4月固定收益月报：30-10Y国债期限利差还会走阔吗？-20260329

1. Report Industry Investment Rating No information about the industry investment rating is provided in the content. 2. Core Viewpoints of the Report - In the context of inflation recovery expectations and concerns about ultra - long bond supply, the 30 - 10Y treasury bond term spread has further widened and reached the highest level since 2023. The spread may have some room for compression in the future, but the volatility remains high [1][9]. - In April, the bond market has more positive factors, but the downside space for interest rates is limited, and the market is difficult to break out of the volatile trend. The core driving factors of the current market are still the Middle East situation and inflation expectations [3][22]. 3. Summary According to the Directory 3.1 4 - Month Bond Market Outlook - Recently, due to inflation recovery expectations and concerns about ultra - long bond supply, the 30 - 10Y treasury bond term spread has risen above 50BP, reaching the highest level since 2023. The Chinese government will issue 1.3 trillion yuan of ultra - long special treasury bonds in 2026 [9]. - From the perspective of trading desks, securities firms' short - selling power at the end of the quarter is restricted and they turned to net buyers this week, while funds remain cautious about ultra - long bonds. As of March 27, the cumulative net purchase of 20 - 30Y treasury bonds by funds this month was 670 million yuan [12]. - From the perspective of allocation desks, large - scale banks only buy to stabilize at the end of the quarter, small and medium - sized banks become the main undertakers, and insurance institutions have a weak willingness to allocate. Insurance institutions have a stronger willingness to allocate local bonds than treasury bonds since 2025 and had a net sell of 20 - 30Y treasury bonds in March [16]. - The 30Y - 10Y treasury bond term spread may have some room for compression, but the volatility remains high. Funds' participation in ultra - long bonds this year has been low, and the short - covering of securities firms may drive the repair of ultra - long - end interest rates. For banks, 30 - year treasury bonds are more cost - effective, while insurance institutions' operations are mainly for band trading [18]. - Attention should be paid to the upcoming issuance plan of ultra - long special treasury bonds. In 2024 and 2025, after the plan was announced and before the issuance started, supply concerns drove up ultra - long bond interest rates. After the issuance started, the 30 - year treasury bond interest rate gradually declined. When trading in bands, attention should be paid to preventing the volatility risk of Bond 25 Special 6 [2][20]. - In April, the market has more positive factors, but the downside space for interest rates is limited. The core driving factors are the Middle East situation and inflation expectations. Short - term negative factors have not yet emerged. Positive factors include a loose capital situation and strong allocation desk power, but insurance institutions' purchases of long - term bonds are mainly for band trading [22]. 3.2 3 - Month Bond Market Review 3.2.1 Bond Market Trend Review - In the first week of March, the 10Y treasury bond yield rose 1bp to 1.78%. The bond market first traded risk appetite and Two Sessions expectations, with the short - end performing better than the long - end [24]. - In the second week, the 10Y treasury bond yield rose 3bp to 1.81%. Inflation shocks and inter - bank news alternately disturbed the bond market, with the long - end performing worse than the short - end [24]. - In the third week, the 10Y treasury bond yield rose 2bp to 1.83%. Influenced by the economic start - up, inflation recovery expectations, and external market fluctuations, the bond market fluctuated under the tug - of - war between bulls and bears [25]. - In the fourth week, the 10Y treasury bond yield fell 1bp to 1.82%. Geopolitical risks recurred, and the term differentiation of the bond market continued. The ultra - long end showed resistance to decline at the beginning of the week and then fluctuated [25]. 3.2.2 Capital Situation - The central bank net withdrew 141.68 billion yuan through four major tools in March. The capital price declined in March. The monthly average of R001 decreased by 1BP to 1.39%, and the monthly average of R007 decreased by 5bp to 1.50% [26][27]. 3.2.3 Secondary Market Trends - In March, the yield performance showed term differentiation, and the curve steepened. Except for 3m, 1y, and 3y, the interest rates of other key - term treasury bonds rose, and the term spreads of all key - term treasury bonds widened [33]. - As of March 27, the 10Y treasury bond new - old bond spread narrowed, the 10Y CDB bond new - old bond spread slightly widened after the new bond was listed, and the spread between the second - active and active 30Y treasury bonds first widened and then narrowed [34]. 3.2.4 Bond Market Sentiment - In March, the inter - bank leverage ratio first rose and then fell, the 30Y - 10Y treasury bond spread continued to widen, and the median duration of the full - sample bond funds increased significantly. The 10 - year CDB bond implicit tax rate narrowed overall in March [39]. 3.2.5 Bond Supply - In March, the net financing of interest - rate bonds decreased compared with February and March 2025. The net financing of treasury bonds, local government bonds decreased, and policy - financial bonds changed from net repayment to net financing [51]. - The issuance scale of treasury bonds in March increased both year - on - year and month - on - month. The issuance scale of local government bonds decreased month - on - month and increased year - on - year. The net repayment of inter - bank certificates of deposit increased, and the monthly issuance interest rate decreased significantly [54][56]. 3.3 Economic Data - From January to February, the profits of industrial enterprises above designated size achieved rapid growth. The total profit of industrial enterprises above designated size was 1.02456 trillion yuan, a year - on - year increase of 15.2% [60]. - Since March, second - hand housing transactions and port throughput have been stronger than the Spring Festival seasonality. In terms of infrastructure and price high - frequency data, the asphalt开工率 has been weak, and the prices of crude oil and asphalt have risen sharply and then stabilized [61][62]. 3.4 Overseas Bond Market - The US March composite PMI dropped to 51.4. Concerns about stagflation have increased, and the probability of the Fed raising interest rates within the year has exceeded 50% for the first time. Global bond markets generally declined in March [67][68][69]. 3.5 Major Asset Classes - The CSI 300 index adjusted. As of March 27, it closed at 4477.5 points, a 4.95% decline from February 27. The Nanhua Crude Oil Index strengthened significantly, the US dollar index strengthened slightly, and the Nanhua Pig Index and Shanghai Gold weakened [74]. 3.6 4 - Month Bond Market Calendar - The calendar provides information on liquidity injection and maturity, government bond supply, fundamental data, and important domestic and foreign events from March 30 to April 30, 2026 [79].