Report Summary 1. Investment Rating The report does not provide an overall industry investment rating. 2. Core Views - **Stock Index Futures**: Maintain the judgment of going long on the economy. It is recommended to allocate IF, IC, and IM forward contracts on dips. Be cautious with near - month contracts due to the potential risk of micro - cap stocks dragging down IC and IM indices [1]. - **Treasury Bond Futures**: Suggest short - term long and long - term short strategies. Short - term, buy T and TL on dips; long - term, hedge T and TL on rallies [2]. 3. Summary by Directory Stock Index Futures - **Market Performance (May 30)**: The four major A - share stock indices回调. The Shanghai Composite Index fell 0.47% to 3347.49 points, the Shenzhen Component Index fell 0.85% to 10040.63 points, the ChiNext Index fell 0.96% to 1993.19 points, and the Sci - Tech Innovation 50 Index fell 0.94% to 977.03 points. Market turnover was 1.1642 trillion yuan, a decrease of 49.2 billion yuan from the previous day. Industries such as agriculture, forestry, animal husbandry, and fishery (+1.2%), banks (+0.64%), and pharmaceutical biology (+0.37%) led the gains, while industries such as automobiles (-1.91%), comprehensive (-1.87%), and electronics (-1.85%) led the losses. From the perspective of market strength, IH > IF > IC > IM. The number of rising/flat/falling stocks was 1116/134/4160 respectively. Institutional, main, large - scale, and retail investors' net capital inflows were - 19.3 billion, - 15.9 billion, 9.7 billion, and 25.6 billion yuan respectively, with changes of - 31.5 billion, - 11.2 billion, +25.6 billion, and +17.1 billion yuan respectively [1]. - **Basis**: The basis of IM, IC, IF, and IH next - month contracts were 149.36, 111.67, 54.63, and 45.5 points respectively, with annualized basis yields of - 17.7%, - 14.07%, - 10.16%, and - 12.13% respectively, and three - year historical quantiles of 7%, 8%, 5%, and 7% respectively. The futures - spot price difference remained at a low level [1]. - **Trading Strategy**: The deep discount of small - cap stock indices recently may be due to the expansion of neutral product scale this year. Since the bond bull market has not restarted, the proportion of neutral short positions may still be high, so the deep discount may continue. It is recommended to allocate IF, IC, and IM forward contracts on dips and be cautious with near - month contracts [1]. Treasury Bond Futures - **Market Performance (May 30)**: The yields of most treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond was 1.379, a decrease of 3.19 bps from the previous day; the five - year bond was 1.497, a decrease of 3.13 bps; the ten - year bond was 1.657, an increase of 0.3 bps; and the thirty - year bond was 1.984, a decrease of 3.1 bps [2]. - **Cash 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 - 2.5 bps, a corresponding net basis of - 0.056, and an IRR of 1.85%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 3.25 bps, a net basis of - 0.054, and an IRR of 1.84%; for the 10 - year, the CTD bond is 220010.IB, with a yield change of - 2 bps, a net basis of - 0.029, and an IRR of 1.76%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 2.25 bps, a net basis of 0.031, and an IRR of 1.58% [2]. - **Funding Situation**: The central bank's currency injection was 291.1 billion yuan, and currency withdrawal was 142.5 billion yuan, with a net injection of 148.6 billion yuan [2]. - **Trading Strategy**: The current situation of strong supply and weak demand in the cash bond market is expected to change. In the futures market, the long - end bullish force is strong. It is recommended to take short - term long and long - term short positions, buy T and TL on dips in the short - term, and hedge T and TL on rallies in the long - term [2]. Economic Data High - frequency data shows that in May, the prosperity of imports and exports and social activities declined, while the real estate market's prosperity increased [10].

Report Summary 1. Market Performance - On May 28th, the four major A-share stock indices declined. The Shanghai Composite Index dropped 0.02% to 3339.93 points, the Shenzhen Component Index fell 0.26% to 10003.27 points, the ChiNext Index decreased 0.31% to 1985.38 points, and the STAR 50 Index slipped 0.23% to 970.64 points. Market trading volume was 1.0339 trillion yuan, an increase of 9.8 billion yuan from the previous day. In the industry sectors, textile and apparel (+1.17%), environmental protection (+0.89%), and coal (+0.74%) led the gains, while basic chemicals (-0.79%), agriculture, forestry, animal husbandry and fishery (-0.78%), and national defense and military industry (-0.72%) led the losses. In terms of market strength, IF > IH > IC > IM, and the number of rising/flat/falling stocks was 1,750/181/3,477 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of -5.8 billion, -12.8 billion, 2.1 billion, and 16.5 billion yuan respectively, with changes of -2.9 billion, -1 billion, +2.5 billion, and +1.4 billion yuan respectively [2]. - On May 28th, most yields of treasury bond futures declined. Among the actively traded contracts, the implied interest rate of the two - year bond was 1.376, unchanged from the previous day; the five - year bond was 1.497, also unchanged; the ten - year bond was 1.618, down 0.7 bps; and the thirty - year bond was 1.985, down 0.1 bps [3]. 2. Core Views - For stock index futures, it is speculated that the deep discount of small - cap stock indices recently is due to the expansion of neutral product scale since this year. As the bond bull market has not restarted, the proportion of short positions in neutral products may still be high, so the deep discount may continue. It is recommended to go long on the economy, and it is advisable to allocate IF, IC, 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 indices, so caution is advised [2]. - For treasury bond futures, although the current spot bonds show a pattern of strong supply and weak demand, this pattern is expected to change in the future. The government bond net supply rhythm may slow down in June, the long - term liability cost of insurance may be lowered in July, and the domestic market risk preference has returned to a defensive style, which may increase the demand for bond market allocation. It is recommended to go long in the short - term and short in the long - term, buy T and TL contracts on dips in the short - term, and hedge T and TL contracts on rallies in the long - term [3]. 3. Summary by Directory 3.1 Stock Index Futures and Spot Market Performance - The table shows the performance of stock index futures and spot markets, including details such as code, name, price changes, trading volume, open interest, and basis. For example, for IC2506, the price change was -0.26%, the current price was 5568.0 points, and the basis was 69.2 points [5]. 3.2 Treasury Bond Futures and Spot Market Performance - The table presents the performance of treasury bond futures and spot markets, including code, name, price changes, trading volume, net basis, and CTD bond implied interest rates. For instance, for TS2506, the price change was -0.01%, the current price was 102.2 points, and the net basis was 0.0 [6]. 3.3 Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities has declined, while the real estate market has improved [10].

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Regarding stock index futures, it is speculated that the deep discount of small - cap stock indexes recently is due to the scale expansion of neutral products this year. With the bond bull market not restarted, the high proportion of short positions in neutral products may keep the deep discount. The report maintains the judgment of being bullish on the economy, recommends buying IF, IC, and IM forward contracts on dips, and advises caution with near - month contracts of IC and IM due to the potential decline risk of micro - cap stocks [3]. - For treasury bond futures, although the current situation of bond spot market shows strong supply and weak demand, it is expected to change. Factors include the increase in government bond maturity in June, the possible reduction of long - term liability costs of insurance in July, and the return of domestic market risk preference to a defensive style. It is suggested to take a short - term long and medium - to - long - term short strategy, buying T and TL on dips in the short term and hedging T and TL on rallies in the long term [4]. 3. Summary by Relevant Catalogs (1) Stock Index Futures Spot and Futures Market Performance - On May 26, most of the four major A - share stock indexes declined. The Shanghai Composite Index fell 0.05% to 3346.84 points, the Shenzhen Component Index dropped 0.41% to 10091.16 points, the ChiNext Index decreased 0.8% to 2005.26 points, while the Sci - tech Innovation 50 Index rose 0.17% to 982.26 points. Market trading volume was 1.0339 trillion yuan, a decrease of 148.7 billion yuan from the previous day. In terms of industry sectors, media, computer, and environmental protection led the gains, while automobile, pharmaceutical biology, and comprehensive sectors led the losses [2]. - The basis of IM, IC, IF, and IH next - month contracts were 195.39, 153.86, 68.31, and 47.22 points respectively, with annualized basis yields of - 20.77%, - 17.4%, - 11.34%, and - 11.21%. The three - year historical quantiles were 3%, 3%, 2%, and 8% respectively, indicating that the futures - spot price difference remained at a low level [2]. (2) Treasury Bond Futures Spot and Futures Market Performance - On May 26, the yields of treasury bond futures declined. Among the active contracts, the implied interest rate of the two - year bond decreased by 173 bps to 1.356, the five - year bond by 373 bps to 1.488, the ten - year bond remained flat at 1.638, and the thirty - year bond decreased by 79 bps to 1.968 [3]. - For the current active 2509 contract, the CTD bonds, yield changes, net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided. The central bank's open - market operations had a net injection of 24.7 billion yuan [4]. (3) Economic Data - High - frequency data shows that this month, the prosperity of imports and exports and social activities declined, while the real estate prosperity increased [12].