国债期货早报-20251104

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The bond market is experiencing narrow - range fluctuations, with long - term bonds performing slightly better. After a wave of recovery in bond market sentiment following major events such as the central bank's restart of treasury bond trading, the market may enter a stalemate phase in the short term as the news becomes stable [2]. 3. Summary by Directory 3.1 Market Review - Fundamentals: The bond market shows narrow - range fluctuations, with most of the main contracts of treasury bond futures declining. The 30 - year main contract drops 0.11%. The inter - bank market has a loose capital supply, and the overnight repurchase rate of deposit - taking institutions slightly decreases and stabilizes around 1.31%. Most Vanke bonds fall, with "22 Vanke 04" and "21 Vanke 06" dropping over 2% [2]. - Funding: On November 3, the central bank conducts 783 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%. With 337.3 billion yuan of reverse repurchases maturing on the same day, the net withdrawal of funds is 259 billion yuan [2]. - Basis: The main basis of TS is - 0.0397, TF is - 0.0523, and T is - 0.0002, indicating that the spot bonds are at a discount to the futures, which is bearish. The main basis of TL is 0.2246, indicating that the spot bonds are at a premium to the futures, which is bullish [2]. - Inventory: The balances of deliverable bonds for the main contracts of TS, TF, and T are 1.3594 trillion, 1.4935 trillion, and 2.3599 trillion respectively, which is neutral [3]. - Market Trend: The main contracts of TS, TF, and T are all above the 20 - day moving average, and the 20 - day moving average is upward, which is bullish [3]. - Main Positions: The main contract of TS has a net long position with an increase in long positions. The main contract of TF also has a net long position with an increase in long positions. The main contract of T has a net long position with a decrease in long positions [4]. - Expectations: The central bank has increased the volume of MLF renewals for 8 consecutive months. The October PMI data is below expectations and still below the boom - bust line. In September, the CPI increased 0.1% month - on - month and decreased 0.3% year - on - year, while the year - on - year increase in core CPI has expanded for 5 consecutive months. The new social financing in September is slightly lower than the seasonal level. Affected by the "migration of RMB deposits", the M2 growth rate has expanded. The LPR remains unchanged as expected. The Fed cut interest rates by 25 basis points at the October FOMC meeting [4]. 3.2 Quotes of Main Contracts | Futures Contract | Current Price | Change Rate | Trading Volume | Open Interest | Daily Change in Open Interest | CTD Bond | | --- | --- | --- | --- | --- | --- | --- | | T2512.CFE | 108.680 | 0.01% | 65,902 | 243,868 | 1,313 | 250018.IB | | TF2512.CFE | 106.050 | - 0.01% | 52,682 | 151,286 | 1,862 | 250003.IB | | TS2512.CFE | 102.516 | - 0.03% | 24,640 | 71,166 | - 1,209 | 250012.IB | | TL2512.CFE | 116.51 | - 0.11% | 98,827 | 137,774 | - 4,976 | 210005.IB | [7] 3.3 Spot Bond Analysis The report presents the DR interest rate, the maturity yield of inter - bank treasury bonds, and the term spread of treasury bonds, but specific numerical analysis is not provided in the text [8][11][12] 3.4 Basis Analysis The report shows the basis trend charts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures, but specific numerical analysis is not provided in the text [14][19][20]