1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The arbitrage strategy of treasury bond futures can provide a "safety cushion" for "fixed - income +" products, with its return source being the locked spot - futures price difference. The return is less correlated with the rise and fall of the bond market and more dependent on short - term market pricing inefficiencies [1][17]. - Treasury bond futures have multiple functions in "fixed - income +" products, including hedging interest rate risk, adjusting portfolio duration, liquidity management, and conducting spot - futures arbitrage [15]. 3. Summary According to the Table of Contents 3.1 IRR Formula - The IRR formula is calculated based on the assumption of "no operation during the arbitrage period, only buying the spot bond and short - selling the futures at the beginning and finally conducting delivery". The factors affecting IRR are the spot bond price, futures price, and the time to the delivery date. As the delivery date approaches, the impact of the spot - futures price difference on IRR is magnified, causing IRR to fluctuate more sharply [19][20]. 3.2 Underlying Logic of Positive Arbitrage Returns - Conducting positive arbitrage is equivalent to holding a bond with a remaining maturity of T and a yield to maturity of IRR. Fluctuations in IRR during the holding period will affect the value of the arbitrage portfolio [21]. 3.3 Three Typical Scenarios of Positive Arbitrage Strategies - **Scenario 1: No change in CTD bond from position - building to delivery** - The return of positive arbitrage is the IRR of the CTD bond on the position - building day minus the funding cost [2][24]. - **Scenario 2: Change in CTD bond during the period from position - building to delivery** - Investors can earn additional option value by trading the new CTD bond. The comprehensive return after the operation can be calculated by splitting the trading of CTD bonds into two steps [24][25]. - **Scenario 3: IRR drops to 0 or negative during the period from position - building to delivery** - Investors can close the position early to obtain positive arbitrage returns [2][26]. 3.4 Empirical Results of the Three Scenarios - **No CTD bond switch during the period, positive arbitrage portfolio held until delivery** - Taking the TF2509 contract as an example, most of the time there are no positive arbitrage opportunities, and the probability of positive arbitrage returns being lower than 0.4% is relatively high [27][31]. - **CTD bond switch occurs during the period, positive arbitrage portfolio held until delivery** - Taking the TF2303 contract as an example, when the bond yield fluctuates around 3%, CTD bond switching is more frequent. The positive arbitrage portfolio can obtain both IRR returns and the option value of CTD switching. The overall positive arbitrage operation return is likely to be higher than 3%, and the return mainly comes from the option value [32][44]. - **Cash in the returns when the IRR of CTD turns negative** - Taking the TF2303 contract as an example, the return distribution of positive arbitrage with early closing is mostly between 1% - 3%, which is less effective than holding until delivery. Although early closing can lock in future returns and has a lower time cost, it also means losing the future conversion option value [47][49]. 3.5 Historical Return Back - testing of Treasury Bond Futures Positive Arbitrage Strategy without Considering CTD Switching - The probabilities of positive arbitrage opportunities for 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are 55%, 38%, 36%, and 43% respectively. The average positive arbitrage returns are 0.39%, 0.64%, 0.59%, and 0.86% respectively, and there is an 85% probability that the positive arbitrage returns are lower than 0.75%, 1.15%, 1.1%, and 1.5% respectively [53][54][55][60].

Group 1: Stock Index Futures Market Overview - The four major index futures contracts experienced an overall increase last week, with the CSI 500 index futures showing the largest gain of 3.83%, while the SSE 50 index futures had the smallest increase of 1.00% [3][11] - The average trading volume for all contracts decreased compared to the previous week, with the IH contract seeing the largest decline of 24.59% and the IC contract the smallest at 5.41% [3][11] - As of last Friday's close, the annualized basis rates for the IF, IC, IM, and IH contracts were -2.18%, -8.76%, -13.22%, and 0.11% respectively, indicating a deepening of the discount for IF and IM, while IC's discount narrowed and IH turned to a premium [3][11][12] Group 2: Market Expectations and Strategies - In the absence of changes to index futures trading rules, the correlation between basis changes and dividend impacts, as well as investor trading sentiment, remains high [4][13] - The market sentiment is generally optimistic, with 12 brokerage firms believing that the A-share market is still in a bull or slow bull phase, and 9 firms indicating that expectations of Federal Reserve rate cuts and foreign capital inflows will improve liquidity [5][30] - There is a consensus among 12 brokerage firms regarding the positive outlook for the AI industry chain, non-bank financials, and gold sectors, while some firms express differing views on market styles and cycles [5][31] Group 3: Dividend Forecasts and Impacts - Following September, dividends are expected to taper off, having a minimal impact on the four major index futures [4][12] - The estimated impact of dividends on the main contracts for the CSI 300, CSI 500, SSE 50, and CSI 1000 indices for September is projected to be zero, with a slight impact of 0.04 on the CSI 500 quarterly contract [4][12] Group 4: Arbitrage Opportunities - The report indicates that currently, there are no arbitrage opportunities for the IF main contract, as the required basis rates for both long and short positions do not meet the necessary thresholds [4][12] - The cross-period price difference for the contracts is within historical normal ranges, suggesting a stable market environment for potential arbitrage strategies [12][13]

Core Viewpoint - The shipping index (European line) futures experienced a significant decline, with the main contract dropping over 6%, indicating a bearish trend in the market [2][3]. Group 1: Market Performance - On June 24, the shipping index (European line) futures fell to a low of 1746.4 points, closing at 1784.1 points, reflecting a decline of 6.36% [1]. - The latest SCFIS European line index recorded 1937.14 points, showing a slight increase of 14.1 points from the previous period [2][3]. Group 2: Price Adjustments - Shipping companies are showing signs of price adjustments, with Hapag-Lloyd reducing July mid-month rates from $2635/$4335 to $2435/$3835, representing decreases of 8% and 12% for small and large containers, respectively [2]. - CMA CGM has also adjusted its rates downwards, indicating that booking conditions are not meeting expectations, with a notable price reduction of $15 and $45 for different container types [2]. Group 3: Market Sentiment and Trends - The market sentiment remains pessimistic, with expectations of continued downward pressure on the shipping index due to oversupply and weak demand [2][3]. - The geopolitical situation has shown signs of easing, with reports of a ceasefire agreement between Iran and Israel, which may reduce the impact on the shipping market [2][3]. Group 4: Technical Analysis - The EC2508 contract is expected to face strong resistance above the 2000-point mark, with a bearish trend likely to persist in the short term [3]. - Key support levels for EC2508 are identified around 1800 points, with expectations for the EC2506 delivery price to be below 1850 points [3].