超长债周报：股债跷跷板-20250825

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the bond market continued to decline sharply. The tightening of funds during the tax period, the announcement of an additional 300 billion yuan MLF renewal in August, and the significant rise of A-shares with the Shanghai Composite Index reaching a 10-year high led to an obvious stock-bond seesaw effect, causing a continuous slump in ultra-long bonds [1][3][12]. - In the short term, the bond market will face a continuous game between expectations and reality, with the 10-year Treasury bond oscillating in the range of [1.65%, 1.8%]. On one hand, the weak fundamental situation supports the bond market; on the other hand, the "anti-involution" policy has alleviated investors' deflation concerns, changing the long-term macro-narrative and suppressing the bond market [2][3][13]. 3. Summary by Relevant Catalogs Weekly Review Ultra-long Bond Review - Last week, the bond market continued to decline sharply. The ultra-long bond trading activity decreased slightly but remained quite active. The term spread and variety spread of ultra-long bonds widened [1][12]. Ultra-long Bond Investment Outlook - 30-year Treasury Bond: As of August 22, the spread between the 30-year and 10-year Treasury bonds was 31BP, at a historically low level. The current 30-year Treasury bond term spread is still low, with limited term spread protection [2][13]. - 20-year CDB Bond: As of August 22, the spread between the 20-year CDB bond and the 20-year Treasury bond was 3BP, at a historically extremely low level. The current 20-year CDB bond variety spread is still low, with limited variety spread protection [3][14]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds exceeds 22.8 trillion yuan. As of July 31, ultra-long bonds with a remaining maturity of over 14 years totaled 22.8873 trillion yuan, accounting for 14.7% of the total bond balance. Local government bonds and Treasury bonds are the main varieties of ultra-long bonds [15]. - By variety, Treasury bonds account for 26.5%, local government bonds 67.5%, policy financial bonds 2.0%, government agency bonds 1.9%, commercial bank subordinated bonds 0.3%, corporate bonds 0.5%, enterprise bonds 0.1%, medium-term notes 1.2%, private bonds 0.0%, and directional instruments 0.0% [15]. - By remaining maturity, bonds with a maturity of 14 - 18 years account for 26.5%, 18 - 25 years 26.9%, 25 - 35 years 40.9%, and over 35 years 5.7% [15]. Primary Market Weekly Issuance - Last week, the issuance volume of ultra-long bonds increased significantly. A total of 306.7 billion yuan of ultra-long bonds were issued. By variety, Treasury bonds accounted for 83 billion yuan, local government bonds 212.3 billion yuan, and others. By maturity, 15-year bonds accounted for 40.2 billion yuan, 20-year bonds 67.8 billion yuan, 30-year bonds 198.7 billion yuan, and 50-year bonds 0 yuan [20]. This Week's Planned Issuance - The announced ultra-long bond issuance plan for this week totals 122.5 billion yuan, all of which are ultra-long local government bonds [26]. Secondary Market Trading Volume - Last week, the trading of ultra-long bonds was quite active, with a trading volume of 1328.9 billion yuan, accounting for 14.4% of the total bond trading volume. Compared with the previous week, the trading activity of ultra-long bonds decreased slightly [29]. Yield - Last week, the bond market continued to decline sharply. The yields of various ultra-long bonds rose. For example, the yields of 15-year, 20-year, 30-year, and 50-year Treasury bonds changed by 4BP, 5BP, 3BP, and 5BP respectively, reaching 1.95%, 2.11%, 2.08%, and 2.16% [41]. Spread Analysis - Term Spread: Last week, the term spread of ultra-long bonds widened, but the absolute level was low. The spread between the 30-year and 10-year Treasury bonds was 31BP, 2BP higher than the previous week, at the 12% quantile since 2010 [52]. - Variety Spread: Last week, the variety spread of ultra-long bonds widened, but the absolute level was low. The spreads between the 20-year CDB bond and Treasury bond, and between the 20-year railway bond and Treasury bond were 3BP and 8BP respectively, 1BP and 2BP higher than the previous week, at the 5% quantile since 2010 [53]. 30-year Treasury Bond Futures - Last week, the main contract of the 30-year Treasury bond futures, TL2512, closed at 115.98 yuan, a decrease of 1.28%. The total trading volume was 1.1462 million lots, and the open interest was 156,700 lots. The trading volume increased significantly compared with the previous week, and the open interest increased slightly [58].