回顾:央行昨日开展了1955亿元7天期逆回购操作,当日655亿元逆回购到 期,据此计算,单日净投放1300亿元。 热评:本周央行公开市场将有4958亿元逆回购到期,其中周一至周五分别 到期783亿元、1175亿元、655亿元、928亿元、1417亿元。央行发布2025年 第三季度中国货币政策执行报告。报告中表示,要好适度宽松的货币政策 。综合运用多种工具,保持社会融资条件相对宽松,同时继续完善货币政 策框架,强化货币政策的执行和传导;把促进物价合理回升作为把握货币 政策的重要考量,推动物价保持在合理水平。 | 品种 | 收盘价 | 较前一日变动 | 品种 | 收盘价 | 较前一日变 | | --- | --- | --- | --- | --- | --- | | | | (%) | | | 动(%) | | 沪深300 | 4646 | -0.13 | IF当月 | 4645 | 0.1 | | 上证50 | 3044 | 0.32 | IH当月 | 3047 | 0.4 | | 中证500 | 7243 | -0.66 | IC当月 | 7224 | -0.3 | | 中证1000 | 7486 | -0 ...

Group 1: Monetary Policy and Market Liquidity - The central bank's OMO net injection was 1.2008 trillion yuan, and MLF net injection was 200 billion yuan this week[7] - DR001 and DR007 both reached their lowest averages of the year in October, with DR001 at 1.32% and DR007 at 1.46%[25] - The interest rate spread between DR001 and OMO hit a new low since March 2024, while the spread between DR007 and OMO reached a new low since August 2023[22] Group 2: Market Trends and Institutional Behavior - The average daily transaction volume of pledged repos decreased by 1.12 trillion yuan to 6.7 trillion yuan compared to last week[16] - Non-bank rigid financing increased significantly, with wealth management and money market funds seeing substantial rises[16] - The funding gap index adjusted for seasonality rose early in the week but fell midweek, ending at -1843, which is higher than last week's -4056 but still low for the month-end[16] Group 3: Future Outlook and Risks - The central bank's governor indicated that the current funding rates are within a framework of loose monetary policy, with DR001 having a theoretical lower limit of 1.2% and a remaining space of 10 basis points[26] - The resumption of government bond purchases suggests that monetary easing is still necessary to support the economy, indicating that the interest rate cut cycle is not over[30] - Risks include potential monetary policy actions not meeting expectations and unexpected fluctuations in the funding environment[16]

Group 1: Market Interest Rates and Central Bank Operations - DR001 closed at 1.47 with a 1.62bp increase, DR007 at 1.56 with a 2.34bp decrease, GC001 at 1.67 with a 26.00bp increase, and GC007 at 1.64 with a 0.50bp increase. SHBOR 3M was at 1.60 with a 0.40bp increase, and LPR 5 - year remained at 3.50 with no change. 1 - year, 5 - year, 10 - year Chinese treasury bonds closed at 1.43 (-0.50bp), 1.54 (-4.75bp), and 1.81 (1.75bp) respectively, while 10 - year US treasury bonds closed at 3.97 with a 1.70bp decrease [4] - The central bank conducted 4753 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% yesterday. With 1595 billion yuan of reverse repurchases maturing, the net daily investment was 3158 billion yuan [4] Group 2: Central Bank's Policy Announcement - Central Bank Governor Pan Gongsheng said on October 27 that the central bank suspended treasury bond trading at the beginning of this year due to supply - demand imbalance and accumulated market risks in the bond market. Now that the bond market is operating well, it will resume open - market treasury bond trading operations [5] Group 3: Stock Index Performance - The CSI 300, SSE 50, CSI 500, and CSI 1000 closed at 4692 (-0.51%), 3050 (-0.62%), 7341 (-0.52%), and 7479 (-0.22%) respectively. The trading volume of the two stock markets was 21479 billion yuan, a decrease of 1923 billion yuan from the previous day. Shipbuilding, shipping ports, automotive services, aerospace, railways, and airports led the gains, while precious metals, energy metals, wind power equipment, steel, non - ferrous metals, and beauty care led the losses [6] - The stock index rose and then fell yesterday. The Shanghai Composite Index briefly broke through the 4000 - point mark but entered a volatile phase due to lack of significant volume. In the short term, with the easing of Sino - US trade frictions, the stock index may return to an upward trend. In the medium - to - long - term, there is still room for growth, and the strategy is to buy on dips and use the discount structure of stock index futures to enhance long - term long - position strategies [7] Group 4: Stock Index Futures Premium and Discount - The premium and discount rates of IF, IH, IC, and IM contracts vary across different delivery months. For example, IF's current - month contract has a 3.10% premium, IH's current - month contract has a 0.39% discount, IC's current - month contract has an 11.11% premium, and IM's current - month contract has a 14.08% premium [8]

投资咨询业务资格:证监许可【2012】31号 宏观金融数据日报 | | 国贸期货研究院 宏观金融研究中心 郑雨婷 | | 期货执业证号:F3074875; 投资咨询证号: Z0017779 | | | 2025/10/28 | | --- | --- | --- | --- | --- | --- | --- | | | 品种 | 收盘价 | 较前值变动(bp) | 品种 | 收盘价 | 较前值变动 (bp) | | | DR001 | 1.45 | 13.11 | DR007 | 1.58 | 17.11 | | | GC001 | 1.41 | 1.50 | GC007 | 1.64 | 6.50 | | S | SHBOR 3M | 1.60 | 0.10 | LPR 5年 | 3.50 | 0.00 | | 1 | 1年期国债 | 1.37 | -2.00 | 5年期国债 | 1.59 | -1.20 | | I | 10年期国债 | 1.84 | -0.85 | 10年期美债 | 3.98 | 2.70 | 回顾:央行昨日开展了3373亿元7天期逆回购操作,操作利率1.40%,投标 量3373亿元, ...

Group 1: Market Data Summary - DR001 closed at 1.32 with a -15.67bp change, DR007 at 1.53 with a -7.04bp change, GC001 at 1.36 with a -13.50bp change, and GC007 at 0.00 with a -187.00bp change [4] - SHBOR 3M closed at 1.58 with a 0.40bp change, LPR 5 - year at 3.50 with a 0.00bp change [4] - 1 - year, 5 - year, and 10 - year Chinese treasury bonds closed at 1.39 (-1.00bp), 1.63 (-0.73bp), and 1.88 (-0.78bp) respectively, while 10 - year US treasury bonds closed at 4.20 with a 2.00bp change [4] - Last week, the central bank conducted 2467.4 billion yuan in reverse repurchase operations and 600 billion yuan in MLF operations, with 1826.8 billion yuan in reverse repurchase and 300 billion yuan in 1 - year MLF maturing, resulting in a net injection of 940.6 billion yuan [4] - This week, 516.6 billion yuan in reverse repurchase will mature, with 240.5 billion and 276.1 billion maturing on Monday and Tuesday respectively, and 300 billion yuan in 182 - day buy - out reverse repurchase maturing on Tuesday [5] Group 2: Stock Index Market - The closing prices and changes of major stock indices: CSI 300 at 4550 (-0.95%), SSE 50 at 2941 (-0.40%), CSI 500 at 7241 (-1.37%), and CSI 1000 at 7398 (-1.45%) [6] - The closing prices and changes of index futures contracts: IF at 4543 (-0.9%), IH at 2945 (-0.3%), IC at 7203 (-1.2%), and IM at 7357 (-1.2%) [6] - Trading volume and open interest changes: IF volume decreased by 9.3% to 121085, IH volume decreased by 6.9% to 48226, IC volume increased by 4.9% to 136035, and IM volume increased by 14.2% to 242990; IF open interest decreased by 2.4% to 259924, IH open interest increased by 1.1% to 95988, IC open interest increased by 1.4% to 252224, and IM open interest increased by 3.3% to 364864 [6] - Last week, CSI 300 fell 0.44% to 4501.9, SSE 50 fell 1.98% to 2909.7, CSI 500 rose 0.32% to 7170.3, and CSI 1000 rose 0.21% to 7438.2; only the power equipment (3.9%) and electronics (3.5%) sectors in the Shenwan primary industry index rose, while banking (-0.5%), non - ferrous metals (-3.5%), non - banking finance (-0.1%), steel (-1.1%), and agriculture, forestry, animal husbandry and fishery (-2%) led the decline [6] - As of September 25, the margin trading balance in the A - share market was 2436.61 billion yuan, an increase of 46.18 billion yuan from the previous week [6] Group 3: Market Outlook and Analysis - The central bank governor stated that China's monetary policy adheres to a self - centered approach while considering internal and external balance, and will use various monetary policy tools to ensure sufficient liquidity [5] - Recently, the macro news has been calm, and the stock index has been oscillating; due to poor domestic economic data, there is a stronger expectation for policies to promote consumption, stabilize the real estate market, and expand fiscal spending [7] - The Fourth Plenary Session of the 20th Central Committee of the Communist Party of China will be held in October, focusing on formulating the 15th Five - Year Plan and analyzing the current economic situation, which is worthy of attention [7] - The stock index trend remains bullish, but the policy aims to guide the A - share market to a "slow - bull" pattern, and it is recommended to adjust and go long, while controlling positions before the holiday [7] Group 4: Index Futures Premium and Discount - IF premium/discount rates: 0.00% for the current - month contract, 2.62% for the next - month contract, 2.45% for the current - quarter contract, and 2.31% for the next - quarter contract [8] - IH premium/discount rates: -2.73% for the current - month contract, -0.50% for the next - month contract, -0.51% for the current - quarter contract, and -0.04% for the next - quarter contract [8] - IC premium/discount rates: 10.16% for the current - month contract, 9.81% for the next - month contract, 9.89% for the current - quarter contract, and 9.76% for the next - quarter contract [8] - IM premium/discount rates: 10.54% for the current - month contract, 11.55% for the next - month contract, 12.54% for the current - quarter contract, and 12.13% for the next - quarter contract [8]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The necessity of policy support for the economy has increased as the economic data from January to August shows varying degrees of weakness in industrial production, investment, and consumption [6] - With a dense schedule of domestic and foreign macro - events this week, investors should control risks in stock index positions and mainly adjust for long - positions [6] 3. Summary by Relevant Content Market Interest Rate Data - DR001 closed at 1.41 with a 4.93bp increase, DR007 at 1.48 with a 2.57bp increase, GC001 at 1.36 with a 0.50bp decrease, and GC007 at 1.49 with a 3.00bp increase [3] - SHBOR 3M remained at 1.55, LPR 5 - year at 3.50, 1 - year treasury at 1.40 with a 0.25bp decrease, 5 - year treasury at 1.61 with a 0.45bp increase, 10 - year treasury at 1.80 with a 1.05bp increase, and 10 - year US treasury at 4.06 with a 5.00bp increase [3] - The central bank conducted 280 billion yuan of 7 - day reverse repurchase operations yesterday, with 191.5 billion yuan of reverse repurchases maturing, resulting in a net injection of 88.5 billion yuan [3] - This week, 1.2645 trillion yuan of reverse repurchases will mature in the central bank's open market, and 120 billion yuan of treasury cash fixed - term deposits will mature on Monday [4] Stock Index Market Data - The CSI 300 rose 0.24% to 4533.1, the SSE 50 fell 0.2% to 2962.6, the CSI 500 fell 0.15% to 7137.4, and the CSI 1000 fell 0.1% to 7415.6 [5] - The trading volume of the two - stock markets was 2.2774 trillion yuan, a decrease of 243.5 billion yuan from the previous trading day [5] - Industry sectors had more decliners than gainers, with game, agriculture, fishery, automobile, power equipment, and auto parts sectors leading the gains, and precious metals, jewelry, small metals, electronic chemicals, and aerospace sectors leading the losses [5] Stock Index Futures Data - IF contracts: The current - month contract closed at 4528 with a 0.1% increase, the trading volume was 137,764 with a 7.3% decrease, and the open interest was 267,459 with a 4.0% decrease [5] - IH contracts: The current - month contract closed at 2962 with a 0.2% decrease, the trading volume was 25,348 with a 15.2% decrease, and the open interest was 98,524 with a 1.5% decrease [5] - IC contracts: The current - month contract closed at 7114 with a 0.4% decrease, the trading volume was 137,356 with a 21.9% decrease, and the open interest was 249,632 with a 6.8% decrease [5] - IM contracts: The current - month contract closed at 7369 with a 0.3% decrease, the trading volume was 194,389 with a 19.3% decrease, and the open interest was 356,703 with a 4.2% decrease [5] Stock Index Futures Premium and Discount Data - IF premium/discount rates for current - month, next - month, current - quarter, and next - quarter contracts were 10.58%, 3.34%, 3.06%, and 2.72% respectively [7] - IH premium/discount rates were 0.66%, - 0.07%, 0.00%, and - 0.09% respectively [7] - IC premium/discount rates were 29.61%, 13.93%, 10.66%, and 9.82% respectively [7] - IM premium/discount rates were 57.80%, 17.62%, 14.11%, and 12.72% respectively [7]

Report Overall Information - Report Title: Macro Financial Data Daily Report [3] - Report Date: September 5, 2025 [4] - Researcher: Zheng Yuting from the Macro Financial Research Center of Guomao Futures Research Institute [4] - Futures Practicing License Number: F3074875; Investment Consulting License Number: Z0017779 [4] Market Conditions Money Market - DR001 closed at 1.31% with a -0.01bp change; DR007 at 1.44% with a 0.40bp change [4] - GC001 closed at 1.01% with a 1.50bp change; GC007 at 1.44% with a -2.50bp change [4] - SHBOR 3M closed at 1.55% with a 0.10bp change; LPR 5-year remained at 3.50% [4] - 1-year treasury bond closed at 1.37% with a 0.23bp change; 5-year at 1.60% with a -2.52bp change [4] - 10-year treasury bond closed at 1.81% with a -1.69bp change; 10-year US treasury bond at 4.28% with a 5.00bp change [4] - The central bank conducted 212.6 billion yuan of 7-day reverse repurchase operations yesterday, with 416.1 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 203.5 billion yuan [4] - This week, there are 2.2731 trillion yuan of reverse repurchases maturing in the central bank's open market, and 1 trillion yuan of 91-day outright reverse repurchases will mature on Friday [5] Stock Market - The CSI 300 closed at 4365, down 2.12%; the SSE 50 at 2910, down 1.71%; the CSI 500 at 6698.4, down 2.48%; the CSI 1000 at 7206.9, down 1.46% [6] - The trading volume of the two stock markets reached 2.5443 trillion yuan, an increase of 180.2 billion yuan from the previous day [6] - Industry sectors mostly declined, with consumer sectors such as department stores, beauty care, food and beverages, and tourism hotels leading the gains, while semiconductor, communication equipment, electronic chemicals, small metals, aerospace, and electronic components sectors leading the losses [6] - The trading volume and open interest of stock index futures increased across the board, with IF volume up 9.4%, IH volume up 17.8%, IC volume up 16.8%, and IM volume up 13.3% [6] Core Views - Recently, the risk aversion sentiment of funds has risen, and some funds have chosen to take profits, leading to the adjustment of stock indexes [6] - Domestically, the marginal changes are limited recently, and the incremental policies are in a relative vacuum state. The latest August China Manufacturing PMI rebounded slightly to 49.4%, indicating that the economy still has certain resilience [6] - Overseas, the market's expectation of the Fed's interest rate cut in September has increased [6] - Strategically, the short-term adjustment of stock indexes may bring opportunities for long positions [6] Futures Basis Information - The basis rates of IF, IH, IC, and IM contracts for different delivery months are provided, with specific values and annualized rates noted [6]

Monetary Market Overview - The central bank's OMO net injection was 196.1 billion CNY, and MLF net injection was 300 billion CNY, leading to a continued loose liquidity environment[7] - DR001 and DR007 both reached new year-to-date lows, with DR001 averaging 1.35% and DR007 averaging 1.48% for August[19] - The liquidity injection for the month reached 600 billion CNY, reflecting the central bank's stabilizing attitude amid market volatility[19] Institutional Behavior - The average daily transaction volume of pledged repos decreased by 0.06 trillion CNY to 7.07 trillion CNY, with significant fluctuations observed on the last trading day of the month[15] - The new adjusted capital gap index fell to -630.2 billion CNY, the lowest level this year, indicating a slow pace of institutional cross-month activities[15] - The demand for interbank certificates of deposit remained stable, but the issuance success rate for various banks showed mixed results, with state-owned banks performing better[4] Government Debt and Financing - The expected government bond payment scale for next week is approximately 121.6 billion CNY, down from 211.4 billion CNY this week[20] - Cumulative issuance of new general bonds reached 620.8 billion CNY, while new special bonds totaled 32,641 billion CNY[20] - The net financing scale for government bonds is projected to decrease to about 1.2 trillion CNY in September[20]

Core Viewpoint - The People's Bank of China (PBOC) has shifted its focus from using DR007 to DR001 as the market benchmark interest rate, indicating a potential change in the monetary policy framework and reflecting the evolving dynamics of the money market [1][2][6]. Summary by Sections Monetary Policy and Interest Rates - The PBOC's recent report highlights the use of DR001, which is the weighted average interest rate for overnight repurchase agreements backed by government bonds, as a key indicator of money market rates [1]. - DR001 is now seen as a more reliable benchmark due to its larger transaction volume and higher price fairness compared to DR007, which was previously the standard [2][8]. Transition from DR007 to DR001 - The transition from DR007 to DR001 as the market benchmark interest rate has been noted since the first quarter of 2025, with DR001 showing fluctuations around the 7-day reverse repurchase rate [6][7]. - The shift is part of a broader evolution in China's benchmark interest rates, moving from SHIBOR to DR, and then to DR007, which was first proposed as a benchmark in November 2016 [4][5]. Market Dynamics and Implications - The trading volume of DR001 significantly surpasses that of DR007, with DR001 accounting for approximately 96% of the total DR trading volume, indicating its dominance in the market [8]. - The choice of DR001 aligns with international practices where overnight rates are commonly used as benchmarks, facilitating better transmission of interest rates across different maturities [8]. Challenges and Considerations - The adoption of DR001 raises concerns regarding the mismatch between the policy rate (7-day reverse repo rate) and the new benchmark, as they have different maturities [9]. - Current market pricing for financial products is primarily based on DR007, and a transition to DR001 necessitates a reevaluation of pricing models for various financial instruments [10].

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - In the short - term, the upward speed of the stock index may slow down after the phased realization of macro - positive factors, and market fluctuations and adjustments should be watched out for. In the long run, the futures index market this year is mainly driven by valuation expansion, and the valuation factor is expected to continue to play a role. It is advisable to go long on the stock index opportunistically this week [7] 3. Summary According to Relevant Catalogs Interest Rate and Bond Market - The closing prices and changes of various interest rate varieties are as follows: DRO01 closed at 1.31, down 8.18bp; DR007 at 1.42, down 13.00bp; GC001 at 1.29, up 26.00bp; GC007 at 1.46, up 3.00bp; SHBOR 3M at 1.56, down 0.30bp; LPR 5 - year at 3.50, unchanged; 1 - year treasury bond at 1.37, down 0.73bp; 5 - year treasury bond at 1.57, down 0.23bp; 10 - year treasury bond at 1.71, up 0.60bp; 10 - year US treasury bond at 4.23, down 14.00bp [4] - Last week, the central bank conducted 1.6632 trillion yuan of reverse repurchase operations in the open market, with 1.6563 trillion yuan of reverse repurchases due, resulting in a net investment of 6.9 billion yuan. This week, 1.6632 trillion yuan of reverse repurchases will expire, with 495.8 billion, 449.2 billion, 309 billion, 283.2 billion, and 126 billion yuan expiring from Monday to Friday respectively [4][5] Stock Index Market - Stock index closing prices and changes compared to the previous day: CSI 300 closed at 4055, down 0.51%; SSE 50 at 2754, down 0.79%; CSI 500 at 6213, down 0.21%; CSI 1000 at 6670, up 0.14%. For index futures, IF当月 closed at 4043, down 0.7%; IH当月 at 2754, down 0.8%; IC当月 at 6166, down 0.4%; IM当月 at 6617, up 0.1% [6] - Last week, CSI 300 fell 1.75% to 4054.9; SSE 50 fell 1.48% to 2754.1; CSI 500 fell 1.37% to 6213.2; CSI 1000 fell 0.54% to 6670.5. In the Shenwan primary industry index, last week, the pharmaceutical and biological (2.9%), communication (2.5%), media (1.1%), electronics (0.3%), and social services (0.1%) sectors led the gains, while most sectors declined, with non - ferrous metals (-4.6%), real estate (-3.4%), transportation (-3.2%), agriculture, forestry, animal husbandry and fishery (-3%), and power equipment (-2.6%) leading the losses [6] - The IF, IH, IC, and IM index futures have different levels of premium and discount for different contracts. For example, IF's premium and discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 9.10%, 0.00%, 0.01%, and 3.41% respectively [8]