1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - For stock index futures, the tariff talk results exceeded expectations, leading to a rapid repair of market risk appetite. The foreign trade situation and fiscal progress in Q2 are crucial. It's recommended to go long on IH and IF at low levels as the valuation of the broader market index is low, but there is a concentrated position risk in micro - cap stock index short positions [1] - For treasury bond futures, the short - term capital market is neutral to loose recently. After the "double cut", the interest rate curve tends to flatten. In the short term, treasury bond prices are at a high level and are expected to fluctuate. In the long term, the timing and intensity of fiscal/monetary policies will affect treasury bond futures prices [2] 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On May 23, the A - share four major stock indexes declined. The Shanghai Composite Index fell 0.94% to 3348.37 points, the Shenzhen Component Index fell 0.85% to 10132.41 points, the ChiNext Index fell 1.18% to 2021.5 points, and the Science and Technology Innovation 50 Index fell 1.02% to 980.58 points. Market trading volume was 1182.6 billion yuan, an increase of 42.9 billion yuan from the previous day [1] - In terms of industry sectors, automobiles (+0.42%), pharmaceutical biology (+0.42%), and basic chemicals (+0.05%) led the gains; computers (-1.97%), composites (-1.84%), and media (-1.79%) led the losses [1] - In terms of market strength, IH>IF>IC>IM, and the number of rising, flat, and falling stocks was 1106, 104, and 4200 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors' net capital inflows were - 7.6 billion, - 15.6 billion, - 3.6 billion, and +26.7 billion yuan respectively, with changes of +2.9 billion, - 0.8 billion, - 6 billion, and +3.9 billion yuan respectively [1] - The basis of IM, IC, IF, and IH next - month contracts was 209.68, 166.04, 73.47, and 47.05 points respectively, and the annualized basis yields were - 21.88%, - 18.36%, - 11.83%, and - 10.84% respectively, with three - year historical quantiles of 2%, 2%, 2%, and 9% respectively [1] (2) Treasury Bond Futures and Spot Market Performance - On May 23, treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.371, a decrease of 266 bps from the previous day; the five - year bond was 1.523, a decrease of 164 bps; the ten - year bond was 1.639, an increase of 292 bps; the thirty - year bond was 1.975, a decrease of 24 bps [2] - In the open - market operations, the central bank's currency injection was 142.5 billion yuan, and currency withdrawal was 106.5 billion yuan, with a net injection of 36 billion yuan [2] (3) Economic Data - High - frequency data shows that this month's import and export and social activity sentiment declined, while real - estate sentiment increased [10]

Report Summary 1. Market Performance - **Stock Market**: On May 22, the four major A-share stock indices declined. The Shanghai Composite Index dropped 0.22% to 3380.19 points, the Shenzhen Component Index fell 0.72% to 10219.62 points, the ChiNext Index decreased 0.96% to 2045.57 points, and the Science and Technology Innovation 50 Index declined 0.48% to 990.71 points. Market turnover was 1.1397 trillion yuan, a decrease of 74.7 billion yuan from the previous day. The banking, media, and household appliance sectors led the gains, while the beauty care, social services, and basic chemicals sectors led the losses [2]. - **Stock Index Futures**: The basis of the next-month contracts of IM, IC, IF, and IH were 206.7, 165.28, 72.67, and 48.63 points respectively, with annualized basis yields of -20.78%, -17.67%, -11.32%, and -10.85%. The three-year historical quantiles were 3%, 2%, 2%, and 9% respectively, indicating that the futures-spot price difference remained at a low level [2]. - **Treasury Bond Futures**: Most treasury bond futures declined on May 22. The implied yields of the active contracts of two-year, five-year, ten-year, and thirty-year treasury bond futures were 1.399, 1.539, 1.608, and 1.979 respectively, with changes of +53bps, +23bps, -7bps, and +10bps from the previous day [3]. 2. Trading Strategies - **Stock Index Futures**: The outcome of the tariff talks exceeded expectations, and market risk appetite quickly recovered. In the future, the foreign trade situation and fiscal progress in the second quarter are crucial. It is recommended to go long on IH and IF at low prices. However, micro-cap stocks face concentrated position risks [2]. - **Treasury Bond Futures**: In the short term, the short-end funding situation is neutral. After the tariff issue is resolved, treasury bonds return to pricing based on the economic fundamentals. In the short term, treasury bond prices have reached a high level and are expected to fluctuate. In the long term, the timing and intensity of fiscal and monetary policies will affect the price trend of treasury bond futures [3]. 3. Economic Data - High-frequency data shows that the prosperity of imports and exports and social activities declined this week [11]. 4. Tables and Figures - **Table 1**: Provides detailed performance data of stock index futures and spot markets, including codes, names, price changes, trading volumes, open interests, and basis information [6]. - **Table 2**: Presents performance data of treasury bond futures and spot markets, including codes, names, price changes, trading volumes, open interests, net basis, and implied yields of CTD bonds [7]. - **Table 3**: Shows the changes in short-term funding rates, including SHIBOR overnight, DR001, SHIBOR one-week, and DR007 [11]. - **Figure 1**: Displays the term structure of treasury bond spot prices [9]. - **Figure 2**: Tracks domestic meso-level data, including manufacturing, real estate, social activities, infrastructure, and imports and exports [12].