基层后回周度预测 2025/8122 本周预测结论 IC I H IF I M 下周预测万回 注: 代表预测基差下周走强, 代表预测基差下周走弱。 本周回顾 美联储7月会议纪要公布,显示内部分歧进一步加剧,在通胀上行和就业下行的风险之间面临权 衡,也并未对9月降息作出任何暗示,鲍威尔将在22日晚杰克逊霍尔会议发表讲话,而美国8月制造业 PMI意外创三年新高,可能导致市场普遍押注的9月降息出现变数。近期国内政策力度边际收敛,指数的 主要推动力来自场内普遍的"93共识"以及机构抱团行为,除此之外地缘方面表现平静,美俄首脑会晤 并无实质性协议达成,主要的犹动则是港股和美股的持续回调,但在内地杠杆资金的支持下A股并未受 其拖累. 融资余额连续以924以来单日新高的速度大幅净增,本周已净买入超过800亿。同时全A成交显 著放量,单日成交2.5万亿左右,低开高走、回调买入的力量突出、周五芯片链集中爆发,科创50成为 本周最强指数，涨幅超过13%。各宽基周中均出现一定回调，但下方承接力量较强，周线涨幅依然可 观，8月录得周线三连阳,上证指数升破3800点。本周指数上涨带动各品种基差进一步上行, IH、IF上 行幅度较小, ...

Group 1: Report Core View - This week, domestic financial data declined due to seasonal factors, but the market didn't focus on it. The personal consumer loan interest - subsidy policy had limited impact. The main market drivers were news - related, like the shutdown of CATL's important lithium mine boosting the ChiNext and Sino - US chip competition strengthening domestic substitution expectations and driving up the STAR Market. The Shanghai - Shenzhen Composite Index and STAR Market Index led the gains among core indices [2]. - Overseas, the Stockholm economic and trade talks between China and the US postponed reciprocal tariffs and counter - measures for 90 days, having a small impact on the market. The US July CPI was lower than expected, while the PPI exceeded expectations, causing repeated expectations of a September interest rate cut in the US, large fluctuations in the US dollar index, and increased disturbances to global assets [2]. - Leveraged funds continued to flow in this week, with the margin trading balance exceeding 2 trillion on Monday and then having a net inflow of over 40 billion. The market trading volume increased rapidly, with the total A - share trading volume exceeding 2 trillion for three consecutive days. The market divergence widened, and the excess returns of heavy - weight stocks relative to the index were significant. The performance of individual stocks was far inferior to the prosperity shown by the index. The Shanghai Composite Index repeatedly touched the key level of 3,700 points and then fell back, losing the 3,700 - point level again at the end - of - day call auction on Friday [2]. - Large - cap sectors were still dragged down by sectors such as banks and coal. The Shanghai 50 and CSI 300 had small gains, while small - and medium - cap stocks performed better. The CSI 500 and CSI 1000 rose nearly 4%, and micro - cap stocks fell continuously, significantly underperforming small - and medium - cap stocks [2]. - In terms of basis, the annualized basis of each variety strengthened significantly. IF returned to a premium state, and the annualized discounts of IC and IM converged from 10% to around 7%, moving out of the historical bottom range. As the basis strengthened, the near - month contracts in the term structure rose significantly. After the August contracts expired, the September contracts had obvious hedging cost advantages. The September contracts of IH and IF had large premiums, providing large profit margins for cash - and - carry arbitrage. Meanwhile, the inter - term spread increased significantly this week, and the inter - term reverse arbitrage had realized considerable returns, with the strategy's cost - effectiveness further declining [2]. Group 2: Weekly Forecast Conclusion - The model's judgment on the movement directions of the bases of IH, IF, IC, and IM next week is: strengthening, weakening, strengthening, and weakening respectively [3] Group 3: Recent Forecast Conclusion - There are historical data on the real basis changes and predicted basis changes of IH, IF, IC, and IM, but no specific conclusions are clearly summarized from the data presented [4]

Group 1: Core Views - Recent leveraged funds continue to flow in, with the total margin trading balance exceeding 2 trillion this week. The market sentiment remains optimistic, but the increase in the ratio of margin trading to market capitalization is limited. The 2 trillion mark has stronger signaling meaning than practical meaning and may trigger reverse trading, weakening risk appetite [2]. - Seven departments including the central bank jointly issued the "Guiding Opinions on Financial Support for New - type Industrialization", creating credit demand for banks through monetary structured tools, supporting the manufacturing industry, and stimulating a rapid rebound in the banking sector [2]. - US employment data released last week plunged, increasing market bets on interest rate cuts. The US dollar index has continued to decline to around 98, and foreign capital has replenished A - share positions, supporting the sentiment in the mainland market after the A - share index correction [2]. - This week's total A - share trading volume slightly decreased compared to last week, with daily trading around 1.6 trillion. Most broad - based indices recovered last week's losses, with small - and medium - cap stocks remaining strong. The CSI 1000 rose more than 2%, and together with the CSI 2000 and micro - cap stock indices, reached new highs for the year. Large - cap broad - based indices rose slightly more than 1% this week [2]. - The downward support for basis has weakened, and the intraday structured divergence in trends among varieties has increased. The risk appetite shown in the futures market has declined, and there is a need to guard against the risk of a slowdown in the index's upward rate or even a continuous adjustment [2]. - As of Friday, the annualized basis of each variety was basically the same as last week, with the annualized discounts of IC and IM still around 10% and 11% respectively [2]. Group 2: Weekly Forecast - The model's judgment on the movement direction of the basis of IH, IF, IC, and IM next week is: strengthening, weakening, strengthening, and weakening respectively [4].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - This week, both internal and external environments changed. Internally, the "anti - involution" theme cooled, and the Politburo meeting emphasized policy implementation. Upstream resources retreated, with coal and non - ferrous metals leading the decline. Externally, the third round of China - US trade talks extended tariffs, the US dollar index rose, and the domestic risk appetite declined slightly. The Fed remained unchanged but had increasing differences on interest rate cuts. Financing funds flowed in rapidly but sentiment weakened later. Indexes retreated, with large - cap stocks falling more. IF, IC, and IM basis widened slightly, while IH was flat. The term structure adjusted in the opposite direction during the callback [2] 3. Summary by Related Content This Week's Review - Internal changes: The "anti - involution" theme cooled, the Politburo meeting emphasized policy implementation, and upstream resources retreated [2] - External changes: The third round of China - US trade talks extended tariffs, the US dollar index rose, and the domestic risk appetite declined slightly. The Fed had increasing differences on interest rate cuts [2] - Market performance: Financing funds flowed in rapidly but sentiment weakened later. Indexes retreated, with large - cap stocks falling more. IF, IC, and IM basis widened slightly, while IH was flat. The term structure adjusted in the opposite direction during the callback [2] This Week's Prediction Conclusion - The model predicts that next week, the basis of IH and IM will weaken, while the basis of IF and IC will strengthen [3] Recent Prediction Conclusion - There are graphical data on the real and predicted basis changes of IH, IF, IC, and IM, but specific conclusions are not explicitly summarized from the graphical content [4][5]

Report's Industry Investment Rating - No information provided Core View of the Report - This week, there were many positive news and hotspots, and the market responded actively摆脱过去借利多高开低走的惯性, with a stronger risk preference. A-shares, except for the banking sector, all recorded certain gains. Overseas, the progress of tariff negotiations between the US and its trading partners accelerated, reducing global uncertainties and further boosting market risk appetite. The A-share trading volume increased, and margin trading funds continued to flow in. The mid-cap index outperformed this week, and all broad-based indexes had achieved five consecutive weekly gains. From a futures perspective, the marginal long and short forces were basically balanced, and the factors suppressing risk preference were few. The stock index futures showed a characteristic of rising with the market but not falling, indicating an optimistic sentiment in the futures market. The basis of IH and IF weakened compared to last week, while the discounts of IC and IM converged compared to last week, still at historically low levels [2] Summary by Relevant Catalogs This Week's Review - There were many positive news and hotspots this week, and the market showed a buying atmosphere at low levels. The "anti-involution" market spread, and A-shares, except for the banking sector, all rose. Overseas, the US tariff policies with Japan, Indonesia, and the Philippines were implemented, and the third round of China-US trade negotiations was to be held next week. The A-share trading volume exceeded 1.9 trillion for the first time in five months, and margin trading funds continued to flow in. The mid-cap index outperformed, and all broad-based indexes had five consecutive weekly gains. In the futures market, the marginal long and short forces were balanced, and the stock index futures showed an optimistic sentiment. The basis of IH and IF weakened, and the discounts of IC and IM converged [2] This Week's Prediction Conclusion - The model's judgment on the movement direction of the basis of IH, IF, IC, and IM next week is: strengthening, weakening, weakening, strengthening respectively [3] Recent Prediction Conclusion - The document provides the comparison data of the real basis change and the predicted basis change of IH, IF, IC, and IM, but no specific conclusion is summarized [4][5]

Report Summary 1) Report Industry Investment Rating No information provided 2) Core View of the Report In June, domestic financial data showed marginal improvement in real - sector financing demand under policy stimulus. The year - on - year decrease in medium - and long - term corporate loans ended, and there was a slight increase in short - term and medium - and long - term household loans. National subsidies and policy - based financial instruments may drive continuous credit expansion. The State Council executive meeting this week mentioned policies to strengthen the domestic cycle, with boosting domestic demand and the new energy industry as current policy priorities. The US Beige Book indicated a slight increase in economic activity but high uncertainty, along with a small decline in manufacturing activity and rising cost pressure. The US CPI rose as expected in June, and the market is most expecting a rate cut in September. Without negative news, market sentiment is positive, with daily trading volume of the entire A - share market around 1.5 trillion yuan and a net inflow of margin trading balance of about 30 billion yuan this week. The broad - based indices of Shanghai and Shenzhen recovered after a decline, and all four major broad - based indices had four consecutive weekly gains. This week, except for the relatively small increase of the Shanghai Composite 50 Index, the mid - to small - cap and micro - cap indices had similar increases, with the 300 - 2000 indices rising 1% - 2%. In terms of basis, the index increase slowed down this week, and the basis fluctuated little, remaining basically the same as last week. IF returned to a slight discount, and the annualized discounts of IC and IM were around 8% and 11% respectively. Except for the expired July contracts, the term structure of other contracts was basically the same as last week, and a diversified term selection strategy could still be maintained [2] 3) Summary by Related Catalogs This Week's Review - Policy stimulus led to marginal improvement in real - sector financing demand in June, with changes in corporate and household loans. National subsidies and policy - based financial instruments may drive credit expansion. The State Council executive meeting focused on policies to strengthen the domestic cycle [2] - The US Beige Book showed a slight increase in economic activity, high uncertainty, a decline in manufacturing, and rising cost pressure. The US CPI rose as expected in June, and the market anticipates a September rate cut [2] - Market sentiment was positive, with daily trading volume around 1.5 trillion yuan and a net inflow of margin trading balance of about 30 billion yuan. The broad - based indices recovered after a decline, and all four major broad - based indices had four consecutive weekly gains. Mid - to small - cap and micro - cap indices had similar increases, with the 300 - 2000 indices rising 1% - 2% [2] - In terms of basis, the index increase slowed, and the basis fluctuated little, remaining basically the same as last week. IF returned to a slight discount, and the annualized discounts of IC and IM were around 8% and 11% respectively. The term structure of non - expired contracts was basically the same as last week [2] Next Week's Forecast - The model predicts that the basis of IH, IF, IC, and IM will strengthen next week [4]

Report Summary 1. Core View - This week, the on - site risk appetite was high but constrained by trade negotiations. The US sent tariff letters to multiple countries and postponed the tariff negotiation deadline to August 1st. There is still uncertainty in the global market for the remaining trading days in July. However, China and the US are still promoting negotiations based on the Geneva Agreement and London Conference, with relatively small impact on domestic assets [2]. - After the quantitative new rules were implemented on Monday, trading demand was briefly suppressed and then gradually released. The trading volume in the second half of the week increased rapidly, exceeding 1.7 trillion at the highest. The average daily trading volume of the entire A - share market this week was about 1.5 trillion, slightly higher than last week. The margin balance continued to rise, with a cumulative net inflow of over 20 billion this week, rising for four consecutive weeks since late June [2]. - Most industry sectors closed up this week, but the banking sector tumbled on Friday. The Shanghai Composite Index fluctuated around 3500 points and stood above 3500 points for two consecutive days. The Shanghai - Shenzhen broad - based indexes recorded three - consecutive - week losses, but the style reversed again. Small - and medium - cap stocks rose more this week, with the CSI 1000 rising over 2%, while large - cap stocks lagged with a gain of less than 1% [2]. - In terms of basis, as the index soared, the basis of each variety increased synchronously. The basis of each variety strengthened significantly compared with last week. IF returned to a premium state, and the annualized discounts of IC and IM converged to about 8% and 10% respectively. The term structure of each variety shifted up more in the near - end. With the July contracts approaching expiration, positions can be rolled over in advance. Except for the July contracts, the costs of other contracts are similar, and the term selection can be diversified between the near and far ends [2]. 2. Forecast for Next Week - The model predicts that the basis of IH, IF, and IC will weaken next week, while the basis of IM will strengthen [4]. 3. Market Performance This Week - **Trading Volume**: The average daily trading volume of the entire A - share market was about 1.5 trillion, slightly higher than last week [2]. - **Margin Balance**: The margin balance continued to rise, with a cumulative net inflow of over 20 billion this week, rising for four consecutive weeks since late June [2]. - **Index Performance**: The Shanghai Composite Index fluctuated around 3500 points and stood above 3500 points for two consecutive days. The Shanghai - Shenzhen broad - based indexes recorded three - consecutive - week losses, but small - and medium - cap stocks outperformed large - cap stocks [2]. - **Basis Performance**: The basis of each variety strengthened significantly compared with last week. IF returned to a premium state, and the annualized discounts of IC and IM converged to about 8% and 10% respectively. The term structure of each variety shifted up more in the near - end [2].

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - This week, influenced by multiple factors such as policy issuance, event announcements, and international situation changes, the market saw increased trading volume and rising indices. The base spreads of various varieties also showed an upward trend, and the term reversal strategy realized partial profits. The model predicts the movement directions of the base spreads of IH, IF, IC, and IM next week [2][3] 3. Summary by Related Contents Market News and Impact - Six ministries jointly issued the "Guiding Opinions on Financial Support for Boosting and Expanding Consumption", covering five aspects of specific measures. The National New Office announced the September Victory in the War of Resistance against Japanese Aggression commemorative activities and parade plan, stimulating market bullish sentiment. Guotai Junan International was approved to provide virtual asset trading services such as cryptocurrencies, driving up the stock prices of Hong Kong and A-share brokerage and financial technology sectors, but the hype quickly cooled down [2] - The Middle - East situation eased with a cease - fire between Israel and Iran, and the expectation of a US interest rate cut increased, promoting the rise of global stock markets and risk assets [2] Market Performance - The daily average trading volume was about 1.5 trillion, and the margin trading balance increased by over 20 billion. The broad - based indices showed three consecutive positive lines followed by continuous adjustments. The Shanghai Composite Index rose nearly 2% this week. The gains of the Shanghai 50 and CSI 300 narrowed to less than 2% this week, while the CSI 500 and CSI 1000 rose about 4% [2] Base Spread Situation - As the index rose this week, the base spreads of various varieties increased, and the historical quantiles rose significantly. The annualized discounts of IC and IM for the current quarter narrowed to around 7% and 10% respectively, with the term structure still higher in the near - month contracts. The far - near inter - term spreads also increased significantly, and the term reversal strategy realized partial profits [2] Forecast for Next Week - The model predicts that the base spreads of IH, IF, and IM will strengthen next week, while the base spread of IC will weaken [3]

Report Industry Investment Rating - No information provided Core Viewpoints of the Report - The joint issuance of the "Opinions on Deeply Promoting the Comprehensive Reform Pilot in Shenzhen to Deepen Reform and Innovation and Expand Opening - up" by the General Offices of the CPC Central Committee and the State Council may prompt Hong Kong - listed tech giants to list in A - shares, trigger the rapid inclusion rules of several A - share broad - based indices, and promote index - level market trends while enhancing the "new economy" and "new technology" content of the indices for long - term upward expectations [2] - The China - US trade representatives reached an agreement framework in London, canceling some additional tariffs and reciprocal counter - tariffs, but the impact on the index level was not significant [2] - The US May PPI had a mild increase, core inflation was better than expected, and the labor market cooled, leading the market to resume the expectation of two Fed rate cuts this year [2] - Recent south - bound capital flow has boosted the Hong Kong stock market, while the A - share market has been mainly volatile, with a slight increase in daily average trading volume to about 1.3 trillion yuan per day and a slow return of margin trading, with the margin balance rising above 1.8 trillion yuan this week [2] - The Shanghai Composite Index failed to break through 3400 points and pulled back on Friday, resulting in a negative weekly line. All broad - based indices declined slightly, with the decline ranging from 0.2% to 0.8% for the four scale indices from SSE 50 to CSI 1000, and CSI 1000 having a larger decline [2] - Affected by short - term risk - aversion sentiment and news, the non - ferrous and energy sectors rose significantly [2] - This week, the basis of each variety remained stable. IH switched from premium to a slight discount, and the annualized discounts of IC and IM remained around 10% and 15% respectively, with little change in the term structure. The annualized cost of near - month contracts was low, and near - end hedging could be maintained [2] Summary by Relevant Catalogs Weekly Forecast Conclusion - The model predicts that the basis of IH, IF, IC, and IM will strengthen next week [4] Weekly Review - The A - share market was mainly volatile this week, with daily average trading volume slightly increasing to about 1.3 trillion yuan per day, and the margin balance rising above 1.8 trillion yuan [2] - The Shanghai Composite Index failed to break through 3400 points and pulled back on Friday, and all broad - based indices declined slightly, with the decline of the four scale indices from SSE 50 to CSI 1000 ranging from 0.2% to 0.8%, and CSI 1000 having a larger decline [2] - The non - ferrous and energy sectors rose significantly due to short - term risk - aversion sentiment and news [2] - This week, the basis of each variety remained stable. IH switched from premium to a slight discount, and the annualized discounts of IC and IM remained around 10% and 15% respectively, with little change in the term structure [2]

Report Summary 1) Report Industry Investment Rating - No information provided 2) Core Viewpoints - The reduction of the 5 - month LPR by 10bp and domestic banks' cuts in deposit rates may lead to a shift of deposits, potentially lowering yields of other currency and fixed - income products and increasing the activity of equity investment [2] - The IPO rhythm of technology companies is expected to significantly increase, and the increased supply of new stocks may siphon off funds from small - cap stocks, constraining their gains. Meanwhile, long - term investment reform pilots and the arrival of insurance funds' off - balance - sheet private equity funds may support the performance of large - cap blue - chip stocks, with the market style likely to continue favoring large - cap over small - cap stocks [2] - The trading volume of the entire A - share market has not improved, and the index is still in a volatile trend. The basis of IH and IF remains flat compared to last week, while the discounts of IC and IM have further widened due to the stock game in small - cap stocks, but the discounts are expected to converge [2] - The model predicts that the basis of IH, IF, and IM will strengthen next week, while the basis of IC will weaken [3] 3) Summary by Related Content Market Policy Impact - The 5 - month LPR was cut by 10bp, and domestic banks reduced deposit rates, with the one - year fixed - deposit rate falling below 1%. This may cause a shift of deposits, affecting the yields of other products and increasing equity investment activity [2] - The press conference mentioned deepening the IPO system reform for innovation and entrepreneurship and supporting the listing of technology companies, which will increase the supply of new stocks and may impact small - cap stocks. Long - term investment reform pilots and the arrival of insurance funds' off - balance - sheet private equity funds may support large - cap blue - chip stocks [2] Market Performance - The daily trading volume of the entire A - share market was slightly over one trillion, and the index was in a volatile trend. On Friday, there were large sell - offs in index ETFs, causing a rapid decline in broad - based indices. The weekly lines of the Shanghai 50 and CSI 300 turned down, and the CSI 500 and 1000 fell by over 1% [2] Basis Situation - The basis of IH and IF remained at the same level as last week, while the discounts of IC and IM widened due to the small - cap stock game. The widening of single - day discounts for a long time may be due to speculative hedging. With the increasing congestion in small - cap stocks, the discounts are expected to converge [2] Basis Forecast - The model predicts that the basis of IH, IF, and IM will strengthen next week, while the basis of IC will weaken [3]