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债市策略思考:把握事件冲击后的调仓机会
ZHESHANG SECURITIES· 2025-10-11 10:50
证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期:2025 年 10 月 11 日 把握事件冲击后的调仓机会 ——债市策略思考 核心观点 展望下一阶段,短期债市迎来相对难得的回暖时机,或应把握切券调仓机会,将配置 交易重心由 30 年国债逐步向 10 年国债转移。权益牛市的大趋势或不会就此终结,若 后续开盘出现较大幅度调整,或意味着更具性价比的配置点位。 ❑ 关税威胁再度袭来,4 月行情或"形似而神不似" 北京时间 10 月 11 日,特朗普在社媒上宣布将于 11 月 1 日起对中国征收 100%关 税,关税扰动再度袭来。我们认为,本次事件威胁意味大于实际操作,最终结果 仍有较大变数;金融市场或已形成一定学习效应,或更倾向于将此次事件视为一 次性冲击而非趋势性影响;当前股债环境已较 4 月发生了显著变化,阶段性股强 债弱的趋势或不会就此逆转。类比来看,本次行情或与 4 月行情"形似而神不似", 催化因素均为关税风险事件扰动,但股债市场底层逻辑或已发生显著变化,"形似" 的背后,"神不似"更为关键。 ❑ 如何理解近期 30-10 年国债利差持续走阔 根据 30-10 年国债利差走势, ...
固收观察 跨季前后,债市可能趋于平稳
2025-09-28 14:57
Summary of Key Points from Conference Call Records Industry Overview - The records primarily focus on the bond market, specifically the trends and expectations for the fourth quarter of 2025 and the performance of various financial instruments including government bonds and local government bonds. Core Insights and Arguments 1. **Market Trends**: The bond market is expected to exhibit a "weak before strong" pattern in the fourth quarter, contrasting with historical trends. The market is anticipated to be relatively stable in October, with limited speculative opportunities due to weak positioning [1][2][3]. 2. **October Performance**: October 2025 is projected to show some recovery from previous declines, driven by adjustments in market sentiment and the release of prior pressures. This recovery is not expected to be as weak as in previous years [4][5]. 3. **Policy Changes**: There is a notable shift in policy consistency and proactivity in 2025 compared to previous years. The government is unlikely to announce significant new bond issuance in October, which may lead to lower interest rates in the short term [5][6]. 4. **Central Bank Actions**: The central bank and major banks are actively buying government bonds to stabilize the market. This strategy aims to prevent significant declines in market indices, although it has limited effects on other bond types [6][7]. 5. **Market Reactions**: Recent market declines were attributed to the introduction of new fund fee regulations, which may have been overestimated in their impact. The insurance and wealth management sectors remain stable, mitigating potential risks from credit loans and government bonds [7][8]. 6. **Investment Strategies**: Insurance institutions are increasingly purchasing local government bonds, viewing them as attractive investments due to their yield. This trend indicates a shift towards securing current yield levels rather than capital gains [8][9]. 7. **Long-term Bonds**: There is a divergence in market expectations for local government bonds versus 30-year government bonds. Local bonds are favored for their higher yields, while long-term bonds face skepticism due to their volatility [10][11]. 8. **Credit Bonds Sentiment**: The sentiment towards credit bonds is cautious, influenced by policy uncertainties and new fund redemption fee regulations. The market is expected to stabilize once these uncertainties are resolved [14][15]. Additional Important Content 1. **ETF Market Dynamics**: The second batch of STAR Market ETFs has seen rapid expansion, with significant inflows and a total scale reaching 2,474 billion yuan. However, some products still lack sufficient scale, indicating potential for further growth [12][13]. 2. **Future of Convertible Bonds**: The convertible bond market is showing resilience, with recommendations to focus on high-quality options that exhibit strong anti-drawdown characteristics. The issuance of convertible bonds is expected to normalize, with a focus on technology and undervalued sectors [16][18]. 3. **Investment Opportunities**: There are recommendations for strategic investments in sectors such as AI computing, consumer electronics, and low-valuation sectors like banking and chemicals, which have recently attracted significant capital inflows [18]. This summary encapsulates the key points and insights from the conference call records, providing a comprehensive overview of the current state and future expectations of the bond market and related financial instruments.
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].
如何应对跨节?
GOLDEN SUN SECURITIES· 2025-09-28 10:07
近期市场波动较大,当前临近长假,在较大不确定性情况下,市场关注如何应对跨 节。 从季节性来看,国庆前后长债并不存在明显的季节性,而资金在节后则往往会季 节性宽松。从过去 4 年经验来看,国庆节后利率上升压力不大,国庆后首周 10 年 国债平均下行在 0.9bp,而整个 10 月相对于 9 月底,利率平均下行 0.2bp,其中 2022 年和 2024 年长债利率在 10 月均有所回落。而从资金状况来看,节后资金首 周或有季节性回落,往年经验来看,10 月资金也未有明显收紧。结合当前融资需 求不足,且央行对流动性保持呵护的情况,整体资金预计将继续保持宽松,R007 有望继续保持 1.4%-1.5%附近运行。 虽然说往年季节性如此,但每一年都有自己的特殊情况,因而也不好完全照搬。 从目前情况来看,宽松的资金面和偏弱的基本面依然是债市中期的安全保障。近 几个月融资需求偏弱,信贷保持同比少增,并且社融增速放缓。结合后续相对有限 的资产统计,即使考虑到 4 季度可能提前发行再融资债,如果假定提前增发 1 万 亿,那么政府债券供给也较去年少 0.7 万亿左右,因而预计资金将保持持续宽松, 资产荒有望加剧。同时,近期基本面 ...
这个组合还能玩下去吗?
集思录· 2025-09-23 14:14
读《哈利布朗的永久投资组合》一书,发现了很多需要补充的细节。 回顾一下永久组合的内容: 25%股票:受益于经济繁荣(增长)。 25%长期国债:受益于经济衰退和利率下降(通缩)。 25%黄金:受益于货币信用危机和通货膨胀(避险)。 25%现金:提供流动性,并在通缩中增强购买力(稳定)。 目前股票,30年国债,黄金,怎么都感觉在高位 这个组合还能玩下去吗? 数据A 这种投资组合,收益可能就只有5%左右,不好的年份还会亏损。 其它三种都是稳定资产。最大的收益来源是股票,遇到牛市股票就算涨100%,因为四分之一 的仓位,带来的整体收益也只有25%。 你能忍受黄金10年不涨吗? 你能忍受30年国债持有10年后反而亏损吗? 你能忍受现金不断超发,货币购买力不断下降吗? hare001 我配置过,30 年国债涨幅基本都吃到了,目前保留的是现金、标普 500 和黄金,总体感觉 还行吧,也是弱者思维,不择时,回撤也不会有特别大的回撤,被动按照持仓比例进行调 仓,我觉得最好不要把现金池子完全归入这个组合,不然工资和其他收入其实是一直在加仓 其他三类资产的。 imaocxh 30%大A+20%港股+20%美股+20%商品+10%现 ...
流动性周报:30年国债利差还能回来吗?-20250922
China Post Securities· 2025-09-22 07:06
Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - Short - term bond market sentiment remains under pressure. It is crucial to verify that the rebound high of long - term interest rates is gradually decreasing. If 1.8% is confirmed as the relatively high level of the 10 - year Treasury bond, the bond - bull logic can be maintained. In the medium term, the recovery of risk appetite is mainly reflected in the term spread premium, which may reach 50 - 60BP in extreme cases. In September 2025, the bond market is more likely to experience a weak recovery rather than a seasonal adjustment [2][9]. - The term spread of ultra - long bonds is difficult to return to extremely low levels but is unlikely to expand significantly, and there is no need to refer to the historical range above 40BP before 2023 [3][14]. - The short - term recovery of the bond market may be driven by monetary easing. If a 10BP policy rate cut is implemented, the central level of funds and short - term varieties will decline by more than 10BP. The performance of long - term bonds is more affected by expected pricing, and the resistance at 1.7% - 1.75% of the 10 - year Treasury bond may be significant [4][19]. 3. Summary by Related Content 3.1 Bond Market Situation in September 2025 - The bond market has not significantly recovered, long - term bond interest rates are oscillating, and the term spread is expanding. After the public offering fee new rule and the central bank bond - buying expectation emerged, the long - term interest rate rebounded after breaking through 1.8% and then maintained an oscillating state. The term spread has not stopped recovering due to the unclear impact of the public offering fee new rule on the liability side [3][9]. 3.2 Analysis of Ultra - Long Bond Term Spread - **Difficulty in Returning to Low Levels and Limited Expansion**: The ultra - long bond term spread is closely related to risk appetite, reflecting the marginal change in the household debt cycle. As the household sector's leverage ratio has entered the stable - leverage stage and the real - estate cycle has not ended, the improvement of household risk appetite is limited, so the term spread is difficult to return to the high - level range before extreme compression [14][15]. - **Uncertainty from Supply and Demand**: Although the supply of ultra - long - term interest - rate bonds has increased (as of mid - September, the stock of ultra - long - term interest - rate bonds over 10 years has reached 27.3 trillion yuan, and the proportion has increased from 7% in Q1 2019 to 23%), it is difficult to determine the term spread trend from the supply side alone because the demand elasticity has a greater and unpredictable impact. Historically, the term spread has compressed even when the supply increased. In the short term, the completion of ultra - long bond issuance in Q4 may reduce the spread expansion pressure [17]. 3.3 Short - Term Bond Market Recovery Drivers - The short - term recovery of the bond market may be driven by monetary easing. A 10BP policy rate cut will lead to a central decline of more than 10BP in the funds and short - term varieties. The 10 - year Treasury bond has heavy chips around 1.7% - 1.75%, and the resistance to unwinding may be obvious [4][19].
同时与基本面和资金面背离,债何时复归?
GOLDEN SUN SECURITIES· 2025-09-21 09:45
1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View of the Report - The bond market is expected to gradually return to the fundamentals and asset shortage situation through incremental restoration in a volatile manner. The 10-year Treasury bond above 1.8% still has allocation value, and the long-term bond yield is expected to return to around the level before this round of adjustment by the end of the year, with the 10-year Treasury bond likely to recover to around 1.6% - 1.65% [6][21]. 3. Summary by Relevant Catalogs 3.1 Bond Market Performance This Week - The bond market rose first and then fell this week, remaining volatile overall. The yields of 10-year and 30-year Treasury bonds increased by 1.1bps and 2.1bps respectively to 1.80% and 2.10%. The yields of certificates of deposit and credit bonds remained stable or declined slightly, with the 1-year AAA certificate of deposit yield rising slightly by 0.5bps to 1.68%, and the yields of 3-year and 5-year AAA - secondary capital bonds falling by 2.6bps and 1.5bps respectively to 2.00% and 2.13% [1][9]. 3.2 Deviation of the Bond Market from Fundamentals and Capital - **Deviation from fundamentals**: The bond market trend is inconsistent with the fundamentals. The terminal demand calculated by export, infrastructure, and real estate investment decreased from 5.2% in April to 0.5% in August, and the year-on-year growth rate of industrial added value decreased from 6.8% in June to 5.2% in August. The manufacturing PMI has been below 49.5%, indicating relatively low economic prosperity, which is inconsistent with the overall upward trend of long-term bond yields in the past two months [2][10]. - **Deviation from capital**: The long-term bond also deviates significantly from the capital trend. The 20-day moving average of R007 has been declining since late February, from around 2.2% to around 1.5% currently, while the long-term bond yield has been rising in the past two months, and the spread between the two has reached over 30bps, a relatively high level in the past two years [2][10]. 3.3 Historical Situation of Interest Rate Deviation - Historically, it is rare for interest rates to deviate from both capital and fundamentals simultaneously. Previously, interest rate adjustments were usually accompanied by improvements in fundamentals or tightening of capital, and most of the time, changes in fundamentals and capital preceded interest rate adjustments. For example, in March 2016, the manufacturing PMI rose above the boom - bust line, and the interest rate recovery occurred in the fourth quarter of 2016 [3][13]. 3.4 Logic of Interest Rate Change - It is more logical for changes in capital or fundamentals to lead long - term interest rates. Interest rate is the financing cost. For the real economy, interest rates can only achieve a trend recovery when demand continues to rise. If the fundamentals are still weak and financing demand is insufficient, a premature rise in interest rates will suppress the fundamentals [4][18]. 3.5 Special Situation of Current Deviation - The current simultaneous deviation of long - term bonds from fundamentals and capital has its particularity. Part of the reason for the relative weakness of long - term bonds is the over - rise from the end of last year to the beginning of this year, and part of the triggering factor is the increase in risk appetite brought about by the rise of the stock market. However, from multiple perspectives such as the downward speed of broad - spectrum interest rates, interest rate cut expectations, curve slope, and the interpretability of fundamentals, the previous over - rise may have been digested, and subsequent interest rates are expected to return to the fundamentals and asset shortage situation [4][18]. 3.6 Situation in the Fourth Quarter - **Increasing possibility of asset shortage**: Asset supply is expected to further decline. If the net financing of government bonds in September is 1.3 trillion, the net financing of government bonds in the first nine months of this year is 11.6 trillion. According to the budget, the net financing in the fourth quarter is about 2.2 trillion. Even if 1 trillion of refinancing bonds for next year are advanced to this year, the net financing of government bonds in the fourth quarter will still be about 0.7 trillion less than last year. At the same time, the issuance of refinancing bonds may further increase the replacement of assets such as credit, and overall asset supply will further decline. However, fiscal deposits will continue to decrease year - on - year, and the central bank's bond trading will also increase capital supply, so the asset shortage may intensify [5][19]. - **Increasing possibility of fundamental pressure**: From the perspective of industrial product prices, the production material price index of the Ministry of Commerce has been falling since early August, and the PPI month - on - month in September may turn negative again, indicating that the fundamental pressure may increase [5][19]. 3.7 Bond Market Outlook and Investment Suggestions - **Bond market outlook**: The decline in the real return rate determines that the downward trend of broad - spectrum interest rates such as loan interest rates has not changed. The over - rise of interest rates at the beginning of the year has gradually been digested. Therefore, the current interest rate adjustment space is limited, and the bond market will gradually return to the fundamentals and asset shortage situation, but this return may be achieved through incremental restoration in a volatile manner [6][21]. - **Investment suggestions**: A dumbbell - shaped operation is recommended, that is, short - term credit/certificates of deposit + long - term interest rates. High - selling and low - buying band operations can be carried out on long - term interest rate positions [6][21].
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].
固定收益定期:超涨已消化,静待债复归
GOLDEN SUN SECURITIES· 2025-09-14 10:10
1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The over - rise of bond interest rates at the beginning of the year has been digested, but the bond market repair may not come quickly and is likely to gradually repair in fluctuations. The report suggests a dumbbell - shaped operation, i.e., short - term credit/certificates of deposit + long - term interest rates, and conduct high - selling and low - buying band operations on long - term interest rate positions. The 10 - year treasury bonds with yields above 1.8% still have allocation value, and the long - term bond interest rates may decline more smoothly in the second half of the fourth quarter, with the interest rates expected to hit new lows this year [6][20]. 3. Summary According to Related Content Bond Market Interest Rate Trends This Week - This week, bond interest rates rose again. The yields of the 10 - year and 30 - year treasury bond active bonds 250011.IB and 2500002.IB increased by 2.5bps and 5.5bps respectively compared with last week, reaching 1.79% and 2.08%. The 10 - year treasury bond active bond once exceeded the key point of 1.8%. The interest rates of certificates of deposit and credit also increased. The 1 - year AAA certificate of deposit interest rate rose 1.1bps to 1.68%, and the 3 - year and 5 - year AAA - secondary capital bond interest rates soared 10.0bps and 9.7bps to 2.02% and 2.14% [1][9]. Reasons for the Bond Market's Volatility This Year - In the first three quarters of this year, the overall bond market fluctuated and adjusted, making it difficult to obtain stable investment returns. Although affected by factors such as fundamental changes, large - bank bond selling, rising commodity prices due to anti - involution policies since the third quarter, the continuous strengthening of the stock market, and the recent public - fund fee - rate new regulations, the major background was that the over - rise of interest rates at the beginning of the year over - exhausted the subsequent space to some extent [1][9]. Evidence of Interest Rate Over - rise at the Beginning of the Year - From the perspective of capital return rate, interest rates are still in a downward trend. Since 2010, the enterprise return rate has been in a downward trend, with EBIT/total assets dropping from 10.4% in 2010 to 4.4% this year, with an average annual decline of about 40bps. The corresponding interest rates, especially the loan interest rates, have also been in a downward trend, with an average annual decline of 30bps since 2011. The loan interest rates are highly consistent with the bond interest rates. From October last year to January this year, the 10 - year treasury bond interest rate dropped by 56bps in total, resulting in a decline in the relative cost - effectiveness of the bond market and forming the continuous fluctuation pattern of the bond market this year [2][10]. Evidence that the Interest Rate Over - rise Has Been Digested - **Trend perspective**: If the 10 - year treasury bond interest rate drops by about 30bps annually, the bond market was basically over - rising in the first half of this year. By September this year, if the year - on - year interest rate decline is 30bps, the 10 - year treasury bond interest rate should be around 1.8%, which is consistent with the current level, indicating that the over - rise part has basically been digested [3][11]. - **IRS implied interest - rate cut expectation perspective**: Currently, the IRS no longer contains interest - rate cut expectations, and the expectation of monetary easing has basically been digested. Since the beginning of 2025, the IRS - FR007 spread once widened to about 50bp, but since August 5th, the FR007 - IRS (MA20) spread has been continuously positive, indicating that the market does not imply expectations of looser funds or interest - rate cuts in the next year [3][13]. - **Term spread perspective**: At the beginning of the year, the over - rise of long - term bonds and the tightening of funds led to a significant inversion of the yield curve. As of August 29th, the spread between the 1 - year certificate of deposit and R007 (20D MA) expanded to 16.2bps, significantly higher than the 2024 average of 6.2bps. The spread between the 10 - year treasury bond and the 1 - year AAA certificate of deposit reached 17.3bps, which is very close to the 2024 average of 17.5bps. With the normalization of the curve, the short - end loose liquidity is expected to protect long - term bonds from short to long [4][16]. - **Fundamental and explainable perspective**: By fitting and explaining the 10 - year treasury bond interest rate with GDP growth rate, the average of CPI and PPI, the capital price R007, and the time - trend term, it is found that although the interest rate dropped below one standard deviation of the fitting value in the first half of this year, indicating a certain degree of over - rise in the bond market, it returned to the one - standard - deviation fluctuation range after the interest - rate adjustment in the third quarter, indicating that the interest rate has entered the range explainable by fundamentals [5][17]. Factors Affecting the Bond Market in the Short Term - The stock market trend is uncertain. Although the stock - bond correlation has weakened, a rapid rise in the stock market may still impact the bond market when non - banks still hold a certain position. Public - fund fee - rate new regulations and quarter - end capital impacts may also affect the bond market in the short term. Additionally, the bond market is often seasonally weak in September and October [5][19][20].
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]