期货研究报告 2026年02月24日 周报 国债期货：短期或偏空，关注股市影响 曹宝琴 投资咨询从业资格号：Z0012851 caobaoqin@nzfco.com 报告导读： 市场回顾与展望：2月16日出版的第4期《求是》杂志将发表习近平总书记重要文章《当前经济工作的 重点任务》。文章强调，2026年经济工作头绪多，要抓住关键、纲举目张。坚持内需主导，建设强大国内 市场。统筹促消费和扩投资，用好我国超大规模市场优势。深入实施提振消费专项行动，制定实施城乡居 民增收计划，扩大优质商品和服务供给，优化"两新"政策实施，清理消费领域不合理限制，释放文旅等 服务消费潜力。节前，国务院常务会议研究促进有效投资政策措施，要求创新完善政策措施，加力提效用 好中央预算内投资、超长期特别国债、地方政府专项债券等资金和新型政策性金融工具。春节假期后一周， 央行公开市场将有22524亿元逆回购到期，其中2月24日、25日、26日分别到期14524亿元、4000亿元、 4000亿元。此外，2月25日还将有3000亿元MLF到期、1500亿元国库现金定存到期。节后资金面相对较为紧 张，资金面或利空债市。春节期间，市场对股市上涨预期增 ...

Core Viewpoint - The bond market continues to show weakness, with government bond futures declining and interbank bond yields rising, influenced by fiscal policies and market dynamics [1][2]. Market Performance - Government bond futures closed lower across the board, with the 30-year main contract down 0.31% to 110.93, the 10-year down 0.13% to 107.7, and the 5-year down 0.11% to 105.57 [2]. - Interbank bond yields increased significantly, with the 10-year China Development Bank bond yield rising by 2.5 basis points to 1.975% and the 10-year government bond yield increasing by 2.1 basis points to 1.8825% [2]. Overseas Market Trends - In North America, U.S. Treasury yields fell across the board, with the 10-year yield down 3.14 basis points to 4.159% [3]. - In Asia, Japanese bond yields mostly rose, with the 10-year yield up 1.1 basis points to 2.131% [3]. - In the Eurozone, yields on 10-year bonds from France, Germany, Italy, and Spain all decreased, indicating a general trend of falling yields in the region [3]. Primary Market Activity - The Ministry of Finance's recent bond auctions saw yields lower than market estimates, with the weighted average yields for 28-day, 63-day, and 182-day bonds at 1.0698%, 1.1552%, and 1.2573% respectively [4]. - Agricultural Development Bank's financial bonds also showed competitive bidding, with a 91-day yield of 1.5199% and a 5-year yield of 1.7782% [4]. Liquidity Conditions - The central bank conducted a 162 billion yuan reverse repo operation at a rate of 1.40%, resulting in a net liquidity withdrawal of 2963 billion yuan for the day [5]. - Short-term Shibor rates mostly declined, with the overnight rate down 0.1 basis points to 1.263% [5]. Institutional Perspectives - Citic Securities suggests that the new fund sales regulations may have a limited negative impact on the bond market, with potential trading opportunities arising from reduced redemption risks [7]. - Huatai Fixed Income notes that while the absolute level of interest rates is better than last year, the market may experience slight trading opportunities in the short term, but a more prolonged weakness is anticipated [7].

- The report discusses the performance of BARRA style factors, highlighting that fundamental factors showed increased differentiation, with growth being preferred over value. Profitability-related factors entered a retracement phase, while trading-related factors like high turnover and short-term momentum provided significant excess returns. Additionally, mid-cap style factors outperformed, with both size and non-linear size factors showing positive excess returns[24][25] - The report identifies that high turnover stocks achieved an excess return of 0.9%, short-term momentum stocks provided 0.7%, and non-linear size factors contributed 0.7% in excess returns. Meanwhile, profitability-related factors like earnings quality and investment quality showed negative returns of -0.1% and -0.3%, respectively[25]

Group 1 - The People's Bank of China (PBOC) conducted a 673 billion yuan 7-day reverse repurchase operation at an interest rate of 1.40%, maintaining the previous level, resulting in a net withdrawal of 636 billion yuan due to 1,309 billion yuan of reverse repos maturing on the same day [1] - In the week of December 15-19, the central bank's net withdrawal from 7-day and 14-day reverse repos totaled 110 billion yuan, while it conducted a 6-month reverse repo operation of 6,000 billion yuan, exceeding the planned amount by 2,000 billion yuan, indicating a supportive liquidity environment [1] - The PBOC's actions on December 18-19 through 14-day reverse repos aimed to ease market concerns about year-end liquidity, contributing to expectations of continued monetary easing [1] Group 2 - The upcoming week (December 22-26) will see a decrease in the 7-day reverse repo maturity scale to 4,575 billion yuan, with government bond net payments expected to rise to 3,666 billion yuan, primarily concentrated on Monday and Thursday [2] - The liquidity in the banking system is expected to remain ample, with the potential for continued easing, particularly if the average DR001 for December can drop below 1.3%, indicating the central bank's intent for substantial easing [2] - Analysts suggest that the disturbances in the funding market are primarily due to year-end pressures and government bond payments, with expectations that the MLF's regular rollover on December 25 may alleviate some of the payment pressures [2] Group 3 - The Loan Prime Rate (LPR) for one year remains at 3.0% and for five years at 3.5%, unchanged for the seventh consecutive month, with expectations for potential interest rate cuts in the first quarter of 2026 to stimulate domestic financing demand [3] - The current low inflation levels provide sufficient room for monetary policy to adopt a moderately accommodative stance, including potential interest rate cuts, especially following the Federal Reserve's recent rate adjustments [3] Group 4 - The likelihood of a rate cut in December is considered low, as recent statements from the central bank have not indicated a strong signal for broad monetary easing, focusing instead on maintaining low financing costs [4] - Historically, the central bank is less likely to cut rates at year-end, with more frequent cuts occurring in the first quarter of the following year, as policymakers prefer to create a positive outlook at the start of the new year [4] - Current pressures on banks' liabilities and rising deposit rates suggest that the probability of a rate cut is low, despite indications of easing in short-term interest rates [4]

Report Industry Investment Rating - The investment rating for the bond market is slightly bearish with a strong oscillatory nature [2][3] Core Viewpoints - The year - end capital market disturbances have emerged, with most money market interest rates rising. The marginal tightening of the capital market adds negative factors to the bond market [2] - The stock index may attempt to break through the trend line again, and the stock - bond seesaw effect may be negative for the bond market [2] - In November, China's economic prosperity level was generally stable, and the probability of large - scale stimulus policies at the end of the year is low. The economic fundamentals do not support the bond market to break through the oscillatory range [3] Summary by Relevant Catalogs 1. Market Review and Outlook - As of December 8, most money market interest rates rose, with the overnight silver - deposit pledged repurchase weighted average rate up 0.06BP to 1.3003%, the 7 - day rate up 0.04BP to 1.438%, the 14 - day rate up 2.68BP to 1.5116%, and the 1 - month rate up 2.4BP to 1.6158% [2] - The stock index may try to break through the trend line again, and the stock - bond seesaw effect may be negative for the bond market [2] 2. Macroeconomic Fundamentals - In November, China's manufacturing PMI was 49.2%, up 0.2 percentage points from the previous month; non - manufacturing PMI was 49.5%, down 0.6 percentage points; the composite PMI output index was 49.7%, down 0.3 percentage points. China's economic prosperity level was generally stable [3] - China's S&P composite PMI in November was 51.2 (previous value 51.8), and the S&P services PMI was 52.1 (previous value 52.6). The new order index continued to grow, and new export orders improved significantly [3] 3. Policy Aspect - The central bank achieved a net capital injection in November, with a net purchase of 500 million yuan of treasury bonds in the open market, a net injection of 254 million yuan through pledged supplementary loans, a net injection of 1.15 billion yuan through other structural monetary policy tools, and a net injection of 1 billion yuan through medium - term lending facilities [3] 4. Factors to Watch - The factors to watch include the stock - bond seesaw effect, economic data, and the tightness of the year - end capital market [4]

Group 1 - The report indicates that the global market is experiencing a high-level adjustment, and investors should remain patient while waiting for market sentiment to stabilize [1][2] - The A-share market is currently oscillating around the 4000-point mark, with increased rotation among sectors, suggesting a need for cautious investment strategies [1][2] - The report highlights that the bond market is expected to maintain a volatile trend in the medium term, with the 10-year government bond yield projected to fluctuate between 1.75% and 1.85% [2][12] Group 2 - The report notes that the recent U.S. non-farm payroll data showed an unexpected increase of 119,000 jobs in September, which has led to a decline in expectations for a rate cut by the Federal Reserve [8][9] - The Chinese LPR rates remained unchanged, with the 5-year LPR at 3.5% and the 1-year LPR at 3%, indicating a stable monetary policy environment [9] - The report emphasizes that the A-share market has seen a significant decline, with the Shanghai Composite Index dropping by 3.90% during the week, reflecting weak market sentiment [10][12] Group 3 - The report suggests that the short-term outlook for the stock market remains weak, with a lack of upward momentum and major indices falling below their 60-day moving averages [12][13] - It is recommended to adopt a balanced investment approach, focusing on sectors such as banking and low-volatility dividend stocks to mitigate risks during this period of market adjustment [2][12] - The report also indicates that the domestic macro multi-asset model has achieved a year-to-date return of 12.08%, significantly outperforming its benchmark [21][22]