超长债周报： 30-10 利差有望阶段性压缩-20251020

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Despite the escalation of Sino-US trade frictions last week, the export data in September remained strong. With inflation rising year-on-year, financial data under pressure, and the sharp decline of A-shares, the bond market rebounded from the bottom, and the trading of ultra-long bonds was very active [1][3][10][37]. - The economic data shows downward pressure, and deflation risks still exist. It is expected that the bond market will rebound in October. The 30 - 10 spread and the 20 - year China Development Bank bond spread are expected to compress [2][3][11][12]. Summary by Directory Weekly Review Ultra-long Bond Review - Last week, despite the escalation of Sino-US trade frictions, the export data in September was still strong. With inflation rising year-on-year, financial data under pressure, and the sharp decline of A-shares, the bond market oscillated and recovered, and ultra-long bonds rebounded from the bottom [1][10][37]. - In terms of trading, the trading activity of ultra-long bonds increased slightly and was very active. In terms of spreads, the term spread of ultra-long bonds narrowed, and the variety spread widened [1][10][4]. Ultra-long Bond Investment Outlook - 30-year Treasury Bonds: As of October 17, the spread between 30-year and 10-year Treasury bonds was 38BP, at a historically low level. Considering the economic data and the upcoming release of Q3 economic data, it is expected that the bond market will rebound, and the 30 - 10 spread will compress [2][11]. - 20-year China Development Bank Bonds: As of October 17, the spread between 20-year China Development Bank bonds and 20-year Treasury bonds was 10BP, at a historically very low level. With the expected rebound of the bond market, the variety spread of 20-year China Development Bank bonds is expected to compress again in the short term [3][12]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds is 23.7 trillion. As of September 30, the total amount of ultra-long bonds with a remaining maturity of over 14 years was 23.7802 trillion, accounting for 15.0% of the total bond balance [13]. - Local government bonds and Treasury bonds are the main varieties of ultra-long bonds. By variety, Treasury bonds accounted for 27.0%, local government bonds 67.3%, and others accounted for relatively small proportions [13]. - The 30-year variety has the highest proportion. By remaining maturity, the 25 - 35 year (inclusive) variety accounted for 39.9%, the highest [13]. Primary Market Weekly Issuance - Last week, the issuance of ultra-long bonds increased slowly. A total of 57.7 billion yuan of ultra-long bonds were issued, mainly including 40 billion yuan of Treasury bonds and 17.7 billion yuan of local government bonds [20]. - By maturity, 50.4 billion yuan had a 20-year maturity, 6.1 billion yuan a 30-year maturity, and 1.3 billion yuan a 15-year maturity [20]. This Week's Planned Issuance - The announced issuance plan for ultra-long bonds this week totals 118.1 billion yuan, all of which are ultra-long local government bonds [26]. Secondary Market Trading Volume - Last week, the trading of ultra-long bonds was very active. The trading volume was 1.0792 trillion yuan, accounting for 11.8% of the total bond trading volume [29]. - By variety, ultra-long Treasury bonds had a trading volume of 894.9 billion yuan, ultra-long local bonds 156.5 billion yuan, ultra-long policy financial bonds 6.1 billion yuan, and ultra-long government agency bonds 6.7 billion yuan [30]. - Compared with the week before last, the trading activity of ultra-long bonds increased slightly, with the trading volume and proportion of most varieties changing to varying degrees [30]. Yield - Last week, due to various factors, the bond market rebounded from the bottom. The yields of Treasury bonds, China Development Bank bonds, local bonds, and railway bonds of different maturities changed to varying degrees [37]. - For representative individual bonds, the yield of the 30-year Treasury bond active bond 25 ultra-long special Treasury bond 02 decreased by 1.6BP to 2.068%, and the yield of the 20-year China Development Bank bond active bond 21 China Development Bank 20 decreased by 1.5BP to 2.175% [38]. Spread Analysis - Term Spread: Last week, the term spread of ultra-long bonds narrowed, and the absolute level was low. The 30 - 10 spread of benchmark Treasury bonds was 38BP, 4BP lower than the week before last, at the 19% quantile since 2010 [4][46]. - Variety Spread: Last week, the variety spread of ultra-long bonds widened, and the absolute level was low. The spreads between 20-year China Development Bank bonds and Treasury bonds, and between 20-year railway bonds and Treasury bonds were at the 10% and 13% quantiles since 2010 respectively [4][52]. 30-year Treasury Bond Futures - Last week, the main contract of the 30-year Treasury bond futures, TL2512, closed at 115.87 yuan, an increase of 1.67%. The total trading volume was 721,900 lots (197,094 lots), and the open interest was 185,000 lots (11,589 lots), both increasing significantly compared with the week before last [56].