Core Viewpoint - The central bank announced a 10 trillion yuan reverse repurchase operation to maintain liquidity in the banking system, indicating a proactive approach to manage market liquidity amid various pressures [1] Group 1: Central Bank Actions - On September 5, the central bank will conduct a 10 trillion yuan buyout reverse repurchase operation with a term of 3 months (91 days) [1] - This operation is equivalent to the same amount of 3-month reverse repurchase that will mature on September 5, indicating a continuation of previous liquidity measures [1] Group 2: Market Conditions - The government bond issuance is expected to peak in September, contributing to the need for liquidity support [1] - The maturity of commercial bank interbank certificates of deposit will reach 35 trillion yuan, the second-highest level this year, further necessitating liquidity management [1] - The strengthening stock market has led to a noticeable "migration" of household deposits, which may tighten the funding environment [1] Group 3: Future Expectations - It is anticipated that the central bank will continue the previous three-month buyout reverse repurchase model to address tightening liquidity [1] - Additionally, with 300 billion yuan of Medium-term Lending Facility (MLF) maturing in September, the central bank may also increase the amount of MLF operations [1] - This comprehensive use of MLF and reverse repurchase tools aims to inject medium-term liquidity into the market, stabilize market expectations, and support government bond issuance [1]

Core Viewpoint - The People's Bank of China (PBOC) is expected to conduct a 1 trillion yuan reverse repurchase operation on September 5, 2023, to address liquidity tightening in the market [3]. Group 1: Monetary Policy Actions - On September 5, 1 trillion yuan of 3-month reverse repos will mature, leading to an equivalent operation by the PBOC [3]. - An additional 300 billion yuan of 6-month reverse repos is also set to mature in September, with expectations for another operation of this type, potentially with increased amounts [3]. Group 2: Market Conditions - The month of September will see a peak in government bond issuance, contributing to the need for liquidity support [3]. - The total maturity of interbank certificates of deposit for commercial banks in September is projected to reach 3.5 trillion yuan, marking the second-highest level this year [3]. - A noticeable "funds migration" phenomenon is occurring due to a strong stock market, which may tighten liquidity conditions [3]. Group 3: Future Expectations - The PBOC is likely to continue the trend of increasing reverse repo operations to counteract liquidity tightening, maintaining a supportive monetary policy stance [3]. - The central bank may also utilize Medium-term Lending Facility (MLF) operations, with 300 billion yuan of MLF maturing in September, indicating a comprehensive approach to injecting medium-term liquidity into the market [3].

Group 1: Market Interest Rates and Liquidity - DRO01 closed at 1.31 with a -0.02bp change, DR007 at 1.51 with a 1.99bp change, GC001 at 0.97 with a -54.00bp change, and GC007 at 1.50 with a -5.00bp change [4] - SHBOR 3M closed at 1.55 with no change, LPR 5 - year at 3.50 with no change [4] - 1 - year, 5 - year, 10 - year Chinese treasury bonds closed at 1.35 (-0.15bp), 1.60 (-0.25bp), 1.76 (0.20bp) respectively, and 10 - year US treasury bonds at 4.24 (-2.00bp) [4] - The central bank conducted 416.1 billion yuan of 7 - day reverse repurchase operations yesterday, with 253 billion yuan of reverse repurchases maturing, resulting in a net injection of 163.1 billion yuan [4] - This week, 2.077 trillion yuan of reverse repurchases will mature, and on Friday, 50 billion yuan of 6 - month outright reverse repurchases and 300 billion yuan of MLF will mature [4][10] Group 2: Stock Index Market - Yesterday, the Shanghai - Shenzhen 300 rose 1.77% to 4463.8, the Shanghai 50 rose 1.45% to 2960.7, the CSI 500 rose 2.17% to 7011.2, and the CSI 1000 rose 1.51% to 7447.1 [5] - Most industry sectors rose, with semiconductor, communication equipment, and other sectors leading the gains, while automobile service, real estate service, and brewing industries leading the losses [5] - After a brief adjustment, the stock index continued to rise driven by the technology sector, maintaining a strong trend. The current P/E ratios of the four major stock indices are above the 70% historical percentile, with reduced valuation attractiveness, but equity assets still have an advantage over the risk - free rate [6] - The risk premium rate of the Shanghai - Shenzhen 300 is 5.27, at the 56% historical percentile, indicating that equity assets still have allocation value [6] - As the key macro - event nodes in September approach, the stock index is expected to be more volatile, and the strategy is to lay out long positions on pullbacks [6] Group 3: Stock Index Futures - IF, IH, IC, and IM contracts' trading volume and open interest changed, with some increasing and some decreasing [5] - The current contract's IF, IH, IC, and IM ascension/discount rates are 1.26%, 0.52%, 10.45%, and 18.69% respectively [7]

Group 1: Interest Rates and Central Bank Operations - DR001 closed at 1.35 with a -6.26 bp change, DR007 at 1.52 with a 5.39 bp change, GC001 at 1.09 with a -9.00 bp change, and GC007 at 1.51 with a 2.50 bp change [3] - SHBOR 3M was at 1.55 with no change, LPR 5 - year at 3.50 with no change [3] - 1 - year treasury bond closed at 1.37 with a -1.25 bp change, 5 - year at 1.61 with a -1.95 bp change, 10 - year at 1.76 with a -2.10 bp change, and 10 - year US treasury at 4.26 with a -7.00 bp change [3] - The central bank conducted 2884 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40%, and 2665 billion yuan of reverse repurchases matured, resulting in a net investment of 219 billion yuan [3] - This week, 20770 billion yuan of reverse repurchases will mature in the central bank's open market, and there will also be 3000 billion yuan of MLF maturing on Tuesday, 5000 billion yuan of 6 - month and 4000 billion yuan of 3 - month outright reverse repurchases maturing on Friday [4] Group 2: Stock Index Performance - The CSI 300 closed at 4469 with a 2.08% increase, the SSE 50 at 2990 with a 2.09% increase, the CSI 500 at 6952 with a 1.89% increase, and the CSI 1000 at 7478 with a 1.56% increase [5] - The trading volume of the CSI 300 futures (IF) was 180751 with a 29.0% increase, and the open interest was 289604 with a 4.5% increase; the trading volume of the SSE 50 futures (IH) was 89047 with a 21.2% increase, and the open interest was 120186 with a 5.9% increase; the trading volume of the CSI 500 futures (IC) was 148122 with a 15.2% increase, and the open interest was 244555 with a 4.7% increase; the trading volume of the CSI 1000 futures (IM) was 309362 with a 11.4% increase, and the open interest was 399769 with a 2.2% increase [5] - The trading volume of the two - stock markets reached 31411 billion yuan, an increase of 5944 billion yuan from the previous trading day, and sectors such as non - ferrous metals and real estate development led the gains [5] Group 3: Market Outlook and Strategy - The CSI 300 and SSE 50 further made up for lost ground, and the market continued to be strong. Shanghai adjusted housing policies, and the Fed signaled a rate cut in September [6] - Market liquidity remained abundant, and A - share daily trading volume exceeded 3 trillion yuan. The overall macro news was positive, and the stock index was expected to continue to run strongly [6] - In terms of strategy, long - position varieties could be tilted towards IF or IH to reduce position fluctuations and risks [6] Group 4: Futures Premium and Discount - The premium and discount rates of IF were -1.76% for the current - month contract, -0.37% for the next - month contract, 0.83% for the current - quarter contract, and 1.05% for the next - quarter contract [7] - The premium and discount rates of IH were -1.05% for the current - month contract, -0.72% for the next - month contract, -0.37% for the current - quarter contract, and -0.47% for the next - quarter contract [7] - The premium and discount rates of IC were 8.88% for the current - month contract, 7.44% for the next - month contract, 7.55% for the current - quarter contract, and 7.18% for the next - quarter contract [7] - The premium and discount rates of IM were 12.79% for the current - month contract, 10.38% for the next - month contract, 9.08% for the current - quarter contract, and 8.72% for the next - quarter contract [7]

Report Investment Rating No information on the industry investment rating is provided in the report. Core Viewpoints - The market is in a stage of game between policy expectations and fundamental reality, and is expected to maintain a volatile and slightly stronger pattern in the short term. Attention should be paid to the spread changes between index futures contracts to seize cross - variety arbitrage opportunities, while being vigilant against external market fluctuations and rapid style switching risks [30]. Summary by Directory 1. A - share Market Review - On August 22, the A - share market continued its strong performance. The Shanghai Composite Index broke through 3800 points, reaching a ten - year high. The Shanghai Composite Index rose 1.45% to 3825.76 points, the Shenzhen Component Index rose 2.07% to 12166.06 points, the ChiNext Index rose 3.36% to 2682.55 points, and the Science and Technology Innovation 50 Index rose 8.59% to 1247.86 points. The trading volume of the two markets reached 2546.7 billion yuan, an increase of 122.7 billion yuan from the previous day [1]. 2. Bond Market - Last week, treasury bond futures rose collectively. The 30 - year treasury bond futures fell 1.05% to 115.980 yuan, the 10 - year treasury bond futures fell 0.52% to 107.660 yuan, the 5 - year treasury bond futures fell 0.28% to 105.370 yuan, and the 2 - year treasury bond futures fell 0.06% to 102.318 yuan [2]. 3. Domestic Stock Index Futures Market - Last week, the domestic stock index futures market strengthened collectively. The CSI 300 futures (IF) closed at 4394.0 on August 22, up 4.39% for the week; the SSE 50 futures (IH) closed at 2942.0, up 3.36%; the CSI 500 futures (IC) closed at 6810.4, up 4.28%; the CSI 1000 futures (IM) closed at 7348.6, up 3.70% [7]. 4. Fundamental Analysis - The State Council executive meeting pointed out that the policy of large - scale equipment renewal and consumer goods trade - in has achieved obvious results. It is necessary to strengthen policy support, release domestic demand potential, and stimulate sports consumption [8]. - From January to July, the number of newly established foreign - invested enterprises in China increased by 14.1% year - on - year, but the actual use of foreign capital decreased by 13.4%. The actual use of foreign capital in high - tech industries was 137.36 billion yuan, with significant growth in some sub - sectors [8]. - After Fed Chairman Powell's speech, traders increased their bets on a September interest rate cut by the Fed and fully digested the expectation of two interest rate cuts by the end of the year [9]. - Last week, the central bank conducted 2.077 trillion yuan of reverse repurchase operations, with a net investment of 1.3652 trillion yuan. It will conduct 600 billion yuan of MLF operations on August 25, with a net investment of 300 billion yuan this month [9]. 5. Valuation Analysis - As of August 15, the PE of the CSI 300 Index was 13.73 times, the percentile was 80%, and the PB was 1.45 times; the PE of the SSE 50 Index was 11.71 times, the percentile was 88.82%, and the PB was 1.29 times; the PE of the CSI 500 Index was 32.02 times, the percentile was 76.27%, and the PB was 2.17 times; the PE of the CSI 1000 Index was 44.56 times, the percentile was 70.39%, and the PB was 2.47 times [12]. - The report introduced two formulas for calculating the stock - bond spread [24]. 6. China - Buffett Indicator - On August 21, 2025, the ratio of total market capitalization to GDP was 86.00%. The current "total market capitalization/GDP" was at the 85.11% percentile in historical data and the 88.43% percentile in the past 10 - year data [27]. 7. Comprehensive Analysis - Last week, the stock index futures market continued to rise in a volatile manner. Small and medium - cap varieties outperformed large - cap contracts. The market showed the characteristics of "strong index and differentiated stocks". The main indexes' valuation percentiles were at a relatively high level in history, and technical adjustment risks needed to be noted [30]. 8. Operation Suggestions - Unilateral trading: IF and IH still have long - term layout value; IM and IC are more representative of industrial structure upgrading directions but have higher volatility [31]. - Arbitrage: Cross - variety arbitrage needs to capture the rhythm of market style switching [31]. - Options: A covered call strategy can be considered to increase returns [32].

Group 1 - The central bank conducted a reverse repurchase operation of 361.2 billion yuan with a fixed interest rate of 1.40% on August 22, maintaining the previous rate [1] - The total net injection through reverse repos this week reached 1,365.2 billion yuan, significantly higher than the previous week, where operations exceeded 200 billion yuan on multiple days [1] - The increase in reverse repo operations is aimed at ensuring sufficient liquidity in the banking system to meet the demand for government bond issuance during the peak period in August and September [1] Group 2 - The central bank is expected to utilize various monetary policy tools, including reverse repos and MLF, to enhance liquidity management in the short to medium term [2] - Following the May reserve requirement ratio cut, the average reserve requirement ratio for financial institutions is 6.2%, with some rural small financial institutions facing a "hidden lower limit" of 5% [2] - There is an expectation for further reserve requirement ratio cuts and improvements in the reserve requirement system to enhance the policy adjustment function of reserve requirement tools [2]

Group 1 - The central bank announced a reverse repurchase operation of 500 billion yuan for 6 months on August 15, following a previous operation of 700 billion yuan for 3 months on August 8, resulting in a total of over 300 billion yuan in mid-term liquidity injection this month [1] - The market anticipates that the central bank may increase the amount of MLF (Medium-term Lending Facility) after 300 billion yuan matures this month [1] - The expectation for a rate cut by the Federal Reserve in September has cooled, with the US Producer Price Index (PPI) for July rising to 3.3% year-on-year, exceeding the expected 2.5%, and marking the highest level since February [1] Group 2 - The initial jobless claims in the US decreased by 3,000 to 224,000, remaining below expectations and at the lowest level since November 2021 [1] - The continuing jobless claims fell to 1.953 million, slightly below expectations, but still hovering at high levels since 2021 [1]

Group 1 - The central bank announced a reverse repurchase operation of 500 billion yuan with a six-month term on August 15, following a previous operation of 700 billion yuan for three months on August 8, resulting in a total of 300 billion yuan in excess liquidity injection this month [1] - The market anticipates that the central bank may increase the amount of medium-term lending facility (MLF) after the 300 billion yuan MLF matures this month [1] Group 2 - The expectation for a Federal Reserve interest rate cut in September has been dampened, as the U.S. Producer Price Index (PPI) surged to 3.3% year-on-year in July, the highest level since February, significantly exceeding the expected 2.5% [1] - The PPI also increased by 0.9% month-on-month, marking the largest rise since June 2022 [1] - San Francisco Fed President Daly opposed a significant 50 basis point cut in the September meeting, while Chicago Fed President Goolsbee urged caution in rate cuts until inflation is controlled [1] Group 3 - Initial jobless claims in the U.S. decreased by 3,000 to 224,000, remaining below expectations and at the lowest level since November 2021 [1] - The previous week's continuing claims fell to 1.953 million, slightly below expectations but still hovering at high levels since 2021 [1]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - After a period of oscillation, index futures still have support for a rebound [3] 3. Summary by Related Catalogs 3.1 Index Futures Data Tracking - **Price and Change**: On August 14, the closing prices of major indexes were as follows: CSI 300 at 4173.31 (down 0.08%), SSE 50 at 2829.47 (up 0.59%), CSI 500 at 6429.85 (down 1.20%), and CSI 1000 at 6976.49 (down 1.24%). The corresponding futures contracts showed mixed trends, with IF down 0.07%, IH up 0.46%, IC down 1.11%, and IM down 1.02% [1] - **Trading Volume and Open Interest**: On the trading day, the total trading volume of index futures rebounded, indicating increased trading enthusiasm among investors. Specifically, the total trading volume of IF increased by 26,975 lots, IH by 20,405 lots, IC by 5,277 lots, and IM by 36,064 lots. In terms of open interest, IF increased by 5,578 lots, IH by 3,248 lots, IC decreased by 9,652 lots, and IM decreased by 6,229 lots [2] 3.2 Index Futures Base Spread - The base spreads of IF, IH, IC, and IM showed different trends over a certain period, as shown in the corresponding base spread charts [4] 3.3 Top 20 Member Positions in Index Futures - For different index futures contracts (IF, IH, IC, IM), the top 20 members' long and short positions had various changes, including increases and decreases in different contracts [5] 3.4 Trend Intensity and Important Drivers - **Trend Intensity**: The trend intensity of IF and IH is 1, and that of IC and IM is also 1, with the range of trend intensity being integers in the [-2, 2] interval [6] - **Important Drivers**: The central bank plans to conduct a 500 - billion - yuan 6 - month (182 - day) outright reverse repurchase operation on August 15, and the total outright reverse repurchase in August has exceeded the roll - over amount by 30 billion yuan. The market expects the central bank to increase the roll - over amount after the 300 - billion - yuan MLF matures this month. The Fed's September rate - cut expectation was frustrated as the US July PPI soared year - on - year and环比, and some Fed officials opposed a large - scale rate cut [6] - **Stock Market Performance**: The Shanghai Composite Index closed down 0.46% at 3666.44 after breaking through 3700 points. The Shenzhen Component Index fell 0.87%, and the ChiNext Index fell 1.08%. A - share trading volume reached 2.31 trillion yuan, up from 2.18 trillion yuan the previous day. Most stocks fell, and certain sectors showed different performance trends [6]

Core Viewpoint - The central bank has significantly increased the scale of reverse repurchase operations in June and July, indicating a proactive approach to maintain liquidity in the financial system [3]. Group 1: Liquidity Operations - In June and July, the central bank conducted reverse repurchase operations amounting to 14,000 billion yuan each month, achieving a net injection of 2,000 billion yuan [3]. - The operations in June included injections of 10,000 billion yuan at the beginning of the month and 4,000 billion yuan in the middle of the month, while July saw a 14,000 billion yuan injection in mid-month [3]. Group 2: Future Expectations - In August, 9,000 billion yuan of reverse repurchase agreements are set to mature, which exceeds the current injection volume, indicating potential liquidity tightening [3]. - Analyst Wang Qing anticipates that the central bank will conduct another 6-month reverse repurchase operation within August, alongside the expected rollover of 3,000 billion yuan in Medium-term Lending Facility (MLF) [3]. - The expectation is that the central bank will continue to inject medium-term liquidity through MLF and reverse repurchase operations to maintain ample liquidity in the banking system during the peak of government bond issuance [3].