Group 1 - The first batch of 10 Sci-Tech Innovation Bond ETFs will start issuing on July 7, with a fundraising cap of 3 billion yuan for each fund [1] - The ETFs from various fund companies track different indices, including the CSI AAA Sci-Tech Innovation Bond Index and the SSE AAA Sci-Tech Innovation Bond Index, with differences in market, rating standards, and maturity requirements [1] - The CSI AAA Sci-Tech Innovation Bond Index has shown a prolonged duration and a declining yield center, with a significant overall increase in the index over the past two years [1] Group 2 - The fee structure for the Sci-Tech Innovation Bond ETFs maintains a low fee advantage, with a management fee of 0.15% and a custody fee of 0.05% [2] - The expected total fundraising scale for the first batch of Sci-Tech Innovation Bond ETFs is estimated to be between 27 billion to 30 billion yuan, with a potential upper limit of 320 billion to 650 billion yuan based on the tracking index sample bond holding ratio [2] - Regulatory requirements and increasing institutional interest may lead to a final estimated upper limit for the first batch of ETFs between 30 billion to 50 billion yuan [2]

Core Viewpoint - The bond market is experiencing narrow fluctuations in yields, with a focus on whether the 10-year government bond yield can break through previous resistance levels, amid a backdrop of weak economic recovery [1][3]. Group 1: Market Performance - As of July 2, the interbank bond market showed a downward trend in yields, with the 3-month government bond yield stable at 1.30%, the 2-year yield down 1 basis point to 1.36%, and the 10-year yield at 1.64% [2]. - The bond market remains stable despite seasonal liquidity changes, with experts expressing optimism about the potential for the 10-year yield to break previous resistance levels [3]. Group 2: Influencing Factors - Seasonal liquidity is expected to ease in July, providing a foundation for a potential "bond bull" market, as July typically sees lower funding rates due to weaker credit demand and local government pressure [3]. - Insurance institutions may benefit from a potential reduction in preset interest rates, leading to increased premium income and a higher acceptance of long-term rates [3]. - The net supply of government bonds in the third quarter is projected to be high, with net financing estimated between 2.09 trillion to 2.63 trillion yuan, which could exert pressure on the bond market [5][6]. Group 3: Investment Opportunities - Despite the challenges, there are still opportunities in the bond market, particularly with the influx of incremental funds from insurance and bank wealth management products [7]. - The ongoing "yield spread" enthusiasm since June is expected to continue, with significant declines in yields for various bond types [8]. - Institutions are advised to maintain a bullish outlook on the bond market, focusing on medium to long-term bonds as the market sentiment is likely to rise again in July [9].

Report Overview - The report is titled "Financial Futures Morning Express" and is dated June 26, 2025, prepared by China Merchants Futures Co., Ltd [1] Market Performance A-share Market - On June 25, the four major A-share stock indices all rose. The Shanghai Composite Index increased by 1.04% to close at 3455.97 points, the Shenzhen Component Index rose 1.72% to 10393.72 points, the ChiNext Index climbed 3.11% to 2128.39 points, and the STAR 50 Index went up 1.73% to 995.61 points. Market turnover was 1639.5 billion yuan, an increase of 191.4 billion yuan from the previous day [2] - In terms of industry sectors, non-bank finance (+4.46%), national defense and military industry (+3.36%), and computer (+2.99%) led the gains, while coal (-1%), petroleum and petrochemical (-0.57%), and transportation (-0.21%) saw declines [2] - In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3916, 217, and 1284 respectively. Institutional, main, large - scale, and retail investors had net inflows of 63, -117, -61, and 115 billion yuan respectively, with changes of -26, -91, +45, and +72 billion yuan [2] Treasury Bond Futures Market - On June 25, most yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.302, down 0.39 bps from the previous day; the five - year bond was 1.457, up 0.36 bps; the ten - year bond was 1.578, up 0.9 bps; and the thirty - year bond was 1.925, up 1.57 bps [3] Futures Analysis Stock Index Futures - **Base Spread**: The base spreads of the next - month contracts of IM, IC, IF, and IH were 97.16, 65.15, 35.07, and 27.33 points respectively, with annualized base spread yields of -10.19%, -7.31%, -5.83%, and -6.54%. The three - year historical quantiles were 33%, 28%, 21%, and 19% respectively. The base spread of the mid - cap index has moved away from the bottom [3] - **Trading Strategy**: The deep discount of small - cap stock indices may continue due to the expansion of neutral product scale this year and the relatively high proportion of short positions in neutral products. Short - cycle band strategies are recommended. In the medium - to - long term, a long - economic view is maintained, and it is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - caps, which may drag down the IC and IM indices, so caution is advised [3] Treasury Bond Futures - **Cash Bonds**: The current active contract is the 2509 contract. For the two - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.35 bps, a corresponding net base spread of -0.032, and an IRR of 1.83%. For the five - year, ten - year, and thirty - year treasury bond futures, relevant data of CTD bonds are also provided [4] - **Funding Situation**: The central bank's open - market operations had a net injection of 209 billion yuan, with a currency injection of 365.3 billion yuan and a currency withdrawal of 156.3 billion yuan [4] - **Trading Strategy**: The cash bond market currently shows strong supply and weak demand, but this pattern may change. It is recommended to take a short - term long and long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4] Economic Data - High - frequency data shows that recent social activities and real estate market sentiment have contracted [13]

Core Viewpoint - The central bank's recent operations and economic data indicate a mixed but generally supportive environment for the bond market, with expectations of further actions to stimulate the economy and manage interest rates [1][20]. Market Overview - The central bank conducted net withdrawal operations last week, leading to fluctuations in the funding environment due to tax payments and MLF maturities [1]. - Economic data released during the week exceeded expectations, contributing to a slight adjustment in bond yields, with the 10-year government bond yield decreasing by approximately 0.5 basis points to 1.64% [1][4]. - The issuance of local government bonds is set to exceed 580 billion yuan, with net financing expected to surpass 500 billion yuan, marking the highest levels since December 2024 and February 2025 [1][8]. Bond Yield Changes - The yield curve for government bonds showed declines across various maturities, with the 1-year and 2-year yields decreasing by 4.5 basis points and 4.7 basis points, respectively [2]. - The 10-year government bond yield saw a minor decline of 0.44 basis points, reflecting a broader trend of decreasing yields across the curve [3][4]. Trading Activity - The trading of long-term government bonds has seen strong buying interest, with the 30-year futures contract rising by 0.71% and the 10-year contract increasing by 0.14% [6]. - The overall bond market remains in a favorable environment, although further declines in interest rates may require additional catalysts such as central bank bond purchases [1][20]. Economic Data Insights - Industrial output and service sector growth have shown positive trends, with industrial value-added output growing by 5.8% year-on-year in May, and retail sales increasing by 6.4% [16][17]. - Fixed asset investment also demonstrated growth, with a year-on-year increase of 3.7% for the first five months of the year [18]. Institutional Perspectives - Analysts suggest that the current favorable conditions in the bond market are supported by both fundamental and liquidity factors, with expectations for a potential "bond bull" market [20]. - The resumption of government bond trading by the central bank is viewed as a long-term positive, although short-term impacts may vary [21].

Report Summary 1. Market Performance - On June 20, the four major A-share stock indices pulled back, with the Shanghai Composite Index down 0.07% to 3359.9 points, the Shenzhen Component Index down 0.47% to 10005.03 points, the ChiNext Index down 0.83% to 2009.89 points, and the STAR 50 Index down 0.53% to 957.87 points. Market turnover was 1.0917 trillion yuan, a decrease of 189.2 billion yuan from the previous day [2]. - In terms of industry sectors, transportation (+0.88%), food and beverage (+0.73%), and banking (+0.69%) led the gains, while media (-1.91%), computer (-1.79%), and petroleum and petrochemical (-1.71%) led the losses [2]. - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1540/231/3644 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -9.9 billion, -12.5 billion, -1.2 billion, and 23.5 billion yuan respectively, with changes of +9.7 billion, +7.4 billion, -5.6 billion, and -11.4 billion yuan respectively [2]. 2. Stock Index Futures 2.1 Basis and Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 64.79, 51.11, 42.24, and 36.92 points respectively, and the annualized basis yields were -12.86%, -10.79%, -13.07%, and -16.44% respectively. The three - year historical quantiles were 20%, 13%, 1%, and 1% respectively. On the delivery day, the basis of the mid - cap stock index converged significantly [3]. 2.2 Trading Strategies - Recently, the small - cap stock index has a deep discount, presumably due to the expansion of the scale of neutral products since this year. Since the bond bull market has not restarted, the proportion of short positions in neutral products may still be relatively high, so the deep discount may continue, leading to market fluctuations. A short - cycle band strategy is recommended [3]. - In the medium - to - long term, the report maintains the judgment of being bullish on the economy. Using stock indices as long - term substitutes has certain excess returns at present. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [3]. 3. Treasury Bond Futures 3.1 Market Performance - On June 20, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.281, down 1.32 bps from the previous day; the five - year bond was 1.436, down 0.61 bps; the ten - year bond was 1.555, down 0.52 bps; and the thirty - year bond was 1.896, down 1.28 bps [3]. 3.2 Current Bonds - The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of -0.15 bps, a corresponding net basis of -0.102, and an IRR of 1.91%. For the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of -0.75 bps, a corresponding net basis of -0.085, and an IRR of 1.84%. For the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.091, and an IRR of 1.86%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -1.3 bps, a corresponding net basis of -0.121, and an IRR of 1.85% [4]. 3.3 Fundamentals - In open - market operations, the central bank injected 161.2 billion yuan and withdrew 202.5 billion yuan, resulting in a net withdrawal of 41.3 billion yuan [4]. 3.4 Trading Strategies - The current bonds have recently shown a characteristic of strong supply and weak demand, but this pattern is expected to change in the future: the maturity scale of government bonds in June has increased, and the net supply rhythm of government bonds may become more moderate; there is a possibility of a reduction in the long - term liability cost of insurance in July; the domestic market risk preference has returned to a defensive style, and the allocation demand for the bond market may increase. On the futures side, the long - end bullish force is strong, betting on a further decline in future policy interest rates. It is recommended to be short - term long and long - term short, buy T and TL on dips in the short term, and hedge T and TL on rallies in the medium - to - long term [4]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [13].

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - **Stock Index Futures**: Maintain the judgment of going long on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. Be cautious with near - month contracts due to the potential risk of micro - cap stocks dragging down IC and IM indices [1]. - **Treasury Bond Futures**: Suggest short - term long and long - term short strategies. Short - term, buy T and TL on dips; long - term, hedge T and TL on rallies [2]. 3. Summary by Directory Stock Index Futures - **Market Performance (May 30)**: The four major A - share stock indices回调. The Shanghai Composite Index fell 0.47% to 3347.49 points, the Shenzhen Component Index fell 0.85% to 10040.63 points, the ChiNext Index fell 0.96% to 1993.19 points, and the Sci - Tech Innovation 50 Index fell 0.94% to 977.03 points. Market turnover was 1.1642 trillion yuan, a decrease of 49.2 billion yuan from the previous day. Industries such as agriculture, forestry, animal husbandry, and fishery (+1.2%), banks (+0.64%), and pharmaceutical biology (+0.37%) led the gains, while industries such as automobiles (-1.91%), comprehensive (-1.87%), and electronics (-1.85%) led the losses. From the perspective of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1116/134/4160 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 19.3 billion, - 15.9 billion, 9.7 billion, and 25.6 billion yuan respectively, with changes of - 31.5 billion, - 11.2 billion, +25.6 billion, and +17.1 billion yuan respectively [1]. - **Basis**: The basis of IM, IC, IF, and IH next - month contracts were 149.36, 111.67, 54.63, and 45.5 points respectively, with annualized basis yields of - 17.7%, - 14.07%, - 10.16%, and - 12.13% respectively, and three - year historical quantiles of 7%, 8%, 5%, and 7% respectively. The futures - spot price difference remained at a low level [1]. - **Trading Strategy**: The deep discount of small - cap stock indices recently may be due to the expansion of neutral product scale this year. Since the bond bull market has not restarted, the proportion of neutral short positions may still be high, so the deep discount may continue. It is recommended to allocate IF, IC, and IM forward contracts on dips and be cautious with near - month contracts [1]. Treasury Bond Futures - **Market Performance (May 30)**: The yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.379, a decrease of 3.19 bps from the previous day; the five - year bond was 1.497, a decrease of 3.13 bps; the ten - year bond was 1.657, an increase of 0.3 bps; and the thirty - year bond was 1.984, a decrease of 3.1 bps [2]. - **Cash Bonds**: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of - 2.5 bps, a corresponding net basis of - 0.056, and an IRR of 1.85%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 3.25 bps, a net basis of - 0.054, and an IRR of 1.84%; for the 10 - year, the CTD bond is 220010.IB, with a yield change of - 2 bps, a net basis of - 0.029, and an IRR of 1.76%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 2.25 bps, a net basis of 0.031, and an IRR of 1.58% [2]. - **Funding Situation**: The central bank's currency injection was 291.1 billion yuan, and currency withdrawal was 142.5 billion yuan, with a net injection of 148.6 billion yuan [2]. - **Trading Strategy**: The current situation of strong supply and weak demand in the cash bond market is expected to change. In the futures market, the long - end bullish force is strong. It is recommended to take short - term long and long - term short positions, buy T and TL on dips in the short - term, and hedge T and TL on rallies in the long - term [2]. Economic Data High - frequency data shows that in May, the prosperity of imports and exports and social activities declined, while the real estate market's prosperity increased [10].

Core Viewpoint - The banking industry is facing significant challenges in maintaining profitability due to declining net interest income and pressure on intermediary income, leading to a reliance on investment income from bond trading to support revenue growth [2][4][5]. Group 1: Interest Income and Profitability - A new round of deposit rate cuts has been initiated by major state-owned banks to reduce funding costs and alleviate pressure on net interest margins, with one-year fixed deposit rates entering the "1" era [2][3]. - Over 80% of A-share listed banks reported either negative or minimal growth in revenue year-on-year in Q1, with nearly half experiencing a decline in net interest income [2][3]. - The average net interest margin for commercial banks in China decreased by over 9 basis points in Q1, reflecting ongoing pressure on profitability [4]. Group 2: Intermediary Income Trends - The net income from fees and commissions, a key component of non-interest income, has been under pressure, with Q1 figures showing a decline compared to the previous year [5][7]. - The number of banks reporting negative growth in intermediary income has decreased, indicating a slight improvement in this area compared to previous years [7]. Group 3: Investment Income and Market Conditions - The bond market has provided a significant boost to banks' revenues, with many banks reporting substantial increases in investment income due to favorable trading conditions [8][9]. - In Q1, 34 out of 42 listed banks saw positive growth in investment income, with some banks reporting increases of over 100% [9][10]. - However, the fair value changes of financial assets have shown mixed results, with many banks experiencing losses that offset gains from investment income [10][11]. Group 4: Future Outlook and Challenges - The ability of banks to continue relying on bond sales for revenue is uncertain, as future performance will depend on market conditions and the banks' existing bond portfolios [13][14]. - Analysts suggest that banks may need to sell more bonds to realize gains, but this could lead to greater pressure on future earnings if not managed carefully [13][14]. - The overall sentiment in the market indicates that while significant adjustments in bond prices are unlikely, moderate fluctuations could still pose risks to banks' profitability [14].

Report Summary 1. Market Performance - On May 28th, the four major A-share stock indices declined. The Shanghai Composite Index dropped 0.02% to 3339.93 points, the Shenzhen Component Index fell 0.26% to 10003.27 points, the ChiNext Index decreased 0.31% to 1985.38 points, and the STAR 50 Index slipped 0.23% to 970.64 points. Market trading volume was 1.0339 trillion yuan, an increase of 9.8 billion yuan from the previous day. In the industry sectors, textile and apparel (+1.17%), environmental protection (+0.89%), and coal (+0.74%) led the gains, while basic chemicals (-0.79%), agriculture, forestry, animal husbandry and fishery (-0.78%), and national defense and military industry (-0.72%) led the losses. In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,750/181/3,477 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -5.8 billion, -12.8 billion, 2.1 billion, and 16.5 billion yuan respectively, with changes of -2.9 billion, -1 billion, +2.5 billion, and +1.4 billion yuan respectively [2]. - On May 28th, most yields of treasury bond futures declined. Among the actively traded contracts, the implied interest rate of the two - year bond was 1.376, unchanged from the previous day; the five - year bond was 1.497, also unchanged; the ten - year bond was 1.618, down 0.7 bps; and the thirty - year bond was 1.985, down 0.1 bps [3]. 2. Core Views - For stock index futures, it is speculated that the deep discount of small - cap stock indices recently is due to the expansion of neutral product scale since this year. As the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue. It is recommended to go long on the economy, and it is advisable to allocate IF, IC, IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indices, so caution is advised [2]. - For treasury bond futures, although the current spot bonds show a pattern of strong supply and weak demand, this pattern is expected to change in the future. The government bond net supply rhythm may slow down in June, the long - term liability cost of insurance may be lowered in July, and the domestic market risk preference has returned to a defensive style, which may increase the demand for bond market allocation. It is recommended to go long in the short - term and short in the long - term, buy T and TL contracts on dips in the short - term, and hedge T and TL contracts on rallies in the long - term [3]. 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - The table shows the performance of stock index futures and spot markets, including details such as code, name, price changes, trading volume, open interest, and basis. For example, for IC2506, the price change was -0.26%, the current price was 5568.0 points, and the basis was 69.2 points [5]. 3.2 Treasury Bond Futures and Spot Market Performance - The table presents the performance of treasury bond futures and spot markets, including code, name, price changes, trading volume, net basis, and CTD bond implied interest rates. For instance, for TS2506, the price change was -0.01%, the current price was 102.2 points, and the net basis was 0.0 [6]. 3.3 Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities has declined, while the real estate market has improved [10].

Core Viewpoint - The 30-year government bond ETF from Bosera is experiencing active trading and liquidity, with a recent price of 111.68 yuan and a turnover rate of 11.38% [3]. Group 1: Market Performance - As of May 26, the 30-year government bond ETF has seen an average daily trading volume of 2.459 billion yuan over the past month [3]. - The ETF's latest scale reached 6.991 billion yuan, marking a one-month high [4]. - The ETF has recorded a net inflow of 268 million yuan over the past four days, with a peak single-day inflow of 176 million yuan [4]. Group 2: Investment Strategy - According to Zheshang International, the bond market remains in a bullish environment despite some economic slowdown, suggesting that adjustments in the bond market could present buying opportunities [3]. - The institution believes that a significant bond bull market may be starting, especially following improvements in liquidity and unexpected tariff reductions [3]. Group 3: Performance Metrics - As of May 26, the ETF has achieved a 15.09% increase in net value over the past year, ranking 3rd out of 378 index bond funds [4]. - The ETF's maximum drawdown since inception is 6.89%, with a Sharpe ratio of 1.02 for the past year [5]. - The fund has a management fee of 0.15% and a custody fee of 0.05% [5].

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Regarding stock index futures, it is speculated that the deep discount of small - cap stock indexes recently is due to the scale expansion of neutral products this year. With the bond bull market not restarted, the high proportion of short positions in neutral products may keep the deep discount. The report maintains the judgment of being bullish on the economy, recommends buying IF, IC, and IM forward contracts on dips, and advises caution with near - month contracts of IC and IM due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, although the current situation of bond spot market shows strong supply and weak demand, it is expected to change. Factors include the increase in government bond maturity in June, the possible reduction of long - term liability costs of insurance in July, and the return of domestic market risk preference to a defensive style. It is suggested to take a short - term long and medium - to - long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4]. 3. Summary by Relevant Catalogs (1) Stock Index Futures Spot and Futures Market Performance - On May 26, most of the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.05% to 3346.84 points, the Shenzhen Component Index dropped 0.41% to 10091.16 points, the ChiNext Index decreased 0.8% to 2005.26 points, while the Sci - tech Innovation 50 Index rose 0.17% to 982.26 points. Market trading volume was 1.0339 trillion yuan, a decrease of 148.7 billion yuan from the previous day. In terms of industry sectors, media, computer, and environmental protection led the gains, while automobile, pharmaceutical biology, and comprehensive sectors led the losses [2]. - The basis of IM, IC, IF, and IH next - month contracts were 195.39, 153.86, 68.31, and 47.22 points respectively, with annualized basis yields of - 20.77%, - 17.4%, - 11.34%, and - 11.21%. The three - year historical quantiles were 3%, 3%, 2%, and 8% respectively, indicating that the futures - spot price difference remained at a low level [2]. (2) Treasury Bond Futures Spot and Futures Market Performance - On May 26, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond decreased by 173 bps to 1.356, the five - year bond by 373 bps to 1.488, the ten - year bond remained flat at 1.638, and the thirty - year bond decreased by 79 bps to 1.968 [3]. - For the current active 2509 contract, the CTD bonds, yield changes, net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. The central bank's open - market operations had a net injection of 24.7 billion yuan [4]. (3) Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities declined, while the real estate prosperity increased [12].