投资咨询业务资格:证监许可【2012】31号 == 宏观金融数据日报 | | 国贸期货研究院 期货执业证号:F3074875; | | | | | | | --- | --- | --- | --- | --- | --- | --- | | | 宏观金融研究中心 郑雨婷 投资咨询证号: Z0017779 | | | | 2026/3/3 | | | | 品种 | 收盘价 | 较前值变动(bp) | 品种 | 收盘价 | 我即信号司 (bp) | | स्ट | DRO01 | 1.31 | -0.72 | DR007 | 1.46 | -3.94 | | F | GC001 | 1.08 | -51.00 | GC007 | 1.46 | -10.50 | | 市 | SHBOR 3M | 1.57 | -0.01 | LPR 5年 | 3.50 | 0.00 | | 场 | 1年期国债 | 1.28 | -1.00 | 5年期国债 | 1.52 | -4.90 | | 与 | 10年期国债 | 1.74 | -8.80 | 10年期美债 | 3.97 | -5.00 | | 流 | 回顾:央行昨日开展了1 ...

热评: 2月LPR利率维持不变: 1年期LPR为3.0%,5年期以上LPR为3.5%。 市 市 场 与 KI 性 本周（3月1日至3月6日）央行公开市场将有15250亿元逆回购到期，其中 周一无逆回购到期,周二至周五分别到期5260亿元、4095亿元、3205亿 元、2690亿元。此外,周五（3月6日）还有1万亿91天期买断式逆回购到 期。 投资咨询业务资格:证监许可【2012】31号 【C 国贸易所得 宏观金融数据日报 国贸期货研究院 宏观金融研究中心 郑雨婷 期货执业证号:F3074875: 投资咨询证号: Z0017779 2026/3/2 | | 品种 | 收盘价 | 较前值变动 | 品种 | 收盘价 | 较前值变动 | | --- | --- | --- | --- | --- | --- | --- | | | | | (bp) | | | (bp) | | | DRO01 | 1.32 | -2.60 | DR007 | 1.50 | 2.29 | | हू 市 | GC001 SHBOR 3M | 1.59 1.57 | 4.00 -0.11 | GC007 LPR 5年 | 1.57 3.5 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View - Despite policy cooling, market liquidity remains abundant, and the speculation sentiment for small and medium - cap stocks is still strong. The regulatory orientation balances short - term market rhythm guidance and long - term stable growth, and short - term fluctuations are not expected to change the medium - to - long - term upward trend of stock indices [7] 3. Summary by Relevant Catalogs 3.1 Interest Rate and Bond Market - **Interest Rate Changes**: DROO1 closed at 1.40 with a - 1.88bp change, DR007 at 1.49 with a - 1.39bp change, GC001 at 1.29 with a - 24.00bp change, GC007 at 1.55 with a - 0.50bp change, SHBOR 3M at 1.60 with no change, LPR 5 - year at 3.50 with no change [4] - **Bond Yield Changes**: 1 - year Treasury bond yield was 1.28 with a - 0.70bp change, 5 - year at 1.60 with a - 1.01bp change, 10 - year at 1.83 with a - 0.44bp change, and 10 - year US Treasury bond at 4.24 with a - 2.00bp change [4] - **Central Bank Operations**: Last week, the central bank conducted 1181 billion yuan of reverse repurchase operations. With 951.5 billion yuan of reverse repurchases maturing, the net injection was 229.5 billion yuan. On Friday, 150 billion yuan of treasury cash fixed - term deposits matured, and the central bank conducted 900 billion yuan of MLF operations. This week, 1181 billion yuan of reverse repurchases will mature, and 200 billion yuan of MLF will mature on Monday [4][5] 3.2 Stock Index Market - **Stock Index Closing Prices and Changes**: The CSI 300 closed at 4702 with a - 0.45% change, the SSE 50 at 3032 with a - 0.69% change, the CSI 500 at 8590 with a 2.42% change, and the CSI 1000 at 8471 with a 1.94% change. Their corresponding futures contracts also had respective price changes [6] - **Trading Volume and Open Interest**: IF, IH, IC, and IM contracts all saw increases in trading volume and open interest. For example, IF trading volume increased by 22.5% to 140482, and its open interest increased by 3.5% to 299730 [6] - **Last Week's Stock Index Performance**: The CSI 300 fell 0.62% to 4702.5, the SSE 50 fell 1.54% to 3032.2, the CSI 500 rose 4.34% to 8590.2, and the CSI 1000 rose 2.89% to 8470.7. In the Shenwan primary industry index, building materials (9.2%), steel (7.3%), basic chemicals (7.3%), non - ferrous metals (6%), and real estate (5.2%) led the gains, while banks (- 2.7%), communications (- 2.1%), non - bank finance (- 1.5%), food and beverages (- 1.4%), and pharmaceutical biology (- 0.4%) led the losses. The average daily trading volume of A - shares last week decreased by 666.12 billion yuan compared to the previous week [6] - **ETF Fund Flows**: From January 12th to January 21st, various broad - based ETFs had significant outflows. The CSI 300 theme ETF had a net outflow of over 220 billion yuan, the CSI 1000 theme ETF had a net outflow of over 57 billion yuan, the SSE 50 and STAR 50 theme ETFs both had net outflows of over 40 billion yuan, and the ChiNext Index and CSI 500 theme ETFs also had net outflows of over 25 billion yuan [7] 3.3 Futures Contract Premium and Discount - **IF Premium and Discount**: The current - month contract had a - 0.45% premium/discount, the next - month contract - 0.96%, the current - quarter contract 0.80%, and the next - quarter contract 1.83% [8] - **IH Premium and Discount**: The current - month contract had a - 0.10% premium/discount, the next - month contract - 1.25%, the current - quarter contract - 0.32%, and the next - quarter contract 1.34% [8] - **IC Premium and Discount**: The current - month contract had a - 10.79% premium/discount, the next - month contract - 5.35%, the current - quarter contract 0.33%, and the next - quarter contract 1.79% [8] - **IM Premium and Discount**: The current - month contract had a - 10.12% premium/discount, the next - month contract - 3.66%, the current - quarter contract 3.11%, and the next - quarter contract 4.60% [8]

Report Summary 1. Market Data Overview Currency Market - DRO01 closed at 1.27 with a -0.11 bp change; DR007 at 1.44 with a 0.21 bp change; GC001 at 1.48 with a 26.00 bp change; GC007 at 1.57 with a 6.50 bp change; SHBOR 3M at 1.60 with a -0.08 bp change; LPR 5 - year at 3.50 with no change; 1 - year treasury at 1.36 with a -1.22 bp change; 5 - year treasury at 1.60 with a -1.49 bp change; 10 - year treasury at 1.83 with a -0.50 bp change; 10 - year US treasury at 4.16 with a 4.00 bp change [4] - Last week, the central bank conducted 657.5 billion yuan of reverse repurchase operations. With 668.5 billion yuan of reverse repurchases maturing, there was a net withdrawal of 1.1 billion yuan. Also, 40 billion yuan of 182 - day repurchase agreements and 8 billion yuan of treasury cash deposits matured, and the central bank carried out 60 billion yuan of 182 - day repurchase agreements. Additionally, 10 billion yuan of 14 - day reverse repurchase operations were conducted on Thursday and Friday [4] - This week, 457.5 billion yuan of reverse repurchases will mature (130.9 billion on Monday, 135.3 billion on Tuesday, 46.8 billion on Wednesday, 88.3 billion on Thursday, 56.2 billion on Friday). Also, 12 billion yuan of treasury cash deposits will mature on Monday and 30 billion yuan of MLF on Thursday. The central bank restarted 14 - day reverse repurchase operations to maintain market liquidity [5] Stock Index Market - Last week, CSI 300 fell 0.28% to 4568.2; SSE 50 rose 0.32% to 3004.3; CSI 500 remained flat at 7169.6; CSI 1000 fell 0.56% to 7329.8. Among Shenwan primary industry indices, commerce & retail (6.7%), non - bank finance (2.9%), social services (2.7%), basic chemicals (2.6%), and textile & apparel (2.2%) led the gains, while electronics (-3.3%), power equipment (-3.1%), machinery (-1.6%), comprehensive (-1.5%), and communication (-0.9%) led the losses [6] - As of the latest data, CSI 300 closed at 4568 with a 0.34% change; IF current - month contract at 4572 with a 0.5% change; SSE 50 at 3004 with a 0.19% change; IH current - month contract at 3004 with a 0.3% change; CSI 500 at 7170 with a 0.97% change; IC current - month contract at 7171 with a 1.0% change; CSI 1000 at 7330 with a 0.79% change; IM current - month contract at 7335 with a 0.8% change. IF trading volume was 138,604 (-5.1%), and open interest was 268,202 (-5.0%); IH trading volume was 62,859 (7.3%), and open interest was 84,913 (-1.4%); IC trading volume was 146,482 (0.0%), and open interest was 253,109 (-4.0%); IM trading volume was 219,389 (-2.3%), and open interest was 354,958 (-5.2%) [6] 2. Core Viewpoints - In the short term, stock indices are expected to continue their weak performance due to the decline in market risk appetite near the year - end, poor November economic data, and limited policy signals from recent important meetings. However, the market adjustment since mid - November has opened up space for the upward movement of stock indices next year, providing a layout window. Investors can consider gradually establishing long positions during the adjustment phase and use the discount structure of stock index futures to optimize long - term investment costs and odds [7]

Report Overview - Report Date: November 7, 2025 [3] - Author: Zheng Yuting from the Macro - Financial Research Center of Guomao Futures Research Institute [3] Market Interest Rates - DROO1 closed at 1.32 with a 0.15 bp increase; DR007 closed at 1.43 with a 1.24 bp decrease [4] - GC001 closed at 1.32 with an 11.00 bp decrease; GC007 closed at 1.47 with no change [4] - SHBOR 3M closed at 1.59 with a 0.15 bp decrease; LPR 5 - year remained at 3.50 [4] - 1 - year treasury bond yield was 1.40 with a 0.23 bp decrease; 5 - year treasury bond yield was 1.58 with a 0.52 bp increase [4] - 10 - year treasury bond yield was 1.81 with a 1.06 bp increase; 10 - year US treasury bond yield was 4.09 with a 2.33 bp decrease [4] Central Bank Operations - The central bank conducted 92.8 billion yuan of 7 - day reverse repurchase operations yesterday, with 342.6 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 249.8 billion yuan [4] - This week, 2.068 trillion yuan of reverse repurchases will mature in the central bank's open market, and 70 billion yuan of 91 - day repurchase - style reverse repurchases will mature on Friday [5] Stock Indexes and Futures Stock Indexes - CSI 300 rose 1.43% to 4693.4; SSE 50 rose 1.22% to 3044.7; CSI 500 rose 1.61% to 7345.7; CSI 1000 rose 1.17% to 7551.8 [6] - The trading volume of the Shanghai and Shenzhen stock markets was 2.0552 trillion yuan, an increase of 182.9 billion yuan from the previous day [6] Stock Index Futures - IF当月 rose 1.6%; IH当月 rose 1.3%; IC当月 rose 1.9%; IM当月 rose 1.3% [6] - IF trading volume decreased 4.5%, and its position decreased 2.0%; IH trading volume decreased 3.1%, and its position decreased 0.8% [6] - IC trading volume decreased 9.3%, and its position decreased 2.7%; IM trading volume decreased 14.8%, and its position decreased 4.6% [6] Market Analysis and Strategy - Yesterday, the stock index continued to rebound, and the technology sector recovered. Rumors of support for domestic chips and a 50% price increase in HBM4 supply between SK Hynix and NVIDIA boosted relevant sectors [7] - In the short term, in November, the stock index enters a macro - relatively vacuum period. Liquidity factors may dominate market strength, and the stock index is expected to fluctuate strongly under the background of abundant macro - liquidity [7] - In the long - term, the stock index still has room to rise, but the upward pace will not be rapid. The strategy suggests seizing opportunities to go long and using the discount structure of stock index futures to enhance the advantage of long - term long strategies [7] Futures Contract Premium and Discount - IF升贴水: 4.98% (current month), 4.09% (next month), 3.22% (current quarter), 3.27% (next quarter) [8] - IH升贴水: 1.39% (current month), 0.93% (next month), 0.60% (current quarter), 0.64% (next quarter) [8] - IC升贴水: 13.62% (current month), 11.48% (next month), 9.93% (current quarter), 10.00% (next quarter) [8] - IM升贴水: 20.63% (current month), 16.50% (next month), 13.17% (current quarter), 12.40% (next quarter) [8]

Report Summary 1. Core View - The central bank increased reverse repurchase operations to stabilize inter - bank market funds as the funds tightened recently, and there will be 1656.3 billion yuan of reverse repurchases maturing in the central bank's open market this week [3][4]. - After consecutive strong rallies, with the phased realization of macro - level positive factors, the upward speed of stock index futures may slow down, and market fluctuations and adjustments should be watched out for [6]. 2. Summary by Relevant Catalogs 2.1 Macro - financial Data - **Interest Rates**: DR001 closed at 1.32%, down 4.80bp; DR007 at 1.52%, down 4.67bp; GC001 at 1.78%, up 12.00bp; GC007 at 1.63%, down 5.00bp; SHBOR 3M at 1.56%, up 0.40bp; LPR 5 - year at 3.50%, unchanged; 1 - year treasury at 1.38%, down 2.00bp; 5 - year treasury at 1.58%, down 2.50bp; 10 - year treasury at 1.72%, down 3.05bp; 10 - year US treasury at 4.34%, down 8.00bp [3]. - **Reverse Repurchase**: The central bank conducted 309 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40% yesterday, with 150.5 billion yuan of reverse repurchases maturing, resulting in a net injection of 158.5 billion yuan [3]. 2.2 Stock Index Futures - **Closing Prices and Changes**: The CSI 300 closed at 4151, down 0.02%; the SSE 50 at 2819, up 0.38%; the CSI 500 at 6315, down 0.65%; the CSI 1000 at 6718, down 0.82%. IF当月 closed at 4147, down 0.1%; IH当月 at 2821, up 0.3%; IC当月 at 6271, down 0.7%; IM当月 at 6676, down 0.8% [5][6]. - **Volume and Open Interest Changes**: IF volume increased by 41.3% to 138031, and open interest increased by 5.9% to 274703; IH volume increased by 53.7% to 70949, and open interest increased by 9.0% to 103281; IC volume increased by 19.5% to 105254, and open interest increased by 2.3% to 229923; IM volume increased by 22.7% to 231279, and open interest increased by 5.0% to 346497 [5]. 2.3 Stock Index Futures Premium/Discount - **IF**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 2.33%, 0.00%, 0.01%, and 2.90% respectively [7]. - **IH**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are - 1.66%, - 0.16%, - 0.08%, and - 0.12% respectively [7]. - **IC**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 15.71%, 11.25%, 9.59%, and 8.92% respectively [7]. - **IM**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 14.56%, 12.17%, 11.60%, and 10.93% respectively [7]. 3. Market Review - The trading volume of the Shanghai and Shenzhen stock markets was 1.8443 trillion yuan, an increase of 41.1 billion yuan compared to the previous day. Industry sectors had more decliners than gainers, with the mining, shipbuilding, tourism and hotel, food and beverage, and commercial department store sectors leading the gains, while the battery, diversified finance, small metals, engineering machinery, and power supply equipment sectors leading the losses [6]. 4. Market Hot News - This week, 1.6563 trillion yuan of reverse repurchases in the central bank's open market will mature, with 170.7 billion, 214.8 billion, 150.5 billion, 331 billion, and 789.3 billion yuan maturing from Monday to Friday respectively [4]. - After the Sino - US economic and trade negotiations, China's Ministry of Commerce stated that both sides will continue to promote the extension of the 24% part of the suspended reciprocal tariffs by the US and China's counter - measures as scheduled. The Politburo meeting released little incremental information, emphasizing policy continuity, stability, flexibility, and predictability, and promoting the governance of non - competitive behavior in enterprises and over - capacity in key industries [6].