Core Viewpoint - The liquidity tools in 2025 will continue to be optimized, with a focus on stabilizing the funding environment, particularly around the end of March when the funding situation is expected to shift from tight to loose [3]. Group 1: Market Overview - In the primary market, the net financing scale of interest rate bonds is expected to grow by nearly 40% in 2025, with the largest contribution from government bonds, followed by local government bonds, and an earlier issuance rhythm [4]. - In the secondary market, the 10-year government bond yield is projected to fluctuate between 1.6% and 1.9%, exhibiting an M-shaped trend with alternating upward and downward movements throughout the year [4]. Group 2: 2026 Bond Market Outlook - The fundamental outlook for 2026 suggests a move towards "supply-demand balance," with expected improvements in consumption, infrastructure investment, and real estate investment growth compared to 2025 [5]. - On the policy front, fiscal policy is anticipated to remain proactive, with a budget deficit target of 4% and a special bond issuance scale of 1.5 trillion yuan, alongside a new special bond quota of 4.4 trillion yuan [5]. Group 3: Supply and Demand Dynamics - The supply side for interest rate bonds in 2026 is expected to be similar to 2025, with a net financing amount of approximately 14.3 trillion yuan, including 6.5 trillion yuan in government bonds and 5.5 trillion yuan in new local government bonds [6]. - Demand for bonds may be slightly weaker in 2026, with banks facing operational pressures and public funds focusing on stability in their liabilities [6]. Group 4: Economic and Policy Changes - Changes in the economic environment, policy adjustments, and overseas liquidity tightening are anticipated to exceed expectations [7].

财通证券认为，12 月财政支出增加而政府债发行减少对资金表现偏支持，但银行负债端扰动因素颇 多。其中，更加乐观的因素有：（1）由买断式逆回购和MLF组成的中长期流动性到期环比下降2000亿 元；（2）政府债发行进入尾声，政府债净融资大幅回落，12月政府债净融资或下降到5000亿元， 环比 11 月下降约7660亿元；（3）财政支出增加而政府债发行减少大月，对资金面有支持；（4）汇率压力 有所缓释，中央经济工作会议召开，叠加近期信用风险有所抬升，央行延续对于资金的呵护。其中扰动 更强的因素有：（1）12月缴税规模相较于11月或抬升2000亿元附近；（2）存单到期量环比抬升约8670 亿元，对银行负债端的扰动增强；（3）仍有高息定期存款到期，对负债端仍旧有影响；（4）季末月信 贷压力更大，信贷投放也对资金有影响。 华泰证券在研报中指出，跨月扰动已过，资金预计季节性净回笼，12月为税收小月、财政支出大月，叠 加政府债供给规模不高，预计资金面维持均衡偏松。 Wind数据显示，12月有3000亿元中期借贷便利（MLF）到期，同时将有4000亿元6个月期限和10000亿 元3个月期限的买断式逆回购到期。 在财政支出增加、 ...

- The report does not contain any specific quantitative models or factors for analysis[1][2][3] - The content primarily focuses on market trends, fund flows, and sector performance without detailing any quantitative model construction or factor analysis[4][5][6] - No quantitative backtesting results or specific factor performance metrics are provided in the report[7][8][9]

Group 1: Market Overview - Overall funding remains stable with slight price fluctuations. This week, R001 closed at 1.43% (previous value 1.39%), DR001 at 1.30% (previous value 1.32%), R007 at 1.52% (previous value 1.50%), and DR007 at 1.47% (previous value 1.44%) [1] - The central bank conducted a net reverse repo of -1642 billion yuan this week, with a total reverse repo injection of 15118 billion yuan and maturity of 16760 billion yuan. Additionally, a 10000 billion yuan MLF operation was conducted on November 25, with an excess of 1000 billion yuan [1] - The bond market sentiment is weak, with long-end yields rising significantly. The 1-year government bond yield increased by 0.09 basis points to 1.40%, the 10-year yield rose by 2.46 basis points to 1.84%, and the 30-year yield increased by 2.75 basis points to 2.19% [1] Group 2: Certificate of Deposit (CD) Trends - CD yields have slightly increased, with the 3-month yield rising by 0.15 basis points to 1.58%, the 6-month yield up by 0.50 basis points to 1.62%, and the 1-year yield also up by 0.50 basis points to 1.64%. The spread between the 1-year CD and R007 narrowed by 2.20 basis points to 11.78 basis points [2] - There was a net repayment of CDs this week, with a net financing of -2425 billion yuan compared to -3732 billion yuan previously. The issuance rates for 1-year CDs were 1.65% for joint-stock banks, 1.75% for city commercial banks, and 1.83% for rural commercial banks [2] - The average issuance term of CDs slightly decreased to 6.9 months from 8.2 months previously, with 3-month CDs issued at 1075.6 billion yuan, 6-month CDs at 1445.1 billion yuan, and 1-year CDs at 1046.3 billion yuan [2] Group 3: Government Bond Issuance - This week, the net issuance of government bonds was 391 billion yuan, with local bonds net issuance at 3262 billion yuan, totaling a net issuance of 3653 billion yuan. The total net payment was 3391 billion yuan [2] - Next week, the expected net issuance of government bonds is -1338 billion yuan, with local bonds expected to net issue 605 billion yuan, resulting in a total net financing of -733 billion yuan and a total net payment of -1092 billion yuan [2] Group 4: Interbank Market Activity - The interbank leverage ratio slightly increased, with an average daily volume of pledged repo transactions at 7.09 trillion yuan (previous value 7.29 trillion yuan) and an average daily leverage ratio of 107.21% (previous value 107.10%) [2]

Group 1 - The People's Bank of China conducted a 301.3 billion yuan 7-day reverse repo operation, resulting in a net withdrawal of 73.7 billion yuan due to 375 billion yuan of reverse repos maturing on the same day [1] - This week, the People's Bank of China has conducted a total of 1,511.8 billion yuan in 7-day reverse repo operations and 1,000 billion yuan in 1-year Medium-term Lending Facility (MLF) operations, leading to a total net withdrawal of 64.2 billion yuan for the week [1] - The Shanghai Interbank Offered Rate (Shibor) showed slight fluctuations, with the overnight Shibor decreasing by 1.30 basis points to 1.3010%, while the 7-day Shibor increased by 1.20 basis points to 1.4370% [1][2] Group 2 - In the interbank pledged repo market, short-term funding prices remained stable, with DR001 and R001 showing divergent trends, leading to an expanded interest rate spread [5] - The weighted average rates for DR001 and R001 decreased by 0.8 basis points and increased by 5.5 basis points, respectively, with transaction volumes decreasing significantly [5] - The overall funding situation remained balanced and slightly loose, with overnight repo rates fluctuating between 1.45% and 1.57% during the trading day [8]

文 | 银行螺丝钉 （转载请注明出处） 今天大盘整体上涨，截止到收盘，回到4.2星，距离4.3星比较近。 大中小盘股都上涨。 小微盘股上涨多一些。 前几天强势的价值风格略微下跌。 成长风格整体上涨。科创、创业板领涨。 港股略微下跌。 恒生红利等下跌，恒生科技略微上涨。 1. 有朋友问，牛市中后期，有什么信号，代表牛市可能到尾声或者结束呢？ 如果想要精准的卖在牛市最高点，这个很难做到。 2. 不过在牛市中后期，有一些值得关注的、标志性的信号。 （1）一是市场的估值情况。 例如市场整体到了3点几星，那低估品种就没多少了。 像2021年牛市高位的时候，估值表里一个绿色低估的品种都没有。 2015年牛市高点也是如此。 其实每一轮牛市，时间长短、上涨幅度都不一样。 我们也很难预测市场的短期涨跌。 螺丝钉也汇总了关于港股指数的估值，供参考，见文章下方图片。 （2）二是资金面情况。 最近一年多A股港股的上涨，也是受益于资金面的宽松。 美元从2024年9月进入降息周期；咱们的存款、贷款利率也下降。 因为资金面的宽松带来的上涨，也会因为流动性收紧，导致短期下跌。 在5点几星，绿色低估品种一抓一大把。 4点几星，还有一些低估品种 ...

Core Viewpoint - The bond market showed slight recovery on November 28, with government bond futures exhibiting mixed performance, and the short-term funding rates mostly rising, indicating a cautious outlook for bond yields in the near term [1][5]. Market Performance - Government bond futures closed with mixed results: the 30-year contract rose by 0.05% to 114.49, the 10-year contract increased by 0.03% to 107.94, while the 5-year and 2-year contracts fell by 0.03% and 0.02% respectively [2]. - The interbank bond yields generally declined, with the 30-year special government bond yield down by 1 basis point to 2.1865%, and the 10-year government bond yield down by 1.25 basis points to 1.8315% [2]. Funding Conditions - The central bank conducted a reverse repurchase operation of 3,013 billion yuan at a fixed rate of 1.40%, resulting in a net withdrawal of 737 billion yuan for the day [5]. - Short-term Shibor rates mostly increased, with the overnight rate down by 1.3 basis points to 1.301%, while the 7-day and 14-day rates rose by 1.2 and 2.1 basis points respectively [5]. Institutional Insights - Citic Securities noted that city commercial banks are actively cooperating with policies to manage hidden debts through loans and bond swaps, which may impact their asset-liability structure and profitability [6]. - Huachuang Securities highlighted a cautious outlook on interest rate cuts, with a lack of policy catalysts for yield declines, and noted that trading funds have not seen significant positive factors leading to a year-end rush [6]. Economic Context - Shenwan Futures reported that deposits continue to flow into higher-yielding non-bank sectors, while industrial production and consumption growth rates are slowing, primarily due to real estate sector challenges [7]. - The anticipation of policy announcements around year-end is expected to enhance market risk appetite, although recent regulations on fund sales may disrupt the bond market [7].

Report Investment Rating No information provided. Core Viewpoints The bond market fluctuates between stable growth and easing expectations. Affected by the stock market and bond fund fee regulations, along with differences in the Fed's interest - rate cut expectations and increased global trade uncertainties, the inflow of foreign capital is uncertain. Short - term attention should be paid to the policy signals at the end of the month [1][2][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) has a环比 of 0.20% and同比 of 0.20%; China's PPI (monthly) has a环比 of 0.10% and同比 of - 2.10% [9]. - **Monthly Economic Indicators**: Social financing scale is 437.72 trillion yuan, with a环比 increase of 0.64 trillion yuan and a环比 change rate of + 0.15%; M2同比 is 8.20%, down 0.20% with a环比 change rate of - 2.38%; Manufacturing PMI is 49.00%, down 0.80% with a环比 change rate of - 1.61% [10]. - **Daily Economic Indicators**: The US dollar index is 99.55, down 0.03 with a环比 change rate of - 0.03%; The US dollar against the offshore RMB is 7.0739, down 0.004 with a环比 change rate of - 0.05%; SHIBOR 7 - day is 1.43, down 0.03 with a环比 change rate of - 1.93%; DR007 is 1.45, down 0.03 with a环比 change rate of - 1.90%; R007 is 1.51, down 0.02 with a环比 change rate of - 1.24%; The 3 - month inter - bank certificate of deposit (AAA) is 1.59, up 0.00 with a环比 change rate of + 0.21%; The AA - AAA credit spread (1Y) is 0.10, up 0.00 with a环比 change rate of + 0.21% [10]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - **Closing Prices and Price Changes**: On November 27, 2025, the closing prices of TS, TF, T, and TL are 102.39 yuan, 105.77 yuan, 107.90 yuan, and 114.42 yuan respectively, with price changes of 0.01%, - 0.01%, - 0.06%, and - 0.01% respectively [3]. - **Net Basis Spreads**: The average net basis spreads of TS, TF, T, and TL are - 0.034 yuan, 0.037 yuan, - 0.046 yuan, and - 0.787 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - **Fiscal Situation (2025 Jan - Oct)**: General public budget revenue has a year - on - year growth of 0.8%, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. General public budget expenditure has a year - on - year increase of only 2%, slowing down for three consecutive months [2]. - **Financial Situation**: At the end of October, social financing and credit maintained low - level expansion, government bond issuance was still strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality in the real economy [2]. - **Central Bank Operations**: On November 27, 2025, the central bank conducted a 356.4 billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% [2]. - **Money Market Repo Rates**: The main term repo rates for 1D, 7D, 14D, and 1M are 1.314%, 1.425%, 1.508%, and 1.520% respectively, and the repo rates have recently declined [2]. 4. Spread Overview - **Inter - period Spreads and Cross - variety Spreads**: The report presents various inter - period spreads and cross - variety spreads of treasury bond futures, such as 4*TS - T, 2*TS - TF, etc [27][37][38]. 5. Two - year Treasury Bond Futures - **Implied Interest Rate and Yield**: Implied interest rate and treasury bond maturity yield of the two - year treasury bond futures main contract are presented, along with the IRR of the TS main contract and its relationship with the funding rate [36][39]. - **Basis and Net Basis Trends**: The three - year basis and net basis trends of the TS main contract are shown [47]. 6. Five - year Treasury Bond Futures - **Implied Interest Rate and Yield**: Implied interest rate and treasury bond maturity yield of the five - year treasury bond futures main contract are presented, along with the IRR of the TF main contract and its relationship with the funding rate [49]. - **Basis and Net Basis Trends**: The three - year basis and net basis trends of the TF main contract are shown [53]. 7. Ten - year Treasury Bond Futures - **Implied Yield and Yield**: Implied yield and treasury bond maturity yield of the ten - year treasury bond futures main contract are presented, along with the IRR of the T main contract and its relationship with the funding rate [56]. - **Basis and Net Basis Trends**: The three - year basis and net basis trends of the T main contract are shown [57]. 8. Thirty - year Treasury Bond Futures - **Implied Yield and Yield**: Implied yield and treasury bond maturity yield of the thirty - year treasury bond futures main contract are presented, along with the IRR of the TL main contract and its relationship with the funding rate [63]. - **Basis and Net Basis Trends**: The three - year basis and net basis trends of the TL main contract are shown [69]. Strategies - **Unilateral Strategy**: With the decline of repo rates and the fluctuation of treasury bond futures prices, a neutral stance is taken on 2603 [4]. - **Arbitrage Strategy**: Pay attention to the decline of the 2603 basis [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].

1. Report Information - Report Title: Treasury Bond Daily Report [1] - Date: November 28, 2025 [2] - Researchers: He Zhuoqiao (Macro Precious Metals), Huang Wenxin (Treasury Bonds and Container Shipping), Nie Jiayi (Stock Index Futures) [3] 2. Industry Investment Rating - No industry investment rating information is provided in the report. 3. Core Views - The domestic fundamental situation has been weakening marginally since mid - year, especially the accelerating decline in the investment sector, which still poses a significant drag on credit expansion. The monetary policy has begun to send signals of easing, and the positive factors for the bond market are accumulating. However, in the short term, it is difficult for the easing to materialize, and the bond market is in a period of shock and energy accumulation. Investors should pay attention to the opportunity of buying at low prices. In the short term, during the data vacuum period and with important meetings in December approaching, the market is waiting for policies. After the tax period this week, the capital market may become looser, which will support the bond market. Although the new regulations on fund sales fees bring short - term uncertainties, they do not affect the long - term allocation behavior of institutions. The negative impact of the central bank's bond - buying is unproven, and as long as the easing orientation remains unchanged, the downward trend of interest rates continues and the adjustment risk is limited. The impact from the sentiment provides a good opportunity for layout [11][12]. 4. Summary by Directory 4.1 Market Review and Operation Suggestions - **Market Situation**: Concerns about the new regulations for public funds still exist, and the bond market continues to fluctuate weakly [8]. - **Interest Rate Bonds**: The yields of major inter - bank interest rate bonds across all maturities have risen comprehensively, with the long - end yields rising by about 1bp. As of 16:30 pm, the yield of the 10 - year active treasury bond 250016 reported 1.845%, up 1.1bp [9]. - **Funding Market**: The inter - bank funding market is loose and is expected to cross the month smoothly. The central bank made a net injection of 564 million yuan today. The inter - bank funding sentiment index is stable, and the funds are becoming looser. The weighted overnight interest rate of inter - bank deposits fluctuates narrowly around 1.31%, the 7 - day interest rate rises 2.8bp to 1.45%, and the 1 - year AAA certificate of deposit rate fluctuates narrowly around 1.61 - 1.63% [10]. - **Conclusion**: The positive factors for the bond market are accumulating, but in the short term, it is difficult for the easing to materialize. The bond market is in a period of shock and energy accumulation. Investors should pay attention to the opportunity of buying at low prices. After the tax period this week, the capital market may become looser, which will support the bond market. The impact of the new regulations on fund sales fees is short - term, and the negative impact of the central bank's bond - buying is unproven. As long as the easing orientation remains unchanged, the downward trend of interest rates continues and the adjustment risk is limited. The impact from the sentiment provides a good opportunity for layout [11][12]. 4.2 Industry News - The China Council for the Promotion of International Trade will organize a Chinese business delegation to visit the United States in early December. The delegation will involve various fields and will conduct extensive exchanges with the US business and political circles [13]. - The National Development and Reform Commission has arranged 700 billion yuan and 800 billion yuan of ultra - long - term special treasury bonds in the past two years to support "hard investment" projects, and has also promoted a series of "soft construction" measures [13]. - The National Development and Reform Commission will work with relevant departments to study and formulate cost recognition standards for disorderly price competition to maintain market price order [13]. - The Ministry of Commerce has released the 2025 "Country Trade Guide" to help enterprises explore diversified markets [14]. 4.3 Data Overview - **Treasury Bond Futures**: The report provides trading data for various treasury bond futures contracts on November 27, including opening price, closing price, settlement price, price change, trading volume, open interest, and change in open interest [6]. - **Money Market**: The report mentions the changes in inter - bank repurchase rates and SHIBOR, but specific data is mainly presented in the form of figures [27][32]. - **Derivatives Market**: The report shows the average curves of Shibor3M and FR007 interest rate swaps, but specific data is mainly presented in the form of figures [37].

Report Industry Investment Rating There is no information provided regarding the report's industry investment rating. Core Viewpoints The bond market is oscillating between stable growth and easing expectations. Influenced by the stock market, along with differences in the Fed's interest - rate cut expectations and increased global trade uncertainties, the inflow of foreign capital is uncertain. In the short term, attention should be paid to the policy signals at the end of the month [1][2][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) has a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) has a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - **Monthly Economic Indicators**: Social financing scale is 437.72 trillion yuan, with a 0.64 trillion yuan increase and a 0.15% growth rate; M2 year - on - year is 8.20%, down 0.20% or - 2.38%; Manufacturing PMI is 49.00%, down 0.80% or - 1.61% [10]. - **Daily Economic Indicators**: The US dollar index is 99.58, down 0.23 or - 0.23%; The US dollar against the offshore RMB is 7.0775, down 0.017 or - 0.24%; SHIBOR 7 - day is 1.45, up 0.02 or + 1.40%; DR007 is 1.47, up 0.02 or + 1.40%; R007 is 1.51, down 0.02 or - 1.24%; The 3 - month inter - bank certificate of deposit (AAA) is 1.58, with no change in value and a - 0.02% change rate; The AA - AAA credit spread (1Y) is 0.10, up 0.01 or - 0.02% [10]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - **Closing Prices and Fluctuations**: On November 26, 2025, the closing prices of TS, TF, T, and TL were 102.37 yuan, 105.74 yuan, 107.85 yuan, and 114.29 yuan respectively, with fluctuations of - 0.05%, - 0.22%, - 0.36%, and - 0.86% [3]. - **Net Basis Spreads**: The average net basis spreads of TS, TF, T, and TL were - 0.027 yuan, 0.075 yuan, - 0.109 yuan, and 0.131 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - **Fiscal Situation**: From January to October 2025, fiscal revenue showed a mild recovery, with general public budget revenue increasing by 0.8% year - on - year. Tax revenue improved for eight consecutive months, but non - tax revenue dragged down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months [2]. - **Financial Situation**: At the end of October, social financing and credit expanded at a low level, government bond issuance remained strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality and a return from current to time deposits [2]. - **Central Bank Operations**: On November 26, 2025, the central bank conducted 213.3 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - **Money Market Rates**: The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.316%, 1.453%, 1.507%, and 1.519% respectively, and the repurchase rates have rebounded recently [2]. 4. Spread Overview The report provides multiple spread analysis charts, including the inter - term spread trends of various treasury bond futures varieties and the spread between spot bond term spreads and futures cross - variety spreads [29][36][39]. 5. Two - Year Treasury Bond Futures The report presents charts on the implied interest rate of the two - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [38][42][50]. 6. Five - Year Treasury Bond Futures Charts are provided on the implied interest rate of the five - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [52][56]. 7. Ten - Year Treasury Bond Futures The report includes charts on the implied yield of the ten - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [59][60]. 8. Thirty - Year Treasury Bond Futures Charts are presented on the implied yield of the thirty - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [66][73]. Strategies - **Unilateral Strategy**: As the repurchase rate falls and the treasury bond futures price oscillates, the 2603 strategy is neutral [4]. - **Arbitrage Strategy**: Pay attention to the decline of the 2603 basis [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].