超长债周报：30-10利差冲高回落-20251222

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Last week, after the release of November economic data, the contradiction between strong supply and weak demand in China was prominent, with both production and consumption continuing to decline, but prices showed signs of improvement. The bond market first declined and then rose, showing a small V-shaped trend, slightly recovering throughout the week, and the 30 - 10 Treasury bond spread narrowed slightly [1][4][11][38]. - The trading activity of ultra - long bonds decreased slightly last week, but overall trading was very active. The term spread of ultra - long bonds remained flat, and the variety spread showed mixed trends [1][4][11]. - As of December 19, the spread between 30 - year Treasury bonds and 10 - year Treasury bonds was 41BP, at a historically low level. The spread between 20 - year China Development Bank bonds and 20 - year Treasury bonds was 17BP, at a historically extremely low position. The bond market is more likely to fluctuate currently. It is expected that the 30 - 10 spread will mainly fluctuate at a high level in the near term, and the variety spread of 20 - year China Development Bank bonds will also fluctuate in a narrow range [2][3][12][13]. Summary by Relevant Catalogs Weekly Review Ultra - long Bond Review - After the release of November economic data last week, the bond market first declined and then rose, slightly recovering throughout the week, and the 30 - 10 Treasury bond spread narrowed slightly. The trading activity of ultra - long bonds decreased slightly, but overall trading was very active. The term spread of ultra - long bonds remained flat, and the variety spread showed mixed trends [1][4][11]. Ultra - long Bond Investment Outlook - 30 - year Treasury Bonds: As of December 19, the spread was 41BP, at a historically low level. The economic downward pressure increased in November. The estimated GDP growth rate in October was about 4.1% year - on - year, a 0.1% decline from October. The deflation risk eased in November. The bond market is more likely to fluctuate. It is expected that the 30 - 10 spread will mainly fluctuate at a high level in the near term [2][12]. - 20 - year China Development Bank Bonds: As of December 19, the spread was 17BP, at a historically extremely low position. The economic situation was similar to that of 30 - year Treasury bonds. It is expected that the variety spread of 20 - year China Development Bank bonds will fluctuate in a narrow range [3][13]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 24.3 trillion. As of November 30, ultra - long bonds with a remaining term of over 14 years totaled 243,416 billion, accounting for 15.1% of the total bond balance. Local government bonds and Treasury bonds were the main varieties. By remaining term, the 30 - year variety had the highest proportion [14]. Primary Market Weekly Issuance - The issuance volume of ultra - long bonds dropped sharply last week (December 15 - 19, 2025), totaling 207 million yuan. Compared with the previous week, the total issuance volume decreased significantly. By variety, local government bonds accounted for 203 million yuan, and corporate bonds accounted for 4 million yuan. By term, 15 - year bonds were 74 million yuan, 20 - year bonds were 31 million yuan, and 30 - year bonds were 102 million yuan [19]. This Week's Planned Issuance - The announced issuance plan for ultra - long bonds this week totals 12 million yuan, all of which are ultra - long local government bonds [25]. Secondary Market Trading Volume - The trading of ultra - long bonds was very active last week. The trading volume was 1,230.2 billion yuan, accounting for 14.1% of the total bond trading volume. The trading activity decreased slightly. Compared with the previous week, the trading volume increased by 95.6 billion yuan, and the proportion decreased by 0.5% [27]. Yield - After the release of November economic data last week, the bond market showed a small V - shaped trend and slightly recovered. The 30 - 10 Treasury bond spread narrowed slightly. The yields of Treasury bonds, China Development Bank bonds, local bonds, and railway bonds of different terms changed to varying degrees [38]. Spread Analysis - Term Spread: The term spread of ultra - long bonds remained flat last week, with an absolute low level. The 30 - year - 10 - year Treasury bond spread was 41BP, unchanged from the previous week, at the 22% quantile since 2010 [48]. - Variety Spread: The variety spread of ultra - long bonds showed mixed trends last week, with an absolute low level. The spreads between 20 - year China Development Bank bonds and Treasury bonds and between 20 - year railway bonds and Treasury bonds were 17BP and 20BP respectively, changing by 2BP and - 2BP from the previous week, at the 14% and 15% quantiles since 2010 [50]. 30 - year Treasury Bond Futures - Last week, the main variety of 30 - year Treasury bond futures, TL2603, closed at 112.66 yuan, with a 0.00% increase. The total trading volume was 658,100 lots (- 26,189 lots), and the open interest was 141,900 lots (- 718 lots). Both the trading volume and open interest decreased slightly compared with the previous week [55].