Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - For the stock index futures market, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position substitute can achieve certain excess returns, and recommends buying long - term contracts of various varieties on dips. However, the short - term market shows signs of cooling [2]. - For the bond market, in the short term, it is recommended to be bullish, as the implied interest rate of ultra - long bonds is attractive. In the medium - to - long term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge at high prices for T and TL contracts [3]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On October 21, the four major A - share stock indexes rose. The Shanghai Composite Index rose 1.36%, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, and the STAR 50 Index rose 2.81%. The market turnover was 189.27 billion yuan, an increase of 14.14 billion yuan from the previous day. In terms of industry sectors, communication (+4.9%), electronics (+3.5%), and building decoration (+2.36%) led the gains, while coal (-1.02%), food and beverage (+0.23%), and transportation (+0.29%) led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 4,624, 82, and 729 respectively. Institutional, main, large - scale, and retail investors had net inflows of 15.8 billion, - 6 billion, - 15.9 billion, and 6.2 billion yuan respectively, with changes of +12.7 billion, +5.6 billion, - 5.8 billion, and - 12.4 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 161.25, 132.82, 30.27, and 2.46 points respectively, and the annualized basis yields were - 12.48%, - 10.5%, - 3.73%, and - 0.47% respectively. The three - year historical quantiles were 25%, 17%, 25%, and 39% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [5]. (2) Treasury Bond Futures and Spot Market Performance - On October 21, the bond market rose. Among the active contracts, TS rose 0.05%, TF rose 0.05%, T rose 0.04%, and TL rose 0.16% [2]. - The current active contracts are 2512 contracts. The CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2][3]. - The central bank's open - market operations had a net injection of 6.85 billion yuan, with a currency injection of 15.95 billion yuan and a currency withdrawal of 9.1 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts and spot bonds, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [6]. (3) Economic Data - High - frequency data shows that the recent social activities, real estate, and infrastructure sectors are less prosperous than in previous periods [9]. - The chart of domestic mid - level data tracking shows the comparison of the prosperity of manufacturing, real estate, social activities, infrastructure, and imports and exports based on the changes compared with the same period in the past five years [10][11].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Since the US "reciprocal tariff" took effect on April 3, 2025, Sino-US trade frictions have occurred from time to time. The bond market usually prices tariff events quickly, and the impact amplitude and persistence may weaken as tariff frictions become more normalized. If subsequent Sino-US tariff games continue, bond yields may first decline rapidly and then fluctuate on a new platform [2]. - After the tariff event, risk appetite may cool slightly compared to the third quarter. If the equity market weakens, the stock-bond seesaw effect will support the bond market, and the market's expectation of the central bank's interest rate cut may fluctuate, promoting a phased easing of bond market sentiment. However, the bond market is still in a volatile market, and the space for a significant decline in yields is limited. It may fluctuate around a new range of 1.7%-1.75% in the short term [3][35]. - In the future, it is necessary to pay attention to the progress of Sino-US negotiations and the reaction of the equity market. The configuration disk does not need to replenish positions immediately but can gradually build positions during market adjustments. The trading disk can operate in small bands of 3-5bp. Credit bonds may have a supplementary increase, and attention should be paid to the coupon opportunities of general credit bonds and the short-term trading opportunities of perpetual bonds [4]. Summary by Directory I. Tariff Disturbances Recur, but This Time It's Different (1) Event Review: Sino-US Frictions Have Intensified Since October - On the evening of October 10, Trump announced an additional 100% tariff on Chinese goods exported to the US starting from November 1, and export controls on all key software. Since October, frictions have emerged in multiple aspects such as ship fees, rare earth export controls, and anti-monopoly investigations. This event is similar to the April tariff event but different in the game situation, with stronger controllability and leaving room for subsequent negotiations [7][12]. (2) Bond Market Performance: Long-Term Pricing Is Fast, and Both Trading and Allocation Enter Actively - On the morning of October 11, bond yields declined rapidly, with both interest rate and credit bonds recovering. The yields of 10y and 30y treasury bonds and 10y CDB bonds declined by 3-5bp, outperforming the short-term. High-grade credit bond yields generally declined, with bonds over 5 years performing better, especially the perpetual bonds of banks leading the rise. Institutions such as funds and securities firms actively went long on interest rate bonds [7][17][22]. II. How Has Tariff Disturbance Affected the Market This Year? - Since the US "reciprocal tariff" took effect on April 3, Sino-US trade frictions have affected the bond market. By sorting out the performance of the 10-year treasury bond active bond at 9 key tariff points, it is found that the bond market usually prices tariff events quickly, and the impact amplitude and persistence may weaken as tariff frictions become more normalized. The yield range of the 10-year treasury bond active bond mostly fluctuates within 3BP, and the bond market usually completes pricing within 4 trading days [2][29][34]. III. The Bond Market's Short-Term Sentiment Eases, and Attention Should Be Paid to Gradually Adding Positions During Fluctuations - After the tariff event, bond yields may still have a small downward space, but the bond market is still in a volatile market, and the space for a significant decline in yields is limited. It may fluctuate around a new range of 1.7%-1.75% in the short term. In the future, it is necessary to pay attention to the progress of Sino-US negotiations and the reaction of the equity market. Different investment strategies are proposed for different types of investors, and credit bonds may have a supplementary increase [3][35][40]. IV. Review of the Interest Rate Bond Market: The Stock Market's Phased Volatility and the Escalation of Tariff Frictions Have Eased Bond Market Sentiment (1) Funding Situation: The Central Bank's OMO Has Significantly Net Recovered, and the Funding Situation Is Balanced and Loose - The central bank's OMO has significantly net recovered funds, but the overall funding situation is balanced and loose. DR001 and DR007 weighted prices have declined, and the funding sentiment index has been relatively stable [11][50][51]. (2) Primary Issuance: The Net Financing of Treasury Bonds, Policy Financial Bonds, and Interbank Certificates of Deposit Has Increased, While the Net Financing of Local Bonds Has Decreased - The net financing of treasury bonds, policy financial bonds, and interbank certificates of deposit has increased, while the net financing of local bonds has decreased [57][59][61]. (3) Benchmark Changes: The Term Spreads of Treasury Bonds and CDB Bonds Have Both Narrowed - The short-term yields of treasury bonds and CDB bonds have declined, and the long-term yields have declined more significantly, resulting in a narrowing of the term spreads [55].

Core Viewpoint - The bond market showed signs of recovery on August 25, with government bond futures rising across the board and interbank bond yields gradually decreasing, indicating a cautious but optimistic outlook for bond investments during a slow bull market in equities [1][2][7]. Market Performance - Government bond futures closed significantly higher, with the 30-year main contract up by 0.78%, the 10-year main contract up by 0.27%, the 5-year main contract up by 0.15%, and the 2-year main contract up by 0.10% [2]. - The interbank bond yields saw a downward trend, with the 30-year government bond yield decreasing by 3.5 basis points to 2.0025%, and the 10-year government bond yield down by 2 basis points to 1.765% [2]. Fund Flow - The People's Bank of China conducted a 288.4 billion yuan reverse repurchase operation at a fixed rate of 1.40%, resulting in a net injection of 21.9 billion yuan for the day [5]. - The central bank also announced a 600 billion yuan Medium-term Lending Facility (MLF) operation, indicating a net injection of 300 billion yuan for August, marking the sixth consecutive month of increased MLF operations [5]. Institutional Insights - Huatai Securities maintains a view that investors should prioritize equities over convertible bonds, while also suggesting that the current market conditions allow for strategic bond investments to enhance portfolio returns [7]. - CITIC Securities emphasizes that the bond market can still provide positive returns even during equity market uptrends, suggesting a strategy of capitalizing on bond rebounds during equity market corrections [7]. - Shenwan Hongyuan highlights that while leverage has decreased, risks remain, and the crowded trading environment in the bond market necessitates a cautious approach [7].

Core Insights - The report suggests that a long-term bullish asset breaking below the annual line typically indicates a good entry point, recommending investors adopt a persistent mindset and defensive counterattack strategy in response to the current insufficient Calmar ratio in the bond market [1][3][21] Group 1: Asset Price and Annual Line - The annual line (MA250) serves as a medium to long-term trend anchor, representing the average cost over the past year and is viewed as the market's long-term equilibrium price. A price drop below this line often signals a weakening market sentiment and a potential trend reversal [11][12] - A downward breach of the annual line is interpreted as a bearish signal, indicating that the market may be entering a medium to long-term bear phase, which could trigger stop-loss or reduction actions among investors [11][12] Group 2: Review of Mainstream Assets - The 10-year government bond futures exhibit a clear long-term momentum trend, with strong support expected near the annual line. Historical analysis shows that the T contract has often rebounded after touching the annual line, indicating potential for recovery [13][14] - The Shanghai Composite Index has experienced multiple breaches of the annual line in recent years, with significant volatility and no clear support at the annual line, leading to substantial annual drawdowns [17][18] - The Nasdaq Index has shown a similar pattern, with significant movements around the annual line, reflecting the impact of macroeconomic factors and investor sentiment on its performance [20][22] Group 3: Market Sentiment and Strategy - The report emphasizes that unless a long-term bull market is confirmed to have ended, the current situation presents a favorable entry point for investors. The historical performance of the T contract supports this view, as most years have proven effective for entry after a breach of the annual line [3][21] - Short-term downward momentum may persist due to concentrated stop-loss releases following the breach, but as long as the bull market trend continues, the report suggests that opportunities outweigh risks [3][21]

Market Overview - A-shares major indices collectively rose in early trading on June 9, 2025, with the Shanghai Composite Index up 0.23%, the Shenzhen Component Index up 0.62%, and the ChiNext Index up 1.22% [1] - The total market turnover reached 838.6 billion yuan, an increase of 75.5 billion yuan compared to the previous day, with nearly 3,700 stocks rising [1] Bond Market Dynamics - Most government bond futures rose at midday, with the 30-year main contract up 0.32%, the 10-year main contract up 0.09%, and the 5-year main contract up 0.02% [1] - The 30-year government bond ETF from Bosera (511130) saw significant trading activity, with a rise of 43 basis points and a turnover exceeding 1.3 billion yuan, indicating strong market interest [1] Central Bank Actions - On June 5, the central bank unexpectedly adjusted the format of its reverse repurchase announcements, shifting to a bidding format and conducting a 1 trillion yuan, 3-month reverse repo operation [2] - This change aims to enhance transparency in open market operations and alleviate market concerns regarding cross-quarter liquidity pressures [2] Institutional Behavior - Major banks have been actively purchasing short-term bonds in the secondary market, which may signal a potential restart of bond buying by the central bank [3] - April insurance premium data showed significant improvement in long-term insurance income, which could lead to increased allocation in long-duration bonds [3] Future Market Expectations - The upcoming week may see market fluctuations based on the results of new US-China negotiations, with two potential outcomes: a positive result leading to a reduction in tariffs, or a neutral outcome with limited new information [3] - Short-term interest rates are expected to rise, while long-term rates may break out of their narrow trading range, suggesting opportunities for excess returns in long-duration bonds [4] ETF Specifics - The Bosera 30-year government bond ETF, established in March 2024, is one of only two on-market ultra-long duration bond ETFs, tracking the "Shanghai Stock Exchange 30-Year Government Bond Index" [4] - The index reflects the overall performance of 30-year government bonds listed on the Shanghai Stock Exchange, with a duration of approximately 21 years, making it highly sensitive to interest rate changes [4]