Report Industry Investment Rating - Not provided in the content Core Views of the Report - For the stock index, short - term market needs to digest policy impact, expected to be mainly in shock consolidation with limited upward space. In the long run, the three cornerstones driving the market remain stable, and the policy combination aims to build a "slow - bull" market. The stock index may fluctuate, and short - term attention can be paid to trading volume changes, while mid - term focus on the improvement of fundamentals. [10] - For government bonds, risk preference has decreased, which is a marginal positive for bonds, but the supply of local bonds in late January has increased, and the imbalance between supply and demand at the long - end has not been effectively alleviated. Government bonds may fluctuate. [13] Summary by Relevant Catalogs Financial Futures Strategy Suggestions Stock Index Strategy Suggestions - Stock index trend review: Last week, the stock index showed mixed performance, with the Shanghai Composite Index falling 0.45%. [10] - Core view: Short - term market to digest policy, expected to be in shock, long - term "slow - bull" market possible. [10] - Technical analysis: MACD indicates the market index may fluctuate weakly. [10] - Strategy outlook: Range - bound shock. [10] Government Bond Strategy Suggestions - Government bond trend review: The 30 - year main contract fell 0.09%, the 10 - year main contract rose 0.01%, the 5 - year main contract rose 0.05%, and the 2 - year main contract rose 0.03%. [13] - Core view: Risk preference decline is positive for bonds, but supply is a concern. [13] - Technical analysis: MACD shows the T main contract may fluctuate strongly. [13] - Strategy outlook: Fluctuating operation. [12] Key Data Tracking PMI - In December, the manufacturing PMI rebounded to 50.1%, returning to the boom - bust line after 8 months, significantly stronger than the seasonal average. [20] - The PMI of high - tech manufacturing industries rebounded significantly by 2.4 pct to 52.5%. [20] - Large and medium - sized enterprises led the improvement, although the PMI of small enterprises declined slightly. [20] CPI - In November, CPI increased year - on - year and PPI was positive month - on - month, due to seasonal factors, low - base effect and "anti - involution". [23] - CPI has been fluctuating below 1% for 33 consecutive months, and PPI has been negative for 38 consecutive months, indicating weak domestic demand. [23] - CPI is expected to continue to rise during the year - end and Spring Festival, and PPI may also rebound. [23] Import and Export - In November, China's exports were $330.35 billion, imports were $218.67 billion, and the trade surplus was $111.68 billion. [25] - Labor - intensive products, mechanical and electrical products, and high - tech products drove the overall export in November by - 1.33%, 5.81%, and 2.01% respectively, with an increase in the driving rate compared to last month. [25] - Exports to the EU, Africa, and Latin America drove the year - on - year increase in exports in November, but exports in December may be under pressure. [26] Industrial Added Value - In November, the year - on - year growth rate of industrial added value dropped to 4.8%, and the service industry production index dropped to 4.2%. [27] - The reasons for the decline are the suppression of key industries by "anti - involution" and the high base established after policy implementation last year. [30] Fixed - Asset Investment - From January to November, fixed - asset investment decreased by 2.6% year - on - year, and the estimated fixed - asset investment in November decreased by 11.1% year - on - year, slightly rebounding from October. [33] - Private investment growth rate rebounded to - 12.9%, and public investment growth rate continued to decline to - 8.9%. [33] - Infrastructure and real estate investment growth rates are still at a low level, while manufacturing investment has a slight rebound. [33] Social Retail - In November, social retail sales decreased to 1.3% year - on - year, the weakest since 2023. [36] - The reasons for the decline are the weakening of durable goods consumption, the weak performance of "Double Eleven" sales, and the weak performance of post - real - estate cycle consumption. [36] Social Financing - In November, the new social financing was 2.5 trillion yuan, a year - on - year increase of 0.2 trillion yuan. Corporate bonds and non - standard financing were the main supports, while government bonds and credit were the main drags. [39] - Bill financing continued, and the year - on - year increase of long - term loans for residents and enterprises continued to decrease. [39] - The year - on - year growth rate of social financing remained at 8.5%, and the growth rate of credit in the social financing caliber remained at 6.3%. [39] - The growth rates of M1 and M2 declined, and attention should be paid to the process of deposit currentization. [39]

Report Overview - The report is a financial futures early morning newsletter released by China Merchants Futures Co., Ltd. on January 14, 2026, covering stock index futures and treasury bond futures [1][2][3] 1. Stock Index Futures Market Performance - On January 13, the four major A - share stock indices pulled back. The Shanghai Composite Index fell 0.64% to 4138.76 points, the Shenzhen Component Index dropped 1.37% to 14169.4 points, the ChiNext Index declined 1.96% to 3321.89 points, and the Science and Technology Innovation 50 Index decreased 2.8% to 1469.57 points. Market turnover was 36,988 billion yuan, an increase of 542 billion yuan from the previous day [2] - In terms of industry sectors, petroleum and petrochemicals (+1.62%), pharmaceutical biology (+1.21%), and non - ferrous metals (+0.91%) led the gains; national defense and military industry (-5.5%), electronics (-3.3%), and communications (-2.88%) led the losses [2] - In terms of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1,619/119/3,726 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -718, -568, 256, and 1030 billion yuan respectively, with changes of -772, -302, +341, and +733 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of IM, IC, IF, and IH next - month contracts were 2.73, -7.32, -1.97, and 0.53 points respectively, and the basis annualized yields were -0.33%, 0.9%, 0.41%, and -0.17% respectively. The three - year historical quantiles were 93%, 92%, 67%, and 46% respectively [2] Trading Strategy - In the medium - to - long term, maintain 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 [2] 2. Treasury Bond Futures Market Performance - On January 13, interest - rate bonds strengthened slightly. Among the active contracts, TS remained flat, TF rose 0.04%, T rose 0.06%, and TL rose 0.28% [2] Cash Bond Situation - The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.033, and an IRR of 1.36%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +0.25 bps, a corresponding net basis of -0.014, and an IRR of 1.63%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of -0.1 bps, a corresponding net basis of 0.047, and an IRR of 1.28%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of -0.75 bps, a corresponding net basis of 0.091, and an IRR of 1.14% [3] Fundamentals - In open - market operations, the central bank injected 3,586 billion yuan and withdrew 162 billion yuan, with a net injection of 3,424 billion yuan [3] Trading Strategy - In the medium - to - long term, with the upward shift of risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3] 3. Economic Data - High - frequency data shows that the prosperity of manufacturing, imports and exports, and social activities is temporarily lower than in previous periods, while the prosperity of infrastructure and real estate is similar to previous periods [11]

金融研究 2026年1月13日 星期二 金融期货早班车 招商期货有限公司 市场表现：1 月 12 日，A 股四大股指继续上行，其中上证指数上涨 1.09%，报收 4165.29 点；深成 指上涨 1.75%，报收 14366.91 点；创业板指上涨 1.82%，报收 3388.34 点；科创 50 指数上涨 2.43%， 报收 1511.84 点。市场成交 36,446 亿元，较前日增加 4,922 亿元。行业板块方面，传媒(+7.8%)， 计算机(+7.26%)，国防军工(+5.66%)涨幅居前；石油石化(-1%)，煤炭(-0.47%)，房地产(-0.29%)跌 幅居前。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 4,141/144/1,179。沪深两市，机构、 主力、大户、散户全天资金分别净流入 53、-266、-85、298 亿元，分别变动+70、+15、+13、-98 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 2.61、-9.07、9.32 与 4.34 点，基差年化收益率分别为 -0.3%、1.06%、-1.87%与-1.33%，三年期历史分位数分别为 9 ...

1. Industry Investment Rating - No information provided in the report about the industry investment rating 2. Core Viewpoints - For stock index futures, maintain a long - term view of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips as using stock indices as a long - position substitute currently has certain excess returns [3] - For treasury bond futures, in the medium - to - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs 3.1 Market Performance - On January 6th, A - share four major stock indices all rose. The Shanghai Composite Index rose 1.5% to close at 4083.67 points, the Shenzhen Component Index rose 1.4% to close at 14022.55 points, the ChiNext Index rose 0.75% to close at 3319.29 points, and the STAR 50 Index rose 1.84% to close at 1429.3 points. Market trading volume was 28,323 billion yuan, an increase of 2,650 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+4.26%), non - bank finance (+3.73%), and basic chemicals (+3.12%) led the gains; communication (-0.77%), beauty care (+0.2%), and banks (+0.48%) led the losses [2] - In terms of market strength, IC > IH > IF > IM. The number of rising/flat/falling stocks was 4,101/140/1,218 respectively. In Shanghai and Shenzhen stock markets, institutional, main, large - scale investor, and retail investor funds had net inflows of 34, - 210, - 50, and 227 billion yuan respectively, with changes of - 57, - 57, +69, and +44 billion yuan [2] 3.2 Stock Index Futures - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 51.3, 8.54, 5.89, and - 0.44 points respectively, and the basis annualized yields were - 5.44%, - 0.91%, - 1.03%, and 0.12% respectively. The three - year historical quantiles were 65%, 83%, 55%, and 50% respectively [3] - **Trading Strategy**: In the medium - to - long term, maintain a long - position view on the economy. It is recommended to allocate long - term contracts of each variety on dips [3] 3.3 Treasury Bond Futures - **Market Performance**: On January 6th, interest - rate bonds weakened. Among the active contracts, TS fell 0.05%, TF fell 0.11%, T fell 0.13%, and TL fell 0.31% [3] - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures CTD bond 250017.IB, the yield changed +1.75bps, corresponding to a net basis of 0.02 and an IRR of 1.33%; for the 5 - year treasury bond futures CTD bond 2500801.IB, the yield changed +3bps, corresponding to a net basis of - 0.047 and an IRR of 1.68%; for the 10 - year treasury bond futures CTD bond 250018.IB, the yield changed +2.6bps, corresponding to a net basis of 0.01 and an IRR of 1.38%; for the 30 - year treasury bond futures CTD bond 210005.IB, the yield changed +1.75bps, corresponding to a net basis of - 0.196 and an IRR of 2.25% [3] - **Funding Situation**: In open - market operations, the central bank injected 162 billion yuan and withdrew 3,125 billion yuan, resulting in a net withdrawal of 2,963 billion yuan [3] - **Trading Strategy**: In the medium - to - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts on rallies [3] 3.4 Stock Index Futures Spot Market Performance - Details of the rise and fall, current price, trading volume, trading value, open interest, daily position change, settlement price, basis, and basis annualized yield of various stock index futures contracts (such as IC2601, IF2601, etc.) and corresponding spot indices (such as CSI 500, SSE Composite Index) are provided in Table 1 [6] 3.5 Treasury Bond Futures Spot Market Performance - Details of the rise and fall, current price, trading volume, trading value, open interest, daily position change, settlement price, net basis, CTD bond implied interest, and cash bond yield of various treasury bond futures contracts (such as TS2603, TF2603, etc.) and corresponding cash bonds (such as 22 - attached coupon treasury bond 22, 25 - attached coupon treasury bond 03) are provided in Table 2 [7] 3.6 Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, import and export, and social activities is currently lower than in previous periods, while the prosperity of infrastructure is similar to that in previous periods [11]

Report Summary 1. Market Performance - On January 5th, A-share's four major stock indices all rose, with the Shanghai Composite Index up 1.38% to close at 4023.42 points, the Shenzhen Component Index up 2.24% to 13828.63 points, the ChiNext Index up 2.85% to 3294.55 points, and the STAR 50 Index up 4.41% to 1403.41 points. Market turnover was 2567.2 billion yuan, an increase of 501.5 billion yuan from the previous day [2]. - In terms of industry sectors, Media (+4.12%), Medicine and Biology (+3.85%), and Electronics (+3.69%) led the gains, while Petroleum and Petrochemicals (-1.29%), Banks (-0.34%), and Transportation (-0.3%) led the losses [2]. - In terms of market strength, IC > IH > IM > IF. The number of rising, flat, and falling stocks was 4180, 116, and 1162 respectively. Institutional, main, large - investor, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were 9.1 billion, - 15.4 billion, - 11.9 billion, and 18.2 billion yuan respectively, with changes of +15.5 billion, +5.3 billion, - 12.3 billion, and - 8.5 billion yuan [2]. 2. Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was 56.08, 26.4, 15.15, and 0.15 points respectively, with annualized basis yields of - 5.83%, - 2.78%, - 2.59%, and - 0.04% respectively, and three - year historical quantiles of 62%, 70%, 40%, and 48% respectively [3]. - Trading strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - dated contracts of each variety on dips [3]. 3. Treasury Bond Futures - On January 5th, interest - rate bonds remained flat. Among the active contracts, TS fell 0.03%, TF fell 0.02%, T rose 0.03%, and TL fell 0.05% [3]. - For the current active contract 2603: The CTD bond of the 2 - year Treasury bond futures was 250017.IB, with a yield change of +1.25bps, a corresponding net basis of 0.002, and an IRR of 1.42%; the CTD bond of the 5 - year Treasury bond futures was 2500801.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.051, and an IRR of 1.69%; the CTD bond of the 10 - year Treasury bond futures was 250018.IB, with a yield change of +0.9bps, a corresponding net basis of 0.012, and an IRR of 1.37%; the CTD bond of the 30 - year Treasury bond futures was 210005.IB, with a yield change of +2.75bps, a corresponding net basis of - 0.091, and an IRR of 1.81% [3]. - In the open - market operations, the central bank injected 1.35 billion yuan and回笼 48.23 billion yuan, resulting in a net回笼 of 46.88 billion yuan [3]. - Trading strategy: In the medium - to - long term, with the upward shift in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [3]. 4. Economic Data - High - frequency data shows that the manufacturing, real estate, import - export, and social activity sectors' prosperity is currently lower than the previous period, while the infrastructure sector's prosperity is similar to the previous period [10].

1. Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints - For stock index futures, the report maintains the judgment of long - term bullish on the economy, and it is recommended to allocate various stock index varieties on dips as the stock index can provide certain excess returns as a long - position substitute in the medium - to - long term [2]. - For bond futures, considering the upward risk appetite and the expectation of economic recovery in the long - term, it is suggested to hedge T and TL contracts on rallies [3]. 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - On December 31st, most of the four major A - share stock indexes declined. The Shanghai Composite Index rose 0.09% to close at 3968.84 points, the Shenzhen Component Index fell 0.58% to 13525.02 points, the ChiNext Index dropped 1.23% to 3203.17 points, and the STAR 50 Index decreased 1.15% to 1344.2 points. Market trading volume was 2.0658 trillion yuan, a decrease of 95.7 billion yuan from the previous day [2]. - In terms of industry sectors, national defense and military industry (+2.13%), media (+1.54%), and real estate (+1.13%) led the gains, while communication (-1.35%), agriculture, forestry, animal husbandry and fishery (-1.1%), and electronics (-1.02%) led the losses [2]. - In terms of market strength, IC > IM > IH > IF. The number of rising, flat, and falling stocks was 2,470, 219, and 2,768 respectively. Institutional, main, large - scale, and retail investors had net inflows of - 6.4 billion, - 20.7 billion, 400 million, and 26.7 billion yuan respectively, with changes of +3 billion, - 6.3 billion, +1.8 billion, and +1.4 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH were 90.88, 57.77, 20.34, and 5.93 points respectively. The annualized basis yields were - 9.35%, - 6.05%, - 3.43%, and - 1.53% respectively, with three - year historical quantiles of 47%, 45%, 32%, and 34% respectively [2]. 3.2 Treasury Bond Futures and Spot Market Performance - On December 31st, interest - rate bonds declined. Among the active contracts, TS fell 0.03%, TF dropped 0.04%, T decreased 0.07%, and TL declined 0.35% [3]. - In terms of cash bonds, for the 2 - year Treasury bond futures, the CTD bond was 250017.IB, with a yield change of +0.5bps, a corresponding net basis of 0.1, and an IRR of 1.5%. For the 5 - year Treasury bond futures, the CTD bond was 2500801.IB, with a yield change of +1.5bps, a corresponding net basis of 0.02, and an IRR of 1.88%. For the 10 - year Treasury bond futures, the CTD bond was 250018.IB, with a yield change of +0bps, a corresponding net basis of 0.192, and an IRR of 1.07%. For the 30 - year Treasury bond futures, the CTD bond was 210005.IB, with a yield change of - 0.25bps, a corresponding net basis of 0.488, and an IRR of 0.15% [3]. - In terms of the money market, the central bank injected 528.8 billion yuan and withdrew 26 billion yuan through open - market operations, with a net injection of 502.8 billion yuan [3]. 3.3 Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, import - export, and social activities is currently lower than the previous period, while the prosperity of infrastructure is similar to that of the previous period [10].

金融研究 2025年12月23日 星期二 金融期货早班车 招商期货有限公司 股指期货 市场表现：12 月 22 日，A 股四大股指继续反弹，其中上证指数上涨 0.69%，报收 3917.36 点；深 成指上涨 1.47%，报收 13332.73 点；创业板指上涨 2.23%，报收 3191.98 点；科创 50 指数上涨 2.04%， 报收 1335.25 点。市场成交 18,822 亿元，较前日增加 1,335 亿元。行业板块方面，通信(+4.28%)， 综合(+2.63%)，电子(+2.62%)涨幅居前；传媒(-0.61%)，银行(-0.52%)，美容护理(-0.45%)跌幅居前。 从市场强弱看，IC>IM>IF>IH，个股涨/平/跌数分别为 2,983/212/2,261。沪深两市，机构、主力、大 户、散户全天资金分别净流入 103、-85、-84、67 亿元，分别变动+48、+14、+38、-100 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 135.15、92.86、36.02 与 3.63 点，基差年化收益率分 别为-11.69%、-8.2%、-5.01%与-0.77%，三年期历史分 ...

金融研究 2025年12月18日 星期四 金融期货早班车 招商期货有限公司 | 代码 | 名称 | 涨跌幅% | 现价 | 涨跌 | 成交量 | 成交额 | 持仓量 | 日增仓量 | 结算价 | 基差 | 基差年化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | | | | | 收益率% | | IC2512 | 中证 2512 | 2.02 | 7146.8 | 141.4 | 75907 | 10740836 | 56653 | -18652 | 7151.8 | -9.0 | 10.5 | | IC2601 | 中证 2601 | 2.25 | 7107.8 | 156.4 | 29360 | 4125282 | 50281 | 10713 | 7101.6 | 30.0 | -5.0 | | IC2603 | 中证 2603 | 2.37 | 6996.0 | 161.8 | 63450 | 8780585 | 121840 | 8807 | 6992.2 | 141 ...

金融研究 2025年12月12日 星期五 金融期货早班车 敬请阅读末页的重要说明 招商期货有限公司 市场表现：12 月 11 日，A 股四大股指有所调整，其中上证指数下跌 0.7%，报收 3873.32 点；深成 指下跌 1.27%，报收 13147.39 点；创业板指下跌 1.41%，报收 3163.67 点；科创 50 指数下跌 1.55%， 报收 1325.83 点。市场成交 18,853 亿元，较前日增加 936 亿元。行业板块方面，银行(+0.17%)，国 防军工(-0.24%)，电力设备(-0.25%)涨幅居前；综合(-4.31%)，通信(-3.14%)，房地产(-3.06%)跌幅 居前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,030/46/4,377。沪深两市，机构、主 力、大户、散户全天资金分别净流入-333、-231、170、394 亿元，分别变动-274、-89、+144、+220 亿元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 89.2、67.09、29.38 与 14.43 点，基差年化收益率分别 为-12.2%、-9.47%、-6.46% ...

金融研究 2025年12月9日 星期二 金融期货早班车 招商期货有限公司 股指期货 市场表现：12 月 8 日，A 股四大股指走强，其中上证指数上涨 0.54%，报收 3924.08 点；深成指上 涨 1.39%，报收 13329.99 点；创业板指上涨 2.6%，报收 3190.27 点；科创 50 指数上涨 1.86%， 报收 1350.8 点。市场成交 20,516 亿元，较前日增加 3,127 亿元。行业板块方面，通信(+4.79%)， 综合(+3.03%)，电子(+2.6%)涨幅居前；煤炭(-1.43%)，石油石化(-0.84%)，食品饮料(-0.78%)跌幅 居前。从市场强弱看，IM>IC>IF>IH，个股涨/平/跌数分别为 3,407/182/1,863。沪深两市，机构、主 力、大户、散户全天资金分别净流入 60、-52、-38、31 亿元，分别变动-21、+11、+105、-95 亿元。 基差：IM、IC、IF、IH 次月合约基差分别为 119.45、81.97、24.35 与 9.96 点，基差年化收益率分 别为-14.37%、-10.2%、-4.7%与-2.95%，三年期历史分位数分别为 ...