证券研究报告 | 2026年02月28日 多资产周报 "暴走"的汇率 核心观点 经济研究·宏观周报 | 证券分析师：邵兴宇 证券分析师：田地 | | --- | | 010-88005483 0755-81982035 | | shaoxingyu@guosen.com.cntiandi2@guosen.com.cn | S0980523070001 S0980524090003 "暴走"的汇率。春节前后，人民币汇率显著走强，特别是节后日均升 幅一度达到 239 个基点，在短短几天内连续跌破 6.85、6.80 等关键心 理关口。从原因来看，春节错位所带来的结汇需求在近期集中爆发。2026 年 1、2 月份的工作日分布不均，导致大量本该分散在年初的报关和结 汇需求，在 2 月下旬集中爆发。同时，过去 2-3 年，由于各种因素，约 有 1 万亿美元的出口创汇资金留存在海外账户。人民币汇率短时间内的 快速上涨，触发了这部分巨量资金的"避险式结汇"，形成了所谓的"羊 群效应"。此外，金融机构在处理企业的结汇套保业务时，往往处于汇 率空头地位。随着升值预期转强，机构为了对冲风险，必须在即期市场 回补人民币，这进一步放 ...

Market Overview - The Hang Seng Tech Index has fallen below the 5400-point mark, indicating a significant pullback after previous gains in sectors like internet platforms and semiconductors[1] - The market is experiencing a "cold spring" with reduced trading volumes and profit-taking behavior observed across various sectors[1] Economic Indicators - Fixed asset investment has decreased by 3.80% year-on-year[5] - Retail sales have shown a modest increase of 0.90% year-on-year[5] - Exports have risen by 6.60% year-on-year[5] - M2 money supply growth stands at 8.54%[5] External Factors - Recent U.S. economic data, including non-farm payrolls and service sector PPI, exceeded expectations, leading to a cooling of interest rate cut expectations from the Federal Reserve[1] - Domestic institutions are showing a strong demand for profit-taking to manage uncertainties post-holiday[1] Asset Allocation Trends - Southbound capital has shifted from high-growth tech stocks to high-dividend assets like telecommunications and banking[1] - The short-term support level for the market is projected to be between 5100-5250 points, coinciding with the 250-day moving average[1] Commodity and Currency Movements - The latest crude oil inventory is reported at 44,684 million tons, an increase of 44,935 million tons from the previous week[3] - The dollar long position has decreased to 16,610 contracts, down by 1,335 contracts[3]

Group 1: Copper Price Surge - Recent global copper prices have reached historic highs, with SHFE copper closing at 94,020 CNY/ton and LME copper at 11,952 USD/ton[1] - Structural supply shortages in global copper mining are the core reason for price increases, with production accidents in Chile and Indonesia causing a 6.5% year-on-year decline in output from the top 20 copper mines in Q3[1] - Self-imposed production cuts in smelting further exacerbate supply tightness, with China's CSPT announcing a reduction of over 10% in copper production capacity for 2026[1] Group 2: Demand and Macroeconomic Factors - The macroeconomic environment is supportive, with increasing expectations for a Federal Reserve rate cut in 2026, enhancing the investment appeal of commodities[1] - Long-term copper price increases are driven by structural changes and rigid growth in demand, particularly in the renewable energy sector, where copper usage in electric vehicles is 2-3 times that of traditional vehicles[1] - The International Copper Study Group predicts that annual demand in the renewable sector will exceed 10 million tons by 2030[1] Group 3: Market Overview - From December 6 to December 13, the CSI 300 index fell by 0.08%, the Hang Seng index by 0.42%, and the S&P 500 by 0.63%[2] - In commodities, SHFE rebar fell by 2.65%, while LME copper rose by 1.47%[2] - The gold-silver ratio decreased to 67.39, while the copper-oil ratio increased to 205.72, reflecting changing asset valuations[2]

Core Viewpoint - The report provides a comprehensive analysis of commodity market trends, highlighting price fluctuations, trading volumes, and capital flows across various sectors, including financial futures, precious metals, non-ferrous metals, and black commodities. Group 1: Financial Futures - The CSI 300 futures increased by 0.76% over the last five days and 21.76% year-to-date [10] - The SSE 50 futures rose by 0.39% in the last five days, with a year-to-date increase of 14.24% [10] - The CSI 500 futures showed a 0.95% increase over five days and a significant 38.67% rise year-to-date [10] Group 2: Precious Metals - SHFE gold futures experienced a slight increase of 0.15% over the last five days, with a substantial year-to-date gain of 52.53% [10] - SHFE silver futures saw a more pronounced increase of 2.06% over the last five days and an impressive 80.69% year-to-date [10] Group 3: Non-Ferrous Metals - SHFE copper futures rose by 1.54% over the last five days, with a year-to-date increase of 26.21% [11] - SHFE aluminum futures increased by 0.27% in the last five days, with a year-to-date gain of 12.87% [11] - SHFE lead futures showed a modest increase of 0.23% over the last five days, with a year-to-date increase of 2.64% [11] Group 4: Black Commodities - SHFE rebar futures decreased by 1.30% over the last five days, with a year-to-date decline of 10.59% [12] - DCE iron ore futures fell by 1.14% in the last five days, but have increased by 6.84% year-to-date [12] - DCE coking coal futures experienced a significant drop of 6.14% over the last five days, with a year-to-date decline of 26.28% [12]

Group 1: Bond Market Analysis - The bond market experienced a significant pullback this week, with short-term bonds supported by central bank liquidity and demand, maintaining stable yields[1] - Long-term bonds faced pressure due to policy concerns and profit-taking, but later recovered as fundamental expectations solidified and institutional buying resumed[1] - The recent actions of major banks to withdraw large-denomination certificates of deposit have raised expectations for interest rate declines, providing policy support for a potential bond market recovery[1] Group 2: Market Performance Overview - From November 22 to November 29, the CSI 300 index rose by 1.65%, the Hang Seng Index increased by 2.54%, and the S&P 500 gained 3.73%[2] - The 10-year China bond yield increased by 2.47 basis points, while the 10-year U.S. Treasury yield decreased by 4 basis points[2] - The U.S. dollar index fell by 0.72%, and the offshore RMB appreciated by 0.49%[2] Group 3: Inventory and Fund Behavior - The latest weekly crude oil inventory stood at 44,355 million tons, up by 2.78 million tons from the previous week[3] - The latest week saw a decrease in long positions in the U.S. dollar by 177 contracts, while short positions increased by 1,611 contracts[3] - The gold ETF size rose to 3,361 million ounces, an increase of 160,000 ounces from the previous week[3]

Core Viewpoint - The report provides a comprehensive analysis of the performance of various futures contracts across different sectors, highlighting price changes and trends over multiple time frames. Group 1: Financial and Precious Metals Futures - The Shanghai Composite 300 futures decreased by 0.13%, while the Shanghai 50 futures fell by 0.20% [8] - The year-to-date performance for the Shanghai Composite 300 futures is up 17.07%, and for the Shanghai 50 futures, it is up 11.57% [8] - The CFFEX 2-year treasury futures showed a slight increase of 0.01% [8] Group 2: Nonferrous Metals and New Energy Materials - SHFE copper futures increased by 0.09%, while SHFE aluminum futures decreased by 0.40% [9] - The year-to-date performance for SHFE copper is up 16.85%, while SHFE aluminum is up 8.34% [9] - GFEX polysilicon futures rose by 1.15%, reflecting a year-to-date increase of 26.07% [9] Group 3: Black Commodities - SHFE rebar futures increased by 0.95%, while SHFE hot-rolled coil futures rose by 0.67% [10] - DCE iron ore futures showed a modest increase of 0.44% [10] - The year-to-date performance for SHFE rebar is down 10.54% [10] Group 4: Agricultural Products - DCE corn futures increased by 1.69%, while DCE soybean meal futures decreased by 0.20% [11] - The year-to-date performance for DCE corn is down 1.36%, while DCE soybean meal is up 3.62% [11] - CZCE cotton futures rose by 0.85%, reflecting a year-to-date decrease of 2.16% [11] Group 5: Energy and Chemicals - CZCE soda ash futures increased by 1.02%, while INE crude oil futures decreased by 1.13% [12] - The year-to-date performance for CZCE soda ash is down 25.37%, while INE crude oil is down 8.52% [12] - SHFE rubber futures decreased by 0.33%, reflecting a year-to-date decline of 19.91% [12]

Core Insights - The report provides a comprehensive overview of the performance of various futures contracts across different sectors, highlighting price changes and trends over multiple time frames. Group 1: Financial and Precious Metals - The Shanghai Composite 300 futures decreased by 0.69%, with a year-to-date increase of 19.81% [8] - The SHFE gold futures rose by 0.22%, while the year-to-date increase stands at 48.84% [8] - The SHFE silver futures increased by 0.75%, with a year-to-date increase of 58.85% [8] Group 2: Nonferrous Metals and New Energy Materials - SHFE copper futures rose by 0.19%, with a year-to-date increase of 16.92% [9] - SHFE aluminum futures decreased by 0.05%, with a year-to-date increase of 9.10% [9] - GFEX lithium carbonate futures increased by 0.84%, with a year-to-date increase of 28.12% [9] Group 3: Black Commodities - SHFE rebar futures fell by 1.01%, with a year-to-date decrease of 11.67% [10] - DCE iron ore futures decreased by 0.32%, with a year-to-date increase of 8.21% [10] - DCE coking coal futures dropped by 3.17%, with a year-to-date decrease of 18.57% [10] Group 4: Agricultural Products - DCE soybean meal futures decreased by 0.46%, with a year-to-date increase of 3.83% [11] - CZCE apple futures increased by 1.26%, with a year-to-date increase of 36.24% [11] - DCE live hog futures fell by 1.00%, with a year-to-date decrease of 21.55% [11] Group 5: Energy and Chemicals - INE crude oil futures decreased by 1.66%, with a year-to-date decrease of 6.97% [12] - DCE ethylene glycol futures fell by 2.05%, with a year-to-date decrease of 21.88% [12] - CZCE soda ash futures dropped by 2.93%, with a year-to-date decrease of 26.95% [12]

Group 1: Market Trends - The peak period for the opening of amortized bond funds is from November 2025 to the first half of 2026, with a total opening scale exceeding 400 billion yuan[12] - In December 2025, the opening scale will reach 107.7 billion yuan, and in March 2026, it will exceed 116 billion yuan, primarily focusing on 3-year and 5-year products[12] - The demand for 3-5 year high-grade credit bonds will continue to be released, maintaining a strong short-term performance[14] Group 2: Fund Allocation Changes - The proportion of credit bonds in amortized bond funds has increased significantly, reaching 14.9% by the end of Q3 2025, up from 1.8% at the end of 2024[13] - Bank wealth management has replaced bank proprietary trading as the core incremental funding source, with holdings in amortized bond funds rising from 17.1 billion yuan to 93 billion yuan, a growth of over 5 times[13] - 84% of the increased funding from wealth management is directed towards products with a closed period of 3 years or less, reinforcing the demand for short- to medium-term credit bonds[13] Group 3: Market Structure Differentiation - The credit bond market is experiencing structural differentiation, with medium- to high-grade credit bonds benefiting significantly, while certain bonds are excluded from the amortized bond fund allocation due to SPPI testing[14] - Long-term credit bonds are less favored due to maturity mismatches and profit-taking by banks, while policy financial bonds are seeing reduced compression dynamics due to the shift towards credit bonds[14] - The overall market is characterized by a notable divergence in performance among different bond types[14]

Group 1 - The core viewpoint of the article emphasizes the harsh realities of the futures market, indicating that a significant majority of participants are unlikely to achieve long-term success, with estimates suggesting that only 0.1% will be profitable over three years and 0.01% over ten years [3][5][8] - In 2024, the domestic futures trading volume reached 619 trillion, with an estimated total fee of around 80 billion, leading to the disappearance of approximately 140,000 medium-sized accounts annually [6][7] - The article discusses the impact of the "Big and Beautiful" Act on commodity investments, particularly how it may reduce demand for industrial metals like silver and copper while benefiting traditional energy sources like crude oil [9][10] Group 2 - The article outlines the current market dynamics for various commodities, indicating that the futures market is predominantly long for financial indices and certain metals, while short positions dominate in others like paper pulp and pure alkali [12] - It highlights the potential for a rebound in the glass market driven by policy and sentiment, suggesting specific trading strategies for both long positions and hedging [20][21][22] - The discussion on copper emphasizes the tactical implications of tariffs and the need for a realistic understanding of market conditions, suggesting that the current situation is more about short-term volatility rather than long-term direction [15][16]

Investment Rating - The industry investment rating is "Positive" [1] Core Viewpoints - The report indicates that the steel industry is expected to enter a peak season, suggesting a favorable outlook for investments in this sector [1] Price Data Summary - The SW Steel Index is at 2,077, with a year-to-date change of +1.2% [3] - The price of rebar (HRB400 20mm) is 3,070 CNY/ton, showing a year-to-date change of +10% [3] - Hot-rolled coil is priced at 3,210 CNY/ton, with a year-to-date change of +6% [3] - Iron ore price index is at 93 USD/ton, with a year-to-date change of +7% [3] Inventory Summary - Total social inventory of five major steel products is 9,120,000 tons, with a year-to-date change of +3% [5] - Total inventory at steel mills is 4,260,000 tons, with a year-to-date change of +6% [5] - Port inventory of iron ore is 13,897,000 tons, with a year-to-date change of +5% [5] Supply and Demand Summary - Weekly production of five major steel products is projected to be around 1,000,000 tons [9] - Daily molten iron production is expected to reach approximately 230,000 tons [9] - The report highlights the operational rates of blast furnaces and electric furnaces, indicating a stable production environment [12][14]