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].

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].

Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - For stock index futures, maintain a long - term bullish view on the economy and recommend buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, suggest medium - to long - term hedging of T and TL contracts on rallies [2]. 3. Summary by Section Stock Index Futures - **Market Performance**: On July 17, A - share major indices rose, with Shanghai Composite Index up 0.37% to 3516.83, Shenzhen Component Index up 1.43% to 10873.62, ChiNext Index up 1.75% to 2269.33, and STAR 50 Index up 0.8% to 1005.65. Market turnover was 1560.3 billion yuan, an increase of 98.5 billion yuan from the previous day. Defense and military (+2.74%), communication (+2.41%), and electronics (+2.18%) led the gains, while banking (-0.42%), transportation (-0.39%), and environmental protection (-0.26%) led the losses. IM>IC>IF>IH in terms of market strength, with 3535 stocks rising, 271 flat, and 1609 falling. Net inflows of institutional, main, large - scale, and retail funds were 12.4 billion, - 5.4 billion, - 9.5 billion, and 2.5 billion yuan respectively, with changes of +19.3 billion, +1.1 billion, - 9.7 billion, and - 10.7 billion yuan [2]. - **Basis and Yield**: The basis of IM, IC, IF, and IH next - month contracts were 69.67, 51.86, 11.49, and 2.26 points respectively, with annualized basis yields of - 12.11%, - 9.69%, - 3.24%, and - 0.94%. Their three - year historical quantiles were 25%, 15%, 30%, and 39% respectively [2]. - **Trading Strategy**: Long - term bullish on the economy, recommend buying long - term contracts of various varieties on dips [2]. Treasury Bond Futures - **Market Performance**: On July 17, most yields of treasury bond futures declined. The implied yields of 2 - year, 5 - year, 10 - year, and 30 - year bonds were 1.35 (down 0.4bps), 1.491 (down 0.48bps), 1.595 (down 0.22bps), and 1.923 (up 0.09bps) respectively [2]. - **Cash Bond**: The current active contract is 2509. The CTD bonds, yield changes, net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - **Funding**: The central bank injected 450.5 billion yuan and withdrew 90 billion yuan, resulting in a net injection of 360.5 billion yuan [2]. - **Trading Strategy**: Suggest medium - to long - term hedging of T and TL contracts on rallies [2]. Economic Data - High - frequency data shows that the real - estate market's prosperity has recently contracted, while the other four indicators are similar to the same period [10].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - For stock index futures, in the medium - to - long - term, maintain the judgment of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips, and be aware of the basis regression risk of near - term contracts near the delivery date [2]. - For treasury bond futures, it is recommended to hedge T and TL contracts at high prices in the medium - to - long - term [2]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On July 16, most of the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 0.03% to 3503.78 points, the Shenzhen Component Index fell 0.22% to 10720.81 points, and the ChiNext Index fell 0.22% to 2230.19 points. The STAR 50 Index rose 0.14% to 997.63 points. Market turnover was 1461.7 billion yuan, a decrease of 173.3 billion yuan from the previous day. In terms of industry sectors, social services, automobiles, and pharmaceutical biology led the gains, while steel, banks, and non - ferrous metals led the losses. From the perspective of market strength, IM>IC>IH>IF. The number of rising, flat, and falling stocks was 3276, 211, and 1928 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 6.9 billion, - 6.5 billion, 200 million, and 13.2 billion yuan respectively, with changes of +3 billion, +9.1 billion, - 3.1 billion, and - 8.9 billion yuan respectively [2]. - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 89.26, 67.59, 22.6, and 9.7 points respectively, and the basis annualized yields were - 15.01%, - 12.21%, - 6.13%, and - 3.85% respectively. The three - year historical quantiles were 14%, 10%, 20%, and 26% respectively [2]. - **Trading Strategy**: Near the delivery date, pay attention to the basis regression risk of near - term contracts. In the medium - to - long - term, maintain the judgment of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips [2]. 3.2 Treasury Bond Futures - **Market Performance**: On July 16, the yields of treasury bond futures showed a pattern of short - term decline and long - term increase. Among the active contracts, the implied interest rate of the two - year bond was 1.36, a decrease of 1.06 bps from the previous day; the implied interest rate of the five - year bond was 1.502, a decrease of 0.12 bps; the implied interest rate of the ten - year bond was 1.602, an increase of 0.05 bps; the implied interest rate of the thirty - year bond was 1.924, an increase of 0.09 bps [2]. - **Cash Bonds**: The current active contract is the 2509 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 520.1 billion yuan and withdrew 75.5 billion yuan, with a net injection of 444.6 billion yuan [2]. - **Trading Strategy**: It is recommended to hedge T and TL contracts at high prices in the medium - to - long - term [2]. 3.3 Economic Data - High - frequency data shows that the real - estate market sentiment has recently contracted, while the other four indicators are similar to the same period [12].

Report Summary 1. Market Performance - On July 14, most of the four major A-share stock indices declined, with the Shanghai Composite Index rising 0.27% to 3,519.65 points, the Shenzhen Component Index falling 0.11% to 10,684.52 points, the ChiNext Index dropping 0.45% to 2,197.07 points, and the STAR 50 Index decreasing 0.21% to 992.39 points. The market turnover was 1.4809 trillion yuan, a decrease of 255.7 billion yuan from the previous day. Among industry sectors, machinery and equipment (+1.23%), comprehensive (+1.04%), and public utilities (+1.03%) led the gains, while real estate (-1.29%), media (-1.24%), and non-bank finance (-1.03%) were the top losers [2]. - The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -14.8 billion yuan, -11.8 billion yuan, 7.8 billion yuan, and 18.7 billion yuan respectively, with changes of -14.2 billion yuan, +1.6 billion yuan, +14.7 billion yuan, and -2.1 billion yuan respectively [2]. 2. Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 88.91, 69.46, 22.27, and 9.21 points respectively, with annualized basis yields of -13.76%, -11.54%, -5.54%, and -3.34% respectively, and three - year historical quantiles of 18%, 11%, 22%, and 28% respectively [3]. - The short - term stock index discount has returned to an extreme level again. In the medium - to - long term, it is judged to be bullish on the economy. Currently, using stock index long - position substitution has a certain excess return. It is recommended to allocate long - term contracts of each variety on dips [3]. 3. Treasury Bond Futures - On July 14, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.39, up 2.26 bps from the previous day; the five - year bond was 1.522, up 2.17 bps; the ten - year bond was 1.618, up 1.8 bps; and the thirty - year bond was 1.943, up 1.44 bps [3]. - For the current active 2509 contract, the CTD bonds and their corresponding data are as follows: the two - year treasury bond futures CTD bond is 250006.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.01, and an IRR of 1.48%; the five - year is 240020.IB, with a yield change of +2 bps, a net basis of -0.021, and an IRR of 1.65%; the ten - year is 220010.IB, with a yield change of +1.39 bps, a net basis of 0.037, and an IRR of 1.33%; the thirty - year is 210005.IB, with a yield change of +0.8 bps, a net basis of 0.1, and an IRR of 1.11% [4]. - In terms of the money supply, the central bank injected 226.2 billion yuan and withdrew 106.5 billion yuan, resulting in a net injection of 119.7 billion yuan. It is recommended to hedge T and TL contracts on rallies for medium - to - long - term investors [4]. 4. Economic Data - High - frequency data shows that the real estate market has recently contracted, while the other four sectors are similar to the same period [11].