金融研究 2025年8月25日 星期一 基差：IM、IC、IF、IH 次月合约基差分别为 61.14、52.45、-9.8 与-9.39 点，基差年化收益率分别为 -5.93%、-5.49%、1.6%与 2.29%，三年期历史分位数分别为 58%、44%、75%及 76%。 交易策略：中长期，我们维持做多经济的判断，当下以股指做多头替代有一定超额，推荐逢低配置各 品种远期合约；短期市场有降温的迹象。 风险提示：外生宏观冲击、财政扩张进度不及预期、其他系统性冲击。 市场表现：8 月 22 日，国债期货收益率上行，活跃合约中，二债隐含利率 1.431，较前日上涨 0.4bps， 五债隐含利率 1.658，较前日上涨 1.68bps，十债隐含利率 1.786，较前日上涨 3.04bps，三十债隐 含利率 2.142，较前日上涨 1.08bps。 现券：目前活跃合约为 2512 合约，2 年期国债期货 CTD 券为 250006.IB，收益率变动+0.25bps， 对应净基差 0.02，IRR1.18%；5 年期国债期货 CTD 券为 250003.IB，收益率变动+0.5bps，对应净 国债期货 基差 0.082， ...

1. Report Industry Investment Rating No information provided. 2. Core Views Stock Index - The Federal Reserve has kept rates unchanged for five consecutive meetings. The initial estimate of the annualized quarterly growth rate of the US Q2 real GDP is 3%, better than expected. The Political Bureau of the CPC Central Committee held a meeting to decide to convene the Fourth Plenary Session of the 20th CPC Central Committee and analyze and study the current economic situation and economic work. China's preliminary budget for child - rearing subsidies is 90 billion yuan, and applications will be accepted in late August. Domestic margin trading has reached a high level, while the proportion of fund holdings has declined, showing a divergent trend. Coupled with the fact that the Political Bureau meeting did not exceed expectations, there may be small fluctuations during the intensive disclosure period of mid - year reports in late August, and the stock index may fluctuate. [1] Treasury Bonds - At present, the external environment has not deteriorated significantly. Coupled with the fact that the focus of policy efforts in the second half of the year is on boosting consumption, optimizing the market competition mechanism, and ensuring the stable operation of the capital market, etc., against the background of a significant increase in market risk appetite, it may still pose certain constraints on the bond market. Whether it can fully recover to the starting point of this round of adjustment remains to be seen. [2] 3. Strategy Recommendations Stock Index - Fluctuate [1] Treasury Bonds - Fluctuate weakly [2] 4. Market Review Stock Index - The main contract futures of the CSI 300 index rose 0.04%, the main contract futures of the SSE 50 index rose 0.28%, the main contract futures of the CSI 500 index fell 0.42%, and the main contract futures of the CSI 1000 index fell 0.43%. [4] Treasury Bonds - The 10 - year main contract rose 0.15%, the 5 - year main contract rose 0.08%, the 30 - year main contract rose 0.40%, and the 2 - year main contract rose 0.03%. [5] 5. Technical Analysis Stock Index - The RSI indicator shows that the broader market has a risk of correction. [4] Treasury Bonds - The RSI indicator shows that the T main contract may rebound. [5] 6. Futures Data | Date | Futures Variety | Closing Price (Yuan/Contract) | Change (%) | Trading Volume (Lots) | Open Interest (Lots) | | ---- | ---- | ---- | ---- | ---- | ---- | | 2025 - 07 - 30 | CSI 300 Continuous | 4,136.40 | 0.04 | 81,931 | 162,604 | | 2025 - 07 - 30 | SSE 50 Continuous | 2,820.00 | 0.28 | 46,511 | 64,619 | | 2025 - 07 - 30 | CSI 500 Continuous | 6,215.40 | - 0.42 | 58,280 | 108,507 | | 2025 - 07 - 30 | CSI 1000 Continuous | 6,604.20 | - 0.43 | 144,840 | 185,002 | | 2025 - 07 - 30 | 10 - year Treasury Bond Continuous | 108.30 | 0.15 | 86,268 | 183,354 | | 2025 - 07 - 30 | 5 - year Treasury Bond Continuous | 105.63 | 0.08 | 72,345 | 141,731 | | 2025 - 07 - 30 | 30 - year Treasury Bond Continuous | 118.36 | 0.40 | 159,171 | 115,352 | | 2025 - 07 - 30 | 2 - year Treasury Bond Continuous | 102.34 | 0.03 | 38,836 | 98,577 | [6]

Group 1: Core Views - Core view of stock index: Sino-US economic and trade talks are held in Stockholm. The two sides will continue to promote the 90-day extension of the 24% reciprocal tariffs of the US and China's countermeasures. The Political Bureau's economic work conference will be held today. Margin trading reaches a high level, while the fund holding ratio decreases and the trends diverge. Coupled with the intensive disclosure period of the semi-annual reports in late August, there may be small fluctuations. The stock index may fluctuate [1] - Core view of treasury bond: From the recent trend, the bond market is still in the paradigm of "trading bonds based on commodities" and "trading bonds based on stocks". The short-term focus of the market still lies in the subsequent trends of the commodity and equity markets. Recently, attention should be paid to whether important meetings bring incremental demand-side policies. If the demand side can be repaired under the support of policies to digest the pressure of this round of cost increase, it may not be appropriate to be overly optimistic about the bond market [3] Group 2: Strategy Recommendations - Strategy recommendation for stock index: Fluctuate [2] - Strategy recommendation for treasury bond: Fluctuate weakly [4] Group 3: Market Review - Stock index market review: The futures of the main contracts of CSI 300 Index rose 0.54%, the futures of the main contracts of SSE 50 Index rose 0.39%, the futures of the main contracts of CSI 500 Index rose 0.66%, and the futures of the main contracts of CSI 1000 Index rose 0.86% [5] - Treasury bond market review: The 10-year main contract fell 0.25%, the 5-year main contract fell 0.16%, the 30-year main contract fell 0.81%, and the 2-year main contract fell 0.06% [6] Group 4: Technical Analysis - Stock index technical analysis: The RSI indicator shows that the market has a callback risk [5] - Treasury bond technical analysis: The RSI indicator shows that the T main contract may rebound [6] Group 5: Futures Data - Futures data on July 29, 2025: The closing prices, price changes, trading volumes, and open interests of various stock index and treasury bond futures are provided in the table [7]

Group 1: Core Views - The US Treasury's borrowing expectation in Q3 exceeds $1 trillion, an 82% increase, and debt issuance accelerates after the debt ceiling is raised; the auction of 5-year US Treasury bonds is unexpectedly weak, with overseas demand hitting a three-year low. China-US economic and trade talks begin in Stockholm, Sweden. China introduces a child-raising subsidy policy of 3,600 yuan per child per year for infants under 3 years old. The China Securities Regulatory Commission aims to consolidate the market's stable and positive trend, deepen reforms to stimulate the vitality of the multi-level market, and strengthen the foundation from both the asset and capital sides. Against the backdrop of a significant drop in anti-involution-related futures, the CSRC's call for strengthening the foundation, and high technical indicators, market sentiment may cool down, but with continuous hot topics in the sector, the slow bull trend of stock indices remains unchanged, and stock indices may fluctuate. Short-term defensive waiting is advisable [1]. - Attention should be paid to whether important meetings will bring incremental demand-side policies. If the demand side can be repaired under the support of policies to absorb the pressure of the current cost increase, it may still be unwise to be overly optimistic about the bond market [3]. Group 2: Strategy Recommendations - For stock indices, consider defensive waiting [2]. - For treasury bonds, expect a weakening trend with fluctuations [4]. Group 3: Market Review Stock Indices - The main contract futures of CSI 300 rose 0.16%, those of SSE 50 rose 0.36%, those of CSI 500 rose 0.09%, and those of CSI 1000 fell 0.04% [6]. Treasury Bonds - The 10-year main contract rose 0.18%, the 5-year main contract rose 0.13%, the 30-year main contract rose 0.56%, and the 2-year main contract rose 0.04% [7]. Group 4: Technical Analysis Stock Indices - The RSI indicator shows that the broader market has a risk of correction [6]. Treasury Bonds - The RSI indicator shows that the T main contract may rebound [7]. Group 5: Futures Data | Date | Futures Variety | Closing Price (yuan/piece) | Change (%) | Trading Volume (lots) | Open Interest (lots) | | --- | --- | --- | --- | --- | --- | | 2025-07-28 | CSI 300 Continuous | 4,122.00 | 0.16 | 54,638 | 156,735 | | 2025-07-28 | SSE 50 Continuous | 2,805.80 | 0.36 | 28,883 | 60,762 | | 2025-07-28 | CSI 500 Continuous | 6,222.00 | 0.09 | 46,353 | 108,139 | | 2025-07-28 | CSI 1000 Continuous | 6,602.00 | -0.04 | 116,079 | 180,433 | | 2025-07-28 | 10-year Treasury Bond Continuous | 108.40 | 0.18 | 78,985 | 187,839 | | 2025-07-28 | 5-year Treasury Bond Continuous | 105.72 | 0.13 | 71,923 | 148,362 | | 2025-07-28 | 30-year Treasury Bond Continuous | 118.78 | 0.56 | 120,609 | 120,283 | | 2025-07-28 | 2-year Treasury Bond Continuous | 102.36 | 0.04 | 43,197 | 101,434 | [8]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report 2.1 Stock Index Strategy - A-share broad-based indices had positive weekly gains, with the Science and Technology Innovation 50 having the largest cumulative increase of 4.63% and the CSI 500 rising over 3%. The US and the EU reached a trade agreement, and the US June durable goods orders had a sharp decline. China's June industrial enterprise profits showed a narrowing decline, and the CSRC aimed to consolidate the market. Considering the market sentiment cooling and high technical indicators, the stock index's slow bull trend remains unchanged, but there may be a near-term correction, so a defensive wait-and-see approach is advisable [12]. 2.2 Treasury Bond Strategy - In the bond market, funds are flowing out, and with macro events concentrated at the end of July and early August, the bond market may experience an adjustment in a volatile pattern. Whether to participate on the left side or wait for the release of position pressure depends on the investor's position, duration, and tolerance. It is recommended to focus on taking profits [13]. 2.3 PMI - In June, the manufacturing PMI rose to 49.7%, better than expected, with both supply and demand improving. However, there were structural differences, such as small enterprises' contraction intensifying and the high-tech manufacturing industry remaining flat. Only 7 out of 15 sub - industries had better sentiment than in May [20]. 2.4 Inflation - In May 2025, the CPI had a slight year - on - year decline, and the PPI also decreased year - on - year. The current price situation shows "food differentiation and services stronger than goods," and the core inflation momentum is still insufficient. The decline in PPI is affected by international and domestic factors, but there are also positive changes in some areas [29][32]. 2.5 Industrial Enterprise Profitability - In May, the year - on - year growth rate of profits of industrial enterprises above designated size declined, mainly due to the decline in volume, price, and profit margin, with the profit margin having the most significant impact. Enterprises may adopt a strategy of reducing prices to clear inventory [35]. 2.6 Fiscal Situation - From January to May, the national general public budget revenue decreased slightly year - on - year, while the expenditure increased. The tax revenue recovery margin slowed down, and the real - estate - related tax drag increased. The fiscal expenditure rhythm slowed down marginally, and the government fund revenue decline widened while the expenditure slowed down [38][41]. 2.7 Industrial Added Value - In May, the year - on - year growth rate of industrial added value declined, while the service industry added value increased. The production - sales imbalance persists, and export - related production is weak. The GDP growth rate in the second quarter is expected to exceed 5% [44]. 2.8 Fixed - Asset Investment - From January to May, the year - on - year growth rate of fixed - asset investment declined. Investment in infrastructure, manufacturing, and real estate all decreased. Although the real - estate physical volume was not weak this month, the real - estate investment was still under pressure in terms of funds [47]. 2.9 Social Retail Sales - In May, the year - on - year growth rate of social retail sales increased, mainly driven by the early start of the 618 promotion and the strong performance of the May Day holiday in driving offline consumption [50]. 2.10 Social Financing - In May, the new social financing was 2.3 trillion yuan, with government bonds being the main support. Although the social financing growth rate is expected to rise in the second and third quarters, there is still pressure for it to rise and then fall in the second half of the year [53]. 2.11 Import and Export - In May, China's exports and imports continued to grow, with exports performing well. The central region led the national foreign trade growth. Due to the Sino - US trade relationship and the leading growth rate of processing trade, exports are expected to maintain resilient growth in June [59]. 2.12 US Non - Farm Payrolls - In May 2025, the US labor market showed resilience, with more new jobs than expected. However, there were internal structural differences. The service industry had employment growth, while the commodity production sector was weak. The wage growth exceeded expectations, strengthening inflation concerns and giving the Fed more reason to stay on the sidelines [62][65]. 2.13 US CPI - In May, the US CPI and core CPI increased year - on - year as expected. The inflation pressure on core commodities and services was controllable. The Fed maintained the interest rate target range and emphasized high uncertainty, so it tended to stay on the sidelines [68]. 2.14 US PMI - In June, the US Markit manufacturing PMI was stable at 52, and the service industry PMI was slightly lower. The manufacturing growth was mainly driven by inventory, and the inflation pressure increased significantly. The current US economy shows a "weak expansion + high inflation" characteristic, and the growth momentum may further weaken [71]. 3. Summaries According to the Catalog 3.1 Financial Futures Strategy Recommendations 3.1.1 Stock Index Strategy - **Strategy Outlook**: Adopt a defensive wait - and - see approach [11]. - **Trend Review**: A - share broad - based indices had positive weekly gains [12]. - **Technical Analysis**: The RSI indicator shows a potential correction risk for the market index [12]. 3.1.2 Treasury Bond Strategy - **Strategy Outlook**: Focus on taking profits [13]. - **Trend Review**: The bond market was volatile, and the treasury bond futures showed a downward trend [13]. - **Technical Analysis**: The KDJ indicator shows that the T main contract may operate weakly in a volatile manner [13]. 3.2 Key Data Tracking 3.2.1 PMI - In June, the manufacturing PMI rose, with both supply and demand improving. However, there were structural differences among different enterprise sizes, industries, and sub - industries [20]. - The price and inventory situation also showed different characteristics at the industry level, with some industries replenishing inventory and others reducing inventory through price cuts [23]. - The non - manufacturing PMI rose, mainly due to the increase in the construction industry PMI, while the service industry PMI declined [26]. 3.2.2 Inflation - In May 2025, the CPI had a slight year - on - year decline, with food price differentiation and service prices being more resilient. The PPI decreased year - on - year, mainly affected by international and domestic factors, but there were positive changes in some areas [29][32]. 3.2.3 Profitability of Industrial Enterprises above Designated Size - In May, the year - on - year growth rate of profits declined, mainly due to the decline in volume, price, and profit margin. Enterprises may be adopting a strategy of reducing prices to clear inventory [35]. 3.2.4 Fiscal - From January to May, the national general public budget revenue decreased slightly year - on - year, and the expenditure increased. The tax revenue recovery margin slowed down, and the real - estate - related tax drag increased. The fiscal expenditure rhythm slowed down marginally, and the government fund revenue decline widened while the expenditure slowed down [38][41]. 3.2.5 Industrial Added Value - In May, the year - on - year growth rate of industrial added value declined, while the service industry added value increased. The production - sales imbalance persisted, and export - related production was weak [44]. 3.2.6 Fixed - Asset Investment - From January to May, the year - on - year growth rate of fixed - asset investment declined. Investment in infrastructure, manufacturing, and real estate all decreased. Although the real - estate physical volume was not weak this month, the real - estate investment was still under pressure in terms of funds [47]. 3.2.7 Social Retail Sales - In May, the year - on - year growth rate of social retail sales increased, mainly driven by the early start of the 618 promotion and the strong performance of the May Day holiday in driving offline consumption [50]. 3.2.8 Social Financing - In May, the new social financing was 2.3 trillion yuan, with government bonds being the main support. The social financing growth rate is expected to rise in the second and third quarters but may face pressure to rise and then fall in the second half of the year [53]. 3.2.9 Import and Export - In May, China's exports and imports continued to grow, with exports performing well. The central region led the national foreign trade growth. Exports are expected to maintain resilient growth in June [59]. 3.2.10 US Non - Farm Payrolls - In May 2025, the US labor market showed resilience, with more new jobs than expected. There were internal structural differences, and wage growth exceeded expectations, strengthening inflation concerns [62][65]. 3.2.11 US CPI - In May, the US CPI and core CPI increased year - on - year as expected. The inflation pressure on core commodities and services was controllable, and the Fed tended to stay on the sidelines [68]. 3.2.12 US PMI - In June, the US Markit manufacturing PMI was stable at 52, and the service industry PMI was slightly lower. The manufacturing growth was mainly driven by inventory, and the inflation pressure increased significantly [71]. 3.2.13 Weekly Focus - There are important economic indicators and events to be released in the coming week, including the US GDP, FOMC interest rate decision, and China's official and Caixin manufacturing PMIs [73].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Report Core Views - **Equity Index**: The "Renovation Gate" of the Fed has escalated, with Trump pressuring for a rate cut. The ECB has stopped rate cuts after eight consecutive reductions, and the expectation of a September rate cut has dropped sharply. China is strongly "anti - involution" with the revision of the Price Law. After the coal mine production verification dampened market sentiment, the "Hainan blockade" and "anti - involution" have boosted market risk appetite again, and the slow - bull trend of the equity index is becoming clear with its central level rising [1]. - **Treasury Bonds**: On Thursday, the bond market adjusted significantly. Currently, the focus of short - term bond market trading is not on the capital and fundamental aspects. The influence of investor behavior and the performance of major asset classes on the bond market has been significantly magnified. Compared with the commodity and equity markets, the previous adjustment space of the bond market is still insufficient, and the odds are limited, making incremental funds cautious and existing funds uneasy. In this situation, the bond market is still difficult to make great progress. It is recommended to preserve strength and wait for better opportunities to allocate [2]. 3. Directory Summaries Market Review - **Equity Index**: The main contracts of CSI 300, SSE 50, CSI 500, and CSI 1000 equity index futures rose by 0.76%, 0.50%, 1.72%, and 1.84% respectively [1][5]. - **Treasury Bonds**: The 10 - year, 5 - year, 30 - year, and 2 - year main contracts of treasury bond futures fell by 0.27%, 0.20%, 0.87%, and 0.08% respectively [2][6]. Technical Analysis - **Equity Index**: The RSI indicator shows that the market has a callback risk [5]. - **Treasury Bonds**: The RSI indicator shows that the T main contract may rebound [6]. Strategy Suggestions - **Equity Index**: The equity index is expected to fluctuate upwards [1]. - **Treasury Bonds**: Pay attention to taking profits and wait for better entry opportunities [2][3]. Futures Data - **Equity Index Futures**: On July 24, 2025, the closing prices of CSI 300, SSE 50, CSI 500, and CSI 1000 main contracts were 4,141.20 yuan, 2,816.60 yuan, 6,226.00 yuan, and 6,618.60 yuan respectively, with trading volumes of 65,298 lots, 34,309 lots, 49,292 lots, and 124,051 lots, and open interests of 163,125 lots, 63,790 lots, 109,680 lots, and 181,457 lots respectively [7]. - **Treasury Bond Futures**: On July 24, 2025, the closing prices of 10 - year, 5 - year, 30 - year, and 2 - year main contracts were 108.24 yuan, 105.60 yuan, 118.31 yuan, and 102.30 yuan respectively, with trading volumes of 88,420 lots, 88,209 lots, 149,278 lots, and 54,515 lots, and open interests of 196,150 lots, 160,008 lots, 122,909 lots, and 106,097 lots respectively [7].

Group 1: Overall Information - The report is a financial futures daily report released on July 24, 2025, by the Research and Consulting Department of Yangtze River Futures Co., Ltd [1][5] Group 2: Stock Index Core View - China's Ministry of Commerce announced that He Lifeng will hold economic and trade talks with the US in Sweden from July 27 - 30. Media reports of a 15% tariff on the EU by the US were refuted by the White House. The EU plans to impose a 30% tariff on $100 billion of US goods. Trump claimed a US - Japan agreement with Japan accepting a 15% tax rate and opening auto and rice markets. The US Treasury Secretary is not in a hurry to decide Powell's successor. After the market sentiment cooled from coal mine production checks, trade news boosted market risk appetite, and the slow - bull trend of the stock index became clearer with its center rising [1] Strategy Recommendation - The stock index is expected to fluctuate upward [2] Market Review - The main contracts of CSI 300, SSE 50, CSI 500, and CSI 1000 stock index futures rose by 0.31%, 0.49%, 0.13%, and 0.06% respectively [6] Technical Analysis - The RSI indicator shows that the broader market has a callback risk [6] Group 3: Treasury Bonds Core View - On Tuesday, the bond market started to adjust. The odds space for long - term and ultra - long - term yields has opened. In the past month, due to factors like fund diversion and increased risk appetite, the yield bottom has gradually risen, and with the microstructure not yet repaired, the bond market may continue to fluctuate at the bottom. The sustainability of equities and commodities needs further observation [3] Strategy Recommendation - Pay attention to taking profits [4] Market Review - The main contracts of 10 - year, 5 - year, 30 - year, and 2 - year treasury bonds fell by 0.12%, 0.09%, 0.22%, and 0.04% respectively [7] Technical Analysis - The RSI indicator shows that the T main contract may rebound [7] Group 4: Futures Data - On July 23, 2025, the closing prices, price changes, trading volumes, and open interests of various futures contracts are provided, including CSI 300, SSE 50, CSI 500, CSI 1000 stock index futures, and 10 - year, 5 - year, 30 - year, 2 - year treasury bond futures [8]

Report Summary 1. Report Industry Investment Rating No industry investment rating 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 indices as a long - position substitute can yield certain excess returns, and recommends buying long - term contracts of various varieties on dips [2]. - For treasury bond futures, due to the upward trend in risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL contracts in the medium - to - long term [2]. 3. Summary by Related Catalogs (1) Stock Index Futures - **Market Performance**: On July 23, the four major A - share stock indices showed mixed performance. The Shanghai Composite Index rose 0.01% to 3582.3 points; the Shenzhen Component Index fell 0.37% to 11059.04 points; the ChiNext Index fell 0.01% to 2310.67 points; the Science and Technology Innovation 50 Index rose 0.45% to 1020.86 points. Market turnover was 1898.4 billion yuan, a decrease of 30.3 billion yuan from the previous day. Non - bank finance, beauty care, and household appliances led the gains, while building materials, national defense and military industry, and machinery led the losses. In terms of market strength, IH > IF > IC > IM. The number of rising, flat, and falling stocks was 1269, 121, and 4025 respectively. Net capital inflows from institutions, main players, large - scale investors, and retail investors in the Shanghai and Shenzhen stock markets were - 17 billion, - 23.8 billion, 1.2 billion, and 39.7 billion yuan respectively, with changes of - 3.2 billion, - 2.3 billion, - 2 billion, and + 7.5 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 107.22, 76.76, 10.57, and - 1.6 points respectively, with annualized basis yields of - 9.43%, - 7.2%, - 1.49%, and 0.33%. Their three - year historical quantiles were 40%, 29%, 43%, and 49% respectively [2]. - **Trading Strategy**: Long - term, maintain a bullish view on the economy, and recommend buying long - term contracts of various varieties on dips [2]. (2) Treasury Bond Futures - **Market Performance**: On July 23, the yields of treasury bond futures rose across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.39, up 2.26 bps from the previous day; the five - year bond was 1.553, up 1.93 bps; the ten - year bond was 1.65, up 1.59 bps; and the thirty - year bond was 1.991, up 0.79 bps [2]. - **Cash Bonds**: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of + 2.25 bps, a corresponding net basis of - 0.022, and an IRR of 1.63%. For the 5 - year treasury bond futures, the CTD bond is 240020.IB, with a yield change of + 1.5 bps, a corresponding net basis of - 0.018, and an IRR of 1.6%. For the 10 - year treasury bond futures, the CTD bond is 220010.IB, with a yield change of + 2 bps, a corresponding net basis of - 0.021, and an IRR of 1.62%. For the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 0.82 bps, a corresponding net basis of 0.093, and an IRR of 1.02% [2]. - **Funding Situation**: In open - market operations, the central bank injected 150.5 billion yuan and withdrew 520.1 billion yuan, resulting in a net withdrawal of 369.6 billion yuan [2]. - **Trading Strategy**: With the upward trend in risk appetite and the expectation of economic recovery, it is recommended to conduct high - level hedging for T and TL contracts in the medium - to - long term [2]. (3) Economic Data High - frequency data shows that the real estate sector has recently seen a contraction in prosperity, while the manufacturing sector has recovered in prosperity after the industrial added value in June exceeded the same period [10].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - For stock index futures, in the medium - to - long - term, maintain the judgment of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips, and be aware of the basis regression risk of near - term contracts near the delivery date [2]. - For treasury bond futures, it is recommended to hedge T and TL contracts at high prices in the medium - to - long - term [2]. 3. Summary by Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On July 16, most of the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 0.03% to 3503.78 points, the Shenzhen Component Index fell 0.22% to 10720.81 points, and the ChiNext Index fell 0.22% to 2230.19 points. The STAR 50 Index rose 0.14% to 997.63 points. Market turnover was 1461.7 billion yuan, a decrease of 173.3 billion yuan from the previous day. In terms of industry sectors, social services, automobiles, and pharmaceutical biology led the gains, while steel, banks, and non - ferrous metals led the losses. From the perspective of market strength, IM>IC>IH>IF. The number of rising, flat, and falling stocks was 3276, 211, and 1928 respectively. The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 6.9 billion, - 6.5 billion, 200 million, and 13.2 billion yuan respectively, with changes of +3 billion, +9.1 billion, - 3.1 billion, and - 8.9 billion yuan respectively [2]. - **Basis and Basis Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 89.26, 67.59, 22.6, and 9.7 points respectively, and the basis annualized yields were - 15.01%, - 12.21%, - 6.13%, and - 3.85% respectively. The three - year historical quantiles were 14%, 10%, 20%, and 26% respectively [2]. - **Trading Strategy**: Near the delivery date, pay attention to the basis regression risk of near - term contracts. In the medium - to - long - term, maintain the judgment of going long on the economy. It is recommended to allocate long - term contracts of each variety on dips [2]. 3.2 Treasury Bond Futures - **Market Performance**: On July 16, the yields of treasury bond futures showed a pattern of short - term decline and long - term increase. Among the active contracts, the implied interest rate of the two - year bond was 1.36, a decrease of 1.06 bps from the previous day; the implied interest rate of the five - year bond was 1.502, a decrease of 0.12 bps; the implied interest rate of the ten - year bond was 1.602, an increase of 0.05 bps; the implied interest rate of the thirty - year bond was 1.924, an increase of 0.09 bps [2]. - **Cash Bonds**: The current active contract is the 2509 contract. The CTD bonds, yield changes, corresponding net basis, and IRR of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are provided [2]. - **Funding Situation**: In terms of open - market operations, the central bank injected 520.1 billion yuan and withdrew 75.5 billion yuan, with a net injection of 444.6 billion yuan [2]. - **Trading Strategy**: It is recommended to hedge T and TL contracts at high prices in the medium - to - long - term [2]. 3.3 Economic Data - High - frequency data shows that the real - estate market sentiment has recently contracted, while the other four indicators are similar to the same period [12].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For stock index futures, in the short - term, the stock index premium has returned to an extreme position; in the medium - to long - term, it is recommended to go long on the economy, and it is advisable to allocate long - term contracts of each variety on dips as there is a certain excess return when using stock index long - position substitution [3] - For treasury bond futures, it is recommended to conduct high - level hedging for medium - and long - term T and TL contracts [4] 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On July 15, most of the four major A - share stock indexes rose. The Shanghai Composite Index fell 0.42% to close at 3505 points, the Shenzhen Component Index rose 0.56% to close at 10744.56 points, the ChiNext Index rose 1.73% to close at 2235.05 points, and the Science and Technology Innovation 50 Index rose 0.39% to close at 996.25 points. Market turnover was 1635 billion yuan, an increase of 154.1 billion yuan from the previous day. In terms of industry sectors, communication (+4.61%), computer (+1.42%), and electronics (+0.79%) led the gains, while coal (-1.92%), agriculture, forestry, animal husbandry and fishery (-1.62%), and public utilities (-1.6%) led the losses. From the perspective of market strength, IF>IC>IM>IH. The number of rising, flat, and falling stocks was 1332, 68, and 4015 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net capital inflows of - 9.9 billion, - 15.6 billion, 3.3 billion, and 22.2 billion yuan respectively, with changes of +4.9 billion, - 3.8 billion, - 4.5 billion, and +3.4 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 90.03, 69.76, 25.86, and 12.23 points respectively, and the annualized basis yields were - 14.56%, - 12.07%, - 6.7%, and - 4.64% respectively. The three - year historical quantiles were 15%, 10%, 19%, and 24% respectively [3] 3.2 Treasury Bond Futures - **Market Performance**: On July 15, the yields of treasury bond futures declined across the board. Among the active contracts, the implied interest rate of the two - year bond was 1.364, down 2.4 bps from the previous day; the five - year bond was 1.496, down 3.13 bps; the ten - year bond was 1.597, down 2.53 bps; and the thirty - year bond was 1.921, down 2.64 bps [3] - **Cash Bond Situation**: The current active contract is the 2509 contract. For the 2 - year treasury bond futures, the CTD bond is 250006.IB, with a yield change of - 1.5 bps, a corresponding net basis of - 0.009, and an IRR of 1.62%; for the 5 - year, the CTD bond is 240020.IB, with a yield change of - 2.25 bps, a net basis of - 0.022, and an IRR of 1.69%; for the 10 - year, the CTD bond is 250007.IB, with a yield change of - 2.1 bps, a net basis of - 0.009, and an IRR of 1.6%; for the 30 - year, the CTD bond is 210005.IB, with a yield change of - 1.75 bps, a net basis of 0.01, and an IRR of 1.52% [4] - **Funding Situation**: In open - market operations, the central bank injected 342.5 billion yuan and withdrew 69 billion yuan, resulting in a net injection of 273.5 billion yuan [4] 3.3 Economic Data - High - frequency data shows that the recent real - estate market sentiment has contracted, while the other four indicators are similar to the same period [12]