债市快评：30-10 利差怎么看？

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Since the third quarter, the 30 - 10 spread has widened rapidly, which is related to the marginal changes in the factors compressing the spread. The macro - narrative has changed, and the tax policy adjustment in August had a more obvious impact on the 30 - year Treasury yield. Looking ahead, the 30 - 10 spread is expected to compress again. The spread has adjusted significantly, the 30 - year Treasury still has liquidity advantages, and the demand for the 30 - year Treasury will improve with the bond market rebound [2]. Summary by Related Content 1. Widening of the 30 - 10 Spread since the Third Quarter - From late July to mid - September, the 30 - 10 spread rose from 20BP to 30BP. From mid - September to October 14, it further widened by 13BP to 43BP, returning to the level in September 2022 [3]. 2. Long - term Characteristics and Historical Performance of the 30 - 10 Spread - The 30 - 10 spread shows a long - term mean - reversion trend. From 2006 - 2023, the average spread was 56BP, with an upper limit of 70 - 80BP (maximum over 90BP in early 2009) and a lower limit of 20 - 30BP (minimum less than 20BP in mid - 2007). In most cases, it moves inversely to the 10 - year Treasury yield. In 2024, it broke through the historical low, compressing to around 10BP and oscillating in the [10BP - 30BP] range from 2024 to the first half of 2025 [6][7][8]. 3. Reasons for the Extreme Compression of the 30 - 10 Spread in the Past Two Years - The increase in the trading volume and proportion of 30 - year Treasuries led to a liquidity premium, which supported the spread compression. The reasons for the increased activity of 30 - year Treasuries include investors' increased demand for long - duration bonds due to economic concerns, the preference of insurance institutions for long - duration bonds, the large - scale issuance of 30 - year Treasuries, and the issuance of 30 - year Treasury ETFs [12][13]. 4. Marginal Changes in Factors Supporting Spread Narrowing in the Third Quarter - The macro - narrative has changed, with better - than - expected economic performance, reduced deflation expectations, and a strong equity market suppressing the bond market, weakening the demand for 30 - year Treasuries. The tax policy adjustment in August had a greater impact on the 30 - year Treasury yield. The trading volume proportion of ultra - long Treasuries has declined since August [20]. 5. Outlook for the 30 - 10 Spread - In the short term, the 30 - 10 spread is expected to compress again. The spread has adjusted significantly, the 30 - year Treasury still has liquidity advantages, and the demand for the 30 - year Treasury will improve with the bond market rebound. In the long - term, the probability of the spread returning below 20BP is small as the market's economic expectations improve and 20BP is at the lower limit of historical fluctuations [21].