国债期货日报-20251127

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View - The report suggests paying attention to the central bank's policy attitude. Given the weakening economic fundamentals, interest rates are expected to remain low for a certain period. Mid - term bottom positions should be held, and new long positions can be gradually established on dips, with price intervals widened [1][3]. 3. Summary by Relevant Catalogs 3.1.盘面点评 - On Thursday, Treasury bond futures fluctuated. TS closed up, TF and T closed down, and TL remained flat. The funding situation was loose, with DR001 around 1.31%. Open - market reverse repurchase was 356.4 billion yuan, with a net injection of 56.4 billion yuan [1]. 3.2.重要资讯 - The central parity rate of the RMB against the US dollar was raised by 17 basis points to 7.0779, reaching the highest level since October 14, 2024. China's industrial enterprise profits above designated size in October decreased by 5.5% year - on - year, while the manufacturing and power sectors had relatively rapid growth in the first 10 months. Vanke announced that it will hold a meeting to review matters related to bond extension [2]. 3.3.行情研判 - Today, Treasury bond futures showed weak fluctuations after a sharp decline, and the trading volume of the main contracts of each variety decreased significantly. In terms of data, industrial enterprise profits in October decreased year - on - year, and the cumulative growth rate of profits from January to October slowed down. The weakening economic fundamentals determine that interest rates need to remain low for a certain period. Operationally, mid - term bottom positions should be held, and new long positions can be gradually established on dips, with price intervals widened [3]. 3.4.国债期货日度数据 - Price and price change: TS2603 closed at 102.394, up 0.012; TF2603 closed at 105.78, down 0.005; T2603 closed at 107.905, down 0.05; TL2603 closed at 114.43, unchanged [4]. - Position change: TS contract positions decreased by 4,339 to 66,382; TF contract positions decreased by 15,019 to 146,639; T contract positions decreased by 27,648 to 237,119; TL contract positions decreased by 14,248 to 169,380 [4]. - Base - spread change: TS basis (CTD) increased by 0.0302 to - 0.0566; TF basis (CTD) increased by 0.1322 to 0.0093; T basis (CTD) increased by 0.1048 to 0.0632; TL basis (CTD) increased by 0.3829 to 0.6666 [4][5]. - Trading volume change: TS main contract trading volume decreased by 6,816 to 29,291; TF main contract trading volume decreased by 18,744 to 58,494; T main contract trading volume decreased by 34,131 to 75,691; TL main contract trading volume decreased by 40,220 to 99,298 [4][5].