丨证券研究报告丨 固收资产配置丨点评报告 [Table_Title] 地缘冲突后转债市场如何演进？ ——可转债周报 20260228 报告要点 [Table_Summary] 复盘过去 5 年内 2 次烈度较高地缘冲突，转债短中期表现或偏弱，当前局势下建议关注石油石 化等顺周期板块；叠加股指期货基差收敛的指引，转债或面临短期回调风险。当周 A 股走强， 中小盘及顺周期制造板块占优，成交额略有扩张。转债市场震荡走弱，中盘转债偏强，成交有 所收敛；估值整体压缩，高平价及高市价尤为显著；隐波回落仍处高位，市价中位数略抬。结 构上，钢铁有色等周期板块相对较好，涨幅居前标的部分呈负溢价。一级发行平稳；条款端下 修意愿较弱而不强赎概率提升，建议关注新券表现及条款博弈扰动。 分析师及联系人 [Table_Author] 赵增辉 熊锋 朱承志 SAC：S0490524080003 SAC：S0490524120004 SFC：BVN394 SFC：BWI629 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 地缘冲突后转债市场如何演进？ 2] ——可转 ...

广发证券资深金工分析师 张超 SAC: S0260514070002 zhangchao@gf.com.cn 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发金工安宁宁陈原文团队 摘要 宽基指数成分股本年分红进度 ： 沪深300成分股当中，实施阶段1家；上证50成分股当中，实施阶段1家；中证500成分股当中，实施阶段1家；中证1000成分股当中，股 东提议阶段1家。 申万一级行业指数成分股本年分红进度 ： 医药生物成分股当中，实施阶段1家，股东大会通过阶段1家；公用事业成分股当中，实施阶段1家；机械设备成分股当中，实施阶段1家， 股东提议阶段1家；煤炭成分股当中，实施阶段1家；石油石化成分股当中，实施阶段1家。 考虑分红的股指期货基差 ： 当前，考虑分红影响后，沪深300近月合约、远月合约、近季合约、远季合约的年化基差率分别是-1.11%、0.54%、0.67%、0.79%；上 证50近月合约、远月合约、近季合约、远季合约的年化基差率分别是-3.26%、-1.82%、-2.07%、-1.65%；中证500近月合约、远月合 约、近季合约、远季 ...

[Table_Page] 金融工程|量化投资策略月报 2026 年 2 月 27 日 证券研究报告 [Table_Title] 分红与股指期货基差月报 2026 年 2 月底统计 [Table_Summary] 报告摘要： 图 1：宽基指数成分股分红对比：2026 年（已实现）与 2025 年 数据来源：Wind, 广发证券发展研究中心 图 2：各合约当前年化基差率（考虑 分红后） 数据来源：Wind, 广发证券发展研究中心 | [分析师： Table_Author]张超 | | | --- | --- | | | SAC 执证号：S0260514070002 | | | SFC CE No. BOB130 | | 020-66335132 | | | | zhangchao@gf.com.cn | | 分析师： | 安宁宁 | | | SAC 执证号：S0260512020003 | | | SFC CE No. BNW179 | | 0755-23948352 | | | | anningning@gf.com.cn | | [Table_ 相关研究： DocReport] | | | --- | --- ...

股指期货日度数据跟踪 2026-02-26 一、指数走势 02 月 25 日，上证综指涨跌幅 0.72%，收于 4147.23 点，成交额 10859.7 亿元，深成指数涨跌幅 1.29%，收于 14475.87 点，成交额 13765.78 亿元。 中证 1000 指数涨跌幅 1.52%，成交额 5331.41 亿元，其中开盘价 8320.61，收盘价 8426.33，当日最高价 8449.76，最低价 8310.33； 中证 500 指数涨跌幅 1.6%，成交额 5068.49 亿元，其中开盘价 8412.08，收盘价 8527.56，当日最高价 8551.53，最低价 8401.6； 沪深 300 指数涨跌幅 0.6%，成交额 5969.04 亿元，其中开盘价 4713.58，收盘价 4735.89，当日最高价 4766.56，最低价 4713.34； 上证 50 指数涨跌幅 0.45%，成交额 1506.23 亿元，其中开盘价 3045.45，收盘价 3054.92，当日最高价 3080.08，最低价 3041.59。 数据来源：Wind，光期研究所 数据来源：Wind，光期研究所 中证 1000 较 ...

股指期货日度数据跟踪 2026-02-25 一、指数走势 02 月 24 日，上证综指涨跌幅 0.87%，收于 4117.41 点，成交额 9386.11 亿元，深成指数涨跌幅 1.36%，收于 14291.57 点，成交额 12634.5 亿元。 中证 1000 指数涨跌幅 1.16%，成交额 4695.16 亿元，其中开盘价 8319.69，收盘价 8299.77，当日最高价 8356.91，最低价 8236.71； 中证 500 指数涨跌幅 1.12%，成交额 4497.14 亿元，其中开盘价 8403.31，收盘价 8392.91，当日最高价 8444.13，最低价 8328.57； 沪深 300 指数涨跌幅 1.01%，成交额 5260.84 亿元，其中开盘价 4727.3，收盘价 4707.54，当日最高价 4727.37，最低价 4698.35； 上证 50 指数涨跌幅 0.23%，成交额 1282.43 亿元，其中开盘价 3075.47，收盘价 3041.32，当日最高价 3075.9，最低价 3039.41。 数据来源：Wind，光期研究所 数据来源：Wind，光期研究所 数据来源：Wind ...

沪深 300 较前收盘价上涨-28.26 点，银行,食品饮料等板块对指数向上拉动明显，电子,电力设备,有色金属等板块对指数向下拉动明显。 上证 50 较前收盘价上涨-10.23 点，食品饮料,银行,医药生物等板块对指数向上拉动明显，电力设备,电子,有色金属等板块对指数向下拉动明显。 图 3：中证 1000 各板块对指数贡献的涨跌点数 股指期货日度数据跟踪 2026-02-06 一、指数走势 02 月 05 日，上证综指涨跌幅-0.64%，收于 4075.92 点，成交额 9469.89 亿元，深成指数涨跌幅-1.44%，收于 13952.71 点，成交额 12292.31 亿元。 中证 1000 指数涨跌幅-1.69%，成交额 4409.65 亿元，其中开盘价 8121.51，收盘价 8068.08，当日最高价 8154.56，最低价 8027.62； 中证 500 指数涨跌幅-1.84%，成交额 4352.78 亿元，其中开盘价 8203.06，收盘价 8146.11，当日最高价 8224.78，最低价 8081.43； 沪深 300 指数涨跌幅-0.6%，成交额 5504.33 亿元，其中开盘价 4664 ...

Index Trends - On February 4th, the Shanghai Composite Index rose 0.85% to close at 4102.2 points with a trading volume of 1063.545 billion yuan; the Shenzhen Component Index rose 0.21% to close at 14156.27 points with a trading volume of 1417.426 billion yuan [1] - The CSI 1000 Index fell 0.02% with a trading volume of 516.215 billion yuan, opening at 8184.2, closing at 8207.12, with a high of 8216.2 and a low of 8101.2 [1] - The CSI 500 Index rose 0.15% with a trading volume of 501.887 billion yuan, opening at 8270.84, closing at 8299.06, with a high of 8309.86 and a low of 8179.35 [1] - The SSE 300 Index rose 0.83% with a trading volume of 636.019 billion yuan, opening at 4647.97, closing at 4698.68, with a high of 4701.48 and a low of 4641.84 [1] - The SSE 50 Index rose 1.14% with a trading volume of 169.882 billion yuan, opening at 3033.55, closing at 3069.24, with a high of 3070.17 and a low of 3030.34 [1] Impact of Sector Movements on Index - The CSI 1000 rose -1.98 points from the previous close. Power equipment, public utilities, and pharmaceutical biology sectors significantly boosted the index, while media, electronics, and computer sectors pulled it down [2] - The CSI 500 rose 12.36 points from the previous close. Pharmaceutical biology, coal, and automobile sectors significantly boosted the index, while computer, media, and electronics sectors pulled it down [2] - The SSE 300 rose 38.57 points from the previous close. Power equipment, food and beverage, and banking sectors significantly boosted the index, while communication and electronics sectors pulled it down [2] - The SSE 50 rose 34.66 points from the previous close. Food and beverage, non - bank finance, and banking sectors significantly boosted the index, while the electronics sector pulled it down [2] Stock Index Futures Basis and Annualized Cost of Opening Positions - IM00 average daily basis was -5.88, IM01 was -37.83, IM02 was -194.47, IM03 was -346.69 [13] - IC00 average daily basis was -6.39, IC01 was -28.63, IC02 was -123.59, IC03 was -231.61 [13] - IF00 average daily basis was -4.7, IF01 was -11.25, IF02 was -37.8, IF03 was -89.59 [13] - IH00 average daily basis was -1.2, IH01 was -1.96, IH02 was -8.69, IH03 was -38.43 [13]

Index Trends - On February 3rd, the Shanghai Composite Index rose 1.29% to close at 4067.74 points, with a trading volume of 1.11072 trillion yuan; the Shenzhen Component Index rose 2.19% to close at 14127.11 points, with a trading volume of 1.433511 trillion yuan [1] - The CSI 1000 Index rose 2.93% with a trading volume of 525.76 billion yuan, opening at 8058.76, closing at 8209.1, with a daily high of 8210.05 and a low of 8023.24 [1] - The CSI 500 Index rose 3.11% with a trading volume of 543.264 billion yuan, opening at 8135.87, closing at 8286.7, with a daily high of 8286.7 and a low of 8075.37 [1] - The SSE 50 Index rose 1.05% with a trading volume of 192.78 billion yuan, opening at 3033.47, closing at 3034.58, with a daily high of 3037.0 and a low of 2987.41 [1] - The SSE 50 Index rose 1.05% with a trading volume of 192.78 billion yuan, opening at 3033.47, closing at 3034.58, with a daily high of 3037.0 and a low of 2987.41 [1] Impact of Sector Movements on Index - The CSI 1000 rose 233.67 points from the previous closing price, with sectors such as electronics and power equipment significantly driving the index up [3] - The CSI 500 rose 249.65 points from the previous closing price, with sectors such as electronics, power equipment, and machinery significantly driving the index up [3] - The SSE 300 rose 54.13 points from the previous closing price, with sectors such as non - ferrous metals, power equipment, and food and beverage significantly driving the index up [3] - The SSE 50 rose 31.44 points from the previous closing price, with sectors such as non - ferrous metals, food and beverage, and machinery significantly driving the index up, while sectors such as banks and electronics pulled the index down [3] Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of 13.79, IM01 had - 9.67, IM02 had - 167.77, and IM03 had - 316.52 [13] - For IC contracts, IC00 had an average daily basis of 9.2, IC01 had - 9.78, IC02 had - 107.94, and IC03 had - 205.19 [13] - For IF contracts, IF00 had an average daily basis of 2.87, IF01 had - 0.24, IF02 had - 24.57, and IF03 had - 72.0 [13] - For IH contracts, IH00 had an average daily basis of 0.93, IH01 had 0.65, IH02 had - 5.78, and IH03 had - 30.11 [13]

Group 1: Index Trends - On February 2nd, the Shanghai Composite Index fell 2.48% to close at 4015.75 points with a trading volume of 1163.533 billion yuan; the Shenzhen Component Index fell 2.69% to close at 13824.35 points with a trading volume of 1421.232 billion yuan [1] - The CSI 1000 Index fell 3.39% with a trading volume of 498.941 billion yuan, opening at 8166.74, closing at 7975.43, with a daily high of 8221.58 and a low of 7974.6 [1] - The CSI 500 Index fell 3.98% with a trading volume of 546.056 billion yuan, opening at 8279.72, closing at 8037.05, with a daily high of 8324.43 and a low of 8032.35 [1] - The SSE 50 Index fell 2.07% with a trading volume of 208.153 billion yuan, opening at 3036.84, closing at 3003.14, with a daily high of 3076.02 and a low of 2997.85 [1] Group 2: Impact of Sector Movements on Indexes - The CSI 1000 dropped 279.43 points from the previous close, and sectors such as non - ferrous metals and electronics had a significant downward pull on the index [2] - The CSI 500 dropped 333.47 points from the previous close, and non - ferrous metals and electronics sectors pulled the index down significantly [2] - The SSE 50 dropped 63.36 points from the previous close, with electronics and non - ferrous metals sectors pulling the index down [2] - The CSI 300 dropped 100.36 points from the previous close, and communication, electronics, and non - ferrous metals sectors pulled the index down [2] Group 3: Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 9.83, IM01 of - 36.22, IM02 of - 173.51, and IM03 of - 318.76 [10] - For IC contracts, IC00 had an average daily basis of - 31.39, IC01 of - 55.23, IC02 of - 137.96, and IC03 of - 225.61 [10] - For IF contracts, IF00 had an average daily basis of - 5.27, IF01 of - 9.59, IF02 of - 28.97, and IF03 of - 74.7 [10] - For IH contracts, IH00 had an average daily basis of - 0.12, IH01 of - 0.62, IH02 of - 1.96, and IH03 of - 27.82 [10]

Summary of Key Points Core Viewpoint - The article provides an overview of the dividend progress of various stock indices and their components, highlighting the current status of dividend proposals, approvals, and implementations across different sectors. Group 1: Broad Index Dividend Progress - In the CSI 300 index, one company has passed the board proposal stage for dividends [1] - In the SSE 50 index, one company has also passed the board proposal stage for dividends [1] - In the CSI 500 index, one company has implemented dividends, totaling 1.30 billion [4] - In the CSI 1000 index, one company is at the shareholder proposal stage for dividends [1] Group 2: Industry Index Dividend Progress - In the pharmaceutical and biotechnology sector, one company has implemented dividends totaling 0.66 billion, and another has passed the shareholder meeting approval stage [2][6] - In the public utilities sector, one company has passed the shareholder meeting approval stage for dividends [2][6] - In the machinery and equipment sector, one company is at the shareholder proposal stage, and another is at the board proposal stage [2][6] - In the coal sector, one company has implemented dividends totaling 1.30 billion [2][6] - In the oil and petrochemical sector, one company has implemented dividends totaling 0.14 billion [2][6] Group 3: Stock Index Futures Basis - The annualized basis rates for the CSI 300 near-month, far-month, near-quarter, and far-quarter contracts are -0.25%, 0.04%, 0.44%, and 0.55% respectively [3] - The annualized basis rates for the SSE 50 near-month, far-month, near-quarter, and far-quarter contracts are -0.89%, -1.30%, -1.67%, and -1.57% respectively [3] - The annualized basis rates for the CSI 500 near-month, far-month, near-quarter, and far-quarter contracts are -4.14%, -2.29%, -0.53%, and 1.11% respectively [3] - The annualized basis rates for the CSI 1000 near-month, far-month, near-quarter, and far-quarter contracts are -1.56%, 1.25%, 4.20%, and 5.11% respectively [3]