超长债周报：30-10利差继续走阔-20250928

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the central bank restarted 14 - day reverse repurchase operations. With a tight end - of - quarter liquidity situation, market rumors about fund fee reform and large banks' bond purchases, the bond market first declined and then rebounded, and the yields of ultra - long bonds reached new highs. The trading activity of ultra - long bonds increased slightly, and both the term spread and variety spread of ultra - long bonds widened [1][9][36]. - As of September 26, the spread between 30 - year and 10 - year treasury bonds was 35BP, at a relatively low historical level; the spread between 20 - year CDB bonds and 20 - year treasury bonds was 8BP, at an extremely low historical level. In August, the downward pressure on the domestic economy continued to increase, with the estimated GDP year - on - year growth rate at about 3.8%, a decline from July. There was still deflation risk with CPI at - 0.4% and PPI at - 2.9%. The bond market adjustment was mainly due to the disappointment in 2024 and changes in the macro - narrative. Since late August, stocks and bonds have gradually become desensitized. Considering the sluggish economy in August, it is expected that the trading focus of the bond market will shift to fundamentals, and the bond market is expected to rebound in the short term [2][3][10]. 3. Summary by Relevant Catalogs 3.1 Weekly Review 3.1.1 Ultra - long Bond Review - The central bank restarted 14 - day reverse repurchase operations last week. With a tight end - of - quarter liquidity situation, market rumors about fund fee reform and large banks' bond purchases, the bond market first declined and then rebounded, and the yields of ultra - long bonds reached new highs. The trading activity of ultra - long bonds increased slightly and was very active. Both the term spread and variety spread of ultra - long bonds widened [1][9]. 3.1.2 Ultra - long Bond Investment Outlook - 30 - year Treasury Bonds: As of September 26, the spread between 30 - year and 10 - year treasury bonds was 35BP, at a relatively low historical level. In August, the downward pressure on the domestic economy continued to increase, and there was still deflation risk. The bond market adjustment was mainly due to the disappointment in 2024 and changes in the macro - narrative. It is expected that the trading focus of the bond market will shift to fundamentals, and the bond market is expected to rebound in the short term [2][10]. - 20 - year CDB Bonds: As of September 26, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 8BP, at an extremely low historical level. Similar to the situation of 30 - year treasury bonds, it is expected that the trading focus of the bond market will shift to fundamentals, and the bond market is expected to rebound in the short term [3][11]. 3.1.3 Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 23.3 trillion. As of August 31, the total amount of ultra - long bonds with a remaining term of more than 14 years was 233,878 billion (excluding asset - backed securities and project revenue notes), accounting for 14.9% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By remaining term, the 30 - year variety had the highest proportion [12]. 3.2 Primary Market 3.2.1 Weekly Issuance - Last week, the issuance volume of ultra - long bonds was relatively large, but it decreased significantly compared with the week before last. A total of 1,386 billion yuan of ultra - long bonds were issued, all of which were local government bonds. By term, 161 billion yuan with a 15 - year term, 482 billion yuan with a 20 - year term, and 743 billion yuan with a 30 - year term were issued [19]. 3.2.2 This Week's Planned Issuance - The announced ultra - long bond issuance plan for this week is 256 billion yuan, all of which are ultra - long local government bonds [25]. 3.3 Secondary Market 3.3.1 Trading Volume - Last week, the trading of ultra - long bonds was very active, with a trading volume of 12,544 billion yuan, accounting for 13.4% of the total bond trading volume. The trading activity of ultra - long bonds decreased slightly. Compared with the week before last, the trading volume increased by 91 billion yuan, and the proportion decreased by 0.1% [29]. 3.3.2 Yields - The central bank restarted 14 - day reverse repurchase operations last week. With a tight end - of - quarter liquidity situation, market rumors about fund fee reform and large banks' bond purchases, the bond market first declined and then rebounded, and the yields of ultra - long bonds reached new highs. The yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds changed by 1BP, 3BP, 2BP, and 3BP respectively [36]. 3.3.3 Spread Analysis - Term Spread: The term spread of ultra - long bonds widened last week, and the absolute level was relatively low. The benchmark 30 - year - 10 - year treasury bond spread was 35BP, a change of 3BP from the week before last, at the 15% quantile since 2010 [46]. - Variety Spread: The variety spread of ultra - long bonds widened last week, and the absolute level was relatively low. The benchmark spread between 20 - year CDB bonds and treasury bonds was 8BP, and the spread between 20 - year railway bonds and treasury bonds was 19BP, with changes of 1BP and 4BP respectively from the week before last, at the 8% and 13% quantiles since 2010 [47]. 3.4 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2512 closed at 114.19 yuan, a decrease of 0.6%. The total trading volume was 742,500 lots (- 56,124 lots), and the open interest was 171,700 lots (an increase of 2,178 lots). The trading volume decreased significantly compared with the week before last, and the open interest increased slightly [53].