固定收益策略报告：超长债的供需隐忧-20251130

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The supply of ultra - long government bonds is expected to remain at a high level in 2026, with the issuance scale possibly reaching 6.7 trillion yuan. Meanwhile, the demand side may experience a marginal slowdown, so attention should be paid to the upward pressure on the ultra - long - end spread in 2026 [3][14][31] - The trading rhythm of the current bond market may be different from previous years. Without a rate cut, there is limited room for compression of short - term and term spreads, and the bond market may not have an obvious trending market [6][32] 3. Summary by Related Catalogs 3.1 Strategy Thinking: Concerns about the Supply and Demand of Ultra - long Bonds - Supply - side situation - The supply of government bonds shows a "long - term" characteristic, which is likely to continue in 2026. The proportion of government bonds with a term of over 10 years in 2024 - 2025 was about a quarter. In 2026, the total issuance of government bonds is estimated to be 25.8 trillion yuan, and the issuance scale of ultra - long - end government bonds may reach 6.7 trillion yuan [3][9][14] - The long - term trend in government bond supply is due to factors such as the need to disperse maturity peaks, lock in long - term financing costs, the shift of fiscal expenditure to long - term projects, and the issuance of special bonds [13] - Demand - side situation - The "strong demand + improved liquidity" pattern may not continue. The improvement in ultra - long - end liquidity is approaching its limit, and its marginal contribution to compressing term spreads is weakening [5][18][19] - Demand from various institutions is expected to decline marginally. Funds may continue to reduce their demand for ultra - long bonds; the insurance industry's allocation intensity may slow down; wealth management products have limited demand for ultra - long bonds; and banks mainly passively accept supply [5][21][31] 3.2 Transaction Review: Increase in Medium - and Long - term Yields - Central bank operations and funds - The central bank had a net capital withdrawal of 642 billion yuan this week, but the MLF had a net injection of 100 billion yuan. The funds smoothly crossed the month, and the central levels of DR001, DR007, and DR014 decreased [33] - Yield changes - Most medium - and long - term treasury bond yields increased this week. The 10 - year treasury bond yield rose 2bp to 1.84%, and the 10 - 1 term spread widened by 2bp to 44bp [35] - The yield first increased and then decreased. It was affected by market expectations, bond price fluctuations of Vanke, and broad - money expectations during the week [35][36] - Other indicators - The median duration of public funds decreased by 0.04 to 2.96 years from November 24th to November 28th, and the duration divergence index remained at 0.56 [41] - Among the ten interest rate synchronization indicators, "positive" and "negative" signals each accounted for 5/10, and the US dollar index sent a "negative" signal [43]