二 五 2026 年 3 月 1 日 二 〇 国债期货周报 年 度 唐立 投资咨询从业资格号：Z0021100 Tangli2@gtht.com 虞堪 投资咨询从业资格号：Z0002804 yukan@gtht.com 国 泰 君 安 期 货 研 究 所 报告导读： 摘要： 本周国债期货市场受"沪七条"影响被上方阻力位压制回落。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪 等原因，维持大方向看震荡偏空的观点。 风险提示： 货币政策力度不及预期、权益市场情绪超预期、固收产品赎回超预期 请务必阅读正文之后的免责条款部分 1 期货研究 期货研究 （正文） 1. 周度聚焦与行情跟踪 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪等原 因，维持大方向看震荡偏空的观点。 图 1：活跃合约走势 图 2：活跃合约周度涨跌幅 资料来源：Wind，国泰君安期货研究 资料来源：Wind，国泰君安期货研究 市场特征方面，本周国债期货市场呈现长端利率震荡上行、短端相对稳健的特征，收益率曲线呈现阶 段性陡峭化倾向。长端由于节前的快速下行，目前市场存在一定的止 ...

1月29日，恒生指数低开0.72%，恒生科技指数跌0.79%。盘面上，贵金属板块强势，赤峰黄金涨超6%、 山东黄金涨超4%；锂矿股走弱，赣锋锂业、天齐锂业跌约2%。 中信证券认为，展望2月，在港股业绩预期已有显著调整，叠加内外部资金面的扰动因素也已告一段 落，判断港股2025年12月下旬以来的春季行情或将延续，整体呈现春节前大盘股有相对收益，政策方向 支持的成长行业表现更优的态势。春季后需关注下一个解禁高峰期或对港股流动性预期的影响。短期建 议关注三大主线：1)"十五五"政策方向，包括生物制造、具身智能、6G(核心股)等；2)政策推动基本预 期逆转的外卖平台和地产；3)受益于春季躁动的非银。 本文转载自腾讯自选股，智通财经编辑：蒋远华。 国金策略认为，在AI投资宏观风险较低、降息周期下全球制造业景气度向上的背景下，会有更多行业 的景气度出现改善，投资者可能还是会更加关注增长率而非股息率。因此在红利策略内部，行业选择上 可以更多地向基本面要弹性。跨市场比较来看，港股红利依旧具备性价比，但对于个人投资者而言考虑 到红利税之后可能就没那么明显。 华泰策略认为，2025年人民币(相对美元)升值超4%。宏观视角，202 ...

Core Viewpoint - The report from CITIC Securities indicates that the Hong Kong stock market is expected to continue its spring rally from late December 2025, with a focus on large-cap stocks before the Lunar New Year and better performance in growth sectors supported by policy directions [1] Group 1: Market Performance and Trends - The performance expectations for Hong Kong stocks have significantly adjusted, with a slowdown in the downward revision of earnings forecasts since late December 2025 [1] - The average return of the Hang Seng Index during the spring rally over the past eleven years is 2.4%, with a weekly win rate of 70.8%, particularly strong in 2019, 2021, and 2023, averaging a 10.6% increase [2] - The upcoming earnings reports for Hong Kong stocks are expected to be concentrated from late March to early April, indicating a period of performance vacuum [1][2] Group 2: Investment Focus Areas - Short-term investment focus should be on three main lines: 1) "14th Five-Year Plan" policy directions including biomanufacturing, embodied intelligence, and 6G; 2) food delivery platforms and real estate benefiting from policy-driven expectations; 3) non-bank financials benefiting from the spring rally [1] - The "15th Five-Year Plan" is expected to guide long-term investment opportunities, with strategic emerging industries like new energy, new materials, and quantum technology likely to receive policy support [3] Group 3: Liquidity and Market Dynamics - The liquidity outlook for Hong Kong stocks is expected to improve as the market approaches the next peak of stock unlocks, with significant reductions in unlock amounts in January and February 2026 [1] - Historical data shows that net inflows from southbound trading in January and February account for an average of 19.3% and 27.9% of the annual total, respectively [2]

Group 1 - The core viewpoint indicates that the strong performance of tin futures is supported by increased imports and stable domestic production, with the main contract reaching 381,800.00 yuan/ton, a rise of 4.80% [1] - In November, China imported 15,099 tons of tin ore, a year-on-year increase of 24.43%, marking the highest monthly import since March 2024, with Myanmar contributing 7,190 tons, also a new high since March 2024 [1] - Domestic refined tin production in December was 15,895 tons, a month-on-month increase of 2.61%, with a total annual output of 174,400 tons, reflecting a cumulative decrease of 1.65% [1] Group 2 - Citic Futures anticipates that the weak dollar and the commencement of China's 14th Five-Year Plan will provide clear support for tin prices, with expectations of maintaining high price levels in the future [3] - The firm notes that while macroeconomic sentiment may drive prices to new highs, there are concerns about potential selling pressure as prices approach historical peaks, and the actual supply may face risks due to the fragility of overseas mining operations [3] - Newhu Futures highlights that the cancellation of export tax rebates for photovoltaic components may lead to a temporary surge in exports and production, but the actual impact on tin consumption remains uncertain [3]

1. Report Industry Investment Rating - Not provided 2. Core Viewpoints of the Report - This week, the Treasury bond futures market showed a pattern of oscillating downward, the yield curve became steeper, and the TL contract broke below the support platform. In the medium term, due to reasons such as the relatively restrained monetary policy of the central bank, the change in inflation expectations, the orientation of long - and medium - term capital entry into the market, and the inability to falsify the 14th Five - Year Plan policy expectations, the view of an overall oscillating and bearish trend is maintained [3]. 3. Summary by Relevant Catalogs 3.1. Weekly Focus and Market Tracking - This week, the Treasury bond futures market showed an oscillating downward pattern, with the yield curve becoming steeper and the TL contract breaking below the support platform. In the medium term, due to factors like the central bank's relatively restrained monetary policy, inflation expectation change, long - and medium - term capital inflow orientation, and unfalsifiable 14th Five - Year Plan policy expectations, the overall view is oscillating and bearish [1][3]. - The market showed a differentiated feature of short - end stability and increased long - end volatility this week. Short - end interest rates were supported by loose liquidity, while the long - end was pressured by policy expectations. After the Central Financial and Economic Affairs Office proposed to implement a "more proactive fiscal policy" in 2026 on December 25th, market concerns about the supply pressure of ultra - long bonds increased. Currently, the spread between 30 - year and 10 - year Treasury bonds has risen to a nearly two - year high, and the value of the ultra - long end is emerging [5]. 3.2. Liquidity Monitoring and Curve Tracking - Not provided 3.3. Seat Analysis - On December 29th, the market opening was expected to trigger a quantitative selling signal, leading to an increase in trading volume. Private funds reduced their positions intraday, intensifying the position reduction of allocation - type institutions. Currently, the cost - effectiveness of the ultra - long end is gradually emerging, and various institutions have a slight willingness to test positions intraday [10].

Report Industry Investment Rating - Not provided Core View of the Report - The medium - term view on the treasury bond futures market is to maintain an overall view of oscillating with a downward bias due to factors such as the central bank's relatively restrained monetary policy, changes in inflation expectations, the orientation of medium - and long - term funds entering the market, and the unfalsifiable expectations for the 15th Five - Year Plan [1][3] Summary by Relevant Catalog 1. Weekly Focus and Market Tracking - This week, the treasury bond futures market showed an oscillating upward pattern, with short - end rates moderately recovering and long - end intraday fluctuations intensifying. The yield curve shape was affected by loose liquidity and policy expectations, showing alternating characteristics of flattening and steepening [1][3] - The central bank's fourth - quarter regular meeting indicated the importance of structural monetary tools, and it is expected that there will be limited room for reserve requirement ratio cuts and interest rate cuts in the future [3] - The market showed a differentiated characteristic of short - end stability and intensified long - end fluctuations. Short - end rates were supported by loose liquidity, while long - end rates were pressured by policy expectations. After the Central Financial and Economic Affairs Office proposed to continue implementing a "more proactive fiscal policy" in 2026 on December 25th, market concerns about the supply pressure of ultra - long bonds increased. Currently, the yield spread between 30 - year and 10 - year treasury bonds has risen to a two - year high, and the value of the ultra - long end has emerged [5] 2. Liquidity Monitoring and Curve Tracking - Not provided 3. Seat Analysis - In terms of seat changes, private funds increased by 0.91%, foreign investors increased by 5.17%, and wealth management subsidiaries increased by 4.5%. In terms of weekly changes, private funds decreased by 2.08%, foreign investors increased by 7.98%, and wealth management subsidiaries increased by 8.82% [9]

Report Industry Investment Rating - The report maintains a view that the overall situation of treasury bond futures will be fluctuating with a downward bias, indicating a relatively cautious investment attitude towards the bond market [4]. Core Viewpoints of the Report - The current interest rate is supported by the central bank and capped by the fundamentals. The restraint of the central bank's monetary policy, the disappointment in bond - buying, the redistribution of new funds between the equity and fixed - income markets due to the entry of long - term funds, and the unfalsifiable "14th Five - Year Plan" policies in the next year limit the significant decline in long - term interest rates. The trend of commodities and inflation expectations may make the bond market face more headwinds [3]. - The report maintains the view that the overall situation of treasury bond futures will be fluctuating with a downward bias. In addition to short - selling hedging at high prices and long - position substitution at low prices under the high - selling and low - buying framework, strategies such as positive spreads trading and long positions in inter - delivery spreads under the timing framework are also recommended [4]. Summary According to the Table of Contents 1. Anti - involution Policy Consolidates the Inflation Floor 1.1 Inflation Floor Consolidation Disturbs the Pricing of Real Interest Rates - In 2025, the overall operation of treasury bond futures was tortuous. The market showed a high - level shock in the first half of the year and a fluctuating downward trend except in October. The 30Y - 10Y spread widened from about 10bp at the beginning of the year to over 30bp [7]. - The macro - economy remained in the bottom - shock pattern. Exports were affected by the Sino - US trade war in the first half of the year, and domestic demand recovery was not significant. In the second half of the year, the policy intensity declined, and the GDP growth rate slowed down in the third and fourth quarters due to weak downstream demand [7]. - The "asset shortage" of RMB assets still exists, but the structure has changed. The net long - position in treasury bond futures has decreased, and the market's expectations for the bond market have diverged. After the anti - involution policy, the bond market showed a fluctuating downward trend [9]. - The capital market reform policies have increased the importance of the equity market, and the "slow - bull" of the equity market has become the "political correctness" of the capital market. If the Fed cuts interest rates further and domestic policies are arranged beyond expectations next year, the equity market will continue to recover, and the bond market will only have structural opportunities [9]. 1.2 Monetary Policy Orientation and Micro - analysis of Treasury Bond Futures - The statements in the Q1 monetary policy implementation report indicated that the central bank's next - stage focus was to increase inflation, promote growth, and reduce costs. However, the bond market's recovery did not exceed the high at the beginning of the year. After the introduction of policies such as anti - involution and the resumption of the collection of value - added tax on bond interest, the market's inflation expectations and the central bank's orientation changed rapidly, and the market showed a fluctuating downward trend from the middle of the year [20]. - The Q2 report emphasized the importance of structure, and the Q3 report aimed to maintain a relatively loose liquidity environment. The central bank's bond - buying, interest - rate cuts, and reserve - requirement ratio cuts at the end of the year were less than expected. In the framework of the unfalsifiable "14th Five - Year Plan" policies and the relatively restrained monetary policy next year, treasury bond futures may continue to fluctuate within a range with a downward bias [20]. - In terms of market characteristics, the trading volume of the 12 - contract is limited, and the short - term inter - delivery spread may be positively correlated with the market. The basis has converged during the repair process since early June, and there is a demand for profit - taking in positive hedging. The curve structure has limited factors to support long - term steepening, and the steepening space may be reversed [21]. 2. Maintain the Judgment of Fluctuating and Downward - biased Interest Rates 2.1 Interest Rates are Supported by the Central Bank and Capped by the Fundamentals - Since 2015, China's interest rates have generally shown a downward trend, with three upward trends lasting more than a quarter. The duration and amplitude of these upward trends have gradually decreased, and the economic significance behind them has changed from fundamental and inflation - driven to short - term expectation and policy - driven [30]. - China has been in the passive de - stocking phase for nearly 34 months, longer than the 21 - month period in 1998. The GDP deflator has not turned positive. The second growth curve based on globalization and the real - estate model has encountered difficulties, and the future growth path depends on internal stimulus and external cooperation [30]. - Since the "9.24" in 2024, the policy bottom of the new economic cycle has been clear. The policy orientation of the financial sector is to guide long - term funds into the equity market. Although the fundamental recovery is still insufficient, the policy orientation makes it difficult for the market to break through the previous low of interest rates in the short term. Meanwhile, the limited elasticity of fundamentals and inflation restricts the upward space of interest rates, resulting in a fluctuating market where interest rates are supported by the central bank and capped by the fundamentals. In the long run, the inflow of funds into the equity market may lead to a fluctuating and downward - biased trend in treasury bond futures [31]. 2.2 Market Outlook for 2026 - The report maintains the view that the bond market will be fluctuating with a downward bias since the middle of the year. In addition to short - selling hedging at high prices and long - position substitution at low prices, strategies such as positive spreads trading and long positions in inter - delivery spreads under the timing framework are recommended [38].

Market Performance Review - In September, major stock indices showed a mixed performance, with growth style leading the way. As of September 26, the Shanghai Composite Index fell by 0.77%, while the Shenzhen Component Index rose by 4.04%, and the ChiNext Index increased by 9.04% [4][12] - The overall market sentiment was stable, with A-shares experiencing a rebound after an initial decline following the military parade on September 3. The internal economic data remained stable, and the Federal Reserve's interest rate cut aligned with market expectations, indicating that market movements were primarily driven by internal dynamics [4][12] Future Outlook and Investment Views - The report suggests a strategy of "waiting for space by using time," anticipating the next policy trigger. Since the market rally began on June 23, A-shares have accumulated significant gains, and a technical stagnation has been observed. The HMM timing model indicates a reduction in positions as the market awaits domestic policy support for the next rally [5][33] - The report highlights that Hong Kong stocks present better value, and A-shares should focus on individual stocks with "turnaround" logic. Hong Kong stocks are more sensitive to international liquidity, and the current situation resembles the 2007 A-share bull market, where Hong Kong stocks outperformed A-shares post-interest rate cuts [5][33] - The report emphasizes the importance of focusing on individual stock alpha opportunities rather than relying on broad market trends, especially given the lack of mainline opportunities in the 2025 interim report season [5][34] High-Frequency Data Tracking - The dynamic HMM timing model suggests that the current market's potential returns do not justify the risks, leading to a recommendation for a cash position. The model has demonstrated excellent risk control and upward-following capabilities since the beginning of 2024 [20][22] - Personal investor sentiment has slightly improved, with the sentiment index showing a significant decline from 15.96% on September 20 to -4.56% as of September 27. This indicates a strong correlation between market movements and investor sentiment [25][26] - Financing sentiment has also warmed, with financing transactions maintaining over 20% of total A-share trading volume, indicating a continued net inflow of funds [28][29] Sector Performance - In September, the TMT and financial sectors led the gains, while consumer sectors experienced notable pullbacks. The top-performing industries included communication (11.97%), non-ferrous metals (9.13%), and non-bank financials (8.84%), while food and beverage (-6.34%) and beauty care (-4.57%) lagged [16][19] - The report notes that the trading dynamics in the new energy sector, particularly in battery technology and photovoltaic policies, are influencing market performance, with a focus on domestic and international capital expenditures [16][19]