Report Industry Investment Rating No relevant content provided. Core Viewpoints - Despite the escalation of Sino-US trade frictions last week, the export data in September remained strong. With inflation rising year-on-year, financial data under pressure, and the sharp decline of A-shares, the bond market rebounded from the bottom, and the trading of ultra-long bonds was very active [1][3][10][37]. - The economic data shows downward pressure, and deflation risks still exist. It is expected that the bond market will rebound in October. The 30 - 10 spread and the 20 - year China Development Bank bond spread are expected to compress [2][3][11][12]. Summary by Directory Weekly Review Ultra-long Bond Review - Last week, despite the escalation of Sino-US trade frictions, the export data in September was still strong. With inflation rising year-on-year, financial data under pressure, and the sharp decline of A-shares, the bond market oscillated and recovered, and ultra-long bonds rebounded from the bottom [1][10][37]. - In terms of trading, the trading activity of ultra-long bonds increased slightly and was very active. In terms of spreads, the term spread of ultra-long bonds narrowed, and the variety spread widened [1][10][4]. 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 economic data and the upcoming release of Q3 economic data, it is expected that the bond market will rebound, and the 30 - 10 spread will compress [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 very low level. With the expected rebound of the bond market, 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, the total amount of ultra-long bonds with a remaining maturity of over 14 years was 23.7802 trillion, accounting for 15.0% of the total bond balance [13]. - Local government bonds and Treasury bonds are the main varieties of ultra-long bonds. By variety, Treasury bonds accounted for 27.0%, local government bonds 67.3%, and others accounted for relatively small proportions [13]. - The 30-year variety has the highest proportion. By remaining maturity, the 25 - 35 year (inclusive) variety accounted for 39.9%, the highest [13]. Primary Market Weekly Issuance - Last week, the issuance of ultra-long bonds increased slowly. A total of 57.7 billion yuan of ultra-long bonds were issued, mainly including 40 billion yuan of Treasury bonds and 17.7 billion yuan of local government bonds [20]. - By maturity, 50.4 billion yuan had a 20-year maturity, 6.1 billion yuan a 30-year maturity, and 1.3 billion yuan a 15-year maturity [20]. This Week's Planned Issuance - The announced issuance plan for ultra-long bonds 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 was 1.0792 trillion yuan, accounting for 11.8% of the total bond trading volume [29]. - By variety, ultra-long Treasury bonds had a trading volume of 894.9 billion yuan, ultra-long local bonds 156.5 billion yuan, ultra-long policy financial bonds 6.1 billion yuan, and ultra-long government agency bonds 6.7 billion yuan [30]. - Compared with the week before last, the trading activity of ultra-long bonds increased slightly, with the trading volume and proportion of most varieties changing to varying degrees [30]. Yield - Last week, due to various factors, the bond market rebounded from the bottom. The yields of Treasury bonds, China Development Bank bonds, local bonds, and railway bonds of different maturities changed to varying degrees [37]. - For representative individual bonds, the yield of the 30-year Treasury bond active bond 25 ultra-long special Treasury bond 02 decreased by 1.6BP to 2.068%, and the yield of the 20-year China Development Bank bond active bond 21 China Development Bank 20 decreased by 1.5BP to 2.175% [38]. 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 38BP, 4BP lower than the week before last, at the 19% quantile since 2010 [4][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 at the 10% and 13% quantiles since 2010 respectively [4][52]. 30-year Treasury Bond Futures - Last week, the main contract of the 30-year Treasury bond futures, TL2512, closed at 115.87 yuan, an increase of 1.67%. The total trading volume was 721,900 lots (197,094 lots), and the open interest was 185,000 lots (11,589 lots), both increasing significantly compared with the week before last [56].

Core Viewpoint - The recent adjustment in the bond market has led to an expansion of the yield spread between ultra-long-term government bonds and 10-year government bonds, reaching a year-to-date high, but this trend is expected to stabilize with limited further expansion potential [1][3]. Group 1: Market Performance - Since mid-September, the yield spread between 30-year and 10-year government bonds has consistently remained above 30 basis points, peaking at 33.31 basis points on September 11 [1]. - The overall bond market has been adjusting, with ultra-long bonds showing relatively weaker performance, as the yield on 30-year government bonds did not experience significant downward movement despite the recovery in 10-year government bonds, which surpassed 1.8% [1][3]. Group 2: Factors Influencing Yield Spread - The widening yield spread for ultra-long bonds is attributed to multiple factors, including market risk appetite, supply, and funding conditions. The rise in stock market sentiment has weakened bond market sentiment, leading to a corresponding adjustment in bond yields [3]. - Since May, there has been a peak in the issuance of ultra-long special government bonds, which has contributed to the widening of the yield spread due to increased supply expectations [3]. Group 3: Future Outlook - Analysts from Zhongyou Securities predict that the yield spread for ultra-long bonds is unlikely to expand significantly, suggesting that it will not return to historical levels above 40 basis points prior to 2023 [5]. - The liquidity of ultra-long bonds is deemed crucial, and as long as liquidity remains stable, the yield spread is unlikely to revert to levels seen before 2024. Current liquidity conditions show no significant decline, maintaining a high turnover rate [5]. - The current high yield spread of 30 basis points between 30-year and 10-year government bonds indicates limited further adjustment space for ultra-long bonds, suggesting potential value for allocation and trading [5].

1. Report Industry Investment Rating - No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The current position of ultra - long bonds has both trading and allocation value. The ultra - long bond spread is expected to gradually repair, and in the second half of the fourth quarter, ultra - long bonds may decline more smoothly as the overall bond market strengthens [4][25]. - The current ultra - long bond term spread has significantly deviated from the fitted value, indicating that ultra - long bonds are oversold to some extent, and the space for the spread to continue rising is limited [3][21]. - As long as the liquidity of ultra - long bonds does not decline significantly, the spread is unlikely to return to the level before 2024, and currently, there is no basis for the spread to continue rising [3][24]. 3. Summaries According to Relevant Contents 3.1 Current Situation of Ultra - long Bonds - During the recent bond market adjustment, ultra - long bonds fell significantly, and the 30 - 10 - year Treasury bond term spread widened significantly, rising from about 21bps at the beginning of July to over 30bps, reaching the highest level since 2024 [1][7]. - The 30 - year Treasury bond yield rose from about 1.85% at the beginning of July to about 2.1% (active bond) currently, and the new bond yield rose to around 2.20% [7]. 3.2 Reasons for the Widening of Ultra - long Bond Term Spread - **Risk preference**: Since July this year, the stock market has risen, and the A - share market has strengthened significantly. The Shanghai Composite Index rose from 3458 points to 3820 points from July to September 19, with a cumulative increase of 10.5%. Due to the stock - bond seesaw effect, the market's investment enthusiasm for bonds declined, and the bond yield adjusted significantly, leading to the widening of the 30 - 10 - year Treasury bond spread [1][9]. - **Supply**: Since May this year, the issuance of ultra - long - term special Treasury bonds has accelerated. Except for June with a net financing of 19.2 billion yuan, the net financing in other months exceeded 20 billion yuan, significantly higher than the first - half average of 10.97 billion yuan. The issuance of ultra - long - term special Treasury bonds led to an upward movement of secondary - market interest rates and a widening of the term spread [1][13]. - **Funds**: There is a significant negative correlation between the 30 - 10 - year Treasury bond spread and R007. Since March this year, the capital price has declined significantly. R007 dropped from the high of 2.3% at the beginning of the year to 1.5% in August, and the decline in short - term interest rates intensified the steepness of the yield curve [1][13]. 3.3 Liquidity of Ultra - long Bonds - Since 2023, the turnover rate of ultra - long bonds has increased significantly, and ultra - long bonds have changed from a configuration variety to a trading variety, bringing a price premium to ultra - long bonds. In August, the monthly turnover rate of ultra - long bonds was still as high as 7.6%, indicating that ultra - long bonds still maintain high liquidity [2][16]. 3.4 Pricing Analysis of Ultra - long Bond Term Spread - Using the monthly average of R007, the monthly turnover rate of 30 - year Treasury bonds, the net financing of ultra - long Treasury bonds over 10 years (6M MA), and the Wind All - A Index as explanatory variables, a regression analysis was conducted on the 30 - 10 - year Treasury bond spread. The regression equation has a relatively strong explanatory ability [2][20]. - The current fitted central value of the 30 - 10 - year Treasury bond spread is 22.3bps, and the upper limit is about 27bps. However, the current ultra - long bond spread has exceeded the upper limit of one - standard deviation, indicating that ultra - long bonds are oversold to some extent, and the space for the spread to continue rising is limited [3][21]. - By assuming variables from September to December, the estimated 30 - 10 - year Treasury bond spread central values from September to December are 22.1bps, 22.7bps, 27.0bps, and 28.0bps respectively, all lower than the current spread level above 30bps, indicating that the risk of the ultra - long bond spread continuing to rise in the future is limited [21].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - Short - term bond market sentiment remains under pressure. It is crucial to verify that the rebound high of long - term interest rates is gradually decreasing. If 1.8% is confirmed as the relatively high level of the 10 - year Treasury bond, the bond - bull logic can be maintained. In the medium term, the recovery of risk appetite is mainly reflected in the term spread premium, which may reach 50 - 60BP in extreme cases. In September 2025, the bond market is more likely to experience a weak recovery rather than a seasonal adjustment [2][9]. - The term spread of ultra - long bonds is difficult to return to extremely low levels but is unlikely to expand significantly, and there is no need to refer to the historical range above 40BP before 2023 [3][14]. - The short - term recovery of the bond market may be driven by monetary easing. If a 10BP policy rate cut is implemented, the central level of funds and short - term varieties will decline by more than 10BP. The performance of long - term bonds is more affected by expected pricing, and the resistance at 1.7% - 1.75% of the 10 - year Treasury bond may be significant [4][19]. 3. Summary by Related Content 3.1 Bond Market Situation in September 2025 - The bond market has not significantly recovered, long - term bond interest rates are oscillating, and the term spread is expanding. After the public offering fee new rule and the central bank bond - buying expectation emerged, the long - term interest rate rebounded after breaking through 1.8% and then maintained an oscillating state. The term spread has not stopped recovering due to the unclear impact of the public offering fee new rule on the liability side [3][9]. 3.2 Analysis of Ultra - Long Bond Term Spread - **Difficulty in Returning to Low Levels and Limited Expansion**: The ultra - long bond term spread is closely related to risk appetite, reflecting the marginal change in the household debt cycle. As the household sector's leverage ratio has entered the stable - leverage stage and the real - estate cycle has not ended, the improvement of household risk appetite is limited, so the term spread is difficult to return to the high - level range before extreme compression [14][15]. - **Uncertainty from Supply and Demand**: Although the supply of ultra - long - term interest - rate bonds has increased (as of mid - September, the stock of ultra - long - term interest - rate bonds over 10 years has reached 27.3 trillion yuan, and the proportion has increased from 7% in Q1 2019 to 23%), it is difficult to determine the term spread trend from the supply side alone because the demand elasticity has a greater and unpredictable impact. Historically, the term spread has compressed even when the supply increased. In the short term, the completion of ultra - long bond issuance in Q4 may reduce the spread expansion pressure [17]. 3.3 Short - Term Bond Market Recovery Drivers - The short - term recovery of the bond market may be driven by monetary easing. A 10BP policy rate cut will lead to a central decline of more than 10BP in the funds and short - term varieties. The 10 - year Treasury bond has heavy chips around 1.7% - 1.75%, and the resistance to unwinding may be obvious [4][19].

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Views of the Report - Last week, the Israel - Iran cease - fire, the funding situation continued to tighten near the half - year mark, and MLF was scaled back. The bond market adjusted slightly, and ultra - long bonds declined slightly. The trading activity of ultra - long bonds increased significantly, and both the term spread and the variety spread remained flat [1][9][36] - For the 30 - year treasury bond, as of June 27, the spread between the 30 - year and 10 - year treasury bonds was 20BP, at a historically low level. Considering that the funding rate will decline again after the half - year mark, the bond market is more likely to rise, but the term spread protection is limited [2][10] - For the 20 - year CDB bond, as of June 27, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 4BP, at a historically extremely low level. The bond market is more likely to rise after the half - year mark, but the variety spread protection is limited [3][11] Group 3: Summary by Directory 1. Weekly Review Ultra - long Bond Review - Last week, due to the Israel - Iran cease - fire, tightened funding near the half - year mark, and MLF scaling back, the bond market adjusted slightly, and ultra - long bonds declined slightly. Trading activity increased significantly, and both term and variety spreads remained flat [1][9][36] 2. Ultra - long Bond Investment Outlook 30 - year Treasury Bond - As of June 27, the 30 - year and 10 - year treasury bond spread was 20BP, at a historically low level. The May GDP growth rate was about 5.0% year - on - year, down 0.1% from April but still higher than the annual target. May CPI was - 0.1% and PPI was - 3.1%, with deflation risks. Exports declined rapidly in May, and domestic housing prices turned negative month - on - month. After the half - year mark, the bond market is more likely to rise, but term spread protection is limited [2][10] 20 - year CDB Bond - As of June 27, the 20 - year CDB bond and 20 - year treasury bond spread was 4BP, at a historically extremely low level. Economic data shows similar characteristics as the 30 - year treasury bond situation. After the half - year mark, the bond market is more likely to rise, but variety spread protection is limited [3][11] 3. Ultra - long Bond Basic Overview - As of May 31, the balance of ultra - long bonds with a remaining maturity of over 14 years was 21.6823 trillion yuan, accounting for 14.4% of all bonds. Local government bonds and treasury bonds are the main varieties. By remaining maturity, the 30 - year variety has the highest proportion [12] 4. Primary Market Weekly Issuance - Last week (June 23 - 27, 2025), the issuance of ultra - long bonds increased significantly, totaling 389.9 billion yuan. By variety, local government bonds and treasury bonds were the main issuers. By term, 30 - year bonds had the largest issuance volume [17] This Week's Planned Issuance - The announced ultra - long bond issuance plan for this week is 33.6 billion yuan, all of which are ultra - long local government bonds [21] 5. Secondary Market Trading Volume - Last week, ultra - long bond trading was very active, with a turnover of 1.3892 trillion yuan, accounting for 14.2% of all bonds. Compared with the previous week, trading activity increased significantly [23] Yield - Last week, due to various factors, the bond market adjusted slightly, and ultra - long bonds declined slightly. Yields of different - term and different - variety ultra - long bonds changed to varying degrees [36] Spread Analysis - Last week, the term spread of ultra - long bonds remained flat, with an absolute low level. The benchmark 30 - year and 10 - year treasury bond spread was 20BP. The variety spread also remained flat, with an absolute low level. The benchmark 20 - year CDB bond and treasury bond spread was 4BP, and the 20 - year railway bond and treasury bond spread was 9BP [42][43] 6. 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2509 closed at 120.89 yuan, a decline of 0.35%. Trading volume increased significantly compared with the previous week, and open interest increased slightly [50]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the situation of the trade war was uncertain, causing the bond market to fluctuate. With a loose funding environment and the overnight interest rate dropping back to 1.4%, ultra-long bonds were slightly pressured, showing a V-shaped trend throughout the week. The trading activity of ultra-long bonds increased slightly, and both the term spread and the variety spread widened [1][11]. - For the 30-year treasury bond, as of May 30, the spread between the 30-year and 10-year treasury bonds was 23BP, at a historically low level. Considering domestic economic data, the economy in April still showed resilience. The estimated year-on-year GDP growth rate in April was about 4.1%, a 0.8% decline from March but still higher than the annual economic growth target. In terms of inflation, the CPI in April was -0.1% and the PPI was -2.7%, indicating obvious deflation risks. With the recent easing of Sino-US trade frictions and the dissipation of investors' pessimistic expectations, the short-term focus will shift to the domestic economic data of the second quarter. It is expected that as the policy support effect weakens, the bond yield is more likely to decline. However, the current term spread of the 30-year treasury bond is still low, providing limited protection [2][12]. - For the 20-year CDB bond, as of May 30, the spread between the 20-year CDB bond and the 20-year treasury bond was 2BP, at a historically extremely low level. The domestic economic situation in April was similar to that of the 30-year treasury bond. It is also expected that the bond yield will decline as the policy support effect weakens. However, the current variety spread of the 20-year CDB bond is still low, providing limited protection [3][13]. 3. Summary by Relevant Catalogs 3.1 Weekly Review - **Ultra-long Bond Review**: Last week, due to the uncertain trade war situation and a loose funding environment with the overnight interest rate at 1.4%, ultra-long bonds were slightly pressured, showing a V-shaped trend. The trading activity increased slightly, and both the term spread and the variety spread widened [1][11]. - **Ultra-long Bond Investment Outlook**: As analyzed above for the 30-year treasury bond and 20-year CDB bond [2][3]. - **Ultra-long Bond Basic Overview**: As of May 31, the balance of outstanding ultra-long bonds exceeded 21.6 trillion yuan, accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By remaining term, the 30-year variety had the highest proportion [14]. 3.2 Primary Market - **Weekly Issuance**: Last week (May 26 - May 30, 2025), the issuance of ultra-long bonds was low, totaling 117.7 billion yuan, a significant decrease compared to the week before last. By variety, local government bonds accounted for 104.9 billion yuan, and by term, 20-year bonds accounted for 56.5 billion yuan [19]. - **Upcoming Issuance This Week**: The announced issuance plan for ultra-long bonds this week totals 108.1 billion yuan, including 71 billion yuan of ultra-long treasury bonds and 37.1 billion yuan of ultra-long local government bonds [26]. 3.3 Secondary Market - **Trading Volume**: Last week, the trading of ultra-long bonds was quite active, with a turnover of 903.9 billion yuan, accounting for 10.4% of the total bond turnover. Compared to the week before last, the trading activity increased slightly, with the turnover increasing by 42.2 billion yuan and the proportion increasing by 0.2% [28][29]. - **Yield**: Affected by the trade war and the funding environment, ultra-long bonds were slightly pressured, showing a V-shaped trend. The yields of different types of ultra-long bonds had different changes, such as the 15-year treasury bond yield decreasing by 2BP to 1.85% [36]. - **Spread Analysis** - **Term Spread**: Last week, the term spread of ultra-long bonds widened but remained at a low absolute level. The spread between the 30-year and 10-year treasury bonds was 23BP, a 6BP increase from the week before last, at the 6% quantile since 2010 [43]. - **Variety Spread**: The variety spread of ultra-long bonds also widened but was at a low absolute level. The spread between the 20-year CDB bond and the treasury bond was 2BP, and the spread between the 20-year railway bond and the treasury bond was 7BP, with changes of 0BP and 2BP respectively from the week before last, at the 2% and 3% quantiles since 2010 [48]. 3.4 30-year Treasury Bond Futures - Last week, the main contract of the 30-year treasury bond futures, TL2509, closed at 119.41 yuan, a decrease of 0.16%. The total trading volume was 408,900 lots (-60,932 lots), and the open interest was 113,500 lots (-15,740 lots), showing a slight decline in both [50].

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core View of the Report - The supply of ultra-long bonds in 2025 is estimated. The supply pressure is expected to be high in February, August - September, with a monthly issuance scale possibly exceeding 70 billion yuan. The supply of ultra-long bonds will affect the term spread of ultra-long bonds and the spread between ultra-long local bonds and treasury bonds. The term spread of ultra-long bonds may widen slightly, and the spread between ultra-long local bonds and treasury bonds is expected to narrow [7][20][21] Group 3: Summary by Relevant Catalogs 1. Ultra-long Bond Supply Estimation - Ultra-long general treasury bonds have a small supply and are expected to be issued concentratedly from January - April and November - December. The assumed issuance scale of subsequent single 30-year and 50-year general treasury bonds is 30 billion yuan and 20 billion yuan respectively [10] - Ultra-long special treasury bonds are expected to have high supply pressure in May, August - September. The total annual issuance is 1.3 trillion yuan. The assumed issuance scale of subsequent single 20-year, 30-year, and 50-year special treasury bonds is 5 - 6 billion yuan, 6 - 7 billion yuan, and 4 - 4.5 billion yuan respectively [12] - The proportion of ultra-long bonds in local special bonds has increased, and the issuance is expected to surge from August - September. The assumed proportion of ultra-long bonds remains at 69.2%. The monthly issuance scale may exceed 50 billion yuan [15] - Ultra-long local refinancing bonds are expected to be issued by June, with controllable supply pressure. The monthly issuance scale from May - June is estimated to be 14.98 billion yuan [17] 2. Impact on the Bond Market - As the issuance of ultra-long bonds increases, the term spread of ultra-long bonds may widen slightly. The impact of ultra-long bond supply on the term spread is asymmetric. When issuance is high, the term spread is supported but rarely widens significantly; when issuance is low, the term spread is significantly compressed [20] - The spread between ultra-long local bonds and treasury bonds is expected to narrow. When the supply of ultra-long treasury bonds is relatively large, the spread between ultra-long local bonds and treasury bonds tends to narrow, and vice versa [21]