基差方向周度预测-20250919

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core Viewpoints of the Report - This week, the market revolved around the China - US Madrid talks and the Fed rate cut. After the Madrid talks on the 15th, the two heads of state reached a basic framework consensus on properly resolving the TikTok issue and promoting relevant economic and trade cooperation. The A - share market sentiment was relatively restrained, and the market interpretation was optimistic. After the Fed cut interest rates by 25bp on Thursday, there was a certain demand for profit - taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness of residents, and the M2 - M1 gap hit a four - year low, with increased capital activation. The market trading volume slightly shrank, with daily trading remaining at around 2.5 trillion. Leveraged funds continued to flow in at a scale of tens of billions per day, which could easily trigger a reverse market adjustment. The sector rotation accelerated, but the index gains at the industry level were limited. The Shanghai Composite Index faced resistance at the 3900 - point level, with a 1.3% weekly decline. Among the four broad - based indexes, the small - and medium - cap indexes performed relatively better, while the Shanghai 50 fell nearly 2%. In terms of basis, the premium of IH was basically the same as last week, and the annualized discounts of IF, IC, and IM widened to around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contract expired, the near - end of the term structure of the remaining contracts was low, and the hedging cost of the far - month contracts was low [2] - The model predicts that the basis of IH, IF, IC, and IM will move in the directions of weakening, weakening, strengthening, and strengthening respectively next week [4] Group 3: Summary by Relevant Catalogs This Week's Market Review - The market was centered around the China - US Madrid talks and the Fed rate cut. After the Madrid talks, the two heads of state reached a consensus on TikTok and economic and trade cooperation. The A - share market sentiment was restrained and the interpretation was optimistic. After the Fed rate cut, there was profit - taking demand. China's August financial data showed marginal improvement in corporate financing, weak consumer willingness, and increased capital activation. The market trading volume shrank slightly, with daily trading around 2.5 trillion. Leveraged funds flowed in at a large scale, which could trigger a reverse adjustment. The sector rotation accelerated, but industry - level index gains were limited. The Shanghai Composite Index faced resistance at 3900 points, with a 1.3% weekly decline. Small - and medium - cap indexes performed better, and the Shanghai 50 fell nearly 2% [2] - In terms of basis, the premium of IH was unchanged from last week, and the annualized discounts of IF, IC, and IM widened to around 2%, 10%, and 13% respectively, reaching the extremely low quantile range in the past three years. After the September contract expired, the near - end of the term structure of other contracts was low, and the far - month hedging cost was low [2] Forecast for Next Week - The model predicts that the basis of IH, IF, IC, and IM will weaken, weaken, strengthen, and strengthen respectively next week [4]