Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The central bank's third - quarter monetary policy report indicates a natural decline in financial aggregate growth, and mentions points such as diluting quantitative targets of monetary policy, maintaining a reasonable interest - rate ratio, and developing the "science and technology board" of the bond market. October's CPI and PPI both rebounded, with contributions from low - base effects and the effectiveness of policies. The US government's shutdown ended, but there may be another shutdown in two months. Market trading has shifted to the theme of interest - rate cuts, and the Fed's hawkish remarks have affected the market. The overall A - share trading volume remained stable, with the Shanghai Composite Index reaching a new high but then falling, and different indices showing various performances [4]. - The recent basis fluctuations are still small, with the annualized basis of all varieties decreasing compared to last week. IH has switched to a small - scale discount state, and the term structure has become steeper, with far - month contracts having greater advantages in hedging costs [5]. 3. Summary by Relevant Sections 3.1. Stock Index Futures Basis Situation - **Basis Data**: The report provides 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, for the IF2511 contract, last week's basis was - 5.79, this week's basis is - 14.14, the basis change is - 8.35, and the index - enhanced annualized return is 14.3% [2]. - **Basis Fluctuation and State**: The recent basis fluctuation range is small, and the annualized basis of each variety has decreased compared to last week. IH has switched to a small - scale discount state, and IF, IC, and IM have annualized discounts of around 3%, 11%, and 14% respectively [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 2.9% week - on - week, and the open interest increased by 6.8%; the average daily trading volume of IF increased by 2.2% week - on - week, and the open interest increased by 2.9%; the average daily trading volume of IC decreased by 6.3% week - on - week, and the open interest increased by 1.9%; the average daily trading volume of IM decreased by 5.5% week - on - week, and the open interest increased by 0.2% [5]. - **Basis after Considering Dividends**: The report also presents the basis situation after considering dividends for different indices, including the closing price, basis after considering dividends, expected total dividend points, and annualized premium or discount rate [6]. 3.2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: The report provides the hedging profit and loss data of IF, IH, IC, and IM contracts for last week and this week. For example, for the IF2511 contract, last week's hedging profit and loss was 6.13, and this week's is 8.35 [12]. - **Visualization of Hedging Profit and Loss**: There are charts showing the 60 - trading - day cumulative hedging profit and loss of IF, IH, IC, and IM contracts [11].

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]

Industry Investment Rating - No relevant content found. Core Viewpoints - The biggest disturbance this week came from overseas. Influenced by Trump's so - called "Liberation Day" tariff plan, market concerns about further deterioration of trade frictions intensified, suppressing risk appetite. After the "reciprocal tariffs" were announced, the intensity exceeded expectations. A - shares showed resilience in short - term trading. Against the background of an active policy attitude this year, the market has confidence in policies. The SASAC plans to strategically restructure central vehicle enterprises, which may lead to longer - term consumption demand. The possible suspension of consumer loans with an interest rate below 3% will relieve the pressure on banks' net interest margins. The Ministry of Finance will issue special treasury bonds to support large - state - owned commercial banks in replenishing core tier - one capital, which helps enhance banks' credit - lending ability. Currently, funds are mainly for hedging. Gold rose 3% this week, the daily trading volume of the entire A - share market dropped below one trillion for the first time in three months, and the margin trading balance has been shrinking since late March. The index still lacks upward momentum and remains in a volatile range. The Shanghai Composite 50 index had a relatively small decline this week, while the CSI 500 and 1000 have declined for three consecutive weeks. In terms of basis, contrary to the index trend, the premium of IH slightly converged, and the basis of the other three varieties strengthened slightly. Currently, the annualized discounts of IC and IM are at 6.8% and 9.6% respectively, and the near - month term structure has shifted upward, increasing the hedging cost - effectiveness of the April contract [5]. Summary by Directory 1. Futures Index Basis Situation - **Basis and Index - enhancing Annualized Returns**: The report provides the basis, basis changes, and index - enhancing annualized returns of IF, IH, IC, and IM futures contracts. For example, in the IF2504 contract, the basis changed from - 6.37 last week to 0.10 this week, with a change of 6.46 and an index - enhancing annualized return of 1.5%. Note that in the calculation of index - enhancing annualized returns, the futures margin ratio is calculated at 20%, and the cash wealth - management yield is calculated at 2%. [2] - **Basis and Market Conditions**: This week, the biggest disturbance came from overseas. Affected by trade - friction concerns, the market's risk appetite was suppressed. A - shares showed resilience in short - term trading. The basis of IH slightly converged, while the basis of the other three varieties strengthened slightly. Currently, the annualized discounts of IC and IM are at 6.8% and 9.6% respectively, and the near - month term structure has shifted upward, increasing the hedging cost - effectiveness of the April contract. [5] - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH was 51,325 contracts, a 2.8% increase from the previous week, and the open interest was 108,754 contracts, a 10.2% increase. The average daily trading volume of IF was 99,526 contracts, a 1.0% decrease, and the open interest was 301,082 contracts, a 6.4% increase. The average daily trading volume of IC was 93,566 contracts, a 1.7% decrease, and the open interest was 228,310 contracts, a 6.7% increase. The average daily trading volume of IM was 241,314 contracts, a 2.8% decrease, and the open interest was 367,496 contracts, a 10.9% increase. [6] - **Basis after Considering Dividends**: The report lists the closing prices, basis after considering dividends, expected total dividend points, and annualized premium/discount rates of different contracts of IF, IH, IC, and IM. For example, for the IF2504 contract, the closing price was 3,861.60, the basis after considering dividends was 0.24, the expected total dividend points were 0.14, and the annualized premium rate was 0.15%. [7] 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: The report provides the hedging profit and loss data of IF, IH, IC, and IM futures contracts for last week and this week. For example, the IF2504 contract had a hedging loss of - 2.33 last week and - 6.46 this week. [13]