国债期货日报-20251031

Report Industry Investment Rating - No information provided 2. Core View of the Report - The report suggests paying attention to central bank policy operations. Given that the economic data in October continued to weaken, which may boost the expectation of monetary easing and be beneficial to the bond market, investors are advised to hold medium - term long positions and avoid chasing high in short - term trading [1][3] 3. Summary by Relevant Contents 3.1. Market Conditions - On Friday, Treasury bond futures with maturities within 10 years fluctuated. T slightly rose, TF and TS slightly fell, while TL opened higher and closed significantly higher. The funding situation was loose, with DR001 at around 1.32%. The open - market reverse repurchase was 35.51 billion yuan, with a net injection of 18.71 billion yuan [1] - A - share sentiment declined and continued to close lower, but it had little positive impact on the bond market. The official manufacturing PMI in October dropped significantly and was lower than expected, with new orders falling notably, indicating a contraction in demand and increased economic downward pressure, which pushed down long - term yields more significantly, while short - term interest rates declined to a limited extent [3] 3.2. Important Information - The official manufacturing PMI in October was 49, down from the previous value of 49.8. The PMIs of high - tech manufacturing, equipment manufacturing, and consumer goods industries were 50.5%, 50.2%, and 50.1% respectively, remaining in the expansion range and significantly higher than the overall manufacturing level [2] - Pan Gongsheng stated that policies and tools to address macro - economic and financial market fluctuations are being studied and reserved, and the "involution - style" competition and fund idling in the financial industry are being continuously rectified [2] 3.3. Futures Contracts Data | Contract | Price on 2025 - 10 - 31 | Price on 2025 - 10 - 30 | Price Change | Position on 2025 - 10 - 31 (lots) | Position on 2025 - 10 - 30 (lots) | Position Change (lots) | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.544 | 102.56 | - 0.016 | 84,178 | 84,235 | - 57 | | TF2512 | 106.065 | 106.075 | - 0.01 | 178,068 | 176,888 | 1,180 | | T2512 | 108.665 | 108.635 | 0.03 | 284,696 | 282,218 | 2,478 | | TL2512 | 116.64 | 116.19 | 0.45 | 182,844 | 183,707 | - 863 | [4] | Contract | Basis (CTD) on 2025 - 10 - 31 | Basis (CTD) on 2025 - 10 - 30 | Basis Change | Main Contract Trading Volume on 2025 - 10 - 31 (lots) | Main Contract Trading Volume on 2025 - 10 - 30 (lots) | Trading Volume Change (lots) | | --- | --- | --- | --- | --- | --- | --- | | TS | - 0.0721 | - 0.0759 | 0.0038 | 30,841 | 33,991 | - 3,150 | | TF | - 0.0427 | - 0.0675 | 0.0248 | 51,145 | 54,366 | - 3,221 | | T | 0.1084 | - 0.0425 | 0.1509 | 66,178 | 68,993 | - 2,815 | | TL | 0.0476 | 0.0738 | - 0.0262 | 103,750 | 128,226 | - 24,476 | [6] 3.4. Other Market Data - The report also includes charts and data on the basis and implied repo rate (IRR) of main Treasury bond futures contracts, long - term and ultra - long - term bond interest rate trends, deposit - taking institution financing rates and policy rates, exchange financing rates, inter - bank certificate of deposit yields, fund stratification, US Treasury yield trends, and the US - China yield spread and RMB exchange rate [7][10][11][13][16][18]