债券研究周报：30年国债的逼空行情-20260125

Report Information - Report Date: January 25, 2026 [1] - Report Title: Bond Research Weekly Report: "Short Squeeze" in 30-Year Treasury Bonds [2] - Analysts: Yan Ziqi, Hong Ziyan [6] Industry Investment Rating - Not provided in the given content Core Views - The bond market was strong from January 19th to 23rd, with the 30-year Treasury bond standing out. The yield of the active bond 2500006 dropped nearly 5bp, mainly on the 20th and 21st. There was a "short squeeze" in the 30-year Treasury bond market [7][13]. - The "short squeeze" was triggered by short sellers covering their positions due to the downward trend of interest rates. The high bond lending volume at the beginning of the week and the non - exceeding - expectation of the press conference on Tuesday led to a downward trend in interest rates, and the short - covering by securities firms exacerbated the decline [7][13]. - The "short squeeze" can be verified from multiple perspectives, including the trading volume hitting a new high, event - driven and short - covering on the 20th, fund chasing on the 21st, and the spread strategy being one of the reasons for the increase in bond lending volume [7][14]. - In the future, the trading volume in the bond market will remain strong, and the spread strategy may become more popular. If the interest rate of new bonds is high after issuance, the current active bonds may be lent and sold more, and attention should be paid to the upward risk of interest rates. If the interest rate does not rise, attention should be paid to the excess buying power brought by short - covering after the downward signal of interest rates [8][15]. Summary by Directory 1. This Week's Bond Market Review - The bond market was strong from January 19th to 23rd, with the 30-year Treasury bond being prominent. The yield of the active bond 2500006 dropped nearly 5bp, mainly on the 20th and 21st. There was a "short squeeze" in the 30-year Treasury bond market. The "short squeeze" was caused by short sellers covering their positions due to the downward trend of interest rates, and the short - covering by securities firms exacerbated the decline [7][13]. - The "short squeeze" can be verified from four perspectives: after the lending volume hit a new high, the trading volume was difficult to push down the price; on the 20th, the event and short - covering drove the 30-year Treasury bond yield down rapidly; on the 21st, fund chasing made the 30-year Treasury bond continue to be strong; the spread strategy may be one of the reasons for the increase in bond lending volume, and the spread between 260002 and 2500006 narrowed from 8.4bp on January 15th to 4.7bp on January 23rd [7][14][15]. 2. Bond Yield Curve Tracking 2.1 Key Maturity Interest Rates and Spread Changes - As of January 23rd, compared with January 19th, the 1Y Treasury bond yield dropped 0.65bp to 1.28%, the 10Y Treasury bond yield dropped 0.95bp to 1.83%, and the 30Y Treasury bond yield dropped 5.46bp to 2.29%. The spread between the 30Y and 10Y Treasury bonds dropped 4.51bp to 45.73bp, and the spread between the 10Y China Development Bank bond and 10Y Treasury bond dropped 3.57bp to 14.37bp [16]. 2.2 Treasury Bond Maturity Spread Changes - As of January 23rd, compared with January 19th, the 3Y - 1Y Treasury bond spread dropped 2.02bp to 18.62bp, the 5Y - 3Y spread dropped 0.13bp to 18.13bp, the 7Y - 5Y spread dropped 0.17bp to 10.59bp, the 10Y - 7Y spread rose 1.84bp to 12.66bp, the 20Y - 10Y spread rose 0.81bp to 42.10bp, and the 30Y - 20Y spread rose 1.96bp to 4.02bp [17]. 3. Bond Market Leverage and Funding Situation 3.1 Bank - to - Bank Pledged Repurchase Balance - As of January 23rd, compared with January 19th, the bank - to - bank pledged repurchase balance dropped 0.20pct to 12.35 billion yuan [20]. 3.2 Bank - to - Bank Bond Market Leverage Ratio Change - As of January 23rd, compared with January 19th, the bank - to - bank bond market leverage ratio dropped 0.26pct to 107.38% [21]. 3.3 Pledged Repurchase Transaction Volume - From January 19th to January 23rd, the average daily pledged repurchase transaction volume was 8.57 trillion yuan, and the average daily overnight pledged repurchase transaction volume was about 7.75 trillion yuan, with an average overnight transaction ratio of 90.49% [26][29]. 3.4 Bank - to - Bank Funding Operation Situation - From January 19th to January 23rd, bank funding supply first decreased and then increased. As of January 23rd, large - scale banks' net funding supply was 5.10 trillion yuan, small - and medium - scale banks' net funding demand was 0.41 trillion yuan, and the net funding supply of the banking system was 4.69 trillion yuan. As of January 23rd, DR001 was 1.3983%, DR007 was 1.4935%, R001 was 1.4654%, and R007 was 1.5360% [30]. 4. Duration of Medium - and Long - Term Bond Funds 4.1 Median Duration of Bond Funds - As of January 23rd, the median duration of medium - and long - term bond funds (de - leveraged) was 2.62 years, up 0.02 years compared with January 19th; the median duration (including leverage) was 2.73 years, up 0.01 years compared with January 19th [39]. 4.2 Median Duration of Interest - Rate Bond Funds - As of January 23rd, the median duration of interest - rate bond funds (including leverage) was 3.54 years, down 0.06 years compared with January 19th; the median duration of credit - bond funds (including leverage) was 2.51 years, up 0.02 years compared with January 19th. The median duration of interest - rate bond funds (de - leveraged) was 3.31 years, up 0.02 years compared with January 19th; the median duration of credit - bond funds (de - leveraged) was 2.41 years, up 0.01 years compared with January 19th [45]. 5. Bond Lending Balance Change - As of January 23rd, compared with January 19th, the borrowing volume of 10Y China Development Bank bonds fluctuated [48].