1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - For stock index futures, in the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices 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 short term, it is in a volatile state, and the valuation of interest - rate bonds has reached a reasonable level. In the medium to long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On December 1st, the four major A - share stock indices all rose. The Shanghai Composite Index rose 0.65%, the Shenzhen Component Index rose 1.25%, the ChiNext Index rose 1.31%, and the Sci - Tech Innovation 50 Index rose 0.72%. Market trading volume was 1889.4 billion yuan, an increase of 291.7 billion yuan from the previous day. In terms of industry sectors, non - ferrous metals (+2.85%), communications (+2.81%), and electronics (+1.58%) led the gains; agriculture, forestry, animal husbandry and fishery (-0.43%), environmental protection (-0.23%), and real estate (-0.06%) led the losses. From the perspective of market strength, IF>IC>IH>IM. The number of rising, flat, and falling stocks was 3396, 184, and 1868 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 4 billion, - 4.4 billion, - 1.5 billion, and 1.9 billion yuan respectively, with changes of - 5.2 billion, - 2 billion, + 6.5 billion, and + 0.7 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 171.28, 127.83, 35.49, and 14.08 points respectively, with annualized basis yields of - 17.57%, - 13.64%, - 5.87%, and - 3.56% respectively, and three - year historical quantiles of 10%, 10%, 19%, and 24% respectively [2] - **Trading Strategy**: In the medium to long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - term substitute has certain excess returns, and it is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On December 1st, most interest - rate bonds rose. Among the active contracts, TS rose 0.03%, TF rose 0.1%, T rose 0.12%, and TL fell 0.08% [2] - **Cash Bonds**: The current active contracts and corresponding CTD bonds are as follows: for the 2 - year treasury bond futures, the CTD bond is 250017.IB, with a yield change of + 0bps, a corresponding net basis of - 0.049, and an IRR of 1.62%; for the 5 - year treasury bond futures, the CTD bond is 2500801.IB, with a yield change of - 0.75bps, a corresponding net basis of - 0.1, and an IRR of 1.8%; for the 10 - year treasury bond futures, the CTD bond is 250018.IB, with a yield change of - 0.85bps, a corresponding net basis of - 0.075, and an IRR of 1.71%; for the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 0.5bps, a corresponding net basis of 0.078, and an IRR of 1.26% [2] - **Funding Situation**: In terms of open - market operations, the central bank's currency injection was 107.6 billion yuan, currency withdrawal was 338.7 billion yuan, and the net withdrawal was 231.1 billion yuan [2] - **Trading Strategy**: In the short term, it is in a volatile state, and the valuation of interest - rate bonds has reached a reasonable level. In the medium to long term, with the upward risk preference 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 this month's imports and exports and social activity sentiment are better than the same period, while the infrastructure sentiment is worse than the same period [10]

Report Information - Report Date: December 1, 2025 [1] - Report Company: China Merchants Futures Co., Ltd. [1] - Report Type: Financial Futures Morning Report [1] Market Performance A-share Market - On November 28, the four major A-share stock indexes rose across the board, with the Shanghai Composite Index up 0.34%, closing at 3,888.6 points; the Shenzhen Component Index up 0.85%, closing at 12,984.08 points; the ChiNext Index up 0.7%, closing at 3,052.59 points; and the Science and Technology Innovation 50 Index up 1.25%, closing at 1,327.15 points [2]. - Market turnover was 1.5977 trillion yuan, a decrease of 125.4 billion yuan from the previous day [2]. - In terms of industry sectors, steel (+1.59%), agriculture, forestry, animal husbandry and fishery (+1.59%), and commerce and retail (+1.46%) led the gains; banks (-0.83%), coal (-0.14%), and beauty care (+0.07%) led the losses [2]. - In terms of market strength, IC > IM > IF > IH, and the number of stocks rising/flat/falling were 4,122/139/1,187 respectively [2]. - In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 9.2 billion, - 2.4 billion, - 8 billion, and 1.2 billion yuan respectively, with changes of +17.3 billion, +8.1 billion, - 8.3 billion, and - 17.1 billion yuan respectively [2]. Interest Rate Bond Market - On November 28, interest rate bonds showed mixed performance. Among the active contracts, TS fell 0.02%, TF fell 0.03%, T rose 0.03%, and TL rose 0.05% [3]. Futures Market Stock Index Futures - Basis: The basis of the next - month contracts of IM, IC, IF, and IH were 148.61, 113.55, 36.06, and 10.22 points respectively, with annualized basis yields of - 14.9%, - 11.87%, - 5.86%, and - 2.53% respectively, and three - year historical quantiles of 16%, 14%, 19%, and 26% respectively [3]. - Trading Strategy: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock index as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of each variety on dips [3]. Treasury Bond Futures - Cash Bonds: The current active contract is the 2603 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are as follows: for 2 - year, the CTD bond is 250017.IB, yield change is - 1.25bps, net basis is - 0.012, IRR is 1.51%; for 5 - year, the CTD bond is 2500801.IB, yield change is + 0.75bps, net basis is - 0.041, IRR is 1.6%; for 10 - year, the CTD bond is 250018.IB, yield change is - 0.9bps, net basis is - 0.03, IRR is 1.57%; for 30 - year, the CTD bond is 210005.IB, yield change is + 0bps, net basis is - 0.176, IRR is 1.93% [4]. - Funding Situation: In open - market operations, the central bank injected 301.3 billion yuan and withdrew 375 billion yuan, resulting in a net withdrawal of 73.7 billion yuan [4]. - Trading Strategy: In the short term, it is volatile, and the valuation of interest rate bonds has reached a reasonable level; in the medium - to - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [4]. Economic Data - High - frequency data shows that this month's imports and exports and social activity sentiment are better than the same period, while infrastructure sentiment is worse than the same period [12]