Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Core Viewpoints of the Report - The current pricing of ultra-long bonds may be overvalued, and the demand-side strength is unstable. Investors should not be impulsive when chasing the rising trend [2][6][16] - The overvalued pricing of ultra-long bonds is reasonable in the short term, but the allocation disk strength may still be insufficient, and the duration of the trading disk is still high. The bond market's risk resistance is insufficient [4][16] Group 3: Summary by Relevant Catalogs 1. 30Y, Current Pricing May Be Overvalued - The spread between the 30Y taxable new bond (2500006) and the 30Y non-taxable old bond (2500002) should include tax premium and liquidity premium [2][9] - The actual VAT rates applicable to self-operated and asset management institutions are 6.34% and 3.26% respectively. The corresponding tax premiums are 11.9BP and 6.1BP. The tax premium may be mainly priced based on 11.9BP [2][9] - From 2022 to September 11, 2025, the 25% and 75% quantiles of the liquidity premium between the 30Y active bond and the second active bond are 0.7BP and 4.2BP respectively, with a median of 2.5BP. The liquidity premium of about 3BP for 2500006 may be a fully priced level [3][10] - A spread below 8.9BP between 2500002 and 2500006 may indicate a decline in tax premium or an excessively high liquidity premium, both pointing to overvalued pricing of 2500006 [3][10] 2. Can the Overvalued Pricing of Ultra-long Bonds Be Sustained? 2.1. Configuration Disk Strength Is Still Insufficient - The bond allocation strength of insurance and urban and rural commercial banks remains weak, and the year-end "rush to allocate" seasonal market may not reappear [17] - Large banks still face restrictions on interest rate risk indicators, and may face profit realization and liability-side instability issues in the fourth quarter [17][18] - The central bank's bond purchases are mainly short-term bonds, which cannot solve the demand-side pressure of ultra-long bonds [18] 2.2. Trading Disk Duration Risk Still Exists - Bond fund durations are generally above the 20% quantile of the rolling two-year period. If the year-end fund sales fee rate new regulations are officially implemented or funds are redeemed, there is a possibility of a negative feedback of concentrated release of duration risk [4][20] - Due to the large performance pressure of bond funds this year, some funds may try to extend the duration at the year-end to boost performance, further accumulating duration risk [20]

Report Title - How to Trade the Coupon-Switching Market of Active 30Y Treasury Bonds? (20251022) [1] Core View - The spread evolution between new and old 30Y Treasury bonds generally shows an "M" shape, mainly influenced by liquidity premium [2] - Currently, the spread between 2400006 and 2500002 may be near the second peak of the "M" shape. If 2500002 becomes a non-active bond, there may be some convergence space for the spread. Attention can be paid to the spread convergence opportunity between 240006 and 2500002 and trading opportunities combined with Treasury bond futures [2] - The spread between 2400006 and 2500002 is currently at a relatively high level, and attention should be paid to the spread convergence opportunity [4]