固定收益定期：单跌超长债背后的总量缺口和结构压力

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall bond market is expected to strengthen gradually in the future due to increased capital supply and decreased financing demand, but there will be structural challenges, especially for ultra - long bonds. The adjustment of ultra - long bonds may be nearing the end, but their stabilization depends on the changes in the selling power of trading institutions. The slope of the yield curve next year may be more determined by regulations. The structural pressure on ultra - long bonds is expected to ease in mid - to late December. It is recommended to conduct right - side trading and wait for the market to stabilize before making allocations. The bond market is expected to have a trending market from the end of this year to the first quarter of next year, and the 10 - year Treasury bond yield may hit a new low in the first quarter of next year [3][4][5] 3. Summary by Related Contents 3.1 Current Bond Market Situation - This week, the bond market saw a unilateral adjustment in ultra - long bonds. The 30 - year Treasury bond yield rose significantly by 7.2 bps to 2.26%, and the 50 - year Treasury bond yield soared by 9.7 bps. However, Treasury bonds with maturities of 10 years and less remained stable, with the 10 - year Treasury bond yield rising only slightly by 0.7 bps, and the yields of 1 - 3 - year Treasury bonds even declining slightly. Government financial bonds and Tier 2 capital bonds, which are held more concentratedly by public funds, also adjusted along with ultra - long bonds. The yield of 1 - year AAA certificates of deposit rose by 1 bps to 1.66% this week [1][8] 3.2 Reasons for the Overall Bond Market Strength 3.2.1 Capital Supply - The real estate slowdown will increase the capital supply in the bond market. The sum of the scales of household deposits, wealth management products, insurance, money market funds, and bond funds, which represents the capital source of the broad fixed - income market, showed a decline in growth in the first half of this year but has rebounded in recent months, mainly due to the impact of real estate. As household savings are relatively stable, but the structure of incremental household savings may change significantly, there is a high negative correlation between housing and low - risk financial assets. The recovery of real estate sales from the fourth quarter of last year to the first quarter of this year diverted the capital inflow into broad fixed - income assets, but with the recent weakening of the real estate market, the capital inflow into broad fixed - income assets such as household deposits and insurance premiums is expected to increase again in the next few months [2][12] 3.2.2 Financing Demand - The decline in the social financing growth rate means that the growth rate of asset supply will slow down in the next few months. This year, the year - on - year growth rate of social financing rebounded from 8.0% at the end of last year to a maximum of 9.0% in the middle of this year, mainly driven by government bonds, with government bonds increasing by nearly 3 trillion yuan year - on - year. Assuming a fiscal deficit of 4%, a special Treasury bond of 2 trillion yuan, and new special bonds of 4.5 trillion yuan next year, government bonds will increase by about 500 billion yuan compared with this year, a significantly smaller increase than this year. If the non - government bond social financing increment remains the same as this year, the social financing growth rate may slow down again in the first half of next year [3][13] 3.3 Reasons for the Adjustment of Ultra - Long Bonds - Banks, especially large - scale banks, have taken on a large amount of long - term bonds, resulting in excessive pressure on some indicators such as △EVE. Recently, the slowdown in insurance premium income and the shift of asset allocation towards equities have led to insufficient allocation power from traditional ultra - long bond buyers such as insurance companies. After the positions of trading institutions became too concentrated, concentrated selling led to a rapid adjustment in ultra - long bonds [3][19] 3.4 Future Outlook for Ultra - Long Bonds - After rapid selling by trading institutions such as funds and securities firms, their positions have decreased significantly, reducing the room for further selling. As the yield of ultra - long bonds adjusts, their relative cost - effectiveness has changed. The spread between mortgage loans and 30 - year Treasury bonds is at the lowest level since the third quarter of 2017, and the spread between mortgage loans and 30 - year local government bonds is at the lowest level since relevant data became available, increasing the attractiveness of ultra - long bonds to allocation - oriented institutions. Therefore, the adjustment of ultra - long bonds may be nearing the end, but their stabilization still needs to be observed in terms of the selling power of trading institutions [4][19] 3.5 Outlook for the Bond Market Structure Next Year - The slope of the yield curve next year may be more determined by regulations. If regulations continue to impose the same constraints on interest - rate risk indicators as this year, large - scale banks may continue to sell ultra - long bonds in the market, leading to a steeper yield curve. If regulations are adjusted or the central bank broadens the maturity range of bond purchases, the steepness of the yield curve will improve. The adjustment of regulatory indicators and the timing of such adjustments are highly uncertain. It is expected that the pressure on the long end will ease from the end of this year to the beginning of next year, and the slope of the yield curve is expected to recover [4][21] 3.6 Short - Term Outlook and Investment Recommendations - The overall supply - demand pattern will continue to drive the bond market to strengthen, and the structural pressure is expected to ease in mid - to late December. In the short term, the pressure on ultra - long bonds caused by selling by large - scale banks and trading institutions such as funds and securities firms still exists. It is expected that as the pressure on large - scale banks' indicators eases and the cost - effectiveness of ultra - long bonds increases after adjustment, allocation - oriented institutions will gradually increase their allocations, and the pressure is expected to ease starting in mid - to late December. Therefore, it is recommended to conduct right - side trading and wait for the market to stabilize before making allocations [5][22]