固定收益周度策略报告：反弹还是反转？-20260125

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The recent strength of the bond market is mainly driven by three factors: stable buying by allocation funds and full clearing of trading funds, alleviation of the pressure from the price - comparison relationship, and the central bank's liquidity support. The current market recovery is more of a phased rebound, and the trend pressure on the fundamentals has not been falsified. After the second quarter, the possibility of the resonance of rising investment returns, the recovery of corporate leverage, and capital inflows needs to be monitored [2][5][7]. 3. Summary by Related Catalogs 3.1 Factors Driving the Bond Market Strength - Stable Buying by Allocation Funds: Since the beginning of the year, small and medium - sized banks, insurance companies, and wealth management products have maintained a seasonal or even higher - than - usual allocation intensity. For example, due to the "good start" effect, insurance companies have net - bought over 220 billion yuan of bonds since the beginning of the year, higher than the levels in the same period of 2024 and 2025. Large banks have actively increased their allocation of 7 - 10 - year bonds, indicating the release of the allocation capacity for long - duration assets after the EVE indicator adjustment at the beginning of the year [2][7][8]. - Full Clearing of Trading Funds: From multiple perspectives, it can be seen that the selling pressure of trading funds was concentrated in the first two weeks of the year. For example, the selling scale of funds in the first five trading days was close to the weekly extreme of the past year. The overall duration of medium - and long - term bond funds has fallen to around 2.7 years (the 25th percentile in the past three years), and the market divergence index has risen to around the 69th percentile in the past three years, presenting a pattern of "low duration + high divergence" that is conducive to a rebound. The micro - trading sentiment index of the bond market has also shown a certain release of pessimistic sentiment [17]. - Alleviation of Price - Comparison Pressure: In the past two weeks, the pressure from the seesaw relationship between equities, commodities, and bonds has eased. On one hand, the regulatory authorities have actively cooled the equity market. On the other hand, from a price - comparison perspective, the valuation of interest rates relative to commodities is at a reasonable level. After the adjustment at the beginning of the year, the 10 - year interest rate has rebounded to the 15th percentile since 2021, and the prices of commodities such as building materials, rebar, coke, and the copper - gold ratio have also rebounded to certain percentiles, with the average percentile of interest rates and commodities basically matching [19]. - Adequate Liquidity Injection: Although the structural monetary tools took the lead at the beginning of the year and there were many seasonal disturbance factors, the central bank's overall liquidity injection scale remained at an adequate level. Since January, the central bank has net - injected 1 trillion yuan through MLF and outright repurchase, with a large - scale net injection of 70 billion yuan through MLF and an earlier injection time, which has alleviated the market's concerns about the recurrence of last year's situation in the capital market under the "good start" of credit and supply pressure [22]. 3.2 Sustainability of the Bond Market Rebound - Historical Experience: Referring to the performance of rebound markets during periods of cautious sentiment in history, the average duration is about 15 trading days, with an amplitude of about 18BP. The rebound in October last year lasted for 24 trading days, with an amplitude of 11BP. In contrast, the current rebound has lasted for about 12 trading days, with an amplitude of about 7BP, indicating that there is still room for the rebound in terms of both duration and amplitude [3][26]. - Sentiment Indicators: The market sentiment has currently recovered to around the median level (about the 54th percentile), and the duration and divergence indicators are still in the "low duration + high divergence" pattern, which is usually conducive to the continuation of the rebound. Moreover, the market's expectation of loose monetary policy is still relatively cautious, and there is still room for moderate recovery if the central bank continues to show a positive attitude [3][26]. 3.3 Comparison with the 2022 - 2023 Market and the Nature of the Current Market - Differences from 2022 - 2023: There are several important differences between the current environment and that of 2022 - 2023. In terms of the credit cycle, the transmission chain of PPI→ROIC→credit cycle is being formed, and the transmission smoothness is expected to improve. In the inventory cycle, the current industrial enterprises are at the end of the destocking cycle, and the rebound of the leading indicator PPI increases the possibility of a new cycle start. In terms of asset - pricing expectations, the macro - expectations implied by the exchange rate and the equity market are significantly stronger than those at the end of 2022 to the beginning of 2023, and the enterprise's willingness to settle foreign exchange has been continuously rising [4]. - Nature of the Current Market: The current market recovery is more of a phased rebound. Considering the "short duration + high divergence" pattern in the microstructure of the bond market and the relatively low fundamental headwinds at present, the market is in a phased rebound process. However, the trend pressure on the fundamentals has not been falsified, and after the second quarter, the possibility of the resonance of rising investment returns, the recovery of corporate leverage, and capital inflows needs to be monitored [5][44]. 3.4 Market Performance and Index Analysis - Central Bank's Monetary Operations: This week, the central bank carried out a net injection of 22.95 billion yuan through reverse repurchase, and conducted a 900 - billion - yuan 1 - year MLF operation on Friday, with a net injection of 70 billion yuan, the highest since January 2024 [46]. - Funds Rate Movement: The operating centers of DR001, DR007, and DR014 have moved up 1bp, down 2bp, and up 4bp respectively to 1.37%, 1.49%, and 1.58%. Affected by the tax - payment period, the funds rate first rose and then fell during the week [46]. - Treasury Yield Changes: Except for the 1 - year treasury yield, which rose by 4bp to 1.28%, the yields of other - term treasuries declined. The 10 - year treasury yield fell by 1bp to 1.83%, and the 10 - 1 - year term spread narrowed by 5bp to 55bp [47]. - Bond Duration Changes: From January 19th to January 23rd, the median duration of public funds increased slightly by 0.01 to 2.71 years, at the 28th percentile in the past three years. The duration divergence index rose rapidly to 0.58, at the 91st percentile in the past three years [49]. - Interest Rate Synchronous Indicators: This week, the signals released by the ten interest rate synchronous indicators were mainly "bearish", accounting for 6/10. Compared with last week, the enterprise recruitment forward - looking index and the US dollar index sent "bearish" signals [52]. 3.5 Local Bond Market Analysis - Local Bond Financing and Issuance Scale: This week, the net financing scale of local bonds increased month - on - month, with a significant increase in the issuance scale of special refinancing bonds. From January 1st to 23rd, 2026, the total issuance of local bonds was 424.1 billion yuan, slightly lower than 513.7 billion yuan in the same period of 2025. The issuance scale of various types of local bonds was lower than that of last year, with the issuance scale of new general bonds and ordinary refinancing bonds significantly lower than last year [53][65]. - Local Bond Issuance Term: This week, the weighted average issuance term of local bonds decreased month - on - month, mainly due to the decrease in the issuance term of special refinancing bonds. From January 1st to 23rd, 2026, the weighted average issuance term of local bonds was 18 years, basically the same as last year. The weighted average issuance terms of new general bonds and special refinancing bonds decreased, while those of new special bonds and ordinary refinancing bonds increased [58][67]. - Local Bond Issuance Spread: This week, the issuance spread of local bonds decreased by 3bp month - on - month. The weighted average spread between the local bond issuance rate and the secondary - market local bond rate of the same term was - 4bp, a slight decrease from - 1bp last week. Except for ordinary refinancing bonds, the issuance spreads of other types of local bonds continued to decline [61]. - Local Bond Issuance Progress: In January, the actual issuance progress of local bonds was 52% of the planned issuance. Sichuan, Zhejiang, Ningbo, Gansu and other places have completed the planned issuance scale, while Hunan, Jiangsu, Inner Mongolia, and Jiangxi have relatively slow issuance progress. Next week (January 26th - 30th), the expected issuance scale of local bonds is 383.1 billion yuan [71].