超长债周报：超长债交投活跃度小幅下降-20251026

Report Industry Investment Rating No information provided. Core Viewpoints - The GDP growth rate in Q3 was 4.8% year-on-year, in line with expectations, but the year-on-year growth rates of fixed asset investment and total retail sales of consumer goods in September continued to decline, indicating short-term economic pressure. With the initiation of China-US dialogue, Europe's support for a ceasefire in the Russia-Ukraine conflict, and the Shanghai Composite Index reaching new highs, the bond market slightly corrected, and ultra-long bonds declined slightly. The trading activity of ultra-long bonds decreased slightly last week, but remained very active. Both the term spread and variety spread of ultra-long bonds narrowed last week [1][3][10]. - Considering the economic data, the probability of a bond market rebound is high. With the low probability of additional treasury bond issuance in Q4, the government bond financing growth rate is expected to continue to decline, and the domestic economy will still face pressure. The 30-10 spread is expected to compress periodically, and the variety spread of 20-year CDB bonds is also expected to compress again in the short term [2][3][11]. Summary by Directory Weekly Review - Ultra-long Bond Review: The Q3 GDP growth rate was 4.8% year-on-year, meeting expectations, but the year-on-year growth rates of fixed asset investment and total retail sales of consumer goods in September continued to decline, indicating short-term economic pressure. The bond market slightly corrected, and ultra-long bonds declined slightly. The trading activity of ultra-long bonds decreased slightly but remained very active. Both the term spread and variety spread of ultra-long bonds narrowed [1][10]. - Ultra-long Bond Investment Outlook: As of October 26, the spread between 30-year treasury bonds and 10-year treasury bonds was 36BP, at a historically low level. The spread between 20-year CDB bonds and 20-year treasury bonds was 12BP, at a historically extremely low level. Considering the economic data, the probability of a bond market rebound is high. The 30-10 spread is expected to compress periodically, and the variety spread of 20-year CDB bonds is also expected to compress again in the short term [2][3][11]. - Ultra-long Bond Basic Overview: As of September 30, the balance of ultra-long bonds with a remaining term of over 14 years was 23.7802 trillion yuan, accounting for 15.0% of the total bond balance. Local government bonds and treasury bonds are the main varieties. By remaining term, the 30-year variety has the highest proportion [13]. Primary Market - Weekly Issuance: The issuance volume of ultra-long bonds surged last week. A total of 118.1 billion yuan of ultra-long bonds were issued, all of which were local government bonds. By term, 12.6 billion yuan had a 15-year term, 37.7 billion yuan had a 20-year term, and 67.8 billion yuan had a 30-year term [18]. - This Week's Planned Issuance: The planned issuance volume of ultra-long bonds announced this week is 105.1 billion yuan, all of which are ultra-long local government bonds [24]. Secondary Market - Trading Volume: The trading of ultra-long bonds was very active last week, with a trading volume of 1.0317 trillion yuan, accounting for 11.5% of the total bond trading volume. The trading activity of ultra-long bonds decreased slightly. Compared with the previous two weeks, the trading volume decreased by 47.5 billion yuan, and the proportion decreased by 0.3% [27]. - Yield: The Q3 GDP growth rate was 4.8% year-on-year, meeting expectations, but the year-on-year growth rates of fixed asset investment and total retail sales of consumer goods in September continued to decline, indicating short-term economic pressure. The bond market slightly corrected, and ultra-long bonds declined slightly. The yields of 15-year, 20-year, 30-year, and 50-year treasury bonds changed by 3BP, 3BP, 1BP, and 4BP respectively, reaching 2.09%, 2.20%, 2.21%, and 2.29%. The yields of 15-year, 20-year, 30-year, and 50-year CDB bonds changed by 2BP, 3BP, 1BP, and 4BP respectively, reaching 2.20%, 2.32%, 2.38%, and 2.45% [3][35]. - Spread Analysis: The term spread of ultra-long bonds narrowed last week, and the absolute level was low. The variety spread of ultra-long bonds also narrowed, and the absolute level was low. The 30-year - 10-year spread of treasury bonds was 36BP, 2BP lower than the previous two weeks, at the 17% quantile since 2010. The spreads between 20-year CDB bonds and treasury bonds and between 20-year railway bonds and treasury bonds were 12BP and 13BP respectively, with changes of 0BP and -6BP compared to the previous two weeks, at the 10% and 9% quantiles since 2010 [41][46]. 30-Year Treasury Bond Futures - The main contract of 30-year treasury bond futures, TL2512, closed at 115.01 yuan, a decrease of 0.74%. The total trading volume was 693,100 lots (-28,779 lots), and the open interest was 176,100 lots (-8,882 lots). Both the trading volume and open interest decreased slightly compared to the previous two weeks [48].