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]

Core Insights - DR007, the 7-day repurchase rate in the interbank market, serves as a crucial indicator of market liquidity and has become a benchmark for loan rates, bond yields, and derivative pricing since its inception in 2014 [1] Group 1: Development of the Foreign Exchange Trading Center - The China Foreign Exchange Trading Center (CFETS) was established in 1994, marking the beginning of the market-oriented reform of interest rates in China [2] - CFETS has evolved into a vital infrastructure within the Chinese financial system, serving nearly 6000 institutions across over 70 countries and regions [2] - The interbank market has grown significantly, with a projected transaction volume of 261.7 trillion yuan in 2024, averaging over 10.5 trillion yuan daily [3] Group 2: Technological Advancements - The transition from manual trading to electronic trading systems has greatly enhanced market efficiency, with the latest systems capable of processing 100,000 transactions per second [3] Group 3: Bond Market and Foreign Participation - China's bond market, valued at 190 trillion yuan, ranks second globally and has attracted significant foreign investment, with over 1100 foreign institutions holding 4.23 trillion yuan in bonds [4] - The introduction of the "Northbound Trading" scheme in 2017 has streamlined access for foreign traders, allowing them to trade domestic bonds directly from Hong Kong [4][6] Group 4: Innovative Trading Mechanisms - CFETS has expanded its access mechanisms, including "Northbound Trading," "Southbound Trading," and "Swap Connect," to meet the liquidity management and risk hedging needs of foreign institutions [5] - The "Swap Connect" allows foreign investors to access the onshore interest rate swap market through familiar international electronic trading platforms, enhancing transaction efficiency [6]

Core Insights - Over 1,100 foreign institutions hold 4.23 trillion yuan in interbank market bonds, indicating significant foreign investment interest in China's bond market [10][17] - The DR007, a 7-day repurchase rate, serves as a crucial liquidity indicator and pricing anchor for loans, bonds, and derivatives in the financial market [1] - The China Foreign Exchange Trade System (CFETS) has evolved into a vital financial infrastructure since its establishment in 1994, facilitating the development of China's interbank market [7][10] Group 1: Market Development - The interbank market has grown significantly, with a projected transaction volume of 261.7 trillion yuan in 2024, averaging over 10.5 trillion yuan daily [8] - The introduction of the "Northbound Bond Connect" in 2017 has improved the efficiency of foreign institutions trading in China's bond market, allowing them to trade directly from Hong Kong [10][11] - The CFETS has expanded its services to nearly 6,000 institutions across over 70 countries, making the renminbi the fourth most traded currency globally [7][10] Group 2: Technological Advancements - The transition from manual trading to electronic trading systems has significantly increased market efficiency, with the latest systems capable of matching 100,000 transactions per second [8] - Innovations such as the "Swap Connect" allow foreign investors to access the onshore interest rate swap market through familiar international electronic trading platforms, enhancing liquidity and reducing transaction costs [11][17] Group 3: Regulatory and Structural Changes - The establishment of various access channels, including "Northbound" and "Southbound" Connects, reflects the CFETS's commitment to enhancing market accessibility for foreign and domestic investors [11][17] - The interbank market's evolution aligns with China's broader reform and opening-up strategies, positioning it as a key player in the global financial landscape [5][10]

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]

中国央行最早提出将DR007作为市场基准利率是2016年11月。当时发布的《2016年第三季度货币政策执行报告》表示："DR007可降低交易对手信用风险和 抵押品质量对利率定价的扰动，能够更好地反映银行体系流动性松紧状况，对于培育市场基准利率有积极作用。" 中国人民银行近期公布的《2025年第二季度中国货币政策执行报告》在展示货币市场利率走势时用了DR001（银行间存款类机构以利率债为质押的隔夜回购 加权平均利率）这一指标。图示还显示，DR001围绕7天逆回购利率波动。 7天逆回购利率是央行政策利率，也是最重要的利率，决定着货币市场、债券市场、存贷款市场的利率水平，其中货币市场利率又以DR（存款类金融机构间 的债券回购利率）最为重要。DR可以理解为银行以国债质押融资的利率水平，包括隔夜（DR001）、7天（DR007）、 14天（DR014）等品种，是反映银行 间短期资金松紧程度最真实、最核心的"温度计"。 此前DR007最为重要，央行通过每日开展公开市场操作，使DR007围绕7天逆回购政策利率波动。在过往货币政策执行报告中，央行展示货币市场利率走势 时选用的指标也是DR007。但从《2025年第一季度季度中 ...

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]

Report Summary 1. Industry Investment Rating - There is no information about the industry investment rating in the provided content. 2. Core View - After consecutive strong rallies, with the phased realization of macro - level positives, the upward speed of stock indices may slow down, and market volatility and adjustments should be watched out for [4]. 3. Summary by Related Catalogs Market and Operation - **Interest Rates**: DR001 closed at 1.40% with an 8.17bp increase, DR007 at 1.55% with a 3.67bp increase, GC001 at 1.03% with a 75.00bp decrease, GC007 at 1.43% with a 19.50bp decrease, SHBOR 3M at 1.57% with a 0.20bp increase, LPR 5 - year at 3.50% with no change, 1 - year treasury at 1.37% with a 1.25bp decrease, 5 - year treasury at 1.56% with a 1.25bp decrease, 10 - year treasury at 1.71% with a 1.50bp decrease, and 10 - year US treasury at 4.38% with a 4.00bp increase [3]. - **Central Bank Operations**: The central bank conducted 2832 billion yuan of 7 - day reverse repurchase operations yesterday, with 3310 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 478 billion yuan. This week, there are 16563 billion yuan of reverse repurchases maturing, but government bond issuances and certificate of deposit maturities are lower than last week, and month - end fiscal expenditures may speed up, which could bring incremental funds to the inter - bank market [3]. Stock Index Market - **Index Performance**: The CSI 300 closed at 4076 with a 1.82% decrease, the SSE 50 at 2776 with a 1.54% decrease, the CSI 500 at 6226 with a 1.40% decrease, and the CSI 1000 at 6661 with a 0.85% decrease. The trading volume of the two markets was 19360 billion yuan, an increase of 918 billion yuan from the previous day. Industry sectors generally declined, with energy metals, steel, coal, mining, photovoltaic equipment, real estate development, shipbuilding, precious metals, and chemical fiber industries leading the decline [3]. - **Futures Contracts**: IF's current - month contract closed at 4070 with a 1.8% decrease, IH's at 2777 with a 1.6% decrease, IC's at 6187 with a 1.3% decrease, and IM's at 6612 with a 0.9% decrease. IF's trading volume was 156196 with a 13.2% increase, IH's was 75925 with a 7.0% increase, IC's was 119559 with a 13.6% increase, and IM's was 267774 with a 15.8% increase. IF's open interest was 270987 with a 1.4% decrease, IH's decreased, IC's was 227163 with a 1.2% decrease, and IM's was 348264 with a 0.5% increase [3]. - **Premium and Discount**: IF's current - month contract had a premium of 3.10%, IH's had a discount of - 1.23%, IC's had a premium of 15.22%, and IM's had a premium of 17.89% [5].

Report Summary 1. Core View - The central bank increased reverse repurchase operations to stabilize inter - bank market funds as the funds tightened recently, and there will be 1656.3 billion yuan of reverse repurchases maturing in the central bank's open market this week [3][4]. - After consecutive strong rallies, with the phased realization of macro - level positive factors, the upward speed of stock index futures may slow down, and market fluctuations and adjustments should be watched out for [6]. 2. Summary by Relevant Catalogs 2.1 Macro - financial Data - **Interest Rates**: DR001 closed at 1.32%, down 4.80bp; DR007 at 1.52%, down 4.67bp; GC001 at 1.78%, up 12.00bp; GC007 at 1.63%, down 5.00bp; SHBOR 3M at 1.56%, up 0.40bp; LPR 5 - year at 3.50%, unchanged; 1 - year treasury at 1.38%, down 2.00bp; 5 - year treasury at 1.58%, down 2.50bp; 10 - year treasury at 1.72%, down 3.05bp; 10 - year US treasury at 4.34%, down 8.00bp [3]. - **Reverse Repurchase**: The central bank conducted 309 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40% yesterday, with 150.5 billion yuan of reverse repurchases maturing, resulting in a net injection of 158.5 billion yuan [3]. 2.2 Stock Index Futures - **Closing Prices and Changes**: The CSI 300 closed at 4151, down 0.02%; the SSE 50 at 2819, up 0.38%; the CSI 500 at 6315, down 0.65%; the CSI 1000 at 6718, down 0.82%. IF当月 closed at 4147, down 0.1%; IH当月 at 2821, up 0.3%; IC当月 at 6271, down 0.7%; IM当月 at 6676, down 0.8% [5][6]. - **Volume and Open Interest Changes**: IF volume increased by 41.3% to 138031, and open interest increased by 5.9% to 274703; IH volume increased by 53.7% to 70949, and open interest increased by 9.0% to 103281; IC volume increased by 19.5% to 105254, and open interest increased by 2.3% to 229923; IM volume increased by 22.7% to 231279, and open interest increased by 5.0% to 346497 [5]. 2.3 Stock Index Futures Premium/Discount - **IF**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 2.33%, 0.00%, 0.01%, and 2.90% respectively [7]. - **IH**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are - 1.66%, - 0.16%, - 0.08%, and - 0.12% respectively [7]. - **IC**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 15.71%, 11.25%, 9.59%, and 8.92% respectively [7]. - **IM**: The premium/discount rates for the current - month, next - month, current - quarter, and next - quarter contracts are 14.56%, 12.17%, 11.60%, and 10.93% respectively [7]. 3. Market Review - The trading volume of the Shanghai and Shenzhen stock markets was 1.8443 trillion yuan, an increase of 41.1 billion yuan compared to the previous day. Industry sectors had more decliners than gainers, with the mining, shipbuilding, tourism and hotel, food and beverage, and commercial department store sectors leading the gains, while the battery, diversified finance, small metals, engineering machinery, and power supply equipment sectors leading the losses [6]. 4. Market Hot News - This week, 1.6563 trillion yuan of reverse repurchases in the central bank's open market will mature, with 170.7 billion, 214.8 billion, 150.5 billion, 331 billion, and 789.3 billion yuan maturing from Monday to Friday respectively [4]. - After the Sino - US economic and trade negotiations, China's Ministry of Commerce stated that both sides will continue to promote the extension of the 24% part of the suspended reciprocal tariffs by the US and China's counter - measures as scheduled. The Politburo meeting released little incremental information, emphasizing policy continuity, stability, flexibility, and predictability, and promoting the governance of non - competitive behavior in enterprises and over - capacity in key industries [6].

Report Overview - The report is a macro financial data daily report released by the Guomao Futures Research Institute's Macro Financial Research Center on July 24, 2025 [2][3] Market Data Summary Interest Rates - DR001 closed at 1.37 with a 5.64bp increase; DR007 closed at 1.48 with a 0.84bp increase [3] - GC001 closed at 1.58 with a 2.50bp decrease; GC007 closed at 1.56 with a 5.00bp increase [3] - SHBOR 3M closed at 1.55 with a 0.20bp increase; LPR 5 - year remained at 3.50 with no change [3] - 1 - year, 5 - year, and 10 - year Chinese treasury bonds had increases of 1.50bp, 2.00bp, and 1.05bp respectively; 10 - year US treasury bonds decreased by 3.00bp [3] Stock Index Futures - The closing prices of CSI 300, SSE 50, CSI 500, and CSI 1000 were 4120, 2801, 6197, and 6607 respectively, with changes of 0.02%, 0.32%, - 0.27%, and - 0.45% [5] - The trading volumes of IF, IH, IC, and IM increased by 11.7%, 11.8%, 13.7%, and 10.1% respectively; the positions of IF, IC, and IM increased by 0.6%, 1.3%, and 3.0% respectively, while IH's position decreased by 1.0% [5] Index Futures Premium/Discount - IF's premium/discount rates for different contracts were 1.30%, 0.00%, 0.01%, and 2.58% [7] - IH's were - 0.23%, - 0.36%, - 0.31%, and - 0.24% [7] - IC's were 8.03%, 7.80%, 7.93%, and 7.63% [7] - IM's were 9.32%, 10.21%, 10.69%, and 10.29% [7] Market News and Analysis Monetary Policy and Market Liquidity - The central bank conducted 214.8 billion yuan of 7 - day reverse repurchase operations, with 342.5 billion yuan of reverse repurchases and 120 billion yuan of treasury cash fixed - deposits maturing [3] - This week, 1.7268 trillion yuan of reverse repurchases will mature, and 200 billion yuan of MLF will mature on July 25 [4] Industry News - The Ministry of Industry and Information Technology plans to introduce growth - stabilizing plans for ten key industries [6] - The Yarlung Zangbo River hydropower project started on July 19, with an estimated total investment of 1.2 trillion yuan [6] Market Outlook - With the end of the tax - payment period, bank - to - bank market funds are abundant [4] - A - share market has been speculating on "anti - involution" policies and the Yarlung Zangbo River project's beneficiary sectors [6] - Current domestic and foreign factors are generally favorable, and A - share liquidity and market sentiment are strong, with stock indices expected to be bullish [6]