超长债周报：股债跷跷板延续-20250908

Report Industry Investment Rating No information provided in the content. Core Viewpoints - Last week, the bond market first rebounded and then declined. After the end of the month, the liquidity continued to ease. The stock - bond seesaw effect persisted. The stock market tumbled for three consecutive days from Tuesday to Thursday, leading to a stronger bond market. On Friday, the stock market had a "bullish engulfing pattern," causing the bond market to slump. The trading activity of ultra - long bonds decreased slightly last week but remained very active. The term spread of ultra - long bonds widened, and the variety spread increased slightly [1][12]. - For the 30 - year Treasury bond, as of September 5, the spread between the 30 - year and 10 - year Treasury bonds was 28BP, at a historically low level. The domestic economy in July still faced downward pressure, with the estimated GDP growth rate of about 4.3% year - on - year, a significant decline from the first half of the year. There was still deflation risk with CPI at 0.0% and PPI at - 3.6% in July. The short - term bond market will face the game between expectation and reality, with the 10 - year Treasury bond oscillating in the range of [1.65%, 1.8%]. The current term spread of the 30 - year Treasury bond is still low, with limited protection [2][13]. - For the 20 - year CDB bond, as of September 5, the spread between the 20 - year CDB bond and the 20 - year Treasury bond was 4BP, at a historically extremely low level. The domestic economic situation in July was similar to that of the 30 - year Treasury bond analysis. The short - term bond market situation was also the same. The current variety spread of the 20 - year CDB bond is still low, with limited protection [3][14]. Summary by Directory Weekly Review Ultra - long Bond Review - Last week, the bond market first rebounded and then declined. After the end of the month, the liquidity continued to ease. The stock - bond seesaw effect persisted. The stock market tumbled for three consecutive days from Tuesday to Thursday, leading to a stronger bond market. On Friday, the stock market had a "bullish engulfing pattern," causing the bond market to slump. The trading activity of ultra - long bonds decreased slightly last week but remained very active. The term spread of ultra - long bonds widened, and the variety spread increased slightly [1][12]. Ultra - long Bond Investment Outlook - 30 - year Treasury bond: As of September 5, the spread between the 30 - year and 10 - year Treasury bonds was 28BP, at a historically low level. The domestic economy in July still faced downward pressure, with the estimated GDP growth rate of about 4.3% year - on - year, a significant decline from the first half of the year. There was still deflation risk with CPI at 0.0% and PPI at - 3.6% in July. The short - term bond market will face the game between expectation and reality, with the 10 - year Treasury bond oscillating in the range of [1.65%, 1.8%]. The current term spread of the 30 - year Treasury bond is still low, with limited protection [2][13]. - 20 - year CDB bond: As of September 5, the spread between the 20 - year CDB bond and the 20 - year Treasury bond was 4BP, at a historically extremely low level. The domestic economic situation in July was similar to that of the 30 - year Treasury bond analysis. The short - term bond market situation was also the same. The current variety spread of the 20 - year CDB bond is still low, with limited protection [3][14]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeded 22.8 trillion. As of August 31, the total amount of ultra - long bonds with a remaining term of more than 14 years was 228,873 billion (excluding asset - backed securities and project revenue notes), accounting for 14.7% of the total bond balance. Local government bonds and Treasury bonds were the main varieties. By variety, Treasury bonds accounted for 26.5% (60,623 billion), local government bonds accounted for 67.5% (154,423 billion), etc. By remaining term, the 30 - year variety had the highest proportion [15]. Primary Market Last Week's Issuance - The issuance volume of ultra - long bonds increased slightly last week. From September 1 to September 5, 2025, a total of 1,238 billion yuan of ultra - long bonds were issued. By variety, Treasury bonds accounted for 820 billion, local government bonds accounted for 418 billion, etc. By term, the issuance of 15 - year bonds was 244 billion, 20 - year bonds was 1 billion, 30 - year bonds was 99 billion, and 50 - year bonds was 0 billion [20]. This Week's Planned Issuance - The announced issuance plan of ultra - long bonds this week totals 1,676 billion. In terms of variety, ultra - long Treasury bonds are 820 billion, ultra - long local government bonds are 418 billion, etc. [25] Secondary Market Trading Volume - The trading of ultra - long bonds was relatively active last week. The trading volume of ultra - long bonds was 10,408 billion, accounting for 14.4% of the total bond trading volume. By variety, the trading volume of ultra - long Treasury bonds was 8,650 billion, accounting for 43.4% of the total Treasury bond trading volume; the trading volume of ultra - long local bonds was 1,622 billion, accounting for 43.1% of the total local bond trading volume; the trading volume of ultra - long policy - financial bonds was 64 billion, accounting for 0.3% of the total policy - financial bond trading volume; the trading volume of ultra - long government agency bonds was 5 billion, accounting for 38.3% of the total government agency bond trading volume. The trading activity of ultra - long bonds decreased slightly last week compared with the previous week [28]. Yields - Last week, the bond market first rebounded and then declined. After the end of the month, the liquidity continued to ease. The stock - bond seesaw effect persisted. The stock market tumbled for three consecutive days from Tuesday to Thursday, leading to a stronger bond market. On Friday, the stock market had a "bullish engulfing pattern," causing the bond market to slump. In terms of Treasury bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by 3BP, 0BP, - 3BP, and 0BP to 1.99%, 2.10%, 2.11%, and 2.14% respectively. For CDB bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by - 2BP, 0BP, - 1BP, and - 2BP to 2.05%, 2.13%, 2.19%, and 2.35% respectively. For local bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by - 5BP, - 6BP, and - 5BP to 2.22%, 2.26%, and 2.26% respectively. For railway bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 1BP, 0BP, and 0BP to 2.17%, 2.19%, and 2.33% respectively. For representative individual bonds, the yield of the 30 - year Treasury bond active bond 25 ultra - long special Treasury bond 02 changed by - 0.95BP to 2.02%, and the yield of the 20 - year CDB bond active bond 21 CDB 20 changed by - 0.98BP to 2.08% [34][35]. Spread Analysis - Term spread: The term spread of ultra - long bonds widened last week, but the absolute level was low. The spread between the 30 - year and 10 - year Treasury bonds was 28BP, an increase of 2BP compared with the previous week, at the 11% quantile since 2010 [40]. - Variety spread: The variety spread of ultra - long bonds widened last week, but the absolute level was low. The spread between the 20 - year CDB bond and the Treasury bond was 4BP, and the spread between the 20 - year railway bond and the Treasury bond was 11BP, changing by 0BP and 1BP respectively compared with the previous week, at the 7% quantile since 2010 [46]. 30 - year Treasury Bond Futures - The main contract TL2512 of the 30 - year Treasury bond futures closed at 116.35 yuan last week, a decrease of 0.17%. The total trading volume of 30 - year Treasury bond futures was 699,800 lots (- 208,400 lots), and the open interest was 142,600 lots (2,221 lots). The trading volume decreased significantly compared with the previous week, while the open interest increased slightly [48].