国债衍生品周报 2026/2/27 咨询业务资格：沪证监许可【2012】1515号 国债到期收益率 source： wind % 2Y国债到期收益率 5Y国债到期收益率 10Y国债到期收益率 30Y国债到期收益率 7Y国债到期收益率 24/06 24/12 25/06 25/12 2 3 资金利率 source： wind % 存款类机构质押式回购加权利率:1天 存款类机构质押式回购加权利率:7天 逆回购利率：7天 23/12 24/06 24/12 25/06 25/12 1 2 3 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（ ...

股 指 期 货 交 易 数 据 | | | 大类资产早报 研究中心宏观团队 2026/02/27 | 全 球 资 产 市 场 表 现 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债 | | | | | | | | | | 美国 | | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 最新 | 4.005 | 4.273 | 3.248 | 2.690 | 3.299 | 3.097 | 0.197 | 3.297 | | 日本 | | 巴西 | 中国 | 韩国 | 澳大利亚 | 新西兰 | | | | 最新 | 2.149 | 5.915 | 1.819 | - | 4.701 | 4.353 | | | | 主要经济体2年期国债 | | | | | | | | | | 美国 | | 英国 | 德国 | 日本 | 意大利 | 中国（1Y收益 率） | 韩国 | 澳大利亚 | | 最新 | 3.431 | 3.540 | 2.037 | 1.233 | 2 ...

2026 年 02 月 26 日 开源晨会 0226 ——晨会纪要 数据来源：聚源 -40% -20% 0% 20% 40% 60% 2025-02 2025-06 2025-10 沪深300 创业板指 昨日涨跌幅前五行业 昨日涨跌幅后五行业 | 行业名称 | 涨跌幅(%) | | --- | --- | | 传媒 | -1.155 | | 银行 | -0.456 | | 汽车 | 0.056 | | 家用电器 | 0.130 | | 石油石化 | 0.190 | | 数据来源：聚源 | | | 行业名称 | 涨跌幅(%) | | --- | --- | | 钢铁 | 4.694 | | 有色金属 | 3.478 | | 建筑材料 | 2.749 | | 房地产 | 2.533 | | 基础化工 | 2.162 | | 数据来源：聚源 | | 开 源 证 券 证 券 研 究 报 wumengdi@kysec.cn 证书编号：S0790521070001 观点精粹 总量视角 【固定收益】上清所托管量环比减少，债市整体杠杆率持平——2026 年 1 月债市 托管数据点评-20260225 事件：1 月末，上清所债 ...

Group 1 - The basis between the 5-year National Development Bonds and the same-term FR007 interest rate swap is 20 basis points (BP), which has increased by 17 BP compared to the end of 2024 [1] - In 2025, the overall basis between cash bonds and swaps is expected to rise, with the 1-year National Development Bonds and FR007 interest rate swap basis at 5 BP, up 31 BP from the end of 2024, and the 5-year basis at 20 BP, up 17 BP [1] - At the beginning of 2025, due to rising funding rates, interest rate swaps lead cash bonds, causing the basis to drop to a low of -20 BP for the 1-year National Development Bonds and 3 BP for the 5-year basis [1] Group 2 - Since February, the rise in the equity market has led to some capital diversion, impacting cash bonds and causing yields to rise, which has gradually expanded the basis between cash bonds and interest rate swaps [1] - In the second quarter, as the cash bond market recovered, yields fell, leading to a narrowing of the basis between cash bonds and interest rate swaps [1] - In the second half of the year, the cash bond market faced multiple disruptions from VAT collection, institutional behavior, and new rate regulations, resulting in a greater increase in yields and a subsequent expansion of the basis [1]

Core Viewpoint - The article discusses the current state of the financial market, highlighting a slight decline in the stock market and a balanced, loose funding environment, which may indicate potential investment opportunities and risks in the near future [3]. Group 1: Market Conditions - The funding environment is described as balanced and loose, with a slight decline in long-term bond yields [3]. - The central bank conducted a reverse repurchase operation of 315 billion yuan for 7-day and 3000 billion yuan for 14-day terms, with a net withdrawal of 1460 billion yuan due to the maturity of 4775 billion yuan in 7-day reverse repos [3]. - The overnight interbank funding rates showed a slight decrease, with DR001 around 1.28% and DR007 around 1.46% [3]. Group 2: Interest Rates and Bond Market - The weighted average rates for various funding types showed a decline, with R001 at 1.36% (down 6 basis points), R007 at 1.53% (down 2 basis points), and R014 at 1.59% [4]. - The 10-year government bond yield fluctuated, starting at 1.805% and dropping to a low of 1.80% during the day, indicating a mixed sentiment in the bond market [5]. - The article suggests that the 10-year bond yield of 1.80% is perceived as a significant psychological barrier for investors, with previous ranges not effectively containing the yield [5]. Group 3: Investor Sentiment and AI Industry - Investor sentiment appears cautious, with two-thirds of investors planning to hold bonds through the holiday, anticipating a potential rally to break the 1.80% yield barrier [5]. - The article critiques the current state of the AI industry, suggesting that it lacks imagination and is overly focused on competition rather than innovation [5].

Group 1: Global Asset Market Performance - The latest yields of 10 - year government bonds in major economies are as follows: US 4.181%, UK 4.558%, France 3.445%, Germany 2.842%, Italy 3.468%, Spain 3.221%, Switzerland 0.244%, Greece 3.450%, Japan 2.231%, Brazil 6.180%, China 1.810%, Australia 4.857%, New Zealand 4.535% [3] - The latest yields of 2 - year government bonds in major economies are: US 3.452%, UK 3.653%, Germany 2.090%, Japan 1.280%, Italy 2.243%, China (1Y yield) 1.318%, Australia 4.286% [3] - The latest exchange rates of the US dollar against major emerging - economy currencies are: Brazil 5.272, South Africa zar 16.309, Korean won 1463.600, Thai baht 31.802, Malaysian ringgit 3.948 [3] - The latest exchange rates of the RMB are: on - shore RMB 6.938, off - shore RMB 6.941, RMB central parity rate 6.957, RMB 12 - month NDF 6.806 [3] - The latest values of major economies' stock indices are: S&P 500 6798.400, Dow Jones Industrial Average 48908.720, Nasdaq 22540.590, Mexican stock index 68858.280, UK stock index 10309.220, France CAC 8238.170, Germany DAX 24491.060, Spanish stock index 17746.300, Russian stock index (not available), Nikkei 53818.040, Hang Seng Index 26885.240, Shanghai Composite Index 4075.917, Taiwan stock index 31801.270, South Korean stock index 5163.570, Indian stock index 8103.879, Thai stock index 1346.230, Malaysian stock index 1731.020, Australian stock index 9154.855, emerging - economy stock index 1507.530 [3] - The latest values of credit - bond indices are: US investment - grade credit - bond index 3561.790, euro - zone investment - grade credit - bond index 267.919, emerging - economy investment - grade credit - bond index 291.120, US high - yield credit - bond index 2927.790, euro - zone high - yield credit - bond index 413.450, emerging - economy high - yield credit - bond index 1846.721 [3] Group 2: Stock Index Futures Trading Data - The closing prices of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are 4075.92, 4670.42, 3059.01, 3260.28, and 8146.11 respectively, with percentage changes of - 0.64%, - 0.60%, - 0.33%, - 1.55%, and - 1.84% [4] - The PE (TTM) values of CSI 300, SSE 50, CSI 500, S&P 500, and Germany DAX are 14.08, 11.64, 36.92, 27.25, and 19.00 respectively, with环比 changes of - 0.05, - 0.02, - 0.68, - 0.24, and - 0.09 [4] - The risk premium (1/PE - 10 - year interest rate) of S&P 500 is - 0.51 with a环比 change of 0.13, and that of Germany DAX is 2.42 with a环比 change of 0.04 [4] - The latest fund - flow values for A - shares, the main board, the SME board, ChiNext, and CSI 300 are - 909.73, - 607.84, (not available), - 237.79, and - 34.01 respectively, and the 5 - day average values are - 447.20, - 349.02, (not available), - 69.06, and - 76.03 [4] Group 3: Other Trading Data - The latest trading volumes of the Shanghai and Shenzhen stock markets, CSI 300, SSE 50, the SME board, and ChiNext are 21762.20, 5504.33, 1479.97, 4377.19, and 5522.89 respectively, with环比 changes of - 3047.51, - 855.86, - 218.85, - 414.09, and - 1233.00 [5] - The basis and basis percentage of IF, IH, and IC are - 5.22 (- 0.11%), 2.39 (0.08%), and - 25.91 (- 0.32%) respectively [5] - The closing prices of T2303, TF2303, T2306, and TF2306 in treasury - bond futures are 108.32, 105.91, 108.33, and 105.94 respectively, with percentage changes of 0.07%, 0.06%, 0.08%, and 0.04% [5] - The current R001, R007, and SHIBOR - 3M in the money market are 1.3926%, 1.5522%, and 1.5805% respectively, with daily changes of - 17.00 BP, - 1.00 BP, and 0.00 BP [5]

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]

Report Industry Investment Rating No information provided regarding the report industry investment rating. Core Viewpoints - Despite large tax outflows in January and limited central bank injections, the funds remained loose. The influence of factors such as residents' foreign exchange settlement on the funds is likely limited, and the changes in exogenous disturbances and central bank injections can roughly explain the fluctuations in funds [5][37]. - Historically, there have been cases where funds remained loose under low excess reserve ratios. The central bank can maintain loose funds through open market operations or guiding bank lending. The current funds situation does not require excessive concern [42]. - Next week, the funds will face significant exogenous disturbances, especially a concentrated impact on Monday. However, considering the central bank's clear attitude of protecting the funds, it is expected that the funds rate will not continue to rise significantly compared to this week [11][68]. Summary by Relevant Catalog 1. Money Market 1.1 This Week's Funds Review - This week, the OMO had a net injection of 22.95 billion yuan. On Friday, there was a 150 - billion - yuan treasury cash deposit due, and the central bank conducted a 900 - billion - yuan 1 - year MLF operation, exceeding the monthly maturity by 700 billion yuan. After the MLF operation, DR001 fell back below 1.4% [3][18]. - The trading volume of pledged repurchase decreased slightly, and the overall scale fluctuated downward. The net lending of large - scale banks declined, while that of non - bank institutions' rigid lending first decreased and then increased [4][26]. - The cross - month progress of inter - bank institutions in January was slow, and the exchange - market cross - month progress was at the lowest level in the same period in recent years [32]. 1.2 Next Week's Funds Outlook - Next week, government bond net payment is expected to rise to 515 billion yuan, with 7 - day reverse repurchase maturities totaling 1181 billion yuan and 200 billion yuan of MLF maturing on Monday. The 26th is the reserve payment day [11][45][68]. - In January 2026, the government bond issuance scale was 2.08 trillion yuan, with a net financing scale of 1.18 trillion yuan, lower than expected. It is estimated that the government bond issuance scales in February and March will be 2.12 trillion and 2.63 trillion yuan respectively, with net financing scales of 1.36 trillion and 1.13 trillion yuan [56][62]. 2. Inter - bank Certificates of Deposit - This week, the 1Y Shibor rate declined by 0.6BP, and the 1 - year AAA - rated inter - bank certificate of deposit secondary rate declined by 3.0BP [69]. - The issuance scale of inter - bank certificates of deposit increased while the maturity scale decreased, with a net repayment scale of 9.06 billion yuan, a decrease of 19.04 billion yuan from last week. The issuance success rates of various banks increased, and the issuance spread between city commercial banks and joint - stock banks for 1Y certificates of deposit widened [74][75]. - The willingness of money market funds to reduce holdings of certificates of deposit in the secondary market continued to rise, while the willingness of other institutions to increase holdings in the primary market decreased. The relative strength index of certificates of deposit continued to decline seasonally [85]. 3. Bill Market This week, bill rates fluctuated within a narrow range. The 3 - month bill rate of state - owned and joint - stock banks increased by 2BP to 1.45%, and the 6 - month bill rate remained unchanged at 1.13% [93]. 4. Bond Trading Sentiment Tracking - Last week, the bond market recovered, the interest rate curve steeply declined, and the credit spreads of 3 - 7Y bonds were compressed across the board. Large banks tended to reduce their bond holdings overall [13][96]. - Trading - type institutions generally tended to increase their bond holdings, while the willingness of allocation - type institutions to increase their bond holdings decreased significantly [96].

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints - No clear core viewpoints are presented in the provided content. The document mainly shows data on global asset market performance, stock index futures trading, and bond futures trading 3. Summary by Relevant Catalogs Global Asset Market Performance - **10 - Year Treasury Bonds**: Yields of 10 - year treasury bonds in various major economies are presented. For example, the US is at 4.246, the UK at 4.473, and China at 1.830 [2] - **2 - Year Treasury Bonds**: Yields of 2 - year treasury bonds in different countries are given. The US 2 - year yield is 3.607, and China's 1 - year yield is 1.275 [2] - **Exchange Rates**: The latest exchange rates of the US dollar against major emerging - economy currencies are shown. For instance, the US dollar to Brazilian real is 5.288, and to South African rand is 16.133 [2] - **Stock Indices**: The latest values of major economy stock indices are provided. The S&P 500 is 6913.350, the Dow Jones Industrial Index is 49384.010, and the Shanghai Composite Index is 4122.576 [2] - **Credit Bond Indices**: The latest values of different credit - bond indices are presented. For example, the US investment - grade credit - bond index is 3554.310, and the euro - area high - yield credit - bond index is 412.940 [2] Stock Index Futures Trading Data - **Index Performance**: The closing prices and percentage changes of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are given. A - shares closed at 4122.58 with a 0.14% increase [3] - **Valuation**: PE (TTM) and their环比changes of CSI 300, SSE 50, CSI 500, S&P 500, and German DAX are presented. The PE (TTM) of CSI 300 is 14.17 with a - 0.01环比 change [3] - **Risk Premium**: 1/PE - 10 - year interest rates and their环比 changes of S&P 500 and German DAX are provided. The 1/PE - 10 - year interest rate of S&P 500 is - 0.63 with a - 0.03环比 change [3] - **Fund Flows**: The latest values and 5 - day average values of fund flows in A - shares, the main board, small - and - medium - sized enterprise board, ChiNext, and CSI 300 are shown. The latest fund flow in A - shares is - 682.69 [3] - **Transaction Amount**: The latest values and环比 changes of trading amounts in the Shanghai and Shenzhen stock markets, CSI 300, SSE 50, small - and - medium - sized board, and ChiNext are given. The latest trading amount in the Shanghai and Shenzhen stock markets is 26917.33 with a 911.34环比 change [4] - **Main Contract Basis and Spread**: The basis and spread of IF, IH, and IC are presented. The basis of IF is - 4.31 with a - 0.09% spread [4] Bond Futures Trading Data - **Closing Prices and Percentage Changes**: The closing prices and percentage changes of T2303, TF2303, T2306, and TF2306 are given. T2303 closed at 108.15 with a - 0.05% change [4] - **Funding Rates**: The R001 is 1.4822%, R007 is 1.5473%, and SHIBOR - 3M is 1.5980%, with daily changes of - 6.00 BP, 1.00 BP, and 0.00 BP respectively [4]

Report Summary 1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - In December 2025, after policy support, the endogenous driving force of the economy bottomed out and rebounded, with industrial added - value growing more than expected. The full - year economic target was successfully achieved, and in 2026, the economy is expected to have a good start under a series of policy layouts [3][5]. - The 10 - year Treasury bond target range is 2 - 3%, with a central value of around 2.5% [5]. 3. Summary by Relevant Catalogs 3.1 December 2025 Economic Data Highlights - **Industrial Added - Value**: In December 2025, the year - on - year growth of industrial added - value of large - scale industries was 5.2%, 0.4 percentage points higher than the previous value, and the month - on - month growth was 0.49%, 0.05 percentage points higher than the previous value. It exceeded market expectations, in line with the PMI data. Policy support, pre - holiday inventory replenishment, and the recovery of export orders promoted the growth [3]. - **Consumption and Exports**: Retail sales of consumer goods increased by 0.9% year - on - year in December, 0.4 percentage points lower than the previous value, while exports increased by 6.6% year - on - year, 0.7 percentage points higher than the previous value, showing a continuous differentiation trend [4]. - **Investment**: The cumulative year - on - year decrease in fixed asset investment was 3.8%, 1.2 percentage points lower than the previous value. Real estate development investment decreased by 17.2% year - on - year in 2025, and the real estate climate index continued to decline, putting continuous pressure on the investment side [4]. 3.2 Structural Highlights in the Transformation of New and Old Driving Forces - **Investment Structure**: Investment in high - tech service industries increased by 3.5% year - on - year, accounting for 5.6% of total service industry investment, 0.6 percentage points higher than the same period in 2024 [5]. - **New Quality Productivity Industries**: The cumulative year - on - year growth of the added - value of large - scale high - tech manufacturing industries was 9.4%, the highest since 2022, contributing 26.1% to the growth of all large - scale industries [5]. - **Equipment Manufacturing Industry**: The added - value of large - scale equipment manufacturing industries increased by 9.2% year - on - year in 2025, accounting for 36.8% of the total added - value of large - scale industries, 2.2 percentage points higher than the previous year, and has exceeded 30% for 34 consecutive months [5]. 3.3 Bond Market Views - **Fundamentals**: The falsification of the under - expected economic recovery, combined with possible broad credit and broad fiscal policies at the beginning of 2026, will accelerate the cyclical recovery [5]. - **Broad Monetary Policy**: If there is a broad monetary policy (such as reserve requirement ratio cuts, interest rate cuts, bond purchases), it will be a reduction opportunity, similar to 2025 [5]. - **Inflation**: Inflation is rising. Attention should be paid to whether the month - on - month increase of PPI can remain positive [5]. - **Funds Rate**: If the month - on - month inflation continues to rise, there is a possibility of tightened funds, and the yields of short - term bonds will also start to rise [5]. - **Real Estate**: Real estate is not used as a means to stabilize growth this time. Similar to the situation in the United States after 2008, real estate is a lagging indicator and may bottom out after the recovery of various economic indicators and the rise of the stock market [5]. - **Bonds**: The target range of the 10 - year Treasury bond is 2 - 3%, with a central value of around 2.5% [5].