1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - and long - term, and recommend allocating long - term contracts of various varieties at dips [2]. - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - and long - term, due to the rising risk appetite and the expectation of economic recovery, it is recommended to conduct hedging on T and TL at high prices [3]. 3. Summary According to Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On March 25th, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 1.3% to close at 3931.84 points; the Shenzhen Component Index rose 1.95% to close at 13801 points; the ChiNext Index rose 2.01% to close at 3316.97 points; the Science and Technology Innovation 50 Index rose 1.91% to close at 1315.41 points. The market turnover was 21,929 billion yuan, an increase of 968 billion yuan from the previous day. In terms of industry sectors, comprehensive (+3.87%), communication (+3.71%), and non - ferrous metals (+2.97%) performed well; coal (-1.29%) and petroleum and petrochemicals (-0.44%) performed moderately. In terms of market strength, IC>IM>IF>IH, and the number of rising/flat/falling stocks was 4,871/59/559 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were 179, - 29, - 165, and 15 billion yuan respectively, with changes of +106, +56, - 1, and - 162 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 164.98, 137.67, 49.67, and 12.53 points respectively, and the annualized basis yields were - 15.65%, - 13.03%, - 8.05%, and - 3.22% respectively, with three - year historical quantiles of 14%, 11%, 12%, and 27% respectively [2]. - Details of various stock index futures contracts such as IC, IF, IH, and IM including price, trading volume, open interest, basis, and annualized basis yield are shown in Table 1 [5]. 3.2 Treasury Bond Futures and Spot Market Performance - On March 25th, treasury bond futures remained flat. Among the active contracts, TS rose 0.02%, TF remained flat, and TL rose 0.01%. For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of +0.1 bps, a corresponding net basis of 0.057, and an IRR of 1.19%; the CTD bond of the 5 - year treasury bond futures was 250014.IB, with a yield change of - 0.5 bps, a corresponding net basis of 0.074, and an IRR of 1.12%; the CTD bond of the 10 - year treasury bond futures was 250025.IB, with a yield change of - 0.3 bps, a corresponding net basis of 0.067, and an IRR of 1.15%; the CTD bond of the 30 - year treasury bond futures was 210014.IB, with a yield change of +0 bps, a corresponding net basis of 0.228, and an IRR of 0.64% [3]. - In terms of the money market, the central bank injected 785 billion yuan and withdrew 205 billion yuan, with a net injection of 580 billion yuan [3]. - Details of various treasury bond futures contracts such as TS, TF, T, and TL including price, trading volume, open interest, net basis, and CTD bond implied interest rate are shown in Table 2 [7]. 3.3 Economic Data - High - frequency data shows that the prosperity of various sectors has declined [10]. - Based on the changes (year - on - year month - on - month) of meso - level data in each module compared with the same period in the past five years, the prosperity of manufacturing, real estate, social activities, infrastructure, and import and export is scored. Positive scores represent an improvement in prosperity, negative scores represent a decline in prosperity, and zero scores represent little change in prosperity [12][13].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - For stock index futures, in the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips as there is certain excess return when using stock index as a long - position substitute [3] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL contracts [3] 3. Summary According to Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On March 16, most of the four major A - share stock indexes rose. The Shanghai Composite Index fell 0.26% to 4084.79 points, the Shenzhen Component Index rose 0.19% to 14307.58 points, the ChiNext Index rose 1.41% to 3357.02 points, and the Science and Technology Innovation 50 Index rose 0.83% to 1384.99 points. Market trading volume was 23,399 billion yuan, a decrease of 774 billion yuan from the previous day. In terms of industry sectors, food and beverage (+1.99%), electronics (+1.77%), and commerce and retail (+0.99%) performed well; steel (-3.16%), non - ferrous metals (-2.67%), and basic chemicals (-2.15%) performed averagely. From the perspective of market strength, IF>IM>IH>IC. The number of rising/flat/falling stocks were 2,843/152/2,490 respectively. In the Shanghai and Shenzhen stock markets, institutional, main force, large - scale investor, and retail investor funds had net inflows of - 83, - 85, - 44, and 212 billion yuan respectively, with changes of +74, +160, - 47, and - 187 billion yuan respectively [2] - **Basis**: The basis of the next - month contracts of IM, IC, IF, and IH were 90.35, 48.35, 26.96, and 5.29 points respectively. The annualized basis yields were - 11.46%, - 6.15%, - 6.01%, and - 1.86% respectively, and the three - year historical quantiles were 34%, 45%, 20%, and 33% respectively [2] - **Trading Strategy**: In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [3] 3.2 Treasury Bond Futures - **Market Performance**: On March 16, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.04%, TF fell 0.08%, T fell 0.11%, and TL fell 0.43% [3] - **Cash Bonds**: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, the yield changed by +0.5bps, the corresponding net basis is 0.055, and the IRR is 1.24%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, the yield changed by +1.5bps, the corresponding net basis is 0.02, and the IRR is 1.37%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, the yield changed by +1.5bps, the corresponding net basis is 0.032, and the IRR is 1.33%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, the yield changed by +1.75bps, the corresponding net basis is 0.099, and the IRR is 1.14% [3] - **Funding Situation**: In terms of open - market operations, the central bank投放 137.3 billion yuan and withdrew 48.5 billion yuan, with a net injection of 88.8 billion yuan [3] - **Trading Strategy**: The short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL contracts [3] 3.3 Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [9]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For stock index futures, maintain the judgment of going long on the economy in the medium - and long - term. It is recommended to allocate long - term contracts of various varieties on dips as there is certain excess return in using stock index as a long - position substitute [2] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see. In the medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL contracts [2] 3. Summary by Related Catalogs 3.1 Stock Index Futures - **Market Performance**: On March 9, A - share four major stock indexes adjusted. The Shanghai Composite Index fell 0.67%, the Shenzhen Component Index fell 0.74%, the ChiNext Index fell 0.64%, and the Science and Technology Innovation 50 Index fell 1.69%. Market trading volume was 26,706 billion yuan, an increase of 4,513 billion yuan from the previous day. Coal, comprehensive, and computer sectors performed well, while communication, transportation, and beauty care sectors performed poorly. From the perspective of market strength, IM>IF>IC>IH. The number of rising/flat/falling stocks was 1,422/102/3,960. Net inflows of institutional, main force, large - scale, and retail investors' funds in the Shanghai and Shenzhen stock markets were - 112, - 253, 55, and 310 billion yuan respectively, with changes of - 201, - 119, +214, and +105 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts were 73.67, 59.48, 35.26, and 4.99 points respectively, and the annualized basis yields were - 7.74%, - 6.19%, - 6.58%, and - 1.45% respectively. The three - year historical quantiles were 54%, 45%, 17%, and 35% respectively [2] - **Trading Strategy**: In the medium - and long - term, maintain the view of going long on the economy. It is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On March 9, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.04%, TF fell 0.14%, T fell 0.21%, and TL fell 1.11% [2] - **Cash Bonds**: For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of +1.75bps, a corresponding net basis of 0.019, and an IRR of 1.38%; for the 5 - year treasury bond futures, the CTD bond was 250014.IB, with a yield change of +2.8bps, a corresponding net basis of 0.012, and an IRR of 1.4%; for the 10 - year treasury bond futures, the CTD bond was 250025.IB, with a yield change of +2.65bps, a corresponding net basis of - 0.004, and an IRR of 1.46%; for the 30 - year treasury bond futures, the CTD bond was 210014.IB, with a yield change of +6bps, a corresponding net basis of 0.08, and an IRR of 1.22% [2] - **Funding Situation**: In open - market operations, the central bank injected 485 billion yuan and withdrew 1,350 billion yuan, resulting in a net withdrawal of 865 billion yuan [2] - **Trading Strategy**: The short - term trend is unclear, so it is recommended to wait and see. In the medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL contracts [2] 3.3 Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [8]

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - For stock index futures, the report maintains a long - term view of being bullish on the economy. It suggests that using stock indices as a long - term substitute can achieve certain excess returns, and recommends allocating various futures contracts on dips. For short - term trading, the stock index futures' trend is unclear, so it's advisable to wait and see. - For treasury bond futures, the short - term trend is unclear, and it's recommended to wait and see. In the medium - to - long - term, considering the upward risk appetite and the expectation of economic recovery, it's recommended to conduct hedging operations on T and TL contracts at high prices [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On March 2, A - share major indices showed mixed performance. The Shanghai Composite Index rose 0.47%, the Shenzhen Component Index fell 0.2%, the ChiNext Index fell 0.49%, and the Science and Technology Innovation 50 Index fell 1.56%. The market turnover was 30,458 billion yuan, an increase of 5,403 billion yuan from the previous day. In terms of industry sectors, petroleum and petrochemicals (+7.95%), coal (+3.77%), and non - ferrous metals (+3.17%) performed well, while media (-3.98%), computer (-2.88%), and social services (-2.68%) performed poorly. From the perspective of market strength, IF>IH>IC>IM. The number of rising, flat, and falling stocks was 1,141, 61, and 4,277 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors' net inflows of funds were - 37.1 billion, - 31.4 billion, 15.4 billion, and 53.1 billion yuan respectively, with changes of - 30.9 billion, - 13.1 billion, +14 billion, and +30 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 96.76, 55.33, 26.07, and 2.67 points respectively, and the annualized basis yields were - 8.39%, - 4.7%, - 4.05%, and - 0.64% respectively, with three - year historical quantiles of 52%, 54%, 27%, and 42% respectively [2] - **Trading Strategy**: In the medium - to - long - term, maintain a bullish view on the economy. Currently, using stock indices as a long - term substitute can achieve certain excess returns, and it's recommended to allocate various futures contracts on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On March 2, treasury bond futures strengthened. Among the active contracts, TS rose 0.02%, TF rose 0.09%, T rose 0.13%, and TL rose 0.55% [2] - **Cash Bond and Basis**: The current active contract is the 2606 contract. The CTD bond of the 2 - year treasury bond futures is 250024.IB, with a yield change of - 0.75bps, corresponding to a net basis of 0.018 and an IRR of 1.4%; the CTD bond of the 5 - year treasury bond futures is 250014.IB, with a yield change of - 1.75bps, corresponding to a net basis of - 0.004 and an IRR of 1.48%; the CTD bond of the 10 - year treasury bond futures is 250025.IB, with a yield change of - 1.7bps, corresponding to a net basis of - 0.031 and an IRR of 1.57%; the CTD bond of the 30 - year treasury bond futures is 210014.IB, with a yield change of - 2.5bps, corresponding to a net basis of - 0.059 and an IRR of 1.64% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 19 billion yuan and withdrew 0 billion yuan, with a net injection of 19 billion yuan [2] - **Trading Strategy**: The short - term trend is unclear, so it's recommended to wait and see. In the medium - to - long - term, considering the upward risk appetite and the expectation of economic recovery, it's recommended to conduct hedging operations on T and TL contracts at high prices [2] 3.3 Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, and social activities exceeds the same period in previous years, while the prosperity of infrastructure and import - export is similar to the same period in previous years [10]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - to - long - term, and recommend allocating long - dated contracts of various varieties on dips as using stock indices as long - term substitutes currently offers certain excess returns [2] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - to - long - term, with the increasing risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On February 27th, the four major A - share stock indexes had mixed performances. The Shanghai Composite Index rose 0.39% to close at 4162.88 points, the Shenzhen Component Index fell 0.06% to close at 14495.09 points, the ChiNext Index fell 1.04% to close at 3310.3 points, and the STAR 50 Index rose 0.15% to close at 1488.02 points. Market trading volume was 25,055 billion yuan, a decrease of 512 billion yuan from the previous day [2] - In terms of industry sectors, steel (+3.37%), coal (+3.2%), and non - ferrous metals (+3.1%) performed well; building materials (-1.45%), communications (-1.38%), and electronics (-0.71%) performed averagely [2] - From the perspective of market strength, IC > IM > IH > IF. The number of rising/flat/falling stocks was 3,267/146/2,066 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 62, - 183, 15, and 231 billion yuan respectively, with changes of +45, +10, - 73, and +18 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 74.64, 38.25, 4.25, and - 7.57 points respectively. The annualized basis yields were - 6.23%, - 3.16%, - 0.64%, and 1.78% respectively, and the three - year historical quantiles were 61%, 69%, 59%, and 73% respectively [2] - The table shows detailed performance data of various stock index futures contracts and their corresponding spot indexes, including price, trading volume, open interest, basis, and annualized basis yield [5] 3.2 Treasury Bond Futures and Spot Market Performance - On February 27th, treasury bond futures showed a pattern of short - term strength and long - term weakness. Among the active contracts, TS rose 0.03%, TF rose 0.04%, T rose 0.05%, and TL fell 0.07% [3] - For the current active 2606 contract, the CTD bond for the 2 - year treasury bond futures was 250024.IB, with a yield change of - 0.25bps, a corresponding net basis of 0.018, and an IRR of 1.42%; for the 5 - year treasury bond futures, the CTD bond was 250014.IB, with a yield change of +0bps, a corresponding net basis of - 0.003, and an IRR of 1.49%; for the 10 - year treasury bond futures, the CTD bond was 250025.IB, with a yield change of - 0.9bps, a corresponding net basis of - 0.016, and an IRR of 1.53%; for the 30 - year treasury bond futures, the CTD bond was 220008.IB, with a yield change of - 0.6bps, a corresponding net basis of 0.119, and an IRR of 1.17% [3] - In terms of the money market, the central bank injected 2,690 billion yuan through open market operations, with 0 billion yuan in withdrawals, resulting in a net injection of 2,690 billion yuan [3] - The table presents detailed performance data of various treasury bond futures contracts and their corresponding spot bonds, including price, trading volume, open interest, net basis, and implied interest rate of CTD bonds [6] 3.3 Economic Data - High - frequency data shows that the prosperity of manufacturing, real estate, and social activities exceeds the same period in previous years, while the prosperity of infrastructure and imports and exports is similar to the same period in previous years [9]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the medium to long term, the report maintains a bullish view on the economy. It is recommended to use stock index futures as a long - term alternative, and to allocate long positions in forward contracts of various varieties on dips [3]. - In the medium to long term, considering the upward risk appetite and the expectation of economic recovery, it is recommended to conduct hedging operations on T and TL contracts on rallies [4]. 3. Summary According to Related Catalogs 3.1 Stock Index Futures - **Market Performance**: On February 24, the four major A - share stock indices generally rose, with the Shanghai Composite Index up 0.87% to 4117.41 points, the Shenzhen Component Index up 1.36% to 14291.57 points, and the ChiNext Index up 0.99% to 3308.26 points. The Science and Technology Innovation 50 Index fell 0.34% to 1465.37 points. The market turnover was 22,182 billion yuan, an increase of 2,192 billion yuan from the previous day. In terms of industry sectors, petroleum and petrochemicals (+5.53%), building materials (+3.71%), and basic chemicals (+3.45%) performed well; media (-3.2%), computer (-1.81%), and commercial retail (-1.46%) performed averagely. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 4,003/87/1,388 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 5, - 110, - 54, and 160 billion yuan respectively, with changes of +146, +93, - 122, and - 116 billion yuan respectively [2]. - **Basis and Trading Strategy**: The basis of the next - month contracts of IM, IC, IF, and IH was 28.77, 21.31, 24.14, and 3.92 points respectively, and the annualized basis yields were - 4.56%, - 3.34%, - 6.75%, and - 1.7% respectively, with the three - year historical quantiles being 71%, 66%, 17%, and 34% respectively. The medium - to - long - term trading strategy is to maintain a long - term view on the economy and recommend allocating forward contracts of various varieties on dips [3]. 3.2 Treasury Bond Futures - **Market Performance**: On February 24, treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.02%, TF rose 0.07%, T rose 0.02%, and TL rose 0.2% [3]. - **Cash Bond and Trading Strategy**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of - 0.25 bps, a corresponding net basis of 0.02, and an IRR of 1.22%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of +0.5 bps, a corresponding net basis of 0.009, and an IRR of 1.53%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of +0 bps, a corresponding net basis of 0.027, and an IRR of 1.09%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 1.9 bps, a corresponding net basis of 0.08, and an IRR of 0.48%. In terms of the money market, the central bank injected 5,260 billion yuan and withdrew 14,524 billion yuan, resulting in a net withdrawal of 9,264 billion yuan. The medium - to - long - term trading strategy is to conduct hedging operations on T and TL contracts on rallies [4]. 3.3 Economic Data - High - frequency data shows that except for infrastructure, the prosperity of various data exceeds the same period in previous years, and the prosperity of infrastructure is similar to that of the same period in previous years [11].

1. Report Investment Rating - No relevant information provided 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy, and suggest buying long - term contracts of various varieties on dips [2] - For treasury bond futures, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Directory (1) Stock Index Futures - **Market Performance**: On February 12, the four major A - share stock indexes rose across the board. The Shanghai Composite Index rose 0.05%, the Shenzhen Component Index rose 0.86%, the ChiNext Index rose 1.32%, and the Science and Technology Innovation 50 Index rose 1.78%. The market turnover was 2.1608 trillion yuan, an increase of 0.1597 trillion yuan from the previous day. In terms of industry sectors, the comprehensive, electronics, and power equipment sectors performed well, while the beauty care, commercial retail, and textile and apparel sectors performed poorly. From the perspective of market strength, IC>IM>IF>IH, and the number of rising, flat, and falling stocks was 2,107, 96, and 3,273 respectively. The net inflows of institutional, main, large - investor, and retail funds in the Shanghai and Shenzhen stock markets were 10.1 billion yuan, - 11.3 billion yuan, - 15.3 billion yuan, and 16.5 billion yuan respectively, with changes of + 32.2 billion yuan, + 10 billion yuan, - 19.4 billion yuan, and - 22.8 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was - 23.17, - 25.23, 2.78, and - 3.27 points respectively, with annualized basis yields of 3.32%, 3.57%, - 0.7%, and 1.27% respectively, and three - year historical quantiles of 99%, 98%, 58%, and 66% respectively [2] - **Trading Strategy**: In the medium and long term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [2] (2) Treasury Bond Futures - **Market Performance**: On February 12, treasury bond futures fluctuated slightly. Among the active contracts, TS decreased by 0.02%, TF remained flat, T increased by 0.02%, and TL decreased by 0.03% [2] - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond was 250017.IB, with a yield change of + 0bps, corresponding net basis of 0.02, and IRR of 1.3%. For the 5 - year treasury bond futures, the CTD bond was 2500801.IB, with a yield change of - 0.25bps, corresponding net basis of - 0.014, and IRR of 1.68%. For the 10 - year treasury bond futures, the CTD bond was 250018.IB, with a yield change of - 1.1bps, corresponding net basis of 0.027, and IRR of 1.23%. For the 30 - year treasury bond futures, the CTD bond was 210005.IB, with a yield change of + 0bps, corresponding net basis of 0.028, and IRR of 1.29% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 566.5 billion yuan and withdrew 118.5 billion yuan, with a net injection of 448 billion yuan [2] - **Trading Strategy**: In the medium and long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] (3) Economic Data - High - frequency data shows that except for infrastructure, the prosperity of all data exceeds the same period in previous years, and the infrastructure prosperity is similar to the same period in previous years [8]

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints - For stock index futures, in the medium to long term, the report maintains the judgment of going long on the economy. Currently, using stock index as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2] - For treasury bond futures, in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On February 10th, the four major A - share stock indices showed mixed performance. The Shanghai Composite Index rose 0.13%, the Shenzhen Component Index rose 0.02%, the ChiNext Index fell 0.37%, and the Science and Technology Innovation 50 Index rose 0.91%. Market trading volume was 21,247 billion yuan, a decrease of 1,454 billion yuan from the previous day. In terms of industry sectors, media (+4.27%), comprehensive (+2.15%), and household appliances (+1.11%) led the gains; real estate (-1.4%), food and beverage (-1.31%), and retail (-0.87%) led the losses. From the perspective of market strength, IM > IH > IF > IC, and the number of rising/flat/falling stocks was 2,192/159/3,122 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 115, - 207, 28, and 294 billion yuan respectively, with changes of - 331, - 108, +194, and +245 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 21.3, 15.64, 0.3, and - 6.19 points respectively, and the annualized basis yields were - 2.81%, - 2.05%, - 0.07%, and 2.18% respectively. The three - year historical quantiles were 83%, 78%, 64%, and 76% respectively [2] - **Trading Strategy**: In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On February 10th, treasury bond futures showed little volatility. Among the active contracts, TS and TF remained flat, T rose 0.01%, and TL rose 0.01% [2] - **Cash Bonds**: The current active contract is the 2603 contract. For the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of +0.25bps, a corresponding net basis of 0.001, and an IRR of 1.55%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.014, and an IRR of 1.7%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.2bps, a corresponding net basis of 0.004, and an IRR of 1.52%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 0.25bps, a corresponding net basis of - 0.006, and an IRR of 1.62% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 3,114 billion yuan of currency and withdrew 1,055 billion yuan, with a net injection of 2,059 billion yuan [2] - **Trading Strategy**: In the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3.3 Economic Data - High - frequency data shows that except for infrastructure, the prosperity of various data exceeds the same period in previous years, and the infrastructure prosperity is similar to the same period in previous years [8]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views - For stock index futures, in the medium - long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [3]. - For treasury bond futures, in the medium - long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3. Summary by Directory (1) Stock Index Futures and Spot Market Performance - On February 2nd, the four major A - share stock indexes declined. The Shanghai Composite Index fell 2.48% to 4015.75 points, the Shenzhen Component Index fell 2.69% to 13824.35 points, the ChiNext Index fell 2.46% to 3264.11 points, and the Science and Technology Innovation 50 Index fell 3.88% to 1450.9 points. Market trading volume was 26,066 billion yuan, a decrease of 2,558 billion yuan from the previous day [2]. - In terms of industry sectors, food and beverage (+1.11%) and banks (+0.17%) led the gains, while non - ferrous metals (-7.62%), steel (-5.93%), and basic chemicals (-5.69%) led the losses [2]. - In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 770, 54, and 4,647 respectively. Net capital inflows of institutions, main players, large investors, and retail investors in the Shanghai and Shenzhen stock markets were -384, -155, 222, and 318 billion yuan respectively, with changes of -81, +137, +204, and -260 billion yuan respectively [2]. - The basis of the next - month contracts of IM, IC, IF, and IH was 103.63, 133.85, 28.58, and -1.06 points respectively. The annualized basis yields were -11.2%, -14.36%, -5.35%, and 0.31% respectively, and the three - year historical quantiles were 35%, 9%, 22%, and 53% respectively [2]. - The table shows the performance of various stock index futures contracts, including price, trading volume, open interest, basis, and annualized basis yield [6]. (2) Treasury Bond Futures and Spot Market Performance - On February 2nd, treasury bond futures were basically flat. Among the active contracts, TS rose 0%, TF fell 0.02%, T fell 0.03%, and TL rose 0.18% [3]. - For the current active 2603 contract, the CTD bond of the 2 - year treasury bond futures was 250017.IB, with a yield change of +0.25 bps, a corresponding net basis of 0.036, and an IRR of 1.19%; the CTD bond of the 5 - year treasury bond futures was 2500801.IB, with a yield change of +0.75 bps, a corresponding net basis of 0.003, and an IRR of 1.46%; the CTD bond of the 10 - year treasury bond futures was 250018.IB, with a yield change of +1 bps, a corresponding net basis of -0.004, and an IRR of 1.52%; the CTD bond of the 30 - year treasury bond futures was 210005.IB, with a yield change of +0 bps, a corresponding net basis of 0.163, and an IRR of 0.41% [3]. - In terms of the money market, the central bank injected 750 billion yuan and withdrew 1,505 billion yuan, resulting in a net withdrawal of 755 billion yuan [3]. - The table shows the performance of various treasury bond futures contracts, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [8]. (3) Economic Data - High - frequency data shows that the import and export sentiment exceeded expectations, while the sentiment of the real estate and social activities sectors was lower than in previous periods, and the sentiment of the manufacturing and infrastructure sectors was similar to previous periods [11].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [3] - In the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3] 3. Summary by Relevant Catalogs 3.1 Market Performance - On January 30th, the four major A - share stock indexes showed mixed performance. The Shanghai Composite Index fell 0.96% to close at 4117.95 points; the Shenzhen Component Index fell 0.66% to close at 14205.89 points; the ChiNext Index rose 1.27% to close at 3346.36 points; the Science and Technology Innovation 50 Index rose 0.12% to close at 1509.4 points. The market turnover was 28,624 billion yuan, a decrease of 3,970 billion yuan from the previous day [2] - In terms of industry sectors, communication (+3.44%), electronics (+0.68%), and agriculture, forestry, animal husbandry and fishery (+0.65%) led the gains; non - ferrous metals (-7.8%), steel (-2.83%), and food and beverage (-2.78%) led the losses [2] - From the perspective of market strength, IM>IF>IH>IC. The number of rising/flat/falling stocks was 2,449/128/2,894 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale and retail investors had net inflows of - 303, - 293, 18, and 578 billion yuan respectively, with changes of - 7, +13, - 50, and +44 billion yuan respectively [2] - On January 30th, the Treasury bond futures showed a weak trend. Among the active contracts, TS fell 0%, TF rose 0.01%, T rose 0.06%, and TL fell 0.23% [3] 3.2 Stock Index Futures - The basis of the next - month contracts of IM, IC, IF, and IH was - 5.74, 8.12, - 4.66, and - 7.5 points respectively. The annualized basis yields were 0.58%, - 0.81%, 0.83%, and 2.04% respectively, and the three - year historical quantiles were 96%, 84%, 70%, and 73% respectively [3] - The report provides detailed data on the performance of various stock index futures contracts such as IC, IF, IH, and IM, including price, trading volume, open interest, etc. [6] 3.3 Treasury Bond Futures - The current active contract is the 2603 contract. For the 2 - year Treasury bond futures, the CTD bond is 250017.IB, with a yield change of - 1bps, a corresponding net basis of 0.05, and an IRR of 1.2%; for the 5 - year Treasury bond futures, the CTD bond is 2500801.IB, with a yield change of - 0.25bps, a corresponding net basis of 0.018, and an IRR of 1.45%; for the 10 - year Treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.65bps, a corresponding net basis of 0.018, and an IRR of 1.45%; for the 30 - year Treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.053, and an IRR of 1.27% [3] - The report provides detailed data on the performance of various Treasury bond futures contracts such as TS, TF, T, and TL, including price, trading volume, open interest, etc. [8] 3.4 Economic Data - High - frequency data shows that the import and export sentiment exceeded expectations, the real estate and social activity sentiment was lower than in previous periods, and the manufacturing and infrastructure sentiment was similar to previous periods [11]