证券研究报告 | 2026年1月5日 超长债周报 TL 崩盘式下跌再创新低 核心观点 固定收益周报 超长债复盘：上周财政工作会议提到扩大财政支出盘子，12 月制造业 PMI 回升 0.9 至 50.1，4 月以来首次重返荣枯线，长期限品种收益率上行， 超长债再度暴跌。成交方面，上周超长债交投活跃度变化不大，交投非 常活跃。利差方面，上周超长债期限利差走阔，品种利差缩窄。 超长债投资展望： 30 年国债：截至 12 月 31 日，30 年国债和 10 年国债利差为 40BP，处于 历史较低水平。从国内经济数据来看，11 月经济下行压力继续增加。我 们测算的 11 月国内 GDP 同比增速约 4.1%，增速较 10 月回落 0.1%。通 胀方面，11 月 CPI 为 0.7%，PPI 为-2.2%，通缩风险有所缓解。我们认 为，当前债市震荡概率更大。一方面，去年四季度以来的经济企稳，主 要来自于中央加杠杆的托底。考虑到今年四季度并无增发国债，预计四 季度政府债券融资增速快速回落，四季度国内经济依然承压。同时从中 央经济工作会议和政治局会议来看，2026 年党中央更加重视高质量发 展，经济总量"稳中求进"的重要性次 ...

证券研究报告 | 2025年12月28日 超长债周报 年末资金面宽松，超长债继续反弹 核心观点 固定收益周报 超长债复盘：上周公布的 LPR 利率保持不变，央行四季度例会提到"充 实完善货币政策工具箱，开展国债买卖，关注长期收益率的变化"，A 股大涨，债市继续反弹，超长债小涨。成交方面，上周超长债交投活跃 度小幅下降，交投非常活跃。利差方面，上周超长债期限利差缩窄，品 种利差缩窄。 超长债投资展望： 30 年国债：截至 12 月 26 日，30 年国债和 10 年国债利差为 39BP，处于 历史较低水平。从国内经济数据来看，11 月经济下行压力继续增加。我 们测算的 11 月国内 GDP 同比增速约 4.1%，增速较 10 月回落 0.1%。通 胀方面，11 月 CPI 为 0.7%，PPI 为-2.2%，通缩风险有所缓解。我们认 为，当前债市震荡概率更大。一方面，去年四季度以来的经济企稳，主 要来自于中央加杠杆的托底。考虑到今年四季度并无增发国债，预计四 季度政府债券融资增速快速回落，四季度国内经济依然承压。同时从中 央经济工作会议和政治局会议来看，2026 年党中央更加重视高质量发 展，经济总量"稳中求进 ...

Group 1 - The bond market showed a slight rebound on December 17, with the 10-year government bond ETF (511260) rising by 0.11% and the 30-year government bond futures rebounding by 0.63%, approaching recovery from Monday's decline [1] - The weak performance of the bond market in Q4 was more pronounced than expected, with the 30-year government bond futures dropping nearly 4% since November, nearing last year's low after "924" [1] - The strong performance of the 30-year government bond before 2025 has led investors to overlook inherent risks, as the introduction of TL contracts and the central bank's bond trading in 2024 have compressed the 30-10 year yield spread to a historical low of 10 basis points [1] Group 2 - The 30-year government bond is approaching post-tax mortgage rates, highlighting its investment value, but current risks suggest that long-term bonds should not be viewed merely as a duration strategy [2] - During the bond market adjustment phase, the 10-year government bond serves as a stabilizing force, reflecting its robust characteristics [2] - The economic "K" structure is unlikely to ease in the short term, which remains favorable for the bond market, but pessimistic sentiment has not fully dissipated, leading to a neutral to bearish monetary policy [2]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Last week, the central bank announced a 50 billion yuan investment in November through treasury bond trading, and the November PMI rose by 0.2 to 49.2. The bond market experienced a certain degree of sell - off, and ultra - long bonds tumbled. The trading activity of ultra - long bonds increased significantly, with the term spread widening and the variety spread showing mixed changes [1][11]. - For the 30 - year treasury bond, as of December 5, the spread between the 30 - year and 10 - year treasury bonds was 41BP, at a historically low level. Considering factors such as economic pressure and low interest rates, the bond market is more likely to fluctuate, and the 30 - 10 spread is expected to face short - term pressure [2][12]. - For the 20 - year CDB bond, as of December 5, the spread between the 20 - year CDB bond and the 20 - year treasury bond was 14BP, at a historically extremely low position. Given the economic situation and market sentiment, the bond market is likely to fluctuate, and the variety spread of the 20 - year CDB bond is expected to have narrow - range fluctuations [3][13]. 3. Summary by Relevant Catalogs 3.1 Weekly Review 3.1.1 Ultra - long Bond Review - The central bank's November treasury bond trading investment and the rise in PMI led to a sell - off in the bond market and a tumble in ultra - long bonds. Trading activity increased significantly, with the term spread widening and the variety spread showing mixed changes [1][11]. 3.1.2 Ultra - long Bond Investment Outlook - **30 - year Treasury Bond**: The 30 - 10 spread is at a low level. The economy is under pressure, and the spread is expected to face short - term pressure [2][12]. - **20 - year CDB Bond**: The spread between the 20 - year CDB bond and the 20 - year treasury bond is extremely low. The bond market is likely to fluctuate, and the variety spread of the 20 - year CDB bond is expected to have narrow - range fluctuations [3][13]. 3.1.3 Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 24.3 trillion yuan. Local government bonds and treasury bonds are the main varieties. The 30 - year variety has the highest proportion [14]. 3.2 Primary Market 3.2.1 Weekly Issuance - Last week, the issuance volume of ultra - long bonds dropped sharply, totaling 5.73 billion yuan. By variety, treasury bonds were 2.7 billion yuan, local government bonds were 2.88 billion yuan, and corporate bonds were 0.15 billion yuan. By term, 15 - year bonds were 1.1 billion yuan, 20 - year bonds were 0.93 billion yuan, and 30 - year bonds were 3.69 billion yuan [20]. 3.2.2 This Week's Planned Issuance - The announced issuance plan for this week is 3.47 billion yuan, all of which are ultra - long local government bonds [26]. 3.3 Secondary Market 3.3.1 Trading Volume - Last week, ultra - long bonds were very actively traded, with a turnover of 1.1346 trillion yuan, accounting for 14.6% of the total bond turnover. Compared with the previous two weeks, the turnover increased by 221 billion yuan, and the proportion increased by 3.3% [29]. 3.3.2 Yield - Due to the central bank's investment and PMI changes, ultra - long bonds tumbled. The yields of treasury bonds, CDB bonds, local bonds, and railway bonds at different terms all changed, with the 30 - year treasury bond yield rising by 7BP to 2.26% [39]. 3.3.3 Spread Analysis - **Term Spread**: The term spread of ultra - long bonds widened last week, with an absolute low level. The 30 - year - 10 - year treasury bond spread was 41BP, up 7BP from the previous two weeks, at the 24% quantile since 2010 [51]. - **Variety Spread**: The variety spread of ultra - long bonds showed mixed changes last week, with an absolute low level. The spreads of the 20 - year CDB bond and railway bond against the treasury bond were 14BP and 16BP respectively, with changes of 2BP and - 2BP from the previous two weeks, at the 11% quantile since 2010 [53]. 3.4 30 - year Treasury Bond Futures - Last week, the main contract of the 30 - year treasury bond futures, TL2603, closed at 112.51 yuan, down 1.7%. The total trading volume was 706,800 lots, and the open interest was 145,600 lots, with a significant increase in trading volume and a slight decrease in open interest [58].

本周10Y国债利率与上周基本持平，而30Y国债利率则上行近7BP。 30年国债期货不仅抹平去年"适度宽松货币政策"以来的全部涨幅，甚至还倒亏了不少， 原来"超长债"的真实含义是"超偿债"！ | | 近半年 ▲ | 近一年 | | --- | --- | --- | | 工具製元A | -7.99% | -3.22% | | 富丰和纯债A | -7.84% | -6.34% | | 天来稳健添利A | -7.03% | -6.16% | | 眼瑞夏一年定开债 | -6.75% | -5.23% | | 果兴尊益利率债6个月: | -6.62% | -1.91% | | J裕A | -6.28% | -2.27% | | 上证30年期国债ETF | -6.13% | -1.67% | | 中债-30年期国债ETF | -6.11% | -1.56% | 今天小作文传12月会议重提jzjx，带动债市情绪有所好转。 但债农都在自嘲：怕不是降准降息，而是降职降薪啊！ 如今又是一年12月，站在岁末年初的节点，似乎90%以上的投资人都在预测2026年将是股市大年。 重仓30Y国债的债基近半年亏损超6%，听说有投资经理濒临抑 ...

Core Viewpoint - The 10-year and 30-year Treasury futures have seen an increase in their gains after opening in the afternoon on October 30, with the 10-year futures reaching a high not seen since August 8 [1] Group 1 - The 10-year Treasury futures rose significantly, indicating a strong market response [1] - The 30-year Treasury futures also expanded their gains, reflecting investor sentiment towards long-term bonds [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the bond market continued to decline sharply. The tightening of funds during the tax period, the announcement of an additional 300 billion yuan MLF renewal in August, and the significant rise of A-shares with the Shanghai Composite Index reaching a 10-year high led to an obvious stock-bond seesaw effect, causing a continuous slump in ultra-long bonds [1][3][12]. - In the short term, the bond market will face a continuous game between expectations and reality, with the 10-year Treasury bond oscillating in the range of [1.65%, 1.8%]. On one hand, the weak fundamental situation supports the bond market; on the other hand, the "anti-involution" policy has alleviated investors' deflation concerns, changing the long-term macro-narrative and suppressing the bond market [2][3][13]. 3. Summary by Relevant Catalogs Weekly Review Ultra-long Bond Review - Last week, the bond market continued to decline sharply. The ultra-long bond trading activity decreased slightly but remained quite active. The term spread and variety spread of ultra-long bonds widened [1][12]. Ultra-long Bond Investment Outlook - **30-year Treasury Bond**: As of August 22, the spread between the 30-year and 10-year Treasury bonds was 31BP, at a historically low level. The current 30-year Treasury bond term spread is still low, with limited term spread protection [2][13]. - **20-year CDB Bond**: As of August 22, the spread between the 20-year CDB bond and the 20-year Treasury bond was 3BP, at a historically extremely low level. The current 20-year CDB bond variety spread is still low, with limited variety spread protection [3][14]. Ultra-long Bond Basic Overview - The balance of outstanding ultra-long bonds exceeds 22.8 trillion yuan. As of July 31, ultra-long bonds with a remaining maturity of over 14 years totaled 22.8873 trillion yuan, accounting for 14.7% of the total bond balance. Local government bonds and Treasury bonds are the main varieties of ultra-long bonds [15]. - By variety, Treasury bonds account for 26.5%, local government bonds 67.5%, policy financial bonds 2.0%, government agency bonds 1.9%, commercial bank subordinated bonds 0.3%, corporate bonds 0.5%, enterprise bonds 0.1%, medium-term notes 1.2%, private bonds 0.0%, and directional instruments 0.0% [15]. - By remaining maturity, bonds with a maturity of 14 - 18 years account for 26.5%, 18 - 25 years 26.9%, 25 - 35 years 40.9%, and over 35 years 5.7% [15]. Primary Market Weekly Issuance - Last week, the issuance volume of ultra-long bonds increased significantly. A total of 306.7 billion yuan of ultra-long bonds were issued. By variety, Treasury bonds accounted for 83 billion yuan, local government bonds 212.3 billion yuan, and others. By maturity, 15-year bonds accounted for 40.2 billion yuan, 20-year bonds 67.8 billion yuan, 30-year bonds 198.7 billion yuan, and 50-year bonds 0 yuan [20]. This Week's Planned Issuance - The announced ultra-long bond issuance plan for this week totals 122.5 billion yuan, all of which are ultra-long local government bonds [26]. Secondary Market Trading Volume - Last week, the trading of ultra-long bonds was quite active, with a trading volume of 1328.9 billion yuan, accounting for 14.4% of the total bond trading volume. Compared with the previous week, the trading activity of ultra-long bonds decreased slightly [29]. Yield - Last week, the bond market continued to decline sharply. The yields of various ultra-long bonds rose. For example, the yields of 15-year, 20-year, 30-year, and 50-year Treasury bonds changed by 4BP, 5BP, 3BP, and 5BP respectively, reaching 1.95%, 2.11%, 2.08%, and 2.16% [41]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra-long bonds widened, but the absolute level was low. The spread between the 30-year and 10-year Treasury bonds was 31BP, 2BP higher than the previous week, at the 12% quantile since 2010 [52]. - **Variety Spread**: Last week, the variety spread of ultra-long bonds widened, but the absolute level was low. The spreads between the 20-year CDB bond and Treasury bond, and between the 20-year railway bond and Treasury bond were 3BP and 8BP respectively, 1BP and 2BP higher than the previous week, at the 5% quantile since 2010 [53]. 30-year Treasury Bond Futures - Last week, the main contract of the 30-year Treasury bond futures, TL2512, closed at 115.98 yuan, a decrease of 1.28%. The total trading volume was 1.1462 million lots, and the open interest was 156,700 lots. The trading volume increased significantly compared with the previous week, and the open interest increased slightly [58].

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].