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金融期货早班车-20250826
Zhao Shang Qi Huo·2025-08-26 08:16

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - Long - term: Maintain a bullish view on the economy, recommend long - term allocation of forward contracts of various stock index varieties; suggest medium - and long - term hedging for T and TL contracts when prices are high due to rising risk appetite and economic recovery expectations [2][3]. - Short - term: The market shows signs of cooling [2]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - Market Movement: On August 25, the four major A - share stock indices all rose, with the Shanghai Composite Index up 1.51% to 3883.56 points, the Shenzhen Component Index up 2.26% to 12441.07 points, the ChiNext Index up 3% to 2762.99 points, and the STAR 50 Index up 3.2% to 1287.73 points. Market turnover was 31,769 billion yuan, an increase of 5,981 billion yuan from the previous day. In terms of industry sectors, communication (+4.85%), non - ferrous metals (+4.63%), and real estate (+3.32%) led the gains; beauty care (+0.01%), textile and apparel (+0.17%), and petroleum and petrochemicals (+0.39%) led the losses. The strength order was IH>IF>IC>IM, with the number of rising/flat/falling stocks being 3,349/178/1,896 respectively. Institutional, main, large - scale, and retail investors had net inflows of - 139, - 304, 53, and 390 billion yuan respectively, with changes of - 280, - 135, +252, and +163 billion yuan respectively [1]. - Basis and Annualized Yield: The basis of the next - month contracts of IM, IC, IF, and IH were 112.73, 75.1, - 2.38, and - 3.15 points respectively, and the annualized basis yields were - 11.08%, - 7.94%, 0.39%, and 0.77% respectively, with three - year historical quantiles of 30%, 24%, 63%, and 53% respectively [1]. (2) Treasury Bond Futures and Spot Market Performance - Yield Movement: On August 25, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.372, down 4.78 bps from the previous day; the five - year bond was 1.62, down 3.47 bps; the ten - year bond was 1.755, down 2.83 bps; and the thirty - year bond was 2.102, down 4 bps [2]. - CTD Bond Information: For the 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.015, and an IRR of 1.57%; the five - year was 250003.IB, with a yield change of - 1.2 bps, a net basis of 0.023, and an IRR of 1.45%; the ten - year was 220017.IB, with a yield change of - 3 bps, a net basis of 0.099, and an IRR of 1.25%; the thirty - year was 210005.IB, with a yield change of - 3.5 bps, a net basis of 0.286, and an IRR of 0.84% [2]. (3) Economic Data - High - frequency Data: High - frequency data shows that the recent social activity sentiment is weak [11]. - Funding: In open - market operations, the central bank injected 2,884 billion yuan and withdrew 2,665 billion yuan, resulting in a net injection of 219 billion yuan [3].