超长债周报：金融市场大幅波动，超长债微跌-20260201

Report Industry Investment Rating No information provided. Core View - Last week, the A-share market rose and then fell, there were rumors that the central bank would introduce a liquidity management tool for overnight interest rates, the gold price plunged from a high level, the bond market consolidated at a high level, and ultra-long bonds made minor adjustments. The trading activity of ultra-long bonds decreased slightly but remained very active, and both the term spread and the variety spread of ultra-long bonds narrowed [1][10]. - For the 30-year treasury bond, as of January 30, the spread between the 30-year and 10-year treasury bonds was 46BP, at a historically low level. Considering the economic data and policies, the probability of a bond market correction in February is higher, and the 30-10 spread is expected to fluctuate at a high level in the short term [2][11]. - For the 20-year CDB bond, as of January 30, the spread between the 20-year CDB bond and the 20-year treasury bond was 14BP, at a historically extremely low level. Similar to the 30-year treasury bond, the probability of a bond market correction in February is higher, and the variety spread of the 20-year CDB bond is expected to continue to fluctuate narrowly [3][12]. Summary by Relevant Catalogs Weekly Review - Ultra-long Bond Review - Last week, the A-share market rose and then fell, there were rumors of a central bank liquidity management tool, the gold price plunged, the bond market consolidated at a high level, and ultra-long bonds made minor adjustments. The trading activity of ultra-long bonds decreased slightly but was still very active. The term spread and variety spread of ultra-long bonds narrowed [1][10]. Weekly Review - Ultra-long Bond Investment Outlook - 30-year Treasury Bond: As of January 30, the 30-10 spread was 46BP, at a low historical level. The economic downward pressure in December was alleviated, with a GDP growth of about 4.5% and a 0.4% increase from November. The deflation risk continued to ease. The probability of a bond market correction in February is higher due to factors such as the weakening government support and the expected strengthening of the stock-bond seesaw effect. The 30-10 spread is expected to fluctuate at a high level in the short term [2][11]. - 20-year CDB Bond: As of January 30, the spread between the 20-year CDB bond and the 20-year treasury bond was 14BP, at a historically extremely low level. Similar to the 30-year treasury bond, the economic situation in December improved, and the probability of a bond market correction in February is higher. The variety spread of the 20-year CDB bond is expected to continue to fluctuate narrowly [3][12]. Weekly Review - Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds is 24.8 trillion. As of January 31, the total amount of ultra-long bonds with a remaining term of over 14 years was 248,306 billion, accounting for 15.1% of all bonds. Local government bonds and treasury bonds are the main varieties. By remaining term, the 30-year variety has the highest proportion [13]. Primary Market - Weekly Issuance - Last week (January 26 - 30, 2026), the issuance volume of ultra-long bonds surged to 2,525 billion yuan. Compared with the previous week, the total issuance volume increased significantly. By variety, local government bonds accounted for the largest share. By term, 30-year bonds had the highest issuance volume [18]. Primary Market - This Week's Pending Issuance - This week's announced ultra-long bond issuance plan totals 3,173 billion yuan, including 320 billion yuan of ultra-long treasury bonds, 2,838 billion yuan of ultra-long local government bonds, 15 billion yuan of ultra-long corporate bonds, and no ultra-long medium-term notes [22]. Secondary Market - Trading Volume - Last week, the trading of ultra-long bonds was very active, with a trading volume of 10,113 billion yuan, accounting for 11.2% of all bonds. The trading activity decreased slightly compared with the previous week, with a decrease in the trading volume and proportion of ultra-long treasury bonds, an increase in those of ultra-long local bonds, and decreases in those of ultra-long policy financial bonds and ultra-long government agency bonds [25]. Secondary Market - Yield - Last week, the bond market consolidated at a high level, and ultra-long bonds made minor adjustments. The yields of treasury bonds, CDB bonds, local bonds, and railway bonds of different terms changed to varying degrees. For example, the yields of 15-year, 20-year, 30-year, and 50-year treasury bonds changed to 2.14%, 2.26%, 2.29%, and 2.47% respectively [36]. Secondary Market - Spread Analysis - Term Spread: The term spread of ultra-long bonds narrowed last week, and the absolute level was low. The 30-10 spread of benchmark treasury bonds was 46BP, a -1BP change from the previous week, at the 38% percentile since 2010 [43]. - Variety Spread: The variety spread of ultra-long bonds also narrowed 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 20BP respectively, with changes of 0BP and -1BP from the previous week, at the 11% and 14% percentiles since 2010 [44]. 30-year Treasury Bond Futures - Last week, the main contract of the 30-year treasury bond futures, T2603, closed at 111.92 yuan, a -0.34% increase. The total trading volume was 427,200 lots (-35,804 lots), and the open interest was 134,800 lots (-5,688 lots), with both the trading volume and open interest decreasing slightly compared with the previous week [50].