1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts of various varieties on dips, and note short - term market cooling signs [3] - For bond futures, be short - term bullish, consider the implied interest rate of ultra - long bonds at 2.2 to be cost - effective; for the medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4] 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - On October 14, A - share four major stock indexes declined. The Shanghai Composite Index fell 0.62% to 3865.23 points, the Shenzhen Component Index dropped 2.54% to 12895.11 points, the ChiNext Index decreased 3.99% to 2955.98 points, and the STAR 50 Index declined 4.26% to 1410.3 points. Market turnover was 25,966 billion yuan, an increase of 2,224 billion yuan from the previous day [2] - In terms of industry sectors, banks (+2.51%), coal (+2.18%), and food and beverage (+1.69%) led the gains; communication (-4.98%), electronics (-4.64%), and non - ferrous metals (-3.66%) led the losses [2] - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 1,733, 148, and 3,547 respectively. Net capital inflows of institutions, main funds, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 392, - 238, 187, and 443 billion yuan respectively, with changes of - 241, + 10, + 189, and + 43 billion yuan [2] - The basis of IM, IC, IF, and IH next - month contracts was 143.15, 128.85, 23.86, and - 0.3 points respectively, with annualized basis yields of - 16.74%, - 15.44%, - 4.53%, and 0.09%, and three - year historical quantiles of 11%, 8%, 20%, and 45% [3] 3.2 Treasury Bond Futures and Spot Market Performance - On October 14, the bond market strengthened. Among active contracts, the implied interest rate of two - year bonds was 1.393, down 1.33bps from the previous day; that of five - year bonds was 1.561, down 2.39bps; that of ten - year bonds was 1.721, down 4.57bps; and that of thirty - year bonds was 2.202, down 1.84bps [3] - For the current active 2512 contracts, the CTD bonds, yield changes, net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are detailed. The central bank had a net currency injection of 910 billion yuan through open - market operations [4] 3.3 Economic Data - High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods [11]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, recommend buying long - term contracts on dips, and note short - term market cooling signs [2]. - For bond futures, short - term is bullish as the implied yield of ultra - long bonds is cost - effective; for medium - to - long - term, suggest hedging T and TL contracts on rallies due to rising risk appetite and economic recovery expectations [4]. Summary by Related Catalogs Stock Index Futures - **Market Performance**: On October 9, A - share four major stock indexes all rose, with the Shanghai Composite Index up 1.32% to 3933.97 points, the Shenzhen Component Index up 1.47% to 13725.56 points, the ChiNext Index up 0.73% to 3261.82 points, and the Science and Technology Innovation 50 Index up 2.93% to 1539.08 points. Market turnover was 2.6718 trillion yuan, an increase of 474.6 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+7.6%), steel (+3.38%), and coal (+3%) led the gains; media (-1.43%), real estate (-1.39%), and social services (-1.03%) led the losses. In terms of market strength, IC > IF > IH > IM, and the number of rising/flat/falling stocks was 3109/135/2184 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were - 13.6 billion, - 12 billion, 9.6 billion, and 15.9 billion yuan respectively, with changes of +7 billion, +300 million, +900 million, and - 8.1 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 121.25, 90.92, 12.68, and - 2.4 points respectively, and the annualized basis yields were - 12.39%, - 9.41%, - 2.1%, and 0.62% respectively, with three - year historical quantiles of 25%, 20%, 36%, and 51% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - term bullish view on the economy, and it is recommended to buy long - term contracts of each variety on dips. In the short - term, the market shows signs of cooling [2]. Bond Futures - **Market Performance**: On October 9, the bond market strengthened. Among active contracts, the implied yield of the two - year bond fell 2.39bps to 1.387, the five - year bond fell 2.27bps to 1.572, the ten - year bond fell 0.01bps to 1.765, and the thirty - year bond fell 4.42bps to 2.213 [3]. - **Cash Bond Situation**: For the currently active 2512 contract, the CTD bonds and their corresponding yield changes, net basis, and IRR are as follows: for the two - year bond futures, the CTD bond is 250012.IB, with a yield change of - 2bps, a net basis of 0.002, and an IRR of 1.5%; for the five - year bond futures, the CTD bond is 250003.IB, with a yield change of - 2.5bps, a net basis of - 0.024, and an IRR of 1.63%; for the ten - year bond futures, the CTD bond is 220019.IB, with a yield change of - 2.85bps, a net basis of - 0.015, and an IRR of 1.59%; for the thirty - year bond futures, the CTD bond is 210014.IB, with a yield change of - 2.25bps, a net basis of - 0.089, and an IRR of 1.91% [3]. - **Funding Situation**: In open - market operations, the central bank injected 612 billion yuan and withdrew 2.0633 trillion yuan, resulting in a net withdrawal of 1.4513 trillion yuan [3]. - **Trading Strategy**: In the short - term, it is bullish, as the implied yield of ultra - long bonds at 2.2 is cost - effective; in the medium - to - long - term, due to rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [10].

Report Summary 1. Market Performance - On September 29, A-share major indices all rose, with the Shanghai Composite Index up 0.9% to 3862.53, the Shenzhen Component Index up 2.05% to 13479.43, the ChiNext Index up 2.74% to 3238.01, and the STAR 50 Index up 1.35% to 1470.41. Market turnover was 2178.1 billion yuan, an increase of 12 billion yuan from the previous day [2]. - In the bond market, the implied yields of 2-year, 5-year, 10-year, and 30-year bonds showed different changes, with the 2-year up 0.8bps, the 5-year up 0.48bps, the 10-year down 3.42bps, and the 30-year up 5.89bps [3]. 2. Trading Strategies - In the medium to long term, maintain a bullish view on the economy, and recommend buying long-term contracts of various varieties on dips. In the short term, the market shows signs of cooling [3]. - For bond futures, short-term is bullish as the implied yield of ultra-long bonds at 2.2 is cost-effective; in the medium to long term, with rising risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies [4]. 3. Index Futures and Spot Market Performance - Table 1 shows the performance of various index futures and spot indices, including their price changes, trading volumes, and open interests [6]. 4. Treasury Futures and Spot Market Performance - Table 2 presents the performance of various treasury futures and spot bonds, including price changes, trading volumes, and net basis [8]. 5. Short - term Funding Rate Market Changes - Table 3 shows the changes in short - term funding rates, such as SHIBOR overnight rates [12]. 6. Economic Data - High - frequency data indicates that the recent social activity sentiment is weak [12].

Report Overview - The report is a financial futures early morning report released by China Merchants Futures Co., Ltd. on September 26, 2025, covering the performance and trading strategies of stock index futures and treasury bond futures on September 25, 2025 [1][2] 1. Stock Index Futures Market Performance - On September 25, most of the four major A - share stock indices rose, with the Shanghai Composite Index down 0.01% to 3853.3 points, the Shenzhen Component Index up 0.67% to 13445.9 points, the ChiNext Index up 1.58% to 3235.76 points, and the STAR 50 Index up 1.24% to 1474.49 points. Market turnover was 23,918 billion yuan, an increase of 446 billion yuan from the previous day [2] - In terms of industry sectors, media (+2.23%), communication (+1.99%), and non - ferrous metals (+1.87%) led the gains; textile and apparel (-1.45%), comprehensive (-1.3%), and agriculture, forestry, animal husbandry and fishery (-1.22%) led the losses [2] - In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,474/80/3,875 respectively. Institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets had net capital inflows of - 57, - 179, 38, and 198 billion yuan respectively, with changes of - 167, - 66, +214, and +19 billion yuan respectively [2] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 146.51, 122.92, 22.29, and 1.14 points respectively, and the basis annualized yields were - 13.55%, - 11.63%, - 3.37%, and - 0.27% respectively, with three - year historical quantiles of 20%, 13%, 26%, and 41% respectively [2] Trading Strategy - In the medium - to - long term, maintain the judgment of going long on the economy. Using stock index futures as a long - term substitute currently has certain excess returns. 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 Market Performance - On September 25, the bond market performed weakly. Among the active contracts, the implied interest rate of the two - year bond was 1.44, up 1.59 bps from the previous day; the implied interest rate of the five - year bond was 1.621, up 1.56 bps; the implied interest rate of the ten - year bond was 1.829, up 1.18 bps; and the implied interest rate of the thirty - year bond was 2.252, up 1.93 bps [2] Cash Bonds - The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of +0 bps, a corresponding net basis of 0.055, and an IRR of 1.36%; for the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of +0 bps, a corresponding net basis of 0.022, and an IRR of 1.5%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0 bps, a corresponding net basis of 0.025, and an IRR of 1.49%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of +1.5 bps, a corresponding net basis of 0.326, and an IRR of 0.47% [2] Fundamentals - In terms of open - market operations, the central bank injected 4,835 billion yuan and withdrew 4,870 billion yuan, resulting in a net withdrawal of 35 billion yuan [2] Trading Strategy - In the short term, be bullish. The implied interest rate of the ultra - long - term bond at 2.2 is already cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Economic Data - High - frequency data shows that the recent social activity sentiment is weak [9]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Views - **Stock Index Futures**: Maintain a long - term view of being bullish on the economy. It is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. - **Treasury Bond Futures**: In the short term, it is recommended to be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summary by Directory Stock Index Futures - **Market Performance**: On September 24, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.83% to 3853.64 points, the Shenzhen Component Index rose 1.8% to 13356.14 points, the ChiNext Index rose 2.28% to 3185.57 points, and the Science and Technology Innovation 50 Index rose 3.49% to 1456.47 points. Market turnover was 23,472 billion yuan, a decrease of 1,713 billion yuan from the previous day. In terms of industry sectors, power equipment, electronics, and media led the gains, while banks, coal, and communications led the losses. In terms of market strength, IC > IM > IF > IH, and the number of rising, flat, and falling stocks was 4,457, 120, and 852 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 111, - 113, - 177, and 179 billion yuan respectively, with changes of +527, +232, - 311, and - 448 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 149.82, 109.91, 24.67, and - 0.29 points respectively, and the annualized basis yields were - 13.44%, - 10.14%, - 3.65%, and 0.07% respectively. The three - year historical quantiles were 20%, 17%, 24%, and 44% respectively [1]. - **Trading Strategy**: In the medium - to - long term, maintain a bullish view on the economy, and it is recommended to allocate long - term contracts of various varieties on dips. There are signs of short - term market cooling [1]. Treasury Bond Futures - **Market Performance**: On September 24, the bond market was weak. Among the active contracts, the implied interest rate of the two - year bond rose 1.86bps to 1.435, the five - year bond rose 2.51bps to 1.611, the ten - year bond rose 1.99bps to 1.823, and the thirty - year bond rose 2.74bps to 2.236 [1]. - **Cash Bonds**: The current active contract is the 2512 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 [1]. - **Funding Situation**: In the open - market operations, the central bank injected 4,015 billion yuan and withdrew 4,185 billion yuan, resulting in a net withdrawal of 170 billion yuan [1]. - **Trading Strategy**: In the short term, be bullish, as the implied interest rate of 30 - year bonds at 2.2% is cost - effective. In the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. Economic Data High - frequency data shows that the recent social activity sentiment is weak [8].

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, the short - term outlook is bullish as the implied interest rate of ultra - long bonds is considered cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summaries According to Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On September 17th, the four major A - share stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.37% to 3876.34 points, the Shenzhen Component Index rose 1.16% to 13215.46 points, the ChiNext Index rose 1.95% to 3147.35 points, and the Science and Technology Innovation 50 Index rose 0.91% to 1370.43 points. The market turnover was 24,029 billion yuan, an increase of 359 billion yuan from the previous day. Among industry sectors, power equipment (+2.55%), automobiles (+2.05%), and household appliances (+1.64%) led the gains, while agriculture, forestry, animal husbandry, and fishery (-1.02%), commerce and retail (-0.98%), and social services (-0.86%) led the losses. In terms of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 2,504, 168, and 2,754 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were - 151, - 177, 9, and 319 billion yuan respectively, with changes of - 145, - 18, +76, and +87 billion yuan [2]. - **Basis and Annualized Basis Yield**: The basis of IM, IC, IF, and IH next - month contracts was 74.61, 63.04, 9.22, and - 2.82 points respectively, and the annualized basis yields were - 14.52%, - 12.77%, - 2.98%, and 1.41% respectively. Their three - year historical quantiles were 16%, 10%, 29%, and 62% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - position view on the economy and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On September 17th, the yields of treasury bond futures declined across the board. Among active contracts, the implied interest rate of the 2 - year bond was 1.346, down 2.65 bps from the previous day; the 5 - year bond was 1.534, down 2.15 bps; the 10 - year bond was 1.711, down 3.18 bps; and the 30 - year bond was 2.147, down 1.47 bps [2]. - **Cash Bonds**: The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.61%. For the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 2.15 bps, a corresponding net basis of 0.008, and an IRR of 1.51%. For the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 2 bps, a corresponding net basis of 0.027, and an IRR of 1.42%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 1.5 bps, a corresponding net basis of 0.083, and an IRR of 1.3% [2]. - **Funding Situation**: In open - market operations, the central bank injected 418.5 billion yuan and withdrew 304 billion yuan, resulting in a net injection of 114.5 billion yuan [2]. - **Trading Strategy**: Short - term bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic mid - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and imports and exports is analyzed. Positive scores indicate an improvement in sentiment, negative scores indicate a decline, and zero scores indicate little change [8][10][11]

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].

Group 1: Market Performance - On September 11, the four major A - share stock indices all rose. The Shanghai Composite Index rose 1.65% to 3875.31 points, the Shenzhen Component Index rose 3.36% to 12979.89 points, the ChiNext Index rose 5.15% to 3053.75 points, and the STAR 50 Index rose 5.32% to 1326.03 points. Market trading volume was 24,646 billion yuan, an increase of 4,606 billion yuan from the previous day. [2] - In terms of industry sectors, communication (+7.39%), electronics (+5.96%), and computer (+3.71%) led the gains; textile and apparel (+0.14%), petroleum and petrochemical (+0.2%), and social services (+0.22%) led the declines. In terms of market strength, IC > IM > IF > IH, and the number of rising/flat/falling stocks was 4,220/161/1,045 respectively. [2] - Net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 260, - 157, - 248, and 145 billion yuan respectively, with changes of +215, - 99, - 180, and +64 billion yuan respectively. [2] Group 2: Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH were 73.89, 49.71, - 6.37, and - 5.52 points respectively. The annualized basis yields were - 11.89%, - 8.31%, 1.67%, and 2.2% respectively, and the three - year historical quantiles were 27%, 23%, 76%, and 75% respectively. [2] - 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. In the short term, the market shows signs of cooling. [2] Group 3: Treasury Bond Futures - On September 11, the yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year treasury bond was 1.376, a decrease of 3.85 bps from the previous day; the implied interest rate of the five - year treasury bond was 1.605, a decrease of 3.47 bps; the implied interest rate of the ten - year treasury bond was 1.798, a decrease of 2.13 bps; the implied interest rate of the thirty - year treasury bond was 2.203, an increase of 0.2 bps. [2] - For the current active 2512 contract, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of - 1.25 bps, corresponding to a net basis of - 0.029 and an IRR of 1.59%; the CTD bond of the five - year treasury bond futures was 250003.IB, with a yield change of - 3.5 bps, corresponding to a net basis of 0.055 and an IRR of 1.27%; the CTD bond of the ten - year treasury bond futures was 220017.IB, with a yield change of - 1.5 bps, corresponding to a net basis of 0.149 and an IRR of 0.93%; the CTD bond of the thirty - year treasury bond futures was 210005.IB, with a yield change of +1 bps, corresponding to a net basis of - 0.06 and an IRR of 1.67%. [2] - In terms of the money market, the central bank injected 2920 billion yuan and withdrew 2126 billion yuan, resulting in a net injection of 794 billion yuan. [2] - With the upward risk appetite and the expectation of economic recovery, it is recommended to hedge on rallies for the medium - to - long term for T and TL. [2] Group 4: Economic Data - High - frequency data shows that recent social activities and infrastructure construction have weak prosperity. [9]

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) Report Industry Investment Rating No industry investment rating is provided in the report. 2) Core Views - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests allocating long - term contracts of various varieties on dips, while noting short - term market cooling signs [1]. - For treasury bond futures, considering the upward risk appetite and economic recovery expectations, it is recommended to hedge T and TL contracts on rallies for the medium - to - long term [1]. 3) Summary by Relevant Catalogs a) Stock Index Futures - **Market Performance**: On August 29, most of the four major A - share stock indexes rose, with the Shanghai Composite Index up 0.37% to 3857.93 points, the Shenzhen Component Index up 0.99% to 12696.15 points, and the ChiNext Index up 2.23% to 2890.13 points, while the Sci - tech Innovation 50 Index fell 1.71% to 1341.31 points. Market turnover was 28,302 billion yuan, a decrease of 170.7 billion yuan from the previous day. In terms of industry sectors, comprehensive (+3.86%), power equipment (+3.12%), and non - ferrous metals (+2.44%) led the gains, while household appliances (-1.82%), transportation (-1.69%), and computers (-1.48%) led the losses. In terms of market strength, IF>IH>IC>IM, and the number of rising/flat/falling stocks was 1,997/121/3,306 respectively. Institutional, main, large - scale, and retail investors' net inflows were - 24.7 billion, - 28 billion, 11.7 billion, and 41.1 billion yuan respectively, with changes of - 12.5 billion, - 1.3 billion, + 13.5 billion, and + 0.3 billion yuan respectively [1]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 133.68, 95.74, - 4.04, and - 0.33 points respectively, with annualized basis yields of - 14.98%, - 11.33%, 0.75%, and 0.09% respectively, and three - year historical quantiles of 13%, 12%, 65%, and 45% respectively [1]. - **Trading Strategy**: Maintain a long - term bullish view on the economy, recommend allocating long - term contracts of various varieties on dips; note short - term market cooling signs [1]. b) Treasury Bond Futures - **Market Performance**: On August 29, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.371, down 3.05 bps from the previous day; the five - year bond was 1.623, down 1.08 bps; the ten - year bond was 1.763, down 0.23 bps; and the thirty - year bond was 2.114, down 0.09 bps [1]. - **Cash Bonds**: The current active contract is the 2512 contract. For the two - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.2 bps, a corresponding net basis of 0.003, and an IRR of 1.51%; for the five - year, the CTD bond is 250003.IB, yield change - 2 bps, net basis 0.079, IRR 1.25%; for the ten - year, the CTD bond is 220019.IB, yield change - 0.75 bps, net basis 0.127, IRR 1.09%; for the thirty - year, the CTD bond is 210005.IB, yield change - 0.75 bps, net basis 0.218, IRR 0.98% [1]. - **Funding Situation**: In open - market operations, the central bank injected 782.9 billion yuan and withdrew 361.2 billion yuan, resulting in a net injection of 421.7 billion yuan [1]. - **Trading Strategy**: Considering the upward risk appetite and economic recovery expectations, recommend medium - to - long - term hedging of T and TL contracts on rallies [1]. c) Economic Data - **High - Frequency Data**: High - frequency data shows that the recent social activity sentiment is weak [8]. d) Short - Term Funding Rates - **SHIBOR Overnight**: The current SHIBOR overnight rate is 1.331, compared with 1.316 the previous day, 1.418 a week ago, and 1.366 a month ago [8].