Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium and long term. It is recommended to allocate long - term contracts of each variety on dips as stock index long - term substitution has some excess returns [1] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see. In the medium and long term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [1] Group 3: Summary of Stock Index Futures Stock Index Spot Market Performance - On March 30, most of the four major A - share stock indexes pulled back. The Shanghai Composite Index rose 0.24% to close at 3923.29 points, the Shenzhen Component Index fell 0.25% to close at 13726.19 points, the ChiNext Index fell 0.68% to close at 3273.36 points, and the Sci - tech Innovation 50 Index fell 0.84% to close at 1289.78 points. The market turnover was 19,275 billion yuan, an increase of 638 billion yuan from the previous day [1] - In terms of industry sectors, non - ferrous metals (+1.84%), building materials (+1.67%), and communication (+1.31%) performed well; public utilities (-2.97%), household appliances (-1.49%), and power equipment (-1.25%) performed averagely. In terms of market strength, IM>IC>IH>IF, and the number of rising/flat/falling stocks was 2,865/162/2,461 respectively. The net inflows of institutional, main, large - scale, and retail funds in the Shanghai and Shenzhen stock markets were - 57, - 114, 41, and 129 billion yuan respectively, with changes of - 187, - 67, +156, and +97 billion yuan respectively [1] Stock Index Futures Market Performance - The basis of the next - month contracts of IM, IC, IF, and IH was 144.13, 99.12, 38.95, and 7.01 points respectively, and the annualized basis yields were - 14.96%, - 10.31%, - 6.99%, and - 1.99% respectively, with the three - year historical quantiles being 16%, 21%, 17%, and 33% respectively [1] - Detailed performance data of various stock index futures contracts (including IC, IF, IH, IM series) are shown in Table 1, including price, trading volume, open interest, basis, and annualized basis yield [3] Group 4: Summary of Treasury Bond Futures Treasury Bond Futures Market Performance - On March 30, treasury bond futures strengthened. Among the active contracts, TS rose 0.04%, TF rose 0.1%, T rose 0.15%, and TL rose 0.38% [1] Treasury Bond Spot Market Performance - The current active contract is the 2606 contract. The CTD bond of the 2 - year treasury bond futures is 250024.IB, with a yield change of - 3bps, a corresponding net basis of 0.071, and an IRR of 1.1%; the CTD bond of the 5 - year treasury bond futures is 250014.IB, with a yield change of - 2.25bps, a corresponding net basis of 0.054, and an IRR of 1.18%; the CTD bond of the 10 - year treasury bond futures is 250025.IB, with a yield change of - 1.8bps, a corresponding net basis of 0.025, and an IRR of 1.31%; the CTD bond of the 30 - year treasury bond futures is 210014.IB, with a yield change of - 2bps, a corresponding net basis of 0.052, and an IRR of 1.24% [1] - Detailed performance data of various treasury bond futures contracts (including TS, TF, T, TL series) and corresponding spot bonds are shown in Table 2, including price, trading volume, open interest, net basis, and CTD bond implied interest rate [5] Capital Situation - In terms of open - market operations, the central bank injected 2,695 billion yuan and withdrew 80 billion yuan, with a net injection of 2,615 billion yuan [1] Short - term Capital Interest Rate Market - The short - term capital interest rate (SHIBOR overnight) remained stable, with the current price at 1.318, the previous price at 1.317, the price a week ago at 1.317, and the price a month ago at 1.315 [8]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the medium to long term, maintain the judgment of going long on the economy, and currently using stock index as a long - term substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [3]. - The short - term trend of treasury bond futures is unclear, so it is recommended to wait and see. In the medium to long term, with the increase in risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3. Summary by Related Catalogs 3.1 Stock Index Futures - **Market Performance**: On March 27, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.63% to close at 3913.72 points; the Shenzhen Component Index rose 1.13% to close at 13760.37 points; the ChiNext Index rose 0.71% to close at 3295.88 points; the Sci - tech Innovation 50 Index rose 0.93% to close at 1300.76 points. Market turnover was 18,638 billion yuan, a decrease of 932 billion yuan from the previous day. In terms of industry sectors, pharmaceutical biology (+3.7%), non - ferrous metals (+2.88%), and basic chemicals (+2.55%) performed well; public utilities (-0.78%), communications (-0.56%), and banks (-0.5%) performed averagely. From the perspective of market strength, IM>IC>IF>IH, and the number of rising/flat/falling stocks was 4,335/83/1,070 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 130, - 47, - 115, and 32 billion yuan respectively, with changes of +375, +223, - 256, and - 342 billion yuan respectively [2]. - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 113.51, 83.81, 35.57, and 7.71 points respectively, and the annualized basis yields were - 11.45%, - 8.46%, - 6.17%, and - 2.12% respectively. The three - year historical quantiles were 35%, 30%, 19%, and 32% respectively [3]. - **Trading Strategy**: In the medium to long term, maintain the long - economy view and recommend allocating long - term contracts of various varieties on dips [3]. 3.2 Treasury Bond Futures - **Market Performance**: On March 27, treasury bond futures showed short - term strength and long - term weakness. Among the active contracts, TS rose 0.01%, TF rose 0.03%, T fell 0.01%, and TL fell 0.29% [3]. - **Cash Bonds**: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of +0bps, a corresponding net basis of 0.053, and an IRR of 1.2%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of - 0.5bps, a corresponding net basis of 0.046, and an IRR of 1.23%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of - 0.35bps, a corresponding net basis of 0.047, and an IRR of 1.23%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of +1bps, a corresponding net basis of 0.135, and an IRR of 0.95% [3]. - **Funding Situation**: In terms of open - market operations, the central bank injected 146.2 billion yuan and withdrew 20.5 billion yuan, with a net injection of 125.7 billion yuan [3]. - **Trading Strategy**: The short - term trend is unclear, so it is recommended to wait and see. In the medium to long term, with the increase in risk preference and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 3.3 Stock Index Spot and Futures Market Performance - The table shows the performance of various stock index futures and spot indexes, including codes, names, price changes, current prices, price changes, trading volumes, trading amounts, open interests, daily position changes, settlement prices, basis, and annualized basis yields [5]. 3.4 Treasury Bond Spot and Futures Market Performance - The table presents the performance of various treasury bond futures and spot bonds, including codes, names, price changes, current prices, trading volumes, trading amounts, open interests, daily position changes, settlement prices, net basis, and implied interest rates of CTD bonds [7]. 3.5 Short - term Funding Rate Market Changes - The table shows the current price, previous price, price one week ago, and price one month ago of SHIBOR overnight rates, all of which are 1.317, 1.320, 1.319, and 1.358 respectively [10].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - In the medium to long term, maintain the judgment of going long on the economy. It is recommended to allocate long positions in various varieties of forward contracts on dips [3] - In the short term, the trend of Treasury bond futures is unclear, so it is advisable to wait and see. In the medium to long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge at high levels for T and TL contracts [3] 3. Summary by Relevant Catalogs 3.1 Stock Index Futures and Spot Market Performance - On March 26, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 1.09% to 3889.08 points, the Shenzhen Component Index fell 1.41% to 13606.44 points, the ChiNext Index fell 1.34% to 3272.49 points, and the Science and Technology Innovation 50 Index fell 2.02% to 1288.81 points. Market turnover was 1957 billion yuan, a decrease of 235.9 billion yuan from the previous day [2] - In terms of industry sectors, coal (+0.59%), petroleum and petrochemicals (+0.47%), and banks (+0.37%) performed well; computers (-2.74%), non - bank finance (-2.74%), and communications (-2.35%) performed averagely. In terms of market strength, IH > IF > IM > IC. The number of rising, flat, and falling stocks was 915, 83, and 4490 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of -24.5 billion, -27 billion, 14.1 billion, and 37.4 billion yuan respectively, with changes of -42.4 billion, -24.1 billion, +30.6 billion, and +35.9 billion yuan respectively [2] - The basis of the next - month contracts of IM, IC, IF, and IH was 156.58, 124.53, 41.73, and 5.47 points respectively. The annualized basis yields were -15.53%, -12.34%, -7.06%, and -1.47% respectively, and the three - year historical quantiles were 14%, 13%, 16%, and 36% respectively [2] - Specific performance data of various stock index futures contracts and spot indexes are shown in Table 1 [5] 3.2 Treasury Bond Futures and Spot Market Performance - On March 26, Treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.02%, TF rose 0.07%, T rose 0.08%, and TL rose 0.22% [3] - For the current active 2606 contract, the CTD bond of the 2 - year Treasury bond futures was 250024.IB, with a yield change of -1.35bps, a corresponding net basis of 0.058, and an IRR of 1.19%; the CTD bond of the 5 - year Treasury bond futures was 250014.IB, with a yield change of -1bps, a corresponding net basis of 0.055, and an IRR of 1.2%; the CTD bond of the 10 - year Treasury bond futures was 250025.IB, with a yield change of -0.5bps, a corresponding net basis of 0.023, and an IRR of 1.34%; the CTD bond of the 30 - year Treasury bond futures was 210014.IB, with a yield change of -0.25bps, a corresponding net basis of -0.097, and an IRR of 1.81% [3] - In terms of the money market, the central bank injected 224 billion yuan and withdrew 13 billion yuan, with a net injection of 211 billion yuan [3] - Specific performance data of various Treasury bond futures contracts and spot bonds are shown in Table 2 [6] 3.3 Economic Data - High - frequency data shows that the prosperity of various sectors has declined [9] - Based on the changes of medium - term data in each module compared with the same period in the past five years (the month - on - month of year - on - year), a scoring system from -2 to +2 is used to represent the prosperity. Positive scores represent an improvement in prosperity, negative scores represent a weakening of prosperity, and a score of zero represents little change in prosperity [12]

Report Summary 1. Market Performance - On March 24, the four major A-share stock indices all rose, with the Shanghai Composite Index up 1.78% to 3881.28 points, the Shenzhen Component Index up 1.43% to 13536.56 points, the ChiNext Index up 0.5% to 3251.55 points, and the STAR 50 Index up 2.33% to 1290.79 points. Market turnover was 20,961 billion yuan, a decrease of 3,520 billion yuan from the previous day [2]. - In the industry sectors, environmental protection (+4.29%), textile and apparel (+3.99%), and building materials (+3.66%) performed well, while petroleum and petrochemicals (-0.86%) and coal (-0.49%) performed moderately [2]. - In terms of market strength, IM > IC > IH > IF, and the number of rising, flat, and falling stocks was 5,135, 26, and 328 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 73, - 85, - 164, and 177 billion yuan respectively, with changes of +475, +308, - 357, and - 426 billion yuan respectively [2]. 2. Stock Index Futures - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH was 128.26, 113.17, 47.72, and 10.25 points respectively, and the annualized basis yields were - 12.05%, - 10.64%, - 7.62%, and - 2.59% respectively, with three - year historical quantiles of 31%, 19%, 14%, and 28% respectively [2]. - **Trading Strategy**: In the medium - to - long term, maintain the judgment of going long on the economy. Currently, using stock indices as a long - position alternative has certain excess returns, and it is recommended to allocate long - term contracts of each variety on dips [2]. 3. Treasury Bond Futures - **Market Performance**: On March 24, the treasury bond futures showed a neutral - to - strong trend. Among the active contracts, TS fell 0.02%, TF remained flat, T rose 0.02%, and TL rose 0.52% [3]. - **Cash Bonds**: The current active contract is the 2606 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for different - term treasury bond futures are provided. For example, for the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of - 0.05 bps, a net basis of 0.062, and an IRR of 1.14% [3]. - **Funding Situation**: In the open - market operations, the central bank injected 175 billion yuan and withdrew 510 billion yuan, resulting in a net withdrawal of 335 billion yuan [3]. - **Trading Strategy**: The short - term trend is unclear, so it is recommended to wait and see. In the medium - to - long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [3]. 4. Economic Data - High - frequency data shows that the prosperity of various sectors has declined [9].

1. Report Industry Investment Rating - Not provided in the given content 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, and it is recommended to allocate long - term contracts of various varieties on dips as using stock index as a long - term substitute has certain excess returns [2] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3. Summaries According to Relevant Catalogs 3.1 Stock Index Futures - **Market Performance**: On March 23, A - share four major stock indexes continued to correct. The Shanghai Composite Index fell 3.63% to 3813.28 points, the Shenzhen Component Index fell 3.76% to 13345.51 points, the ChiNext Index fell 3.49% to 3235.22 points, and the Science and Technology Innovation 50 Index fell 4.31% to 1261.44 points. Market turnover was 24,481 billion yuan, an increase of 1,453 billion yuan from the previous day. Coal (+0.2%) and petroleum and petrochemicals (+0.06%) performed well, while social services (-6.41%), beauty care (-6.02%), and agriculture, forestry, animal husbandry and fishery (-5.56%) performed poorly. From the perspective of market strength, IH>IF>IC>IM. The number of rising/flat/falling stocks was 305/14/5,170 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - investor, and retail investors' net inflows of funds throughout the day were - 402, - 393, 192, and 603 billion yuan respectively, with changes of - 284, - 111, +219, +177 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 111.11, 103.15, 32.8, and 0.73 points respectively, and the annualized basis yields were - 10.41%, - 9.63%, - 5.16%, and - 0.18% respectively. Their three - year historical quantiles were 42%, 24%, 24%, and 49% respectively [2] - **Transaction Strategy**: In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On March 23, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.02%, TF fell 0.05%, T fell 0.09%, and TL rose 0.07% [2] - **Cash Bond Situation**: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of +0.8bps, a corresponding net basis of 0.041, and an IRR of 1.25%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of +0.75bps, a corresponding net basis of 0.045, and an IRR of 1.24%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of +1bps, a corresponding net basis of 0.039, and an IRR of 1.26%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.35, and an IRR of 0.21% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 8 billion yuan and withdrew 137.3 billion yuan, with a net withdrawal of 129.3 billion yuan [2] - **Transaction Strategy**: The short - term trend is unclear, so it is recommended to wait and see; in the medium to long term, with the upward risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3.3 Economic Data - High - frequency data shows that the prosperity of various sectors has declined [8]

Group 1: Report Industry Investment Rating - No industry investment rating information provided in the report Group 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, and it is recommended to allocate long - term contracts of various varieties on dips; for short - term, the trend is unclear, so it is recommended to wait and see [1] - For treasury bond futures, in the short - term, the trend is unclear, so it is recommended to wait and see; in the medium to long - term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL [2] Group 3: Summary of Stock Index Futures Market Performance - On March 20, most of the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 1.24% to close at 3957.05 points; the Shenzhen Component Index fell 0.25% to close at 13866.2 points; the ChiNext Index rose 1.3% to close at 3352.1 points; the Science and Technology Innovation 50 Index fell 1.55% to close at 1318.31 points. The market turnover was 23,028 billion yuan, an increase of 1,756 billion yuan from the previous day [1] - In terms of industry sectors, power equipment (+1.55%), communication (+1.48%), and coal (+0.1%) performed well; comprehensive (-5.52%), computer (-3.83%), and national defense and military industry (-3%) performed averagely [1] - From the perspective of market strength, IF>IH>IC>IM. The number of rising/flat/falling stocks was 661/43/4,784 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 118, - 281, - 27, and 426 billion yuan respectively, with changes of +225, +31, - 157, and - 99 billion yuan respectively [1] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 55.63, 63.44, 27.02, and 2.46 points respectively, and the basis annualized yields were - 8.93%, - 10.22%, - 7.39%, and - 1.07% respectively, with three - year historical quantiles of 50%, 21%, 15%, and 39% respectively [1] Transaction Strategy - In the medium to long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [1] Group 4: Summary of Treasury Bond Futures Market Performance - On March 20, treasury bond futures showed a weak trend. Among the active contracts, TS fell 0.01%, TF fell 0.06%, T fell 0.09%, and TL fell 0.42% [1] Cash Bond - The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, the yield changed by - 0.5bps, the corresponding net basis is 0.033, and the IRR is 1.28%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, the yield changed by +0bps, the corresponding net basis is 0.024, and the IRR is 1.32%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, the yield changed by +0.1bps, the corresponding net basis is 0.014, and the IRR is 1.36%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, the yield changed by +0.25bps, the corresponding net basis is 0.221, and the IRR is 0.68% [1] Capital Situation - In terms of open - market operations, the central bank injected 205 billion yuan and withdrew 375 billion yuan, with a net withdrawal of 170 billion yuan [1] Transaction Strategy - In the short - term, the trend is unclear, so it is recommended to wait and see; in the medium to long - term, with the upward risk preference and the expectation of economic recovery, it is recommended to hedge at high prices for T and TL [2] Group 5: Summary of Economic Data - High - frequency data shows that the prosperity of various sectors has declined [8]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - For stock index futures, in the medium - long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips as using stock index as a long - term alternative has certain excess returns [1] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [1] 3. Summary by Directory (1) Stock Index Futures Market Performance - On March 19th, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 1.39% to 4006.55 points, the Shenzhen Component Index fell 2.02% to 13901.57 points, the ChiNext Index fell 1.11% to 3309.1 points, and the Science and Technology Innovation 50 Index fell 2.44% to 1339.03 points. The market turnover was 2127.3 billion yuan, an increase of 66.2 billion yuan from the previous day [1] - In terms of industry sectors, coal (+1.82%), petroleum and petrochemicals (+1.34%), and public utilities (+0.34%) performed well; non - ferrous metals (-6.1%), steel (-4.08%), and basic chemicals (-3.75%) performed poorly. In terms of market strength, IH>IF>IM>IC, and the number of rising/flat/falling stocks was 504/30/4953 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of - 34.3 billion, - 31.3 billion, 13.1 billion, and 52.5 billion yuan respectively, with changes of - 46.2 billion, - 21.4 billion, +32 billion, and +35.5 billion yuan respectively [1] Basis and Basis Annualized Yield - The basis of the next - month contracts of IM, IC, IF, and IH was 45.83, 54.89, 24.25, and 8.83 points respectively, and the basis annualized yields were - 6.9%, - 8.3%, - 6.3%, and - 3.61% respectively, with the three - year historical quantiles being 59%, 30%, 18%, and 25% respectively [1] Trading Strategy - In the medium - long term, maintain the judgment of going long on the economy, and it is recommended to allocate long - term contracts of various varieties on dips [1] (2) Treasury Bond Futures Market Performance - On March 19th, treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.03%, TF rose 0.06%, T rose 0.07%, and TL rose 0.1% [1] Cash Bonds - The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of - 0.25bps, a corresponding net basis of 0.021, and an IRR of 1.34%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of +0bps, a corresponding net basis of - 0.041, and an IRR of 1.59%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of +0.25bps, a corresponding net basis of - 0.055, and an IRR of 1.65%; for the 30 - year treasury bond futures, the CTD bond is 220008.IB, with a yield change of +1.25bps, a corresponding net basis of - 0.164, and an IRR of 1.99% [1] Funding Situation - In terms of open - market operations, the central bank injected 1.3 billion yuan and withdrew 2.45 billion yuan, with a net withdrawal of 1.15 billion yuan [1] Trading Strategy - The short - term trend is unclear, so it is recommended to wait and see; in the medium - long term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [1] (3) Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [7]

1. Report Industry Investment Rating - Not provided in the document 2. Core View of the Report - For stock index futures, maintain the judgment of going long on the economy in the medium - and long - term, and recommend allocating long - term contracts of various varieties on dips [2] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3. Summary according to the Directory 3.1 Stock Index Futures - **Market Performance**: On March 18th, the four major A - share stock indexes all rose. The Shanghai Composite Index rose 0.32%, the Shenzhen Component Index rose 1.05%, the ChiNext Index rose 2.02%, and the Science and Technology Innovation 50 Index rose 1.36%. Market turnover was 20,610 billion yuan, a decrease of 1,635 billion yuan from the previous day. In terms of industry sectors, communication (+5.23%), computer (+2.46%), and electronics (+2.41%) performed well; petroleum and petrochemicals (-1.47%), real estate (-1.05%), and food and beverages (-0.91%) performed mediocre. From the perspective of market strength, IC>IM>IF>IH. The number of rising/flat/falling stocks was 3,551/106/1,830 respectively. In the Shanghai and Shenzhen stock markets, institutional, main, large - scale, and retail investors had net inflows of 119, - 99, - 190, and 170 billion yuan respectively, with changes of +446, +178, - 315, and - 309 billion yuan respectively [2] - **Basis and Annualized Yield**: The basis of the next - month contracts of IM, IC, IF, and IH were 75.39, 65.43, 27.53, and 6.43 points respectively, and the annualized basis yields were - 10.58%, - 9.18%, - 6.72%, and - 2.47% respectively. The three - year historical quantiles were 40%, 26%, 17%, and 30% respectively [2] - **Trading Strategy**: In the medium - and long - term, maintain the judgment of going long on the economy. Currently, using stock index futures as a long - term substitute has certain excess returns. It is recommended to allocate long - term contracts of various varieties on dips [2] 3.2 Treasury Bond Futures - **Market Performance**: On March 18th, treasury bond futures strengthened slightly. Among the active contracts, TS rose 0.04%, TF rose 0.08%, T rose 0.12%, and TL rose 0.23% [2] - **Cash Bond Situation**: The current active contract is the 2606 contract. For the 2 - year treasury bond futures, the CTD bond is 250024.IB, with a yield change of - 1.75bps, a corresponding net basis of 0.047, and an IRR of 1.24%; for the 5 - year treasury bond futures, the CTD bond is 250014.IB, with a yield change of - 2bps, a corresponding net basis of 0.017, and an IRR of 1.37%; for the 10 - year treasury bond futures, the CTD bond is 250025.IB, with a yield change of - 1.45bps, a corresponding net basis of 0.022, and an IRR of 1.34%; for the 30 - year treasury bond futures, the CTD bond is 210014.IB, with a yield change of - 1.75bps, a corresponding net basis of 0.258, and an IRR of 0.59% [2] - **Funding Situation**: In terms of open - market operations, the central bank injected 20.5 billion yuan and withdrew 26.5 billion yuan, resulting in a net withdrawal of 6 billion yuan [2] - **Trading Strategy**: The short - term trend is unclear, so it is recommended to wait and see; in the medium - and long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL on rallies [2] 3.3 Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [9]

1. Report's Industry Investment Rating - No information provided in the report 2. Core Viewpoints of the Report - For stock index futures, maintain a long - term view of being bullish on the economy. It is recommended to allocate long - term contracts of various varieties on dips as using stock index as a long - position substitute has certain excess returns [3]. - For treasury bond futures, the short - term trend is unclear, so it is advisable to wait and see. In the medium - to - long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to conduct hedging on T and TL contracts on rallies [3]. 3. Summary by Relevant Catalogs 3.1 Stock Index Spot and Futures Market Performance - On March 17, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 0.85% to close at 4049.91 points; the Shenzhen Component Index fell 1.87% to close at 14039.73 points; the ChiNext Index fell 2.29% to close at 3280.06 points; the STAR 50 Index fell 2.23% to close at 1354.15 points. The market turnover was 22,246 billion yuan, a decrease of 1,153 billion yuan from the previous day [2]. - In terms of industry sectors, non - bank finance (+1.28%), banks (+0.85%), and food and beverage (+0.55%) performed well; communication (-4.69%), electronics (-2.97%), and national defense and military industry (-2.57%) performed averagely. In terms of market strength, IH>IF>IC>IM, and the number of rising/flat/falling stocks was 863/81/4,541 respectively [2]. - The net inflows of institutional, main, large - scale, and retail investors in the Shanghai and Shenzhen stock markets were - 327 billion, - 276 billion, 125 billion, and 478 billion yuan respectively, with changes of - 245 billion, - 192 billion, + 170 billion, and + 267 billion yuan respectively [2]. - The basis of IM, IC, IF, and IH next - month contracts was 68.86, 66.03, 24.44, and 8.58 points respectively, and the annualized basis yields were - 9.33%, - 8.95%, - 5.73%, and - 3.15% respectively, with three - year historical quantiles of 48%, 26%, 22%, and 27% respectively [3]. 3.2 Treasury Bond Spot and Futures Market Performance - On March 17, treasury bond futures rose slightly. Among the active contracts, TS rose 0.03%, TF rose 0.04%, T rose 0.05%, and TL rose 0.13% [3]. - For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of - 2bps, a corresponding net basis of 0.057, and an IRR of 1.21%; the CTD bond of the 5 - year treasury bond futures was 250014.IB, with a yield change of - 0.5bps, a corresponding net basis of 0.028, and an IRR of 1.32%; the CTD bond of the 10 - year treasury bond futures was 250025.IB, with a yield change of - 0.55bps, a corresponding net basis of 0.051, and an IRR of 1.23%; the CTD bond of the 30 - year treasury bond futures was 210014.IB, with a yield change of - 0.75bps, a corresponding net basis of 0.193, and an IRR of 0.81% [3]. - In terms of the money market, the central bank injected 51 billion yuan into the market and withdrew 39.5 billion yuan, with a net injection of 11.5 billion yuan [3]. 3.3 Economic Data - High - frequency data shows that at the beginning of March, the business climate of various sectors declined slightly [10].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - For stock index futures, maintain a long - term view of going long on the economy, and recommend allocating long - term contracts of various varieties on dips [1] - For treasury bond futures, the short - term trend is unclear, so it is recommended to wait and see; in the medium - to - long - term, with the increase in risk appetite and the expectation of economic recovery, it is recommended to hedge T and TL contracts on rallies [2] 3. Summary by Relevant Catalogs (1) Stock Index Futures and Spot Market Performance - On March 13, the four major A - share stock indexes pulled back. The Shanghai Composite Index fell 0.82% to 4095.45 points, the Shenzhen Component Index fell 0.65% to 14280.78 points, the ChiNext Index fell 0.22% to 3310.28 points, and the Science and Technology Innovation 50 Index fell 0.72% to 1373.64 points. Market trading volume was 24,173 billion yuan, a decrease of 433 billion yuan from the previous day [1] - In terms of industry sectors, food and beverage (+0.87%), building decoration (+0.6%), and banks (+0.38%) performed well; comprehensive (-4.19%), non - ferrous metals (-2.7%), and computers (-2.7%) performed mediocrely [1] - From the perspective of market strength, IF>IH>IC>IM, and the number of rising/flat/falling stocks was 1,502/159/3,824 respectively. The net inflows of institutional, main, large - scale investor, and retail funds in the Shanghai and Shenzhen stock markets were - 157, - 244, 2, and 399 billion yuan respectively, with changes of +89, +22, - 105, and - 5 billion yuan respectively [1] - The basis of the next - month contracts of IM, IC, IF, and IH was 96.69, 74.8, 25.94, and 1.65 points respectively, and the annualized basis yields were - 11.77%, - 9.08%, - 5.56%, and - 0.56% respectively, with three - year historical quantiles of 33%, 26%, 22%, and 44% respectively [1] - The performance details of various stock index futures contracts are shown in Table 1, including information such as price, trading volume, open interest, and basis [4] (2) Treasury Bond Futures and Spot Market Performance - On March 13, the treasury bond futures trended weakly. Among the active contracts, TS and TF remained flat, T fell 0.07%, and TL fell 0.25% [2] - For the current active 2606 contract, the CTD bond of the 2 - year treasury bond futures was 250024.IB, with a yield change of - 1bps, a corresponding net basis of 0.033, and an IRR of 1.33%; the CTD bond of the 5 - year treasury bond futures was 250014.IB, with a yield change of +0.5bps, a corresponding net basis of 0.01, and an IRR of 1.43%; the CTD bond of the 10 - year treasury bond futures was 250025.IB, with a yield change of +1.15bps, a corresponding net basis of 0.036, and an IRR of 1.33%; the CTD bond of the 30 - year treasury bond futures was 210014.IB, with a yield change of +2bps, a corresponding net basis of 0.001, and an IRR of 1.47% [2] - In terms of the money market, the central bank injected 375 billion yuan and withdrew 448 billion yuan, resulting in a net withdrawal of 73 billion yuan [2] - The performance details of various treasury bond futures contracts are shown in Table 2, including information such as price, trading volume, open interest, and net basis [6] (3) Economic Data - High - frequency data shows that at the beginning of March, the prosperity of various sectors declined slightly [9] - Based on the changes in the meso - level data of each module compared with the same period in the past five years (the month - on - month change of the year - on - year data), a scoring system is used to measure the prosperity. Positive scores indicate an improvement in prosperity, negative scores indicate a decline, and zero scores indicate little change [12]