证券研究报告 | 2025年08月25日 超长债周报 股债跷跷板 核心观点 固定收益周报 超长债复盘：上周债市继续大跌。上周税期资金面收紧，公布 8 月 MLF 超额续作 3000 亿，A 股放量大涨，上证指数创 10 年新高，股债跷跷板 效应明显，超长债继续暴跌。成交方面，上周超长债交投活跃度小幅下 降，交投相当活跃。利差方面，上周超长债期限利差走阔，品种利差走 阔。 超长债投资展望： 30 年国债：截至 8 月 22 日，30 年国债和 10 年国债利差为 31BP，处于 历史偏低水平。从国内经济数据来看，7 月经济依然面临下行压力。我 们测算的 7 月国内 GDP 同比增速约 4.3%，较今年上半年的增速大幅下滑。 通胀方面，7 月 CPI 为 0.0%，PPI-3.6%，通缩风险依存。我们认为，短 期债市会不断面临预期和现实的博弈，10 年期国债在【1.65%，1.8%】 区间震荡。一方面，现实基本面依然偏弱，对债市形成支撑；另一方面， "反内卷"的确是当前政策的重要抓手，投资者通缩担忧有所消散，长 期宏观叙事出现变化，预期和情绪对债市产生压制。当前 30 年国债期 限利差依然偏低，期限利差保护度有限 ...

Group 1: Report's Investment Rating - No information provided on the report's industry investment rating Group 2: Core Views - This week, the simulated portfolio's returns turned negative, with the credit - style portfolio's retracement relatively controllable. Among the interest - rate style portfolios, the short - end sinking of urban investment bonds and the sinking strategy of certificates of deposit (CDs) had relatively high weekly return readings, both around - 0.41%. Among the credit - style portfolios, the short - end sinking of urban investment bonds and the sinking strategy of CDs had smaller retracements, with return readings of - 0.16% and - 0.16% respectively [2][15][16]. - Since July, the CD strategy has a higher odds. The average weekly return of the credit - style CD heavy - position portfolio dropped to - 0.17%, a decrease of about 24bp from last week. It is also one of the few strategies with positive cumulative returns in the past three weeks. The corresponding interest - rate style portfolio underperformed the defensive strategy again after two weeks [2][19]. - In terms of return sources, the coupon of the credit - style urban investment bond heavy - position strategy is approaching the annual low and can hardly withstand recent fluctuations. The coupon contributions of the credit - style portfolio this week generally fell within the range of - 25% to - 5%, and capital gains significantly dragged down the comprehensive return [3][27]. - In the past four weeks, except for the short - end sinking of urban investment bonds, the remaining mainstream strategies generally lacked excess returns. From the perspective of strategy terms, short - term strategies significantly outperformed. Short - term CD strategies outperformed the benchmark, and the excess return of urban investment sinking reached the highest since late June [4][31][33]. Group 3: Summary by Relevant Catalogs 1. Portfolio Strategy Return Tracking 1.1 Portfolio Weekly Return Overview - As of August 15, this year, the cumulative returns of the interest - rate style and credit - style portfolios have significantly lagged behind the same period in the past two years. Among the main credit - style portfolios, the cumulative comprehensive returns of the long - term industrial portfolio, the short - end sinking of urban investment bonds, and the duration portfolio led, reaching 1.48%, 1.39%, and 1.22% respectively. The cumulative returns of the credit - style portfolios all exceeded the corresponding interest - rate style portfolios, while the cumulative returns of the interest - rate style portfolios basically fell back to within 1% [10]. - The average weekly return of the credit - style CD heavy - position portfolio dropped to - 0.17%, a decrease of about 24bp from last week. The weekly return of the urban investment bond heavy - position portfolio decreased by 38.6bp to - 0.27% compared with the previous week. The weekly return of the secondary bond heavy - position portfolio decreased by more than 40bp, but its absolute return performance was slightly stronger than that of the interest - rate style portfolio. The average return of the long - term bond heavy - position strategy dropped to - 0.55%, a decrease of about 64bp compared with the previous week [2][19]. 1.2 Portfolio Weekly Return Sources - The coupons of the main strategy portfolios continued to decline. The coupons of the short - end sinking and dumbbell - shaped portfolios of urban investment bonds were around an annualized 1.92% and 1.97% respectively, less than 5bp away from the annual low. The coupon of the secondary bond duration portfolio was still 14bp away from the low point, and the coupon volatility remained high [3][27]. 2. Credit Strategy Excess Return Tracking - In the past four weeks, the cumulative excess returns of the short - end sinking of urban investment bonds, the bullet - shaped portfolio of commercial financial bonds, and the sinking strategy portfolio of secondary bonds reached 16.2bp, 0.9bp, and 0.6bp respectively, while the cumulative readings of the remaining strategy portfolios dropped to the negative range. This week's weak performance widened the gap between the cumulative returns of the heavy - position strategy of Tier 2 and perpetual bonds and the urban investment bond heavy - position strategy, with the cumulative excess return dropping to below - 22bp [4][31]. - From the perspective of strategy terms, short - term strategies significantly outperformed. Short - term CD strategies outperformed the benchmark, and the excess return of urban investment sinking reached the highest since late June. In the medium - and long - term, all strategies showed negative excess returns, except that the excess return of the short - end sinking of urban investment bonds reached 9.7bp. The negative deviations of Tier 2 capital bonds and the bullet - shaped portfolio of commercial financial bonds from the benchmark were within 2bp, also having a certain defensive property [4][33]. Appendix: Simulated Portfolio Allocation Method - The simulated portfolio has some limitations, including the distortion of the portfolio allocation method and errors in the return calculation method. The actual product's bond allocation in terms of grade and term distribution is more complex and may change strategies according to market conditions. The fixed bond ratio in the simulated portfolio may be distorted, and there are some assumptions and simplifications in the calculation method of coupon and capital gains [5][47]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - This week, there were many negative factors in the bond market, including a tightening of the capital market, relatively smooth progress in tariff updates, and a certain increase in the stock market and commodities during the domestic "anti-involution" movement, which suppressed bond market sentiment. The bond market fell rapidly throughout the week, with ultra-long bonds experiencing a slight decline [1][3][12][35]. - As of July 11, the spread between the 30-year Treasury bond and the 10-year Treasury bond was 21BP, at a historically low level. The 5-month domestic GDP year-on-year growth rate was about 5.0%, slightly lower than April but still higher than the annual economic growth target. There is still a risk of deflation. The bond market has more opportunities than risks as the 10-year Treasury bond approaches 1.7%, but the term spread protection for the 30-year Treasury bond is limited [2][13]. - As of July 11, the spread between the 20-year China Development Bank bond and the 20-year Treasury bond was 3BP, at a historically extremely low level. The domestic economy still shows resilience, but there is still downward pressure. The bond market has more opportunities than risks as the 10-year Treasury bond approaches 1.7%, but the spread protection for the 20-year China Development Bank bond is limited [3][14]. Summary by Directory Weekly Review - **Ultra-long Bond Review**: This week, the bond market was affected by multiple negative factors, resulting in a rapid decline in the bond market and a slight decline in ultra-long bonds. Last week, the trading activity of ultra-long bonds decreased slightly but remained quite active. The term spread of ultra-long bonds remained flat, and the variety spread narrowed [1][12]. - **Ultra-long Bond Investment Outlook**: For 30-year Treasury bonds and 20-year China Development Bank bonds, the spreads are at historically low levels. The domestic economy shows resilience but also faces downward pressure. The bond market has more opportunities than risks as the 10-year Treasury bond approaches 1.7%, but the spread protection is limited [2][3][13][14]. - **Ultra-long Bond Basic Overview**: As of June 30, the balance of outstanding ultra-long bonds exceeded 22.2 trillion yuan, accounting for 14.5% of the total bond balance. Local government bonds and Treasury bonds are the main varieties. The 30-year variety has the highest proportion [15]. Primary Market - **Weekly Issuance**: Last week (July 7 - July 11, 2025), the issuance of ultra-long bonds increased slightly, totaling 83 billion yuan. By variety, local government bonds accounted for the majority. By term, 30-year bonds had the largest issuance volume [20]. - **This Week's Planned Issuance**: The announced ultra-long bond issuance plan for this week totals 224.1 billion yuan, including 123 billion yuan of ultra-long Treasury bonds and 101.1 billion yuan of ultra-long local government bonds [24]. Secondary Market - **Trading Volume**: Last week, the trading of ultra-long bonds was quite active, with a trading volume of 1.0286 trillion yuan, accounting for 12.5% of the total bond trading volume. The trading activity decreased slightly compared to the previous week [27]. - **Yield**: This week, due to multiple negative factors, the bond market fell rapidly, and ultra-long bonds declined slightly. The yields of different types of ultra-long bonds changed to varying degrees [35]. - **Spread Analysis**: Last week, the term spread of ultra-long bonds remained flat, and the variety spread narrowed, both at low absolute levels [44][47]. 30-year Treasury Bond Futures - Last week, the main 30-year Treasury bond futures contract TL2509 closed at 120.61 yuan, with a decline of 0.49%. The total trading volume increased significantly, and the open interest increased slightly compared to the previous week [50].

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]

Report Industry Investment Rating No relevant content provided. Core Views - Last week, after the release of May economic data, with the year-on-year growth rate of social consumption reaching 6.4% and the estimated monthly GDP at 5.0%, and the tightening of the capital market, bond yields continued to decline, and non-active ultra-long bonds rose significantly. The trading activity of ultra-long bonds increased slightly, and the term spread remained flat while the variety spread widened [1][3][11]. - As of June 20, the spread between 30-year treasury bonds and 10-year treasury bonds was 20BP, at a historically low level. The May economic data showed resilience, with an estimated GDP growth rate of about 5.0%, a 0.1% decline from April but still higher than the annual target. With deflation risks, a decline in exports, a negative month-on-month change in housing prices, and a decrease in capital interest rates, the bond market sentiment improved. It is expected that the bond market is more likely to continue rising in the short term, but the term spread protection is limited [2]. - As of June 20, the spread between 20-year CDB bonds and 20-year treasury bonds was 4BP, at a historically extremely low level. Similar to the 30-year treasury bonds, considering the economic situation and market conditions, the bond market is expected to rise in the short term, but the variety spread protection is limited [3]. Summary by Directory Weekly Review Ultra-long Bond Review - After the release of May economic data, with the year-on-year growth rate of social consumption reaching 6.4% and the estimated monthly GDP at 5.0%, and the tightening of the capital market, bond yields continued to decline, and non-active ultra-long bonds rose significantly. The trading activity of ultra-long bonds increased slightly and was quite active. The term spread remained flat, and the variety spread widened [1][11]. Ultra-long Bond Investment Outlook - **30-year Treasury Bonds**: As of June 20, the spread between 30-year and 10-year treasury bonds was 20BP, at a historically low level. The May economic data showed resilience, with an estimated GDP growth rate of about 5.0%, a 0.1% decline from April but still higher than the annual target. With deflation risks, a decline in exports, a negative month-on-month change in housing prices, and a decrease in capital interest rates, the bond market sentiment improved. It is expected that the bond market is more likely to continue rising in the short term, but the term spread protection is limited [2][12]. - **20-year CDB Bonds**: As of June 20, the spread between 20-year CDB bonds and 20-year treasury bonds was 4BP, at a historically extremely low level. Similar to the 30-year treasury bonds, considering the economic situation and market conditions, the bond market is expected to rise in the short term, but the variety spread protection is limited [3][13]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds exceeded 21.6 trillion. As of May 31, the total amount of ultra-long bonds with a remaining term of over 14 years was 216,823 billion (excluding asset-backed securities and project revenue notes), accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By variety, treasury bonds accounted for 26.1%, local government bonds 67.8%, policy financial bonds 2.1%, government agency bonds 2.0%, commercial bank subordinated bonds 0.2%, corporate bonds 0.5%, enterprise bonds 0.1%, medium-term notes 1.2%, private bonds 0.0%, and directional instruments 0.0%. By remaining term, the 14 - 18-year (inclusive) category accounted for 26.7%, the 18 - 25-year (inclusive) 26.9%, the 25 - 35-year (inclusive) 40.3%, and over 35 years 6.2% [14]. Primary Market Weekly Issuance - Last week (June 16 - 20, 2025), the issuance of ultra-long bonds was relatively small, with a total issuance of 1,147 billion yuan. Compared with the week before last, the total issuance of ultra-long bonds increased significantly. By variety, treasury bonds accounted for 500 billion, local government bonds 505 billion, policy bank bonds 0 billion, government-supported agency bonds 0 billion, medium-term notes 30 billion, corporate bonds 113 billion, directional instruments 0 billion, enterprise bonds 0 billion, and bank subordinated bonds 0 billion. By term, 149 billion were issued with a term of 15 years, 684 billion with 20 years, 315 billion with 30 years, and 0 billion with 50 years [19]. This Week's Pending Issuance - The announced issuance plan for ultra-long bonds this week totals 3,663 billion. By variety, ultra-long treasury bonds account for 710 billion, ultra-long local government bonds 2,788 billion, ultra-long corporate bonds 0 billion, and ultra-long medium-term notes 165 billion [25]. Secondary Market Trading Volume - Last week, the trading of ultra-long bonds was quite active, with a trading volume of 11,298 billion, accounting for 11.0% of the total bond trading volume. By variety, the trading volume of ultra-long treasury bonds was 7,764 billion, accounting for 29.8% of the total treasury bond trading volume; ultra-long local bonds 2,799 billion, accounting for 51.4% of the total local bond trading volume; ultra-long policy financial bonds 103 billion, accounting for 0.3% of the total policy financial bond trading volume; and ultra-long government agency bonds 89 billion, accounting for 78.8% of the total government agency bond trading volume. The trading activity of ultra-long bonds increased slightly compared with the week before last, with an increase of 2,330 billion in trading volume and a 0.1% increase in the proportion. Among them, the trading volume of ultra-long treasury bonds increased by 1,474 billion, but the proportion decreased by 6.3%; the trading volume of ultra-long local bonds increased by 388 billion, and the proportion increased by 3.5%; the trading volume of ultra-long policy financial bonds decreased by 5 billion, and the proportion decreased by 0.1%; the trading volume of ultra-long government agency bonds increased by 66 billion, and the proportion increased by 66.2% [28]. Yield - After the release of May economic data, with the year-on-year growth rate of social consumption reaching 6.4% and the estimated monthly GDP at 5.0%, and the tightening of the capital market, bond yields continued to decline. For treasury bonds, the yields of 15-year, 20-year, 30-year, and 50-year bonds changed by -3BP, -5BP, -1BP, and -5BP to 1.78%, 1.87%, 1.84%, and 1.95% respectively. For CDB bonds, the yields of 15-year, 20-year, 30-year, and 50-year bonds changed by -5BP, -6BP, -1BP, and -5BP to 1.86%, 1.90%, 2.02%, and 2.19% respectively. For local bonds, the yields of 15-year, 20-year, and 30-year bonds changed by -5BP, -4BP, and -4BP to 1.98%, 2.03%, and 2.03% respectively. For railway bonds, the yields of 15-year, 20-year, and 30-year bonds changed by -5BP, -4BP, and -4BP to 1.92%, 1.95%, and 2.05% respectively. For representative individual bonds, the yield of the 30-year treasury bond active bond 24 Special Treasury Bond 06 changed by -2BP to 1.88%, and the yield of the 20-year CDB bond active bond 21 CDB 20 changed by -5BP to 1.89% [44][45]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra-long bonds remained flat, and the absolute level was low. The spread between the benchmark 30-year and 10-year treasury bonds was 20BP, unchanged from the week before last, at the 4% percentile since 2010 [53]. - **Variety Spread**: Last week, the variety spread of ultra-long bonds widened, and the absolute level was low. The spread between the benchmark 20-year CDB bonds and treasury bonds was 4BP, and the spread between 20-year railway bonds and treasury bonds was 9BP, with a 0BP and 1BP change from the week before last respectively, at the 6% and 5% percentiles since 2010 [54]. 30-year Treasury Bond Futures - Last week, the main 30-year treasury bond futures contract TL2509 closed at 121.32 yuan, an increase of 0.68%. The total trading volume was 327,300 lots (5,583 lots), and the open interest was 137,700 lots (13,009 lots). The trading volume and open interest increased slightly compared with the week before last [60].

Report Industry Investment Rating No relevant content provided. Core View - Last week, the release of May inflation and export data showed persistent deflationary pressure and an accelerated decline in exports. The first meeting of the China - US economic and trade consultation mechanism was held, with tariffs remaining at the level of the Geneva talks. The weakening economy supported a continued decline in bond yields, and ultra - long bonds rose slightly. The trading activity of ultra - long bonds increased slightly last week and was quite active. The term spread of ultra - long bonds narrowed, while the variety spread widened [1][11][37]. - For the 30 - year treasury bond, as of June 13, the spread between the 30 - year and 10 - year treasury bonds was 20BP, at a historically low level. Considering domestic economic data, the estimated year - on - year GDP growth rate in April was about 4.1%, down 0.8% from March but still higher than the annual economic growth target. In May, CPI was - 0.1% and PPI was - 3.1%, indicating persistent deflation risks. With the recent accelerated decline in May exports, a negative month - on - month change in domestic housing prices, and a continued decline in capital interest rates, bond market sentiment improved. It is expected that the bond market is more likely to continue rising in the short term. However, the current term spread of the 30 - year treasury bond is still low, with limited spread protection [2][12]. - For the 20 - year CDB bond, as of June 13, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 4BP, at a historically extremely low level. Considering domestic economic data, the estimated year - on - year GDP growth rate in April was about 4.1%, down 0.8% from March but still higher than the annual economic growth target. In May, CPI was - 0.1% and PPI was - 3.1%, indicating persistent deflation risks. With the recent accelerated decline in May exports, a negative month - on - month change in domestic housing prices, and a continued decline in capital interest rates, bond market sentiment improved. It is expected that the bond market is more likely to continue rising in the short term. However, the current variety spread of the 20 - year CDB bond is still low, with limited spread protection [3][13]. Summary by Relevant Catalogs 1. Super - long Bond Review - Last week, due to the release of May inflation and export data showing deflationary pressure and an accelerated decline in exports, along with the China - US economic and trade consultation mechanism meeting and stable tariffs, the weak economy led to a decline in bond yields, and ultra - long bonds rose slightly. The trading activity of ultra - long bonds increased slightly and was quite active. The term spread of ultra - long bonds narrowed, and the variety spread widened [1][11]. 2. Super - long Bond Investment Outlook - **30 - year Treasury Bond**: As of June 13, the 30 - 10 - year treasury bond spread was 20BP, at a low historical level. April's economy showed resilience with an estimated GDP growth of 4.1% year - on - year, down 0.8% from March but above the annual target. May's CPI was - 0.1% and PPI was - 3.1%, with deflation risks. With export decline, negative housing price growth, and falling capital rates, the bond market is likely to rise in the short term, but the term spread protection is limited [2][12]. - **20 - year CDB Bond**: As of June 13, the 20 - year CDB - treasury bond spread was 4BP, at an extremely low historical level. April's economy showed resilience with an estimated GDP growth of 4.1% year - on - year, down 0.8% from March but above the annual target. May's CPI was - 0.1% and PPI was - 3.1%, with deflation risks. With export decline, negative housing price growth, and falling capital rates, the bond market is likely to rise in the short term, but the variety spread protection is limited [3][13]. 3. Super - long Bond Basic Overview - As of May 31, the balance of super - long bonds exceeded 21.6 trillion yuan, accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds are the main varieties. By variety, treasury bonds account for 26.1%, local government bonds 67.8%, etc. By remaining term, the 30 - year variety has the highest proportion [14]. 4. Primary Market - **Weekly Issuance**: Last week (June 9 - 13, 2025), 641 billion yuan of ultra - long bonds were issued, a significant decrease compared to the previous week. By variety, local government bonds were 306 billion yuan, government - supported institutional bonds 50 billion yuan, etc. By term, 15 - year bonds were 359 billion yuan, 20 - year bonds 32 billion yuan, and 30 - year bonds 250 billion yuan [19]. - **This Week's Pending Issuance**: The announced issuance plan for this week is 1029 billion yuan, including 500 billion yuan of ultra - long treasury bonds, 449 billion yuan of ultra - long local government bonds, and 80 billion yuan of ultra - long corporate bonds [24]. 5. Secondary Market - **Trading Volume**: Last week, ultra - long bonds were actively traded, with a turnover of 8968 billion yuan, accounting for 10.9% of the total bond turnover. By variety, ultra - long treasury bonds had a turnover of 6290 billion yuan, ultra - long local bonds 2411 billion yuan, etc. The trading activity increased slightly compared to the previous week [26][27]. - **Yield**: Due to economic factors, bond yields declined last week. For treasury bonds, 15 - year, 20 - year, 30 - year, and 50 - year yields changed by - 3BP, - 4BP, - 3BP, and - 3BP respectively. Similar changes occurred in CDB bonds, local bonds, and railway bonds [37]. - **Spread Analysis**: - **Term Spread**: The term spread of ultra - long bonds narrowed last week, with an absolute low level. The 30 - 10 - year treasury bond spread was 20BP, down 2BP from the previous week, at the 4% percentile since 2010 [44]. - **Variety Spread**: The variety spread of ultra - long bonds widened last week, with an absolute low level. The 20 - year CDB - treasury bond spread was 4BP, and the 20 - year railway - treasury bond spread was 8BP, up 3BP from the previous week, at the 6% and 5% percentiles since 2010 respectively [49]. 6. 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2509 closed at 120.50 yuan, an increase of 0.60%. The total trading volume was 321,700 lots (36,864 lots), and the open interest was 124,600 lots (6,864 lots). Both trading volume and open interest increased slightly compared to the previous week [52].

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - Last week, the central bank announced in advance a 1 - trillion - yuan outright reverse repurchase operation, leading to a loose funding situation. However, the progress of the trade - war negotiation remained unclear, resulting in a slight increase in the bond market and also a small rise in ultra - long bonds. The trading activity of ultra - long bonds decreased slightly last week but was still relatively active. The term spread and variety spread of ultra - long bonds narrowed [1][3][11][41]. - For the 30 - year treasury bond, as of June 6, the spread between the 30 - year and 10 - year treasury bonds was 22BP, at a historically low level. In April, the economy showed resilience, with the estimated GDP year - on - year growth rate at about 4.1%, down 0.8% from March but still higher than the annual economic growth target. The CPI in April was - 0.1% and PPI was - 2.7%, indicating obvious deflation risks. With the recent phased easing of Sino - US trade frictions, investors' pessimistic expectations have dissipated. The short - term focus will return to China's second - quarter economic data. It is expected that as the policy support effect weakens, the probability of a decline in bond yields is greater. However, the current term spread of the 30 - year treasury bond is still low, with limited term spread protection [2][12]. - For the 20 - year CDB bond, as of June 6, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 1BP, at a historically extremely low level. The economic situation in April was similar to that of the 30 - year treasury bond analysis. It is also expected that bond yields will likely decline as the policy support effect weakens. But the current variety spread of the 20 - year CDB bond is still low, with limited variety spread protection [3][13]. 3. Summary According to Related Catalogs 3.1 Weekly Review 3.1.1 Ultra - long Bond Review - The central bank's pre - announced 1 - trillion - yuan outright reverse repurchase operation led to a loose funding situation. With unclear trade - war negotiation progress, the bond market and ultra - long bonds rose slightly. The trading activity of ultra - long bonds decreased slightly but was still relatively active. The term spread and variety spread of ultra - long bonds narrowed [1][11]. 3.1.2 Ultra - long Bond Investment Outlook - **30 - year Treasury Bond**: The spread between the 30 - year and 10 - year treasury bonds was 22BP as of June 6, at a low historical level. Economic data in April showed resilience, with deflation risks. With the easing of trade frictions, the short - term focus will be on second - quarter economic data. Bond yields are likely to decline as policy support weakens, but the term spread protection is limited [2][12]. - **20 - year CDB Bond**: The spread between the 20 - year CDB bond and the 20 - year treasury bond was 1BP as of June 6, at an extremely low historical level. Similar to the 30 - year treasury bond situation, bond yields are likely to decline, but the variety spread protection is limited [3][13]. 3.1.3 Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeded 21.6 trillion yuan. As of May 31, the total amount of ultra - long bonds with a remaining maturity of over 14 years was 216,823 billion yuan, accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By variety, treasury bonds accounted for 26.1%, local government bonds 67.8%, etc. By remaining maturity, the 30 - year variety had the highest proportion [14]. 3.2 Primary Market 3.2.1 Weekly Issuance - Last week (from May 26 to May 30, 2025), the issuance volume of ultra - long bonds was relatively small, totaling 1,091 billion yuan, a slight decrease compared with the week before last. By variety, treasury bonds were 710 billion yuan, local government bonds 371 billion yuan, etc. By term, 15 - year bonds were 11 billion yuan, 20 - year bonds 119 billion yuan, and 30 - year bonds 961 billion yuan [19]. 3.2.2 This Week's Upcoming Issuance - The announced ultra - long bond issuance plan for this week is 306 billion yuan in total, all of which are ultra - long local government bonds [23]. 3.3 Secondary Market 3.3.1 Trading Volume - Last week, the trading of ultra - long bonds was relatively active, with a trading volume of 4,687 billion yuan, accounting for 9.7% of the total bond trading volume. By variety, the trading volume of ultra - long treasury bonds was 3,269 billion yuan, accounting for 29.8% of the total treasury bond trading volume; that of ultra - long local bonds was 1,302 billion yuan, accounting for 49.5% of the total local bond trading volume, etc. The trading activity of ultra - long bonds decreased slightly last week. Compared with the week before last, the trading volume and proportion of ultra - long bonds decreased [25]. 3.3.2 Yield - Due to the pre - announced 1 - trillion - yuan outright reverse repurchase operation and unclear trade - war negotiation progress, the bond market and ultra - long bonds rose slightly. The yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds, CDB bonds, local bonds, and railway bonds all changed to different extents [41]. 3.3.3 Spread Analysis - **Term Spread**: The term spread of ultra - long bonds narrowed last week, and the absolute level was low. The spread between the 30 - year and 10 - year treasury bonds was 22BP, down 1BP from the week before last, at the 6% percentile since 2010 [49]. - **Variety Spread**: The variety spread of ultra - long bonds narrowed last week, and the absolute level was low. The spread between the 20 - year CDB bond and the treasury bond was 1BP, and that between the 20 - year railway bond and the treasury bond was 5BP, down 1BP and 2BP respectively from the week before last, both at the 2% percentile since 2010 [50]. 3.4 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2509 closed at 119.78 yuan, an increase of 0.31%. The total trading volume was 284,800 lots (a decrease of 124,088 lots), and the open interest was 117,800 lots (an increase of 4,256 lots). The trading volume decreased significantly compared with the week before last, while the open interest increased slightly [55].

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].

Core Viewpoint - Japan's Finance Minister, Kato Katsunobu, emphasizes the need to closely monitor the bond market situation, particularly the ultra-long bond sector, amid rising interest rates reflecting concerns over the country's fiscal condition [1] Group 1 - The Finance Minister will maintain close dialogue with bond investors and market participants to assess the evolving market dynamics [1] - Rising interest rates are influenced by various factors, with a general market perception linking them to worries about national fiscal health [1]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - Standing at the end of April and looking forward to May, investors' preference for long - term and ultra - long - term bonds has increased, while their attention to credit products has decreased month - on - month, but there may be a characteristic of "being bullish but not taking action" [1][10]. - According to the bond market survey questionnaire results released at the end of April, six mainstream expectations of investors for the May bond market are summarized: preference for long - term and ultra - long - term bonds has increased significantly; Trump's tariff policy may promote the early implementation of reserve requirement ratio (RRR) and interest rate cut policies, and the positive impact on the bond market can continue; the current expectation of monetary easing is still strong, with most investors expecting an RRR cut in May - June and an interest rate cut more likely in the third quarter; most investors believe that the bond market will strengthen overall in May, and the probability of a bull - flattening curve is high; most investors' judgments on the operating ranges of 10 - year and 30 - year Treasury bond yields are narrow, and the market is expected to be mainly volatile; in terms of operations, most investors are neutral in practice and prefer to keep their positions basically stable, possibly showing "being bullish but not taking action" [1][10]. 3. Summary by Relevant Catalogs 3.1 Survey Background - A bond market questionnaire "What to expect from the May bond market?" was released on April 25, 2025, targeting the main concerns of the May 2025 bond market. As of 24:00 on April 27, a total of 331 valid questionnaires were received, covering various institutional investors such as bank self - operation, securities firm self - operation, public funds/special accounts, and individual investors [8]. 3.2 Expectations for Treasury Bond Yields - **10 - year Treasury Bond Yields**: 48% of investors think the lower limit of the 10 - year Treasury bond rate is below 1.60%, and 45% think it is between 1.60% - 1.70% (inclusive). 76% of investors believe the upper limit of the 10 - year Treasury bond rate may be within 1.80%, and 11% think it may be between 1.80% - 1.85% (inclusive). Most investors expect the bond market in May to trade around the tariff policy, and the 10 - year Treasury bond rate is unlikely to return to the previous high in April [11]. - **30 - year Treasury Bond Yields**: 41% of investors think the lower limit of the 30 - year Treasury bond operating range in May will be less than 1.8%, and 43% think it is between 1.80% - 1.85% (inclusive). 53% of investors believe the upper limit of the 30 - year Treasury bond operating range in May is between 1.90% - 2.00% (inclusive), and 31% think it is within 1.90%. The overall bond market in May may be volatile and slightly stronger [14]. 3.3 Expectations for the Second - Quarter Economic Trend - 62% of investors think the economic trend in the second quarter will be "both year - on - year and month - on - month weakening", a significant increase compared with the April questionnaire results. 22% of investors think it will show the characteristic of "year - on - year recovery but month - on - month weaker than the seasonal level". 10% of investors think it will be "year - on - year recovery and month - on - month in line with the seasonal level", and 5% think it will be "year - on - year recovery and month - on - month exceeding the seasonal level", a significant decrease compared with the April questionnaire results. The deviation between the economic fundamental expectation and the reality needs a certain verification period [19]. 3.4 Expectations for RRR and Interest Rate Cuts - **RRR Cut**: 66% of investors think an RRR cut will occur in May - June, and 17% think it will be in the third quarter. Investors have a high expectation for an RRR cut and expect it to happen earlier [21]. - **Interest Rate Cut**: 49% of investors think an interest rate cut will occur in the third quarter, 31% think it will be in May - June. 12% of investors think there will be no interest rate cut in 2025. Investors' expectation for an interest rate cut has further strengthened, and the proportion of those who think there will be no interest rate cut in 2025 has decreased significantly [21]. 3.5 Impact of Trump's Tariff Policy on the Bond Market - 46% of investors think it may promote the early implementation of RRR and interest rate cut policies, and the positive impact on the bond market can continue. 27% think the subsequent focus will be on the expectation of tariff policy cooling, and the positive impact on the bond market has ended. 15% think it may trigger non - US countries to impose tariffs on China, and the positive impact on the bond market can continue. 12% think it may strengthen the policy - makers' determination to stabilize the capital market, and the positive impact on the bond market has ended. Overall, investors generally think the subsequent impact of Trump's tariff policy on the bond market is still positive [23]. 3.6 Expectations for the May Bond Market行情 - 27% of investors think the interest rate curve will strengthen overall and show a bull - flattening trend in May. 26% think it will strengthen overall and show a bull - steepening trend. 16% think it is difficult to judge the trend of the interest rate curve in May. 10% think the short - end of the interest rate curve will be strong and the long - end will be weak, and 10% think the short - end will be weak and the long - end will be strong. Overall, more investors are optimistic about the May bond market, but there is some divergence between the expectations of a bull - flattening and a bull - steepening curve [25]. 3.7 Bond Market Operation Suggestions - 49% of investors think they should keep their positions basically stable. 23% think they should hold cash and wait, and then add positions after the market回调 to the expected level. 13% think they can start adding positions. 11% think they should take appropriate profits and reduce positions. 4% think they should reduce the duration to control risks. Most investors are neutral in practice, and keeping positions stable is the mainstream view [29]. 3.8 Preferred Bond Varieties in May - 18% and 17% of investors think the opportunities for long - term and ultra - long - term interest - rate bonds are relatively certain. 15%, 10%, and 10% of investors are more optimistic about medium - short - term interest - rate bonds, inter - bank certificates of deposit, and local government bonds respectively. About 9% of investors prefer medium - low - grade urban investment bonds. Investors have a higher preference for interest - rate products such as interest - rate bonds, certificates of deposit, and government bonds, and their preference for credit products has decreased month - on - month. The preferred varieties have shifted from the short - end to the long - end and ultra - long - end [32]. 3.9 Main Logic of Bond Market Pricing in May - 31% of investors think the central bank's monetary policy attitude and the trend of the capital market are still the main pricing logics for the May bond market. 16% and 15% of investors think fiscal stimulus, government bond issuance, and fundamental data such as real estate and PMI are the main pricing logics. 13% of investors think the implementation of the US tariff policy is the main pricing logic. The central bank's monetary policy attitude and the trend of the capital market are still the most concerned factors for investors [34].