超长债周报：30 年国债冲高回落-20260301

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - The bond market first declined and then rose last week, and ultra - long bonds fell again. The trading activity of ultra - long bonds decreased significantly, and both the term spread and the variety spread of ultra - long bonds narrowed [1][4][11]. - In March, the bond market is expected to first decline and then rise. The economic stability since Q4 2024 was mainly due to the central government's leverage - increasing support. In Q4 2025, there was no additional issuance of treasury bonds, and the short - term government support for the economy weakened. The GDP growth rate in Q4 2025 dropped to the lowest level in the post - pandemic era, and the Chinese economy is still under pressure. Meanwhile, the Party Central Committee attaches more importance to high - quality development in 2026, and the importance of "seeking progress while maintaining stability" in the total economic volume has been adjusted down. On the other hand, during the Two Sessions, policy expectations are optimistic, the A - share spring rally continues, and the current absolute level of interest rates is low, so the stock - bond seesaw effect is expected to strengthen [2][3][12][13]. 3. Summary According to the Directory 3.1 Ultra - long Bond Review - After the Spring Festival, with a record - high number of travelers during the holiday and the release of the "Shanghai Seven Measures" in the first week after the holiday, the A - share market continued to rebound. The bond market first declined and then rose, and ultra - long bonds fell again. The trading activity of ultra - long bonds decreased significantly last week, but it was still very active. The term spread and variety spread of ultra - long bonds narrowed [1][4][11]. 3.2 Ultra - long Bond Investment Outlook - 30 - year Treasury Bonds: As of February 27, the spread between 30 - year and 10 - year treasury bonds was 44BP, at a relatively low level in history. The economic downward pressure in December eased, with the estimated GDP growth rate of about 4.5% year - on - year, a 0.4% increase from November. In January, CPI was 0.2% and PPI was - 1.4%, and the deflation risk continued to ease. It is expected that the bond market will first decline and then rise in March. The 30 - 10 spread is expected to fluctuate at a high level in the short term [2][12]. - 20 - year CDB Bonds: As of February 27, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 14BP, at an extremely low level in history. The economic situation and inflation data are similar to those of 30 - year treasury bonds. It is also expected that the bond market will first decline and then rise in March. Considering that the bond market is still in a volatile range, the variety spread of 20 - year CDB bonds is expected to continue to fluctuate in a narrow range [3][13]. 3.3 Ultra - long Bond Basic Overview - As of February 28, the balance of ultra - long bonds with a remaining term of more than 14 years was 1,655,081 billion (excluding asset - backed securities and project revenue notes), accounting for 15.3% of the total bond balance. Local government bonds and treasury bonds are the main sub - varieties. By variety, treasury bonds accounted for 27.5%, local government bonds accounted for 67.3%, etc. By remaining term, the 30 - year variety accounted for the highest proportion [14]. 3.4 Primary Market - Weekly Issuance: Last week (February 23 - March 1, 2026), the issuance volume of ultra - long bonds increased. A total of 1,902 billion yuan of ultra - long bonds were issued. Compared with the previous week, the total issuance volume increased significantly. By variety, only local government bonds were issued, with an amount of 1,902 billion yuan. By term, 315 billion yuan was issued with a 15 - year term, 271 billion yuan with a 20 - year term, and 1,316 billion yuan with a 30 - year term [19]. - This Week's Planned Issuance: The announced issuance plan for ultra - long bonds this week is 1,442 billion yuan, all of which are ultra - long local government bonds [25]. 3.5 Secondary Market - Trading Volume: Last week, the trading of ultra - long bonds was very active, with a trading volume of 6,189 billion yuan, accounting for 10.5% of the total bond trading volume. By variety, the trading volume of ultra - long treasury bonds was 5,083 billion yuan, accounting for 31.7% of the total treasury bond trading volume; the trading volume of ultra - long local bonds was 1,009 billion yuan, accounting for 42.1% of the total local bond trading volume, etc. Compared with the previous week, the trading activity of ultra - long bonds decreased significantly, with the trading volume decreasing by 4,736 billion yuan and the proportion decreasing by 2.5% [27][29]. - Yield: After the Spring Festival, the bond market first declined and then rose, and ultra - long bonds fell again. The yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds changed by 1BP, 4BP, 5BP, and 4BP respectively to 2.12%, 2.27%, 2.29%, and 2.48%. Similar changes occurred in CDB bonds, local bonds, and railway bonds. The yield of the 30 - year treasury bond active bond 25 ultra - long special treasury bond 02 changed by 1.3BP to 2.24%, and the yield of the 20 - year CDB bond active bond 21 CDB 20 changed by 3.02BP to 2.25% [40][41]. - Spread Analysis: - Term Spread: Last week, the term spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 30 - year and 10 - year treasury bonds was 44BP, a - 1BP change from the previous week, at the 45% quantile since 2010 [46]. - Variety Spread: Last week, the variety spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 20 - year CDB bonds and treasury bonds was 14BP, and the spread between 20 - year railway bonds and treasury bonds was 17BP, with changes of 0BP and - 3BP respectively from the previous week, at the 12% and 10% quantiles since 2010 [52]. 3.6 30 - year Treasury Bond Futures - Last week, the main contract TL2606 of 30 - year treasury bond futures closed at 1112.07 yuan, with an increase of - 0.66%. The total trading volume was 34.59 million lots (162,994 lots), and the open interest was 13.42 million lots (32,541 lots). The trading volume increased significantly compared with the previous week, and the open interest increased slightly [55].