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 ...

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].

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].

Core Viewpoint - The article provides a detailed analysis of commodity market trends, focusing on quantitative indicators for various indices and commodities, highlighting the bullish trends for certain stock indices and the implications for trading strategies [3][4][5][6][7][8]. Quantitative Indicators Summary - The 50 stock index shows a bullish trend with a value of 1.16, indicating a strong upward movement [6]. - The 300 stock index also reflects a bullish trend with a value of 1.21, suggesting continued strength in the market [6]. - The pure soda market shows a fluctuating trend with a value of 3.21, indicating potential volatility [7]. Technical Analysis Summary - For the 50 stock index, the strategy suggests holding positions and looking for entry points near specific trend lines, with a focus on maintaining positions during upward movements [10][12]. - The pure soda market is described as being in a speculative phase, with recommendations to monitor specific price levels for potential entry and exit points [11]. - The 300 stock index is advised to continue holding positions, with a focus on breakout levels and maintaining a bullish outlook [12]. Fundamental Analysis Summary - The 300 stock index is under pressure due to supply concerns, with a basis rate of -22.1/-0.5%, indicating a supply surplus [9]. - The pure soda inventory is at a high level compared to previous years, but there are signs of a downward trend, suggesting potential market adjustments [9]. - Overall, the industry is seeing a comprehensive profit recovery, with the basis rate showing a slight improvement [9].

Group 1 - The report indicates that the domestic market's risk appetite remains volatile, with early trading showing weakness in both equity and commodity markets, followed by a reversal in the afternoon [2] - Commodity prices have shown signs of stabilization, with significant reductions in the declines of coking coal, glass, and soda ash, which narrowed by 4.37%, 1.82%, and 4.45 percentage points respectively compared to the previous day [2] - The futures prices of many "anti-involution" commodities have shifted to be lower than or roughly equal to spot prices, indicating a transition to a positive basis or flat state [3] Group 2 - The report highlights that the stock market is led by innovative pharmaceuticals and semiconductors, with the ChiNext Index and the Sci-Tech 50 Index rising by 1.86% and 1.45% respectively, while the Hang Seng Technology Index fell by 0.35% [4] - The bond market experienced a significant decline, with 10-year and 30-year government bond yields rising by 3.25 basis points and 3.80 basis points to 1.75% and 1.96% respectively [4][5] - The report notes that the recent adjustments in the bond market are primarily driven by market sentiment rather than fundamental changes, with a significant portion of the market reacting negatively to regulatory announcements [6][7] Group 3 - The report emphasizes that the technology sector continues to perform strongly, with AI computing and semiconductor stocks seeing notable gains, while the Wind Innovation Drug Index rose by 3.23% [13] - The report also mentions that the market sentiment remains positive, with the financing balance reaching a new high since 924, indicating increased participation from leveraged funds [9][10] - The report suggests that the current market environment is characterized by a rotation among sectors, with technology and innovative pharmaceuticals outperforming, while lower-tier sectors may present opportunities for investment [15]

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].

Market Overview - On June 24, the equity market experienced a significant surge, primarily driven by the ceasefire between Iran and Israel and the participation of stabilizing funds, with notable strength in the non-bank and technology sectors [2][3] - Major stock indices saw broad increases, with the Shanghai Composite Index rising by 1.15%, the CSI 300 by 1.20%, and the ChiNext Index by 2.30% [2] - The bond market continued its upward trend, with the yield on the 10-year government bond rising by 0.6 basis points and the 30-year bond by 1.35 basis points [2][4] Oil and Gold Market - Following the ceasefire announcement, market risk aversion decreased sharply, leading to significant declines in oil and gold prices, with WTI crude oil and Brent crude oil futures dropping by 8.95% and 7.62% respectively [3] - Gold prices also fell, retreating from a high of $3,367 per ounce to around $3,310 per ounce due to reduced geopolitical risks [3] Bond Market Dynamics - The central bank's substantial net injection of liquidity helped stabilize the funding environment as the market entered a cross-quarter week [4] - The overnight funding rates showed a downward trend, with the R001 and DR001 rates remaining stable at 1.44% and 1.37% respectively [4] - The issuance of long-term government bonds saw a slight increase in yield, with the 30-year bond yield rising to 1.85% [6] Equity Market Trends - The A-share market saw a volume increase, with the total trading volume reaching 1.45 trillion yuan, up by 301.1 billion yuan from the previous day [7] - The surge was attributed to the easing of geopolitical tensions and the influx of stabilizing funds, particularly in sectors that had previously underperformed [7] - The market's strong performance suggests a temporary alleviation of the "crisis" sentiment that had been building [7] Sector Performance - The non-bank financial sector saw a notable increase, with the SW Non-Bank Financial Index rising by 2.68%, indicating a shift in market dynamics [9] - The Hong Kong market also experienced gains, with the Hang Seng Index and Hang Seng Tech Index rising by 2.06% and 2.14% respectively [10] Future Outlook - The market is expected to remain within a consolidation framework established since mid-May, with potential upward pressure from profit-taking sentiments [8] - The upcoming military parade on September 3 may also influence market sentiment, particularly in sectors related to defense and technology [10]

Core Viewpoint - The recent adjustment in the bond market is attributed to three main factors: excessive expectations for monetary easing, insufficient liquidity post-Spring Festival, and a "stock-bond seesaw" effect leading to capital outflow from bonds to stocks [1][2][4]. Group 1: Reasons for Bond Market Adjustment - The market's prior strong expectations for interest rate cuts led to an overextension in bond prices, with the 10-year government bond yield dropping from 1.95% to a low of 1.5958%, a decrease of 35 basis points [1]. - Post-Spring Festival, liquidity did not loosen as anticipated, with the central bank's focus on stabilizing the exchange rate and managing long-term interest rate risks, resulting in reduced capital outflow and increased pressure on the bond market [2]. - The rise in equity markets, particularly in technology stocks, has increased investor risk appetite, causing some funds to shift from the bond market to the stock market, creating a negative correlation between the Hang Seng Technology Index and 30-year government bond futures [2]. Group 2: Current Bond Market Status - The current yield of 1.9% on the 10-year government bond reflects a reasonable expectation of a 10 basis point rate cut for the year, with the MLF policy rate at 2.0% still serving as a significant anchor for the bond market [4]. - The yield has corrected significantly from previous overextensions, returning to levels seen before the central economic work conference, indicating that the adjustment has largely addressed prior excesses [4]. - The adjustment in the 10-year government bond yield has approached the maximum correction seen in previous cycles, with a recovery of 30 basis points from its low, suggesting limited room for further declines [4]. Group 3: Future Outlook - The macroeconomic logic of transitioning between old and new growth drivers and supply-demand imbalances remains, with uncertainties surrounding traditional economic recovery and external factors like tariffs and social financing data [8]. - From an asset allocation perspective, bonds provide stable cash flow over the long term, making them a valuable asset class for investors, particularly in the context of risk-averse strategies [8].

昨天央行的MLF虽然没降息，但是资本市场今天用自己的方式在推动降息，今天30年国债期货主力合约继续上涨至108.52，创历史新高。 这意味着什么呢？意味着30年期国债的收益率跌破了2.5%这个重要支撑，随着国债期货的进一步上涨，收益率会越来越低。 可能有的读者看不懂一个涨一个跌的关系，我举个通俗点的例子，就好比房价越涨，租售比就越低，这两年房价大跌，租售比反而变高了。债券价格和债 券到期收益率也是反比的关系。 2.5%是国债收益率的一个重要关口，之前几次上攻都被打了回去，但随着经济数据和房价数据的进一步披露，市场开始达成共识，2.5%应该进一步下 降。 话说这几年在中国的金融产品里，投资结果最好的就是买债券。公募基金里那些做股票的经理一个个苦大仇深，都被基民骂成狗了，而做债券的经理一个 个昂首挺胸，神清气爽，他们既能给公司创收，还能给基民赚钱，职业荣誉感max。 港股这半年来的情况有所改善，主要是一进一出两方面的原因。进是上市公司掀起了大面积的回购，截止到目前已经接近1000亿港币；出是香港现 在ipo融资困难，估值低不说，硬着头皮上也没有韭菜接盘，毕马威刚刚下调了全年ipo融资预期，只有不到600亿港币。 ...