SEALAND SECURITIES(SZ:000750) Guohai Securities·2025-11-23 11:01Report Summary 1. Report Industry Investment Rating No industry investment rating was provided in the report. 2. Core View of the Report The bond market was volatile this week. In a sideways environment, the spread changes of individual bonds are more worthy of attention. The liquidity of the 25 Attached Interest 02 bond in the 30Y Treasury bonds increased significantly this week, once exceeding that of the 25 Special 02 bond. The report focuses on three questions: why the liquidity of the Attached Interest 02 bond improved significantly, which bond might become the active bond in the future, and what the current operation suggestions are [5][11]. 3. Summary According to the Table of Contents 3.1 This Week's Bond Market Review - The bond market was volatile this week. The liquidity of the 25 Attached Interest 02 bond in the 30Y Treasury bonds increased significantly, once exceeding that of the 25 Special 02 bond [5][11]. - The reasons for the significant improvement in the liquidity of the Attached Interest 02 bond may be twofold. Firstly, there is speculation that the next issuance scale will exceed expectations. According to the Ministry of Finance's issuance plan, the ordinary Treasury bonds will be re - issued on December 5, and the issuance scale will be known about one week in advance. The previous issuance scale of the Attached Interest 02 bond was 27 billion yuan, and the market is speculating that the issuance scale of the last issue of the Attached Interest 02 bond this year may exceed expectations, so the liquidity will improve. Historically, the issuance scale of the last issue of the 230023 bond was about twice that of the previous issue. Secondly, the market is speculating that the year - end issuance plan includes the Attached Interest 02 bond. Historically, special Treasury bonds have never been issued across years, but ordinary Treasury bonds have. As the end of the year is the final time point, as long as the expectation remains, the price may fluctuate repeatedly [5][11]. - Regarding which bond may become the active bond in the future, without considering other market sentiment disturbances, there are two time points worthy of attention: the disclosure time of the issuance scale of the Attached Interest 02 bond (around the end of November) and the year - end issuance plan of the Ministry of Finance. For the upcoming second re - issuance, if the issuance scale of the Attached Interest 02 bond exceeds expectations, its status as an active bond will be consolidated; if it is still small or fails to meet expectations, the Special 06 bond will continue to be the active bond, but the Attached Interest 02 bond may have an "active bond expectation" again by the end of the year. For the year - end issuance plan, if it is a re - issuance of the Attached Interest 02 bond, it may strengthen; if it is a new code, the pattern of active and sub - active bonds may not change significantly after the end of the year [5][12]. - For current operations, if choosing band trading, avoid 30 - year varieties; if choosing to allocate 30 - year varieties, both the Attached Interest 02 and Special 06 bonds can be held to hedge against possible spread fluctuations; if only adding a single bond in the short term, pay attention to the disturbances caused by the subsequent re - issuance scale of the Attached Interest 02 bond and trade in a timely manner [6][13][14]. 3.2 Bond Yield Curve Tracking - Key Maturity Interest Rates and Spread Changes: As of November 21, compared with November 17, the 1Y Treasury bond yield decreased by 0.56bp to 1.40%; the 10Y Treasury bond yield increased by 0.57bp to 1.82%; the 30Y Treasury bond yield increased by 1.85bp to 2.16%. The spread between the 30Y and 10Y Treasury bonds increased by 1.28bp to 34.10bp, and the spread between the 10Y CDB bond and 10Y Treasury bond increased by 0.28bp to 12.49bp [15]. - Treasury Bond Maturity Spread Changes: As of November 21, compared with November 17, the 3Y - 1Y Treasury bond spread increased by 0.23bp to 3.40bp, the 5Y - 3Y Treasury bond spread increased by 0.94bp to 15.59bp, the 7Y - 5Y Treasury bond spread decreased by 0.85bp to 11.46bp, the 10Y - 7Y Treasury bond spread increased by 0.81bp to 11.13bp, the 20Y - 10Y Treasury bond spread increased by 2.09bp to 34.09bp, and the 30Y - 20Y Treasury bond spread decreased by 0.81bp to 0.01bp [16]. 3.3 Bond Market Leverage and Funding Situation - Balance of Inter - bank Pledged Repurchase: As of November 21, compared with November 17, the balance of inter - bank pledged repurchase increased by 0.44 trillion yuan to 11.50 trillion yuan [19]. - Change in Inter - bank Bond Market Leverage Ratio: As of November 21, compared with November 17, the inter - bank bond market leverage ratio increased by 0.27pct to 106.89% [22]. - Pledged Repurchase Turnover: From November 17 to November 21, the average daily turnover of pledged repurchase was 7.29 trillion yuan, and the average overnight turnover was about 6.48 trillion yuan, with an average overnight turnover ratio of 88.86% [23][24]. - Inter - bank Funding Operation Situation: From November 17 to November 21, bank funds for lending continued to rise. As of November 21, the net lending of large state - owned banks and policy banks was 4.09 trillion yuan, the net borrowing of joint - stock banks and urban and rural commercial banks was 0.22 trillion yuan, and the net lending of the banking system was 3.88 trillion yuan. The daily lending amount of banks first decreased and then increased. As of November 21, the daily lending amount of large state - owned banks and policy banks was 3.66 trillion yuan, and that of small and medium - sized banks was 0.32 trillion yuan. In terms of funding rates, as of November 21, DR001 was 1.3209%, DR007 was 1.4408%, R001 was 1.3877%, and R007 was 1.4952% [27]. 3.4 Duration of Medium - and Long - Term Bond Funds - Median Duration of Bond Funds: As of November 21, the median duration of medium - and long - term bond funds (de - leveraged) was 2.76 years, an increase of 0.02 years compared with November 17; the median duration (including leverage) was 3.00 years, an increase of 0.06 years compared with November 17 [36]. - Median Duration of Interest - Rate Bond Funds: As of November 21, the median duration of interest - rate bond funds (including leverage) was 3.89 years, an increase of 0.01 years compared with November 17; the median duration of credit bond funds (including leverage) was 2.76 years, an increase of 0.06 years compared with November 17. The median duration of interest - rate bond funds (de - leveraged) was 3.36 years, unchanged from November 17, and the median duration of credit bond funds (including leverage) was 2.57 years, an increase of 0.03 years compared with November 17 [39][41]. 3.5 Change in Bond Lending Balance As of November 20, compared with November 17, the borrowing volume of 10Y CDB bonds showed volatility [43].