Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints - The market's judgment of international relations tends to swing between extreme optimism and extreme pessimism, causing market sentiment to fluctuate. Market volatility may persist as it overreacts to fast - changing international relations while having relatively well - formed expectations for slow - changing variables like interest rates [4]. - China's Q3 GDP in 2025 grew by 4.8% year - on - year, meeting expectations and laying a good foundation for achieving the annual target. Industrial production rebounded significantly, but consumer spending, real estate, and fixed - asset investment were drags [4]. - After the release of the communiqué of the Fourth Plenary Session of the 20th CPC Central Committee, broad - based indexes rose, and the deepening of the management of local state - owned "three capitals" also boosted market sentiment this week [4]. - A - share trading volume further shrank to less than 2 trillion yuan per day, and the margin balance generally increased, with most of the outflows from last week being replenished. All indexes had similar weekly gains [4]. 3. Summaries by Relevant Catalogs 3.1. Stock Index Futures Basis Situation - **Basis Changes**: This week, the basis of each futures variety fluctuated less, and the overall discount narrowed compared to last week. By the end of this Friday, the annualized discounts of IF, IC, and IM converged to around 2.6%, 8.9%, and 11.4% respectively. The near - month contracts in the term structure moved down slightly, with little change overall, and diversified hedging can be maintained [5]. - **Basis Data Table**: Detailed data on the last week's basis, this week's basis, basis changes, and index - enhanced annualized returns for different contracts of IF, IH, IC, and IM are provided. For example, in the IF contracts, the basis of IF2511 changed from - 18.43 last week to - 12.28 this week, with a change of 6.15 and an index - enhanced annualized return of 4.7% [2]. - **Basis Considering Dividends**: Data on the closing price, basis considering dividends, expected total dividend points, and annualized premium/discount rate for different contracts of IF, IH, IC, and IM are presented. For instance, for the IF2511 contract, the closing price is 4648.40, the basis considering dividends is - 10.88, the expected total dividend points are 1.40, and the annualized discount rate is - 3.04% [6]. 3.2. Hedging Profits and Losses - **Hedging Profit and Loss Data Table**: Data on last week's and this week's hedging profits and losses for different contracts of IF, IH, IC, and IM are provided. For example, the hedging profit of IF2511 last week was 2.00, and this week it was - 6.15 [13]. - **Hedging Profit and Loss Charts**: Charts showing the 60 - trading - day cumulative hedging profits and losses for IF, IH, IC, and IM contracts are presented, visually reflecting the changes in hedging profits and losses [12].

Report Information - Report Title: Stock Index Hedging Weekly Report - Report Date: October 17, 2025 Report Industry Investment Rating - Not provided Core Viewpoints - Market risk appetite continued to decline this week, with broad - based indexes falling on shrinking volume, and the market style tilted towards large - cap value. The Shanghai Composite 50 index fell only 0.24% this week, while the CSI 500 and CSI 1000 tumbled nearly 5%, and the Sci - tech Innovation and ChiNext sectors continued to decline, with a weekly decline of nearly 6% [4]. - The basis continued its high - volatility pattern this week. As of Friday, the basis of each variety decreased compared with last week. The premium of IH narrowed to about 0.6%, the annualized discounts of IF and IC widened to about 2.6% and 12% respectively, and the discount of IM was basically the same as last week [4]. Summary by Directory 1. Stock Index Futures Basis Situation - **Futures Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts, including last week's basis, this week's basis, basis changes, and index - enhanced annualized returns. For example, in the IF2510 contract, the basis changed from - 3.03 last week to 25.37 this week, with a change of 28.40 [2]. - **Market Conditions and Basis Analysis**: After the external relations fluctuated last weekend, the A - share market showed a complex trend. The overall market risk appetite declined, and the basis was highly volatile. The term structure of the remaining contracts was flat after the October contracts expired, and the hedging costs were similar [4]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH was 78,080 contracts, a 17.0% increase from the previous week, and the open interest was 97,922 contracts, a 7.4% decrease. Similar data were provided for IF, IC, and IM [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for different contracts of the CSI 300, SSE 50, CSI 500, and CSI 1000, including closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, the hedging profit and loss of the IF2510 contract changed from - 3.26 last week to - 28.40 this week [11]. - **Hedging Profit and Loss Charts**: Presented the 60 - trading - day cumulative hedging profit and loss charts of IF, IH, IC, and IM [10].

Report Information - Report Date: September 19, 2025 [1] - Report Title: Stock Index Hedging Weekly Report [1] - Analysts: Yu Kan, Li Honglei [2] Core View - This week's market revolved around the China-US Madrid talks and the Fed's interest rate cut. After the Madrid talks, the market interpreted the outcome optimistically. The Fed's interest rate cut was in line with expectations, leading to some profit-taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness, and a four-year low in the M2 - M1 gap. The market trading volume slightly decreased, and the Shanghai Composite Index faced resistance at 3900 points. Among the four broad-based indices, the small and mid-cap indices performed better [4]. Key Points by Section 1. Stock Index Futures Basis Situation - **Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts for last week and this week, including basis changes and index enhancement annualized returns. The index enhancement annualized returns were calculated with a 20% futures margin rate and a 2% cash wealth management yield [2]. - **Market Analysis**: IH's premium was basically flat compared to last week. The annualized discounts of IF, IC, and IM widened, reaching around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contracts expired, the term structure of the remaining contracts had a lower near - end and lower hedging costs for far - month contracts [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 18.6% week - on - week, and the open interest decreased by 4.2%. For IF, the average daily trading volume increased by 17.6% and the open interest decreased by 7.7%. For IC, the average daily trading volume increased by 12.9% and the open interest decreased by 8.0%. For IM, the average daily trading volume increased by 11.2% and the open interest decreased by 2.1% [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, including closing prices, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data for IF, IH, IC, and IM contracts for last week and this week [13]. - **Hedging Profit and Loss Charts**: Included 60 - trading - day cumulative hedging profit and loss charts for IF, IH, IC, and IM contracts [12]