金融期货早班车-2025-04-02

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - Short - term sector rotation and uncertainties in US bilateral policies may increase spot market volatility. Currently, the valuation of IF is still low, and it is recommended to allocate it on dips [2] - The recent tightness in short - term funds has eased. With frequent changes on the macro side, if the economy continues to recover with policy support, long - term interest rates are expected to rise further [2] 3. Summary by Relevant Catalogs (1) Economic Data - High - frequency data shows that the recent economic fundamentals have a differentiated level of prosperity. The prosperity of the real estate and infrastructure sectors is weak, while that of the manufacturing sector has slightly improved [4] (2) Stock Index Futures and Spot Market Performance - On April 1, the four major A - share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.38% to close at 3348.44 points; the Shenzhen Component Index fell 0.01% to close at 10503.66 points; the ChiNext Index fell 0.09% to close at 2101.88 points; the STAR 50 Index rose 0.16% to close at 1024.38 points. The market turnover was 1.1528 trillion yuan, a decrease of 905 million yuan from the previous day [1] - In terms of industry sectors, pharmaceutical biology (+3.34%), public utilities (+1.78%), and national defense and military industry (+1.46%) led the gains; household appliances (-1.71%), computers (-0.97%), and automobiles (-0.9%) led the losses [1] - From the perspective of market strength, IC > IM > IF > IH. The number of rising/flat/falling stocks was 3849/145/1403 respectively. Institutional, main, large - scale, and retail investors had net inflows of 8.45 billion, 6.53 billion, - 5.4 billion, and - 5.7 billion yuan respectively, with changes of +6.61 billion, +12.88 billion, +12.46 billion, and +0.68 billion yuan respectively [1] - The basis of the next - month contracts of IM, IC, IF, and IH was 116.48, 86.85, 8.08, and - 3.89 points respectively, and the annualized basis yields were - 15.51%, - 12.28%, - 1.73%, and 1.22% respectively. The three - year historical quantiles were 6%, 5%, 38%, and 59% respectively. Currently, the discount of small - and medium - cap stock indexes is still large, and although the futures - spot price difference has been repaired, it is still at a low level [1] (3) Treasury Bond Futures and Spot Market Performance - On April 1, most treasury bond futures fell. The 2 - year treasury bond futures fell 0.04% to close at 102.35 points, the 5 - year treasury bond futures fell 0.04% to close at 105.57 points, the 10 - year treasury bond futures fell 0.08% to close at 107.76 points, and the 30 - year treasury bond futures rose 0.15% to close at 116.21 points [2] - For the current active contract 2506, the CTD bond of the 2 - year treasury bond futures is 240024.IB, with a yield change of +1 bps, a corresponding net basis of - 0.078, and an IRR of 2.21%; the CTD bond of the 5 - year treasury bond futures is 240014.IB, with a yield change of +1.5 bps, a corresponding net basis of - 0.046, and an IRR of 2.06%; the CTD bond of the 10 - year treasury bond futures is 220003.IB, with a yield change of +2.5 bps, a corresponding net basis of - 0.005, and an IRR of 1.87%; the CTD bond of the 30 - year treasury bond futures is 200012.IB, with a yield change of - 0.25 bps, a corresponding net basis of 0.03, and an IRR of 1.71%. Currently, short - term bonds have high IRR and low basis, indicating potential arbitrage opportunities between futures and spot [2] - In terms of the money market, the central bank injected 6.49 billion yuan and withdrew 37.79 billion yuan, resulting in a net withdrawal of 31.3 billion yuan [2]