超长债周报：30-10期限利差继续高位震荡-20260223

Report Industry Investment Rating No information provided in the given content. Core Viewpoints of the Report - 1 month inflation continued to improve, with CPI dropping to 0.2% and PPI rising to -1.4%. M2 increased to a nearly two - year high. A - shares first rose then fell, but the bond market continued to perform well, and ultra - long bonds slightly increased [1][10][36]. - The probability of a recent bond market correction is higher. The economic stabilization since Q4 2024 was mainly due to central government leverage. In Q4 2025, there was no additional treasury bond issuance, and the short - term government support for the economy weakened. The GDP growth rate in Q4 2025 reached the lowest level in the post - pandemic era, and the economy is still under pressure. Also, during the Spring Festival, there is a data vacuum from the statistics bureau, the current interest rate is at a low level, and the A - share market has a strong performance in spring, so the stock - bond seesaw effect is expected to strengthen [2][11][12]. Summary by Directory 1. Ultra - long Bond Review - 1 month inflation continued to improve. CPI dropped to 0.2% and PPI rose to -1.4%. M2 increased to a nearly two - year high. A - shares first rose then fell, but the bond market continued to perform well, and ultra - long bonds slightly increased [1][10][36]. - In the week before the Spring Festival, the trading activity of ultra - long bonds slightly increased and was very active. The term spread of ultra - long bonds widened, and the variety spread narrowed [1][10][3]. 2. Ultra - long Bond Investment Outlook 30 - year Treasury Bonds - As of February 13, the spread between 30 - year and 10 - year treasury bonds was 45BP, at a historically low level. The economic downward pressure in December eased, with the estimated GDP growth rate at about 4.5%, up 0.4% from November. The deflation risk continued to ease. The probability of a recent bond market correction is higher. The 30 - 10 spread is expected to fluctuate at a high level in the short term [2][11]. 20 - year China Development Bank Bonds - As of February 13, the spread between 20 - year China Development Bank bonds and 20 - year treasury bonds was 14BP, at a historically low position. The economic downward pressure in December eased, with the estimated GDP growth rate at about 4.5%, up 0.4% from November. The deflation risk continued to ease. The probability of a recent bond market correction is higher. The variety spread of 20 - year China Development Bank bonds is expected to continue to fluctuate within a narrow range [3][12]. 3. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 24.8 trillion. As of January 31, the ultra - long bonds with a remaining term of over 14 years totaled 248,306 billion, accounting for 15.1% of the total bond balance. Local government bonds and treasury bonds are the main varieties [13]. - By variety, treasury bonds account for 27.9%, local government bonds 66.8%, policy - based financial bonds 1.8%, government agency bonds 1.6%, commercial bank sub - debt 0.4%, corporate bonds 0.3%, enterprise bonds 0.1%, medium - term notes 1.0%, private bonds 0.0%, and directional instruments 0.0% [13]. - By remaining term, 14 - 18 years (inclusive) account for 24.6%, 18 - 25 years (inclusive) 29.0%, 25 - 35 years (inclusive) 40.7%, and over 35 years 5.7% [13]. 4. Primary Market Weekly Issuance - In the week before the Spring Festival (February 9 - 13, 2026), the issuance of ultra - long bonds was low, with a total of 1,639 billion yuan. Compared with the previous week, the total issuance of ultra - long bonds decreased significantly [18]. - By variety, treasury bonds were 320 billion, local government bonds 1,634 billion, policy - based bank bonds 0 billion, government - supported agency bonds 0 billion, medium - term notes 5 billion, corporate bonds 0 billion, directional instruments 0 billion, enterprise bonds 0 billion, and bank sub - debt 0 billion [18]. - By term, 15 - year bonds were 439 billion, 20 - year bonds 587 billion, 30 - year bonds 613 billion, and 50 - year bonds 0 billion [18]. This Week's Planned Issuance - The announced ultra - long bond issuance plan for this week totals 3,805 billion. There are 0 billion in ultra - long treasury bonds, 3,805 billion in ultra - long local government bonds, 0 billion in ultra - long corporate bonds, and 0 billion in ultra - long medium - term notes [23]. 5. Secondary Market Trading Volume - In the week before the Spring Festival, the trading of ultra - long bonds was very active. The trading volume of ultra - long bonds was 10,925 billion, accounting for 13% of the total bond trading volume. By variety, the trading volume of ultra - long treasury bonds was 6,699 billion, accounting for 32.7% of the total treasury bond trading volume; ultra - long local bonds 3,980 billion, accounting for 63.0% of the total local bond trading volume; ultra - long policy - based financial bonds 58 billion, accounting for 0.2% of the total policy - based financial bond trading volume; ultra - long government agency bonds 97 billion, accounting for 57.7% of the total government agency bond trading volume [25][27]. - The trading activity of ultra - long bonds slightly increased compared with the previous week. The trading volume of ultra - long bonds increased by 281 billion, and the proportion increased by 0.8%. Among them, the trading volume of ultra - long treasury bonds decreased by 1,295 billion, and the proportion decreased by 6.5%; the trading volume of ultra - long local bonds increased by 1,527 billion, and the proportion increased by 9.7%; the trading volume of ultra - long policy - based financial bonds increased by 21 billion, and the proportion increased by 0.1%; the trading volume of ultra - long government agency bonds increased by 60 billion, and the proportion increased by 30.1% [27]. Yield - 1 month inflation continued to improve. CPI dropped to 0.2% and PPI rose to -1.4%. M2 increased to a nearly two - year high. A - shares first rose then fell, but the bond market continued to perform well, and ultra - long bonds slightly increased. For treasury bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by -1BP, -1BP, -1BP, and 0BP to 2.11%, 2.23%, 2.24%, and 2.43% respectively. For China Development Bank bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by -1BP, -1BP, -1BP, and 0BP to 2.25%, 2.37%, 2.38%, and 2.58% respectively. For local bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 0BP, 0BP, and -1BP to 2.30%, 2.45%, and 2.46% respectively. For railway bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by -2BP, -3BP, and -3BP to 2.29%, 2.42%, and 2.46% respectively [36]. - For representative individual bonds, the yield of the 30 - year treasury bond active bond 25 ultra - long special treasury bond 02 changed by -0.4BP to 2.22%, and the yield of the 20 - year China Development Bank bond active bond 21 CDB 20 changed by -1.5BP to 2.22% [37]. Spread Analysis - Term Spread: Last week, the term spread of ultra - long bonds widened, and the absolute level was low. The spread between 30 - year and 10 - year treasury bonds was 45BP, up 1BP from the previous week, at the 33% quantile since 2010 [45]. - Variety Spread: Last week, the variety spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 20 - year China Development Bank bonds and treasury bonds was 14BP, and the spread between 20 - year railway bonds and treasury bonds was 20BP, changing by 0BP and -1BP respectively from the previous week, at the 12% and 14% quantiles since 2010 [49]. 6. 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2603 closed at 112.84 yuan, an increase of 0.24%. The total trading volume of 30 - year treasury bond futures was 359,300 lots (-144,347 lots), and the open interest was 71,600 lots (-45,948 lots). The trading volume and open interest decreased slightly compared with the previous week [52].