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宏观金融数据日报-20250812
Guo Mao Qi Huo·2025-08-12 07:51

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Market liquidity remains abundant, A-share margin trading funds hit a new high, and stock index reactions to domestic and foreign disturbances are significantly dulled [5]. - Valuation factors are expected to continue to play a role as the ERP of CSI 300 is at a historical high (74.25% quantile) and Huijin supports liquidity [5]. - The current stock index futures discount advantage is still large. Strategically, it is advisable to go long on stock index futures when the opportunity arises [5]. 3. Summary by Related Catalogs Market Data - Interest Rates: DRO01 closed at 1.31 with a 0.28bp change, DR007 at 1.44 with a 1.53bp change, GC001 at 1.50 with a 31.50bp change, etc. [4] - Bond Yields: 1 - year treasury bond yield is 1.36 with a 0.29bp change, 5 - year at 1.56 with a 1.77bp change, 10 - year at 1.71 with a 2.31bp change, and 10 - year US treasury bond at 4.27 with a 4.00bp change [4]. - Stock Indexes: CSI 300 rose 0.43% to 4122.5, SSE 50 rose 0.03% to 2789.9, CSI 500 rose 1.08% to 6391.8, and CSI 1000 rose 1.55% to 6943.9. The trading volume of the Shanghai and Shenzhen stock markets reached 1827 billion yuan, an increase of 116.7 billion yuan from last Friday [4]. - Stock Index Futures: IF volume was 104,750 with a 39.4% change, and its open interest was 264,743 with a 5.7% change; IH volume was 49,078 with a 24.4% change, and its open interest was 96,586 with a 7.6% change; IC volume was 93,503 with a 34.3% change, and its open interest was 223,884 with a 4.3% change; IM volume was 213,349 with a 35.4% change, and its open interest was 359,739 with a 7.6% change [4]. Futures Premium and Discount - IF: The premium and discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 14.41%, 0.00%, 0.01%, and 3.12% respectively [7]. - IH: The premium and discount rates are 4.89%, 0.17%, - 0.11%, and - 0.03% respectively [7]. - IC: The premium and discount rates are 33.63%, 13.61%, 10.86%, and 9.97% respectively [7]. - IM: The premium and discount rates are 24.10%, 12.50%, 11.33%, and 11.06% respectively [7].