固收深度报告20260114：债市逆风中的生存法则：历史调整对当前的启示

Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Core Viewpoints of the Report - The current bond market situation cannot simply be compared to the 2017 bear market as the interest rate change sequence is different. Currently, long - term interest rates rise first due to economic recovery expectations while short - term interest rates remain stable under the central bank's liquidity - maintaining policy [36]. - Systemic bear markets usually require the combination of rising short - term interest rates and tightened liquidity. Expectations alone can only lead to a phased rise in long - term interest rates but are insufficient to trigger a full - scale bear market [37]. - Given the current low short - term interest rates and the need for economic recovery, the yield inversion between money market funds and bond funds will improve. A steeper bond yield curve allows for leveraging strategies to obtain returns [37]. Group 3: Summary by Directory 1. Historical Review: Structural Anomalies from 2016 - 2018 1.1 Yield Trends - From 2016Q4, bond fund yields slowed significantly, and were outperformed by money market funds in many quarters. For example, in 2016Q4, the quarterly return of money market funds was 2.62%, while short - term pure bond funds had - 0.66% and medium - long - term pure bond funds had - 1.29%. Bond funds faced high capital costs and a flattened yield curve, resulting in large net value drawdowns [10]. 1.2 Key Policies and Major Events during the Period - In December 2016, the central bank included off - balance - sheet wealth management in the MPA's broad credit indicator, tightening non - bank institutions' funding sources. In March 2017, the CBRC launched the "Three Threes and Four Tens" special governance, shrinking bank inter - bank business and intensifying liquidity stratification. From 2016 - 2018, the central bank raised MLF and OMO rates multiple times, increasing financial institutions' capital costs. In April 2018, the asset management new regulations were officially implemented, promoting the institutionalization of de - leveraging [13]. 2. Cause Analysis 2.1 Policy Aspect: Central Bank's Open - Market Operation Interest Rate Adjustment - From 2016 - 2018, the central bank raised OMO and MLF rates, achieving a de facto interest rate hike. The 1 - year MLF rate rose from 3% in February 2016 to 3.3% in April 2018, indicating a tightening policy [16]. 2.2 Funding Aspect: Intensified Liquidity Stratification - Financial de - leveraging policies restricted inter - bank business, leading to severe liquidity stratification in the inter - bank market. The spread between R007 and DR007 widened from less than 20bp in the first three quarters of 2016 to a maximum of 71bp in March 2017, eroding bond funds' leverage arbitrage space [17][19]. 2.3 Fundamental Aspect: Strong Growth Supported Policy Implementation - In 2017, financial de - leveraging was an active policy choice during a period of strong economic fundamentals. China's GDP growth in 2017 was 6.9%, providing confidence for de - leveraging. The "high PPI, low CPI" inflation structure in 2017 created a good policy window [20][23]. 3. Relationship between Bond Yield Curve Shape and Bond Fund Yields - In 2017, the bond yield curve showed a two - stage V - shaped trend. From the end of 2016 to June 2017, it was bear - flattening due to tight funding. From July to December 2017, it was bear - deepening as strong economic fundamentals drove long - term interest rates up [25]. - The monthly returns of short - term and medium - long - term pure bond funds reflected the "first flat, then steep" change of the yield curve. From the end of 2016 to June 2017, short - term pure bond funds had lower returns, while from July to December 2017, medium - long - term pure bond funds suffered more capital losses [28]. - Bond funds' leverage ratios first decreased and then increased. In the first half of 2017, most funds reduced leverage. In the second half, short - term pure bond funds actively increased leverage as the yield curve steepened [30][32]. 4. How Did the Structural Anomaly Recover? 4.1 Policy Turnaround and Decline in Short - Term Interest Rates - In the second half of 2018, the policy shifted from de - leveraging to stabilizing growth. The central bank implemented multiple rounds of reserve requirement ratio cuts from 2018 to early 2019, releasing long - term low - cost liquidity and lowering short - term interest rates [33]. 4.2 Changes in Bond Yield Curve Shape - After the easing policy, short - term interest rates dropped rapidly, while long - term interest rates declined more slowly. The yield curve changed from bear - flat to bull - steep, reopening profit opportunities for bond funds' carry and duration strategies [34]. 5. Implications for the Current Market - The current situation is different from 2016 - 2018. The current long - term interest rate rise is driven by economic recovery expectations, and short - term interest rates are stable. The yield inversion between money and bond funds will improve, and leveraging strategies can be used [36][37].