利率周记（6月第3周）：今年个券博弈的五个新规律

Report Overview - Report Title: Fixed Income Weekly Report - Five New Rules for Individual Bond Gaming This Year - Interest Rate Weekly (Week 3 of June) [1] - Report Date: June 17, 2025 [2] - Analysts: Chief Analyst Yan Ziqi, Research Assistant Hong Ziyan [2] Industry Investment Rating - No industry investment rating is provided in the report. Core Viewpoints - The bond market is volatile and emphasizes trading. Capital gains as a proportion of comprehensive income have significantly increased compared to previous years, highlighting the importance of bond market trading. Investors are increasingly focusing on the spread opportunities of individual bonds. Since April this year, the bond market has been in an overall volatile state, and investors are gradually paying more attention to the spread compression opportunities between individual bonds [2]. - Apart from the traditional spread change rules between new and old bonds, there are five new characteristics in individual bonds this year. Investors can seize the trading opportunities of individual bonds with corresponding maturities by combining the changes in bond lending volume [3][6]. Summary by Content New Characteristics of Individual Bond Spreads - Individual bond spreads are related to the funding situation: When the funding is tight, active bonds are more advantageous. In the first quarter, the funding situation was overall tight, and the bond market was in a negative carry state. The spread between the second - active bond and the active bond widened. For example, the spread between the second - active bond 230023 and the active bond 2400006 of the 30Y Treasury increased from 4 - 5bp to a high of 8 - 9bp [3]. - Enhanced learning effect on traditional new - old bond spreads: In the environment of a volatile and trading - focused bond market, the market's learning effect on the switching of active bonds has significantly increased, and the timing of active bond gaming has advanced. After the Ministry of Finance announces the new Treasury bond issuance plan and single - issuance scale, the market anticipates the code of the next active bond, and the interest rate of the new bond may decline rapidly before the actual switching of trading volume [4]. - Potential for the rise of second - active bonds during active bond switching: When the expectation of active bond switching occurs, the trading volume of the current active bond will decline. Incremental funds will flow to new bonds and second - active bonds. The inflow of new funds and short - covering can push down the interest rate of second - active bonds [4][5]. - Compression of the spread between second - active bonds and new bonds: During the transition period of active bond switching, after the short - term decline of second - active bonds, the spread between second - active bonds and new bonds will compress. The increase in the lending volume of second - active bonds reflects the strategy of shorting second - active bonds and going long on new bonds to narrow the spread [5]. - Potential for short - covering of second - active bonds with high short positions: When the lending volume of second - active bonds rises to a relatively high level, as time passes and new bonds are issued, short - sellers may switch their positions, and the high lending volume will prompt brokers to cover their short positions, resulting in an additional decline in the interest rate of second - active bonds [5]. Analyst and Research Assistant Introduction - Chief Analyst Yan Ziqi is the assistant director of the Research Institute of Hua'an Securities and the chief fixed - income analyst, with 8 years of experience in sell - side fixed - income and equity research [9]. - Research Assistant Hong Ziyan is a research assistant in Hua'an's fixed - income department, a master of financial engineering from the University of Southern California, covering macro - interest rates, institutional behavior, and Treasury bond futures research [9].