证券研究报告 | 2025年11月16日 超长债周报 经济放缓，超长债横盘震荡 核心观点 固定收益周报 超长债复盘：上周公布的 10 月统计局数据显示经济增速继续放缓，通胀 小幅回升，另外金融数据增速全面回落，总体经济依然存在压力，债市 先扬后抑，超长债微涨。成交方面，上周超长债交投活跃度小幅下降， 交投非常活跃。利差方面，上周超长债期限利差走平，品种利差走阔。 超长债投资展望： 30 年国债：截至 11 月 16 日，30 年国债和 10 年国债利差为 34BP，处于 历史较低水平。从国内经济数据来看，10 月经济下行压力继续增加。我 们测算的 10 月国内 GDP 同比增速约 4.2%，增速较 9 月回落 1.1%。通胀 方面，10 月 CPI 为 0.2%，PPI 为-2.1%，通缩风险依存。我们认为，当 前债市反弹概率更大。一方面，去年四季度以来的经济企稳，主要来自 于中央加杠杆的托底。考虑到今年四季度增发国债的概率较低，预计四 季度政府债券融资增速继续回落，四季度国内经济依然承压。另一方面， 央行恢复国债买卖，年底投资者抢跑开门红，投资者情绪较好。考虑到 30-10 利差仍在偏高水平，预计伴随债市的 ...

Report Industry Investment Rating No relevant content provided. Core View - The probability of a bond market rebound is high. For 30 - year Treasury bonds, the 30 - 10 spread is expected to compress periodically with the bond market rebound. For 20 - year CDB bonds, the variety spread is expected to compress again in the short term [2][3][11][12] Summary by Directory Weekly Review Ultra - long Bond Review - Last week, the central bank announced 20 billion yuan of Treasury bond transactions in October. The A - share market reached 4000 points again, the bond market had a slight correction, and ultra - long bonds declined slightly. The trading activity of ultra - long bonds increased slightly and was very active. The term spread and variety spread of ultra - long bonds narrowed [1][4][10] Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of November 7, the spread between 30 - year and 10 - year Treasury bonds was 34BP, at a historically low level. With economic downward pressure increasing in September, Q3 GDP at 4.8% year - on - year (down 0.4% from Q2), and deflation risks existing (September CPI at - 0.3% and PPI at - 2.3%), the bond market is likely to rebound. The 30 - 10 spread is expected to compress periodically [2][11] - **20 - year CDB Bonds**: As of November 7, the spread between 20 - year CDB bonds and 20 - year Treasury bonds was 15BP, at a historically extremely low level. Considering the economic situation and central bank's actions, the bond market is likely to rebound, and the variety spread of 20 - year CDB bonds is expected to compress again in the short term [3][12] Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 23.9 trillion yuan. As of October 31, the ultra - long bonds with a remaining term over 14 years totaled 23.9836 trillion yuan, accounting for 15.0% 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, the issuance volume of ultra - long bonds was small. From November 3 to 7, 2025, 6.29 billion yuan of ultra - long bonds were issued, a significant decrease compared with the previous week. By variety, Treasury bonds were 2 billion yuan, local government bonds were 4.14 billion yuan, etc. By term, 15 - year bonds were 0.86 billion yuan, 20 - year bonds were 2.01 billion yuan, etc. [19] This Week's Planned Issuance - The announced issuance plan for this week is 13.22 billion yuan, including 2.7 billion yuan of ultra - long Treasury bonds, 10.42 billion yuan of ultra - long local government bonds, and 0.1 billion yuan of ultra - long medium - term notes [25] Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was very active. The trading volume was 1.0951 trillion yuan, accounting for 12.1% of all bonds. The trading activity increased slightly compared with the previous week. By variety, the trading volume of ultra - long Treasury bonds was 790.6 billion yuan, etc. [28] Yield - Last week, due to the central bank's announcement of Treasury bond transactions and the A - share market reaching 4000 points, the bond market had a slight correction and ultra - long bonds declined slightly. The yields of 15 - year, 20 - year, 30 - year, and 50 - year Treasury bonds changed by 3BP, 2BP, 2BP, and 3BP to 2.05%, 2.15%, 2.16%, and 2.23% respectively. Similar changes occurred in CDB bonds, local bonds, and railway bonds [34] 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 34BP, down 1BP from the previous week, at the 14% percentile since 2010 [41] - **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 15BP, and the spread between 20 - year railway bonds and Treasury bonds was 17BP, with changes of 0BP and - 2BP respectively from the previous week, at the 12% percentile since 2010 [47] 30 - year Treasury Bond Futures - Last week, the main contract TL2512 of 30 - year Treasury bond futures closed at 115.95 yuan, a decrease of 0.63%. The total trading volume was 573,900 lots (down 104,798 lots), and the open interest was 180,600 lots (down 2,293 lots), with a significant decrease in trading volume and a slight decrease in open interest compared with the previous week [49]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Last week, the bond market rose significantly due to factors such as the central bank governor's announcement to resume open - market treasury bond trading, the Sino - US summit consensus, and the Fed's interest rate cut. The decline of ultra - long bonds was slightly less, and the curve steepened. The trading activity of ultra - long bonds decreased slightly but remained very active. The term spread of ultra - long bonds narrowed, and the variety spread widened [1][10]. - Considering the domestic economic situation and the central bank's policy, the probability of a bond market rebound is high. The 30 - 10 spread of treasury bonds and the variety spread of 20 - year CDB bonds are expected to compress [2][3]. Summary by Directory Weekly Review Ultra - long Bond Review - Last week, the bond market soared. The decline of ultra - long bonds was slightly less, the curve steepened. Trading activity decreased slightly but was still very active. The term spread narrowed, and the variety spread widened [1][10]. Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of October 31, the 30 - 10 spread was 35BP, at a historically low level. With economic downward pressure and deflation risks, the bond market is likely to rebound, and the 30 - 10 spread is expected to compress [2][11]. - **20 - year CDB Bonds**: As of October 31, the 20 - year CDB - treasury spread was 15BP, at a historically extremely low position. Given economic conditions, the bond market is likely to rebound, and the variety spread is expected to compress again [3][12]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 23.9 trillion. Local government bonds and treasury bonds were the main varieties. The 30 - year variety had the highest proportion [13]. Primary Market Weekly Issuance - Last week, the issuance volume of ultra - long bonds decreased. A total of 105.1 billion yuan of ultra - long bonds were issued, mainly local government bonds. By term, 15 - year bonds were 25.3 billion, 20 - year were 30.8 billion, and 30 - year were 49 billion [19]. This Week's Pending Issuance - The announced ultra - long bond issuance plan this week is 62.9 billion yuan, including 20 billion of ultra - long treasury bonds, 41.4 billion of ultra - long local government bonds, and 1.5 billion of ultra - long medium - term notes [25]. Secondary Market Trading Volume - Last week, ultra - long bonds were very actively traded, with a turnover of 1.0428 trillion yuan, accounting for 11.2% of all bond turnover. Trading activity decreased slightly. Compared with the previous week, the turnover increased by 11.2 billion yuan, and the proportion decreased by 0.3% [28]. Yield - Due to multiple factors, the bond market rose, and the decline of ultra - long bonds was slightly less. The yields of different - term and different - type bonds changed accordingly. For example, the 30 - year treasury bond active bond 25 ultra - long special treasury bond 02's yield changed by - 3.9BP to 2.07% [41][42]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds narrowed, and the absolute level was low. The 30 - 10 spread of benchmark treasury bonds was 35BP, 1BP lower than the previous week, at the 15% quantile since 2010 [48]. - **Variety Spread**: Last week, the variety spread of ultra - long bonds widened, and the absolute level was low. The 20 - year CDB - treasury spread and 20 - year railway bond - treasury spread changed by 3BP and 6BP respectively, at the 12% and 13% quantiles since 2010 [50]. 30 - year Treasury Bond Futures - Last week, the 3 - year treasury bond futures' main variety TL2512 closed at 116.68 yuan, an increase of 1.45%. The total trading volume was 678,600 lots (- 14,457 lots), and the open interest was 182,800 lots (+ 6,763 lots). The trading volume decreased significantly, and the open interest increased slightly [55].

Core Viewpoint - The bond market has rebounded since October after adjustments in the third quarter, leading to a recovery in pure fixed-income wealth management products, with some achieving rapid net value growth [1] Group 1: Recent Performance of Fixed-Income Products - The top-performing pure fixed-income products in the last month have shown significant annualized returns, with "Zhaoyin Wealth Management Zhaorui Anyu (Heying) Fixed Income Plan A" achieving a remarkable 13.16% annualized return [2][4] - The "Minsheng Wealth Bamboo Pure Bond 182-Day Holding Period Product" and "Xinyin Wealth Management Anyingxiang Fixed Income Stable Daily Product A" also demonstrated strong performance with annualized returns of 7.09% and 9.78% respectively [2][5] Group 2: Characteristics of High-Performing Products - High-performing products typically have a bond holding ratio of over 60%, with some approaching 100% [6] - These products favor interest rate bonds, financial bonds, or urban investment bonds, with some holding convertible bonds [7] Group 3: Risk and Return Analysis - The "Minsheng Wealth Bamboo Pure Bond 182-Day Holding Period Product" has a maximum drawdown of 1.67%, indicating moderate risk control [5] - The assessment of these products considers multiple dimensions of performance, including risk control and risk-adjusted returns, which are crucial for evaluating their sustainability [7][8]

Core Insights - The bond market has rebounded since October after adjustments in the third quarter, leading to a recovery in pure fixed-income wealth management products, with some achieving rapid net value growth [1][2] Group 1: Performance of Fixed-Income Products - The top-performing pure fixed-income products in the last month include "Zhaoyin Wealth Management Zhaorui Anyu (Heying) Fixed Income Plan A," which saw a monthly annualized return of 13.16%, despite a year-to-date annualized return of only 2.78% [2][3] - The fastest net value rebound was attributed to holdings in "bank perpetual bonds," which tend to be sold off during market adjustments but can rebound significantly when liquidity returns [3][4] Group 2: Characteristics of High-Performing Products - High-performing products generally have a bond holding ratio of over 60%, with some approaching 100% [5] - These products favor interest rate bonds, financial bonds, or urban investment bonds, with some also holding convertible bonds [6] Group 3: Risk and Evaluation Metrics - The "Minsheng Wealth Bamboo Pure Bond 182-Day Holding Period Product" has a maximum drawdown of 1.67%, indicating moderate risk control [4] - The evaluation of these products considers multiple dimensions, including yield performance, risk control, risk-adjusted returns, and overall fee rates, with a focus on maintaining a good growth momentum over time [6]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - For stock index futures, maintain a long - term bullish view on the economy. It is recommended to allocate long positions in forward contracts of various varieties on dips [1]. - For bond futures, take a short - term bullish stance. The implied interest rate of ultra - long bonds at 2.2 is considered cost - effective. For the medium - to long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 3. Summary by Directory 3.1 Stock Index Futures - **Market Performance**: On October 27, the four major A - share stock indices continued to be strong. The Shanghai Composite Index rose 1.18% to 3996.94 points, the Shenzhen Component Index rose 1.51% to 13489.4 points, the ChiNext Index rose 1.98% to 3234.45 points, and the Science and Technology Innovation 50 Index rose 1.5% to 1484.21 points. Market turnover was 23,566 billion yuan, an increase of 3,650 billion yuan from the previous day. Communication, electronics, and comprehensive sectors led the gains, while media, food and beverage, and real estate sectors led the losses. In terms of market strength, IC > IF > IM > IH. The number of rising, flat, and falling stocks was 3,360, 217, and 1,859 respectively. Institutional, main, large - scale, and retail investors had net inflows of 4, - 80, - 4, and 79 billion yuan respectively, with changes of - 183, - 42, + 106, and + 119 billion yuan respectively [1]. - **Basis and Basis Annualized Yield**: The basis of IM, IC, IF, and IH next - month contracts was 172.78, 124.99, 31.62, and 2.73 points respectively, and the basis annualized yields were - 14.41%, - 10.59%, - 4.19%, and - 0.56% respectively. The three - year historical quantiles were 18%, 17%, 21%, and 39% respectively [1]. - **Trading Strategy**: In the medium - to long - term, maintain a bullish view on the economy. Using stock index futures as a long - position substitute has certain excess returns. It is recommended to allocate long positions in forward contracts of various varieties on dips [1]. 3.2 Bond Futures - **Market Performance**: On October 27, the bond market rebounded. Among the active contracts, TS rose 0.05%, TF rose 0.12%, T rose 0.15%, and TL rose 0.32% [1]. - **Cash Bonds**: The current active contract is the 2512 contract. The CTD bonds, yield changes, corresponding net basis, and IRR for 2 - year, 5 - year, 10 - year, and 30 - year bond futures are provided [1]. - **Funding Situation**: The central bank injected 3,373 billion yuan into the market and withdrew 1,890 billion yuan, resulting in a net injection of 1,483 billion yuan [1]. - **Trading Strategy**: Short - term bullish, the implied interest rate of ultra - long bonds at 2.2 is cost - effective. For the medium - to long - term, with rising risk appetite and economic recovery expectations, it is advisable to hedge T and TL contracts on rallies [1]. 3.3 Economic Data High - frequency data shows that the recent prosperity of social activities, real estate, and infrastructure is lower than in previous periods, while the manufacturing prosperity is good [8].

Report Industry Investment Rating No relevant content provided. Core View of the Report - Despite the escalation of Sino-US trade frictions last week, the export data in September remained strong. The inflation in September rebounded year-on-year, the total financial data continued to be under pressure, and coupled with the sharp decline of A-shares, the bond market oscillated and recovered, and ultra-long bonds rebounded from the bottom. The trading activity of ultra-long bonds increased slightly last week, and the trading was very active. The term spread of ultra-long bonds narrowed, and the variety spread widened. It is expected that the 30-10 spread will compress periodically, and the variety spread of 20-year China Development Bank bonds will also compress again in the short term [1][3][10]. Summary by Relevant Catalogs Weekly Review - **Ultra-long Bond Review**: Last week, Sino-US trade frictions escalated, but the export data in September was still strong. The inflation in September rebounded year-on-year, the total financial data continued to be under pressure, and coupled with the sharp decline of A-shares, the bond market oscillated and recovered, and ultra-long bonds rebounded from the bottom. The trading activity of ultra-long bonds increased slightly, and the trading was very active. The term spread of ultra-long bonds narrowed, and the variety spread widened [1][10]. - **Ultra-long Bond Investment Outlook**: - **30-year Treasury Bonds**: As of October 17, the spread between 30-year and 10-year Treasury bonds was 38BP, at a historically low level. Considering the weak economy and the possible continuous loosening of monetary policy, it is expected that the 30-10 spread will compress periodically as the bond market rebounds [2][11]. - **20-year China Development Bank Bonds**: As of October 17, the spread between 20-year China Development Bank bonds and 20-year Treasury bonds was 10BP, at a historically extremely low position. It is expected that the bond market will continue to rebound, and the variety spread of 20-year China Development Bank bonds is expected to compress again in the short term [3][12]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds is 23.7 trillion. As of September 30, 2025, the total ultra-long bonds with a remaining term of more than 14 years were 23.7802 trillion (excluding asset-backed securities and project revenue notes), accounting for 15.0% of the total bond balance. Local government bonds and Treasury bonds are the main varieties of ultra-long bonds. In terms of remaining term, the 30-year variety has the highest proportion [13]. Primary Market - **Weekly Issuance**: Last week (October 12 - October 17, 2025), the issuance of ultra-long bonds increased slowly. A total of 577 billion yuan of ultra-long bonds were issued, with a slight increase in the total issuance compared with the week before last. In terms of variety, 400 billion yuan of Treasury bonds and 177 billion yuan of local government bonds were issued. In terms of term, 13 billion yuan with a term of 15 years, 504 billion yuan with a term of 20 years, and 61 billion yuan with a term of 30 years were issued [20]. - **This Week's Planned Issuance**: The announced ultra-long bond issuance plan for this week totals 118.1 billion yuan, all of which are ultra-long local government bonds [26]. Secondary Market - **Trading Volume**: Last week, the trading of ultra-long bonds was very active. The trading volume of ultra-long bonds was 1.0792 trillion yuan, accounting for 11.8% of the total bond trading volume. The trading activity of ultra-long bonds increased slightly. Compared with the week before last, the trading volume of ultra-long bonds increased by 833.9 billion yuan, and the proportion increased by 0.3% [29][30]. - **Yield**: Last week, Sino-US trade frictions escalated, but the export data in September was still strong. The inflation in September rebounded year-on-year, the total financial data continued to be under pressure, and coupled with the sharp decline of A-shares, the bond market oscillated and recovered, and ultra-long bonds rebounded from the bottom. The yields of Treasury bonds, China Development Bank bonds, local bonds, and railway bonds of different terms changed to varying degrees [37]. - **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 38BP, 4BP lower than the week before last, at the 19% quantile since 2010 [46]. - **Variety Spread**: Last week, the variety spread of ultra-long bonds widened, and the absolute level was low. The spreads between 20-year China Development Bank bonds and Treasury bonds and between 20-year railway bonds and Treasury bonds were 10BP and 15BP respectively, with changes of 2BP and 0BP compared with the week before last, at the 10% and 13% quantiles since 2010 [52]. 30-year Treasury Bond Futures - Last week, the main contract of 30-year Treasury bond futures, TL2512, closed at 115.87 yuan, an increase of 1.67%. The total trading volume of 30-year Treasury bond futures was 721,900 lots (197,094 lots), and the open interest was 185,000 lots (11,589 lots). The trading volume and open interest increased significantly compared with the week before last [56].

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints - The bond market had a weak rebound, and attention should be paid to whether it can stop falling. A-shares had a volume - shrinking consolidation, giving the bond market a chance to catch a breath, but the bond market was still weak overall. It may be considered that the bond market has bottomed out only when its trend becomes insensitive to the stock market. In terms of operations, it is not advisable to short. Cautious investors should wait and see, while aggressive investors who want to bottom - fish can enter with a small position and increase the interval between purchases [1][3] Group 3: Summary by Related Catalogs 1. Market Review - On Tuesday, bond futures fluctuated at a low level and closed up across the board. Most spot bond yields declined. The central bank had a net injection of 465.7 billion yuan through 7 - day reverse repurchase in the open market, and 120 billion yuan of treasury cash fixed - term deposits matured, which were renewed in full the previous day. Affected by the tax period, the liquidity tightened marginally, and DR001 rose to 1.47% [1] 2. Intraday News - Li Qiang chaired the ninth plenary meeting of the State Council, emphasizing enhancing the effectiveness of macro - policies, evaluating policy implementation, and stabilizing market expectations. From January to July, the national general public budget revenue was 1.35839 trillion yuan, a year - on - year increase of 0.1%. The stamp duty was 25.59 billion yuan, a year - on - year increase of 20.7%, among which the securities trading stamp duty was 9.36 billion yuan, a year - on - year increase of 62.5% [2] 3. Market Data - **Contract Prices and Holdings**: On August 19, 2025, the prices of TS2509, TF2509, T2509, and TL2509 were 102.328, 105.535, 108.05, and 116.46 respectively, with changes of 0.026, 0.07, 0.03, and 0.19 compared to the previous day. The holdings of TS, TF, T, and TL contracts decreased by 4340, 6542, 7101, and 1095 hands respectively [4] - **Basis and Trading Volume**: The basis of TS, TF, T, and TL (CTD) had different changes. The trading volumes of TS, TF, T, and TL main contracts also changed, with TF and T increasing and TS and TL decreasing [4] - **Funding Rates and Trading Volumes**: DR001, DR007, and DR014 increased by 0.047, 0.0346, and 0.0505 respectively. The trading volumes of DR001 decreased by 118.64502 billion yuan, while those of DR007 and DR014 increased by 1.749036 billion yuan and 0.304216 billion yuan respectively [4]

Core Viewpoint - The bond market has shown significant signs of recovery since March 12, following a period of substantial adjustment and negative sentiment that peaked on March 11 [1][3][5]. Market Performance - The bond market experienced a strong rebound on March 12, with the China Bond Index ending a six-day decline and achieving a bottom rebound [5][6]. - As of March 12, the average increase for medium- to long-term pure bond funds reached 0.08%, while the China Bond Index rebounded by 0.16% [6]. - The bond market had faced considerable adjustments earlier in the year, with the China Bond Index recording a maximum drawdown of 1.83% on March 11, marking the largest drawdown in nearly four years [9][10]. Investor Behavior - Some institutional investors chose to "cut losses" on March 11, unable to tolerate ongoing declines, which resulted in significant redemptions from several funds [2][7]. - A specific institution that invested heavily in a low-risk credit bond fund faced nearly a 1% loss within a quarter, prompting their exit just before the market rebound [7]. Market Outlook - There is a consensus among institutions that the bond market has largely adjusted, with some assets now presenting attractive value for investment [1][14]. - Analysts suggest that the current market adjustment has reached a normal range, with short-term and credit bond yields rising by approximately 40-60 basis points, while long-term rates increased by 20-25 basis points [13]. - The future trajectory of the bond market is expected to be influenced by fundamental economic conditions and market liquidity [13][14]. Investment Strategy - Current market conditions may provide a favorable opportunity for investment, with suggestions to adopt a contrarian approach during periods of volatility [16]. - It is recommended to focus on short-term and credit bonds, which are perceived to have higher value after recent adjustments [17].