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超长债周报:股债跷跷板-20250825
Guoxin Securities· 2025-08-25 03:02
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 ...
超长债周报:30-10国债期限利差继续走阔-20250817
Guoxin Securities· 2025-08-17 05:56
Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Last week, the bond market tumbled again. Despite weak July economic data, the stock market reached 3700 points, suppressing bonds and causing ultra - long bonds to plunge, with the 30 - year Treasury yield hitting a short - term high. The trading activity of ultra - long bonds increased slightly, the term spread widened, and the variety spread narrowed [1][11][43]. - In the short term, the bond market will face a game between expectations and reality. The 10 - year Treasury will oscillate in the range of [1.65%, 1.75%]. The weak real fundamentals support the bond market, while policy changes and investor sentiment suppress it. Currently, the term spread of 30 - year Treasuries and the variety spread of 20 - year CDB bonds are both low, with limited spread protection [2][3][12]. Summary by Relevant Catalogs Weekly Review Ultra - long Bond Review - Last week, the bond market tumbled. Weak economic data in July, including rapid declines in consumption and investment and negative credit growth, were overshadowed by the stock market's rise to 3700 points, which comprehensively suppressed bonds. Ultra - long bonds plunged, and the 30 - year Treasury yield reached a short - term high. Trading activity increased slightly, the term spread widened, and the variety spread narrowed [1][11][43]. Ultra - long Bond Investment Outlook - **30 - year Treasury**: As of August 15, the spread between 30 - year and 10 - year Treasuries was 29BP, at a historically low level. In July, the economy faced downward pressure, with GDP growth at about 4.3% and deflation risks. The 10 - year Treasury will oscillate in the [1.65%, 1.75%] range. The current term spread is low, with limited protection [2][12]. - **20 - year CDB Bond**: As of August 15, the spread between 20 - year CDB bonds and 20 - year Treasuries was 2BP, at a historically extremely low level. Similar to the 30 - year Treasury situation, the short - term bond market faces a game between expectations and reality, and the current variety spread is low, with limited protection [3][13]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeded 22.8 trillion. As of July 31, the total amount of ultra - long bonds with a remaining term of over 14 years was 228,873 billion, accounting for 14.7% of all bonds. Local government bonds and Treasuries were the main varieties. In terms of remaining term, the 30 - year variety had the highest proportion [14]. Primary Market Weekly Issuance - Last week (August 11 - 15, 2025), the issuance of ultra - long bonds decreased significantly, with a total of 565 billion yuan. By variety, Treasuries were 350 billion, local government bonds were 178 billion, etc. By term, 20 - year bonds had the largest issuance at 436 billion [19]. This Week's Pending Issuance - The announced issuance plan for ultra - long bonds this week totals 2,953 billion. By variety, ultra - long Treasuries are 830 billion, and ultra - long local government bonds are 2,123 billion [26]. Secondary Market Trading Volume - Last week, ultra - long bonds were actively traded, with a turnover of 13,309 billion, accounting for 14.6% of all bonds. Compared with the previous week, the trading activity increased slightly, with the turnover and proportion of most varieties increasing [29]. Yield - Last week, the bond market tumbled. The 30 - year Treasury yield hit a short - term high. Yields of various ultra - long bonds increased, with the 30 - year Treasury yield rising by 9BP to 2.05%, and the 20 - year CDB bond yield rising by 6BP to 2.09% [43]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds widened but remained at a low absolute level. The 30 - year - 10 - year Treasury spread was 29BP, up 3BP from the previous week, at the 12% quantile since 2010 [51]. - **Variety Spread**: Last week, the variety spread of ultra - long bonds narrowed and was at a low absolute level. The spreads between 20 - year CDB bonds and Treasuries, and 20 - year railway bonds and Treasuries were 2BP and 6BP respectively, down 3BP and 5BP from the previous week, at the 3% and 4% quantiles since 2010 [52]. 30 - year Treasury Futures - Last week, the main 30 - year Treasury futures contract TL2509 closed at 117.48 yuan, a decline of 1.54%. The total trading volume was 870,600 lots, and the open interest was 151,500 lots, with trading volume increasing significantly and open interest decreasing slightly compared to the previous week [56].
超长债周报:资金面保持宽松,30,10国债期限利差走阔-20250811
Guoxin Securities· 2025-08-11 05:15
1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Last week, the bond market rebounded slightly due to relatively loose liquidity, increased central bank repurchase operations, and successful issuance of new local bonds with higher yields than comparable old bonds [1][3][10][34]. - The trading activity of ultra - long bonds decreased slightly last week but remained quite active [1][3][10]. - The term spread of ultra - long bonds widened last week, while the variety spread showed mixed trends, and both were at relatively low absolute levels [1][3][4][10]. - For the 30 - year treasury bond, as of August 8, the spread between the 30 - year and 10 - year treasury bonds was 26BP, at a historically low level. The domestic economy showed resilience in June, but domestic demand was weak. The estimated GDP growth rate in June was about 5.2% year - on - year, up 0.1% from May, still higher than the annual target. However, the growth rates of social consumption and investment declined significantly in June. With deflation risks remaining, the bond market is expected to fluctuate narrowly [2][11]. - For the 20 - year CDB bond, as of August 8, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 5BP, at a historically extremely low level. Similar to the 30 - year treasury bond situation, the bond market is expected to fluctuate narrowly [3][12]. 3. Summary by Relevant Catalogs 3.1 Weekly Review - Ultra - long Bond Review - The bond market rebounded slightly last week. Factors included relatively loose liquidity, increased central bank repurchase operations, and successful issuance of new local bonds with yields 5BP - 7BP higher than comparable old bonds [1][10][34]. - The trading activity of ultra - long bonds decreased slightly but remained quite active [1][10]. - The term spread of ultra - long bonds widened, and the variety spread showed mixed trends [1][4][10]. 3.2 Ultra - long Bond Investment Outlook 3.2.1 30 - year Treasury Bond - As of August 8, the spread between the 30 - year and 10 - year treasury bonds was 26BP, at a historically low level [2][11]. - In June, the domestic economy showed resilience, but domestic demand was weak. The estimated GDP growth rate in June was about 5.2% year - on - year, up 0.1% from May, still higher than the annual target. However, the growth rates of social consumption and investment declined significantly in June. In July, CPI was 0.0% and PPI was - 3.6%, indicating deflation risks [2][11]. - The strong stock market suppresses the bond market sentiment, but the domestic economy still faces downward pressure, and the fundamental factors supporting the bond market have not shown a turning point. The bond market is expected to fluctuate narrowly, and the term spread protection is limited [2][11]. 3.2.2 20 - year CDB Bond - As of August 8, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 5BP, at a historically extremely low level [3][12]. - Similar to the 30 - year treasury bond situation, the domestic economy showed resilience in June but with weak domestic demand, deflation risks remained, and the bond market is expected to fluctuate narrowly. The variety spread protection is limited [3][12]. 3.3 Ultra - long Bond Basic Overview - As of July 31, the balance of ultra - long bonds with a remaining maturity of over 14 years was 22.8873 trillion yuan (excluding asset - backed securities and project revenue notes), accounting for 14.7% of the total bond balance [13]. - Local government bonds and treasury bonds are the main varieties of ultra - long bonds. Treasury bonds accounted for 26.5%, local government bonds 67.5%, policy - based financial bonds 2.0%, government agency bonds 1.9%, commercial bank sub - debt 0.3%, corporate bonds 0.5%, enterprise bonds 0.1%, medium - term notes 1.2%, private bonds 0.0%, and directional instruments 0.0% [13]. - The 30 - year variety has the highest proportion. Bonds with a remaining maturity of 14 - 18 years accounted for 26.5%, 18 - 25 years 26.9%, 25 - 35 years 40.9%, and over 35 years 5.7% [13]. 3.4 Primary Market 3.4.1 Weekly Issuance - Last week (August 4 - 8, 2025), the issuance of ultra - long bonds decreased slightly. A total of 140 billion yuan of ultra - long bonds were issued [18]. - By variety, treasury bonds accounted for 82 billion yuan, local government bonds 56 billion yuan, policy - based bank bonds 0 billion yuan, government - supported agency bonds 0 billion yuan, medium - term notes 0 billion yuan, corporate bonds 2 billion yuan, directional instruments 0 billion yuan, enterprise bonds 0 billion yuan, and bank sub - debt 0 billion yuan [18]. - By term, bonds with a 15 - year term accounted for 8 billion yuan, 20 - year 2 billion yuan, 30 - year 130.1 billion yuan, and 50 - year 0 billion yuan [18]. 3.4.2 This Week's Planned Issuance - The announced issuance plan for ultra - long bonds this week is 55.3 billion yuan in total. Ultra - long treasury bonds account for 35 billion yuan, ultra - long local government bonds 17.8 billion yuan, ultra - long corporate bonds 0 billion yuan, ultra - long medium - term notes 2.5 billion yuan, and ultra - long government - supported agency bonds 0 billion yuan [24]. 3.5 Secondary Market 3.5.1 Trading Volume - Last week, the trading of ultra - long bonds was quite active, with a trading volume of 1.119 trillion yuan, accounting for 13.5% of the total bond trading volume. By variety, the trading volume of ultra - long treasury bonds was 917 billion yuan, accounting for 43.3% of the total treasury bond trading volume; ultra - long local bonds 179.8 billion yuan, accounting for 56.7% of the total local bond trading volume; ultra - long policy - based financial bonds 6.4 billion yuan, accounting for 0.2% of the total policy - based financial bond trading volume; and ultra - long government agency bonds 4.2 billion yuan, accounting for 27.0% of the total government agency bond trading volume [26]. - The trading activity of ultra - long bonds decreased slightly last week. Compared with the previous week, the trading volume decreased by 362.7 billion yuan, and the proportion decreased by 2.5%. Among them, the trading volume of ultra - long treasury bonds decreased by 287.1 billion yuan, and the proportion decreased by 3.2%; ultra - long local bonds decreased by 42.6 billion yuan, and the proportion decreased by 1.7%; ultra - long policy - based financial bonds decreased by 5.7 billion yuan, and the proportion decreased by 0.2%; ultra - long government agency bonds decreased by 3.1 billion yuan, and the proportion decreased by 60.7% [26][27]. 3.5.2 Yield - Last week, the bond market rebounded slightly. In terms of treasury bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by - 1BP, 0BP, 1BP, and - 1BP respectively, reaching 1.84%, 1.97%, 1.96%, and 2.00%. For CDB bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by 2BP, 2BP, 1BP, and - 1BP respectively, reaching 1.96%, 2.02%, 2.06%, and 2.24%. For local bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 0BP, - 1BP, and 1BP respectively, reaching 2.01%, 2.08%, and 2.10%. For railway bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by - 2BP, - 1BP, and 2BP respectively, reaching 2.04%, 2.08%, and 2.14% [34]. - For representative individual bonds, the yield of the 30 - year treasury bond active bond 24 Special Treasury Bond 06 changed by 3BP to 1.97%, and the yield of the 20 - year CDB bond active bond 21 CDB 20 changed by 4BP to 2.00% [35]. 3.6 Spread Analysis 3.6.1 Term Spread - Last week, the term spread of ultra - long bonds widened, and the absolute level was low. The spread between the 30 - year and 10 - year treasury bonds was 26BP, a change of 2BP from the previous week, and it was at the 10% quantile since 2010 [43]. 3.6.2 Variety Spread - Last week, the variety spread of ultra - long bonds showed mixed trends, and the absolute level was low. The spread between the 20 - year CDB bond and the treasury bond was 5BP, and the spread between the 20 - year railway bond and the treasury bond was 11BP, changing by 1BP and - 1BP respectively from the previous week, and both were at the 7% quantile since 2010 [48]. 3.7 30 - year Treasury Bond Futures - Last week, the main contract of the 30 - year treasury bond futures, TL2509, closed at 119.32 yuan, an increase of 0.92%. The total trading volume was 602,000 lots (a decrease of 181,003 lots), and the open interest was 152,600 lots (a decrease of 8,080 lots). The trading volume decreased significantly compared with the previous week, and the open interest decreased slightly [50].
超长债周报:资金面保持宽松,30-10国债期限利差走阔-20250811
Guoxin Securities· 2025-08-11 02:48
Report Industry Investment Rating No relevant content provided. Core Viewpoints - Last week, the bond market rebounded slightly due to relatively loose funding, increased central bank repurchase operations, and successful issuance of new local bonds with higher yields than comparable old bonds [1][3][10][34]. - The trading activity of ultra - long bonds decreased slightly last week but remained quite active [1][3][10]. - The term spread of ultra - long bonds widened last week, while the variety spread showed mixed changes [1][3][10]. - For the 30 - year treasury bond, as of August 8, its spread with the 10 - year treasury bond was 26BP, at a historically low level. The domestic economy showed resilience in June but with weak domestic demand. The estimated GDP growth rate in June was about 5.2% year - on - year, up 0.1% from May. However, the growth rates of social consumption and investment declined significantly. With deflation risks still present, the bond market is expected to fluctuate narrowly [2][11]. - For the 20 - year CDB bond, as of August 8, its spread with the 20 - year treasury bond was 5BP, at a historically extremely low level. Given the economic situation and deflation risks, the bond market is expected to fluctuate narrowly [3][12]. Summary by Directory Weekly Review Ultra - long Bond Review - The bond market rebounded slightly last week. Factors included loose funding, increased central bank repurchase, and successful local bond issuance with higher yields on new bonds [1][10][34]. - Trading activity of ultra - long bonds decreased slightly but remained active [1][3][10]. - The term spread of ultra - long bonds widened, and the variety spread showed mixed changes [1][3][10]. Ultra - long Bond Investment Outlook - **30 - year Treasury Bond**: The spread with the 10 - year treasury bond was 26BP as of August 8, at a low historical level. The domestic economy had resilience in June but weak domestic demand. The estimated June GDP growth was 5.2% year - on - year, up 0.1% from May. Social consumption and investment growth declined. With 7 - month CPI at 0.0% and PPI at - 3.6%, deflation risks persisted. The bond market is expected to fluctuate narrowly, and the term spread protection is limited [2][11]. - **20 - year CDB Bond**: The spread with the 20 - year treasury bond was 5BP as of August 8, at an extremely low historical level. Similar to the 30 - year treasury bond situation, the bond market is expected to fluctuate narrowly, and the variety spread protection is limited [3][12]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeded 22.8 trillion. As of July 31, 2025, the total amount of ultra - long bonds with a remaining maturity of over 14 years was 228,873 billion, accounting for 14.7% of all bonds. Local government bonds and treasury bonds were the main varieties [13]. - By variety, treasury bonds accounted for 26.5% (60,623 billion), local government bonds 67.5% (154,423 billion), etc. By remaining maturity, the 25 - 35 - year variety accounted for the highest proportion at 40.9% (93,594 billion) [13]. Primary Market Weekly Issuance - Last week (August 4 - 8, 2025), the issuance of ultra - long bonds decreased slightly, with a total of 1,400 billion issued. Compared with the previous week, the total issuance decreased [18]. - By variety, treasury bonds were 820 billion, local government bonds 560 billion, etc. By term, 30 - year bonds accounted for the largest share with 1,301 billion [18]. This Week's Planned Issuance - The announced ultra - long bond issuance plan for this week totals 553 billion. Ultra - long treasury bonds are 350 billion, ultra - long local government bonds 178 billion, etc. [24]. Secondary Market Trading Volume - Last week, ultra - long bonds were actively traded, with a turnover of 11,190 billion, accounting for 13.5% of all bond turnovers. The trading activity decreased slightly compared with the previous week [26]. - By variety, ultra - long treasury bonds had a turnover of 9,170 billion, accounting for 43.3% of all treasury bond turnovers; ultra - long local bonds 1,798 billion, accounting for 56.7% of all local bond turnovers, etc. [26]. Yield - The bond market rebounded slightly last week. Yields of different types of ultra - long bonds changed. For example, in treasury bonds, 15 - year yields changed by - 1BP to 1.84%, etc. [34]. - For representative individual bonds, the yield of the 30 - year treasury bond active bond 24 Special Treasury Bond 06 changed by 3BP to 1.97%, and the yield of the 20 - year CDB bond active bond 21 CDB 20 changed by 4BP to 2.00% [35]. Spread Analysis - **Term Spread**: The term spread of ultra - long bonds widened last week but remained at a low absolute level. The 30 - year - 10 - year treasury bond spread was 26BP, up 2BP from the previous week, at the 10% quantile since 2010 [43]. - **Variety Spread**: The variety spread of ultra - long bonds showed mixed changes last week and remained at a low absolute level. The 20 - year CDB bond - treasury bond spread was 5BP, and the 20 - year railway bond - treasury bond spread was 11BP, with changes of 1BP and - 1BP respectively from the previous week, at the 7% quantile since 2010 [48]. 30 - year Treasury Bond Futures - Last week, the main contract of the 30 - year treasury bond futures, TL2509, closed at 119.32 yuan, an increase of 0.92%. The total trading volume was 602,000 lots (- 181,003 lots), and the open interest was 152,600 lots (- 8,080 lots). The trading volume decreased significantly, and the open interest decreased slightly compared with the previous week [50].
超长债周报:国债利息将收税,超长债继续放量-20250803
Guoxin Securities· 2025-08-03 14:00
Report Industry Investment Rating No relevant content provided. Core Viewpoints - Last week, the bond market fluctuated significantly and rebounded slightly. The Politburo meeting mentioned "promoting capacity governance in key industries", the July PMI was only 49.3, and the announcement of a 6% VAT on the interest of newly issued government bonds starting from August 8th triggered a wave of bond buying [1][4][12][39]. - As of August 1, the spread between the 30 - year government bond and the 10 - year government bond was 24BP, at a historically low level. The 6 - month domestic GDP growth rate was about 5.2%, but the growth rates of social consumption and investment sub - items declined significantly, and there was still a risk of deflation. The short - term market panic has passed, but the term spread protection is limited [2][13]. - As of August 1, the spread between the 20 - year CDB bond and the 20 - year government bond was 4BP, at a historically extremely low level. Similar to the 30 - year government bond situation, the short - term market panic has passed, but the spread protection is limited [3][14]. Summary by Directory Weekly Review Ultra - long Bond Review - The bond market fluctuated significantly and rebounded slightly last week. The Politburo meeting's statement was more restrained, the July PMI was low, and the VAT announcement on bond interest triggered a bond - buying wave. The trading activity of ultra - long bonds increased slightly, the term spread remained flat, and the variety spread widened [1][4][12]. Ultra - long Bond Investment Outlook - **30 - year Government Bond**: The spread between the 30 - year government bond and the 10 - year government bond was at a low level. The domestic economy still faced downward pressure, and the short - term market panic has passed, but the term spread protection was limited [2][13]. - **20 - year CDB Bond**: The spread between the 20 - year CDB bond and the 20 - year government bond was at an extremely low level. Similar to the 30 - year government bond, the short - term market panic has passed, but the variety spread protection was limited [3][14]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeded 22.8 trillion. As of July 31, the total amount of ultra - long bonds with a remaining term of more than 14 years was 228,873 billion, accounting for 14.7% of the total bond balance. Local government bonds and government bonds were the main varieties, and the 30 - year variety had the highest proportion [15]. Primary Market Weekly Issuance - Last week, the issuance volume of ultra - long bonds decreased significantly. A total of 1,722 billion yuan of ultra - long bonds were issued. By variety, government bonds were 350 billion, local government bonds were 1,262 billion, etc. By term, 15 - year bonds were 263 billion, 20 - year bonds were 264 billion, etc. [20]. This Week's Pending Issuance - The announced issuance plan for ultra - long bonds this week is 1,380 billion, including 820 billion for ultra - long government bonds and 560 billion for ultra - long local government bonds [26]. Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was quite active. The trading volume was 14,817 billion, accounting for 16.0% of the total bond trading volume. The trading activity increased slightly compared with the previous week [28]. Yield - The bond market fluctuated significantly and rebounded slightly last week. Yields of government bonds, CDB bonds, local bonds, and railway bonds of different terms changed to varying degrees. For example, the 30 - year government bond yield changed by - 2BP to 1.95% [39]. Spread Analysis - **Term Spread**: The term spread of ultra - long bonds remained flat last week, and the absolute level was low. The spread between the 30 - year and 10 - year government bonds was 24BP, unchanged from the previous week [48]. - **Variety Spread**: The variety spread of ultra - long bonds widened last week, and the absolute level was low. The spreads between the 20 - year CDB bond and the government bond, and between the 20 - year railway bond and the government bond changed by 2BP and 6BP respectively [53]. 30 - year Government Bond Futures - Last week, the main 30 - year government bond futures contract TL2509 closed at 119.04 yuan, an increase of 0.92%. The trading volume was 78.30 million lots, and the open interest was 16.06 million lots, both increasing slightly compared with the previous week [55].
超长债周报:反内卷通缩预期好转,超长债暴跌-20250727
Guoxin Securities· 2025-07-27 13:25
Report Industry Investment Rating No relevant content provided. Core Views of the Report - Affected by expectations and emotions, the bond market tumbled this week. The official unveiling of a super hydropower project drove up resource stocks, with the A-share market reaching 3,600 points, suppressing the bond market. The introduction of anti-involution policies led to the limit-up of multiple commodity futures prices, reducing investors' concerns about deflation [1][4][12][35]. - As of July 25, the spread between 30-year and 10-year treasury bonds was 24BP, at a historically low level. The spread between 20-year China Development Bank bonds and 20-year treasury bonds was 2BP, at a historically extremely low position. Although the stock market's strength suppresses bond market sentiment, the domestic economy still faces downward pressure, and the fundamentals supporting the bond market have not yet shown an inflection point. The actual effect of "anti-involution" remains to be tested. The risk of 10-year treasury bonds above 1.7% has been initially released, but the term spread and variety spread protection for 30-year treasury bonds and 20-year China Development Bank bonds are limited [2][3][13][14]. Summary by Relevant Catalogs Weekly Review Ultra-long Bond Review - Affected by expectations and emotions, the bond market tumbled this week. The super hydropower project and anti-involution policies influenced the market. Last week, ultra-long bond trading activity increased significantly, and the term spread widened while the variety spread narrowed [1][4][12]. Ultra-long Bond Investment Outlook - **30-year Treasury Bonds**: As of July 25, the 30-year - 10-year treasury bond spread was 24BP, historically low. In June, the domestic economy showed resilience but weak domestic demand. GDP grew about 5.2% year-on-year, up 0.1% from May, still above the annual target, but the growth rates of social consumption and investment declined. CPI was 0.1%, PPI -3.6%, with deflation risks. The stock market suppresses bond sentiment, but the economic downward pressure persists, and the "anti-involution" effect is uncertain. The risk of 10-year treasury bonds above 1.7% has been initially released, but the term spread protection is limited [2][13]. - **20-year China Development Bank Bonds**: As of July 25, the 20-year CDB - 20-year treasury bond spread was 2BP, historically extremely low. The economic situation in June was similar to that of 30-year treasury bonds. The stock market suppresses bond sentiment, the economic downward pressure remains, and the "anti-involution" effect is uncertain. The risk of 10-year treasury bonds above 1.7% has been initially released, but the variety spread protection is limited [3][14]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds exceeded 22.2 trillion. As of June 30, the total amount of ultra-long bonds with a remaining term of over 14 years was 222,528 billion, accounting for 14.5% of all bonds. Local government bonds and treasury bonds were the main varieties. By remaining term, the 30-year variety had the highest proportion [15]. Primary Market Weekly Issuance - Last week (July 7 - 11, 2025), the issuance of ultra-long bonds increased slightly, totaling 2,950 billion yuan. By variety, treasury bonds were 830 billion, local government bonds 1,810 billion, etc. By term, 15-year bonds were 618 billion, 20-year bonds 744 billion, and 30-year bonds 1,588 billion [20]. This Week's Planned Issuance - The announced issuance plan for ultra-long bonds this week totals 1,719 billion yuan, including 350 billion in ultra-long treasury bonds, 1,262 billion in ultra-long local government bonds, etc. [26]. Secondary Market Trading Volume - Last week, ultra-long bond trading was very active, with a turnover of 14,782 billion yuan, accounting for 15.0% of all bond turnover. By variety, ultra-long treasury bonds had a turnover of 11,654 billion yuan, ultra-long local bonds 2,541 billion yuan, etc. Compared with the previous week, trading activity increased significantly [28]. Yield - Affected by expectations and emotions, the bond market tumbled this week. The yields of various ultra-long bonds changed. For example, the yields of 15-year, 20-year, 30-year, and 50-year treasury bonds changed by 6BP, 9BP, 8BP, and 7BP to 1.87%, 1.99%, 1.97%, and 2.02% respectively [35]. Spread Analysis - **Term Spread**: Last week, the ultra-long bond term spread widened, but the absolute level was low. The 30-year - 10-year treasury bond spread was 24BP, up 2BP from the previous week, at the 8% percentile since 2010 [47]. - **Variety Spread**: Last week, the ultra-long bond variety spread narrowed, and the absolute level was low. The spreads between 20-year China Development Bank bonds and treasury bonds, and 20-year railway bonds and treasury bonds were 2BP and 6BP respectively, down 2BP and 1BP from the previous week, at the 3% percentile since 2010 [50]. 30-year Treasury Bond Futures - Last week, the main 30-year treasury bond futures variety TL2509 closed at 117.95 yuan, a decline of 2.08%. The total trading volume was 781,200 lots (342,890 lots), and the open interest was 160,200 lots (10,208 lots). The trading volume increased significantly compared with the previous week, and the open interest increased slightly [52].
超长债周报:内卷通缩预期好转,超长债暴跌-20250727
Guoxin Securities· 2025-07-27 09:21
Report Industry Investment Rating No relevant content provided. Core Viewpoints -受预期和情绪影响,本周债市暴跌,一是超级水电站项目揭牌带动资源股暴涨,A股站上3600点压制债市,二是反内卷政策出台使投资者对通缩担忧下降 [1][4][12][35] -当前国内经济有下行压力,债市基本面未现拐点,“反内卷”效果待检验,1.7%以上的10年期国债风险初步释放,但30年国债期限利差和20年国开债品种利差偏低,保护度有限 [2][3][13][14] Summary by Relevant Catalogs Weekly Review Ultra-long Bond Review -本周债市因预期和情绪暴跌,超级水电站项目和反内卷政策影响市场 [1][4][12] -上周超长债交投活跃度大幅上升,期限利差走阔、品种利差缩窄 [1][4][12] Ultra-long Bond Investment Outlook -30年国债:截至7月25日,30年与10年国债利差24BP,处于历史偏低水平,经济有韧性但内需弱,通缩风险依存 [2][13] -20年国开债:截至7月25日,20年国开债与国债利差2BP,处于历史极低位置,经济情况与30年国债类似 [3][14] Ultra-long Bond Basic Overview -截至6月30日,剩余期限超14年的超长债余额22.2528万亿,占全部债券余额14.5%,地方政府债和国债是主要品种 [15] -按品种,国债、地方政府债等各有占比;按剩余期限,25 - 35年品种占比最高 [15] Primary Market Weekly Issuance -上周(2025.7.7 - 2025.7.11)超长债发行量小幅增加,共发行2950亿元 [20] -分品种和期限,各有不同发行量 [20] This Week's Scheduled Issuance -本周已公布超长债发行计划共1719亿,涉及多种债券品种 [26] Secondary Market Trading Volume -上周超长债交投活跃,成交额14782亿,占比15.0%,各品种成交额及占比有差异 [28] -与上上周相比,超长债交投活跃度大幅上升,各品种成交额和占比均增加 [28] Yield -本周债市暴跌,各期限国债、国开债、地方债、铁道债收益率有变动 [35] -代表性个券中,30年国债活跃券和20年国开债活跃券收益率有变动 [36] Spread Analysis -期限利差:上周超长债期限利差走阔,绝对水平偏低,30年 - 10年国债利差24BP,较上上周变动2BP [47] -品种利差:上周超长债品种利差缩窄,绝对水平偏低,20年国开债和国债利差、20年铁道债和国债利差分较上上周变动 - 2BP和 - 1BP [50] 30-Year Treasury Bond Futures -上周30年国债期货主力品种TL2509收117.95元,增幅 - 2.08%,成交量大幅上升、持仓量小幅上升 [52]
超长债周报:多空交织,超长债再度放量-20250721
Guoxin Securities· 2025-07-21 01:44
1. Report Industry Investment Rating No relevant content provided in the report. 2. Core Viewpoints of the Report - The bond market fluctuated at a high level this week, with a lot of incremental information on the news front. The domestic economy still faces downward pressure, and the fundamental factors that the bond market relies on have not yet shown an inflection point. As the 10 - year treasury bond yield approaches 1.7%, the opportunities in the bond market outweigh the risks [1][2][3]. - Although the strong stock market suppresses the sentiment of the bond market, the term spread of the 30 - year treasury bond and the variety spread of the 20 - year CDB bond are still low, with limited spread protection [2][3]. 3. Summary According to Relevant Catalogs Weekly Review Super - long Bond Review - The bond market fluctuated at a high level this week. The economic data in June and the second quarter showed strong production but weak domestic demand. The financial data in June showed positive changes, the capital market tightened, the central bank conducted a 1.4 - trillion buy - out repurchase operation with a net injection of 200 billion yuan, and the strong equity market suppressed the bond market sentiment [1][4][12]. - Last week, the trading activity of super - long bonds increased slightly, and both the term spread and variety spread widened [1][4][12]. Super - long Bond Investment Outlook - **30 - year Treasury Bond**: As of July 18, the spread between the 30 - year and 10 - year treasury bonds was 22BP, at a relatively low historical level. The domestic economy in June showed resilience but weak domestic demand. The estimated GDP growth rate in June was about 5.2%, up 0.1% from May, still higher than the annual target. However, the growth rates of social consumption and investment declined significantly. There is still a deflation risk. The bond market opportunities outweigh the risks, but the term spread protection is limited [2][13]. - **20 - year CDB Bond**: As of July 18, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 4BP, at an extremely low historical level. Similar to the 30 - year treasury bond situation, the bond market opportunities outweigh the risks, but the variety spread protection is limited [3][14]. Super - long Bond Basic Overview - The balance of outstanding super - long bonds exceeded 22.2 trillion. As of June 30, the total amount of super - long bonds with a remaining maturity of over 14 years was 22.2528 trillion, accounting for 14.5% of the total bond balance. Local government bonds and treasury bonds are the main varieties [15]. - By variety, treasury bonds accounted for 26.3%, local government bonds 67.5%, etc. By remaining maturity, the 30 - year variety accounted for the highest proportion [15]. Primary Market Weekly Issuance - Last week (July 7 - 11, 2025), the issuance volume of super - long bonds increased significantly, reaching 231.4 billion yuan. By variety, treasury bonds were 123 billion yuan, local government bonds 80.7 billion yuan, etc. By term, the 30 - year issuance was 125.8 billion yuan [20]. This Week's Scheduled Issuance - The announced issuance plan for this week is 279.7 billion yuan in total. By variety, super - long treasury bonds are 83 billion yuan, super - long local government bonds 181 billion yuan, etc [25]. Secondary Market Trading Volume - Last week, the trading of super - long bonds was quite active. The trading volume was 1.2068 trillion yuan, accounting for 13.7% of the total bond trading volume. The trading activity increased slightly compared with the previous week [28]. Yield - The bond market fluctuated at a high level this week. The yields of different - term super - long bonds of various varieties changed to different degrees. For example, the yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds changed by 0BP, - 1BP, 1BP, and - 1BP respectively to 1.80%, 1.90%, 1.89%, and 1.95% [39]. Spread Analysis - **Term Spread**: Last week, the term spread of super - long bonds widened, but the absolute level was low. The spread between the 30 - year and 10 - year treasury bonds was 22BP, up 1BP from the previous week, at the 6% quantile since 2010 [50]. - **Variety Spread**: Last week, the variety spread of super - long bonds widened, with a low absolute level. The spreads between the 20 - year CDB bond and treasury bond, and between the 20 - year railway bond and treasury bond were 4BP and 7BP respectively, both up 1BP from the previous week, at the 6% and 4% quantiles since 2010 [51]. 30 - year Treasury Bond Futures - Last week, the main contract TL2509 of the 30 - year treasury bond futures closed at 120.46 yuan, a decrease of 0.12%. The total trading volume was 438,300 lots (a decrease of 52,833 lots), and the open interest was 150,000 lots (a decrease of 1,106 lots), with both trading volume and open interest decreasing slightly [58].
超长债周报:情绪压制,超长债小跌-20250714
Guoxin Securities· 2025-07-14 07:39
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].
超长债周报:资金利率进一步走低,50年国债快速上涨-20250706
Guoxin Securities· 2025-07-06 13:39
Group 1: Report's Industry Investment Rating - No information provided in the content Group 2: Core Viewpoints - After crossing the quarter - end, the funding situation returned to ease, overnight interest rates continued to decline to 1.3%, the central bank did not initiate treasury bond transactions in June, and the PMI continued to rise slightly. The bond market resumed its upward trend, with ultra - long bonds rising slightly. The trading activity of ultra - long bonds decreased slightly last week but remained quite active. The term spread of ultra - long bonds widened, and the variety spread narrowed. Considering the economic data, although the economy showed resilience in May, there are still downward pressures. After the half - year mark, the funding rate declined again, and the probability of the bond market rising is greater. However, the term spread of 30 - year treasury bonds and the variety spread of 20 - year CDB bonds are still low, with limited spread protection [1][2][3] Group 3: Summary by Relevant Catalogs Weekly Review Ultra - long Bond Review - After the quarter - end, the funding became looser, overnight rates dropped to 1.3%, the central bank did not trade treasury bonds in June, PMI rose slightly, the bond market went up, and ultra - long bonds had a small increase. Trading activity of ultra - long bonds decreased slightly but was still active. The term spread widened, and the variety spread narrowed [1][9] Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of July 4, the spread between 30 - year and 10 - year treasury bonds was 21BP, at a historically low level. In May, the estimated GDP growth was about 5.0% year - on - year, down 0.1% from April but still above the annual target. With CPI at - 0.1% and PPI at - 3.1% in May, deflation risks remain. Exports declined rapidly in May, and domestic housing prices turned negative month - on - month. After the half - year mark, the funding rate fell again, and the bond market is more likely to rise. However, the term spread of 30 - year treasury bonds is low, with limited protection [2][10] - **20 - year CDB Bonds**: As of July 4, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 3BP, at a historically extremely low level. Similar to the 30 - year treasury bonds, considering the economic situation in May and the decline in the funding rate after the half - year mark, the bond market is likely to rise. But the variety spread of 20 - year CDB bonds is low, with limited protection [3][11] Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds exceeded 22.2 trillion. As of June 30, the total amount of ultra - long bonds with a remaining maturity of over 14 years was 222,528 billion, accounting for 14.5% of all bonds. Local government bonds and treasury bonds are the main varieties. By variety, treasury bonds accounted for 26.3%, local government bonds 67.5%, etc. By remaining maturity, the 25 - 35 - year variety accounted for the highest proportion at 40.4% [12] Primary Market Weekly Issuance - Last week (June 30 - July 4, 2025), ultra - long bond issuance decreased significantly, with a total of 359 billion yuan issued. By variety, local government bonds accounted for 344 billion, and mid - term notes 15 billion. By term, 15 - year bonds accounted for 139 billion, 20 - year for 70 billion, and 30 - year for 151 billion [17] This Week's Scheduled Issuance - This week's announced ultra - long bond issuance plan totals 768 billion. By variety, ultra - long local government bonds account for 748 billion, and mid - term notes 20 billion [22] Secondary Market Trading Volume - Last week, ultra - long bond trading was quite active, with a turnover of 11,010 billion, accounting for 13.1% of all bonds. Trading activity decreased slightly compared to the previous week. Ultra - long treasury bond turnover decreased by 2,214 billion, and its proportion decreased by 1.5%; ultra - long local bond turnover decreased by 688 billion, and its proportion decreased by 14.1%; ultra - long policy - bank bond turnover increased by 4 billion, and its proportion increased by 0.1%; ultra - long government - agency bond turnover increased by 78 billion, and its proportion increased by 37.2% [24] Yield - After the quarter - end, the funding situation eased, overnight rates dropped to 1.3%, the central bank did not trade treasury bonds in June, PMI rose slightly, the bond market went up, and ultra - long bonds had a small increase. Yields of 15 - year, 20 - year, 30 - year, and 50 - year treasury bonds changed by 0BP, 0BP, 0BP, and - 3BP respectively to 1.79%, 1.89%, 1.85%, and 1.94%. Yields of representative individual bonds also changed, such as the 30 - year treasury bond active bond 24 special treasury bond 06 yield changing by - 2BP to 1.89% [38][39] Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds widened but remained at a low absolute level. The spread between 30 - year and 10 - year treasury bonds was 21BP, up 1BP from the previous week, at the 5% percentile since 2010 [45] - **Variety Spread**: Last week, the variety spread of ultra - long bonds narrowed and was at a low absolute level. The spread between 20 - year CDB bonds and treasury bonds was 3BP, and between 20 - year railway bonds and treasury bonds was 7BP, down 1BP and 2BP respectively from the previous week, at the 6% percentile since 2010 [46] 30 - year Treasury Bond Futures - Last week, the 30 - year treasury bond futures main contract TL2509 closed at 121.20 yuan, an increase of 0.26%. The total trading volume was 408,900 lots (- 8,046 lots), and the open interest was 151,000 lots (10,690 lots). The trading volume decreased slightly, and the open interest increased slightly compared to the previous week [51]