超长债，风险还是机会？

1. Report Industry Investment Rating - No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The current position of ultra - long bonds has both trading and allocation value. The ultra - long bond spread is expected to gradually repair, and in the second half of the fourth quarter, ultra - long bonds may decline more smoothly as the overall bond market strengthens [4][25]. - The current ultra - long bond term spread has significantly deviated from the fitted value, indicating that ultra - long bonds are oversold to some extent, and the space for the spread to continue rising is limited [3][21]. - As long as the liquidity of ultra - long bonds does not decline significantly, the spread is unlikely to return to the level before 2024, and currently, there is no basis for the spread to continue rising [3][24]. 3. Summaries According to Relevant Contents 3.1 Current Situation of Ultra - long Bonds - During the recent bond market adjustment, ultra - long bonds fell significantly, and the 30 - 10 - year Treasury bond term spread widened significantly, rising from about 21bps at the beginning of July to over 30bps, reaching the highest level since 2024 [1][7]. - The 30 - year Treasury bond yield rose from about 1.85% at the beginning of July to about 2.1% (active bond) currently, and the new bond yield rose to around 2.20% [7]. 3.2 Reasons for the Widening of Ultra - long Bond Term Spread - Risk preference: Since July this year, the stock market has risen, and the A - share market has strengthened significantly. The Shanghai Composite Index rose from 3458 points to 3820 points from July to September 19, with a cumulative increase of 10.5%. Due to the stock - bond seesaw effect, the market's investment enthusiasm for bonds declined, and the bond yield adjusted significantly, leading to the widening of the 30 - 10 - year Treasury bond spread [1][9]. - Supply: Since May this year, the issuance of ultra - long - term special Treasury bonds has accelerated. Except for June with a net financing of 19.2 billion yuan, the net financing in other months exceeded 20 billion yuan, significantly higher than the first - half average of 10.97 billion yuan. The issuance of ultra - long - term special Treasury bonds led to an upward movement of secondary - market interest rates and a widening of the term spread [1][13]. - Funds: There is a significant negative correlation between the 30 - 10 - year Treasury bond spread and R007. Since March this year, the capital price has declined significantly. R007 dropped from the high of 2.3% at the beginning of the year to 1.5% in August, and the decline in short - term interest rates intensified the steepness of the yield curve [1][13]. 3.3 Liquidity of Ultra - long Bonds - Since 2023, the turnover rate of ultra - long bonds has increased significantly, and ultra - long bonds have changed from a configuration variety to a trading variety, bringing a price premium to ultra - long bonds. In August, the monthly turnover rate of ultra - long bonds was still as high as 7.6%, indicating that ultra - long bonds still maintain high liquidity [2][16]. 3.4 Pricing Analysis of Ultra - long Bond Term Spread - Using the monthly average of R007, the monthly turnover rate of 30 - year Treasury bonds, the net financing of ultra - long Treasury bonds over 10 years (6M MA), and the Wind All - A Index as explanatory variables, a regression analysis was conducted on the 30 - 10 - year Treasury bond spread. The regression equation has a relatively strong explanatory ability [2][20]. - The current fitted central value of the 30 - 10 - year Treasury bond spread is 22.3bps, and the upper limit is about 27bps. However, the current ultra - long bond spread has exceeded the upper limit of one - standard deviation, indicating that ultra - long bonds are oversold to some extent, and the space for the spread to continue rising is limited [3][21]. - By assuming variables from September to December, the estimated 30 - 10 - year Treasury bond spread central values from September to December are 22.1bps, 22.7bps, 27.0bps, and 28.0bps respectively, all lower than the current spread level above 30bps, indicating that the risk of the ultra - long bond spread continuing to rise in the future is limited [21].