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平安证券:2025年利率债四季报:多重挑战下,债市的机会与风险
Ping An Securities· 2025-09-29 10:47
证券研究报告 【平安证券】2025年利率债四季报: 多重挑战下,债市的机会与风险 证券分析师 刘璐 投资咨询资格编号:S1060519060001 郑子辰 投资咨询资格编号:S1060521090001 2025年9月29日 请务必阅读正文后免责条款 摘要 多重因素共振,三季度债市如期进入逆风期。6月"反内卷"拉开大幕带动商品价格上涨,7月上证指数突破3400点,风险偏好明显改善;8-9月国 债利息增值税政策调整、公募赎回收费规则调整以及对于公募免税政策即将取消的担忧引起了基金赎回,利率进一步上行。本次债市调整与以往不 同,第一是资金面整体平稳,第二是基本面未见明显改善,因此本轮的市场调整是风偏压制、政策扰动机构行为及债券利率处于历史低点的共振演 绎。在此背景下,曲线走出熊陡,银行间杠杆率波动回落,资管户降久期,配置盘维持了一定的需求。从结构上看,短国债相对抗跌主要得益于大 行持续买入;信用债相对走弱,基金受到政策扰动面临一定的赎回压力,理财对信用债的需求也弱于往年;超长债表现偏弱,需求方保险和农商行 买入超长债规模大于24年,但是今年超长债供给明显更多,供需格局走弱。此外,全球超长债收益率共振上行也有一定影 ...
债券策略回撤幅度如何?
SINOLINK SECURITIES· 2025-09-28 13:04
Group 1 - The core viewpoint of the report indicates that the simulated credit style portfolio yields have generally declined, while the losses in most interest rate style portfolios have narrowed [3][11] - The AA+ medium-short secondary bonds and interest rate bonds in the heavy positions have stabilized in yield compared to early this month [3][18] - The average weekly yield of the credit style portfolio has decreased by 7 basis points to -0.11%, which is less than the recovery seen last week, indicating a controlled overall decline [3][18] Group 2 - In terms of yield sources, most strategy combinations have seen an increase in coupon rates, with city investment and mixed bullet strategies rising by over 0.04 basis points [4][26] - The annualized coupon rates for medium-long strategies, including city investment duration, bullet, and perpetual bond duration combinations, have risen to over 2.16% [4][26] - The coupon contributions of the credit style portfolio have fallen into the range of -35% to 0%, indicating that coupon yields are unable to cover capital loss [4][26] Group 3 - Over the past four weeks, the cumulative excess losses and volatility of the perpetual bond duration strategy have both increased [5][30] - The cumulative excess yields for city investment short-end sinking, commercial bank bond bullet, and brokerage bond duration strategies are 21.3 basis points, 14.2 basis points, and -0.8 basis points respectively [5][30] - The short-duration deposit strategies have outperformed, with excess yields reaching the highest point since March [5][32]
固收周度点评:长假前后,债市表现如何?-20250928
Tianfeng Securities· 2025-09-28 12:45
固定收益 | 固定收益点评 整体来看,权益市场在国庆假期前后通常有较强的日历效应,节前以谨慎 离场为主,节后通常补涨。 债市资金面节前通常波动较大、节后季节性明显回落;但国债利率本身日 历效应并不明显。复盘 2019 年以来表现来看,国庆前后利率多以上行为 主,主要关注因素在于基本面和财政政策。可分类为三种情况: 1)2019、2020、2021 年,节后利率延续节前的上行态势,行情主线分别 是中美贸易谈判推进、基本面数据表现偏强、通胀担忧升温。 2)2022、2024 年,利率由节前的上行态势扭转为节后下行态势。前者主 因节前地产积极政策出台、宽信用预期升温,而节后坚决防疫政策信号加 强;后者主因节后股市涨幅放缓,债市迎来大跌之后的修复。 3)2023 年,国庆前后债市延续震荡略偏空的格局。主要逻辑在于资金面 偏紧,叠加特殊再融资债开始发行。 固收周度点评 证券研究报告 长假前后,债市表现如何? 1、本周债市行情回顾:做空惯性中,期待维稳力量入场 本周,债市"远忧近虑"并存,做空惯性仍在,但大行买债和央行操作也 及时起到维稳效果,利率在连续"上台阶"之后有所修复。但综合来看, 做空惯性仍有待更积极、更确定的 ...
超长债周报:30-10利差继续走阔-20250928
Guoxin Securities· 2025-09-28 12:02
1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the central bank restarted 14 - day reverse repurchase operations. With a tight end - of - quarter liquidity situation, market rumors about fund fee reform and large banks' bond purchases, the bond market first declined and then rebounded, and the yields of ultra - long bonds reached new highs. The trading activity of ultra - long bonds increased slightly, and both the term spread and variety spread of ultra - long bonds widened [1][9][36]. - As of September 26, the spread between 30 - year and 10 - year treasury bonds was 35BP, at a relatively low historical level; the spread between 20 - year CDB bonds and 20 - year treasury bonds was 8BP, at an extremely low historical level. In August, the downward pressure on the domestic economy continued to increase, with the estimated GDP year - on - year growth rate at about 3.8%, a decline from July. There was still deflation risk with CPI at - 0.4% and PPI at - 2.9%. The bond market adjustment was mainly due to the disappointment in 2024 and changes in the macro - narrative. Since late August, stocks and bonds have gradually become desensitized. Considering the sluggish economy in August, it is expected that the trading focus of the bond market will shift to fundamentals, and the bond market is expected to rebound in the short term [2][3][10]. 3. Summary by Relevant Catalogs 3.1 Weekly Review 3.1.1 Ultra - long Bond Review - The central bank restarted 14 - day reverse repurchase operations last week. With a tight end - of - quarter liquidity situation, market rumors about fund fee reform and large banks' bond purchases, the bond market first declined and then rebounded, and the yields of ultra - long bonds reached new highs. The trading activity of ultra - long bonds increased slightly and was very active. Both the term spread and variety spread of ultra - long bonds widened [1][9]. 3.1.2 Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of September 26, the spread between 30 - year and 10 - year treasury bonds was 35BP, at a relatively low historical level. In August, the downward pressure on the domestic economy continued to increase, and there was still deflation risk. The bond market adjustment was mainly due to the disappointment in 2024 and changes in the macro - narrative. It is expected that the trading focus of the bond market will shift to fundamentals, and the bond market is expected to rebound in the short term [2][10]. - **20 - year CDB Bonds**: As of September 26, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 8BP, at an extremely low historical level. Similar to the situation of 30 - year treasury bonds, it is expected that the trading focus of the bond market will shift to fundamentals, and the bond market is expected to rebound in the short term [3][11]. 3.1.3 Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 23.3 trillion. As of August 31, the total amount of ultra - long bonds with a remaining term of more than 14 years was 233,878 billion (excluding asset - backed securities and project revenue notes), accounting for 14.9% 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 [12]. 3.2 Primary Market 3.2.1 Weekly Issuance - Last week, the issuance volume of ultra - long bonds was relatively large, but it decreased significantly compared with the week before last. A total of 1,386 billion yuan of ultra - long bonds were issued, all of which were local government bonds. By term, 161 billion yuan with a 15 - year term, 482 billion yuan with a 20 - year term, and 743 billion yuan with a 30 - year term were issued [19]. 3.2.2 This Week's Planned Issuance - The announced ultra - long bond issuance plan for this week is 256 billion yuan, all of which are ultra - long local government bonds [25]. 3.3 Secondary Market 3.3.1 Trading Volume - Last week, the trading of ultra - long bonds was very active, with a trading volume of 12,544 billion yuan, accounting for 13.4% of the total bond trading volume. The trading activity of ultra - long bonds decreased slightly. Compared with the week before last, the trading volume increased by 91 billion yuan, and the proportion decreased by 0.1% [29]. 3.3.2 Yields - The central bank restarted 14 - day reverse repurchase operations last week. With a tight end - of - quarter liquidity situation, market rumors about fund fee reform and large banks' bond purchases, the bond market first declined and then rebounded, and the yields of ultra - long bonds reached new highs. The yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds changed by 1BP, 3BP, 2BP, and 3BP respectively [36]. 3.3.3 Spread Analysis - **Term Spread**: The term spread of ultra - long bonds widened last week, and the absolute level was relatively low. The benchmark 30 - year - 10 - year treasury bond spread was 35BP, a change of 3BP from the week before last, at the 15% quantile since 2010 [46]. - **Variety Spread**: The variety spread of ultra - long bonds widened last week, and the absolute level was relatively low. The benchmark spread between 20 - year CDB bonds and treasury bonds was 8BP, and the spread between 20 - year railway bonds and treasury bonds was 19BP, with changes of 1BP and 4BP respectively from the week before last, at the 8% and 13% quantiles since 2010 [47]. 3.4 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2512 closed at 114.19 yuan, a decrease of 0.6%. The total trading volume was 742,500 lots (- 56,124 lots), and the open interest was 171,700 lots (an increase of 2,178 lots). The trading volume decreased significantly compared with the week before last, and the open interest increased slightly [53].
未来,超长债谁来买?:地方债发行期限梳理-20250925
Hua Yuan Zheng Quan· 2025-09-25 11:32
Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The issuance rules of local government bonds have changed significantly in the past decade. Policy encourages the issuance of longer - term special bonds, and the weighted average issuance term of local government bonds has been greatly extended. There may be pressure of supply - demand imbalance for ultra - long bonds in the future, and high macro - leverage ratio in the non - financial sector may lead to increased debt pressure when interest rates rise. It is recommended to address the supply - demand imbalance from both the supply and demand sides [1] Summary by Related Catalogs Changes in Local Government Bond Issuance Rules - In 2015, local governments fully launched independent bond issuance, with a maximum term of 10 years and strict restrictions on medium - and long - term proportions. In 2018, 15 - year and 20 - year terms were added. In 2019, the limit on the term - ratio structure of local bond issuance was removed, and long - term special bonds were encouraged. In 2020, 9 terms were specified, and requirements for the average issuance term of new general bonds were set [1] Differences between General Bonds and Special Bonds - General bonds are used for non - revenue public welfare projects, repaid mainly by general public budget revenue, with an average term within 10 years. Special bonds are for projects with certain revenues, repaid by government fund revenues or special revenues, and long - term issuance is encouraged. In 2025, 4.4 trillion yuan of local government special bonds are planned [1] Changes in the Weighted Average Issuance Term of Local Government Bonds - From 2015 - 2018, the weighted average issuance term was about 6 years. Since 2019, it has increased significantly from 10.3 years in 2019 to 15.5 years as of September 15, 2025. The proportion of local bonds with a term of 15 years and above has risen from 18.6% in 2019 to 48.6% as of September 15, 2025 [1] Potential Supply - Demand Imbalance of Ultra - Long Bonds - The annual issuance scale of interest - bearing bonds with a term of 20 years and above has increased from 1.96 trillion in 2021 to 4.65 trillion as of September 25, 2025. The demand for ultra - long bonds mainly comes from life insurance. However, factors such as the significant reduction of insurance preset interest rates, the peak of non - standard investment maturity of insurance funds, and the new regulations on punitive redemption fees of public funds may lead to a weakening of demand. Banks may also net sell ultra - long interest - bearing bonds in the secondary market [1] High Macro - Leverage Ratio and Debt Pressure - As of the end of March 2025, China's non - financial sector macro - leverage ratio was 292.2%, significantly higher than the average of developed economies (258%). Rising interest rates may increase the debt pressure on enterprises and local governments [1] Suggestions to Alleviate Supply - Demand Imbalance - Demand side: The central bank should restart the purchase of government bonds and expand the scope to local bonds, and encourage banks to promote ultra - long interest - bearing bonds to individual investors and guide long - term funds such as social security and annuities to increase investment. Supply side: Control the proportion of government bonds with a term of 15 years and above and encourage the issuance of floating - rate bonds [2]
超长债,风险还是机会?
GOLDEN SUN SECURITIES· 2025-09-22 12:23
证券研究报告 | 固定收益定期 gszqdatemark 2025 09 22 年 月 日 固定收益定期 超长债,风险还是机会? 近期随着债市的持续调整,超长债下跌明显,期限利差显著拉大。近期 30-10 年 国债期限利差的显著拉大,从 7 月初 21bps 左右上升至目前 30bps 以上,上升至 2024 年以来的最高位。随着债市压力持续,以及市场对资本利得希望的降低,对 超长债出现持续看弱的声音。那么超长债是否不再具备投资价值,当前位置,是风 险还是机会呢? 当前超长债期限利差走阔背后,有风险偏好、供给和资金等多方面原因。股市上 升提升风险偏好,是超长债利差走阔的原因之一。今年 7 月以来,市场风险偏好 抬升,A 股明显走强。股债跷跷板效应下,市场对债券的投资热情下滑,如债券基 金份额出现回落。随着债券市场情绪走弱,债券收益率也随之明显调整。风险偏好 提升导致 30 年-10 年国债利差走阔。供给端冲击可能是另一个原因。从此前经验 来看,供给冲击预期之下,超长债利差往往有所拉大。今年 5 月以来超长期特别 国债开始加速发行,除 6 月净融资额为 1920 亿元外,其余月份均超过 2000 亿元, 显著超 ...
超长债周报:超长债继续缩量-20250921
Guoxin Securities· 2025-09-21 08:31
Report Industry Investment Rating No information provided in the content. Core Viewpoints - Last week, the economic growth data for August continued to decline compared to July, some stock indices slightly corrected, and the third call between the Chinese and US presidents this year led to a bond market that first rose and then fell, with ultra - long bonds experiencing a small decline. The trading activity of ultra - long bonds slightly decreased last week but remained very active. The term spread of ultra - long bonds narrowed, while the variety spread widened [1][11]. - As of September 19, the spread between 30 - year and 10 - year treasury bonds was 32BP, at a historically low level. The economic downward pressure in August continued to increase, with the estimated GDP year - on - year growth rate in August at about 3.8%, a further decline from July. With an 8 - month CPI of - 0.4% and PPI of - 2.9%, deflation risks persisted. The bond market adjustment was mainly due to the disappointment in 2024 and the change in macro - narrative. Considering the desensitization of stocks and bonds since late August and the still - sluggish economy in August, the bond market trading mainline is expected to shift to fundamentals, and the short - term bond market is expected to rebound from an oversold position [2][12]. - As of September 19, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 7BP, at a historically extremely low position. The economic situation and reasons for the bond market adjustment were similar to those of 30 - year treasury bonds, and the short - term bond market was also expected to rebound from an oversold position [3][13]. Summary by Directory Weekly Review - **Ultra - long Bond Review**: The 8 - month economic data in August decreased compared to July, stock indices slightly corrected, and after the call between the Chinese and US presidents, the bond market first rose and then fell, with ultra - long bonds slightly falling. Trading activity slightly decreased but was still very active. The term spread narrowed, and the variety spread widened [1][11]. - **Ultra - long Bond Investment Outlook**: For 30 - year treasury bonds and 20 - year CDB bonds, the spreads were at low historical levels. The economic downward pressure in August increased, with low GDP growth and deflation risks. The bond market adjustment was due to two reasons, and the short - term bond market was expected to rebound from an oversold position [2][3][12]. - **Ultra - long Bond Basic Overview**: The balance of ultra - long bonds was 23.3 trillion. Local government bonds and treasury bonds were the main varieties. By remaining term, the 30 - year variety had the highest proportion [14]. Primary Market - **Weekly Issuance**: Last week, the issuance of ultra - long bonds was relatively large, with a slight increase compared to the previous week. In terms of varieties, treasury bonds, local government bonds, and bank sub - bonds had significant issuances. In terms of terms, 30 - year bonds had the largest issuance [19]. - **This Week's Planned Issuance**: The announced issuance plan for this week was 138.6 billion, all of which were ultra - long local government bonds [23]. Secondary Market - **Trading Volume**: Last week, the trading of ultra - long bonds was very active, with a turnover of 1245.3 billion, accounting for 13.4% of the total bond turnover. The trading activity slightly decreased compared to the previous week, with different changes in turnover and proportion for different varieties [27]. - **Yield**: Due to the decline in economic data and the call between the Chinese and US presidents, the bond market first rose and then fell, with ultra - long bonds slightly falling. The yields of different - term treasury bonds, CDB bonds, local bonds, and railway bonds had different changes [36]. - **Spread Analysis**: The term spread of ultra - long bonds narrowed last week, with a low absolute level. The variety spread widened, also with a low absolute level [47][48]. - **30 - year Treasury Bond Futures**: Last week, the main 30 - year treasury bond futures contract T2503 closed at 114.8 yuan, with a decrease of 0.04%. The total trading volume decreased significantly, and the open interest increased slightly [52].
固收丨风浪未平,留一份谨慎
2025-09-15 14:57
Summary of Conference Call Notes Industry Overview - The notes primarily discuss the fixed income market, particularly focusing on the issuance of long-term bonds in 2025, which is expected to be substantial with an average maturity exceeding 15 years, increasing market pressure [1][2][10]. Key Points and Arguments 1. **Market Pressure from Long-term Bond Issuance** The issuance of long-term bonds is significant, with an average maturity of over 15 years, leading to increased market pressure and limiting the buying capacity of various institutions [1][2][10]. 2. **Impact on City and Rural Commercial Banks** City and rural commercial banks are experiencing reduced funding due to lower deposit rates, which has shifted funds to larger banks and non-bank institutions, limiting their ability to purchase bonds [2][5]. 3. **Insurance Institutions' Shift in Strategy** Insurance institutions are reallocating funds to the stock market in search of higher returns due to a decrease in preset interest rates, resulting in a reduced allocation to long-term bonds [1][5]. 4. **Regulatory Pressure on Large Banks** Large banks are required to conduct stress tests to ensure that their interest rate risk does not exceed 15% of their Tier 1 capital, which limits their ability to absorb long-term bonds [4][6][7]. 5. **Duration Mismatch and Interest Rate Risk** The significant issuance of long-term bonds has led to duration mismatches for large banks, increasing their long-term interest rate risk and limiting their capacity to hold these bonds indefinitely [4][7]. 6. **Short-term Bonds as a Risk Mitigation Strategy** While purchasing short-term bonds can reduce average duration, it does not effectively lower total interest rate risk. The focus should be on total holding size rather than just duration [8]. 7. **Fund Selling Pressure** Funds are the primary sellers of long-term and ultra-long-term bonds due to fee reforms, prior duration extension behaviors, and redemptions of mixed products, which could further release interest rate risk [11]. 8. **Potential Market Issues** If the current market conditions persist, there could be significant issues, particularly with ultra-long bonds, as they concentrate interest rate risk. Solutions include reducing the issuance of ultra-long bonds or increasing market demand for long-term products [12]. 9. **Future Issuance Plans** The issuance plans for ultra-long bonds are closely tied to project funding and are unlikely to change despite market absorption capacity issues. Adjustments in issuance pace may occur, but overall supply and maturity structure are expected to remain stable [13]. 10. **Bank Capital Supplementation** Addressing bank capital to manage interest rate risk is a long-term planning issue, with options including ownership increases or issuing secondary bonds, which may further increase market supply [14]. 11. **Central Bank's Role** Direct purchases of ultra-long bonds by the central bank are not seen as a viable solution for managing interest rate risk due to existing liquidity management constraints [15]. 12. **Market Sentiment** The bond market should not be viewed as simply bullish or bearish; rather, it should be assessed based on the participation of configuration plates. Current conditions suggest a challenging environment for long-term bonds [16]. 13. **Configuration Value of Ultra-long Bonds** The configuration value of ultra-long bonds is uncertain, particularly for 30-year bonds, as there is no clear demand for them at present [17]. 14. **Asset-Liability Gap Concerns** Recent announcements regarding significant repurchase operations indicate banks' attempts to stabilize metrics, but this may not lead to a decrease in deposit rates [18]. 15. **Investment Strategy Adjustments** The recommended investment strategy is to maintain low leverage and adopt a barbell structure, focusing on short-term instruments and specific mid-term bonds while being cautious with long-term positions [19]. Other Important Content - The notes highlight the importance of monitoring total holding sizes and the implications of regulatory requirements on banks' bond purchasing strategies, emphasizing a cautious approach in the current market environment [1][4][6][8].
超长债周报:6月社融同比转为回落,超长债量升价跌-20250914
Guoxin Securities· 2025-09-14 07:53
Report Industry Investment Rating - No relevant information provided Core View - The adjustment of the bond market is mainly due to the disappointment in 2024 and the change in the macro - narrative. Considering the desensitization of stocks and bonds since late August and the entry into the window period of August economic data, it is expected that the trading mainline of the bond market will shift to the fundamentals, and the bond market is expected to rebound in the short term after an over - decline [2][3][12] Summary by Directory Weekly Review Ultra - long Bond Review - Last week, the draft for soliciting opinions on the new regulations for fund sales fees was released, leading to an increase in the redemption volume of some bond funds and a certain negative feedback in the bond market. In addition, inflation in August was still low, financial data was weak, and the capital side tightened marginally. The central bank announced a 600 - billion - yuan 6 - month outright reverse repurchase. The ultra - long bonds tumbled throughout the week and rebounded slightly on Friday. In terms of trading volume, the trading activity of ultra - long bonds rebounded slightly last week and was very active. In terms of spreads, the term spread of ultra - long bonds widened, and the variety spread narrowed [1][11] Ultra - long Bond Investment Outlook - 30 - year Treasury Bonds: As of September 12, the spread between 30 - year and 10 - year Treasury bonds was 32BP, at a historically low level. The domestic economy in July still faced downward pressure, with the estimated year - on - year GDP growth rate in July at about 4.3%, a significant decline from the growth rate in the first half of this year. In terms of inflation, the CPI in August was - 0.4%, and the PPI was - 2.9%, indicating the existence of deflation risks. The current bond market decline features stable short - term bonds and an enlarged term spread. The bond market is expected to rebound in the short term [2][12] - 20 - year CDB Bonds: As of September 12, the spread between 20 - year CDB bonds and 20 - year Treasury bonds was 4BP, at a historically extremely low position. Similar to the situation of 30 - year Treasury bonds, the domestic economy faced downward pressure in July, and deflation risks existed. The bond market is expected to rebound in the short term [3][13] Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeds 23.3 trillion yuan. As of August 31, the total amount of ultra - long bonds with a remaining maturity of more than 14 years was 23.3878 trillion yuan (excluding asset - backed securities and project revenue notes), accounting for 14.9% of the total bond balance. Local government bonds and Treasury bonds are the main varieties of ultra - long bonds. By variety, Treasury bonds account for 26.9%, local government bonds 67.3%, etc. By remaining maturity, the 30 - year variety has the highest proportion [14] Primary Market Weekly Issuance - The issuance volume of ultra - long bonds increased significantly last week. From September 8 to 12, 2025, a total of 200.6 billion yuan of ultra - long bonds were issued. Compared with the previous week, the total issuance volume of ultra - long bonds increased significantly. By variety, Treasury bonds were 35 billion yuan, local government bonds 145.6 billion yuan, etc. By term, 14 billion yuan was issued with a 15 - year term, 44.6 billion yuan with a 20 - year term, etc. [19] This Week's Pending Issuance - The announced issuance plan for ultra - long bonds this week totals 224.2 billion yuan. By variety, ultra - long Treasury bonds are 117 billion yuan, ultra - long local government bonds 97.2 billion yuan, and ultra - long financial bonds 10 billion yuan [21] Secondary Market Trading Volume - The trading of ultra - long bonds was very active last week. The trading volume of ultra - long bonds was 1.2793 trillion yuan, accounting for 14.6% of the total bond trading volume. By variety, the trading volume of ultra - long - term Treasury bonds was 1.0486 trillion yuan, accounting for 41.9% of the total Treasury bond trading volume; the trading volume of ultra - long - term local bonds was 213.3 billion yuan, accounting for 49.0% of the total local bond trading volume; the trading volume of ultra - long - term policy - financial bonds was 10.6 billion yuan, accounting for 0.4% of the total policy - financial bond trading volume; the trading volume of ultra - long - term government agency bonds was 700 million yuan, accounting for 32.6% of the total government agency bond trading volume. The trading activity of ultra - long bonds increased slightly last week [24][25] Yield - Due to the release of the draft for soliciting opinions on the new regulations for fund sales fees and other factors, the ultra - long bonds tumbled throughout the week and rebounded slightly on Friday. For Treasury bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by 9BP, 8BP, 7BP, and 8BP respectively to 2.07%, 2.18%, 2.18%, and 2.22%. For CDB bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by 11BP, 9BP, 7BP, and 5BP respectively to 2.16%, 2.22%, 2.26%, and 2.40%. For local bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 8BP, 10BP, and 10BP respectively to 2.30%, 2.36%, and 2.36%. For railway bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 7BP, 7BP, and 5BP respectively to 2.24%, 2.26%, and 2.38% [33] Spread Analysis - Term Spread: The term spread of ultra - long bonds widened last week, with an absolute low level. The spread between 30 - year and 10 - year Treasury bonds was 32BP, a change of 4BP compared with the previous week, at the 14% quantile since 2010 [40] - Variety Spread: The variety spread of ultra - long bonds narrowed last week, with an absolute low level. The spread between 20 - year CDB bonds and Treasury bonds was 4BP, and the spread between 20 - year railway bonds and Treasury bonds was 8BP, changing by 0BP and - 3BP respectively compared with the previous week, at the 6% and 5% quantiles since 2010 [46] 30 - year Treasury Bond Futures - Last week, the main contract of 30 - year Treasury bond futures, TL2512, closed at 115.27 yuan, with a decline of 0.93%. The total trading volume of 30 - year Treasury bond futures was 417,000 lots (- 355,481 lots), and the open interest was 160,600 lots (17,947 lots). The trading volume decreased significantly compared with the previous week, while the open interest increased slightly [51]
固收周度点评:风浪未平,留一份谨慎-20250914
Tianfeng Securities· 2025-09-14 07:12
固定收益 | 固定收益点评 2025 年 09 月 14 日 作者 谭逸鸣 分析师 SAC 执业证书编号:S1110525050005 tanyiming@tfzq.com 近期报告 1 《固定收益:终端需求仍待提振-高 频跟踪周报 20250913》 2025-09-13 2 《固定收益:流动性跟踪-下周资金 再迎"考验"》 2025-09-13 3 《固定收益:固收点评-社融增速见 顶?》 2025-09-13 固收周度点评 证券研究报告 风浪未平,留一份谨慎 1、本周债市行情回顾:利率再"寻顶" 前半周,债市悲观情绪在基金费率调整的催化之下再度蔓延,以及股债联 动"不对称"、债市"急跌慢涨"的现象仍在延续,前期被认为是 10Y 期国 债利率阶段性顶部的 1.80%点位被顺畅突破。后半周,债市对央行重启买债 的期待升温,利率有所修复。 2、跌势为何加深?承接力量难抵交易盘抛压 刘昱云 分析师 SAC 执业证书编号:S1110525070010 liuyuyun@tfzq.com 唐海清 分析师 SAC 执业证书编号:S1110517030002 tanghaiqing@tfzq.com 藏多 分析师 SA ...