Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The economic growth rate in October continued the slowdown trend in the third quarter, with some economic indicators significantly affected by the external environment. The inflation level rebounded slightly, but its sustainability remains to be observed. It is expected that the economy will continue a weak recovery in the fourth quarter, supporting the bond market. - The central bank will maintain a moderately loose policy tone, with structural tools being the main means of policy implementation in the next stage. The scope for further monetary easing this year is limited. - The bond market currently maintains a volatile pattern with a ceiling and a floor, awaiting directional guidance from uncertain factors such as new fund regulations and the central bank's treasury bond trading volume. [2] 3. Summary by Related Catalogs 3.1 Futures Market Data - **Futures Closing Prices and Volume**: T主力收盘价108.220，较前一日下跌0.08%，成交量减少17030；TF主力收盘价105.980，持平，成交量减少9985；TS主力收盘价102.422，上涨0.01%，成交量减少12243；TL主力收盘价115.160，下跌0.33%，成交量减少19784。[2] - **Futures Spreads**: Multiple spreads showed changes, such as the TL2512 - 2603 spread decreasing by 0.02 to 0.16, and the T12 - TL12 spread increasing by 0.30 to -6.96. [2] - **Futures Positions**: Most of the major contract positions decreased, while the net short positions of some contracts changed. For example, the T主力持仓量 decreased by 28531 to 40332. [2] 3.2 CTD and Bond Yields - **CTD Net Prices**: The net prices of most CTD bonds decreased, except for 250017.IB and 220022.IB which increased slightly. [2] - **Bond Yields**: The yields of 1 - 5 and 10 - year active bonds mostly increased, while the 7 - year bond yield decreased by 0.40bp. [2] 3.3 Interest Rates - **Short - term Interest Rates**: The silver - pledged overnight rate increased by 0.09bp to 1.3009%, while the Shibor 7 - day rate decreased by 1.40bp to 1.4330%. [2] - **LPR Rates**: The 1 - year and 5 - year LPR rates remained unchanged. [2] 3.4 Open Market Operations - The central bank conducted a 1 - trillion - yuan MLF operation on November 25. With 900 billion yuan of MLF maturing in November, the net MLF injection was 100 billion yuan, marking the ninth consecutive month of increased roll - overs. [2] 3.5 Industry News - An official press conference on consumer - related policies will be held on November 27. - China's full - industry outward direct investment in the first three quarters of this year was 923.68 billion yuan, a year - on - year increase of 4.4%. - The central bank carried out a 1 - trillion - yuan MLF operation on November 25, showing a moderately loose monetary policy orientation. [2] 3.6 Market Performance and Economic Situation - On Tuesday, most of the yields of treasury bond cash bonds weakened, and the treasury bond futures showed a pattern of short - term strength and medium - to - long - term weakness. - Domestically, economic indicators in October showed a slowdown, with weak loan demand, a decline in export growth, and a slowdown in deposit activation. - Overseas, the US labor data showed contradictions, and the market's expectation of a Fed rate cut in December is rising. [2]

Economic Fundamentals - Economic growth reflected by GDP growth rate influences currency demand and exchange rates, with stable growth attracting international capital and pushing exchange rates up, while slow growth or recession exerts depreciation pressure [1] - Inflation rates affect purchasing power; higher inflation compared to other countries leads to decreased confidence in the currency, resulting in downward pressure on exchange rates [1] - Interest rates are closely linked to exchange rates; higher interest rates attract capital inflow, increasing currency demand and supporting exchange rate appreciation, while lower rates can lead to capital outflow and suppress exchange rate performance [1] Monetary Policy - Central banks use monetary policy as a tool to regulate exchange rates, with the direction and intensity of policy having a direct impact [1] - The revised Foreign Exchange Management Regulations in 2025 enhance the macro-prudential management system, allowing the central bank to stabilize exchange rates through foreign exchange reserves and market operations [1] - Tight monetary policy can enhance currency attractiveness and promote appreciation, while loose policy increases money supply and lowers interest rates, leading to depreciation expectations [1] International Balance of Payments - The balance of payments, particularly the current account, reflects a country's external economic balance; a persistent surplus indicates higher demand for the currency, leading to a strong exchange rate, while a deficit exerts depreciation pressure [2] - Capital and financial accounts show cross-border capital flows; sustained net inflows increase demand for the currency, supporting exchange rate strength, while outflows create pressure [2] Geopolitical Factors - Geopolitical stability is crucial for attracting international capital; political turmoil or increased policy uncertainty can lead to capital outflow and currency depreciation [2] - Sudden events like geopolitical conflicts or natural disasters can trigger market risk aversion, causing investors to shift to traditional safe-haven currencies, leading to short-term appreciation of those currencies and depreciation of affected currencies [2] Market Sentiment and Speculation - Market sentiment and speculative behavior significantly influence short-term exchange rate fluctuations; expectations of currency appreciation can lead to buying pressure, while depreciation expectations can trigger sell-offs [2] - Large-scale speculative trading can amplify short-term volatility, especially in high liquidity conditions [2]

Report Summary 1. Report Industry Investment Rating - No information provided about the industry investment rating in the report. 2. Core View of the Report - In October, multiple domestic economic indicators weakened, indicating significant downward pressure on the economy, which suppresses the stock market. The continuous unchanged LPR for six months reflects a prudent monetary policy, with a low possibility of significant reserve - requirement ratio cuts and interest rate cuts this year. Although the phone call between the Chinese and US presidents on the 24th boosted short - term market risk appetite, in the current environment of multiple vacuums in macro data, performance, and policies, it cannot provide continuous upward momentum, and the stock index will maintain a volatile trend [2]. 3. Summary Based on Relevant Catalogs 3.1 Futures Market Data - **Contract Prices**: IF, IH, IC, and IM main and secondary main contracts all increased. For example, the IF main contract (2512) rose to 4473.0, up 29.4; the IH main contract (2512) rose to 2959.2, up 10.4; the IC main contract (2512) rose to 6900.0, up 58.0; the IM main contract (2512) rose to 7172.0, up 60.4 [2]. - **Price Spreads**: Various price spreads such as IF - IH, IC - IF, etc. changed. For instance, the IF - IH current - month contract spread increased to 1513.8, up 23.0; the IC - IF current - month contract spread increased to 2427.0, up 34.6 [2]. - **Seasonal - to - Current Month Differences**: Some seasonal - to - current month differences changed. For example, IF when - season - to - current increased to - 29.0, up 0.2; IH when - season - to - current decreased to - 5.2, down 2.2 [2]. - **Net Positions of Top 20**: The net positions of the top 20 in different contracts changed. For example, the IF top 20 net position increased to - 24,028.00, up 329.0; the IH top 20 net position decreased to - 10,694.00, down 174.0 [2]. - **Basis**: The basis of main contracts decreased. For example, the IF main contract basis decreased to - 17.4, down 4.6; the IH main contract basis decreased to - 9.0, down 2.8 [2]. 3.2 Spot Market Data - **Stock Indexes**: The Shanghai Composite Index rose 0.87%, the Shenzhen Component Index rose 1.53%, and the ChiNext Index rose 1.77%. The Shanghai and Shenzhen stock market turnover increased slightly, and nearly 4300 stocks rose. The communication and media sectors strengthened significantly, while the national defense and military industry and transportation sectors declined [2]. - **Economic Indicators**: In October, domestic imports and exports, fixed - asset investment, social retail sales, and industrial added value of large - scale industries all declined significantly compared to the previous values. The fixed - asset investment declined for 7 consecutive months, and social retail sales declined for 5 consecutive months. The real estate market continued to decline. In terms of financial data, the decline of M1 growth rate was greater than that of M2, and the M1 - M2 scissors - difference ended the 5 - month upward trend. The 11 - month LPR remained unchanged for the 6th consecutive month [2]. 3.3 Industry News - On the evening of November 24, Chinese President Xi Jinping had a phone call with US President Trump. Trump said he would visit China in April next year, which boosted short - term market risk appetite [2]. 3.4 Key Events to Watch - November 25, 21:30: US September PPI, core PPI, retail sales - November 26, 21:30: US initial jobless claims for the week ending November 22 - November 26, 23:00: US October PCE, core PCE - November 27, 9:30: China's October industrial enterprise profits above designated size - November 30, 9:30: China's November manufacturing, non - manufacturing, and composite PMI [3]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The Shanghai copper main contract rebounded slightly, with increased positions, spot premium, and weakened basis. The copper concentrate spot TC index remains at a low negative level, and the raw material supply is still tight. The supply of refined copper may converge, and downstream demand is temporarily weak. The option market sentiment is bullish, and the implied volatility has slightly decreased. Technically, the 60 - minute MACD shows the double - line above the 0 - axis with a slightly converging red column. It is recommended to conduct light - position short - term long trades at low prices, paying attention to controlling the rhythm and trading risks [2] Summary by Related Catalogs Futures Market - The closing price of the Shanghai copper futures main contract is 86,600 yuan/ton, up 520 yuan; the LME 3 - month copper price is 10,861 dollars/ton, up 88 dollars. The main contract's inter - month spread is 0 yuan/ton, up 20 yuan; the position of the main contract of Shanghai copper is 199,582 lots, up 7,190 lots. The top 20 positions in Shanghai copper futures are - 27,472 lots, down 5,300 lots. The LME copper inventory is 155,025 tons, down 2,900 tons; the SHFE cathode copper inventory is 110,603 tons, up 1,196 tons; the SHFE cathode copper warrant is 43,816 tons, down 2,856 tons [2] 现货市场 - The SMM 1 copper spot price is 86,610 yuan/ton, up 375 yuan; the Yangtze River Non - ferrous Market 1 copper spot price is 86,595 yuan/ton, up 320 yuan. The Shanghai electrolytic copper CIF (bill of lading) price is 50.5 dollars/ton, unchanged; the Yangshan copper average premium is 31.5 dollars/ton, down 3.5 dollars. The CU main contract basis is 10 yuan/ton, down 145 yuan; the LME copper premium (0 - 3) is 24.88 dollars/ton, up 23.82 dollars. The monthly import volume of copper ore and concentrates is 245.15 million tons, down 13.56 million tons; the weekly TC of domestic copper smelters is - 42.32 dollars/kiloton, down 0.11 dollars/kiloton [2] Upstream Situation - The copper concentrate price in Jiangxi is 76,510 yuan/metal ton, up 330 yuan; in Yunnan, it is 77,210 yuan/metal ton, up 330 yuan. The weekly processing fee for crude copper in the south is 1,300 yuan/ton, unchanged; in the north, it is 900 yuan/ton, unchanged. The monthly output of refined copper is 1.204 million tons, down 62,000 tons; the monthly import volume of unwrought copper and copper products is 440,000 tons, down 50,000 tons [2] Industry Situation - The weekly social inventory of copper is 418,200 tons, up 4,300 tons. The price of 1 bright copper wire scrap in Shanghai is 58,990 yuan/ton, up 300 yuan; the price of 2 copper scrap (94 - 96%) in Shanghai is 72,800 yuan/ton, up 350 yuan. The ex - factory price of 98% sulfuric acid of Jiangxi Copper is 870 yuan/ton, unchanged [2] 下游及应用 - The monthly output of copper products is 2.004 million tons, down 228,000 tons. The cumulative monthly grid infrastructure investment is 482.4 billion yuan, up 44.593 billion yuan. The cumulative monthly real estate development investment is 7,356.27 billion yuan, up 585.699 billion yuan. The monthly output of integrated circuits is 4,177 million pieces, down 194,236.1 pieces [2] Option Situation - The 20 - day historical volatility of Shanghai copper is 13.57%, down 0.86%; the 40 - day historical volatility is 19.42%, up 0.03%. The current month's at - the - money IV implied volatility is 12.14%, down 0.0053%; the at - the - money option purchase - to - put ratio is 1.18, down 0.0271 [2] Industry News - Fed Governor Waller advocates a rate cut in December due to the weak labor market; San Francisco Fed President Daly supports a rate cut next month. As of the end of October, the national cumulative power generation installed capacity is 3.75 billion kilowatts, with solar and wind power growing significantly. The Ministry of Industry and Information Technology initiates the creation of national emerging industry development demonstration bases. In the first three quarters, China's full - industry outward direct investment increased by 4.4%. The central bank will conduct 1 trillion yuan of MLF operations on November 25, with a net investment of 100 billion yuan [2]

Core Viewpoint - The Federal Reserve's 2025 voting committee shows a split in opinions regarding interest rate cuts, with 5 members favoring gradual reductions and 6 advocating for caution due to concerns about inflation control. Group 1: Support for Rate Cuts (5 Votes) - New York Fed President Williams indicates that the Fed may consider a rate cut "soon" without jeopardizing inflation targets [2] - Fed Governor Waller believes a December rate cut is appropriate, but January's actions are more uncertain [2] - Fed Governor Milan expresses support for a small rate cut in December if his vote is decisive, having previously advocated for a 50 basis point cut in the last two meetings [2] - Fed Governors Bowman and Cook did not express a stance in November but lean towards a rate cut [2] Group 2: Caution Against Rate Cuts (6 Votes) - Fed Vice Chair Jefferson emphasizes the need for caution as rates approach neutral levels [3] - St. Louis Fed President Musalem notes limited room for easing and the need for careful action [3] - Kansas City Fed President Schmidt warns that further rate cuts could have lasting impacts on inflation, opposing cuts in the October meeting [3] - Boston Fed President Collins is skeptical about a December rate cut, asserting that current monetary policy is appropriate [3] - Chicago Fed President Goolsbee cautions against premature rate cuts, suggesting that while rates may decline, the current period must be navigated carefully [3] Group 3: Non-2025 Voting Members - San Francisco Fed President Daly supports a December rate cut, citing deteriorating labor market conditions [5] - Dallas Fed President Logan finds it difficult to support another December cut unless circumstances change [6] - Philadelphia Fed President Paulson advocates for a cautious approach to the December rate decision, stating that previous cuts have set higher thresholds for future reductions [6] - Cleveland Fed President Hamak emphasizes that rate cuts to support the labor market could lead to persistent inflation and encourages maintaining restrictive rates to curb inflation [6]

新华财经北京11月25日电（王菁）债市周二（11月25日）小幅走弱，国债期货全线收跌，银行间现券收 益率小幅回升0.5BP左右；公开市场单日净回笼1054亿元，多项扰动已过、资金利率多数回落。 机构认为，年内货币政策缺乏想象空间对债市形成压制，在此前修复行情过后，市场机构普遍做多信心 不足。亦有观点指出，债市情绪依然脆弱，在12月中央经济工作会议之前，债市行情或仍延续震荡。 【行情跟踪】 国债期货收盘多数下跌，30年期主力合约跌0.33%报115.16，10年期主力合约跌0.08%报108.22，5年期 主力合约持平于105.98，2年期主力合约涨0.01%报102.422。 银行间主要利率债收益率普遍上行，30年期国债"25超长特别国债06"收益率上行0.85BP报2.1685%，10 年期国开债"25国开15"收益率上行0.45BP报1.878%，10年期国债"25附息国债16"收益率上行0.45BP报 1.8175%。 中证转债指数收盘上涨0.22%，报485.08点，成交金额624.32亿元。欧通转债、振华转债、大中转债、 国城转债、利扬转债涨幅居前，分别涨9.35%、8.19%、7.85%、7.79 ...

Core Viewpoint - The People's Bank of China (PBOC) conducted a medium-term lending facility (MLF) operation of 1 trillion yuan, indicating a net injection of 100 billion yuan, marking the ninth consecutive month of increased MLF operations [1] Group 1: MLF Operation Details - The PBOC's MLF operation was conducted using a fixed quantity, interest rate bidding, and multiple price levels [1] - The operation has a term of one year, with 900 billion yuan of MLF maturing this month, resulting in a net injection of 100 billion yuan [1] Group 2: Reasons for Continued High Net Injection - The high net injection in November is attributed to three main factors: 1. The central government arranged for 500 billion yuan of local government debt to address existing debt and expand effective investment, leading to an increase in net financing of government bonds [1] 2. The completion of 500 billion yuan in new policy financial tools in October, which boosted entrusted loans and is expected to drive the rapid issuance of matching medium- and long-term loans [1] 3. A significant increase in the maturity volume of interbank certificates of deposit in November [1] Group 3: Implications for Monetary Policy - The PBOC's continued MLF operations signal a sustained supportive stance in monetary policy, which is expected to maintain ample liquidity in the banking system, support government bond issuance, and stabilize market expectations [1]

Group 1 - The China Convertible Bond and Exchangeable Bond Index (931078) increased by 0.18% as of November 25, 2025, with the Convertible Bond ETF (511380) rising by 0.16% to a latest price of 13.48 yuan. Over the past six months, the Convertible Bond ETF has accumulated a rise of 12.24% [2] - The trading volume of the Convertible Bond ETF was active, with an intraday turnover of 11.58% and a transaction value of 6.747 billion yuan. The average daily transaction value over the past week was 11.313 billion yuan [2] - The convertible bond market demonstrated strong defensive characteristics during the recent equity market correction, with the China Convertible Bond Index declining by 1.78%, outperforming major broad-based indices. The median premium rate for par value has increased, indicating a stabilization and recovery in valuations [2] - The People's Bank of China (PBOC) is set to conduct a 1 trillion yuan MLF operation on November 25, 2025, with a net injection of 100 billion yuan for the month, marking the ninth consecutive month of increased liquidity measures [2] Group 2 - A new payment tool called "targeted convertible bonds" is gaining attention in the market, particularly favored by technology innovation enterprises. This tool can balance the benefits and risks for both parties in mergers and acquisitions while optimizing transaction structure flexibility [3] - The overall bond market is experiencing a narrow fluctuation pattern, with weak sentiment in the equity market and a lack of clear trading themes in the bond market. However, the PBOC's unchanged stance is expected to quickly alleviate liquidity issues, presenting a buying opportunity for the market [3] - The latest scale of the Convertible Bond ETF reached 58.046 billion yuan, with a recent net outflow of 554 million yuan. Over the past five trading days, there were net inflows on four days, totaling 2.118 billion yuan, with an average daily net inflow of 424 million yuan [3] - The Convertible Bond ETF closely tracks the China Convertible Bond and Exchangeable Bond Index, which consists of convertible and exchangeable bonds listed on the Shanghai and Shenzhen stock exchanges, calculated using a market capitalization weighting method [3]

Report Industry Investment Rating - Gold: Cautiously bullish [9] - Silver: Cautiously bullish [9] - Arbitrage: Short the gold-silver ratio at high levels [10] - Options: On hold [10] Core Viewpoints - Multiple Fed officials have expressed a dovish monetary policy stance. Although there is still uncertainty about a December rate cut, short-term market expectations for monetary easing have improved. The gold price is expected to be in a slightly bullish range, and the silver price is expected to be slightly stronger than gold, with the gold-silver ratio expected to narrow [9]. Summary by Related Catalogs Market Analysis - In terms of the pace of rate cuts, Fed Governor Waller advocates a rate cut in December due to the weak labor market, and he believes that the delayed economic reports after the December meeting may make the January decision more difficult. San Francisco Fed President Daly supports a rate cut next month, believing that the sudden deterioration of the job market is more likely and harder to control than a sudden rise in inflation. Geopolitically, the US and Ukraine have completed a new 19-point peace agreement draft, but sensitive issues remain to be decided by Trump and Zelensky, and Russia believes the European peace plan is not constructive and does not serve its interests [2]. Futures Quotes and Volumes - On November 24, 2025, the Shanghai gold futures main contract opened at 933.98 yuan/gram and closed at 930.32 yuan/gram, a change of 0.36% from the previous trading day's close. The trading volume was 41,087 lots, and the open interest was 129,725 lots. In the night session, it opened at 935.60 yuan/gram and closed at 938.68 yuan/gram, up 0.90% from the afternoon close. The Shanghai silver futures main contract opened at 11,715.00 yuan/kg and closed at 11,808.00 yuan/kg, a change of 1.10% from the previous trading day's close. The trading volume was 1,574,854 lots, and the open interest was 347,468 lots. In the night session, it opened at 11,890 yuan/kg and closed at 11,975 yuan/kg, up 1.41% from the afternoon close [3]. US Treasury Yield and Spread Monitoring - On November 24, 2025, the US 10-year Treasury yield closed at 4.029%, up 0.19 BP from the previous trading day. The spread between the 10-year and 2-year Treasuries was 0.54%, up 0.77 BP from the previous trading day [4]. SHFE Gold and Silver Positions and Volume Changes - On November 24, 2025, in the Au2602 contract, the long positions changed by 3,016 lots compared to the previous day, and the short positions changed by 1,044 lots. The total trading volume of Shanghai gold contracts on the previous trading day was 472,495 lots, a change of 8.79% from the previous trading day. In the case of Shanghai silver, in the Ag2602 contract, the long positions changed by -2,997 lots, and the short positions changed by 138 lots. The total trading volume of silver contracts on the previous trading day was 2,108,210 lots, a change of 14.26% from the previous trading day [5]. Precious Metal ETF Position Tracking - For precious metal ETFs, the gold ETF holdings were 1,040.57 tons, unchanged from the previous trading day. The silver ETF holdings were 15,258 tons, an increase of 11 tons from the previous trading day [6]. Precious Metal Arbitrage Tracking - On November 24, 2025, the domestic gold premium was -10.56 yuan/gram, and the domestic silver premium was -1,173.15 yuan/kg. The ratio of the main contract prices of gold and silver on the SHFE was about 78.79, a change of 2.55% from the previous trading day, and the overseas gold-silver ratio was 82.48, a change of 3.24% from the previous trading day [7]. Fundamentals - On November 24, 2025, the trading volume of gold on the Shanghai Gold Exchange T+d market was 53,158 kg, a change of -2.82% from the previous trading day. The trading volume of silver was 724,146 kg, a change of 106.05% from the previous trading day. The gold delivery volume was 11,872 kg, and the silver delivery volume was 45,840 kg [8]. Strategy - Gold: The price is expected to be in a slightly bullish range, with the Au2602 contract oscillating between 915 yuan/gram and 955 yuan/gram [9]. - Silver: The price is expected to maintain a slightly bullish range, with the Ag2602 contract oscillating between 11,700 yuan/kg and 12,200 yuan/kg [10]. - Arbitrage: Short the gold-silver ratio at high levels [10] - Options: On hold [10]

2025年11月25日申万期货品种策略日报-国债 | | | | | 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） tanggh@sywgqh.com.cn 021-50586292 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | TS2512 | TS2603 | TF2512 | TF2603 | T2512 | T2603 | TL2512 | TL2603 | | | 昨日收盘价 | 102.460 | 102.418 | 105.890 | 105.995 | 108.505 | 108.335 | 115.76 | 115.58 | | | 前日收盘价 | 102.460 | 102.410 | 105.855 | 105.905 | 108.430 | 108.240 | 115.57 | 115.37 | | | 涨跌 | 0.000 | 0.008 | 0.035 | 0.090 | 0.075 | 0.095 | 0.190 | 0.2 ...