金融期货早班车-2025-03-31

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - In the stock index futures market, short - term sector rotation and uncertainties in US bilateral policies may increase spot market volatility. It is recommended to take short - term profit on IC and IM due to intensified high - level gaming, and to allocate IF at low prices as its valuation is still low [2]. - In the bond futures market, the recent tightness in short - term funds has eased. With frequent macro - side changes, if the economy continues to recover with policy support, long - term interest rates are expected to rise further [2]. 3. Summary by Directory (1) Economic Data - High - frequency data shows a divergence in the economic fundamentals' prosperity recently. The prosperity of the real estate and infrastructure sectors is weak, while that of the manufacturing sector has slightly improved [3]. (2) Stock Index Futures and Spot Market Performance - On March 28, the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.67% to 3351.31 points, the Shenzhen Component Index dropped 0.57% to 10607.33 points, the ChiNext Index decreased 0.79% to 2128.21 points, and the Science and Technology Innovation 50 Index fell 1.07% to 1029.48 points. Market turnover was 1.145 trillion yuan, a decrease of 71.7 billion yuan from the previous day [2]. - In terms of industry sectors, media (+0.44%), non - bank finance (-0.01%), and non - ferrous metals (-0.17%) led the gains, while basic chemicals (-2.48%), petroleum and petrochemicals (-1.71%), and commercial retail (-1.6%) led the losses [2]. - Regarding the strength of the market, IH > IF > IC > IM. The number of rising, flat, and falling stocks was 940, 111, and 4345 respectively. Institutional, main - force, large - investor, and retail - investor funds had net inflows of 8.46 billion, - 14.62 billion, - 34.45 billion, and - 18.83 billion yuan respectively, with changes of - 7.78 billion, - 19.58 billion, - 21.06 billion, and - 11.64 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 106.32, 85.23, 9.77, and - 3.46 points respectively, with annualized basis yields of - 13.25%, - 11.26%, - 1.95%, and 1.01% respectively, and three - year historical quantiles of 12%, 6%, 38%, and 56% respectively. Currently, the discount of small - and medium - cap stock indexes is still large, and although the futures - spot price difference has recovered, it remains at a low level [2]. (3) Bond Futures and Spot Market Performance - On March 28, most bond futures weakened. The 2 - year bond futures remained flat at 102.45 points, the 5 - year bond futures fell 0.04% to 105.65 points, the 10 - year bond futures dropped 0.08% to 107.88 points, and the 30 - year bond futures fell 0.49% to 116 points [2]. - For the current active 2506 contract, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year bond futures were 240024.IB, 240014.IB, 220003.IB, and 210005.IB respectively. Their yield changes were - 2bps, - 1.75bps, - 0.25bps, and + 1.75bps respectively, with corresponding net bases of - 0.058, 0.031, 0.031, and 0.435, and IRRs of 2.31%, 1.91%, 1.91%, and 0.58% respectively. Currently, short - term bonds have high IRR and low basis, indicating potential arbitrage opportunities [2]. - In terms of the money supply, the central bank injected 78.5 billion yuan and withdrew 93 billion yuan, resulting in a net withdrawal of 14.5 billion yuan [2].