光大期货金融期货日报-2025-04-08

1. Report Industry Investment Ratings - The investment rating for stock index futures is bearish, and the rating for Treasury bond futures is bullish [1] 2. Core Views of the Report - On April 7, the A-share market experienced a significant correction, with the Wind All A index dropping 9.26% and trading volume reaching 1.62 trillion yuan. Sectors such as TMT, machinery, and power equipment were significantly affected by overseas policies and led the decline, while sectors like agriculture, forestry, animal husbandry, fishery, food and beverage, and banking had relatively smaller declines. The CSI 1000 index fell 11.39%, and all four futures contracts hit the daily limit down in the afternoon. The CSI 500 dropped 9.55% with four futures contracts hitting the limit down, the SSE 50 fell 5.46%, and the SSE-CSI 300 declined 7.05%. The index opened lower and gradually declined, indicating that the market had previously underestimated the impact of relevant policies. Currently, most heavyweight sectors have fallen back to levels below the beginning of 2025, and it is expected that they will support the index in the next few trading days [1] - Under the US "reciprocal tariff" policy, the weighted tariff rate on Chinese exports to the US may rise to around 66% (12% + 20% + 34%). Additionally, many countries have recently initiated trade negotiations with the US, and it is necessary to monitor whether third countries will use the opportunity of imposing additional tariffs on China to seek tariff reductions from the US. This policy will also have a long-term impact on the A-share market. In the future, China's economic development will focus more on the domestic cycle, making the logic of central fiscal promotion of consumption more reasonable [1] - Expectations of reserve requirement ratio cuts and interest rate cuts have resurfaced today, and the window for the central bank to purchase Treasury bonds may reopen. Strategically, as the implied volatility of stock index options in banks is currently at a historical peak, it is recommended to hold short positions in stock index futures and sell short positions in stock index options of the same expiration month for hedging [1] - On the previous trading day, Treasury bond futures closed higher, with the 30-year main contract rising 1.79%, the 10-year main contract up 0.56%, the 5-year main contract increasing 0.34%, and the 2-year main contract rising 0.13%. The People's Bank of China conducted 93.5 billion yuan of 7-day reverse repurchase operations, with the interest rate remaining stable at 1.5%. According to Qeubee statistics, 245.2 billion yuan of reverse repurchase agreements matured in the open market, resulting in a net withdrawal of 151.7 billion yuan. In the interbank market, the DR001 rate rose 11.99 basis points to 1.7436%, and the DR007 rate increased 4.46 basis points to 1.7427%. After the quarter-end, the liquidity situation has marginally eased, and the center of the DR007 rate has shifted downward. This week, the pressure of maturing open market operations has decreased, and due to a large amount of maturing Treasury bonds, the issuance pressure of government bonds has also declined. Therefore, there is no significant upward pressure on short-term liquidity. Moreover, against the backdrop of rising risk aversion, expectations of reserve requirement ratio cuts and interest rate cuts have increased, and the bond market has continued to strengthen [1][2] 3. Summary by Relevant Catalogs 3.1 Daily Price Changes - Stock index futures: The IH contract closed at 2,441.2, down 8.16% from April 3; the IF contract closed at 3,452.6, down 10.02%; the IC contract closed at 5,236.2, down 10.07%; the IM contract closed at 5,432.6, down 9.93% [3] - Stock indices: The SSE 50 index closed at 2,517.0, down 5.46% from April 3; the SSE-CSI 300 index closed at 3,589.4, down 7.05%; the CSI 500 index closed at 5,287.0, down 9.55%; the CSI 1000 index closed at 5,496.4, down 11.39% [3] - Treasury bond futures: The TS contract closed at 102.68, up 0.14% from April 3; the TF contract closed at 106.48, up 0.33%; the T contract closed at 109.18, up 0.56%; the TL contract closed at 120.80, up 1.73% [3] - Treasury bond yields: The yield on the 2-year Treasury bond was 1.4304%, down 5 basis points from April 3; the 5-year yield was 1.4992%, down 6.11 basis points; the 10-year yield was 1.6330%, down 8.71 basis points; the 30-year yield was 1.8250%, down 8.5 basis points [3] 3.2 Market News - The central bank has increased its gold reserves for five consecutive months. As of the end of March, the gold reserves reached 73.7 million ounces, up from 73.61 million ounces at the end of February [4] - The Ministry of Industry and Information Technology announced the list of selected projects for the 10G optical network pilot. To promote the pilot application of 10G optical networks in an orderly manner, in accordance with the requirements of the "Notice on Carrying out the 10G Optical Network Pilot Project" (Letter No. 3 [2025] of the General Office of the Ministry of Industry and Information Technology), after independent application by various units, local selection and recommendation, and expert evaluation and review, the Ministry of Industry and Information Technology has determined 168 selected projects for the 10G optical network pilot, including the 10G residential area pilot in Miyun Oak Bay by China Telecom Beijing Company and the 10G industrial park pilot in Beizhong Science and Culture Industrial Park [4] 3.3 Chart Analysis - Stock index futures: The report presents the trends of the IH, IF, IM, and IC main contracts, as well as the basis trends of each contract [6][7][8][9][10] - Treasury bond futures: The report shows the trends of Treasury bond futures main contracts, Treasury bond yields, basis, inter - delivery spreads, cross - variety spreads, and funding rates [13][15][16][17] - Exchange rates: The report includes the trends of the central parity rate of the US dollar against the RMB, the euro against the RMB, forward exchange rates, the US dollar index, and exchange rates between major currencies [20][21][22][24][25]