Report Information - Report Title: Treasury Bond Daily Report [1] - Date: November 27, 2025 [2] - Research Team: Macro Financial Research Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided in the report Core Viewpoints - Domestic fundamentals have weakened marginally since mid - year, especially the accelerated decline in the investment sector, which still significantly drags down credit expansion. Monetary policy has started to send signals of easing, and bullish factors for the bond market are accumulating. However, it is difficult for easing to materialize in the short term, and the bond market is in a period of shock and energy accumulation. Attention should be paid to opportunities for bottom - up layout. In the short term, it mainly depends on the capital market and risk - aversion sentiment. After the tax period this week, the capital market may further loosen, which will support the bond market. Although the new regulations on fund sales fees bring uncertain disturbances, the impact is mainly short - term. The downward trend of interest rates remains and the adjustment risk is limited, and the impact from the sentiment side provides a good layout opportunity [11][12] Summary by Directory 1. Market Review and Operation Suggestions a. Market Conditions - Rumors of new public fund regulations, bond fund redemptions leading to short - selling hedging, and the central bank's bond - buying scale being lower than expected, combined with the rebound of the A - share market, caused treasury bond futures to close sharply lower [8] - The yields of major inter - bank interest - bearing bonds across all maturities increased, with the long - end yields rising by about 2bp. As of 16:30, the yield of the 10 - year treasury bond active bond 250016 was reported at 1.8375%, up 1.8bp [9] - The inter - bank capital market was loose, and it was expected to cross the month smoothly. There were 310.5 billion yuan of due funds in the open market, and the central bank injected 213.3 billion yuan, resulting in a net withdrawal of 9.72 billion yuan. The inter - bank capital sentiment index was stable, and the capital market was loosening. The weighted overnight interest rate of inter - bank deposits fell 0.5bp to 1.31%, the 7 - day interest rate rose 2bp to 1.47%, and the medium - and long - term capital was stable. The 1 - year AAA certificate of deposit rate fluctuated narrowly around 1.61% - 1.63% [10] b. Conclusion - Although bullish factors for the bond market are accumulating, it is difficult for easing to materialize in the short term, and the bond market is still in a shock and energy - accumulating period. Attention should be paid to bottom - up layout opportunities. In the short term, as it is in a data vacuum period and important meetings are approaching in December, the market's wait - and - see sentiment towards policies may be strong. After the tax period this week, the capital market may further loosen, which will support the bond market. The new regulations on fund sales fees bring short - term uncertain disturbances, but the downward trend of interest rates remains and the adjustment risk is limited. The impact from the sentiment side provides a good layout opportunity [11][12] 2. Industry News - On the evening of November 24, Chinese President Xi Jinping had a phone call with US President Trump. The two sides emphasized the importance of Sino - US cooperation and China's stance on the Taiwan issue [13] - Six departments including the Ministry of Industry and Information Technology issued the Implementation Plan for Enhancing the Adaptability of Consumer Goods Supply and Demand and Further Promoting Consumption, proposing to accelerate the layout of new fields and tracks, and carry out special activities for the innovation and application of typical cases in key industries [13] - The State Council Information Office will hold a regular policy briefing on November 27. Relevant officials will introduce policies and measures to enhance the adaptability of consumer goods supply and demand and further promote consumption [14] - US President Trump said that his team has made great progress in ending the Russia - Ukraine conflict, and a peace plan is being finalized. Ukrainian officials expect President Zelensky to visit the US in November [14] 3. Data Overview - **Treasury Bond Futures Market**: Data on trading of various treasury bond futures contracts on November 26, including opening price, closing price, settlement price, price change, trading volume, open interest, etc. are provided [6] - **Capital Market**: Information on the inter - bank capital market, including the net withdrawal of funds in the open market, changes in the weighted overnight and 7 - day interest rates of inter - bank deposits, and the stability of medium - and long - term capital [10] - **Derivatives Market**: Information on interest rate swap curves such as Shibor3M and FR007 is provided [36]

事不过三：第一次是市场形成阶段，第二次是市场学习阶段，第三次是市场复制阶段。 ——笔记哥《应对》 | | | | 银行间资金 | (2025. 11. 26) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代吗 | 加权利率 | 变化 | 利率走势 | 最高利率 | 变化 | 成交量 | 变化量 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | (亿元) | (亿元) | 比 (%) | | R001 | 1. 37 | -2 | 7 /// | 1.70 | - 11-29 | 63878.94 | -954. 09 | 86. 02 | | R007 | 1.52 | 0 | | 2.00 | 28 | 9690. 10 | 128.89 | 13.05 | | R014 | 1.53 | 0 | | 1.95 | 15 | 627.98 | -169.21 | 0. 85 | | R1H | 1.61 | 1 | n | 4.00 | 0 | 7.49 | -6.5 ...

Group 1 - The People's Bank of China conducted a 7-day reverse repurchase operation of 213.3 billion yuan at an interest rate of 1.40%, maintaining the previous rate, resulting in a net withdrawal of 97.2 billion yuan due to 310.5 billion yuan of reverse repos maturing on the same day [1] - The Shanghai Interbank Offered Rate (Shibor) showed slight fluctuations, with the overnight Shibor remaining unchanged at 1.3160%, the 7-day Shibor rising by 2.00 basis points to 1.4530%, and the 14-day Shibor decreasing by 3.30 basis points to 1.5070% [1] - In the interbank pledged repo market, overnight funding prices hovered around 1.3%, with DR001 and R001 weighted average rates at 1.3187% and 1.3894%, respectively, while DR007 and R007 rates increased to 1.4703% and 1.5566% [3] Group 2 - The overall funding situation on November 26 was balanced and slightly loose, with overnight repo rates and certificate of deposit prices starting around 1.45%, and 7-day repo rates declining from 1.55% to around 1.51%-1.52% [7] - A total of 80 interbank certificates of deposit were issued on November 26, with an actual issuance amount of 95.89 billion yuan [8] - The trading sentiment in the primary market for certificates of deposit was focused on 6-month and 9-month maturities, with slight increases in yields for 3-month, 9-month, and 1-year maturities [8]

Report Industry Investment Rating No relevant information provided. Core Viewpoints The stock - bond seesaw is obvious, and Treasury bond futures closed down across the board. Driven by the strong stock market, the rising risk appetite suppresses the bond market. There are also differences in the Fed's interest - rate cut expectations, and the increasing global trade uncertainty adds to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between stable - growth and easing expectations, and short - term attention should be paid to the policy signals at the end of the month [1][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) had a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) had a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - **Monthly Economic Indicators**: The social financing scale was 437.72 trillion yuan, with a 0.64 - trillion - yuan increase (0.15%) month - on - month. M2 year - on - year was 8.20%, down 0.20% (- 2.38%) month - on - month. The manufacturing PMI was 49.00%, down 0.80% (- 1.61%) month - on - month [10]. - **Daily Economic Indicators**: The US dollar index was 99.81, down 0.39 (- 0.39%) day - on - day. The offshore US dollar - to - RMB exchange rate was 7.0944, down 0.012 (- 0.16%) day - on - day. SHIBOR 7 - day was 1.43, down 0.01 (- 0.97%) day - on - day. DR007 was 1.45, down 0.02 (- 1.10%) day - on - day. R007 was 1.51, down 0.02 (- 1.24%) day - on - day. The 3 - month inter - bank certificate of deposit (AAA) was 1.58, up 0.01 (+ 0.44%) day - on - day. The AA - AAA credit spread (1Y) was 0.09, up 0.00 (+ 0.44%) day - on - day [10]. 2. Treasury Bonds and Treasury Bond Futures Market Overview - **Macro Policy**: On October 27, the central bank restarted open - market Treasury bond trading operations. On October 30, the China - US economic and trade teams reached three consensuses. The State Council Tariff Commission announced to continue suspending the 24% additional tariff on US goods for one year, while retaining the 10% tariff [1]. - **Inflation**: In October, CPI increased by 0.2% year - on - year [1]. - **Market Closing Prices and Fluctuations**: On November 25, 2025, the closing prices of TS, TF, T, and TL were 102.42 yuan, 105.98 yuan, 108.22 yuan, and 115.16 yuan respectively, with fluctuations of 0.01%, 0.00%, - 0.08%, and - 0.33% respectively [3]. - **Net Basis Spreads**: The average net basis spreads of TS, TF, T, and TL were - 0.056 yuan, - 0.066 yuan, - 0.088 yuan, and - 0.025 yuan respectively [3]. 3. Money Market Funding Situation - **Fiscal Situation (January - October 2025)**: General public budget revenue increased by 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months, mainly due to the lack of follow - up force from the front - loaded fiscal efforts in the first half of the year and the weakening of infrastructure expenditures [2]. - **Financial Situation**: At the end of October, social financing and credit expanded at a low level, with strong government bond issuance and weak corporate and household financing demand. 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 25, 2025, the central bank conducted 3021 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - **Money Market Interest Rates**: The main repurchase rates for 1D, 7D, 14D, and 1M were 1.316%, 1.433%, 1.540%, and 1.520% respectively, and the repurchase rates had recently declined [2]. 4. Spread Situation - **Inter - period Spreads of Treasury Bond Futures**: The report mentions various inter - period spreads of Treasury bond futures, such as 4*TS - T, 2*TS - TF, etc. [29][33] - **Implied Yields and Basis Spreads**: It provides information on the implied yields and basis spreads of different - term Treasury bond futures (2 - year, 5 - year, 10 - year, and 30 - year) [36][48][55][62]. 5. Two - Year Treasury Bond Futures - **Implied Interest Rate and IRR**: The report shows the relationship between the implied interest rate of the two - year Treasury bond futures main contract and the Treasury bond yield, as well as the relationship between the TS main contract's IRR and the funding rate [36][37]. - **Basis Spread Trends**: It presents the three - year basis spread and net basis spread trends of the TS main contract [46]. 6. Five - Year Treasury Bond Futures - **Implied Interest Rate and IRR**: The relationship between the implied interest rate of the five - year Treasury bond futures main contract and the Treasury bond yield, and the relationship between the TF main contract's IRR and the funding rate are provided [48]. - **Basis Spread Trends**: The three - year basis spread and net basis spread trends of the TF main contract are shown [52]. 7. Ten - Year Treasury Bond Futures - **Implied Yield and IRR**: The report shows the relationship between the implied yield of the ten - year Treasury bond futures main contract and the Treasury bond yield, and the relationship between the T main contract's IRR and the funding rate [55]. - **Basis Spread Trends**: The three - year basis spread and net basis spread trends of the T main contract are presented [57]. 8. Thirty - Year Treasury Bond Futures - **Implied Yield and IRR**: The relationship between the implied yield of the thirty - year Treasury bond futures main contract and the Treasury bond yield, and the relationship between the TL main contract's IRR and the funding rate are provided [62][65]. - **Basis Spread Trends**: The three - year basis spread and net basis spread trends of the TL main contract are shown [68]. Strategies - **Single - sided Strategy**: With the decline in repurchase rates, Treasury bond futures prices fluctuate [4]. - **Arbitrage Strategy**: Pay attention to the decline in basis spreads [5]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [5].

Core Viewpoint - The article discusses the current market conditions influenced by monetary policy, U.S.-China relations, and bond market performance, highlighting a cautious yet slightly optimistic sentiment in the financial markets. Group 1: Market Conditions - The funding environment is balanced and slightly loose, with the central bank conducting 3,021 billion yuan in 7-day reverse repos and 10,000 billion yuan in MLF operations, resulting in a net withdrawal of 54 billion yuan today [3][5]. - The overnight funding rates are stable, with DR001 around 1.32% and DR007 at approximately 1.45% [3]. Group 2: Bond Market Performance - The 10-year government bond yield opened slightly higher at 1.815% and reached 1.817% during the day, reflecting cautious sentiment in the bond market [5]. - The trading volume for the 10-year government bonds has been low, with only a few hundred transactions, indicating a lack of market activity as the year-end approaches [6]. Group 3: Interest Rate Trends - The interest rates for various maturities have shown slight increases, with the 1-year rate at 1.4040% and the 10-year rate at 1.8195%, indicating a general upward trend in yields [8]. - The market is reacting to the anticipation of a potential interest rate cut by the Federal Reserve in December, which has further influenced risk appetite [5].

转自：新华财经 新华财经北京11月25日电（刘润榕）人民银行25日开展3021亿元7天期逆回购操作，操作利率1.40%，与前次持平；鉴于当日有9000亿元1年期中期借贷便 利（MLF）和4075亿元7天期逆回购到期，公开市场实现净回笼10054亿元。 上海银行间同业拆放利率（Shibor）延续窄幅震荡。具体来看，隔夜Shibor与前日持平，报1.3160%；7天Shibor下跌1.40BP，报1.4330%；14天Shibor下跌 0.20BP，报1.5400%。 上海银行间同业拆放利率（11月25日） 银行间质押式回购市场方面，短期资金价格整体小幅回落，R007成交额占比高位徘徊。具体看，DR001、R001加权平均利率分别下行0.1BP、0.5BP，报 1.318%、1.3843%，成交额分别减少1529亿元、409亿元；DR007、R007加权平均利率分别下行1.6BP、3.3P，报1.4541%、1.5238%，成交额分别增加347 亿元、122亿元；DR014、R014加权平均利率分别下行1.1BP、1.2BP，报1.5317%、1.533%，成交额分别减少66亿元、64亿元。 货币市场利率（11月 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On November 24, the liquidity was ample, with major repo rates hovering at low levels; the bond market showed a narrow - range oscillation; the convertible bond market's main indices followed the upward trend, and most convertible bond issues rose; yields on U.S. Treasuries of various maturities generally declined, and yields on 10 - year government bonds of major European economies generally decreased [1] 3. Summary by Relevant Catalogs 3.1 Bond Market News 3.1.1 Domestic News - President Xi Jinping had a phone call with U.S. President Trump, emphasizing that the Busan meeting had set the right course for China - U.S. relations, and both sides should maintain the positive momentum [3] - On November 25, the central bank conducted 100 billion yuan of MLF operations, with a net injection of 10 billion yuan in November, marking the ninth consecutive month of increased roll - overs, in line with market expectations [3] - As of November 21, the issuance of science - innovation bonds in the inter - bank market exceeded 530 billion yuan, with the proportion of issuance scale exceeding 10% for the first time, 5 percentage points higher than before [4] 3.1.2 International News - On November 24, Fed Governor Waller and San Francisco Fed President Daly signaled dovish stances, with Waller advocating a rate cut at the next meeting and Daly supporting a December rate cut [5][6] 3.1.3 Commodities - On November 24, international crude oil futures prices turned up, while international natural gas prices turned down. WTI January crude oil futures rose 1.34% to $58.84 per barrel, Brent January crude oil futures rose 1.29% to $63.37 per barrel, COMEX December gold futures rose 0.36% to $4094.2 per ounce, and NYMEX natural gas prices fell 1.55% to $4.506 per ounce [7] 3.2 Liquidity 3.2.1 Open Market Operations - On November 24, the central bank conducted 338.7 billion yuan of 7 - day reverse repurchase operations, with a net injection of 55.7 billion yuan as 283 billion yuan of reverse repurchases matured on the same day [9] 3.2.2 Funding Rates - On November 24, the liquidity was ample, with major repo rates hovering at low levels. DR001 dropped 0.22bp to 1.319%, and DR007 rose 2.95bp to 1.470% [10] 3.3 Bond Market Dynamics 3.3.1 Interest - rate Bonds - **Spot Bond Yield Trends**: On November 24, the bond market showed a narrow - range oscillation with lower trading volume. By 20:00, the yield of the 10 - year Treasury bond active issue 250016 dropped 0.05bp to 1.8120%, and the yield of the 10 - year CDB bond active issue 250215 remained flat at 1.8740% [13] - **Bond Tendering Results**: Information on the tendering of multiple bonds including 25贴现国债72, 25附息国债23, etc., was provided, covering details such as term, issuance scale, winning yield, and bid - to - cover ratios [14] 3.3.2 Credit Bonds - **Secondary - market Transaction Anomalies**: On November 24, no credit bond transaction prices deviated by more than 10% [15] - **Credit Bond Events**: Multiple companies such as Fanhai Holdings, Fangyuan Real Estate, and Baolong Industry had bond - related events including non - payment, extension of redemption dates, and holder meetings [16] 3.3.3 Convertible Bonds - **Equity and Convertible Bond Indices**: On November 24, the A - share market rose, with over 4200 stocks increasing. The Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index rose 0.05%, 0.37%, and 0.31% respectively. The convertible bond market also rebounded, with the CSI Convertible Bond, Shanghai Convertible Bond, and Shenzhen Convertible Bond indices rising 0.22%, 0.14%, and 0.34% respectively [17] - **Convertible Bond Tracking**: News such as the approval of Shang Sheng Electronics' convertible bond issuance and the possible early redemption of Nenghui Convertible Bond were reported [24] 3.3.4 Overseas Bond Markets - **U.S. Treasury Market**: On November 24, yields on U.S. Treasuries of various maturities generally declined. The 2 - year U.S. Treasury yield dropped 5bp to 3.46%, and the 10 - year yield dropped 2bp to 4.04%. The 2/10 - year U.S. Treasury yield spread widened by 3bp to 58bp, and the 5/30 - year spread narrowed by 2bp to 107bp [20][21] - **European Bond Market**: On November 24, yields on 10 - year government bonds of major European economies generally declined, except for Germany and Spain where yields remained unchanged [23] - **Price Changes of Chinese - Issued U.S. Dollar Bonds**: Price changes of Chinese - issued U.S. dollar bonds of multiple companies such as Ctrip Group, Pinduoduo, and iQiyi were presented, including daily changes, credit entities, bond balances, and other information [25]

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 ...

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation on November 24, with a fixed rate and quantity tendering, amounting to 338.7 billion yuan at an interest rate of 1.40%, with the same amount being the winning bid [1] - On the same day, 283 billion yuan of reverse repos matured, resulting in a net injection of 55.7 billion yuan [1] Group 2: Funding Conditions - The interbank market in China showed a relaxed funding environment, with overnight repurchase rates slightly decreasing to around 1.32% [3] - The overnight quotes in the anonymous X-repo system remained around 1.3%, with a supply scale of about 100 billion yuan [3] - Non-bank institutions were borrowing overnight funds against pledged credit bonds at rates between 1.47% and 1.48% [3] - The latest overnight financing rate in the U.S. was reported at 3.91% [3] Group 3: Interbank Certificates of Deposit - The latest transaction for one-year interbank certificates of deposit from major banks was around 1.64%, showing a slight increase from the previous day [7] Group 4: Major Interest Rate Bond Yields - The yields for various government bonds were reported, with the 1-year government bond yield at 1.4025%, and the 10-year bond yield at 1.6900% [9] Group 5: Recent MLF Operations - The central bank plans to conduct a 1 trillion yuan MLF operation on November 25, with a net injection of 100 billion yuan for November, as 900 billion yuan of MLF is set to mature [13] - The total medium-term liquidity released through MLF and reverse repos in November is 600 billion yuan, maintaining a relatively high level for four consecutive months [13] Group 6: Bond Market Developments - The central bank successfully issued 45 billion yuan in central bank bills in Hong Kong on November 24, with a 3-month issuance of 30 billion yuan at an interest rate of 1.60% [13] - The issuance of local government bonds in Inner Mongolia is scheduled for December 1, amounting to 10.4 billion yuan [17]

【笔记20251124— 债农日渐神经衰弱（-股市微涨+央行增量续作MLF+资金面均衡偏松=涨跌互现)】 资金面均衡偏松，长债收益率涨跌不一。 央行公开市场开展3387亿元7天期逆回购操作与2000亿元国库现金定存招投标，今日有2830亿元逆回购到期，合计净投放2557元。此外，央行将于明日以 固定数量、利率招标、多重价位中标方式开展10000亿元MLF操作，期限为1年期。本月MLF到期9000亿元。 不要去纠结于日内行情的波动，或者一两天行情的波动， 时间空间越小，市场的随机性越强，混沌状态越大，参考意义越小 。 ——笔记哥《交易》 今天看到一个魔幻现实：马斯克曾领导的政府效率部提前8个月解散。这证明：你能用第一性原理把火箭送上天，但无法用同样的方法运行政府。在政治 的舞台上，最高效的部门，往往也是最早领盒饭的那个。 资金面均衡偏松，资金利率平稳，DR001在1.32%附近，DR007在1.47%附近。 | | | | 银行间资金 | (2025. 11. 24) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 ...