超长债周报：超长债收益率再创新高-20260111

1. Report Industry Investment Rating No information provided. 2. Core View of the Report - Last week, the central bank announced buying bonds worth 50 billion yuan in November, with the purchase scale the same as in October. The open - market had a large - scale net withdrawal, inflation continued to recover in December, and the A - share market had a strong start with both volume and price rising. The bond market first declined and then rose, and the yield of ultra - long bonds reached a new high during the week. The trading activity of ultra - long bonds increased slightly, and both the term spread and the variety spread widened [1][4][11]. - The current bond market is more likely to fluctuate. For the 30 - year treasury bond, as of January 9, the spread between the 30 - year and 10 - year treasury bonds was 42BP, at a relatively low historical level. For the 20 - year CDB bond, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 14BP, at an extremely low historical position. The economic downward pressure increased in November, and the deflation risk continued to ease in December. The economic stabilization since Q4 2024 was mainly due to the central government's leverage - increasing support. Considering no additional treasury bond issuance in Q4 2025 and the decline in the financing growth rate of government bonds in Q4, the domestic economy in Q4 was still under pressure. Also, the Party Central Committee attaches more importance to high - quality development in 2026. With the low absolute level of interest rates, the sharp rise of the A - share market at the beginning of the year, and the large selling pressure of treasury bond futures, investors' sentiment was generally weak. It is expected that the 30 - 10 spread will fluctuate at a high level, and the variety spread of the 20 - year CDB bond will fluctuate in a narrow range [2][3][12][13]. 3. Summary According to the Directory Weekly Review Ultra - long Bond Review - The central bank bought 50 billion yuan of bonds in November, with the scale the same as in October. The open - market had a large - scale net withdrawal, inflation continued to warm up in December, the A - share market had a strong start, the bond market first declined and then rose, and the yield of ultra - long bonds reached a new high during the week. The trading activity of ultra - long bonds increased slightly and was very active. The term spread and variety spread of ultra - long bonds widened [1][11]. Ultra - long Bond Investment Outlook - 30 - year Treasury Bond: As of January 9, the 30 - 10 spread was 42BP, at a relatively low historical level. The economic downward pressure increased in November (GDP growth rate was about 4.1% year - on - year, down 0.1% from October). In December, CPI was 0.8% and PPI was - 1.9%, and the deflation risk continued to ease. The bond market is likely to fluctuate. The 30 - 10 spread is expected to fluctuate at a high level [2][12]. - 20 - year CDB Bond: As of January 9, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 14BP, at an extremely low historical position. Similar to the 30 - year treasury bond, considering economic and market factors, the bond market is likely to fluctuate, and the variety spread of the 20 - year CDB bond is expected to fluctuate in a narrow range [3][13]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 24.3 trillion yuan. As of December 31, the total amount of ultra - long bonds with a remaining term of more than 14 years was 24,432.9 billion yuan (excluding asset - backed securities and project revenue notes), 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 - Last week (January 4 - 9, 2026), the issuance volume of ultra - long bonds increased sharply, reaching 191.6 billion yuan. By variety, local government bonds accounted for the largest share. By term, the 30 - year bonds had the largest issuance volume [20]. This Week's Scheduled Issuance - The announced issuance plan for ultra - long bonds this week is 84.2 billion yuan, including 32 billion yuan of ultra - long treasury bonds, 51.7 billion yuan of ultra - long local government bonds, and 0.5 billion yuan of ultra - long medium - term notes [24]. Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was very active, with a trading volume of 984.1 billion yuan, accounting for 11.3% of the total bond trading volume. The trading activity increased slightly compared with the previous week [28]. Yield - The yield of ultra - long bonds reached a new high during the week. The yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds, CDB bonds, local bonds, and railway bonds all changed to different extents [38]. Spread Analysis - Term Spread: The term spread of ultra - long bonds widened last week, and the absolute level was low. The 30 - 10 spread of benchmark treasury bonds was 42BP, up 1BP from the previous week, at the 27% quantile since 2010 [50]. - Variety Spread: The variety spread of ultra - long bonds widened last week, and the absolute level was low. The spreads between the 20 - year CDB bond and treasury bond, and between the 20 - year railway bond and treasury bond were 14BP and 18BP respectively, up 0BP and 1BP from the previous week, at the 12% and 13% quantiles since 2010 [51]. 30 - year Treasury Bond Futures - Last week, the main contract of the 30 - year treasury bond futures, TL2603, closed at 110.87 yuan, a decline of - 0.48%. The total trading volume was 560,700 lots, and the open interest was 148,200 lots. The trading volume increased significantly, and the open interest increased slightly compared with the previous week [54].