TL 阶段性破位 证券研究报告/固收定期报告 2025 年 08 月 17 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 执业证书编号：S0740524070004 Email：youyong@zts.com.cn 报告摘要 请务必阅读正文之后的重要声明部分 1、《国债期货整体减仓》2025-08-11 2、《基金转为主力买盘》2025-08-11 3、《跨月资金价格下行》2025-08-04 本周国债期货均收跌。主力合约（当前为 2509 合约）中，三十年（TL）、十年（T）、 五年（TF）和两年（TS）国债期货收盘价分别较上周-1.54%、-0.32%、-0.17%和-0.04%。 分析师：游勇 各主力合约持仓量继续下降，各合约总持仓量全面下降。临近交割月，主力合约移仓， 远月合约持仓量增加趋势不减。本周 TL、T、TF 和 TS 主力合约持仓量分别较上周回 落 26.1%、28%、23.3%和 19.6%。加总所有月份总持仓看，各合约总持仓量均较上 周减少，其中 T、TL、TF 和 TS 的总持仓分别较上周下降 0.7%、1.3%、5.6%和 ...

Report Information - Report Title: Stock Index Futures Morning Report - July 17, 2025 [1] - Author: Du Shufang from the Investment Consulting Department of Dayue Futures [1] - Contact Information: 0575 - 85226759 [1] 1. Report Industry Investment Rating - Not provided in the given content 2. Report's Core View - IC2507 has a discount of 10.59 points, and IM2507 has a discount of 17.66 points indicating a bearish outlook; in the bond futures market, the previous day saw a divergence in the two markets, with the weighted index adjusting, the Hong Kong stock market rising and then falling back, and the small - cap index strengthening, and the trading volume decreased (neutral); the margin trading balance increased by 4.9 billion yuan to 1.8772 trillion yuan (bullish); IH2507 has a discount of 7.3 points, and IF2507 has a discount of 9.2 points (neutral); the main contracts show IM>IC>IF>IH, and IH, IF, IM, IC, IF are above the 20 - day moving average (bullish); the main positions of IH decreased, IF increased, and IC decreased (bullish); the financial sector led by banks continued to adjust, indicating obvious short - term upward pressure, the index is oscillating at a high level, it is not recommended to chase high intraday, and appropriate reduction of positions is advisable when there is a sharp rise [3] 3. Summary by Related Catalogs 3.1 Futures Market - **Index Futures Data**: For上证50, IH2507 had a contract price of 2,733.60 with a - 0.24% change, and a discount of 7.3 points; for沪深300, IF2507 had a contract price of 3,998.00 with a - 0.29% change, and a discount of 9.2 points; for中证500, IC2507 had a contract price of 6,006.60 with a 0.04% change, and a discount of 10.59 points; for中证1000, IM2507 had a contract price of 6,444.40 with a 0.41% change, and a discount of 17.66 points [4] - **Base and Spread Charts**: There are base and spread charts for上证50 and中证500, showing historical data trends [6][9] 3.2 Spot Market - **Important Index Daily Returns**: The daily returns of important indexes such as上证综指,上证50,沪深300, etc. are presented, with the上证50 having a - 0.23% return, the沪深300 having a - 0.30% return, etc [12] - **Style Index Daily Returns**: The daily returns of style indexes such as 300周期, 300非周期, low - P/E ratio index, etc. are shown, with the 300周期 having a - 0.16% return, the small - cap index having a 0.36% return, etc [15] 3.3 Market Structure - **AH Share Premium**: The historical data of the恒生AH溢价指数 is presented, showing the premium situation of A - shares over H - shares [22] - **P/E Ratio and P/B Ratio**: The historical P/E (TTM) and P/B ratios of上证50,沪深300,中证500, and创业板指 are presented [25][27] 3.4 Market Fundamentals - **Stock Market Fund Inflow**: The historical data of A - share fund net inflow and the沪深300 index are presented, showing the relationship between fund inflow and the index [29] - **Margin Trading Balance**: The historical data of margin trading balance and the沪深300 index are presented [31] - **Northbound Capital Inflow**: The historical data of northbound capital net inflow is presented [33] - **Fund Cost**: The historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates are presented [39] 3.5 Market Sentiment - **Trading Activity**: The historical data of turnover rates (free - floating market value) of上证50,沪深300,中证500, and创业板指 are presented [42][45] - **Mutual Fund Positions**: The historical data of the positions of public - offering hybrid funds is presented [47] 3.6 Other Indicators - **Dividend Yield and Bond Yield**: The historical data of the dividend yields of index futures and the 10 - year Treasury bond yield are presented [51] - **Exchange Rate**: The historical data of the US dollar - RMB exchange rate is presented [53] - **New Account Openings and Index Tracking**: The relationship between new account openings and the上证综指 is tracked [54] - **New Fund Establishment Scale**: The changes in the new establishment scales of stock - type, hybrid, and bond - type funds are presented [56][58][60]

交易咨询业务资格：证监许可【2012】1091号 国债期货早报- 2025年6月4日 大越期货投资咨询部 杜淑芳 从业资格证号：F0230499 投资咨询证号：Z0000990 联系方式：0575-85229759 重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。 我司不会因为关注、收到或 阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。 期债 行情回顾 1、基本面：6月首个交易日，债市窄幅波动，银行间主要利率债收益率多数小幅上行，国债期货收盘多数下跌。银行间市场资金面均衡偏松，主要回购加 权利率均有下行。中美关税战是一个长期的过程，短期的形势变化料不会明显影响债市预期；国内需要继续关注本月流动性情况、存单利率走向，以及政府 债供给等。 2、资金面：6月3日，人民银行以固定利率、数量招标方式开展了4545亿元7天期逆回购操作，操作利率1.40%，投标量4545亿元，中标量4545亿元。 Wind数据显示，当日8300亿元逆回购到期，据此计算，单日净回笼3755亿元。 3、基差：TS主力基差为-0.0741，现券贴水期货，偏空。TF主力基差为-0.0 ...