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 | | | 2026/2/12 | | --- | --- | --- | --- | --- | --- | --- | | | 品种 | 收盘价 | 较前值变动(bp) | 品种 | 收盘价 | 较前值变动 (bp) | | | DR001 | 1.37 | 0.49 | DR007 | 1.54 | -1.87 | | ま | GC001 | 1.52 | -10.00 | GC007 | 1.65 | -3.00 | | F | SHBOR 3M | 1.58 | 0.00 | LPR 5年 | 3.50 | 0.00 | | 市 | 1年期国债 | 1.31 | 0.00 | 5年期国债 | 1.47 | -0.75 | | ક | 10年期国债 | 1.79 | -0.75 | 10年期美债 | 4.16 | -6.00 | 回顾:央行昨日开展了785亿元7天期逆回购操作,操作利率1.40%,投标 量785亿元,中标量785亿元。同时,以固定数量、利率招标 ...

截至2025年末，境外机构在中国债券市场的托管余额为3.5万亿元，占中国债券市场托管余额的比重为1.8%。2025年，熊 猫债券累计发行1830.6亿元，新增56家境外机构进入银行间债券市场。 本报讯 （记者韩昱）中国人民银行2月11日发布了《2025年金融市场运行情况》（以下简称《情况》）。其中在货币市场 运行情况方面，2025年，同业拆借日均成交3610.7亿元，较2024年减少12.1%；银行间市场债券回购日均成交6.9万亿元，较 2024年增加3.0%。2025年末，同业拆借未到期余额1.0万亿元，银行间市场债券回购未到期余额12.0万亿元。 2025年，银行业存款类金融机构间利率债隔夜质押式回购（DR001）年加权平均利率为1.46%，较2024年下降19个基点； DR007年加权平均利率为1.63%，较2024年下降19个基点；银行间市场隔夜质押式回购（R001）年加权平均利率为1.55%，较 2024年下降21个基点。2025年，DR001与央行公开市场7天期逆回购操作利率的利差日均值为7个基点，R001与DR001的利差日 均值为8个基点。 债券市场运行方面，《情况》显示，2025年，政府债券 ...

Group 1: Interest Rate and Bond Market - DR001 closed at 1.28 with a -4.41bp change, DR007 at 1.46 with a -2.08bp change, GC001 at 1.29 with a -13.50bp change, GC007 at 1.60 with a 2.50bp change, SHBOR 3M at 1.58 with a -0.05bp change, LPR 5 - year at 3.50 with no change, 1 - year treasury at 1.32 with a 0.44bp change, 5 - year treasury at 1.56 with a -0.69bp change, 10 - year treasury at 1.81 with a -0.41bp change, and 10 - year US treasury at 4.22 with a 1.00bp change [4] - The central bank conducted 4055 billion yuan of 7 - day reverse repurchase operations and 6000 billion yuan of 14 - day reverse repurchase operations last week, with 3000 billion yuan of 14 - day reverse repurchase operations on Thursday and Friday respectively [4] - This week, 4055 billion yuan of reverse repurchases will mature in the central bank's open market, with 750 billion, 1055 billion, 750 billion, 1185 billion, and 315 billion yuan maturing from Monday to Friday respectively. Additionally, 5000 billion yuan of 182 - day repurchase - style reverse repurchases will mature on Friday [5] Group 2: Stock Index Market - The closing prices and changes of major stock indices and their corresponding futures contracts: CSI 300 closed at 4644 with a -0.57% change, IF current month at 4640 with a -%0.7 change; SSE 50 at 3038 with a -0.69% change, IH current month at 3037 with a -%0.9 change; CSI 500 at 8146 with no change and IC current month at 814 with a -0.%1 change; CSI 1000 at 8052 with a -0.20% change, IM current month at at 8027 with a -0.6% change [6] - The trading volume and open interest changes of stock index futures: IF trading volume was 118040 with a 1.8% change, IF open interest was at 29 with a -%1. change; IH trading volume was 55 with a 2. change, IH open interest was at 109 with a 0. change; IC trading volume was 19 with no change, IC open interest was at 31 with a -%2. change; IM trading volume was 24 with a 4. change, IM open interest was at 40 with a 1. change [6] - Last week, CSI 300 fell 1.33% to 4643.6, SSE 50 fell 0.93% to 3037.9, CSI 500 fell 2.68% to 8146.4, and CSI 1000 fell 2.46% to 8051.6. A - share trading volume shrank significantly due to pre - holiday risk - aversion sentiment. The daily trading volumes last week were 26066 billion, 25656 billion, 25033 billion, 21943 billion, and 21635 billion yuan respectively, with the average daily trading volume decreasing by 6565.9 billion yuan compared to the previous week [6] - In the Shenwan primary industry index, food and beverage (4.3%), power equipment (2.2%), comprehensive (2%), transportation (1.9%), and banking (1.7%) led the gains last week, while non - ferrous metals (-8.5%), communication (-6.9%), electronics (-5.2%), steel (-3.3%), and computer (-3.3%) led the losses [6] Group 3: Market Outlook and Strategy - During the US stock earnings season, the performance of the AI industry chain is under test, and US stock volatility has increased. Chip giants like NVIDIA and AMD have seen continuous stock price adjustments, and internet giants like Google and Amazon have raised market concerns due to poor profit efficiency and under - expected performance [7] - Last week, the domestic news was relatively calm, the selling pace of broad - based ETFs slowed down, indicating a significant weakening of regulatory control. As the Spring Festival holiday approached, market risk - aversion sentiment increased, and the total A - share trading volume narrowed significantly to around 2.1 billion yuan. Overseas, the increased volatility of non - ferrous metals and US technology stocks has had a significant impact on domestic non - ferrous and technology sectors [7] - In the short term, after a volume - shrinking rebound, the stock index is expected to consolidate through oscillations to accumulate strength for further upward movement. In the long run, in the context of low interest rates and an "asset shortage", domestic market funds are generally abundant, and as the economy is in the process of bottom - building, the medium - to - long - term upward trend of the stock index is not expected to end. The strategy is that stock index pullbacks may be opportunities to enter long positions [7] Group 4: Stock Index Futures Premium and Discount - The premium and discount rates of IF, IH, IC, and IM futures contracts for different delivery months are provided, with specific values for the current month, next month, current quarter, and next quarter contracts [8]

2026 年 2 月 8 日 总量研究 ——2026 年 2 月 8 日利率债观察 要点 7D OMO 降息的预期在升温 1、7D OMO 降息的预期在升温 近段时间，市场中对 7D OMO 降息的预期有所升温。这主要是不少投资者"判 断"2 月 4 日 3M 买断式逆回购的边际中标利率已降至 1.4%。鉴于当前 7D OMO 利率也为 1.4%，而 3M 和 7D 的央行资金利率之间通常会有一定的期限利差， 因此一些投资者认为本次 3M 买断式逆回购利率的下行将倒逼 7D OMO 降息。 实际上，买断式逆回购和 MLF 操作采用的是固定数量、利率招标、多重价位中 标的方式，边际中标利率由市场化形成，不具有政策利率的属性。人民银行加大 流动性投放力度，买断式逆回购和 MLF 的量给得足一些，那么自然其边际中标 利率就容易低一些。所以，买断式逆回购边际中标利率的下降与 7D OMO 降息 之间并无必然的联系，或至少说是没有直接的联系。 进一步讲，买断式逆回购和 MLF 操作数量的确定在主观上是为了调控 CD 等货 币市场利率，在客观上又会影响到工具本身的边际中标利率。因此，对于大多数 投资者而言，关注可以实时获 ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The stock index rebounded strongly yesterday, but the market trading volume shrank. The market sentiment gradually recovered with the rebound of overseas precious metal prices, and the stock index oscillated upward in the afternoon and closed at the intraday high. In the short term, it is necessary to pay attention to whether the panic caused by the tightening of overseas liquidity is effectively alleviated. It is expected that the stock index will mainly consolidate after the shrinking - volume rebound. In the long run, in the context of low - interest rates and "asset shortage", the domestic market funds are still relatively abundant, and the stock index's medium - and long - term upward trend is not expected to end as the economy is in the process of bottom - building [6]. 3. Summary by Relevant Catalogs Market Data - **Interest Rates**: DR001 closed at 1.32 with a - 4.73bp change, DR007 at 1.50 with a 0.69bp change, GC001 at 1.60 with a - 18.00bp change, GC007 at 1.61 with a - 3.00bp change, SHBOR 3M at 1.59 with a - 0.30bp change, LPR 5 - year at 3.50 with a 0.00bp change, 1 - year treasury bond at 1.30 with a - 0.50bp change, 5 - year treasury bond at 1.57 with a - 0.75bp change, 10 - year treasury bond at 1.81 with a - 0.40bp change, and 10 - year US treasury bond at 4.29 with a 3.00bp change [3]. - **Stock Indexes**: The CSI 300 rose 1.18% to 4660.1, the SSE 50 rose 1.05% to 3034.6, the CSI 500 rose 3.11% to 8286.7, and the CSI 1000 rose 2.93% to 8209.1. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2565.8 billion yuan, a slight decrease of 4.1 billion yuan from the previous day. Industry sectors generally rose, with shipbuilding, photovoltaic equipment, small metals, glass fiber, engineering machinery, communication equipment, and aerospace sectors surging, while only the banking, insurance, and brewing industries declined [5]. - **Futures Contracts**: IF当月 rose 1.6% to 4658, IH当月 rose 1.0% to 3033, IC当月 rose 4.3% to 8296, IM当月 rose 3.8% to 8213. IF trading volume was 141,785 with a - 25.9% change, IF open interest was 311,044 with a - 0.9% change, IH trading volume was 63,934 with a - 28.4% change, IH open interest was 114,505 with a - 4.0% change, IC trading volume was 221,446 with a - 23.4% change, IC open interest was 327,164 with a - 0.5% change, IM trading volume was 257,636 with a - 16.1% change, and IM open interest was 405,518 with a - 2.1% change [5]. - **Futures Basis**: IF basis was 1.16% (current - month contract), 1.24% (next - month contract), 2.02% (current - quarter contract), 2.90% (next - quarter contract); IH basis was 1.26% (current - month contract), 0.42% (next - month contract), 0.83% (current - quarter contract), 1.84% (next - quarter contract); IC basis was - 2.36% (current - month contract), 0.46% (next - month contract), 3.14% (current - quarter contract), 3.72% (next - quarter contract); IM basis was - 1.02% (current - month contract), 2.58% (next - month contract), 5.82% (current - quarter contract), 6.33% (next - quarter contract) [7]. Central Bank Operations - The central bank conducted 105.5 billion yuan of 7 - day reverse repurchase operations yesterday at an operating rate of 1.40%, with a bid volume, winning bid volume of 105.5 billion yuan. 402 billion yuan of reverse repurchases matured on the same day, resulting in a net withdrawal of 296.5 billion yuan for the day [3]. - This week, 1761.5 billion yuan of reverse repurchases will mature in the central bank's open market. From Monday to Friday, 150.5 billion yuan, 402 billion yuan, 377.5 billion yuan, 354 billion yuan, and 477.5 billion yuan will mature respectively. In addition, 700 billion yuan of 91 - day outright reverse repurchases will mature on Wednesday [4].

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - In the context of expected tightening of overseas liquidity, the US dollar index rebounded significantly. Yesterday, all non - ferrous varieties in the domestic commodity market hit the daily limit down, triggering an overall adjustment of risk assets. The stock index dropped significantly due to the linkage between commodities and the stock market and concerns about overseas liquidity tightening [6]. - The current A - share market is dominated by capital and policy. About 70 billion yuan flowed out of broad - based ETFs from January 15th to 27th, presumably due to Central Huijin's reduction to cool the market. The redemption of broad - based ETFs weakened last Thursday and Friday. In the short term, the policy is expected to take flexible measures to support the market. In the long run, the medium - to - long - term upward trend of the stock index is not expected to end [6]. 3. Summary by Relevant Catalogs 3.1 Macro Financial Data - **Interest Rates**: DR001 closed at 1.36 with a 3.65bp increase; DR007 at 1.49 with a - 10.20bp change; GC001 at 1.78 with a 17.50bp increase; GC007 at 1.64 with a 3.00bp increase; SHBOR 3M at 1.59 with a - 0.01bp change; LPR 5 - year at 3.50 with no change; 1 - year treasury at 1.30 with a 0.50bp increase; 5 - year treasury at 1.57 with a - 0.10bp change; 10 - year treasury at 1.81 with a 0.10bp increase; 10 - year US treasury at 4.26 with a 2.00bp increase [3]. - **Central Bank Operations**: The central bank conducted 75 billion yuan of 7 - day reverse repurchase operations yesterday at an operating rate of 1.40%. With 150.5 billion yuan of reverse repurchases maturing, the net withdrawal was 75.5 billion yuan. This week, 1.7615 trillion yuan of reverse repurchases are due to mature, and 700 billion yuan of 91 - day repurchase - style reverse repurchases will mature on Wednesday [3][4]. 3.2 Stock Index Market - **Index Performance**: The Shanghai Composite Index fell to 4016, the CSI 300 dropped 2.13% to 4606, the SSE 50 declined 2.07% to 3003, the CSI 500 decreased 3.98% to 8037, and the CSI 1000 fell 3.39% to 7975. The decline of stock index futures was greater than that of the underlying indexes, and the discount widened, indicating a rapid cooling of market sentiment. The trading volume of the three major stock exchanges in Shanghai, Shenzhen, and Beijing was 2.6069 trillion yuan, a decrease of 255.8 billion yuan from the previous trading day. Most industry sectors fell, with only power grid equipment and the brewing industry rising [5]. - **Futures Performance**: The trading volume of IF increased by 6.8% to 191,408, and the open interest decreased by 5.6% to 313,881; IH trading volume rose 15.9% to 89,283, and open interest decreased by 2.5% to 119,304; IC trading volume increased 16.4% to 289,004, and open interest decreased by 5.9% to 328,769; IM trading volume rose 11.3% to 307,100, and open interest increased by 1.3% to 414,250 [5]. - **Premium and Discount**: The report provides the premium and discount rates for different contracts of IF, IH, IC, and IM [7].

报告导读： ONRRP 类工具的影响以及双向隔夜回购的逻辑。 以上内容节选自国泰海通证券已发布的证券研究报告。 报告名称： 如何理解ONRRP类工具与双向隔夜回购；报告日期：2026.01.30；报告作者： 唐元懋（分析师），登记编号：S0880524040002 杜润琛（分析师），登记编号：S0880525110004 重要提醒 本订阅号所载内容仅面向国泰海通证券研究服务签约客户。因本资料暂时无法设置访问限制，根据《证 券期货投资者适当性管理办法》的要求，若您并非国泰海通证券研究服务签约客户，为保证服务质量、 控制投资风险，还请取消关注，请勿订阅、接收或使用本订阅号中的任何信息。我们对由此给您造成的 不便表示诚挚歉意，非常感谢您的理解与配合！如有任何疑问，敬请按照文末联系方式与我们联系。 从近两年货币政策迭代的思路看，目标是朝着进一步降低资金利率的波动以及资金分层，如果新设面向非银机构的工具，方向大概率是投放而非回笼。 此前 央行也已经在多个场合表述"特定情景下向非银机构提供流动性的机制安排"。最先是潘行长在 2025 年 10 月的金融街论坛年会上提到"探索在特定情景下向 非银机构提供流动性的机制安排"， ...

央行对货币市场利率关注重点出现变化 隔夜利率或成"新锚" 短端资金面有望保持合理充裕 从政策实践看，央行对货币市场利率的关注重点已出现变化。 在近日国新办举行的新闻发布会上，中国人民银行副行长邹澜表示，将"引导隔夜利率在政策利率水平 附近运行"。 业内认为，这一表态显示央行短端利率调控思路更加清晰，DR001在货币政策操作中的重要性正在上 升，但7天期逆回购利率仍是核心政策利率。在更清晰的利率走廊和更丰富的工具配合下，短端资金面 有望保持合理充裕、均衡偏松。 隔夜利率或成短端调控"新锚" 上海证券报记者梳理发现，自2025年一季度起，央行已连续三个季度在《中国货币政策执行报告》中， 以DR001与7天期逆回购利率进行比照，而在此前的报告中，更多使用的是DR007。这一变化，显示央 行对隔夜资金价格的重视程度明显提升。 国泰海通证券发布的研报认为，相比之下，DR001更多反映隔夜资金供求状况，对流动性边际变化更为 敏感。央行在公开表态中强调引导隔夜利率运行区间，意味着短端利率调控的观察和约束重心正在向隔 夜端前移。 尽管稳定隔夜利率有助于缓解资金面波动、稳住市场预期，但同时也需要防范期限错配和杠杆累积等潜 在风 ...

2026 年 1 月 23 日 总量研究 如何看待近期 DR001 的上行？ ——2026 年 1 月 23 日利率债观察 要点 1、DR001 要"加息"了？ 在 1 月 15 日国新办举行的新闻发布会上，人民银行邹澜副行长表示要"引导隔 夜利率在政策利率水平附近运行"。2025 年下半年 DR001 的均值为 1.35%，低 于 1.4%的 7D OMO 利率。因此部分投资者担心，未来 DR001 的均值要上行并 向 1.4%靠拢。恰巧 2026 年 1 月中旬以来（截至 1 月 22 日，下同）DR001 的 均值是明显高于前段时间的，这更加大了上述担心，市场中甚至有了货币市场利 率要"加息"的说法。 我们认为，近期没有必要对此担心。"引导隔夜利率在政策利率水平附近运行" 并不等同于"引导隔夜利率的均值恰好等于政策利率"，上述 1.35%的 DR001 已经可以说是在"在政策利率附近运行"了。 此外，我们认为"引导隔夜利率在政策利率水平附近运行"与人民银行之前常提 及的"引导短端货币市场利率围绕政策利率中枢运行"并不矛盾，因为两者描述 的对象和相对应的状态皆是不同的。从描述的对象看，前者明确是隔夜期限， ...

Group 1 - The excess reserve ratio in November remained stable at 1.2%, while government deposits increased to a historical high of 6 trillion yuan, exceeding expectations by 492 billion yuan [2][16][20] - In December, the government deposit is expected to decrease by approximately 1.96 trillion yuan, marking a historical high decline, which will provide liquidity support [3][20][28] - The probability of a reserve requirement ratio (RRR) cut in January has significantly increased, with expectations of a potential release of about 1 trillion yuan in long-term liquidity [8][65][67] Group 2 - In December, the broad fiscal deficit is anticipated to reach a historical high, with a significant decrease in net government debt repayments [3][20][28] - The monetary issuance in December is expected to increase by about 300 billion yuan, while the required reserve ratio may rise by approximately 150 billion yuan [3][20][28] - The average DR001 rate in December dropped to a new low for the year, reflecting a very loose monetary state despite slight fluctuations in DR007 [4][36][45] Group 3 - The liquidity environment is expected to remain stable, with banks' net financing capabilities improving, as evidenced by a historical high in net financing from banks in December [4][37][40] - The anticipated increase in government deposits in January is expected to exert pressure on liquidity, with an expected rise of about 1.66 trillion yuan [8][67][68] - The overall liquidity situation is expected to remain manageable, with the central bank's policies likely to mitigate external pressures [10][45][46]