投资咨询业务资格:证监详可【2012】31号 宏观金融数据日报 对于股指来说,预计年内市场分歧将在股指震荡调整中逐步消化,待 新的驱动主线带来股指进一步上行。同时,中央汇金的托底功能为指数提 供了缓冲,下行风险预计可控。短期可重点关注海外流动性变化信号,以 及国内政策会否提前发力。 | | 项目 | 当月合约 | 下月合约 | 当季合约 | 下季合约 | | --- | --- | --- | --- | --- | --- | | H | IF升贴水 | 4.22% | 4.44% | 2.97% | 3.41% | | 贴 | IH升贴水 | 3.05% | 2.09% | 0.98% | 1.11% | | 水 | IC升贴水 | 8.79% | 9.16% | 9.26% | 10.43% | | 情 况 | IM升贴水 | 12.49% | 12.18% | 11.89% | 12.18% | 注:括号里的数值为年化计算后的升贴水率(标绿为升水,标红为贴水）。 数据来源:wind 本报告中的信息均源于公开可获得的资料,国贸期货力求准确可靠,但不对上述信息的准确 性及完整性做任何保证。本报告不构成个人 ...

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The economic fundamentals and corporate earnings are bearish, with the October economic data showing a weakening trend, including declines in investment growth and real estate prices. Inflation slightly rebounded in October [3]. - The macro - policy is neutral - bullish. The policy news is relatively quiet at the end of the year, and there is less need for further monetary policy tightening in the short term [3]. - Overseas factors are neutral - bearish. Geopolitical tensions may ease marginally, and multiple Fed officials have signaled potential interest rate cuts [3]. - Liquidity is neutral, with the average daily trading volume of A - shares decreasing compared to the previous week [3]. - The investment view is weak and volatile. The A - share market lacks a clear driving force, and it is expected that market differences will be digested during the index's volatile adjustment [3]. - The trading strategy is short - term volatility and long - term bullish, with risks focusing on domestic policies and overseas geopolitical factors [3] 3. Summary by Directory 3.1 Part One: Main Viewpoints and Strategy Overview - **Influence Factors and Logics** - Economic and corporate earnings: The 1 - 10 cumulative year - on - year decline in fixed - asset investment was 1.7%, with real estate investment down 14.7%, infrastructure investment up 1.51%, and manufacturing investment up 2.7%. Inflation rebounded slightly in October, with CPI up 0.2% year - on - year [3]. - Macro policy: The policy news is quiet at the end of the year, and there is less need for additional monetary policy in the short term [3]. - Overseas factors: Geopolitical tensions may ease, and multiple Fed officials signaled rate cuts, with the market betting the probability of a December rate cut exceeding 50% [3]. - Liquidity: The average daily trading volume of A - shares decreased by 1550.6 billion yuan compared to the previous week [3]. - **Investment and Trading Views** - Investment view: Weak and volatile, lacking a clear driving force, with the average daily trading volume dropping from about 2.5 trillion yuan in October to about 1.7 trillion yuan currently [3]. - Trading strategy: Short - term volatility and long - term bullish, with risks from domestic policies and overseas geopolitics [3] 3.2 Part Two: Stock Index Market Review - **Index Performance** - The CSI 300 fell 3.77% to 4453.6, the SSE 50 fell 2.72% to 2955.9, the CSI 500 fell 5.78% to 6817.4, and the CSI 1000 fell 5.8% to 7067.7 last week [5]. - Most Shenwan first - level industry indices declined, with power equipment, comprehensive, basic chemicals, commercial retail, and steel leading the losses [7]. - **Futures Volume and Open Interest** - The trading volume of CSI 300 futures, SSE 50 futures, CSI 500 futures, and CSI 1000 futures increased by 16.77%, 18.96%, 13.60%, and 14.05% respectively [11]. - The open interest of CSI 300 futures, CSI 500 futures, and CSI 1000 futures increased by 4.16%, 8.40%, and 11.64% respectively, while that of SSE 50 futures decreased by 2.10% [11]. - **Spread Performance** - The CSI 300 - SSE 50 spread was at 1497.8, in the 92.2% historical percentile; the CSI 1000 - CSI 500 spread was at 250.3, in the 42% historical percentile [16]. - The CSI 300/CSI 1000 and SSE 50/CSI 1000 ratios were at 0.6, in the 43.6% and 39.5% historical percentiles respectively [16] 3.3 Part Three: Stock Index Influencing Factors - Liquidity - **Funding and Macro - liquidity** - The central bank conducted 16760 billion yuan in reverse repurchase operations and 8000 billion yuan in outright reverse repurchase operations this week, with a net injection of 13540 billion yuan. After considering the maturity of treasury cash deposits, the net injection was 12340 billion yuan [23]. - Next week, 16760 billion yuan in reverse repurchases, 9000 billion yuan in MLF, and 3000 billion yuan in 182 - day outright reverse repurchases will mature [23]. - **Market Volume and Margin Trading** - As of November 20, the margin trading balance of A - shares was 24839.4 billion yuan, a decrease of 9.3 billion yuan from the previous week [29]. - As of November 20, the margin trading purchase amount accounted for 11% of the total market trading volume, in the 93% percentile of the past decade [29]. - The average daily trading volume of A - shares last week decreased by 1550.6 billion yuan compared to the previous week [29]. - As of November 21, the risk premium rate of the CSI 300 was 5.39, in the 56.9% percentile of the past decade [29] 3.4 Part Four: Stock Index Influencing Factors - Economic Fundamentals and Corporate Earnings - **Macroeconomic Indicators** - In October, GDP was not reported, industrial added - value increased by 4.9% year - on - year, fixed - asset investment decreased by 1.7% year - on - year, real estate investment decreased by 14.7% year - on - year, and infrastructure investment increased by 1.51% year - on - year [32]. - The CPI in October was 0.2% year - on - year, and the PPI was - 2.1% year - on - year [32]. - The manufacturing PMI in October was 49.0%, a decrease of 0.8 percentage points from September [40]. - **Corporate Earnings** - The year - on - year growth rates of net profit attributable to shareholders of the CSI 300, SSE 50, CSI 500, and other indices varied in different quarters [45]. - The return on equity (TTM) of different indices also showed different trends [45] 3.5 Part Four: Stock Index Influencing Factors - Policy Drivers - **Recent Macro - policy Trends** - Multiple policies have been introduced in various fields such as consumption, real estate, and finance since the beginning of the year, including policies to promote service consumption, issue special treasury bonds for consumer goods replacement, and adjust real estate purchase restrictions [50][51] 3.6 Part Five: Stock Index Influencing Factors - Overseas Factors - **US Economic Data** - The US manufacturing PMI in October was 48.7%, a decrease of 0.4 percentage points from the previous value; the non - manufacturing PMI was 52.4%, an increase of 2.4 percentage points from the previous value [60]. - The US unemployment rate in September was 4.4%, and the number of new non - farm jobs was 119,000 [60]. - The US PCE and core PCE in September had a year - on - year increase of 0%, and the CPI and core CPI in September had a year - on - year increase of 3% [63]. - **Trump Team's Actions** - Trump has threatened to impose tariffs on imports from multiple countries, including China, Mexico, and Canada, and has made various remarks and actions regarding international relations and economic policies [67]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The current macro - situation is a mix of positives and negatives. After the overall adjustment of the technology sector, the market lacks a core driving force. With the Shanghai Composite Index reaching the 4000 - point mark, there are differences in the market regarding whether the valuation of technology stocks will further increase and whether the market can shift from a structural to a full - fledged slow - bull market. Given the pressure on the economic data in October, it is necessary to observe whether policies will be implemented in advance for hedging. It is expected that the central Huijin will continue to support the index. The stock index is expected to maintain a volatile pattern with a bottom - support and upward pressure. In the short term, market differences are expected to be gradually digested during the index's volatile adjustment, and a new driving force will bring the index to further rise. The trading strategy is to go long in the long - term, with risks focusing on domestic policies and overseas geopolitical factors [3] 3. Summary According to Related Catalogs 3.1 Part One: Main Viewpoints and Strategy Overview - **Economic and Corporate Earnings**: The economic fundamentals showed a weakening trend in October, with investment growth and real - estate prices accelerating their decline. From January to October, the cumulative year - on - year decline in fixed - asset investment was 1.7%, and the growth rate dropped by 1.2 percentage points compared to September. Among them, real - estate investment decreased by 14.7% year - on - year, infrastructure investment increased by 1.51% year - on - year, and manufacturing investment increased by 2.7% year - on - year. Inflation showed a slight rebound, with the CPI year - on - year growth rate turning positive to 0.2% in October. The central bank's monetary policy remains moderately loose [3] - **Macro Policy**: The overall macro - policy is neutral to slightly positive. Although China's economy has shown structural differentiation this year, the overall level has maintained steady growth, and the pressure to achieve the annual economic target is not significant. Therefore, the necessity of further strengthening monetary policy in the short term is low. The current focus should be on implementing existing policies and making policy reserves for cross - cycle adjustment [3] - **Overseas Factors**: Overseas factors are negative. The Fed's stance on whether to cut interest rates in December is hawkish, and some Fed officials believe that caution is needed when interest rates are close to the neutral level. Additionally, the geopolitical situation around China has become more complex recently [3] - **Liquidity**: Liquidity is neutral. The average daily trading volume of A - shares last week increased by 39.9 billion yuan compared to the previous week [3] - **Investment Viewpoint**: The stock index is expected to be volatile. The trading strategy is to go long in the long - term, with risks focusing on domestic policies and overseas geopolitical factors [3] 3.2 Part Two: Stock Index Market Review - **Stock Index Performance**: Last week, the Shanghai - Shenzhen 300 index fell 1.08% to 4628.1, the Shanghai 50 index remained unchanged at 3038.4, the CSI 500 index dropped 1.26% to 7235.5, and the CSI 1000 index declined 0.52% to 7502.8 [5] - **Industry Index Performance**: Among the Shenwan primary industry indices, the comprehensive (7%), textile and apparel (4.4%), commerce and retail (4.1%), pharmaceutical and biological (3.3%), and food and beverage (2.8%) sectors led the gains last week, while the communication (- 4.8%), electronics (- 4.8%), computer (- 3%), machinery and equipment (- 2.2%), and national defense and military industry (- 2.2%) sectors led the losses [9] - **Futures Volume and Open Interest**: The trading volume of CSI 300 futures was 559,733 lots, with a 2.19% increase; the trading volume of Shanghai 50 futures was 251,251 lots, with a 2.93% increase; the trading volume of CSI 500 futures was 629,685 lots, with a 6.27% decrease; the trading volume of CSI 1000 futures was 1,031,832 lots, with a 5.55% decrease. The open interest of CSI 300 futures was 264,876 lots, with a 2.87% increase; the open interest of Shanghai 50 futures was 97,121 lots, with a 6.79% increase; the open interest of CSI 500 futures was 245,018 lots, with a 1.88% increase; the open interest of CSI 1000 futures was 357,222 lots, with a 0.22% increase [11] - **Contract Premium and Discount**: As of November 14, the annualized discount of the current - month contract IF2511 was 15.93%, IH2511 was 7.59%, IC2511 was 19.79%, and IM2511 was 23.88%. The annualized discount of the next - month contract IF2512 was 6.25%, IH2512 was 2.75%, IC2512 was 14.13%, and IM2512 was 18.17%. The annualized discount of the current - quarter contract IF2603 was 3.49%, IH2603 was 1.2%, IC2603 was 11.03%, and IM2603 was 14.01%. The annualized discount of the next - quarter contract IF2606 was 3.51%, IH2606 was 1.19%, IC2606 was 11.01%, and IM2606 was 13.21% [15] - **Cross - Variety Spread**: The spread between the CSI 300 and the Shanghai 50 was 1589.7, at the 94.3% historical quantile; the spread between the CSI 1000 and the CSI 500 was 267.3, at the 43.8% historical quantile; the ratio of the CSI 300 to the CSI 1000 was 0.6, at the 37.5% historical quantile; the ratio of the Shanghai 50 to the CSI 1000 was 0.6, at the 32.8% historical quantile [19] 3.3 Part Three: Stock Index Influencing Factors - Liquidity - **Funds and Macro - Liquidity**: Next week, 112.2 billion yuan of reverse repurchases in the central bank's open market will mature, and 12 billion yuan of treasury cash fixed - term deposits will mature next Thursday. The central bank will implement a moderately loose monetary policy, aiming to keep social financing conditions relatively loose and promote a reasonable recovery of prices [21] - **Market Liquidity Indicators**: As of November 13, the margin trading balance of A - shares was 2.49864 trillion yuan, an increase of 12.9 billion yuan from the previous week. As of November 13, the proportion of margin trading purchases in the total market turnover was 12.2%, at the 97.7% quantile in the past decade. The average daily trading volume of A - shares last week increased by 39.9 billion yuan compared to the previous week. As of November 14, the risk premium rate of the CSI 300 was 5.21, at the 48.6% quantile in the past decade [32] 3.4 Part Four: Stock Index Influencing Factors - Economic Fundamentals and Corporate Earnings - **Macroeconomic Indicators**: In October, GDP growth was not provided, industrial added - value growth was 4.9%, fixed - asset investment decreased by 1.7% year - on - year, real - estate investment decreased by 14.7% year - on - year, infrastructure investment decreased by 0.1% year - on - year, manufacturing investment increased by 2.7% year - on - year, and the CPI increased by 0.2% year - on - year [35] - **Industry - Specific Data**: In the consumer goods industry, the retail sales of enterprises above the designated size showed different growth rates in various categories in October. In the manufacturing industry, different sub - sectors also had different growth rates in October [39][40] - **PMI Indicators**: In October, the manufacturing PMI was 49.0, a decrease of 0.8 from September, and the non - manufacturing PMI was 50.1, an increase of 0.1 from September [43] - **Earnings Indicators of Major Broad - Based Indexes**: As of September 30, 2025, the year - on - year growth rates of net profit attributable to shareholders of the CSI 300, Shanghai 50, and other indexes showed different trends, and the return on net assets also varied [48] - **Financial Data of Shenwan Primary Industry Indexes**: As of September 30, 2025, the year - on - year growth rates of net profit attributable to shareholders and the return on net assets of different Shenwan primary industry indexes showed significant differences [49] 3.5 Part Four: Stock Index Influencing Factors - Policy Drive - **Recent Macro - Policy Trends**: A series of policies have been introduced, including policies to promote service consumption, allocate special funds for consumer goods replacement, adjust real - estate purchase restrictions, and implement consumer loan fiscal subsidy policies [53][54][55] 3.6 Part Five: Stock Index Influencing Factors - Overseas Factors - **US Economic Data**: In October, the US manufacturing PMI was 48.7%, a decrease of 0.4 from the previous value, and the non - manufacturing PMI was 52.4%, an increase of 2.4 from the previous value. In September, the US PCE and core PCE year - on - year growth rates were 0%, and the CPI and core CPI year - on - year growth rates were 3% [63][66] - **Trump Team's Actions**: Trump has proposed a series of tariff - related measures, including imposing additional tariffs on imports from China, Canada, and Mexico, and threatening to take over the Panama Canal and Greenland [70]

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Core View - The report presents the performance of global asset markets on November 12, 2025, including data on bonds, currencies, stock indices, and futures transactions [1][2][3][4]. 3. Summary by Relevant Catalogs Global Asset Market Performance - **Bond Yields**: 10 - year bond yields of major economies such as the US (4.117%), UK (4.387%), and Japan (1.685%) are reported, along with 2 - year bond yields like the US (3.592%) and UK (3.720%) [2]. - **Exchange Rates**: The latest exchange rates of the US dollar against major emerging - economy currencies are given, e.g., the US dollar to Brazilian real is 5.273, and it also shows on - shore and off - shore RMB exchange rates [2]. - **Stock Indices**: It lists the latest values of major global stock indices, such as the S&P 500 (6846.610), Dow Jones Industrial Index (47927.960), and Shanghai Composite Index (4002.758) [2]. - **Credit Bond Indices**: The latest values of various credit bond indices are provided, including US investment - grade (3523.740) and high - yield (2880.940) credit bond indices [2]. Stock Index Futures Trading Data - **Index Performance**: The closing prices and percentage changes of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 are presented, with CSI 300 down 0.91% and ChiNext down 1.40% [3]. - **Valuation**: PE (TTM) and its环比 changes are given for indices like CSI 300 (14.27, - 0.09) and S&P 500 (28.46, 0.05) [3]. - **Risk Premium**: The risk premium and its环比 changes are shown for S&P 500 (- 0.60, 0.00) and German DAX (2.36, - 0.02) [3]. - **Fund Flows**: The latest and 5 - day average fund flows for A - shares, main board, SME board, ChiNext, and CSI 300 are reported, with A - shares' latest fund flow at - 1048.10 [3]. - **Transaction Amount**: The latest transaction amounts and环比 changes of Shanghai and Shenzhen stock markets and related indices are given, e.g., the latest transaction amount of Shanghai and Shenzhen stock markets is 19935.86, with a环比 change of - 1808.68 [4]. - **Main Contract Basis**: The basis and basis percentage for IF, IH, and IC are provided, with IF's basis at - 25.37 and a basis percentage of - 0.55% [4]. Treasury Bond Futures Trading Data - The closing prices and percentage changes of T2303 (108.48, - 0.01%), TF2303 (105.94, - 0.00%), T2306 (108.24, - 0.02%), and TF2306 (105.89, - 0.02%) are reported [4]. Money Market - The latest domestic money market rates (R001: 1.5361%, R007: 1.5145%, SHIBOR - 3M: 1.5800%) and their daily changes (4.00 BP, 1.00 BP, 0.00 BP) are given [4].

Report Summary 1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report No clear core view is presented in the given content. It mainly provides data on global asset market performance, including bond yields, exchange rates, stock indices, and trading data of stock index futures and treasury bond futures. 3. Summary by Relevant Catalogs Global Asset Market Performance - **10 - Year Treasury Bond Yields**: Yields vary across different economies. For example, on 2025/11/10, the US 10 - year treasury bond yield was 4.117, with a latest change of 0.019, a one - week change of 0.006, a one - month change of 0.083, and a one - year change of - 0.168 [3]. - **2 - Year Treasury Bond Yields**: Different economies also show different trends. The US 2 - year treasury bond yield on 2025/11/10 was 3.570, with a latest change of - 0.060, a one - week change of - 0.040, a one - month change of 0.090, and a one - year change of - 0.540 [3]. - **Dollar to Major Emerging Economies Currency Exchange Rates**: The exchange rates have different changes. For example, the dollar - to - Brazilian real exchange rate on 2025/11/10 was 5.301, with a latest change of - 0.62%, a one - week change of - 1.07%, a one - month change of - 3.02%, and a one - year change of - 8.41% [3]. - **Stock Indices**: Stock indices of various economies have different performances. For instance, the S&P 500 index value on 2025/11/10 was 6832.430, with a latest change of 0.51%, a one - week change of 0.31%, a one - month change of - (not provided), and a one - year change of - (not provided) [3]. - **Credit Bond Indices**: Different credit bond indices have different changes. For example, the US investment - grade credit bond index had a one - month change of - 0.17% and a one - year change of 0.01% [3]. Stock Index Futures Trading Data - **Index Performance**: The closing price of A - shares was 4018.60, with a change of 0.53%. The closing price of the CSI 300 was 4695.05, with a change of 0.35% [5]. - **Valuation**: The PE(TTM) of the CSI 300 was 14.36, with a环比 change of 0.08. The PE(TTM) of the S&P 500 was 28.41, with a环比 change of 0.44 [5]. - **Risk Premium**: The risk premium of the S&P 500 (1/PE - 10 - year interest rate) was - 0.60, with a环比 change of - 0.08. The risk premium of the German DAX was 2.38, with a环比 change of - 0.08 [5]. - **Fund Flow**: The latest value of A - share fund flow was - 456.59, and the 5 - day average was - 482.23 [5]. - **Trading Volume**: The latest trading volume of the Shanghai and Shenzhen stock markets was 21744.54, with a环比 change of 1754.01 [5]. - **Main Contract Premium or Discount**: The basis of IF was - 23.05, with a magnitude of - 0.49%. The basis of IH was 0.14, with a magnitude of 0.00% [5]. Treasury Bond Futures Trading Data - **Closing Price and Change**: The closing price of T00 was 108.485, with a change of 0.00%. The closing price of TF00 was 105.940, with a change of 0.00% [6]. - **Funding Rate**: The R001 was 1.5226%, with a daily change of 5.00 BP. The R007 was 1.5039%, with a daily change of 3.00 BP [6].

Group 1: Market Interest Rates and Central Bank Operations - DR001 closed at 1.47 with a 1.62bp increase, DR007 at 1.56 with a 2.34bp decrease, GC001 at 1.67 with a 26.00bp increase, and GC007 at 1.64 with a 0.50bp increase. SHBOR 3M was at 1.60 with a 0.40bp increase, and LPR 5 - year remained at 3.50 with no change. 1 - year, 5 - year, 10 - year Chinese treasury bonds closed at 1.43 (-0.50bp), 1.54 (-4.75bp), and 1.81 (1.75bp) respectively, while 10 - year US treasury bonds closed at 3.97 with a 1.70bp decrease [4] - The central bank conducted 4753 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% yesterday. With 1595 billion yuan of reverse repurchases maturing, the net daily investment was 3158 billion yuan [4] Group 2: Central Bank's Policy Announcement - Central Bank Governor Pan Gongsheng said on October 27 that the central bank suspended treasury bond trading at the beginning of this year due to supply - demand imbalance and accumulated market risks in the bond market. Now that the bond market is operating well, it will resume open - market treasury bond trading operations [5] Group 3: Stock Index Performance - The CSI 300, SSE 50, CSI 500, and CSI 1000 closed at 4692 (-0.51%), 3050 (-0.62%), 7341 (-0.52%), and 7479 (-0.22%) respectively. The trading volume of the two stock markets was 21479 billion yuan, a decrease of 1923 billion yuan from the previous day. Shipbuilding, shipping ports, automotive services, aerospace, railways, and airports led the gains, while precious metals, energy metals, wind power equipment, steel, non - ferrous metals, and beauty care led the losses [6] - The stock index rose and then fell yesterday. The Shanghai Composite Index briefly broke through the 4000 - point mark but entered a volatile phase due to lack of significant volume. In the short term, with the easing of Sino - US trade frictions, the stock index may return to an upward trend. In the medium - to - long - term, there is still room for growth, and the strategy is to buy on dips and use the discount structure of stock index futures to enhance long - term long - position strategies [7] Group 4: Stock Index Futures Premium and Discount - The premium and discount rates of IF, IH, IC, and IM contracts vary across different delivery months. For example, IF's current - month contract has a 3.10% premium, IH's current - month contract has a 0.39% discount, IC's current - month contract has an 11.11% premium, and IM's current - month contract has a 14.08% premium [8]

Report Industry Investment Rating - No information provided Core View of the Report - The short - term shock adjustment of stock indices is mainly affected by intensified overseas disturbances and adjustments in some high - position sectors. As unfavorable factors such as trade frictions gradually ease, stock indices are expected to return to the upward channel. With policy support and abundant macro - liquidity, even if short - term macro uncertainties increase, the adjustment space of stock indices is expected to be limited. It is recommended to take a long - term long position [8] Summary by Relevant Catalogs Interest Rate and Bond Market - Interest rate products' closing prices and changes: DRO01 closed at 1.32 with a 0.52bp increase; DR007 at 1.41 with a 1.57bp decrease; GC001 at 1.40 with a 5.50bp decrease; GC007 at 1.57 with a 6.50bp increase; SHBOR 3M at 1.59 with no change; LPR 5 - year at 3.50 with no change; 1 - year treasury bond at 1.48 with a 0.25bp decrease; 5 - year treasury bond at 1.62 with a 0.82bp increase; 10 - year treasury bond at 1.85 with a 0.50bp increase; 10 - year US treasury bond at 4.02 with a 1.00bp increase [4] - Last week, the central bank conducted 8672 billion yuan of reverse repurchase and 1200 billion yuan of treasury cash fixed - deposit operations in the open market, with 7891 billion yuan of reverse repurchase maturing, resulting in a net investment (including treasury cash) of 1981 billion yuan [4] - This week, 8672 billion yuan of reverse repurchase will mature in the central bank's open market, with 1890 billion, 1595 billion, 1382 billion, 2125 billion, and 1680 billion yuan maturing from Monday to Friday respectively. Also, 7000 billion yuan of MLF will mature on Monday and 5000 billion yuan of 182 - day outright reverse repurchase will mature on Wednesday [5] Stock Market - Stock index closing prices and changes: CSI 300 closed at 4661 with a 1.18% increase; SSE 50 at 3046 with a 0.62% increase; CSI 500 at 7259 with a 1.62% increase; CSI 1000 at 7419 with a 1.52% increase. Futures closing prices and changes: IF current - month contract at 4648 with a 1.2% increase; IH current - month contract at 3048 with a 0.8% increase; IC current - month contract at 7212 with a 1.7% increase; IM current - month contract at 7369 with a 1.7% increase [7] - Futures trading volume and position changes: IF trading volume was 116181 with a 9.4% decrease, and position was 255413 with a 3.5% decrease; IH trading volume was 58979 with a 2.2% decrease, and position was 95329 with a 1.4% increase; IC trading volume was 137728 with a 5.1% decrease, and position was 243604 with a 4.2% decrease; IM trading volume was 224453 with a 13.8% decrease, and position was 349089 with a 7.0% decrease [7] - Last week, CSI 300 rose 3.24% to 4660.7; SSE 50 rose 2.63% to 3045.8; CSI 500 rose 3.46% to 7258.5; CSI 1000 rose 3.25% to 7419.2. Shenwan primary industry indices generally rose, with communication (11.5%), electronics (8.5%), power equipment (4.9%), machinery and equipment (4.7%), and media (4.3%) leading the gains, while only agriculture, forestry, animal husbandry and fishery (- 1.4%) and food and beverage (- 0.9%) declined. The daily trading volume of A - shares last week was 15749 billion, 17043 billion, 15180 billion, 15106 billion, and 17592 billion yuan respectively, and the average daily trading volume decreased by 3494.9 billion yuan compared with the previous week [7] Futures Premium and Discount Situation - IF premium rates for current - month, next - month, current - quarter, and next - quarter contracts are 3.70%, 3.75%, 3.06%, and 3.10% respectively; IH premium rates are - 1.19%, - 0.62%, - 0.35%, and - 0.30% respectively; IC premium rates are 9.04%, 9.19%, 9.20% respectively; IM premium rates are 9.47%, 11.05%, 11.58%, and 11.66% respectively. The values in parentheses are annualized premium and discount rates (green for premium, red for discount) [9]

Report Summary 1. Investment Ratings - No investment ratings provided in the report. 2. Core Views - The LPR quotes remained stable in October 2025. With the gradual alleviation of adverse factors from trade frictions, stock index futures are expected to return to an upward trend. Even if short - term macro uncertainties increase, the adjustment space of the stock index is expected to be limited due to policy support and abundant macro - liquidity. The strategy is to choose the right time to go long on the stock index [4][6]. 3. Summary by Relevant Catalogs Market Data of Interest Rates and Bonds - The closing price of DROO1 was 1.32, up 0.08bp; DR007 was 1.43, down 0.60bp; GC001 was 1.45, down 4.00bp; GC007 was 1.51, up 1.50bp; SHBOR 3M was 1.59, up 0.20bp; LPR 5 - year was 3.50, unchanged; 1 - year treasury bond was 1.48, down 0.25bp; 5 - year treasury bond was 1.59, up 0.50bp; 10 - year treasury bond was 1.84, up 0.95bp; 10 - year US treasury bond was 3.98, up 2.70bp [3]. - The central bank conducted 212.5 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40% yesterday. 236 billion yuan of reverse repurchases matured on the same day, resulting in a net withdrawal of 23.5 billion yuan. This week, 789.1 billion yuan of reverse repurchases will mature in the central bank's open market, with 253.8 billion, 91 billion, 43.5 billion, 236 billion, and 164.8 billion yuan maturing from Monday to Friday respectively [3][4]. Stock Index Futures and Spot Market - The closing price of CSI 300 was 4606, up 0.3%; IF current - month contract was 4594, up 0.4%; SSE 50 was 3027, up 0.56%; IH current - month contract was 3025, up 0.7%; CSI 500 was 7143, up 0.2%; IC current - month contract was 7091, up 0.4%; CSI 1000 was 7308, down 0.06%; IM current - month contract was 7249, up 0.2% [5]. - The trading volume and open interest of IF, IH, IC, and IM all increased. The trading volume of IF was 128,274, up 32.3%; open interest was 264,665, up 6.2%. The trading volume of IH was 60,316, up 28.1%; open interest was 94,029, up 6.3%. The trading volume of IC was 145,145, up 32.9%; open interest was 254,337, up 7.6%. The trading volume of IM was 260,447, up 42.8%; open interest was 375,481, up 99% [5]. - The total trading volume of the Shanghai and Shenzhen stock markets was 1.6439 trillion yuan, a slight decrease of 23.9 billion yuan from the previous day. Most industry sectors rose, with coal, energy metals, culture and media, shipping ports, chemical fiber, and diversified finance sectors leading the gains, while construction machinery, mining, non - metallic materials, and biological products sectors leading the losses [5]. Stock Index Futures Basis Situation - The basis rates of IF current - month, next - month, current - quarter, and next - quarter contracts were 3.48%, 3.55%, 2.81%, and 2.97% respectively. The basis rates of IH current - month, next - month, current - quarter, and next - quarter contracts were 0.96%, 0.66%, 0.17%, and 0.33% respectively. The basis rates of IC current - month, next - month, current - quarter, and next - quarter contracts were 9.08%, 9.23%, 9.20%, and 9.47% respectively. The basis rates of IM current - month, next - month, current - quarter, and next - quarter contracts were 10.21%, 11.31%, 11.51%, and 11.70% respectively [7].

1. Report Industry Investment Rating - No relevant content found 2. Core Viewpoints of the Report - After high - level fluctuations in September, the stock index is expected to enter a direction - selection phase again. The domestic liquidity environment is expected to remain loose, and residents may increase their allocation of equity assets. With the Fed's rate cuts and RMB appreciation, external funds are also expected to flow into the domestic market. In the fourth quarter, the market style may return to value and be more balanced compared to the third quarter [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Market - **IF Contracts**: The previous two - day closing prices of IF contracts (current month, next month, next quarter, and far - quarter) were 4539.60, 4495.80, 4485.20, and 4463.00 respectively, and the previous day's closing prices were 4519.80, 4506.80, 4482.00, and 4447.20 respectively. The price changes were - 20.06, 9.40, - 2.60, and - 15.80 respectively, with corresponding changes in the CSI 300 index of - 0.44, 0.21, - 0.06, and - 0.35. The trading volumes were 25145.00, 71457.00, 12171.00, and 3514.00 respectively, and the positions were 40679.00, 156399.00, 56967.00, and 3406.00 respectively. The changes in positions were 40679.00, 112532.00, - 106267.00, and - 55287.00 respectively [1] - **IH Contracts**: The previous two - day closing prices of IH contracts (current month, next month, next quarter, and far - quarter) were 2983.00, 2964.20, 2963.00, and 2963.60 respectively, and the previous day's closing prices were 2972.00, 2970.40, 2972.00, and 2969.80 respectively. The price changes were - 11.27, 7.40, 10.40, and 7.20 respectively, with corresponding changes in the SSE 50 index of - 0.38, 0.25, 0.35, and 0.24. The trading volumes were 13161.00, 34271.00, 4201.00, and 986.00 respectively, and the positions were 14994.00, 60464.00, 13478.00, and 956.00 respectively. The changes in positions were 14994.00, 44254.00, - 54024.00, and - 13254.00 respectively [1] - **IC Contracts**: The previous two - day closing prices of IC contracts (current month, next month, next quarter, and far - quarter) were 7064.00, 6922.40, 6863.20, and 6702.00 respectively, and the previous day's closing prices were 6972.00, 6909.20, 6747.40, and 6567.00 respectively. The price changes were - 92.34, - 12.60, - 117.60, and - 136.60 respectively, with corresponding changes in the CSI 500 index of - 1.31, - 0.18, - 1.71, and - 2.04. The trading volumes were 28764.00, 81712.00, 17991.00, and 6366.00 respectively, and the positions were 48948.00, 135493.00, 52568.00, and 6207.00 respectively. The changes in positions were 48948.00, 82817.00, - 87905.00, and - 47231.00 respectively [1] - **IM Contracts**: The previous two - day closing prices of IM contracts (current month, next month, next quarter, and far - quarter) were 7230.20, 7100.00, 7020.80, and 6805.00 respectively, and the previous day's closing prices were 7137.60, 7059.20, 6841.60, and 6637.40 respectively. The price changes were - 92.73, - 44.80, - 182.60, and - 170.60 respectively, with corresponding changes in the CSI 1000 index of - 1.28, - 0.63, - 2.60, and - 2.51. The trading volumes were 44989.00, 143577.00, 28288.00, and 11429.00 respectively, and the positions were 71066.00, 189654.00, 82550.00, and 11067.00 respectively. The changes in positions were 71066.00, 112051.00, - 116798.00, and - 76204.00 respectively [1] - **Inter - month Spreads**: The current inter - month spreads of IF (next month - current month), IH (next month - current month), IC (next month - current month), and IM (next month - current month) were - 13.00, - 1.60, - 62.80, and - 78.40 respectively, while the previous values were - 43.80, - 18.80, - 141.60, and - 130.20 respectively [1] 3.2 Stock Index Spot Market - **Index Performance**: The CSI 300 index had a previous value of 4538.22, a previous two - day value of 4514.23, and a change rate of 0.53. The SSE 50 index had a previous value of 2974.86, a previous two - day value of 2967.77, and a change rate of 0.24. The CSI 500 index had a previous value of 7069.64, a previous two - day value of 7016.07, and a change rate of 0.76. The CSI 1000 index had a previous value of 7239.18, a previous two - day value of 7185.48, and a change rate of 0.75 [1] - **Industry Performance**: Among different industries, the energy, industrial, optional consumption, pharmaceutical and healthcare, real estate and finance, information technology, and telecommunications industries had positive change rates of 1.98%, 0.93%, 0.99%, 0.15%, 0.15%, 0.98%, and 3.21% respectively, while the raw materials, major consumption, and public utilities industries had negative change rates of - 1.17%, - 0.48%, and - 0.05% respectively [1] 3.3 Basis between Futures and Spot - **IF Contracts**: The basis between IF contracts (current month, next month, next quarter, and far - quarter) and the CSI 300 index had previous values of - 18.42, - 31.42, - 56.22, and - 91.02 respectively, and previous two - day values of 25.37, - 18.43, - 29.03, and - 51.23 respectively [1] - **IH Contracts**: The basis between IH contracts (current month, next month, next quarter, and far - quarter) and the SSE 50 index had previous values of - 2.86, - 4.46, - 2.86, and - 5.06 respectively, and previous two - day values of 15.23, - 3.57, - 4.77, and - 4.17 respectively [1] - **IC Contracts**: The basis between IC contracts (current month, next month, next quarter, and far - quarter) and the CSI 500 index had previous values of - 97.64, - 160.44, - 322.24, and - 502.64 respectively, and previous two - day values of 47.93, - 93.67, - 152.87, and - 314.07 respectively [1] - **IM Contracts**: The basis between IM contracts (current month, next month, next quarter, and far - quarter) and the CSI 1000 index had previous values of - 101.58, - 179.98, - 397.58, and - 601.78 respectively, and previous two - day values of 44.72, - 85.48, - 164.68, and - 380.48 respectively [1] 3.4 Other Domestic and Overseas Indexes - **Domestic Indexes**: The Shanghai Composite Index, Shenzhen Component Index, Small and Medium - sized Board Index, and ChiNext Index had previous values of 3863.89, 12813.21, 7870.96, and 2993.45 respectively, previous two - day values of 3839.76, 12688.94, 7815.57, and 2935.37 respectively, and change rates of 0.63%, 0.98%, 0.71%, and 1.98% respectively [1] - **Overseas Indexes**: The Hang Seng Index, Nikkei 225, S&P Index, and DAX Index had previous values of 25858.83, 47582.15, 6735.13, and 24258.80 respectively, previous two - day values of 25247.10, 48277.74, 6664.01, and 23830.99 respectively, and change rates of 2.42%, - 1.44%, 1.07%, and 1.80% respectively [1] 3.5 Macroeconomic Information - The Fourth Plenary Session of the 20th Central Committee of the Communist Party of China started on October 20 in Beijing. China and the US are about to return to the negotiation table. The GDP in the first three quarters of China increased by 5.2% year - on - year. In September, the added value of large - scale industries increased by 6.5% year - on - year, and the total retail sales of consumer goods increased by 3%. The national fixed - asset investment in the first three quarters decreased by 0.5% year - on - year, and the per - capita disposable income of residents was 32,509 yuan, with a real increase of 5.2% after deducting price factors. The housing prices in 70 cities decreased month - on - month, and the year - on - year decline continued to narrow. The 1 - year and 5 - year LPRs in October remained unchanged for the fifth consecutive month [2] 3.6 Industry Information - The Ministry of Industry and Information Technology emphasized the implementation of the work plan for stabilizing growth in the building materials industry. The transfer fees of residential land in 300 cities increased by 12% year - on - year in the first three quarters, but the transaction area decreased by 8%. China's wind power installation targets were comprehensively raised. As of the end of September, the total number of electric vehicle charging infrastructure in China reached 18.063 million, a year - on - year increase of 54.5%. In September, the production of raw coal decreased by 1.8% year - on - year, the production of crude oil increased by 4.1%, the production of natural gas increased by 9.4%, and the production of crude steel and pig iron reached new lows since December 2023 [2]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Exports have performed better than expected. From January to September 2025, China's exports in RMB terms increased by 7.1% year-on-year, with a year-on-year growth rate of 8.4% in September, driven by the base effect and the strong performance of mechanical and electrical products [3]. - In September, the year-on-year declines in CPI and PPI both narrowed. The CPI decreased by 0.3% year-on-year, slightly up from -0.4% last month but still lower than the market expectation of -0.1%. The PPI was -2.3%, narrowing by 0.6 percentage points from last month [3]. - The growth rate of social financing has declined, but household deposits have become more active. At the end of September 2025, the stock of social financing scale was 437.08 trillion yuan, a year-on-year increase of 8.7%, 0.1 percentage point lower than the previous value. The acceleration of government bond issuance is the main factor supporting the high growth rate of social financing stock [3]. - Short - term policy expectations remain. From October 20 - 23, the Fourth Plenary Session of the 20th Central Committee of the Communist Party of China will be held to study suggestions on formulating the 15th Five - Year Plan for National Economic and Social Development, analyze and study the current economic situation, and deploy economic work for the second half of the year [3]. - Sino - US tariff policies have escalated, and the Sino - US equity markets have been severely hit. Since early October, the US has introduced a series of restrictive measures against China, and China has taken counter - measures [3]. - The market trading volume shrank last week. The daily trading volumes of A - shares last week were 21038 billion yuan, 23147 billion yuan, 18835 billion yuan, 17526 billion yuan, and 17598 billion yuan respectively, with the average daily trading volume decreasing by 1132.1 billion yuan compared to the previous week [3]. - In the short term, due to the uncertainty of Sino - US economic and trade policies, market risk appetite may fluctuate. As the adverse factors of trade frictions gradually ease, the stock index is expected to return to the upward channel. It is advisable to focus on risk avoidance in the short term, and the large - cap style may be more resilient. Stock index futures long investors can consider using options tools for risk hedging [3]. Summary by Sections 1. Stock Index Market Review - Last week, the CSI 300 fell 2.22% to 4514.2; the SSE 50 fell 0.24% to 2967.8; the CSI 500 fell 5.17% to 7016.1; the CSI 1000 fell 4.62% to 7185.5 [5]. - Among the Shenwan primary industry indices, only the banking (4.9%), food and beverage (0.9%), and transportation (0.4%) sectors rose last week, while the electronics (-7.1%), media (-6.3%), and other sectors led the decline [7]. - As of October 17, the monthly contracts expired. The annualized discounts of the next - month contracts IF2511, IH2511, IC2511, and IM2511 were 5.32%, 1.57%, 17.4%, and 15.51% respectively [11]. - The spread between the CSI 300 and the SSE 50 was at the 94.1% historical quantile level; the spread between the CSI 1000 and the CSI 500 was at the 34.7% historical quantile level [15]. 2. Stock Index Influencing Factors - Liquidity - This week, the central bank conducted 6331 billion yuan of reverse repurchase operations and 6000 billion yuan of 182 - day outright reverse repurchase operations in the open market. After deducting the maturity amount, a net回笼 (including treasury cash) of 6979 billion yuan was achieved this week. Next week, 7891 billion yuan of reverse repurchases will expire [20]. - As of October 16, the margin trading balance of A - shares was 24496.3 billion yuan, an increase of 153.3 billion yuan from the previous week. The proportion of margin - buying amount to the total market trading volume was 12.3%, at the 98.1% quantile level in the past decade [26]. 3. Stock Index Influencing Factors - Economic Fundamentals and Corporate Earnings - In September 2025, the manufacturing PMI was 49.8, up 0.4 from August; the new order index was 49.7, up 0.2; the new export order index was 47.8, up 0.6 [36]. - The year - on - year growth rates of the net profit attributable to the parent company of the CSI 300 in Q2 2025, Q1 2025, and Q4 2024 were 2.49%, 3.32%, and 2.78% respectively; the ROE (TTM) was 9.71%, 9.75%, and 10.09% respectively [40]. 4. Stock Index Influencing Factors - Policy Driven - In September, the Ministry of Commerce stated that relevant departments had introduced more than 30 policies to establish a "1 + N" policy system for service consumption and would introduce a series of targeted documents [45]. - From September 1, 2025, to August 31, 2026, residents using personal consumption loans for consumption can enjoy an interest - subsidy policy, with a subsidy ratio of 1 percentage point [47]. 5. Stock Index Influencing Factors - Overseas Factors - In September 2025, the US manufacturing PMI was 49.1%, up 0.4 percentage points from the previous value; the non - manufacturing PMI was 50%, down 2 percentage points from the previous value [55]. - In August 2025, the US PCE increased by 2.74% year - on - year, and the core PCE increased by 2.91% year - on - year; the CPI increased by 2.9% year - on - year, and the core CPI increased by 3.1% year - on - year [61]. - Trump has proposed a series of tariff increase measures against China, and China has taken corresponding counter - measures [63][65].