平安证券：26年2月利率债月报：震荡格局下的结构性机会-20260130

1. Report Industry Investment Rating The document does not mention the industry investment rating. 2. Core Viewpoints of the Report - The domestic bond market sentiment has improved with the weakening of the US dollar and the sharp rise of precious metals. In January, the yield of the 10Y bond showed a trend of first rising and then falling, with the 5Y - 7Y varieties favored by allocation investors showing a significant decline [2]. - The calendar effect of the bond market around the Spring Festival is not obvious, and the direction depends on the capital market and fundamental expectations. In February, bond market volatility is likely to increase, and there are potential risks both overseas and domestically. From the perspective of supply and demand, the pressure on the liability side of banks is not large, and the supply in February is expected to increase but the pressure may be limited. Other institutions such as insurance and wealth management may still have the ability to allocate, while small - scale banks among the trading investors may face some pressure, but funds with light positions may start to gradually deploy [3]. - The 10Y Treasury bond is still in the range of 1.80% - 1.90% since November 2025, and it is expected to remain so in February. Attention should be paid to structural opportunities, such as short - term gaming of ultra - long - term spread compression when the 10 - year Treasury yield approaches 1.80%, focusing on the carry trade opportunities of medium - and short - term credit bonds, especially financial bonds, and seizing the convex points on the yield curve [4]. 3. Summary by Directory PART1: The weakening of the US dollar and the sharp rise of precious metals have led to an improvement in the domestic bond market sentiment Overseas - In January, Hassett was likely to be out of the race for the Fed chair, leading to a downward revision of the expected interest rate cut within the year and an adjustment in US Treasury bonds. The 10 - year US Treasury yield first rose and then fell, and the term spread first flattened and then rebounded [7][8]. - Major asset classes followed Trump's trade policies. The US dollar weakened, and precious metals and industrial metals rose. Gold prices exceeded 5000 points, and the US stock market fluctuated [11][13]. Domestic - Due to the cross - year period and tax payment period in January, the capital market tightened marginally, and the bond market leverage ratio dropped to around the median. However, the central bank actively injected over one trillion yuan of long - term liquidity [16]. - The historic bullish start of the stock market in January suppressed the bond market, but later the bond market sentiment improved. The 10Y bond yield first rose and then fell, with the 5Y - 7Y varieties favored by allocation investors showing a decline [20][21]. - In terms of institutional behavior: - Large - scale banks reduced their bond - allocation scale but increased the duration, mainly increasing their allocation of 5 - 10Y Treasury bonds [25]. - Insurance companies increased their bond - allocation scale in January but slightly reduced the duration, mainly increasing their allocation of inter - bank certificates of deposit [31][33]. - Small and medium - sized banks mainly allocated inter - bank certificates of deposit, with a relatively conservative trading style [38]. - Funds reduced their positions and mainly allocated credit bonds [41]. - Wealth management products' bond - allocation scale in January was in line with the seasonal pattern, mainly increasing their allocation of short - term policy - financial bonds within 1 year [48][51]. PART2: Outlook for the bond market around the Spring Festival - The calendar effect of the bond market around the Spring Festival is not obvious, and the direction depends on the capital market and fundamental expectations. However, bond market volatility tends to increase in February. The factors leading to increased volatility in February in previous years include domestic liquidity tightening, economic recovery expectations, and improved risk appetite, as well as the upward risk of US Treasury yields overseas [59][64]. - Current potential risks include overseas short - term inflation risks, better - than - expected AI performance in US stocks, and ongoing trade and geopolitical frictions; domestic potential disturbances include January's credit and inflation data and the resurgence of risk appetite in the equity market [64]. - From the supply - demand perspective, the pressure on the liability side of banks is not large, and the supply in February is expected to increase but the pressure may be limited. Other institutions such as insurance and wealth management may still have the ability to allocate, while small - scale banks among the trading investors may face some pressure, but funds with light positions may start to gradually deploy [3][72]. PART3: Bond market strategy for February 2026 - The 10Y Treasury bond is still in the range of 1.80% - 1.90% since November 2025, and it is expected to remain so in February. Bullish investors need aggregate stimuli such as reserve requirement ratio cuts and interest rate cuts to break through the range downward, while bearish investors need scenarios such as improved risk appetite, better - than - expected economic data, and renewed pressure on the liability side of banks [4]. - Structural opportunities include: - When the 10 - year Treasury yield approaches the lower limit of 1.80%, short - term gaming of ultra - long - term spread compression may be more cost - effective, but the timing needs to be well - grasped [4][77]. - Focus on the carry trade opportunities of medium - and short - term credit bonds, especially financial bonds. Currently, the carry trade space for 1 - 3Y credit bonds is about 30BP, and the supply of credit bonds in February may decline year - on - year [80]. - Seize the convex points on the yield curve, such as 20Y local bonds, 10Y Export - Import Bank bonds, and 5Y China Development Bank bonds [84].