Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The report suggests paying attention to the central bank's attitude. Although the Fed cut interest rates by 25bp as expected, the domestic market may not have an urgent need to follow suit. The central bank may need to use various tools to inject liquidity. If the central bank does not make a statement in the short term, the market's upside potential will be limited. The trading strategy is not to chase the rise, and long positions can be entered at low levels [1][2] 3. Summary According to Related Catalogs 3.1. Market Performance - On Thursday, Treasury bond futures opened lower and fluctuated within a range, closing down across the board. Except for the 1 - year bond, the yields of spot bonds rose. The open - market reverse repurchase was 487 billion yuan, with a net injection of 195 billion yuan. The funding situation remained tight, and DR001 rose to 1.51% [1] - The Fed cut interest rates by 25bp as expected, emphasizing the downside risk of employment and an increase in inflation. It is expected to cut interest rates twice this year and once next year. Milan cast the only dissenting vote, advocating a 50 - basis - point rate cut. The central bank will tender and issue 60 billion yuan of 6 - month RMB central bank bills in Hong Kong on September 22 [2] 3.2. Futures Contract Data | Contract | 2025 - 09 - 18 Price | 2025 - 09 - 17 Price | Price Change | 2025 - 09 - 18 Position | 2025 - 09 - 17 Position | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.414 | 102.45 | - 0.036 | 76,633 | 79,034 | - 2,401 | | TF2512 | 105.815 | 105.87 | - 0.055 | 150,650 | 147,322 | 3,328 | | T2512 | 108.065 | 108.135 | - 0.07 | 249,992 | 246,189 | 3,803 | | TL2512 | 115.68 | 115.82 | - 0.14 | 169,140 | 166,472 | 2,668 | | TS Basis (CTD) | - 0.0528 | - 0.0395 | - 0.0133 | | | | | TF Basis (CTD) | - 0.002 | - 0.0011 | - 0.0009 | | | | | T Basis (CTD) | 0.3044 | 0.2948 | 0.0096 | | | | | TL Basis (CTD) | 0.5636 | 0.5555 | 0.0081 | | | | | TS Main Contract Trading Volume | 34,264 | 38,558 | - 4,294 | | | | | TF Main Contract Trading Volume | 64,176 | 70,704 | - 6,528 | | | | | T Main Contract Trading Volume | 93,558 | 101,611 | - 8,053 | | | | | TL Main Contract Trading Volume | 129,045 | 132,135 | - 3,090 | | | | [3] 3.3. Other Charts - The report also includes charts of the basis and IRR of TS, TF, T, and TL main contracts, long - term and ultra - long - term bond interest rate trends, deposit - type institution financing rates and policy rates, exchange financing rates, and US Treasury bond yield trends and US - China interest rate differentials and RMB exchange rates [4][8][10][11][15]

1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core View of the Report - The report analyzes the factors affecting the bond market. The positive factors include a stable and loose capital supply, which provides continuous liquidity support and eases the pressure on the bond market, and the slower - than - expected issuance of government bonds, which reduces supply and eases concerns about the "asset shortage". The negative factors are that the manufacturing PMI has risen above 50, enhancing the expectation of economic improvement and suppressing the demand for bonds, and the 10 - year treasury bond variety has undergone shock adjustments, increasing the potential profit - taking pressure and weighing on market sentiment. The trading advice is to pay attention to the allocation value of the 10 - year treasury bond yield in the range of 1.75% - 1.80% and seize the trading opportunities [3]. 3. Summary According to Related Figures 3.1 Bond Yields - The report presents the trends of 2 - year, 5 - year, 7 - year, 10 - year, and 30 - year treasury bond yields from 2024/04 to 2025/04 [4]. 3.2 Interest Rates - The trends of the weighted average interest rate of pledged repurchase by deposit - taking institutions for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 are shown [4]. 3.3 Bond Term Spreads - The trends of the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/04 are presented [4]. 3.4 Bond Futures Positions - The positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are shown [6]. 3.5 Bond Futures Trading Volumes - The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/04 are presented [7]. 3.6 Bond Futures Basis - The trends of the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures for the current - quarter contracts are shown from different time periods: 02/29 - 10/31 for 2 - year, 2024/04 - 2025/04 for 5 - year, 02/29 - 10/31 for 10 - year, and 2023/06 - 2025/06 for 30 - year [8][9][10][14]. 3.7 Bond Futures Inter - delivery Spreads - The trends of the inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented from different time periods: 2024/04 - 2025/04 for 2 - year, 5 - year, and 10 - year, and 2023/06 - 2025/06 for 30 - year [12][13][15][16]. 3.8 Bond Futures Cross - variety Spreads - The trends of the cross - variety spreads of TS*4 - T from 2024/04 to 2025/04 and T*3 - TL from 2023/06 to 2025/06 are presented [17][18].

Group 1: Report Industry Investment Rating - The report does not mention the industry investment rating. Group 2: Core View of the Report - This week, all Treasury bond futures closed lower. The closing prices of the 30 - year (TL), 10 - year (T), 5 - year (TF), and 2 - year (TS) Treasury bond futures in the main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week. The overall Treasury bond futures market showed a trend of rising first and then falling, with prices of all - term contracts declining. Due to the support of loose funding at the short - end, TF and TS performed better than TL and T. After the increase in equity risk appetite, Treasury bond futures were more likely to fall than rise. Although the weak economic data released on Friday morning supported a rebound in the morning session, the market then returned to the bearish direction [4]. Group 3: Summary by Related Catalogs Price and Volume - **Price**: The closing prices of TL, T, TF, and TS main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week [4]. - **Open Interest**: The open interest of the main contracts continued to decline. The open interest of TL, T, TF, and TS main contracts decreased by 26.1%, 28%, 23.3%, and 19.6% respectively compared to last week. The total open interest of all contracts also decreased, with T, TL, TF, and TS decreasing by 0.7%, 1.3%, 5.6%, and 4.6% respectively compared to last week. The total open interest of all Treasury bond futures decreased by 2.83% compared to last week [4]. - **Trading Volume**: The trading volume of Treasury bond futures rebounded significantly compared to last week. The trading volumes of TL, T, TF, and TS main contracts increased by 28%, 21.1%, 8.3%, and 18.9% respectively compared to last week; the trading volumes of all contracts increased by 44.6%, 31.8%, 16.6%, and 20.9% respectively compared to last week [4]. Spread and Ratio - **Inter - delivery Spread**: Except for the unchanged inter - delivery spread of the T variety, the spreads of other varieties widened. From the 09 - 12 month spread, the inter - delivery spread of TL continued to widen, rising by 0.1 yuan; the spreads of TS and TF reversed, rising from a decline to 0.014 yuan and 0.055 yuan respectively; the spread of T remained unchanged compared to last week [4]. - **Long - Short Ratio**: The long - short ratios of the top 20 seats in the main contracts of TL, T, TF, and TS were 0.99, 1.03, 0.93, and 0.93 respectively, changing by - 0.018, + 0.027, - 0.001, and + 0.019 respectively compared to last week. Among them, the long - short ratios of T and TS improved [4]. IRR and Basis - **IRR**: From the perspective of IRR, the IRR corresponding to the CTD of the T and TF main contracts rebounded marginally this week. The IRR corresponding to the CTD of the TL, T, TF, and TS main contracts were - 1.2584%, 2.1507%, 1.5529%, and 1.1675% respectively, changing by - 2.6924%, + 0.7559%, + 0.0154%, and - 0.2929% respectively compared to last week. Among them, TL moved towards the lower extreme, T returned to the 3/4 quantile level of history, and TF and TS were at relatively low levels in history [4]. - **Basis**: The basis of TL and TS widened, while the basis of T and TF converged. The discount of the TL main contract widened by 0.2855 yuan compared to the closing price last week, and the widening of the discount may reflect that the market was more cautious about the future market trend [4]. Technical Analysis - Technically, the bearish sentiment dominated the market this week, and the price of the TL main contract broke through the support level. During the week, TL and T opened and closed lower, with significant declines compared to the closing price last Friday. Based on the trading volume distribution, the trading price of TL was mainly distributed (more than 80%) between about 117.52 - 118.43, while the trading price of T was distributed between about 108.31 - 108.48. According to the closing data on Friday, the prices of the T and TL main contracts both broke below the lower limit of the trading volume distribution center of gravity [4].

Report Information - Report Title: Stock Index Futures Morning Report - July 17, 2025 [1] - Author: Du Shufang from the Investment Consulting Department of Dayue Futures [1] - Contact Information: 0575 - 85226759 [1] 1. Report Industry Investment Rating - Not provided in the given content 2. Report's Core View - IC2507 has a discount of 10.59 points, and IM2507 has a discount of 17.66 points indicating a bearish outlook; in the bond futures market, the previous day saw a divergence in the two markets, with the weighted index adjusting, the Hong Kong stock market rising and then falling back, and the small - cap index strengthening, and the trading volume decreased (neutral); the margin trading balance increased by 4.9 billion yuan to 1.8772 trillion yuan (bullish); IH2507 has a discount of 7.3 points, and IF2507 has a discount of 9.2 points (neutral); the main contracts show IM>IC>IF>IH, and IH, IF, IM, IC, IF are above the 20 - day moving average (bullish); the main positions of IH decreased, IF increased, and IC decreased (bullish); the financial sector led by banks continued to adjust, indicating obvious short - term upward pressure, the index is oscillating at a high level, it is not recommended to chase high intraday, and appropriate reduction of positions is advisable when there is a sharp rise [3] 3. Summary by Related Catalogs 3.1 Futures Market - **Index Futures Data**: For上证50, IH2507 had a contract price of 2,733.60 with a - 0.24% change, and a discount of 7.3 points; for沪深300, IF2507 had a contract price of 3,998.00 with a - 0.29% change, and a discount of 9.2 points; for中证500, IC2507 had a contract price of 6,006.60 with a 0.04% change, and a discount of 10.59 points; for中证1000, IM2507 had a contract price of 6,444.40 with a 0.41% change, and a discount of 17.66 points [4] - **Base and Spread Charts**: There are base and spread charts for上证50 and中证500, showing historical data trends [6][9] 3.2 Spot Market - **Important Index Daily Returns**: The daily returns of important indexes such as上证综指,上证50,沪深300, etc. are presented, with the上证50 having a - 0.23% return, the沪深300 having a - 0.30% return, etc [12] - **Style Index Daily Returns**: The daily returns of style indexes such as 300周期, 300非周期, low - P/E ratio index, etc. are shown, with the 300周期 having a - 0.16% return, the small - cap index having a 0.36% return, etc [15] 3.3 Market Structure - **AH Share Premium**: The historical data of the恒生AH溢价指数 is presented, showing the premium situation of A - shares over H - shares [22] - **P/E Ratio and P/B Ratio**: The historical P/E (TTM) and P/B ratios of上证50,沪深300,中证500, and创业板指 are presented [25][27] 3.4 Market Fundamentals - **Stock Market Fund Inflow**: The historical data of A - share fund net inflow and the沪深300 index are presented, showing the relationship between fund inflow and the index [29] - **Margin Trading Balance**: The historical data of margin trading balance and the沪深300 index are presented [31] - **Northbound Capital Inflow**: The historical data of northbound capital net inflow is presented [33] - **Fund Cost**: The historical data of SHIBOR overnight, SHIBOR one - week, and SHIBOR two - week rates are presented [39] 3.5 Market Sentiment - **Trading Activity**: The historical data of turnover rates (free - floating market value) of上证50,沪深300,中证500, and创业板指 are presented [42][45] - **Mutual Fund Positions**: The historical data of the positions of public - offering hybrid funds is presented [47] 3.6 Other Indicators - **Dividend Yield and Bond Yield**: The historical data of the dividend yields of index futures and the 10 - year Treasury bond yield are presented [51] - **Exchange Rate**: The historical data of the US dollar - RMB exchange rate is presented [53] - **New Account Openings and Index Tracking**: The relationship between new account openings and the上证综指 is tracked [54] - **New Fund Establishment Scale**: The changes in the new establishment scales of stock - type, hybrid, and bond - type funds are presented [56][58][60]

Group 1: Report Industry Investment Rating - No relevant information provided Group 2: Core Viewpoints - On June 3, the bond market showed narrow fluctuations, with most yields of major interest - rate bonds in the inter - bank market rising slightly, and most treasury bond futures closing down. The inter - bank market funds were balanced and loose, and the weighted average interest rates of major repurchase transactions declined. The Sino - US tariff war is a long - term process, and short - term changes are unlikely to significantly affect bond market expectations. Domestic factors such as this month's liquidity, certificate of deposit rates, and government bond supply need to be monitored [3]. - The 5 - month manufacturing PMI rebounded slightly but remained in the contraction range, and the Caixin China Manufacturing PMI fell below the boom - bust line for the first time in eight months. In April, government bond issuance helped the growth rate of social financing scale continue to accelerate, and the central bank cut interest rates and reserve requirements. After the shock of the suspension of the tariff war was quickly released and the reserve requirement and interest rate cuts were implemented, the funds remained loose. With the central bank's continued use of quantitative tools, the bond market's continuous adjustment momentum remains [5]. Group 3: Summary by Related Catalogs 1. Market Review - The T2509 contract had a closing price of 108.685, a decline of 0.03%, a trading volume of 96,000, an open interest of 285,750, and a daily decrease of 1,142 positions. The TF2509 contract had a closing price of 105.960, a decline of 0.04%, a trading volume of 79,600, an open interest of 219,680, and a daily increase of 5,684 positions. The TS2509 contract had a closing price of 102.352, a decline of 0.04%, a trading volume of 54,900, an open interest of 171,028, and a daily increase of 5,667 positions. The TL2509 contract had a closing price of 119.45, an increase of 0.03%, a trading volume of 96,300, an open interest of 148,128, and a daily decrease of 780 positions [8]. 2. Fundamental Analysis - On June 3, the People's Bank of China conducted 454.5 billion yuan of 7 - day reverse repurchase operations at a fixed - rate and quantity - tender method with an operating rate of 1.40%. With 830 billion yuan of reverse repurchases maturing on the same day, the net withdrawal was 375.5 billion yuan [3]. 3. Basis Analysis - The basis of the TS main contract was - 0.0741, indicating that the spot was at a discount to the futures, which was bearish. The basis of the TF main contract was - 0.0175, also indicating a discount of the spot to the futures, which was bearish. The basis of the T main contract was 0.0230, indicating that the spot was at a premium to the futures, which was bullish. The basis of the TL main contract was 0.41130, indicating a premium of the spot to the futures, which was bullish [3]. 4. Inventory Analysis - The balances of deliverable bonds for the TS, TF, and T main contracts were 1.3594 trillion yuan, 1.4935 trillion yuan, and 2.3599 trillion yuan respectively, which was neutral [4]. 5. Market Analysis - The TS, TF, and T main contracts were all trading above their 20 - day moving averages, and the 20 - day moving averages were all upward, which was bullish [4]. 6. Position Analysis - The TS main contract had a net long position with an increase in long positions. The TF main contract had a net long position with an increase in long positions. The T main contract had a net long position with a decrease in long positions [5].