Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on August 27, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures on August 26, 2025 [1][2] Market Performance Stock Index Futures - On August 26, the four major A-share stock indices showed mixed performance. The Shanghai Composite Index fell 0.39% to 3,868.38 points, the Shenzhen Component Index rose 0.26% to 12,473.17 points, the ChiNext Index fell 0.76% to 2,742.13 points, and the STAR 50 Index fell 1.31% to 1,270.87 points. Market turnover was 2.7098 trillion yuan, a decrease of 467.1 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+2.62%), beauty care (+2.04%), and basic chemicals (+1.26%) led the gains, while pharmaceutical biology (-1.09%), non-bank finance (-1.06%), and steel (-0.98%) led the losses [2] - From the perspective of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 2,802/152/2,469 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large, and retail investors had net inflows of -19.2 billion, -26.8 billion, 3.1 billion, and 42.8 billion yuan respectively, with changes of -5.3 billion, +3.6 billion, -2.2 billion, and +3.9 billion yuan respectively [2] - The basis of the next-month contracts of IM, IC, IF, and IH was 113.87, 82.87, 10.99, and -2.22 points respectively, and the annualized basis yields were -11.54%, -9.01%, -1.87%, and 0.57% respectively, with three-year historical quantiles of 28%, 18%, 39%, and 51% respectively [2] Treasury Bond Futures - On August 26, the yields of treasury bond futures mostly declined. Among the active contracts, the implied interest rate of the two-year bond was 1.383, up 0.53 bps from the previous day; the implied interest rate of the five-year bond was 1.612, down 0.12 bps; the implied interest rate of the ten-year bond was 1.735, down 1.42 bps; and the implied interest rate of the thirty-year bond was 2.079, down 1.94 bps [2] - In terms of cash bonds, the current active contract is the 2512 contract. The CTD bond of the two-year treasury bond futures is 250012.IB, with a yield change of -0.25 bps, a corresponding net basis of -0.004, and an IRR of 1.5%; the CTD bond of the five-year treasury bond futures is 250003.IB, with a yield change of -0.8 bps, a corresponding net basis of 0.029, and an IRR of 1.4%; the CTD bond of the ten-year treasury bond futures is 220017.IB, with a yield change of -0.5 bps, a corresponding net basis of 0.123, and an IRR of 1.09%; the CTD bond of the thirty-year treasury bond futures is 210005.IB, with a yield change of -2 bps, a corresponding net basis of 0.222, and an IRR of 0.96% [2] - In terms of the money market, in open market operations, the central bank injected 405.8 billion yuan and withdrew 580.3 billion yuan, resulting in a net withdrawal of 174.5 billion yuan [2] Trading Strategies Stock Index Futures - In the medium to long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long substitute has certain excess returns, and it is recommended to allocate long-term contracts of various varieties on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - With the upward shift in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium to long term [2] Economic Data - High-frequency data shows that the recent social activity sentiment is weak [9]

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - **Long - term**: Maintain a bullish view on the economy, recommend long - term allocation of forward contracts of various stock index varieties; suggest medium - and long - term hedging for T and TL contracts when prices are high due to rising risk appetite and economic recovery expectations [2][3]. - **Short - term**: The market shows signs of cooling [2]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - **Market Movement**: On August 25, the four major A - share stock indices all rose, with the Shanghai Composite Index up 1.51% to 3883.56 points, the Shenzhen Component Index up 2.26% to 12441.07 points, the ChiNext Index up 3% to 2762.99 points, and the STAR 50 Index up 3.2% to 1287.73 points. Market turnover was 31,769 billion yuan, an increase of 5,981 billion yuan from the previous day. In terms of industry sectors, communication (+4.85%), non - ferrous metals (+4.63%), and real estate (+3.32%) led the gains; beauty care (+0.01%), textile and apparel (+0.17%), and petroleum and petrochemicals (+0.39%) led the losses. The strength order was IH>IF>IC>IM, with the number of rising/flat/falling stocks being 3,349/178/1,896 respectively. Institutional, main, large - scale, and retail investors had net inflows of - 139, - 304, 53, and 390 billion yuan respectively, with changes of - 280, - 135, +252, and +163 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 112.73, 75.1, - 2.38, and - 3.15 points respectively, and the annualized basis yields were - 11.08%, - 7.94%, 0.39%, and 0.77% respectively, with three - year historical quantiles of 30%, 24%, 63%, and 53% respectively [1]. (2) Treasury Bond Futures and Spot Market Performance - **Yield Movement**: On August 25, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.372, down 4.78 bps from the previous day; the five - year bond was 1.62, down 3.47 bps; the ten - year bond was 1.755, down 2.83 bps; and the thirty - year bond was 2.102, down 4 bps [2]. - **CTD Bond Information**: For the 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.015, and an IRR of 1.57%; the five - year was 250003.IB, with a yield change of - 1.2 bps, a net basis of 0.023, and an IRR of 1.45%; the ten - year was 220017.IB, with a yield change of - 3 bps, a net basis of 0.099, and an IRR of 1.25%; the thirty - year was 210005.IB, with a yield change of - 3.5 bps, a net basis of 0.286, and an IRR of 0.84% [2]. (3) Economic Data - **High - frequency Data**: High - frequency data shows that the recent social activity sentiment is weak [11]. - **Funding**: In open - market operations, the central bank injected 2,884 billion yuan and withdrew 2,665 billion yuan, resulting in a net injection of 219 billion yuan [3].

Report Overview - The report is a financial research on financial futures, including stock index futures and treasury bond futures, released by China Merchants Futures Co., Ltd. on August 22, 2025 [1][2] 1. Market Performance Stock Index Futures - On August 21, the four major A-share stock indexes showed mixed performance. The Shanghai Composite Index rose 0.13% to 3771.1 points, the Shenzhen Component Index fell 0.06% to 11919.76 points, the ChiNext Index fell 0.47% to 2595.47 points, and the STAR 50 Index rose 0.09% to 1149.15 points. Market turnover was 2.4603 trillion yuan, an increase of 11.9 billion yuan from the previous day [2] - In terms of industry sectors, agriculture, forestry, animal husbandry and fishery (+1.5%), petroleum and petrochemicals (+1.39%), and beauty care (+0.98%) led the gains, while machinery (-1.08%), power equipment (-0.98%), and composites (-0.73%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 2169/164/3087 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -20.9 billion, -30.8 billion, 5.6 billion, and 46.1 billion yuan respectively, with changes of -8.4 billion, -9.7 billion, +6.7 billion, and +11.4 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 99.94, 87.37, 14.27, and -2.02 points respectively, with annualized basis yields of -9.57%, -9.05%, -2.31%, and 0.49% respectively, and three - year historical quantiles of 39%, 18%, 36%, and 50% respectively [2] Treasury Bond Futures - On August 21, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.426, down 0.13 bps from the previous day; the five - year bond was 1.639, down 1.32 bps; the ten - year bond was 1.728, down 0.99 bps; and the thirty - year bond was 2.135, down 1.96 bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of -0.25 bps, a corresponding net basis of 0.019, and an IRR of 1.24%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.096, and an IRR of 1.22%; the CTD bond of the ten - year treasury bond futures was 250007.IB, with a yield change of -2 bps, a corresponding net basis of 0.098, and an IRR of 0.16%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of -3 bps, a corresponding net basis of 0.401, and an IRR of 0.58% [2] - In terms of the money market, the central bank's net injection was 124.3 billion yuan through open market operations [2] 2. Trading Strategies Stock Index Futures - In the medium - to - long term, the report maintains the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips. In the short term, there are signs of market cooling [2] Treasury Bond Futures - Given the rising risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL in the medium - to - long term [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic medium - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and import - export sectors is analyzed, with negative scores indicating weakening sentiment [9][11][12]

金融研究 2025年8月15日 星期五 金融期货早班车 招商期货有限公司 市场表现：8 月 14 日，A 股四大股指有所回调，其中上证指数下跌 0.46%，报收 3666.44 点；深成 指下跌 0.87%，报收 11451.43 点；创业板指下跌 1.08%，报收 2469.66 点；科创 50 指数上涨 0.75%， 报收 1085.74 点。市场成交 23,063 亿元，较前日增加 1,311 亿元。行业板块方面，非银金融(+0.59%) 涨幅居前；综合(-2.66%)，国防军工(-2.15%)，通信(-2.12%)跌幅居前。从市场强弱看，IH>IF>IC>IM， 个股涨/平/跌数分别为 734/41/4,644。沪深两市，机构、主力、大户、散户全天资金分别净流入-254、 -289、62、481 亿元，分别变动-331、-190、+185、+335 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 47.29、49.65、9.51 与-0.13 点，基差年化收益率分别 为-6.28%、-7.15%、-2.11%与 0.04%，三年期历史分位数分别为 57%、31%、37%及 45%。 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For stock index futures, maintain a long - term bullish view on the economy, and recommend buying long - term contracts of various varieties on dips [3]. - For bond futures, with the upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies in the medium - to - long term [4]. 3. Summary by Related Catalogs 3.1 Market Performance - On August 13th, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.48% to 3683.46 points, the Shenzhen Component Index rose 1.76% to 11551.36 points, the ChiNext Index rose 3.62% to 2496.5 points, and the STAR 50 Index rose 0.74% to 1077.7 points. Market turnover was 2.1752 trillion yuan, an increase of 270 billion yuan from the previous day. In terms of industry sectors, communication (+4.91%), non - ferrous metals (+2.37%), and electronics (+2.01%) led the gains, while banks (-1.06%), coal (-0.81%), and food and beverages (-0.42%) led the losses. From the perspective of market strength, IM>IC>IF>IH, and the number of rising, flat, and falling stocks was 2730, 233, and 2456 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net inflows of 7.6 billion, - 9.9 billion, - 12.3 billion, and 14.6 billion yuan respectively, with changes of +16.5 billion, +4.4 billion, - 11.1 billion, and - 9.8 billion yuan respectively [2]. - On August 13th, the yields of bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.398, a decrease of 2.13 bps from the previous day; the five - year bond was 1.564, a decrease of 1.33 bps; the ten - year bond was 1.662, a decrease of 0.75 bps; and the thirty - year bond was 2.038, a decrease of 0.76 bps [3]. 3.2 Stock Index Futures - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 62.53, 56.3, 5.78, and - 5.82 points respectively, and the annualized basis yields were - 7.9%, - 7.72%, - 1.24%, and 1.85% respectively, with three - year historical quantiles of 49%, 25%, 46%, and 70% respectively [3]. - **Trading Strategy**: Maintain a long - term bullish view on the economy, and it is recommended to buy long - term contracts of various varieties on dips [3]. 3.3 Bond Futures - **Cash Bond Situation**: The current active contract is the 2509 contract. For the 2 - year bond futures, the CTD bond is 250006.IB, with a yield change of - 0.75 bps, a corresponding net basis of 0.01, and an IRR of 1.35%; for the 5 - year bond futures, the CTD bond is 240020.IB, with a yield change of - 1.35 bps, a corresponding net basis of 0.006, and an IRR of 1.39%; for the 10 - year bond futures, the CTD bond is 250007.IB, with a yield change of - 0.25 bps, a corresponding net basis of 0.008, and an IRR of 1.37%; for the 30 - year bond futures, the CTD bond is 210005.IB, with a yield change of - 1 bps, a corresponding net basis of - 0.008, and an IRR of 1.5% [4]. - **Funding Situation**: In open - market operations, the central bank injected 118.5 billion yuan and withdrew 138.5 billion yuan, resulting in a net withdrawal of 20 billion yuan [4]. - **Trading Strategy**: With the upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies in the medium - to - long term [4]. 3.4 Economic Data - High - frequency data shows that the recent import and export and social activity sentiment have declined [10].

Report Industry Investment Rating Not mentioned in the provided content Core Viewpoints - For stock index futures, maintain the judgment of going long on the economy in the medium - to - long term, and recommend allocating long - term contracts of each variety on dips [1] - For bond futures, due to the upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts at high levels for the medium - to - long term [3] Summary by Directory (1) Stock Index Futures and Spot Market Performance - On August 12, A - share four major stock indexes all rose, with Shanghai Composite Index up 0.5% to 3665.92, Shenzhen Component Index up 0.53% to 11351.63, ChiNext Index up 1.24% to 2409.4, and Science and Technology Innovation 50 Index up 1.91% to 1069.81. Market trading volume was 19,052 billion yuan, an increase of 553 billion yuan from the previous day [1] - In terms of industry sectors, communication (+2.24%), electronics (+1.88%), and coal (+1.01%) led the gains; national defense and military industry (-1.03%), steel (-0.83%), and building materials (-0.46%) led the losses [1] - From the perspective of market strength, IH>IF>IC>IM, and the number of rising/flat/falling stocks was 2,083/172/3,162 respectively. The net inflows of institutional, main, large - scale, and retail funds in Shanghai and Shenzhen stock markets were - 89, - 143, - 12, and 244 billion yuan respectively, with changes of - 207, - 97, + 160, and + 145 billion yuan respectively [1] - The basis of IM, IC, IF, and IH next - month contracts was 80.01, 75.56, 12.63, and - 2.59 points respectively, with annualized basis yields of - 9.91%, - 10.15%, - 2.63%, and 0.79%, and three - year historical quantiles of 37%, 15%, 34%, and 54% respectively [1] (2) Treasury Bond Futures and Spot Market Performance - On August 12, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.418, up 1.07bps from the previous day; the five - year bond was 1.571, up 0.6bps; the ten - year bond was 1.665, up 0.83bps; and the thirty - year bond was 2.044, up 1.7bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of + 0.25bps, a corresponding net basis of 0.027, and an IRR of 1.17%; the five - year was 240020.IB, with a yield change of + 0.85bps, a net basis of - 0.022, and an IRR of 1.66%; the ten - year was 250007.IB, with a yield change of + 1bps, a net basis of - 0.033, and an IRR of 1.79%; the thirty - year was 210005.IB, with a yield change of + 2.5bps, a net basis of - 0.127, and an IRR of 2.42% [2] (3) Economic Data - High - frequency data shows that the recent import/export and social activity sentiment has declined [9]

Market Performance - On August 5th, the four major A-share stock indices all rose, with the Shanghai Composite Index up 0.96% to 3617.6 points, the Shenzhen Component Index up 0.59% to 11106.96 points, the ChiNext Index up 0.39% to 2343.38 points, and the STAR 50 Index up 0.4% to 1053.65 points[2]. - Market trading volume was 1,615.8 billion yuan, an increase of 97.6 billion yuan from the previous day[2]. - In terms of industry sectors, comprehensive (+1.98%), banking (+1.59%), and steel (+1.45%) led the gains; pharmaceutical biology (+0.12%), computer (+0.25%), and building materials (+0.3%) led the declines[2]. - From the perspective of market strength, IF > IH > IM > IC, and the number of rising/flat/falling stocks was 3,901/189/1,325 respectively[2]. - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -1.9 billion, -10.7 billion, -1.4 billion, and 14 billion yuan respectively, with changes of -3.8 billion, -4.8 billion, +7.1 billion, and +1.5 billion yuan respectively[2]. Stock Index Futures Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH were 105.48, 104.64, 21.45, and -0.27 points respectively, and the basis annualized yields were -11.43%, -12.21%, -3.84%, and 0.07% respectively, with three - year historical quantiles of 29%, 10%, 24%, and 46% respectively[3]. Trading Strategy - In the medium - to - long term, the report maintains the judgment of being long on the economy. Currently, using stock indices as a long - position substitute has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips[3]. Treasury Bond Futures Market Performance - On August 5th, the yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.411, up 0.14 bps from the previous day; the implied interest rate of the five - year bond was 1.561, down 0.97 bps; the implied interest rate of the ten - year bond was 1.646, down 1.32 bps; and the implied interest rate of the thirty - year bond was 1.988, down 0.61 bps[3]. Cash Bond and Related Indicators - 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 -1.25 bps, a corresponding net basis of 0.002, and an IRR of 1.43%; for the five - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of -1 bps, a corresponding net basis of -0.027, and an IRR of 1.68%; for the ten - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of -1.5 bps, a corresponding net basis of -0.013, and an IRR of 1.56%; for the thirty - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.006, and an IRR of 1.47%[4]. Capital Situation - In terms of open - market operations, the central bank injected 160.7 billion yuan and withdrew 449.2 billion yuan, resulting in a net withdrawal of 288.5 billion yuan[4]. Trading Strategy - With the upward shift of risk appetite and the expectation of economic recovery, it is recommended to conduct long - term hedging on T and TL contracts on rallies[4]. Economic Data - High - frequency data shows that the recent sectoral prosperity is similar to the same period[10].

Report Highlights 1. Report Industry Investment Rating - Not provided in the document 2. Core Views - For stock index futures, maintain the judgment of going long on the economy in the medium - long term. It is recommended to allocate long - term contracts of each variety on dips as taking long positions in stock indices can achieve certain excess returns currently [2] - For treasury bond futures, with the upward trend of risk appetite and the expectation of economic recovery, it is suggested to conduct hedging operations on T and TL contracts on rallies in the medium - long term [2] 3. Summary by Directory (1) Stock Index Futures Spot and Futures Market Performance - On August 4, the four major A - share stock indices opened lower and closed higher. The Shanghai Composite Index rose 0.66% to 3583.31 points, the Shenzhen Component Index rose 1.22%, the ChiNext Index rose 0.5% to 2334.32 points, and the STAR 50 Index rose to 1049.41 points. Market turnover was 1518.2 billion yuan, a decrease of 101.7 billion yuan from the previous day [2] - In terms of industry sectors, national defense and military industry (+3.06%), machinery and equipment (+1.93%), and non - ferrous metals (+1.87%) led the gains; commercial and retail (-0.46%), petroleum and petrochemical (-0.36%), and social services (-0.21%) led the losses [2] - In terms of market strength, IM>IC>IH>IF. The number of rising, flat, and falling stocks was 3875, 230, and 1310 respectively. Institutional, main, large - scale, and retail investors had net inflows of 20, - 58, - 86, and 124 billion yuan respectively, with changes of +151, +53, - 87, and - 117 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 97.09, 92.73, 17.9 points respectively, and the annualized basis yields were - 10.29%, - 10.58%, - 3.14%, and 0.26% respectively. The three - year historical quantiles were 35%, 13%, 30%, and 48% respectively [2] (2) Treasury Bond Futures Spot and Futures Market Performance - On August 4, most yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.408, down 0.14bps from the previous day; the five - year bond was 1.571, up 0.36bps; the ten - year bond was 1.66, down 3.96bps; the thirty - year bond was 1.994, down 0.75bps [2] - For the current active 2509 contract, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +1bps, corresponding to a net basis of - 0.021 and an IRR of 1.62%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +1bps, corresponding to a net basis of - 0.029 and an IRR of 1.7%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of - 0.25bps, corresponding to a net basis of - 0.008 and an IRR of 1.49%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of - 0.75bps, corresponding to a net basis of 0.201 and an IRR of 0.19% [2] - In terms of the money market, the central bank injected 544.8 billion yuan and withdrew 495.8 billion yuan, resulting in a net injection of 49 billion yuan [2] (3) Economic Data - High - frequency data shows that the recent prosperity of various sectors is similar to the same period [9]

Report Overview - The report is a financial futures morning briefing released by China Merchants Futures Co., Ltd. on July 30, 2025, covering A-share market performance, stock index futures, treasury bond futures, and economic data [1][2] Market Performance A-share Market - On July 29, the four major A-share stock indices rose across the board, with the Shanghai Composite Index up 0.33% to 3,609.71 points, the Shenzhen Component Index up 0.64% to 11,289.41 points, the ChiNext Index up 1.86% to 2,406.59 points, and the STAR 50 Index up 1.45% to 1,070.45 points [2] - Market turnover was 1.8293 trillion yuan, an increase of 63.2 billion yuan from the previous day [2] - In terms of industry sectors, communication (+3.29%), steel (+2.59%), and pharmaceutical biology (+2.06%) led the gains, while agriculture, forestry, animal husbandry and fishery (-1.36%), banking (-1.19%), and beauty care (-0.71%) led the losses [2] - In terms of market strength, IM > IC > IF > IH, and the number of rising/flat/falling stocks was 2,240/176/2,999 respectively [2] - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -13.7 billion, -13.5 billion, 3.2 billion, and 24 billion yuan respectively, with changes of -10.9 billion, -5.1 billion, +1.6 billion, and +14.3 billion yuan respectively [2] Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 111.88, 93.13, 10.62, and -5.41 points respectively, with annualized basis yields of -10.59%, -9.39%, -1.64%, and 1.23% respectively, and three - year historical quantiles of 33%, 16%, 42%, and 61% respectively [3] - The trading strategy is to maintain a long - term bullish view on the economy and recommend buying forward contracts of each variety on dips [3] Treasury Bond Futures - On July 29, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two - year bond was 1.441, up 4.12 bps from the previous day; the implied interest rate of the five - year bond was 1.612, up 4.11 bps; the implied interest rate of the ten - year bond was 1.712, up 4.27 bps; and the implied interest rate of the thirty - year bond was 2.057, up 4.31 bps [3] - For the current active contract 2509, the CTD bond of the two - year treasury bond futures was 250006.IB, with a yield change of +2.75 bps, a corresponding net basis of 0.012, and an IRR of 1.47%; the CTD bond of the five - year treasury bond futures was 240020.IB, with a yield change of +4.5 bps, a corresponding net basis of 0.014, and an IRR of 1.46%; the CTD bond of the ten - year treasury bond futures was 220010.IB, with a yield change of +4 bps, a corresponding net basis of 0.024, and an IRR of 1.38%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +4.25 bps, a corresponding net basis of 0.121, and an IRR of 0.89% [3] - The trading strategy is to recommend hedging T and TL contracts on rallies in the medium - to - long term due to rising risk appetite and economic recovery expectations [4] Economic Data - High - frequency data shows that the manufacturing industry's prosperity has recovered recently, with industrial added value in June exceeding the same period [10] - Short - term capital interest rates have changed. For example, SHIBOR overnight is at 1.37, down from 1.47 the previous day; DR001 is at 1.36, down from 1.46 the previous day [10]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - In the medium to long term, maintain the judgment of going long on the economy. It is recommended to allocate long positions in various forward contracts on dips as stock index long - position substitution has certain excess returns [3]. - With the upward risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4]. 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On July 28, A - share four major stock indexes all rose. The Shanghai Composite Index rose 0.12% to 3597.94 points, the Shenzhen Component Index rose 0.44% to 11217.58 points, the ChiNext Index rose 0.96% to 2362.6 points, and the STAR 50 Index rose 0.09% to 1055.11 points. Market turnover was 17,662 billion yuan, a decrease of 493 billion yuan from the previous day [2]. - In terms of industry sectors, national defense and military industry (+1.86%), non - bank finance (+1.51%), and pharmaceutical biology (+1.47%) led the gains; coal (-2.6%), steel (-1.41%), and transportation (-1.38%) led the losses [2]. - From the perspective of market strength, IC>IM>IH>IF. The number of rising, flat, and falling stocks was 2,781, 197, and 2,436 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net capital inflows of - 28 billion, - 85 billion, 16 billion, and 97 billion yuan respectively, with changes of +116 billion, +81 billion, - 16 billion, and - 181 billion yuan respectively [2]. - For stock index futures, the basis of the next - month contracts of IM, IC, IF, and IH were 127.98, 101.42, 13.82, and - 3.03 points respectively. The annualized basis yields were - 11.89%, - 10.02%, - 2.09%, and 0.68% respectively, and the three - year historical quantiles were 26%, 14%, 38%, and 53% respectively [2]. (2) Treasury Bond Futures and Spot Market Performance - On July 28, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.402, down 2.53 bps from the previous day; the five - year bond was 1.57, down 3.26 bps; the ten - year bond was 1.668, down 3.09 bps; and the thirty - year bond was 2.014, down 3.21 bps [3]. - For the current active 2509 contract, the CTD bond of the 2 - year treasury bond futures was 250006.IB, with a yield change of - 1.25 bps, a corresponding net basis of 0, and an IRR of 1.58%; the 5 - year was 240020.IB, with a yield change of - 2.5 bps, a net basis of 0.023, and an IRR of 1.42%; the 10 - year was 250007.IB, with a yield change of - 1.75 bps, a net basis of 0.026, and an IRR of 1.39%; the 30 - year was 210005.IB, with a yield change of - 2.25 bps, a net basis of 0.068, and an IRR of 1.2% [3]. - In terms of the money supply, the central bank injected 4,958 billion yuan and withdrew 1,707 billion yuan in the open market, with a net injection of 3,251 billion yuan [4]. (3) Economic Data - High - frequency data shows that the manufacturing industry's prosperity has recovered recently, with the industrial added value in June exceeding the same period [12]. - Based on the domestic medium - term data tracking chart, positive scores represent an improvement in prosperity, negative scores represent a weakening of prosperity, and zero scores represent little change in prosperity [14][15].