金融期货早班车-20260316

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - For stock index futures, maintain a long - term view of going long on the economy, and recommend allocating long - term contracts of various varieties on dips [1] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - to - long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On March 13, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 0.82% to 4095.45 points, the Shenzhen Component Index fell 0.65% to 14280.78 points, the ChiNext Index fell 0.22% to 3310.28 points, and the Science and Technology Innovation 50 Index fell 0.72% to 1373.64 points. Market trading volume was 24,173 billion yuan, a decrease of 433 billion yuan from the previous day [1] - In terms of industry sectors, food and beverage (+0.87%), building decoration (+0.6%), and banks (+0.38%) performed well; comprehensive (-4.19%), non - ferrous metals (-2.7%), and computers (-2.7%) performed mediocrely [1] - From the perspective of market strength, IF>IH>IC>IM, and the number of rising/flat/falling stocks was 1,502/159/3,824 respectively. The net inflows of institutional, main, large - scale investor, and retail funds in the Shanghai and Shenzhen stock markets were - 157, - 244, 2, and 399 billion yuan respectively, with changes of +89, +22, - 105, and - 5 billion yuan respectively [1] - The basis of the next - month contracts of IM, IC, IF, and IH was 96.69, 74.8, 25.94, and 1.65 points respectively, and the annualized basis yields were - 11.77%, - 9.08%, - 5.56%, and - 0.56% respectively, with three - year historical quantiles of 33%, 26%, 22%, and 44% respectively [1] - The performance details of various stock index futures contracts are shown in Table 1, including information such as price, trading volume, open interest, and basis [4] (2) Treasury Bond Futures and Spot Market Performance - On March 13, the treasury bond futures trended weakly. Among the active contracts, TS and TF remained flat, T fell 0.07%, and TL fell 0.25% [2] - For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of - 1bps, a corresponding net basis of 0.033, and an IRR of 1.33%; the CTD bond of the 5 - year treasury bond futures was 250014.IB, with a yield change of +0.5bps, a corresponding net basis of 0.01, and an IRR of 1.43%; the CTD bond of the 10 - year treasury bond futures was 250025.IB, with a yield change of +1.15bps, a corresponding net basis of 0.036, and an IRR of 1.33%; the CTD bond of the 30 - year treasury bond futures was 210014.IB, with a yield change of +2bps, a corresponding net basis of 0.001, and an IRR of 1.47% [2] - In terms of the money market, the central bank injected 375 billion yuan and withdrew 448 billion yuan, resulting in a net withdrawal of 73 billion yuan [2] - The performance details of various treasury bond futures contracts are shown in Table 2, including information such as price, trading volume, open interest, and net basis [6] (3) Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [9] - Based on the changes in the meso - level data of each module compared with the same period in the past five years (the month - on - month change of the year - on - year data), a scoring system is used to measure the prosperity. Positive scores indicate an improvement in prosperity, negative scores indicate a decline, and zero scores indicate little change [12]