流动性周报：30年国债利差还能回来吗？-20250922

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - Short - term bond market sentiment remains under pressure. It is crucial to verify that the rebound high of long - term interest rates is gradually decreasing. If 1.8% is confirmed as the relatively high level of the 10 - year Treasury bond, the bond - bull logic can be maintained. In the medium term, the recovery of risk appetite is mainly reflected in the term spread premium, which may reach 50 - 60BP in extreme cases. In September 2025, the bond market is more likely to experience a weak recovery rather than a seasonal adjustment [2][9]. - The term spread of ultra - long bonds is difficult to return to extremely low levels but is unlikely to expand significantly, and there is no need to refer to the historical range above 40BP before 2023 [3][14]. - The short - term recovery of the bond market may be driven by monetary easing. If a 10BP policy rate cut is implemented, the central level of funds and short - term varieties will decline by more than 10BP. The performance of long - term bonds is more affected by expected pricing, and the resistance at 1.7% - 1.75% of the 10 - year Treasury bond may be significant [4][19]. 3. Summary by Related Content 3.1 Bond Market Situation in September 2025 - The bond market has not significantly recovered, long - term bond interest rates are oscillating, and the term spread is expanding. After the public offering fee new rule and the central bank bond - buying expectation emerged, the long - term interest rate rebounded after breaking through 1.8% and then maintained an oscillating state. The term spread has not stopped recovering due to the unclear impact of the public offering fee new rule on the liability side [3][9]. 3.2 Analysis of Ultra - Long Bond Term Spread - Difficulty in Returning to Low Levels and Limited Expansion: The ultra - long bond term spread is closely related to risk appetite, reflecting the marginal change in the household debt cycle. As the household sector's leverage ratio has entered the stable - leverage stage and the real - estate cycle has not ended, the improvement of household risk appetite is limited, so the term spread is difficult to return to the high - level range before extreme compression [14][15]. - Uncertainty from Supply and Demand: Although the supply of ultra - long - term interest - rate bonds has increased (as of mid - September, the stock of ultra - long - term interest - rate bonds over 10 years has reached 27.3 trillion yuan, and the proportion has increased from 7% in Q1 2019 to 23%), it is difficult to determine the term spread trend from the supply side alone because the demand elasticity has a greater and unpredictable impact. Historically, the term spread has compressed even when the supply increased. In the short term, the completion of ultra - long bond issuance in Q4 may reduce the spread expansion pressure [17]. 3.3 Short - Term Bond Market Recovery Drivers - The short - term recovery of the bond market may be driven by monetary easing. A 10BP policy rate cut will lead to a central decline of more than 10BP in the funds and short - term varieties. The 10 - year Treasury bond has heavy chips around 1.7% - 1.75%, and the resistance to unwinding may be obvious [4][19].