期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 国债期货 | 日报 2026 年 3 月 6 日 国债期货 专业研究·创造价值 国债期货继续窄幅震荡整理 核心观点 今日国债期货均继续窄幅震荡整理。一方面，由于宏观内需有效需求不 足的问题仍存，未来货币信用环境偏宽松，未来降息预期仍存；另一方面， 政策面以结构性宽松为主，短期内全面降息的可能性较低。随着中东地缘危 机的影响逐渐被市场所消化，国债期货的单边驱动较弱。总的来说，短期内 国债期货以震荡整理为主。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 国债期货 | 日报 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人不会因本报告 中的具体推荐意见或观点而直 接或间接接收到任何形式的报 酬。 专业研究·创造价值 1 / 4 请务必阅读文末免责条款 ...

Report Summary 1. Market Focus - The article "Speech at the Central Urban Work Conference" by General Secretary Xi Jinping was published in the "Qiushi" Journal, emphasizing urban renewal [6]. - The central bank introduced a "combination punch" to support high - quality economic development, including interest rate cuts, increasing loan quotas, and adjusting mortgage down - payment ratios [6]. - The Ministry of Industry and Information Technology held the 18th symposium for manufacturing enterprises, stressing participation in industry rule - making and self - discipline [6]. - In December 2025, the US CPI and core CPI were stable year - on - year, and the PPI increased [6]. 2. Key Data - In early January 2026, key steel enterprises produced 1997 million tons of crude steel, with a daily average of 199.7 million tons, a 21.6% increase. Steel inventories reached 1504 million tons, a 6.4% increase [6]. - In 2025, China's foreign trade reached 45.47 trillion yuan, a 3.8% increase, with exports at 26.99 trillion yuan, a 6.1% increase [6]. 3. Main Views - Steel prices oscillated at the upper edge of the price range. Macro sentiment was positive, but the impact on the black market was limited. The supply - demand pattern was healthy but lacked upward momentum. The upside space for steel prices was limited [6][58]. - Iron ore prices oscillated at a high level, supported by the macro environment and steel mill restocking. The downward driving force was weak, and it was expected to oscillate strongly in the short term [6][60]. Multi - empty Focus 1. Multi - empty Factors Analysis (Rebar) - **Bullish factors**: Overseas and domestic loose liquidity, expected credit boom, strong steel exports, and cost support [9]. - **Bearish factors**: Off - season demand, increased steel production, and uncertain impact of export licenses [9]. 2. Multi - empty Factors Analysis (Iron Ore) - **Bullish factors**: Overseas and domestic loose liquidity, expected credit boom, slow steel production recovery, low steel mill inventories, and restocking demand [10]. - **Bearish factors**: Off - season steel demand, increased shipments, and high port inventories [10]. Data Analysis 1. Macro - **US employment and inflation**: In December 2025, the US labor market was in a weak balance, and inflation was mild. The market was worried about inflation in 2026, and the Fed's interest - rate cut expectation was unclear [11][12]. - **China's social financing and credit**: In December 2025, China's new social financing decreased year - on - year, and the growth rate of the stock slowed. The market expected a credit boom in 2026, but the growth rate might slow in the first half of the year [14][15]. - **Policy**: The central bank introduced a series of policies to support high - quality economic development, with an emphasis on structural loosening. The direct impact on asset prices was limited, and the key was the implementation [17][18]. 2. Terminal - **Automobile industry**: In 2025, China's automobile production and sales reached a record high. New energy vehicles became the dominant force. In 2026, the total sales were expected to reach 3475 million vehicles, a 1% increase. Attention should be paid to the impact of the new energy vehicle purchase tax policy [21]. - **Engineering machinery industry**: In 2025, the engineering machinery industry recovered significantly, with excavator sales reaching a five - year high. China's shipbuilding industry maintained growth [25]. - **Exports**: In 2025, China's exports showed good resilience. Steel exports reached a record high, but there might be a decline in January 2026 [26][27]. 3. (Rebar) Spot - The spot price was stable, and the basis continued to narrow [29]. 4. Profit - The steel mill profitability rate increased by 2.17 percentage points to 39.83%. Steel mill losses decreased [33]. 5. Production - The blast furnace operating rate decreased by 0.47 percentage points to 78.84%, and the electric furnace operating rate remained unchanged. Steel production continued to rise but at a mild pace [34][36]. 6. Apparent Demand - The apparent demand for steel improved but still showed off - season characteristics [38]. 7. Inventory - Rebar inventory decreased slightly, and hot - rolled coil inventory was at a high level. Different regions had different winter - storage policies [42]. 8. (Iron Ore) Spot - The spot price declined, and the basis fluctuated narrowly [43]. 9. Import and Shipment - In December 2025, China's iron ore imports increased. At the beginning of 2026, iron ore shipments decreased [47]. 10. Arrival - From January 5th to 11th, 2026, the arrival of iron ore at Chinese ports increased [48]. 11. Hot Metal Production - The daily hot metal production of 247 steel mills decreased by 1.49 million tons [50]. 12. Port Inventory - The port inventory of imported iron ore increased, and the daily dredging volume decreased [54]. 13. Steel Mill Consumption and Inventory - The daily consumption of imported iron ore by steel mills decreased, and the inventory increased [56]. Market Outlook 1. Steel - Steel prices will continue to operate within a range, with limited upward space. Attention should be paid to the impact of export licenses and inventory accumulation during the Spring Festival [58]. 2. Iron Ore - Iron ore prices are expected to oscillate strongly in the short term, with limited downward space [60].

Core Viewpoint - In December, new RMB loans and new social financing slightly exceeded market expectations but showed a year-on-year decrease, indicating a continued divergence in financing demand between enterprises and households, primarily reflecting accelerated financing related to infrastructure while household loan demand remains under pressure due to real estate market challenges [1] Summary by Relevant Sections New RMB Loans and Social Financing - December new RMB loans amounted to 910 billion yuan, exceeding Bloomberg's consensus estimate of 800 billion yuan, but showing a year-on-year decrease of 800 billion yuan, keeping the loan balance year-on-year growth rate stable at 6.4% [3] - New social financing in December was 2.21 trillion yuan, surpassing the consensus estimate of 1.9 trillion yuan, but down 6.457 billion yuan year-on-year, with a year-on-year growth rate slowing from 8.5% in November to 8.3% [5] Corporate and Household Loan Dynamics - Corporate loan financing accelerated in December, likely due to the implementation of new policy financial tools and local government debt limits, with corporate loans increasing by 580 billion yuan year-on-year, and the year-on-year growth rate rising from 8.8% in November to 9.1% [1][4] - In contrast, household loan demand remained weak, with a year-on-year decrease of 4.511 billion yuan in December, and the year-on-year growth rate of household loans slowing from 1.1% in November to 0.5% [1][4] Government Debt and Fiscal Deposits - The net issuance of government bonds in December decreased significantly by 1.07 trillion yuan year-on-year due to a high base effect, while fiscal deposit growth accelerated, indicating that the government may be reserving funds for economic stimulus in the first quarter of 2026 [2] Monetary Indicators - The year-on-year growth rate of M1 decreased from 4.9% in November to 3.8% in December, while M2 growth increased from 8.0% to 8.5%, indicating a mixed picture of liquidity in the economy [6] Future Outlook - The focus will be on the strength of credit growth in early 2026, the impact of the central bank's expansion of relending quotas, and the pace of fiscal fund disbursement, as well as the potential recovery of household purchasing intentions in the real estate market [3]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint The short - term view of treasury bond futures is weak - side oscillation, and the medium - term view is oscillation. The overall view is oscillation. The reason is that the possibility of comprehensive interest rate cuts has decreased, and the risk appetite of the stock market has risen [1][5]. 3. Summary by Related Content 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the TL2509 variety, the short - term, medium - term, and overall views are oscillation, and the intraday view is weak - side oscillation. The core logic is that the possibility of comprehensive interest rate cuts has decreased, and the risk appetite of the stock market has risen [1]. 3.2 Main Variety Price Quotation Driving Logic - Financial Futures Stock Index Sector - The intraday view of varieties TL, T, TF, TS is weak - side oscillation, the medium - term view is oscillation, and the reference view is oscillation. The core logic is that treasury bond futures rebounded slightly in oscillation yesterday. On one hand, future policy will focus on structural easing, and the possibility of comprehensive interest rate cuts has decreased. The central bank's second - quarter monetary policy implementation report emphasizes "refinement" and "structure", indicating that future monetary policy will introduce structural easing policies in areas such as inclusive small and micro financial services, financial support for scientific and technological innovation, and financial support for consumption promotion. On the other hand, the risk appetite of the stock market has been rising recently, and the money - making effect of the stock market has attracted funds into the stock market, suppressing the demand for buying treasury bonds. However, due to the continuous recovery of market interest rates, the anchoring effect of policy interest rates is gradually emerging, and the room for further increase in market interest rates is limited. In general, treasury bond futures will operate in a weak - side oscillation in the short term [5].

Group 1: Report Industry Investment Rating - No information provided Group 2: Core View of the Report - The overall view on Treasury bond futures is "oscillation". In the short - term, Treasury bond futures are expected to operate in an oscillatory and weakly downward manner. The reasons are that the possibility of a comprehensive interest rate cut has decreased, and the risk appetite in the stock market has increased, leading to a shift of funds from bonds to stocks and suppressing the demand for buying Treasury bonds [1][5] Group 3: Summary by Related Content 品种观点参考—金融期货股指板块 - For the TL2509 variety, the short - term view is "oscillation", the medium - term view is "oscillation", the intraday view is "oscillatory and weakly downward", and the overall view is "oscillation". The core logic is that the possibility of a comprehensive interest rate cut has decreased, and the risk appetite in the stock market has increased [1] 主要品种价格行情驱动逻辑—金融期货股指板块 - For varieties TL, T, TF, and TS, the intraday view is "oscillatory and weakly downward", the medium - term view is "oscillation", and the reference view is "oscillation". The core logic is that on August 16, 2025, the central bank released the second - quarter monetary policy implementation report, emphasizing "refinement" and "structure", which weakened the expectation of a comprehensive interest rate cut. Also, the risk appetite in the stock market has been rising recently, and funds have shifted from bonds to stocks, suppressing the demand for buying Treasury bonds. Overall, Treasury bond futures are expected to operate in an oscillatory and weakly downward manner in the short term [5]

Summary of Conference Call Records Industry Overview - The records focus on the **high-end industry in China**, particularly its development, challenges, and the impact of internal competition (involution) on industrial upgrading [1][5][15]. Key Points and Arguments 1. **Structural Policies**: China has implemented structural easing policies to guide funds towards high-end industries, resulting in significant growth in industrial loans for high-tech sectors, while support for the real estate sector remains weak [3][2]. 2. **Economic Challenges**: The Chinese economy faces weak overall demand, leading to low capacity utilization rates, particularly in high-end industries, which are even lower than traditional industries [5][6]. 3. **Involution Impact**: Involution has led to price reductions as companies compete for orders, which can suppress further development of high-end industries if driven by insufficient demand rather than economies of scale [6][7]. 4. **Export Trends**: Over the past decade, the export share of high-end industries such as computers, pharmaceuticals, and electrical equipment has significantly increased, while traditional industries like rubber and textiles have seen a decline [8][10]. 5. **High vs. Low Growth Groups**: High-growth groups (emerging industries) have shown strong performance in fixed asset investment and industrial value added, but their export growth has lagged behind low-growth groups (traditional industries) in recent years due to involution [10][9]. 6. **Quality Indicators**: Total Factor Productivity (TFP) is used as a quality measure, indicating that a decline in the export delivery value as a proportion of revenue correlates with stronger TFP [11][4]. 7. **Future Directions**: High-end manufacturing is not the endpoint of industrial upgrading; the next level involves research and development, branding, and high-value-added services [12][13]. 8. **Need for Anti-Involution Policies**: To counteract the negative effects of involution, policies promoting demand and improving capacity utilization are essential for healthy economic development [15][16]. Additional Important Content - **Price Dynamics**: Price decreases should be analyzed to determine their causes; if due to demand insufficiency, they may hinder industrial upgrading [7]. - **Labor Market Effects**: Anti-involution policies should also address labor market issues, as stagnant wage growth can lead to reduced consumer spending on higher-quality goods, further impacting industrial upgrading [16]. - **Evaluation of Policies**: The effectiveness of anti-involution policies can be assessed through macroeconomic indicators such as profit changes, inflation levels, and the speed of industrial upgrading [17].

Group 1: Financial Data Overview - In the first half of 2025, the cumulative increase in social financing scale reached 22.83 trillion yuan, an increase of 4.74 trillion yuan compared to the same period last year [1] - In the same period, RMB loans increased by 12.92 trillion yuan, and RMB deposits rose by 17.94 trillion yuan [1] - The M1-M2 spread narrowed to 3.7 percentage points in June, down from 5.6 percentage points in May, indicating a tightening liquidity environment [1] Group 2: Monetary Policy and Financial Support Measures - The central bank launched a series of financial support measures in the first half of 2025, focusing on technological innovation and boosting consumption [3] - A total of 500 billion yuan was allocated for consumption and elderly care re-loans, specifically targeting high-quality supply in sectors like accommodation, dining, and education [3] - By the end of June, 27 institutions had issued over 15 billion yuan in technology innovation bonds, supported by a risk-sharing tool [3] Group 3: Market Performance and Investment Opportunities - The ChiNext ETF closely tracks the ChiNext Index, with a current PE-TTM of 32.89, placing it in the 21.79% percentile over the past decade, indicating strong valuation appeal [4] - The Hang Seng Technology ETF has a PE-TTM of only 19.62, which is in the 5.26% percentile over the past year, suggesting it is undervalued compared to historical levels [4][5] - Both ETFs experienced significant trading activity, with the ChiNext ETF seeing over 1 billion yuan in turnover and the Hang Seng Technology ETF exceeding 1.5 billion yuan in turnover, indicating strong investor interest [4][5]