Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints - For stock index futures, the report maintains a long - term bullish view on the economy. It suggests that using stock index futures as a long - position alternative can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, the short - term outlook is bullish as the implied interest rate of ultra - long bonds is considered cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. 3. Summaries According to Related Catalogs (1) Stock Index Futures and Spot Market Performance - **Market Performance**: On September 17th, the four major A - share stock indexes fluctuated strongly. The Shanghai Composite Index rose 0.37% to 3876.34 points, the Shenzhen Component Index rose 1.16% to 13215.46 points, the ChiNext Index rose 1.95% to 3147.35 points, and the Science and Technology Innovation 50 Index rose 0.91% to 1370.43 points. The market turnover was 24,029 billion yuan, an increase of 359 billion yuan from the previous day. Among industry sectors, power equipment (+2.55%), automobiles (+2.05%), and household appliances (+1.64%) led the gains, while agriculture, forestry, animal husbandry, and fishery (-1.02%), commerce and retail (-0.98%), and social services (-0.86%) led the losses. In terms of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 2,504, 168, and 2,754 respectively. Institutional, main, large - scale, and retail investors' net inflows in the Shanghai and Shenzhen stock markets were - 151, - 177, 9, and 319 billion yuan respectively, with changes of - 145, - 18, +76, and +87 billion yuan [2]. - **Basis and Annualized Basis Yield**: The basis of IM, IC, IF, and IH next - month contracts was 74.61, 63.04, 9.22, and - 2.82 points respectively, and the annualized basis yields were - 14.52%, - 12.77%, - 2.98%, and 1.41% respectively. Their three - year historical quantiles were 16%, 10%, 29%, and 62% respectively [2]. - **Trading Strategy**: In the medium - to - long - term, maintain a long - position view on the economy and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures and Spot Market Performance - **Market Performance**: On September 17th, the yields of treasury bond futures declined across the board. Among active contracts, the implied interest rate of the 2 - year bond was 1.346, down 2.65 bps from the previous day; the 5 - year bond was 1.534, down 2.15 bps; the 10 - year bond was 1.711, down 3.18 bps; and the 30 - year bond was 2.147, down 1.47 bps [2]. - **Cash Bonds**: The current active contract is the 2512 contract. For the 2 - year treasury bond futures, the CTD bond is 250012.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.61%. For the 5 - year treasury bond futures, the CTD bond is 250003.IB, with a yield change of - 2.15 bps, a corresponding net basis of 0.008, and an IRR of 1.51%. For the 10 - year treasury bond futures, the CTD bond is 220017.IB, with a yield change of - 2 bps, a corresponding net basis of 0.027, and an IRR of 1.42%. For the 30 - year treasury bond futures, the CTD bond is 210005.IB, with a yield change of - 1.5 bps, a corresponding net basis of 0.083, and an IRR of 1.3% [2]. - **Funding Situation**: In open - market operations, the central bank injected 418.5 billion yuan and withdrew 304 billion yuan, resulting in a net injection of 114.5 billion yuan [2]. - **Trading Strategy**: Short - term bullish, as the implied interest rate of ultra - long bonds is cost - effective. In the medium - to - long - term, with the upward trend of risk appetite and the expectation of economic recovery, it is advisable to hedge T and TL contracts on rallies [2]. (3) Economic Data High - frequency data shows that the recent social activity sentiment is weak. Based on the comparison of domestic mid - level data with the same period in the past five years, the sentiment of manufacturing, real estate, social activities, infrastructure, and imports and exports is analyzed. Positive scores indicate an improvement in sentiment, negative scores indicate a decline, and zero scores indicate little change [8][10][11]

Report Overview - The report is a financial futures morning report released by China Merchants Futures Co., Ltd. on September 2, 2025, covering the performance of stock index and treasury bond futures on September 1, 2025, as well as market trading strategies and economic data analysis [1][2] Market Performance Stock Index Futures and Spot Market - On September 1, the four major A - share stock indexes oscillated strongly. The Shanghai Composite Index rose 0.46% to 3875.53 points, the Shenzhen Component Index rose 1.05% to 12828.95 points, the ChiNext Index rose 2.29% to 2956.37 points, and the STAR 50 Index rose 1.18% to 1357.15 points. Market turnover was 2777.6 billion yuan, a decrease of 52.6 billion yuan from the previous day [2] - In terms of industry sectors, communication (+5.22%), comprehensive (+4.27%), and non - ferrous metals (+3.46%) led the gains; non - bank finance (-1.28%), banks (-1.03%), and household appliances (-0.54%) led the losses [2] - From the perspective of market strength, IC > IM > IF > IH. The number of rising, flat, and falling stocks was 3206, 133, and 2085 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were -13.1 billion, -23.3 billion, 800 million, and 35.6 billion yuan respectively, with changes of +11.6 billion, +4.8 billion, -10.8 billion, and -5.5 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH were 186.95, 147.09, 20.71, and 3.2 points respectively, and the annualized basis yields were -21.49%, -17.83%, -3.95%, and -0.93% respectively, with three - year historical quantiles of 3%, 2%, 21%, and 35% respectively [2] Treasury Bond Futures and Spot Market - On September 1, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.359, a decrease of 0.53 bps from the previous day; the five - year bond was 1.604, a decrease of 1.8 bps; the ten - year bond was 1.734, a decrease of 2.5 bps; and the thirty - year bond was 2.097, a decrease of 1.6 bps [3] - For the current active contract 2512, the CTD bond of the two - year treasury bond futures was 250012.IB, with a yield change of -0.5 bps, a corresponding net basis of -0.028, and an IRR of 1.54%; the five - year was 250003.IB, with a yield change of -1 bps, a corresponding net basis of 0.026, and an IRR of 1.36%; the ten - year was 220017.IB, with a yield change of -1.25 bps, a corresponding net basis of 0.006, and an IRR of 1.41%; the thirty - year was 210014.IB, with a yield change of -1 bps, a corresponding net basis of 0.028, and an IRR of 1.39% [3] Capital Situation - In terms of open - market operations, the central bank injected 182.7 billion yuan and withdrew 288.4 billion yuan, resulting in a net withdrawal of 105.7 billion yuan [4] Trading Strategies - For the medium - and long - term, maintain the judgment of going long on the economy. Currently, using stock indexes as a long - position substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips. In the short term, there are signs of market cooling [3] - With the upward risk appetite and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts at high levels for the medium - and long - term [4] Economic Data - High - frequency data shows that the recent social activity sentiment is weak [11]