Report Summary 1. Investment Rating - Not provided in the report 2. Core View - Short - term iron ore inventory is not accumulating beyond the seasonal norm, the fundamentals have improved, the continuous price decline of coking coal supports the iron ore price, and combined with the marginal repair of macro - risk preference, the iron ore valuation is being repaired. Currently, there is not much contradiction between the iron ore valuation and fundamentals, and the price may fluctuate at a high level [2] 3. Summary by Related Contents 3.1 Price Forecast and Risk Management Strategy - **Price Forecast**: The price forecast range is 770 - 820, with the current at - the - money option IV at 16.74% and the historical volatility quantile at 11.3% [2] - **Risk Management Strategy** - **Inventory Management**: For those with spot inventory worried about future price drops, the strategies are to directly short iron ore futures to lock in profits (using I2601, short, 25%, entry range 820 - 830) and sell call options to collect premiums (using I2601 - C - 830, 30%, sell at high prices) [2] - **Procurement Management**: For those planning to purchase in the future and worried about price increases, the strategies are to directly go long on iron ore futures to lock in costs (using I2601, long, 30%, entry range 780 - 790) and sell out - of - the - money put options (using I2601 - P - 780, 40%, sell at high prices) [2] 3.2 Factors Affecting Prices - **Likely Positive Factors** - Low port inventory of deliverable mainstream medium - and high - grade powder ores supports near - month contracts and basis [3] - The significant price drop of coking coal, a major raw material, when steel mill profits are low, provides short - term support for iron ore prices [3] - Steel demand has improved and inventory has decreased [3] - The Fed's dovish stance has led to the resurgence of the December interest - rate cut expectation to over 80% [3] - **Likely Negative Factors** - During the domestic macro - vacuum period, high - frequency economic data is weak but not weak enough to force the introduction of economic stimulus policies [3] - Overall iron ore shipments are relatively high, and there is no shortage of overall spot (but there is a structural shortage) [3] 3.3 Price Data - **Futures Contract Closing Prices**: On November 28, 2025, the closing prices of the 01, 05, and 09 contracts were 799.5, 773, and 748 respectively, with daily changes of 0 and weekly changes of 14, 17, and 17.5 respectively [3] - **Basis**: The 01, 05, and 09 basis were - 0.5, 26, and 51 respectively on November 28, 2025, with daily changes of - 1.5, 1.5, and 1.5 respectively and weekly changes of - 4, - 13, and - 13 respectively [3] - **Spot Prices**: On November 28, 2025, the prices of Rizhao PB powder and Rizhao Carajás fines were 794 and 885 respectively, with daily changes of - 5 and - 5 respectively and weekly changes of 4 and 2 respectively [3] - **Platts Index**: On November 27, 2025, the Platts 58%, 62%, and 65% indexes were 95.4, 107.45, and 119.5 respectively, with daily changes of 0.2, 0.1, and 0.1 respectively and weekly changes of 2.1, 2.7, and 2.75 respectively [4] 3.4 Fundamental Data | Indicator | 2025 - 11 - 21 | Weekly Change | Monthly Change | | --- | --- | --- | --- | | Daily average hot - metal output | 236.28 | - 0.6 | - 3.62 | | 45 - port desilting volume | 329.92 | 2.97 | 17.27 | | Apparent demand for five major steel products | 888 | - 6 | - 28 | | Global shipments | 3278.4 | - 238 | - 110 | | Australia - Brazil shipments | 2597.5 | - 236.1 | - 247 | | 45 - port arrivals | 2817.1 | 548.2 | 788 | | 45 - port inventory | 15054.65 | - 75.06 | 631.06 | | 247 steel - mill inventory | 9001.23 | - 74.78 | - 77.96 | | 247 steel - mill available days | 30.86 | - 0.16 | 0.23 | [12]

Report Investment Rating - No investment rating information provided Core View - The report suggests paying attention to the central bank's policy attitude. New long positions can be established on dips, and mid - term bottom positions should continue to be held [1][3] Summary by Related Catalogs 1. Disk Review - On Wednesday, all varieties of treasury bond futures weakened across the board, with the decline intensifying in the afternoon, and TL having the largest decline. The funding situation was loose, with DR001 around 1.31%. Open - market reverse repurchase was 21.33 billion yuan, with a net withdrawal of 9.72 billion yuan [1] 2. Important Information - Six departments issued an implementation plan to enhance the adaptability of consumer goods supply and demand and further promote consumption. The US PPI in September increased by 2.6% year - on - year, with an expected increase of 2.7% [2] 3. Market Judgment - The early - morning rebound of A - shares on this day had a certain suppressing effect on the bond market, but the afternoon decline of A - shares did not benefit the bond market. Rumors of the upcoming implementation of the new public - fund fee regulations, with redemption fees still applicable for institutional redemptions within 6 months and even rumors of large - scale redemptions of some funds, led to the intensified decline of the bond market in the afternoon. If the new regulations are implemented, the negative impact will be exhausted. After the futures market closed, the yield of spot bonds dropped significantly, indicating that there were buyers when the yield rose to a certain level. The T contract has filled the lower gap [3] 4. Treasury Bond Futures Daily Data - For TS2603, the price on November 26, 2025, was 102.382, down 0.04 from the previous day, and the contract position decreased by 1156 hands. For TF2603, the price was 105.785, down 0.185, and the contract position decreased by 1621 hands. For T2603, the price was 107.955, down 0.285, and the contract position decreased by 16292 hands. For TL2603, the price was 114.43, down 0.85, and the contract position increased by 4449 hands. Regarding the basis, the TS basis (CTD) decreased by 0.0033, the TF basis (CTD) decreased by 0.1056, the T basis (CTD) decreased by 0.1013, and the TL basis (CTD) increased by 0.1255. In terms of trading volume, the TS main - contract trading volume increased by 2913 hands, the TF main - contract trading volume decreased by 4983 hands, the T main - contract trading volume decreased by 5363 hands, and the TL main - contract trading volume increased by 15730 hands [4]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - The report suggests paying attention to the central bank's policy stance, maintaining the view that there is still room for growth in the medium term, and advises to continue holding medium - term long positions [1][3]. 3. Summary by Related Sections 3.1. Disk Review - On Monday, bond futures rose in the morning session and fluctuated in the afternoon, with all varieties closing higher. The funding situation was loose, with DR001 around 1.32% on Friday. There were 338.7 billion yuan in open - market reverse repurchases and a 200 - billion - yuan treasury cash fixed - deposit tender, resulting in a net injection of 255.7 billion yuan [1]. 3.2. Important News - Five out of the 12 Fed officials with voting rights this year have indicated a preference to keep interest rates unchanged next month [2]. - Trump advisor Hassett said that the new Fed leadership may cut interest rates and that the appointment of the Fed chair may be decided around the new year [2]. - Japan announced the deployment of missiles in a sensitive area, only 110 kilometers from Taiwan, China [2]. 3.3. Market Outlook - The A - share market rebounded on low volume today, hardly affecting the bond market. Geopolitical tensions seem to have intensified, but it is not the main influencing factor for the bond market at present. There is no obvious short - term market driver. This week, attention should be paid to whether MLF roll - overs and PMI data will provide trading impetus [3]. 3.4. Daily Treasury Futures Data | Contract | 2025 - 11 - 24 | 2025 - 11 - 21 | Today's Change | | --- | --- | --- | --- | | TS2512 | 102.416 | 102.448 | - 0.032 | | TF2512 | 105.885 | 105.855 | 0.03 | | T2512 | 108.47 | 108.44 | 0.03 | | TL2512 | 115.72 | 115.59 | 0.13 | | TS Basis (CTD) | 0.0034 | - 0.0063 | 0.0097 | | TF Basis (CTD) | 0.02 | 0.0033 | 0.0167 | | T Basis (CTD) | 0.0793 | 0.0802 | - 0.0009 | | TL Basis (CTD) | 0.1394 | 0.1601 | - 0.0207 | | TS Contract Position (Lots) | 71,468 | 73,816 | - 2,348 | | TF Contract Position (Lots) | 160,107 | 153,244 | 6,863 | | T Contract Position (Lots) | 284,471 | 279,585 | 4,886 | | TL Contract Position (Lots) | 175,392 | 176,275 | - 883 | | TS Main Contract Trading Volume (Lots) | 35,982 | 29,272 | 6,710 | | TF Main Contract Trading Volume (Lots) | 46,495 | 64,448 | - 17,953 | | T Main Contract Trading Volume (Lots) | 79,246 | 103,001 | - 23,755 | | TL Main Contract Trading Volume (Lots) | 64,907 | 97,822 | - 32,915 | [4]

Report Summary 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View - The report suggests paying attention to the central bank's policy attitude. In the short - term, there is a lack of bullish drivers in the market, and under weak sentiment, there is a possibility that the TL contract will continue to decline. However, the medium - term fundamentals still provide support, and interest rates need to remain low, so medium - term long positions can still be held [1][3]. 3. Summary by Relevant Content Market Conditions - On Friday, Treasury bond futures opened higher but trended lower in the morning and fluctuated in the afternoon, with most varieties closing down, and the TL contract having the largest decline. The funding situation was loose, with DR001 falling to around 1.32%. The open - market reverse repurchase was 375 billion yuan, with a net injection of 162.2 billion yuan [1]. - Affected by the US stock market, the A - share market opened and closed lower and declined significantly today, but the bond market did not benefit. The T, TF, and TS contracts generally remained in a volatile state, while the TL contract has shown obvious declines in recent days, indicating weak trading sentiment [3]. Important Information - In the US, the non - farm payrolls added 119,000 jobs in September, far exceeding expectations, but the employment figures for the previous two months were significantly revised down by 33,000. The unemployment rate unexpectedly rose to 4.4%, reaching a four - year high. - The positive performance of NVIDIA's earnings was short - lived. The US stock market tumbled during the session, with the S&P 500 falling more than 3% from its daily high, experiencing the largest intraday reversal since the tariff storm in April. NVIDIA rose more than 5% during the session but closed down more than 3% [2]. Data | Contract | 2025 - 11 - 21 Price | 2025 - 11 - 20 Price | Price Change | 2025 - 11 - 21 Position | 2025 - 11 - 20 Position | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.448 | 102.458 | - 0.01 | 73,816 | 77,399 | - 3,583 | | TF2512 | 105.855 | 105.915 | - 0.06 | 153,244 | 155,300 | - 2,056 | | T2512 | 108.44 | 108.475 | - 0.035 | 279,585 | 280,931 | - 1,346 | | TL2512 | 115.59 | 115.93 | - 0.34 | 176,275 | 181,999 | - 5,724 | | TS Basis (CTD) | - 0.0063 | - 0.012 | 0.0057 | | | | | TF Basis (CTD) | 0.0033 | 0.0154 | - 0.0121 | | | | | T Basis (CTD) | 0.0802 | 0.0709 | 0.0093 | | | | | TL Basis (CTD) | 0.1601 | 0.1356 | 0.0245 | | | | | TS Main Contract Trading Volume | 29,272 | 38,948 | - 9,676 | | | | | TF Main Contract Trading Volume | 64,448 | 71,725 | - 7,277 | | | | | T Main Contract Trading Volume | 103,001 | 81,803 | 21,198 | | | | | TL Main Contract Trading Volume | 97,822 | 94,348 | 3,474 | | | | [4]

国债期货日报 2025/11/20 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 观点：关注央行政策态度 盘面点评： 周四期债早盘冲高回落，午后有所回升，但TL回升乏力。T、TF收涨，TL收跌，TS接近平盘。资金面恢复宽 松，DR001回落至1.36%附近。公开市场逆回购3000亿，净回笼100亿。 重要资讯： 1.一年期和五年期贷款市场报价利率（LPR）分别维持在3%和3.5%不变。 2.消息称住建部等多部门正在衡量一系列选项，包括首次在全国范围内对新增个人住房贷款提供贴息。其他正 在酝酿的措施还包括提高房贷借款人的个人所得税专项扣除，以及进一步降低住房交易契税等。 行情研判： 今日 A股高开低走，债市几乎未受影响。日内影响债市的主要是有关房地产政策的传言，导致早盘债市回 落，超长债受影响更为明显。三季度以来房地产市场再度转弱，我们认为传言并非空穴来风，相信各项政策 正在酝酿之中，未来将择机推出。对市场的影响主要在于短期情绪，即便政策未来推出也难以扭转房地产市 场的基本面，对债市的利空有限，利率中长期仍需保持低位。操作上，中期多单继续持有。 国债期货日度数据 | ...

国债期货日报 2025/11/19 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 观点：关注央行政策操作 盘面点评： 周三期债低开后快速下探，此后低位震荡，品种全线收跌。资金面缓解，DR001在回落至1.42%附近。公开 市场逆回购3105亿，净投放1150亿。 重要资讯： 1.财政部5年、7年国债加权中标收益率分别为1.5610%、1.6720%，边际中标收益率分别为1.5907%、 1.6985%，全场倍数分别为3.95、4.86。 2.贝森特：特朗普将在圣诞节前决定美联储新主席人选。 3.日媒：中国已向日本通报暂停进口日本水产品。 行情研判： 今日 A股反弹，债市受到一定影响。资金面边际转松，一级市场国债加权中标利率明显低于二级市场，发行 情况不错，但二级市场不为所动。目前股市、资金面、新债发行均不是影响市场的关键因素，短期市场缺乏 有力驱动。在货币政策缺乏信号的情况下，短期市场难以打破震荡格局，中期在基本面支持下仍有一定上涨 空间。操作上，中期多单继续持有。 | | 2025-11-19 | 2025-11-18 | 今日涨跌 | | 2025-11-19 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - Pay attention to the central bank's policy operations. In the short - term, the market is expected to remain volatile, while in the medium - term, there is still room for an upward trend supported by the fundamentals. Mid - term long positions should be held, and short - term long positions at low levels can be closed at high prices [1][3] 3. Summary by Related Catalogs 3.1. Disk Review - On Tuesday, bond futures continued the volatile pattern, with all varieties closing higher. The capital market remained tight, with DR001 around 1.53%. The open - market reverse repurchase was 407.5 billion yuan, with a net investment of 370 million yuan [1] 3.2. Important Information - Trump's chief economic advisor Hassett stated that AI's productivity improvement might lead to a "quiet period" in the job market, and the Fed should be truly "data - driven". The Fed governor Waller, a potential candidate for the Fed chair, supports a rate cut in December, while Fed Vice - Chair Jefferson emphasizes a cautious and slow - paced policy [2] 3.3. Market Analysis - The A - share market continued to weaken with a large adjustment amplitude today, but the bond market benefited little. Affected by the tax period, the capital market remained tight. With a lack of clear signals from monetary policy and light news, the market still lacks a strong driving force [3] 3.4. Trading Data - **Contract Prices and Changes**: TS2512 closed at 102.49, up 0.012 from the previous day; TF2512 at 105.91, up 0.02; T2512 at 108.495, up 0.03; TL2512 at 116.57, up 0.11 [6] - **Contract Positions and Changes**: TS contract positions increased by 925 to 83,687 hands; TF contract positions decreased by 1,178 to 158,973 hands; T contract positions decreased by 164 to 285,339 hands; TL contract positions increased by 563 to 185,923 hands [6] - **Contract Transactions and Changes**: TS main contract transactions increased by 2,388 to 34,723 hands; TF main contract transactions increased by 3,133 to 51,916 hands; T main contract transactions increased by 1,244 to 63,673 hands; TL main contract transactions increased by 1,158 to 89,428 hands [6] - **Basis and Changes**: TS basis (CTD) decreased by 0.0276 to - 0.0256; TF basis (CTD) decreased by 0.0266 to - 0.014; T basis (CTD) decreased by 0.0317 to 0.081; TL basis (CTD) decreased by 0.0414 to 0.0942 [6]

Report Investment Rating - No investment rating information provided Core View - The report suggests paying attention to central bank policy operations. Although the policy has room for further easing, the market is likely to remain volatile until the central bank sends new signals. It is recommended to hold medium - term long positions [1][3] Summary by Relevant Catalogs 1. Market Review - On Wednesday, Treasury bond futures continued to fluctuate. Long - term bonds rose in the morning but fell in the afternoon, with all varieties slightly up. The funding situation eased, with DR001 dropping to 1.42%. There were 195.5 billion yuan in open - market reverse repurchases, resulting in a net injection of 130 billion yuan [1] 2. Important Information - The third - quarter monetary policy implementation report states that a moderately loose monetary policy will be implemented to maintain reasonable growth of financial aggregates and conduct counter - cyclical and cross - cyclical adjustments [2] 3. Market Analysis - Today, the funding situation eased, but the bond market remained volatile. The morning rise was partly driven by the decline in the A - share market, but the momentum did not last. The central bank's report indicates a suitable monetary and financial environment, so liquidity is not a concern. However, the importance of maintaining a reasonable interest - rate ratio is emphasized, meaning that the market interest rate outpacing the policy rate and excessive compression of the long - short spread are not desired by regulators [3] 4. Data Table - **Contract Price Changes**: TS2512 rose 0.014 to 102.474, TF2512 rose 0.03 to 105.965, T2512 rose 0.025 to 108.52, and TL2512 rose 0.09 to 116.43 [4] - **Contract Position Changes**: TS contract positions decreased by 157 to 85,109, TF contract positions increased by 1,139 to 167,869, T contract positions increased by 2,700 to 291,371, and TL contract positions decreased by 568 to 183,158 [4] - **Base Spread Changes**: TS base spread (CTD) increased by 0.0058 to - 0.0153, TF base spread (CTD) increased by 0.0057 to - 0.0178, T base spread (CTD) increased by 0.0464 to 0.0666, and TL base spread (CTD) increased by 0.0684 to 0.187 [4] - **Trading Volume Changes**: TS main contract trading volume decreased by 8,335 to 20,087, TF main contract trading volume decreased by 8,173 to 40,159, T main contract trading volume increased by 3,414 to 55,607, and TL main contract trading volume increased by 14,105 to 87,575 [4]

Report Summary 1) Report Industry Investment Rating No information provided. 2) Core View - The report suggests paying attention to central bank policy operations, and recommends holding medium - term long positions [1][2]. 3) Summary by Relevant Content Market Performance - On Tuesday, bond futures opened higher, rose in the morning, then declined, and maintained a narrow - range oscillation in the afternoon. Only TS slightly declined, while the rest slightly rose [1]. - The money market remained tight, with DR001 rising to 1.51%. The open - market reverse repurchase was 403.8 billion yuan, with a net injection of 286.3 billion yuan [1]. Important News - The State Council General Office issued "Several Measures to Further Promote Private Investment". - The National Development and Reform Commission held a symposium for private enterprises, stating that it would create better development conditions for business entities [2]. Market Judgment - Today's news was light. The A - share market closed lower, and the bond market did not benefit significantly. - The money market remained tight. Despite increased open - market injections, money market rates continued to rise. The short - end yields of cash bonds rose slightly, while the medium - and long - end were less affected. - The market is not worried about liquidity but lacks trading hotspots. It is difficult to change the oscillation pattern in the short term. Pay attention to monetary and credit data tomorrow [2]. Data Comparison | Contract | 2025 - 11 - 11 Price | 2025 - 11 - 10 Price | Today's Change | 2025 - 11 - 11 Position (Hand) | 2025 - 11 - 10 Position (Hand) | Today's Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.46 | 102.466 | - 0.006 | 85266 | 85232 | 34 | | TF2512 | 105.935 | 105.93 | 0.005 | 166730 | 172702 | - 5972 | | T2512 | 108.495 | 108.485 | 0.01 | 288671 | 291294 | - 2623 | | TL2512 | 116.34 | 116.3 | 0.04 | 183726 | 184847 | - 1121 | | TS Basis (CTD) | - 0.0211 | - 0.0267 | 0.0056 | TS Main Transaction (Hand) | 28422 | 24929 | 3493 | | TF Basis (CTD) | - 0.0235 | - 0.025 | 0.0015 | TF Main Transaction (Hand) | 48332 | 49109 | - 777 | | T Basis (CTD) | 0.0202 | 0.0205 | - 0.0003 | T Main Transaction (Hand) | 52193 | 58830 | - 6637 | | TL Basis (CTD) | 0.1186 | 0.1987 | - 0.0801 | TL Main Transaction (Hand) | 73470 | 96097 | - 22627 | [5]

Report Summary 1) Report Industry Investment Rating No relevant information provided. 2) Core View of the Report - The short - term bond market is in a consolidation phase, but the medium - term outlook remains optimistic. It is recommended to maintain a long - position strategy, continue to hold medium - term long positions, and those with empty positions should wait for a pullback to enter the market [3]. 3) Summary by Related Catalogs a. Market Review - On Wednesday, Treasury bond futures opened higher and closed lower, with most varieties ending in the red. The funding situation was loose, with DR001 around 1.32%. The open - market reverse repurchase was 6.55 billion, the repurchase was 70 billion, and the net injection was 20.78 billion [1]. b. Important Information - In October, 2.31 million new A - share accounts were opened, a 21% decrease from the previous month [2]. - The US Supreme Court will make a decision on Wednesday regarding Trump's tariffs, which depend on three justices appointed by Trump himself. US Treasury Secretary Bessent said he would go to the Supreme Court and emphasized the importance of tariffs [2]. c. Market Analysis - After the market closed yesterday, the central bank announced that it had net - bought 20 billion of Treasury bonds in October and would conduct a 70 - billion repurchase operation today. The bond market opened higher in the morning, showing an optimistic reaction to the news. However, the A - share market opened lower and closed higher, putting some pressure on the bond market. The decline in the number of new A - share accounts in October indicates that as the profit - making effect weakens, the inflow of funds has slowed down, and the stock market is no longer the main factor affecting the bond market [3]. d. Daily Data of Treasury Bond Futures | Contract | 2025 - 11 - 04 Price | 2025 - 11 - 03 Price | Price Change | 2025 - 11 - 04 Position | 2025 - 11 - 03 Position | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.494 | 102.51 | - 0.016 | 83306 | 83653 | - 347 | | TF2512 | 106.015 | 106.045 | - 0.03 | 179279 | 179924 | - 645 | | T2512 | 108.635 | 108.655 | - 0.02 | 290431 | 288156 | 2275 | | TL2512 | 116.52 | 116.48 | 0.04 | 178880 | 179765 | - 885 | | TS Basis (CTD) | - 0.0397 | - 0.0487 | 0.009 | 19329 | 24640 | - 5311 | | TF Basis (CTD) | - 0.0523 | - 0.0616 | 0.0093 | 50509 | 52682 | - 2173 | | T Basis (CTD) | 0.0019 | - 0.0002 | 0.0021 | 66835 | 65902 | 933 | | TL Basis (CTD) | 0.2246 | - 0.0061 | 0.2307 | 86971 | 98827 | - 11856 | [4]