1. Report Industry Investment Rating - No information provided regarding the report industry investment rating. 2. Core Views of the Report - For stock index futures, in the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; in the short - term, the market shows signs of cooling [2]. - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. 3. Summary by Relevant Catalogs (1) Stock Index Futures - **Market Performance**: On September 12, most of the four major A - share stock indexes adjusted. The Shanghai Composite Index fell 0.12% to 3870.6 points, the Shenzhen Component Index fell 0.43% to 12924.13 points, the ChiNext Index fell 1.09% to 3020.42 points, and the STAR 50 Index rose 0.9% to 1338.02 points. Market trading volume was 25,483 billion yuan, an increase of 837 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+1.96%), real estate (+1.51%), and steel (+1.41%) led the gains; communication (-2.13%), comprehensive (-1.95%), and beauty care (-1.52%) led the losses. From the perspective of market strength, IC>IM>IH>IF, and the number of rising/flat/falling stocks was 1,926/130/3,370 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 21.1 billion, - 16.2 billion, 6.3 billion, and 31 billion yuan respectively, with changes of - 47.1 billion, - 0.5 billion, +31.1 billion, and +16.5 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 96.88, 58.55, 5, and - 0.46 points respectively, and the annualized basis yields were - 16.32%, - 10.24%, - 1.38%, and 0.19% respectively, with three - year historical quantiles of 11%, 16%, 43%, and 46% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips; in the short - term, the market shows signs of cooling [2]. (2) Treasury Bond Futures - **Yield Changes**: On September 12, the yields of treasury bond futures rose and fell differently. Among the active contracts, the implied interest rate of the two - year bond was 1.396, up 2.79 bps from the previous day; the implied interest rate of the five - year bond was 1.603, up 0.24 bps; the implied interest rate of the ten - year bond was 1.778, down 0.53 bps; and the implied interest rate of the thirty - year bond was 2.177, down 1.63 bps [2]. - **Cash Bond Situation**: Currently, the active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.024 and an IRR of 1.55%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 0.75 bps, corresponding to a net basis of 0.06 and an IRR of 1.23%; for the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 1.25 bps, corresponding to a net basis of 0.1 and an IRR of 1.07%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 2.7 bps, corresponding to a net basis of - 0.038 and an IRR of 1.59% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 230 billion yuan and withdrew 188.3 billion yuan, with a net injection of 41.7 billion yuan [2]. - **Trading Strategy**: With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long - term [2]. (3) Economic Data - High - frequency data shows that the recent social activity sentiment is weak [8].

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on September 2, 2025, covering the performance of stock index and treasury bond futures on September 1, 2025, as well as market trading strategies and economic data analysis [1][2] Market Performance Stock Index Futures and Spot Market - On September 1, the four major A - share stock indexes oscillated strongly. The Shanghai Composite Index rose 0.46% to 3875.53 points, the Shenzhen Component Index rose 1.05% to 12828.95 points, the ChiNext Index rose 2.29% to 2956.37 points, and the STAR 50 Index rose 1.18% to 1357.15 points. Market turnover was 2777.6 billion yuan, a decrease of 52.6 billion yuan from the previous day [2] - In terms of industry sectors, communication (+5.22%), comprehensive (+4.27%), and non - ferrous metals (+3.46%) led the gains; non - bank finance (-1.28%), banks (-1.03%), and household appliances (-0.54%) led the losses [2] - From the perspective of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 3206, 133, and 2085 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -13.1 billion, -23.3 billion, 800 million, and 35.6 billion yuan respectively, with changes of +11.6 billion, +4.8 billion, -10.8 billion, and -5.5 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 186.95, 147.09, 20.71, and 3.2 points respectively, and the annualized basis yields were -21.49%, -17.83%, -3.95%, and -0.93% respectively, with three - year historical quantiles of 3%, 2%, 21%, and 35% respectively [2] Treasury Bond Futures and Spot Market - On September 1, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.359, a decrease of 0.53 bps from the previous day; the five - year bond was 1.604, a decrease of 1.8 bps; the ten - year bond was 1.734, a decrease of 2.5 bps; and the thirty - year bond was 2.097, a decrease of 1.6 bps [3] - For the current active contract 2512, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.028, and an IRR of 1.54%; the five - year was 250003.IB, with a yield change of -1 bps, a corresponding net basis of 0.026, and an IRR of 1.36%; the ten - year was 220017.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.006, and an IRR of 1.41%; the thirty - year was 210014.IB, with a yield change of -1 bps, a corresponding net basis of 0.028, and an IRR of 1.39% [3] Capital Situation - In terms of open - market operations, the central bank injected 182.7 billion yuan and withdrew 288.4 billion yuan, resulting in a net withdrawal of 105.7 billion yuan [4] Trading Strategies - For the medium - and long - term, maintain the judgment of going long on the economy. Currently, using stock indexes as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips. In the short term, there are signs of market cooling [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts at high levels for the medium - and long - term [4] Economic Data - High - frequency data shows that the recent social activity sentiment is weak [11]

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]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate various risk varieties of stock index futures on dips [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies in the medium and long term [4] 3. Summary by Relevant Catalogs Market Performance - On August 14, the four major A-share stock indexes adjusted, with the Shanghai Composite Index down 0.46% to 3666.44 points, the Shenzhen Component Index down 0.87% to 11451.43 points, the ChiNext Index down 1.08% to 2469.66 points, and the STAR 50 Index up 0.75% to 1085.74 points. The market turnover was 23,063 billion yuan, an increase of 131.1 billion yuan from the previous day. Non-bank finance led the gains, while comprehensive, national defense and military industry, and communication led the losses. In terms of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 734/41/4644 respectively. The net inflows of institutional, main, large, and retail funds in the Shanghai and Shenzhen stock markets were -25.4 billion, -28.9 billion, 6.2 billion, and 48.1 billion yuan respectively, with changes of -33.1 billion, -19 billion, +18.5 billion, and +33.5 billion yuan respectively [2] Stock Index Futures - The basis of IM, IC, IF, and IH next-month contracts was 47.29, 49.65, 9.51, and -0.13 points respectively, with annualized basis yields of -6.28%, -7.15%, -2.11%, and 0.04% respectively, and three-year historical quantiles of 57%, 31%, 37%, and 45% respectively [3] - On August 14, the yields of treasury bond futures rose. Among the active contracts, the implied interest rate of the two-year bond was 1.411, up 1.33 bps from the previous day; the implied interest rate of the five-year bond was 1.583, up 1.57 bps; the implied interest rate of the ten-year bond was 1.679, up 1.74 bps; and the implied interest rate of the thirty-year bond was 2.056, up 2.33 bps [3] Treasury Bond Futures - The CTD bond of the 2-year treasury bond futures was 250006.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.021, and an IRR of 1.22%; the CTD bond of the 5-year treasury bond futures was 240020.IB, with a yield change of +1.25 bps, a corresponding net basis of 0.031, and an IRR of 1.11%; the CTD bond of the 10-year treasury bond futures was 250007.IB, with a yield change of +0.9 bps, a corresponding net basis of 0.016, and an IRR of 1.27%; the CTD bond of the 30-year treasury bond futures was 210005.IB, with a yield change of +2.25 bps, a corresponding net basis of -0.104, and an IRR of 2.29% [4] - In terms of the money market, the central bank injected 128.7 billion yuan and withdrew 160.7 billion yuan, resulting in a net withdrawal of 32 billion yuan [4] Economic Data - High-frequency data shows that the recent import and export and social activity prosperity have declined [11]

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]

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. Market Performance - **Stock Index**: On July 21, the four major A-share stock indexes were all strong. The Shanghai Composite Index rose 0.72% to close at 3,559.79 points, the Shenzhen Component Index rose 0.86% to close at 11,007.49 points, the ChiNext Index rose 0.87% to close at 2,296.88 points, and the STAR 50 Index rose 0.04% to close at 1,007.89 points. Market turnover was 1.7271 trillion yuan, an increase of 133.8 billion yuan from the previous day. In terms of industry sectors, building materials (+6.06%), building decoration (+3.79%), and steel (+3.44%) led the gains; banks (-0.77%), composites (-0.34%), and computers (-0.31%) led the losses. From the perspective of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,002/121/1,291 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -9, -127, -46, and 18.2 billion yuan respectively, with changes of +12.6, -0.6, -8.2, and -3.8 billion yuan respectively [1]. - **Stock Index Futures Basis**: The basis of the next - month contracts of IM, IC, IF, and IH were 149.06, 105.71, 20.81, and 1.04 points respectively, and the annualized basis yields were -12.52%, -9.53%, -2.83%, and -0.21% respectively, with three - year historical quantiles of 23%, 16%, 32%, and 45% respectively [1]. - **Treasury Bond Futures**: On July 21, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.363, up 1.19 bps from the previous day; the implied interest rate of the five - year bond was 1.513, up 1.69 bps; the implied interest rate of the ten - year bond was 1.613, up 1.21 bps; and the implied interest rate of the thirty - year bond was 1.958, up 2.78 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 +1.5 bps, a corresponding net basis of -0.023, and an IRR of 1.63%; for the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of +1.25 bps, a corresponding net basis of -0.031, and an IRR of 1.68%; for the 10 - year treasury bond futures, the CTD bond is 250007.IB, with a yield change of +1.8 bps, a corresponding net basis of -0.041, and an IRR of 1.75%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of +2.25 bps, a corresponding net basis of 0.033, and an IRR of 1.33% [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 170.7 billion yuan and withdrew 226.2 billion yuan, resulting in a net withdrawal of 55.5 billion yuan [2]. 2. Trading Strategies - **Stock Index Futures**: 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 [1]. - **Treasury Bond Futures**: It is recommended to hedge T and TL contracts on rallies for medium - and long - term investors [2]. 3. Economic Data - High - frequency data shows that the real - estate market has recently contracted in terms of prosperity, while the manufacturing industry has seen a recovery in prosperity as the industrial added value in June exceeded the same period [11]. 4. Tables and Figures - **Table 1**: Shows the performance of stock index futures and spot markets, including details such as code, name, price change percentage, current price, price change, trading volume, trading value, open interest, daily position change, settlement price, basis, and annualized basis yield [6]. - **Table 2**: Displays the performance of treasury bond futures and spot markets, including information on code, name, price change percentage, current price, trading volume, trading value, open interest, daily position change, settlement price, net basis, and CTD bond implied interest rate [7]. - **Table 3**: Presents the changes in the short - end funding rate market, including SHIBOR overnight, DR001, SHIBOR one - week, and DR007 rates compared with yesterday, one week ago, and one month ago [11]. - **Figure 1**: Illustrates the term structure of treasury bond spot prices [8][9]. - **Figure 2**: Tracks domestic medium - level economic data, based on the comparison of medium - level data in each module with the same period in the past five years (year - on - year month - on - month), scored according to the degree of change [12][13].