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].

Report Summary 1. Market Performance - On July 2nd, A-share four major stock indexes pulled back, with the Shanghai Composite Index down 0.09% to 3454.79 points, the Shenzhen Component Index down 0.61% to 10412.63 points, the ChiNext Index down 1.13% to 2123.72 points, and the Science and Technology Innovation 50 Index down 1.22% to 982.64 points. Market turnover was 1.4051 trillion yuan, a decrease of 91.4 billion yuan from the previous day [1]. - In terms of industry sectors, steel (+3.37%), coal (+1.99%), and building materials (+1.42%) led the gains; electronics (-2.01%), communication (-1.96%), and national defense and military industry (-1.94%) led the losses [1]. - From the perspective of market strength, IH > IF > IC > IM, and the number of rising/flat/falling stocks was 1,943/190/3,282 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors' net capital inflows were -15.8 billion, -17.4 billion, 4.8 billion, and 28.4 billion yuan respectively, with changes of -6.7 billion, -3.4 billion, +2.5 billion, and +7.6 billion yuan respectively [1]. 2. Stock Index Futures - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 120.68, 86.75, 40.48, and 24.95 points respectively, and the annualized basis yields were -14.49%, -11.15%, -7.78%, and -6.94% respectively, with three - year historical quantiles of 15%, 12%, 16%, and 18% respectively [1]. - **Trading Strategy**: In the short - term, the stock index discount is reverting, and the current direction is unclear. A neutral strategy can be considered. In the medium - to long - term, the report maintains the judgment of being long on the economy. Using stock indexes as long - term substitutes has certain excess returns. It is recommended to allocate IF, IC, and IM forward contracts on dips. For near - month contracts, there is a risk of a decline in micro - cap stocks, which may drag down the IC and IM indexes, so caution is advised [1]. 3. Treasury Bond Futures - **Yield Changes**: On July 2nd, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.302, down 1.59 bps from the previous day; the five - year bond was 1.442, down 1.56 bps; the ten - year bond was 1.561, down 1.71 bps; and the thirty - year bond was 1.902, down 2.12 bps [2]. - **Spot 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 -0.6 bps, a corresponding net basis of -0.054, and an IRR of 1.76%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of -1.25 bps, a net basis of -0.081, and an IRR of 1.88%; for the 10 - year, the CTD bond is 250007.IB, with a yield change of -1 bps, a net basis of -0.126, and an IRR of 2.04%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of -2 bps, a net basis of -0.003, and an IRR of 1.51% [3]. - **Funding Situation**: In open - market operations, the central bank injected 98.5 billion yuan and withdrew 365.3 billion yuan, resulting in a net withdrawal of 266.8 billion yuan [3]. - **Trading Strategy**: On the futures side, the long - end buying power is strong, possibly betting on a further decline in future policy interest rates. It is recommended to be short - term long and medium - to long - term short. Short - term, buy T and TL on dips, and medium - to long - term, hedge T and TL on rallies [3]. 4. Economic Data - High - frequency data shows that recent social activities and real - estate market sentiment have contracted [11].

1. Report Industry Investment Rating - There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - On June 16, most of the four major A-share stock indices rose, with the Shanghai Composite Index up 0.35%, the Shenzhen Component Index up 0.41%, the ChiNext Index up 0.66%, and the STAR 50 Index down 0.21%. Market trading volume decreased by 260.4 billion yuan compared to the previous day. In the industry sector, media, communication, and computer led the gains, while agriculture, forestry, animal husbandry and fishery, beauty care, and non-ferrous metals led the losses. [2] - For stock index futures, the basis of the next-month contracts of IM, IC, IF, and IH are 110.26, 79.61, 45, and 43.41 points respectively, with annualized basis yields of -17.94%, -13.8%, -11.62%, and -16.17%. Entering the delivery week, attention should be paid to the convergence of the futures-spot price difference. In the short term, a short-cycle band strategy is advisable. In the medium and long term, it is recommended to allocate IF, IC, and IM forward contracts on dips. For near-month contracts, caution is advised due to the potential decline risk of micro-cap stocks. [3] - For bond futures, the yields of bond futures mostly declined on June 16. In the cash bond market, the current active contract is the 2509 contract. The trading strategy suggests short-term long and long-term short, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term. [3][4] - High-frequency data shows that recent social activities and real estate sentiment have contracted. [13] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - The table provides detailed data on the performance of various stock index futures and spot indices, including their codes, names, price changes, trading volumes, open interests, basis, and annualized basis yields. For example, the IC2506 contract rose 0.46% to 5756.2 points, with a trading volume of 47,548 lots and an open interest of 69,823 lots. [7] 3.2 Bond Futures and Spot Market Performance - The table presents the performance of bond futures and spot bonds, including their codes, names, price changes, trading volumes, open interests, net basis, and CTD bond implied interest rates. For instance, the TS2509 contract rose 0.02% to 102.5 points, with a trading volume of 24,997 lots and an open interest of 117,711 lots. [9] - The figure shows the term structure of bond spot prices. [10][11] - The table shows the changes in short-term capital interest rates, including SHIBOR overnight, DR001, SHIBOR one-week, and DR007. [13] 3.3 Economic Data - High-frequency data indicates a contraction in recent social activities and real estate sentiment. The figure shows the tracking of domestic meso-level data, with positive scores representing improved sentiment, negative scores representing weakened sentiment, and zero scores representing little change in sentiment. [13][14][15]