超长债周报：TL崩盘式下跌再创新低-20260105

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The long - term bond market is more likely to fluctuate. For 30 - year treasury bonds and 20 - year CDB bonds, considering factors such as economic pressure in Q4 2026, the central government's emphasis on high - quality development, low interest rates, market desensitization to positive factors, and large selling pressure in treasury bond futures, the bond market is expected to fluctuate. The 30 - 10 spread of 30 - year treasury bonds is expected to fluctuate at a high level, and the spread of 20 - year CDB bonds is expected to fluctuate narrowly [2][3]. - Last week, long - term bonds tumbled again. The yield of long - term varieties increased due to the mention of expanding fiscal expenditure at the fiscal work conference and the rebound of the manufacturing PMI in December. The trading activity of long - term bonds changed little but was very active. The term spread widened, and the variety spread narrowed [1][4]. 3. Summary by Relevant Catalogs Weekly Review Long - term Bond Review - Last week, long - term bonds tumbled again. The yield of long - term varieties increased as the fiscal work conference mentioned expanding fiscal expenditure and the manufacturing PMI in December rebounded 0.9 to 50.1, returning to the boom - bust line for the first time since April. In terms of trading, the trading activity of long - term bonds changed little but was very active. The term spread widened, and the variety spread narrowed [1][4]. Long - term Bond Investment Outlook - 30 - year Treasury Bonds: As of December 31, the spread between 30 - year and 10 - year treasury bonds was 40BP, at a historically low level. In November, the economic downward pressure continued to increase, with the estimated GDP growth rate of about 4.1%, a 0.1% decline from October. The deflation risk eased with CPI at 0.7% and PPI at - 2.2%. The bond market is more likely to fluctuate. The economic stabilization since Q4 last year was mainly due to central government leverage. Without additional treasury bond issuance in Q4 2026, the government bond financing growth rate is expected to decline rapidly, and the economy will still face pressure. The central government attaches more importance to high - quality development in 2026. Also, the absolute level of interest rates is low, the market is desensitized to positive factors, and the selling pressure of treasury bond futures is large. The 30 - 10 spread is expected to fluctuate at a high level [2]. - 20 - year CDB Bonds: As of December 31, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 16BP, at a historically extremely low level. The economic situation in November was similar to that of 30 - year treasury bonds. The bond market is more likely to fluctuate. Considering the short - term bond market fluctuation, the variety spread of 20 - year CDB bonds is expected to fluctuate narrowly [3]. Long - term Bond Basic Overview - The balance of long - term bonds is 24.4 trillion. As of December 31, long - term bonds with a remaining term of over 14 years totaled 244,329 billion, accounting for 15.1% of all bonds. Local government bonds and treasury bonds are the main varieties. By variety, treasury bonds accounted for 28.2%, local government bonds 66.4%, etc. By remaining term, the 25 - 35 - year variety accounted for the highest proportion at 40.2% [13]. Primary Market Weekly Issuance - Last week, there was no issuance of long - term bonds. Compared with the week before last, the total issuance volume decreased significantly. By variety and term, the issuance volume was all 0 [18]. This Week's Pending Issuance - The announced long - term bond issuance plan this week totals 929 billion, all of which are long - term local government bonds [20]. Secondary Market Trading Volume - Last week, the trading of long - term bonds was very active, with a turnover of 4,075 billion, accounting for 11.1% of all bonds. By variety, the turnover and proportion of different types of long - term bonds are as follows: long - term treasury bonds accounted for 35.1% of all treasury bonds, long - term local bonds 50.1% of all local bonds, etc. The trading activity decreased. Compared with the week before last, the turnover and proportion of long - term bonds changed: the turnover decreased by 1,607 billion, and the proportion decreased by 1.0%. The turnover and proportion of different types of long - term bonds also changed accordingly [23]. Yield - Last week, long - term bonds tumbled again. The yield of long - term varieties increased. For treasury bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by 2BP, 4BP, 4BP, and 4BP to 2.14%, 2.25%, 2.27%, and 2.48% respectively. Similar changes occurred in CDB bonds, local bonds, and railway bonds. For representative individual bonds, the yield of the 30 - year treasury bond active bond 25 extra - long special treasury bond 02 changed by 4.35BP to 2.26%, and the yield of the 20 - year CDB bond active bond 21 CDB 20 changed by 5BP to 2.32% [32][37]. Spread Analysis - Term Spread: Last week, the term spread of long - term bonds widened, and the absolute level was low. The 30 - 10 spread of benchmark treasury bonds was 40BP, a 2BP change from the week before last, at the 27% quantile since 2010 [43]. - Variety Spread: Last week, the variety spread of long - term bonds narrowed, and the absolute level was low. The spreads between the benchmark 20 - year CDB bonds and treasury bonds, and 20 - year railway bonds and treasury bonds were 16BP and 16BP respectively, with changes of 0BP and - 4BP from the week before last, at the 13% and 11% quantiles since 2010 [44]. 30 - year Treasury Bond Futures - Last week, the main variety of 30 - year treasury bond futures, TL2603, closed at 111.41 yuan, a decrease of 1.37%. The total trading volume was 343,900 lots (- 216,035 lots), and the open interest was 142,100 lots (- 2,500 lots). The trading volume decreased significantly, and the open interest decreased slightly [48].