Group 1 - The latest tariff discussions did not address security issues [1]

金融研究 2025年5月26日 星期一 金融期货早班车 招商期货有限公司 市场表现：5 月 23 日，A 股四大股指有所回调，其中上证指数下跌 0.94%，报收 3348.37 点；深成 指下跌 0.85%，报收 10132.41 点；创业板指下跌 1.18%，报收 2021.5 点；科创 50 指数下跌 1.02%， 报收 980.58 点。市场成交 11,826 亿元，较前日增加 429 亿元。行业板块方面，汽车(+0.42%)，医 药生物(+0.42%)，基础化工(+0.05%)涨幅居前；计算机(-1.97%)，综合(-1.84%)，传媒(-1.79%)跌幅 居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,106/104/4,200。沪深两市，机构、主 力、大户、散户全天资金分别净流入-76、-156、-36、267 亿元，分别变动+29、-8、-60、+39 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 209.68、166.04、73.47 与 47.05 点，基差年化收益率 分别为-21.88%、-18.36%、-11.83%与-10.84%，三年期历 ...

Report Summary 1. Market Performance - **Stock Market**: On May 22, the four major A-share stock indices declined. The Shanghai Composite Index dropped 0.22% to 3380.19 points, the Shenzhen Component Index fell 0.72% to 10219.62 points, the ChiNext Index decreased 0.96% to 2045.57 points, and the Science and Technology Innovation 50 Index declined 0.48% to 990.71 points. Market turnover was 1.1397 trillion yuan, a decrease of 74.7 billion yuan from the previous day. The banking, media, and household appliance sectors led the gains, while the beauty care, social services, and basic chemicals sectors led the losses [2]. - **Stock Index Futures**: The basis of the next-month contracts of IM, IC, IF, and IH were 206.7, 165.28, 72.67, and 48.63 points respectively, with annualized basis yields of -20.78%, -17.67%, -11.32%, and -10.85%. The three-year historical quantiles were 3%, 2%, 2%, and 9% respectively, indicating that the futures-spot price difference remained at a low level [2]. - **Treasury Bond Futures**: Most treasury bond futures declined on May 22. The implied yields of the active contracts of two-year, five-year, ten-year, and thirty-year treasury bond futures were 1.399, 1.539, 1.608, and 1.979 respectively, with changes of +53bps, +23bps, -7bps, and +10bps from the previous day [3]. 2. Trading Strategies - **Stock Index Futures**: The outcome of the tariff talks exceeded expectations, and market risk appetite quickly recovered. In the future, the foreign trade situation and fiscal progress in the second quarter are crucial. It is recommended to go long on IH and IF at low prices. However, micro-cap stocks face concentrated position risks [2]. - **Treasury Bond Futures**: In the short term, the short-end funding situation is neutral. After the tariff issue is resolved, treasury bonds return to pricing based on the economic fundamentals. In the short term, treasury bond prices have reached a high level and are expected to fluctuate. In the long term, the timing and intensity of fiscal and monetary policies will affect the price trend of treasury bond futures [3]. 3. Economic Data - High-frequency data shows that the prosperity of imports and exports and social activities declined this week [11]. 4. Tables and Figures - **Table 1**: Provides detailed performance data of stock index futures and spot markets, including codes, names, price changes, trading volumes, open interests, and basis information [6]. - **Table 2**: Presents performance data of treasury bond futures and spot markets, including codes, names, price changes, trading volumes, open interests, net basis, and implied yields of CTD bonds [7]. - **Table 3**: Shows the changes in short-term funding rates, including SHIBOR overnight, DR001, SHIBOR one-week, and DR007 [11]. - **Figure 1**: Displays the term structure of treasury bond spot prices [9]. - **Figure 2**: Tracks domestic meso-level data, including manufacturing, real estate, social activities, infrastructure, and imports and exports [12].

Report Overview - Report Date: May 19, 2025 [1] - Report Issuer: China Merchants Futures Co., Ltd. - Report Type: Financial Futures Morning Report Market Performance Stock Index Futures - On May 16, the four major A-share stock indexes pulled back. The Shanghai Composite Index fell 0.4% to close at 3367.46 points, the Shenzhen Component Index fell 0.07% to close at 10179.6 points, the ChiNext Index fell 0.19% to close at 2039.45 points, and the STAR 50 Index fell 0.57% to close at 995.24 points. Market turnover was 1.1241 trillion yuan, a decrease of 66.3 billion yuan from the previous day [2]. - In terms of industry sectors, automobiles (+1.91%), machinery and equipment (+0.83%), and composites (+0.77%) led the gains; beauty care (-1.31%), non-bank finance (-1.21%), and food and beverage (-1.06%) led the losses [2]. - From the perspective of market strength, IM > IC > IF > IH. The number of rising/flat/falling stocks was 3,000/225/2,186 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 6.4 billion, -4 billion, -6.6 billion, and 4.2 billion yuan respectively, with changes of +30.7 billion, +24.8 billion, -13.5 billion, and -42 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 134.32, 114.05, 43.09, and 21.46 points respectively. The annualized basis yields were -22.13%, -19.95%, -11.08%, and -7.9% respectively, and the three - year historical quantiles were 2%, 1%, 3%, and 13% respectively. The futures - spot price difference remained at a relatively low level [2]. Treasury Bond Futures - On May 16, treasury bond futures fell across the board. The 2 - year treasury bond futures fell 0.02% to close at 102.38 points, the 5 - year treasury bond futures fell 0.06% to close at 105.72 points, the 10 - year treasury bond futures fell 0.05% to close at 108.48 points, and the 30 - year treasury bond futures fell 0.1% to close at 118.91 points [3] Trading Strategies Stock Index Futures - The results of the tariff talks exceeded expectations, and the market risk appetite quickly recovered. In the future, the foreign trade situation and fiscal progress in the second quarter are crucial. Pay attention to the recovery of the foreign trade industry and the performance of the domestic demand sector [3]. - From four perspectives, the market is expected to stabilize. First, the RMB exchange rate has held the key level, and there is no need to worry about the drag of the exchange rate on the broader market index for the time being. Second, there are signs of capital inflows into popular industry indexes (such as embodied intelligence, AI, semiconductors, etc.), which may further promote the stabilization and recovery of small - cap indexes. Third, judging from the market performance after May Day in previous years, market trading volume will increase within 1 - 2 weeks, which may help the index start a new round of rise. Fourth, the valuation of the broader market index is at a relatively low level, while the fundamentals of the economic improvement remain stable. It is recommended to buy stock index futures on dips. In the short term, IC and IM have more elasticity, and in the medium and long term, IH and IF have more attractive valuations [3] Treasury Bond Futures - In the short term, the short - end liquidity is neutral. On the macro side, the results of the Sino - US tariff talks have eased more than expected. After the tariff issue is resolved, treasury bonds return to pricing based on economic fundamentals. In the short term, the treasury bond price has reached a high level and is expected to fluctuate. In the long term, the timing and intensity of fiscal/monetary policies will affect the trend of treasury bond futures prices. If the domestic economy improves further with policy support, the price of long - term treasury bonds may gradually cool down; otherwise, the long - term price may still remain in a high - level shock situation [4] Economic Data - High - frequency data shows that the prosperity of imports and exports and social activities has declined this week [7] Index Futures and Spot Market Performance - The report provides detailed performance data of various stock index futures contracts (IC, IF, IH, IM) and their corresponding spot indexes, including price, change, trading volume, turnover, open interest, daily increase in open interest, basis, and annualized basis yield [12] Treasury Bond Futures and Spot Market Performance - The report provides detailed performance data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including price, change, trading volume, turnover, open interest, daily increase in open interest, CTD bond, yield change, net basis, quantile, and IRR. It also shows the short - term capital interest rate market changes [14][17]

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on May 16, 2025, covering the market performance and trading strategies of stock index futures and treasury bond futures on May 15, 2025 [1][2][4] Market Performance Stock Index Futures - On May 15, the four major A-share stock indexes declined. The Shanghai Composite Index fell 0.68% to 3380.82 points, the Shenzhen Component Index dropped 1.62% to 10186.45 points, the ChiNext Index decreased 1.92% to 2043.25 points, and the Sci - Tech Innovation 50 Index declined 1.26% to 1000.97 points. Market turnover was 1.1904 trillion yuan, a decrease of 159.5 billion yuan from the previous day [2] - In terms of industry sectors, beauty care (+3.68%), coal (+0.42%), and public utilities (+0.12%) led the gains, while computer (-2.97%), communication (-2.45%), and electronics (-2.12%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1406/149/3856 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of - 24.4 billion, - 28.8 billion, 6.8 billion, and 46.3 billion yuan respectively, with changes of - 25.2 billion, - 21.1 billion, + 13.5 billion, and + 32.8 billion yuan respectively [2] Treasury Bond Futures - On May 15, treasury bond futures showed mixed performance. The 2 - year treasury bond futures remained unchanged at 102.29 points, the 5 - year treasury bond futures fell 0.03% to 105.79 points, the 10 - year treasury bond futures rose 0.02% to 108.56 points, and the 30 - year treasury bond futures rose 0.24% to 119.11 points [4] - In the cash bond market, the CTD bonds of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures had yield changes of + 2.5bps, + 2.25bps, + 1bps, and - 0.45bps respectively, with corresponding net basis of - 0.018, - 0.032, - 0.086, and - 0.082, and IRR of 1.72%, 1.87%, 2.43%, and 2.16% respectively [4] - In terms of the money market, the central bank injected 64.5 billion yuan and withdrew 158.6 billion yuan, resulting in a net withdrawal of 94.1 billion yuan [4] Basis and Trading Strategies Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 108.04, 92.3, 34.4, and 17.3 points respectively, with annualized basis yields of - 17.15%, - 15.53%, - 8.47%, and - 6.07% respectively, and three - year historical quantiles of 7%, 4%, 9%, and 16% respectively. The futures - spot price difference has been repaired but remains at a low level [3] - The outcome of the tariff talks exceeded expectations, and market risk appetite quickly recovered. In the future, the foreign trade situation in the second quarter and fiscal progress are crucial. It is recommended to pay attention to the recovery of the foreign trade industry and the performance of domestic demand sectors [3] - The market is expected to stabilize from four perspectives: the RMB exchange rate has held the key level; there are signs of capital inflows into popular industry indexes; historical data shows that market trading volume usually increases 1 - 2 weeks after May Day; the valuation of the broader market index is at a low level while the economic fundamentals remain strong. It is suggested to buy stock index futures on dips. In the short term, IC and IM have greater elasticity, while in the medium - to - long term, IH and IF have more attractive valuations [3] Treasury Bond Futures - In the short term, the money market is neutral. After the tariff issue is resolved, treasury bonds return to pricing based on economic fundamentals. In the short term, treasury bond prices have reached a high level and are expected to fluctuate. In the long term, the timing and intensity of fiscal/monetary policies will affect the price trend of treasury bond futures. If the domestic economy improves further with policy support, long - term treasury bond prices may gradually cool down; otherwise, long - term prices may remain in a high - level volatile situation [5] Economic Data - High - frequency data shows that the recent infrastructure boom has slightly increased, while the import and export boom has weakened [7] Index Futures and Spot Market Performance - Tables provide detailed performance data of various stock index futures contracts (such as IC2505, IF2505, etc.) and corresponding spot indexes (such as CSI 500, SSE 50, etc.), including price, change, trading volume, open interest, basis, and annualized basis yield [11] Treasury Bond Futures and Spot Market Performance - Tables present the performance data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, including price, change, trading volume, open interest, CTD bond information, yield change, net basis, quantiles, and IRR [13] - A table shows the changes in short - term money market interest rates, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007 [16]