Report Industry Investment Rating No relevant content provided. Core Viewpoints - Korean petrochemical companies may cut 270 - 370 million tons of naphtha cracking capacity, potentially affecting EB supply more than BZ as Korean styrene accounts for 16% of overseas styrene capacity while Korean cracked pure benzene only accounts for 3.5% of overseas pure benzene capacity [3]. - For pure benzene, port inventory is slightly decreasing from a high level but still at a high absolute level, and the port basis is waiting to strengthen further. Attention should be paid to the inventory pressure in the CPL - PA6 - nylon industry chain and the MDI inventory pressure in the aniline downstream [3]. - For styrene, port inventory is accumulating due to high current operating rates, but there are concentrated maintenance plans in September, which may lead to destocking. The operating rates of EPS and PS in the downstream continue to rise, but inventory has not continued to decline, indicating slow downstream follow - up, and ABS maintains a state of high inventory and low operating rate [3]. Summary by Directory I. Pure Benzene and EB's Basis Structure and Inter - Period Spreads - Figures include pure benzene's main contract basis, spot - M2 paper cargo spread, and inter - period spreads between contracts, as well as EB's main contract basis and inter - period spreads [9][13][17] II. Pure Benzene and Styrene Production Profits and Domestic - Foreign Spreads - Figures cover naphtha processing fees, pure benzene's FOB spreads in different regions, styrene's non - integrated production profits, and import profits of pure benzene and styrene [20][23][33] III. Pure Benzene and Styrene Inventory and Operating Rates - Figures show pure benzene's East China port inventory and operating rate, and styrene's East China port inventory, commercial inventory, factory inventory, and operating rate [40][42][45] IV. Styrene Downstream Operating Rates and Production Profits - Figures present the operating rates and production profits of EPS, PS, and ABS in the styrene downstream [52][54][57] V. Pure Benzene Downstream Operating Rates and Production Profits - Figures display the operating rates and production profits of caprolactam, phenol - acetone, aniline, adipic acid, and other downstream products of pure benzene [60][67][71]

1. Report Industry Investment Rating No information provided in the reports regarding industry investment ratings. 2. Core Views There is no explicit core view presented in the reports. The reports mainly offer data on various futures, including price differences, price changes, and other related indicators. 3. Summary by Related Catalogs 3.1 Stock Index Futures Spread Daily Report - **Price Differences and Changes**: Details are provided on the price differences and changes of different stock index futures contracts, such as F, IC, IM, IF, and IH. For example, the F period - spot price difference is 21.87, with a historical 1 - year percentile of 96.70% [1]. - **Cross - Period Price Differences**: Information on cross - period price differences for different contracts, like the difference between the next - month and current - month contracts, is presented. For instance, the next - month - current - month difference for IC is - 46.80, with a historical 1 - year percentile of 85.00% [1]. - **Cross - Variety Ratios**: Ratios between different stock index futures varieties are given, such as the ratio of CSI 500 to SSE 300, which is 1.5584, with a historical 1 - year percentile of 97.50% [1]. 3.2 Treasury Bond Futures Spread Daily Report - **Basis**: The basis values and their changes for different treasury bond futures, including TS, TF, T, and TL, are reported. For example, the TS basis is 1.1805, with a change of 0.0273 compared to the previous trading day, and a percentile of 9.30% since listing [2]. - **Cross - Period Price Differences**: Cross - period price differences for different treasury bond futures contracts are provided. For instance, the current - quarter - next - quarter difference for TF is 0.1050, with a change of 0.0550 and a percentile of 40.50% [2]. - **Cross - Variety Price Differences**: Cross - variety price differences between different treasury bond futures are presented, such as the difference between TS and TF, which is - 3.0520, with a change of 0.0720 and a percentile of 13.90% [2]. 3.3 Precious Metals Spot - Futures Daily Report - **Futures Closing Prices**: Closing prices and their changes for domestic and foreign precious metals futures are reported. For example, the AU2510 contract closed at 773.40 yuan/gram on August 22, down 1.72 yuan or 0.22% from the previous day [10]. - **Spot Prices**: Spot prices and their changes for precious metals are given. For instance, the London gold price was 3371.24 US dollars/ounce on August 22, up 32.30 US dollars or 0.97% from the previous day [10]. - **Basis and Ratios**: Basis values, ratios, and their changes for precious metals are provided. For example, the basis of gold TD - Shanghai gold main contract is - 1.77, with a change of 1.69 compared to the previous value, and a historical 1 - year percentile of 64.20% [10]. - **Interest Rates, Exchange Rates, Inventories, and Positions**: Information on interest rates, exchange rates, inventories, and positions of precious metals is presented. For example, the 10 - year US Treasury yield is 4.26%, down 0.07 percentage points or 1.6% from the previous day [10]. 3.4 Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes**: Spot quotes and their changes for container shipping routes from Shanghai to Europe are reported. For example, the MAERSK shipping price from Shanghai to Europe in the next 6 weeks is 2273 US dollars/FEU on August 25, down 77 US dollars or 3.28% from the previous day [11]. - **Container Shipping Indexes**: Changes in container shipping indexes, such as SCFIS (European route) and SCFI comprehensive index, are presented. For instance, the SCFIS (European route) settlement price index was 2180.17 on August 18, down 55.3 points or 2.47% from August 11 [11]. - **Futures Prices and Basis**: Futures prices and basis values for container shipping futures are provided. For example, the EC2602 futures price is 1465.0 on August 22, down 48.0 or 3.17% from the previous day, and the basis of the main contract is 750.2, down 15.2 or 1.99% [11]. - **Fundamental Data**: Fundamental data on container shipping, including capacity supply, port on - time rates, and overseas economic indicators, are reported. For example, the global container capacity supply is 3293.04 FTEU on August 22, with no change compared to August 24 [11]. 3.5 Trading Calendar - **Overseas Data/Information**: Information on overseas economic indicators and events for different sectors, such as agricultural products in the US and HAD, is provided. For example, the US has USDA export inspection and crop growth data [12]. - **Domestic Data/Information**: Information on domestic economic indicators and events for different sectors, such as black and non - ferrous metals, energy and chemicals, and special commodities, is presented. For example, the global manganese ore shipment volume, manganese ore arrival volume, and port manganese ore inventory data are available for manganese silicon [12].

Report Industry Investment Rating No relevant content provided. Core Views The reports present a comprehensive overview of various financial markets, including stock index futures, treasury bond futures, precious metals, container shipping, and provide schedules of economic data releases. Each section details the latest market data, price changes, and relevant indicators, offering insights for investors to assess market trends and potential investment opportunities. Summary by Directory Stock Index Futures Spread Daily Report - The F spot-futures spread is -1.40, with a change of 5.78 from the previous day, and a 1-year historical percentile of 58.30%. Other spreads such as H spot-futures spread, IC and IM inter - period spreads also show different values and changes [1]. - Cross - variety ratios like CSI 500/SSE 300, CSI 200/CSI 50, etc., have their own latest values, changes, and historical percentiles [1]. Treasury Bond Futures Spread Daily Report - For basis, the TS basis has an IRR of 1.2502, a latest value of 0.0243, and a change of - 0.0023 from the previous day, with a percentile of 11.20% since listing. Similar data is provided for TF, T, and TL basis [2]. - Inter - period spreads for TS, TF, T, and TL show different values and changes, as well as their respective historical percentiles [2]. - Cross - variety spreads such as TS - TF, TS - T, etc., also have corresponding values, changes, and historical percentiles [2]. Precious Metals Spot - Futures Daily Report - Domestic futures closing prices: The AU2510 contract closed at 772.68 yuan/gram, down 2.38 yuan (-0.31%) from the previous day; the AG2510 contract closed at 9042 yuan/kg, down 145 yuan (-1.58%) [6]. - Foreign futures closing prices: The COMEX gold main contract closed at 3392.20 US dollars/ounce, up 33.30 dollars (0.99%); the COMEX silver main contract closed at 37.90 US dollars/ounce, up 0.57 dollars (1.51%) [6]. - Spot prices: London gold was at 3347.34 US dollars/ounce, up 31.82 dollars (0.96%); London silver was at 37.86 US dollars/ounce, up 0.48 dollars (1.28%) [6]. - Basis, price ratios, interest rates, exchange rates, inventory, and position data are also provided [6]. Container Shipping Industry Spot - Futures Daily Report - Spot quotes: MAERSK's Shanghai - Europe freight rate was 2364 US dollars/FEU, up 6 dollars (0.25%); CMA CGM's was 2913 US dollars/FEU, up 34 dollars (1.18%), etc. [8]. - Shipping indices: The SCFIS (European route) settlement price index was 2180.17, down 55.3 (-2.47%); the SCFIS (US West route) was 1106.29, up 24.1 (2.23%) [8]. - Futures prices and basis: The EC2602 contract was at 1532.0, down 3.4 (-0.22%); the basis of the main contract was 700.2, down 43.0 (-5.79%) [8]. - Fundamental data: Global container shipping capacity supply remained unchanged at 3289.97 FTEU; Shanghai port on - time rate was 32.58, down 1.99 (-5.76%) [8]. Overseas and Domestic Data/Information Report - Overseas data includes economic indicators such as eurozone 8 - month manufacturing PMI, consumer confidence index, and US initial jobless claims, etc. [9]. - Domestic data includes steel production, inventory, and utilization rate, as well as various commodity data such as coal, coke, and lithium carbonate [10].

Group 1: Stock Index Futures Spread Daily Report Core View - Presents the price spreads of stock index futures on August 20, 2025, including period - current spreads, inter - period spreads, and cross - variety ratios, along with their changes from the previous day and historical quantile information [1] Summary by Category - **Period - Current Spreads**: The F period - current spread is - 7.17, the H period - current spread is 2.98, the IC period - current spread is - 55.31, and the IM period - current spread is - 65.45 [1] - **Inter - period Spreads**: Different combinations of inter - period spreads for F, IH, IC, and IM are provided, showing various numerical values and changes [1] - **Cross - variety Ratios**: Ratios such as CSI 500/SSE 50, CSI 1000/CSI 300, and IC/IF are presented, with their current values, changes, and historical quantiles [1] Group 2: Bond Futures Basis and Spread Report Core View - Provides the basis, inter - period spreads, and cross - variety spreads of bond futures on August 19, 2025, along with their changes from the previous day and historical quantile information [2] Summary by Category - **Basis**: The TS basis is 1.2318, the TF basis is 1.1138, the T basis is 1.0701, and the TL basis is 1.1098 [2] - **Inter - period Spreads**: Different combinations of inter - period spreads for TS, TF, T, and TL are provided, showing various numerical values and changes [2] - **Cross - variety Spreads**: Spreads such as TS - TF, TS - T, and TF - TL are presented, with their current values, changes, and historical quantiles [2] Group 3: Precious Metals Spot - Futures Daily Report Core View - Presents the prices of domestic and foreign precious metals futures, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions on August 19, 2025, along with their changes from the previous day [4] Summary by Category - **Futures and Spot Prices**: Domestic and foreign gold and silver futures and spot prices show different degrees of decline [4] - **Basis**: The basis of different combinations of precious metals shows various numerical values and changes, with historical quantiles provided [4] - **Ratios**: Ratios such as COMEX gold/silver and SHFE gold/silver are presented, with their current values, changes, and percentage changes [4] - **Interest Rates and Exchange Rates**: The 10 - year US Treasury yield, 2 - year US Treasury yield, 10 - year TIPS Treasury yield, US dollar index, and offshore RMB exchange rate show different degrees of change [4] - **Inventory and Positions**: The inventory of precious metals on SHFE and COMEX and the positions of ETFs show different degrees of change [4] Group 4: Container Shipping Industry Spot - Futures Daily Report Core View - Presents the spot quotes, container shipping indexes, futures prices, basis, fundamental data of the container shipping industry on August 19, 2025, and relevant data for previous months, along with their changes and percentage changes [6] Summary by Category - **Spot Quotes**: The spot quotes of Shanghai - Europe shipping routes of different shipping companies show different degrees of rise and fall [6] - **Container Shipping Indexes**: The settlement price indexes of SCFIS and the Shanghai Export Container Freight Index show different degrees of rise and fall [6] - **Futures Prices and Basis**: The futures prices of different contracts of EC show different degrees of rise and fall, and the basis of the main contract declines [6] - **Fundamental Data**: The global container shipping capacity supply remains unchanged, and indicators such as port on - time rate, port call situation, monthly export amount, and overseas economic data show different degrees of change [6] Group 5: Overseas and Domestic Data/Information Report Core View - Lists the economic indicators and financial events of overseas and domestic markets on different dates and times, along with their data sources [8] Summary by Category - **Overseas Data/Information**: Includes the eurozone's CPI data and the US's API and EIA crude oil inventory data [8] - **Domestic Data/Information**: Covers the production and sales of double - coking coal, China's one - year loan prime rate, China's port commercial crude oil inventory, and other data [8]

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided reports. 2. Core Views - The reports mainly present the daily data of different futures, including price differences, closing prices, spot prices, and related economic indicators, aiming to help investors understand the market trends and price fluctuations of various futures [1][2][3][4][5]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures Spread Daily Report - **Price Differences**: The report provides the latest values, changes from the previous day, historical 1 - year percentiles, and all - time percentiles of stock index futures' term - to - spot spreads and inter - term spreads for different varieties such as IF, IH, IC, and IM [1]. - **Calculation Methods**: It explains the calculation methods of term - to - spot spreads, inter - term spreads, and cross - variety ratios [1]. 3.2 Treasury Bond Futures Spread Daily Report - **Price Differences**: Presents the latest values, changes from the previous trading day, and percentiles since listing of the basis, inter - term spreads, and cross - variety spreads of different treasury bond futures varieties (TS, TF, T, TL) [2]. - **Calculation Notes**: Provides notes on the calculation of basis, percentiles, and spreads [2]. 3.3 Precious Metals Spot - Futures Daily Report - **Prices**: Shows the closing prices of domestic and foreign futures, spot prices, basis, ratios, interest rates, exchange rates, inventory, and positions of precious metals (gold and silver) on different dates, along with their price changes and percentage changes [3]. 3.4 Container Shipping Industry Spot - Futures Daily Report - **Spot Quotes**: Lists the spot quotes of shipping companies on the Shanghai - Europe route and their price changes and percentage changes [4]. - **Indices**: Provides the settlement price indices of shipping routes and Shanghai export container freight rates, along with their price changes and percentage changes [4]. - **Futures and Basis**: Presents the futures prices, price changes, and basis of container shipping futures contracts [4]. - **Fundamentals**: Includes data on shipping capacity supply, port - related indicators, export amounts, and overseas economic indicators, along with their changes and percentage changes [4]. 3.5 Trading Calendar - **Data Sources**: Specifies the time, data sources, and economic indicators or financial events of overseas and domestic data and information [5]. 3.6 Fund Flow and Key Seats' Position Changes Daily Report - The content of this report is incomplete and cannot be effectively summarized.

Report Industry Investment Rating - No relevant information provided Core View - Pure benzene port inventory has decreased again due to a slowdown in Chinese arrivals and upcoming Korean aromatics maintenance in August - September, with limited subsequent inventory accumulation but still existing inventory pressure. For styrene, port inventory has entered a seasonal decline cycle, but downstream demand improvement is limited [3] Summary by Directory 1. Basis Structure and Inter - Period Spreads of Pure Benzene and EB - Pure benzene: The main basis is - 115 yuan/ton (- 26), and the spread between East China pure benzene spot and M2 is 0 yuan/ton (+ 5). Near - month BZ paper cargo - distal BZ2603 spread and BZ2603 - BZ2605 inter - period spread are recommended for reverse arbitrage when high [1][4] - Styrene: The main basis is 55 yuan/ton (- 5), and the EB2509 - 2510 inter - period spread is recommended for reverse arbitrage when high [1][4] 2. Production Profits and Internal - External Spreads of Pure Benzene and Styrene - Pure benzene: CFR China processing fee is 177 dollars/ton (- 3), FOB Korea processing fee is 163 dollars/ton (- 4), and the US - Korea spread is 83.8 dollars/ton (+ 4) [1] - Styrene: Non - integrated production profit is - 306 yuan/ton (+ 8), expected to gradually compress, and the EB - BZ spread is recommended to be shorted when high [1][4] 3. Inventory and Operating Rates of Pure Benzene and Styrene - Pure benzene: Port inventory is 14.60 tons (- 1.70), and the operating rate is not provided in the given text [1] - Styrene: East China port inventory is 148,800 tons (- 10,200), East China commercial inventory is 69,500 tons (+ 3,000), and the operating rate is 77.7% (- 1.2) [1] 4. Operating Rates and Production Profits of Styrene Downstream - EPS: Production profit is 218 yuan/ton (- 10), and the operating rate is 43.67% (- 10.58) - PS: Production profit is - 52 yuan/ton (- 30), and the operating rate is 55.00% (+ 1.70) - ABS: Production profit is 100 yuan/ton (- 23), and the operating rate is 71.10% (+ 5.20) [2] 5. Operating Rates and Production Profits of Pure Benzene Downstream - Caprolactam: Production profit is - 1715 yuan/ton (- 25), and the operating rate is 88.41% (- 1.79) - Phenol - acetone: Production profit is - 672 yuan/ton (+ 0), and the operating rate is 77.00% (+ 4.00) - Aniline: Production profit is 101 yuan/ton (+ 261), and the operating rate is 73.46% (- 0.48) - Adipic acid: Production profit is - 1504 yuan/ton (+ 0), and the operating rate is 54.40% (- 10.40) [1]

1. Report Industry Investment Ratings No specific report industry investment ratings are provided in the content. 2. Core Views of the Report - The overall market risk preference remains high. For stock index futures, it is recommended to continue holding long positions; for stock index options, it is advisable to appropriately reduce the directional exposure of small - cap stocks in the short term; for treasury bond futures, the bond market sentiment is relatively warm [1][2][3]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **View**: Continue to hold long positions. The basis of IF, IH, IC, and IM current - month contracts are - 8.47 points, - 1.51 points, - 38.14 points, and - 34.15 points respectively, with a month - on - month change of - 2.38 points, 0.31 points, - 7.57 points, and - 7.24 points. The spreads between current - month and next - month contracts are 13.6 points, - 1.0 point, 73.0 points, and 78.0 points, with a month - on - month change of 3.2 points, - 0.4 point, 9.4 points, and 6.2 points. The total open interest changes are 7431 lots, 2077 lots, 3443 lots, and 4114 lots. The upward trend of the market has not changed. In August, the tone is still positive due to factors such as strong capital inflow, low probability of mid - report disappointment, and the weakening US dollar index. It is recommended to continue holding IM long positions [8]. 3.1.2 Stock Index Options - **View**: Appropriately reduce the directional exposure of small - cap stocks in the short term. The underlying market showed mixed trends and was in a volatile state. The trading volume of the options market was 6 billion and 60 million yuan, a 16.85% increase from the previous day. The sentiment indicators remained similar to the previous day, with the MO skew reaching a half - year high, indicating continued defensive sentiment in the small - cap segment. Volatility increased in small - cap and ChiNext stocks. It is recommended to continue the medium - term covered call strategy and reduce the short - term directional exposure of small - cap stocks [2][9]. 3.1.3 Treasury Bond Futures - **View**: The bond market sentiment is warm. Most treasury bond futures closed higher, with the 30 - year, 10 - year, and 5 - year main contracts rising by 0.03%, 0.05%, and 0.05% respectively, and the 2 - year main contract remaining flat. The yields of major inter - bank interest - rate bonds generally declined. Although the central bank conducted a net withdrawal of 12.25 billion yuan in the open market, the capital market remained loose. The central bank's 70 - billion - yuan 3 - month outright reverse repurchase operation is beneficial to the bond market. However, the high market risk preference and potential factors such as the increase in long - term bond supply in the third quarter and the introduction of growth - stabilizing policies may have an impact on the bond market. Different strategies are proposed for different trading purposes [3][10][11]. 3.2 Economic Calendar - The economic calendar includes data such as the US factory orders in June, the US ISM non - manufacturing PMI in July, China's trade balance in July, the UK central bank's benchmark interest rate in August, the US initial jobless claims in the week ending August 2nd, and China's M2 money supply annual rate in July [12]. 3.3 Important Information and News Tracking - **Export**: In the first seven months, ASEAN was China's largest trading partner, with a total trade value of 4.29 trillion yuan, a 9.4% increase. The EU was the second - largest trading partner, with a total trade value of 3.35 trillion yuan, a 3.9% increase. The US was the third - largest trading partner, with a total trade value of 2.42 trillion yuan, an 11.1% decrease. China's total imports and exports to the Belt and Road Initiative countries increased by 5.5% [13]. - **Retail and Commerce**: The Shanghai SASAC launched a campaign for the rejuvenation of local state - owned time - honored brands, aiming to promote brand development through various measures such as open cooperation, improving market - oriented operation mechanisms, and attracting professional talents [13]. - **Power**: Shandong Province issued a reform plan for the market - based on - grid electricity price of new energy, stating that the on - grid electricity of new energy projects such as wind and solar power will enter the power market, and the on - grid electricity price will be determined through market transactions [14]. - **Education**: The state - wide policy of exempting preschool education fees for all children in the senior class of kindergartens is expected to benefit about 12 million people this autumn [14]. 3.4 Derivatives Market Monitoring - The content only lists the categories of stock index futures data, stock index options data, and treasury bond futures data, but no specific data is provided [15][19][31].

Group 1: Report's Core View - The port accelerated inventory accumulation this week. Overseas methanol production remained at a high level, increasing the pressure of arrivals in August. The Xingxing MTO device in the port area started a one - month maintenance at the end of July. In the inland area, there will still be some maintenance in the northwest in August, and the production will not fully recover until late August. The traditional downstream demand showed certain resilience, and the inventory of inland methanol factories decreased further. Overall, the inland market was stronger than the port market [3] Group 2: Market Data Inland Market - Q5500 Ordos thermal coal was 470 yuan/ton (unchanged), and the production profit of coal - based methanol in Inner Mongolia was 695 yuan/ton (+25). The inland methanol prices varied by region: Inner Mongolia North Line was 2110 yuan/ton (+25), Inner Mongolia South Line was 2100 yuan/ton (unchanged), Shandong Linyi was 2383 yuan/ton (+10), Henan was 2250 yuan/ton (unchanged), and Hebei was 2275 yuan/ton (+25). The inland factory inventory was 293,688 tons (-30,832), and the northwest factory inventory was 185,500 tons (-30,500). The inland factory's pending orders were 240,800 tons (+10,075), and the northwest factory's pending orders were 122,800 tons (+10,800) [1] Port Market - The methanol price in Taicang was 2388 yuan/ton (+15), the basis was - 8 yuan/ton (+16), CFR China was 268 US dollars/ton (+1), and the import price difference in East China was 13 yuan/ton (-3). The port inventory increased, with the total port inventory at 925,480 tons (+117,080), Jiangsu port inventory at 498,000 tons (+79,000), Zhejiang port inventory at 144,000 tons (-9000), and Guangdong port inventory at 170,000 tons (+15,000). The downstream MTO operating rate was 85.27% (+0.32%) [2] Regional Price Differences - There were various regional price differences, such as the Lubei - Northwest - 280 price difference of - 45 yuan/ton (-25), the Taicang - Inner Mongolia - 550 price difference of - 272 yuan/ton (-10), etc [2] Group 3: Strategy - Unilateral: Wait and see - Inter - period: Do reverse arbitrage when the MA09 - 01 inter - period spread is high - Cross - variety: Shrink the PP2601 - 3MA2601 spread when it is high [4] Group 4: Report Directory Summary Methanol Basis & Inter - period Structure - The report included multiple figures related to methanol basis and inter - period spread, such as the methanol Taicang basis and the main contract, and the spreads between different methanol futures contracts [7][22][24] Methanol Production Profit, MTO Profit, and Import Profit - Figures related to production profit (e.g., Inner Mongolia coal - based methanol production profit), MTO profit (e.g., East China MTO profit), and import profit (e.g., Taicang methanol - CFR China import price difference) were presented [26][34] Methanol Production and Inventory - Figures showed methanol port inventory, MTO/P operating rate, inland factory inventory, and China's methanol operating rate [36][38] Regional Price Differences - Figures presented various regional price differences, such as Lubei - Northwest, East China - Inner Mongolia, etc [44][48][51] Traditional Downstream Profits - Figures showed the production profits of traditional downstream products like Shandong formaldehyde, Jiangsu acetic acid, Shandong MTBE, and Henan dimethyl ether [52][60]

1. Report Industry Investment Rating - The rating for the bond market is "volatile" [4] 2. Core Viewpoints of the Report - Imposing VAT on treasury bond interest is bearish for the bond market in the long run. The theoretical negative impact on the 10Y treasury bond rate is about 10BP, but the actual impact should be less than the theoretical value [1][9] - The policy will cause price differentiation between new and old bond varieties in the short term, and existing bonds will gain a scarcity premium due to the tax - exemption advantage [1][9] - The policy will affect the CTD bonds of treasury bond futures, and the probability of CTD bond switching varies among different contracts [1] - The inter - period spread of treasury bond futures will be affected by the policy, and different strategies are recommended for different contracts [2][16][17] 3. Summary by Relevant Catalogs 3.1 Impact of Treasury Bond Interest Taxation on CTD Switching - **Policy Purpose**: The main purpose of imposing VAT on treasury bond interest is to improve the bond market price formation mechanism, and increasing fiscal revenue is a relatively secondary goal [8] - **Long - term Impact on the Bond Market**: After taxation, the coupon attractiveness of treasury bonds decreases, institutional bond - allocation willingness declines, and some funds flow to risk assets, leading to a decrease in bond - market sentiment. Newly issued bonds need to increase the coupon rate to compensate for the tax cost [9] - **Impact on CTD Bonds**: The CTD bonds of different contracts have different probabilities of switching to new bonds. For example, the CTD bonds of TL contracts are unlikely to switch; the 09 contracts of T, TF, and TS are also unlikely to switch; T2512 has a certain probability of switching; T2603 and TS2603 have a high probability of switching, and TF2603 has a certain probability of switching [1][12][15] 3.2 Impact of Treasury Bond Interest Taxation on Inter - period Spreads and Strategy Recommendations - **TL Contracts**: The spread of TL09 - 12 contracts has widened. The current spread has basically priced in existing factors, and subsequent trends are more affected by market sentiment. The spread is expected to rise in shock [16] - **T Contracts**: The T09 - 12 spread is high. A narrowing strategy has a certain cost - effectiveness, but continuous narrowing is not recommended. Short - term opportunities can be sought when the bond - market sentiment recovers [17] - **TF and TS Contracts**: The cost - effectiveness of the narrowing strategy for TF and TS09 - 12 contracts is lower than that of T contracts. If the market sentiment is weak, the inter - period spread may rise slightly [20][21] - **12 - 03 Contracts**: The arbitrage strategy for 12 - 03 contracts is not recommended. The 03 contracts have low liquidity, and the CTD bonds of most 2603 contracts have a high probability of switching to new bonds, resulting in a high theoretical central spread [26] - **Long - term Trend**: The central spread of inter - period spreads will gradually rise. The long - term upward logic of treasury bonds is changing, and the cost - effectiveness of going long on treasury bonds has decreased [27]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The resumption of VAT collection on bonds has a short - term positive and long - term negative impact on the bond market, but the overall impact is controllable. In the short term, the cost - performance of existing bonds and credit bonds has increased, and the bond market has risen stage by stage. In the long term, it may be unfavorable to the bond market. The probability of the bond market breaking through the previous low has decreased, and it may still fluctuate in the range of 1.65% - 1.70%. Attention should be paid to the primary issuance rate of new bonds after August 8 and the impact of macro factors on the risk preference of the bond market [2]. - When summarizing the views of fixed - income sellers on the resumption of VAT collection, there are bullish, neutral/ bearish views. Half of the fixed - income sellers are bullish on the bond market this week, but the sentiment has declined compared with last week. The sentiment of fixed - income buyers is relatively cautious, and nearly 70% are neutral [3]. Summary According to the Directory 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted index of the seller sentiment this week is 0.33, and the unweighted index is 0.47, both showing a decline compared with last week. The current institutions generally hold a neutral - to - bullish view, with 15 bullish, 14 neutral, and 1 bearish. 50% of the institutions are bullish, and 47% are neutral, and 3% are bearish [13]. 1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index of buyers this week is 0.08, and the unweighted index is 0.11, with the unweighted index decreasing by 0.08 compared with last week. Currently, institutions generally hold a neutral - to - bullish view, with 6 bullish, 19 neutral, and 3 bearish. 21% of the institutions are bullish, 68% are neutral, and 11% are bearish [14]. 1.3 Credit Bonds - Market hot topics include preventive redemptions of wealth management products and a decline in the scale of credit - bond ETFs. The preventive redemptions of wealth management products are due to the central bank's continuous net withdrawal and tightened capital, leading to selling pressure on credit bonds. The growth of credit - bond ETFs has slowed down, and the subsequent increase in ETFs may fall short of expectations [19]. 1.4 Convertible Bonds - Institutions generally hold a neutral - to - bullish view this week, with 10 bullish and 3 neutral. 77% of the institutions are bullish, and 23% are neutral [22]. 2. Treasury Bond Futures Tracking 2.1 Futures Trading - As of August 1, the prices of TS/TF/T/TL contracts of treasury bonds have all increased, while the trading volume, open interest, and trading - to - open - interest ratio have all decreased [26][27]. 2.2 Spot Bond Trading - On August 1, the turnover rates of 30 - year treasury bonds and interest - rate bonds decreased, while the turnover rate of 10 - year China Development Bank bonds increased [32][36]. 2.3 Basis Trading - As of August 1, the basis and net basis of the main contracts have all narrowed, and the IRR has generally increased [41][44]. 2.4 Inter - delivery Spread and Inter - variety Spread - The inter - delivery spread of the TL contract has widened, while the spreads of other main contracts have narrowed. Among the inter - variety spreads, except for the 2*TF - T contract, the spreads of other main contracts have narrowed [51][52].