债券研究周报：10年国债低波化-20260112

Report Industry Investment Rating No information provided in the content about the report industry investment rating. Core Viewpoints - The bond market had a "bad start" in 2026. On January 9th, the yield to maturity of the 10-year Treasury bond rose to around 1.88% compared to the beginning of the year. The report focuses on potential changes in market institutional behaviors and makes three subsequent judgments [6][14]. - The bond market continues to "depend on funds for ups and downs", but large banks have joined the secondary allocation of long-term and ultra-long-term bonds since late December 2025, which is an uncommon change in history. From January 4th to January 9th, funds sold over 300 billion yuan of bonds, pushing interest rates up, while large banks significantly increased their net purchases of 10-year and 30-year Treasury bonds [6][14]. - Looking ahead, the 10-year Treasury bond may become more "low-volatility" as banks hold significantly more Treasury bonds than funds for the 10-year term, making it easier to play a stabilizing role. The difference in volatility (10Y CDB + 30Y Treasury - 2 * 10Y Treasury) has been rising since the second half of 2025 and is expected to continue [6][16]. - The low volatility of the 10-year Treasury bond may keep its trading volume at a relatively low level as trading desks gradually switch to other varieties. The trading volume of the 10-year Treasury bond may continue to be at a relatively low level in the future [9][19]. - The spread between the 30-year Treasury bond and the 10-year CDB bond may further widen. Under the influence of supply and demand, the spread between the 30-year and 10-year Treasury bonds still has a widening trend, while the spread between the 10-year CDB and 10-year Treasury bonds may see the decline of some previous liquidity premiums due to the decrease in the trading volume of the 10-year Treasury bond, driving the implied tax rate to a relatively low level [9][19]. - Overall, the low volatility of the 10-year Treasury bond may enhance its defensive attributes, turning it into an asset with liquidity, duration, and relatively small fluctuations. The bond market is likely to remain in a volatile trend in the future [8][19]. Summary by Relevant Catalog 1. This Week's Bond Market Review - The bond market had a "bad start" in 2026. The 10-year Treasury bond yield to maturity rose to around 1.88% on January 9th compared to the beginning of the year. The report focuses on potential changes in market institutional behaviors and makes three subsequent judgments [6][14]. - The bond market continues to "depend on funds for ups and downs", but large banks have joined the secondary allocation of long-term and ultra-long-term bonds since late December 2025, which is an uncommon change in history. From January 4th to January 9th, funds sold over 300 billion yuan of bonds, pushing interest rates up, while large banks significantly increased their net purchases of 10-year and 30-year Treasury bonds [6][14]. - The change may be traced back to the first-quarter 2025 Monetary Policy Implementation Report. In September 2025, the central bank optimized the evaluation system for primary dealers, adding the "performance in stabilizing the market during bond market fluctuations". It is expected that large banks will further join small and medium-sized banks as trading counterparts to non-bank institutions [15]. - Three judgments on the impact of this change: the 10-year Treasury bond may become more "low-volatility"; its trading volume may remain at a relatively low level; the spread between the 30-year Treasury bond and the 10-year CDB bond may further widen. Overall, the bond market is likely to remain in a volatile trend [6][9][16]. 2. Bond Yield Curve Tracking 2.1 Key Maturity Interest Rates and Spread Changes - As of January 9th, compared to January 4th, the 1-year Treasury bond yield to maturity decreased by 4.35bp to 1.29%; the 10-year Treasury bond yield to maturity increased by 3.55bp to 1.88%; the 30-year Treasury bond yield to maturity increased by 4.95bp to 2.30%. - The spread between the 30-year and 10-year Treasury bonds increased by 1.40bp to 42.42bp, and the spread between the 10-year CDB and 10-year Treasury bonds increased by 0.70bp to 15.05bp [20]. 2.2 Treasury Bond Maturity Spread Changes - As of January 9th, compared to January 4th, the 3Y - 1Y Treasury bond spread increased by 12.89bp to 17.19bp; the 5Y - 3Y Treasury bond spread decreased by 5.50bp to 19.45bp; the 7Y - 5Y Treasury bond spread decreased by 0.27bp to 10.42bp; the 10Y - 7Y Treasury bond spread increased by 0.78bp to 11.89bp; the 20Y - 10Y Treasury bond spread increased by 1.45bp to 41.02bp; the 30Y - 20Y Treasury bond spread decreased by 0.05bp to 1.40bp [24]. 3. Bond Market Leverage and Funding Situation 3.1 Interbank Pledged Repurchase Balance - As of January 9th, 2026, compared to January 4th, the interbank pledged repurchase balance increased by 0.81 trillion yuan to 13.08 trillion yuan [25]. 3.2 Interbank Bond Market Leverage Ratio Changes - As of January 9th, 2026, compared to January 4th, the interbank bond market leverage ratio increased by 0.50pct to 107.88% [29]. 3.3 Pledged Repurchase Transaction Volume - From January 4th to January 9th, the average pledged repurchase transaction volume was 7.51 trillion yuan. The average overnight pledged repurchase transaction volume was about 6.79 trillion yuan, and the average overnight transaction volume accounted for 91.09% [31][34]. 3.4 Interbank Funding Situation - From January 4th to January 9th, bank fund lending continued to rise. As of January 9th, large banks' net fund lending was 5.90 trillion yuan, small and medium-sized banks' net fund borrowing was 0.68 trillion yuan, and the net lending of the banking system was 5.22 trillion yuan. - In terms of funding rates, as of January 9th, DR001 was 1.2727%, DR007 was 1.4727%, R001 was 1.3480%, and R007 was 1.5157% [35]. 4. Medium and Long-Term Bond Fund Durations 4.1 Median Bond Fund Duration - As of January 9th, the median duration of medium and long-term bond funds (deleveraged) was 2.60 years, an increase of 0.02 years compared to January 4th; the median duration (including leverage) was 2.73 years, an increase of 0.01 years compared to January 4th [43]. 4.2 Median Interest Rate Bond Fund Duration - As of January 9th, the median duration of interest rate bond funds (including leverage) was 3.68 years, a decrease of 0.04 years compared to January 4th; the median duration of credit bond funds (including leverage) was 2.48 years, an increase of 0.05 years compared to January 4th. - As of January 9th, the median duration of interest rate bond funds (deleveraged) was 3.31 years, unchanged compared to January 4th; the median duration of credit bond funds (deleveraged) was 2.39 years, an increase of 0.02 years compared to January 4th [46]. 5. Bond Lending Balance Changes - As of January 9th, compared to January 4th, the borrowing volume of the 10-year CDB bond showed fluctuations [50].