率有所反弹，但中国债市受益于"利率西升东落"的格局， 利率中枢趋于稳定。1月22日，中国人民银行行长潘功胜发表讲话，表明2026年央行将继续实施适度宽松的货币政策。在总量政策上，将灵活高效运用降准、降 息等多种货币政策工具，以保持流动性合理充裕，并明确指出"今年降准降息还有一定的空间"。此外，讲话还强调会继续维护金融市场平稳运行，并提及将加 强债券市场等监督管理。1月 ...