固定收益点评：配置盘主导的债市会如何演进？

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - Since the third quarter of 2025, the long - term bond market has been in a volatile adjustment. Trading desks with unstable liabilities, such as funds and securities firms, have continuously sold bonds, while allocation desks mainly composed of banks have gradually increased their positions. The current market is dominated by allocation desks, and future market trends depend on the stability of allocation demand and the pace of trading desk re - entry [1][9]. - Historically, significant trading desk position reductions generally correspond to substantial interest rate adjustments. The pace of trading desk re - entry determines the recovery rhythm, but the current market environment is quite different from the past, so historical experience cannot be blindly followed [4]. - Currently, long - term bonds are in a narrow - range oscillation. The liability side of funds is recovering slowly, and securities firms lack the space and positions for band trading. In the future, attention should be paid to the sustainability of allocation demand and the recovery rhythm of the trading desk's liability side [5][62]. 3. Summary by Directory 3.1 Current Allocation Desk - Dominated Bond Market - Since the third quarter of 2025, long - term bonds have been in a volatile adjustment. The performance of bond funds has been affected, and the share of public bond funds has been shrinking since July. After the New Year, with the accumulation of banks' allocation demand, the allocation desk has gradually increased its positions, and the positions of trading - type institutions may have dropped to a relatively low level [9]. - Since 2019, there have been seven rounds of significant trading desk position reductions. The current round's decline is close to that of the 2022 redemption wave, and the position of broad - based funds has dropped to a low level. From June 2025 to January 2026, the decline in the interest - rate bond position of broad - based funds reached 2.6%, slightly lower than the 3.4% decline during the 2022 year - end redemption wave, and the current position ratio has dropped to the lowest level since 2019 [1][14]. 3.2 Allocation Desk's Bond Allocation Logic 3.2.1 Banks: Widening Deposit - Loan Growth Gap and Still Existing Bond - Loan Price Advantage - Banks are the main recipients during the current trading desk's position reduction. The reasons for banks to increase bond allocation are as follows: First, the deposit - loan growth gap has widened recently, with the deposit growth rate rising from 7.7% in November last year to 10.0% in January this year, and the loan growth rate dropping from 6.4% to 6.1%. The deposit - loan growth gap has widened to 3.8 percentage points, driving up banks' bond allocation demand [19]. - Second, long - term bonds still have a certain comparative advantage over loans. For example, the comprehensive yield of 10 - year treasury bonds is higher than that of general loans, and the comprehensive yield of 30 - year treasury bonds is higher than that of housing mortgage loans. From a historical perspective, the yield spread between 10 - year treasury bonds and loans and between 30 - year treasury bonds and mortgage loans is at a relatively high level [26]. - Third, after the New Year, the duration indicator has eased, releasing the space for banks to increase long - term bond allocation. According to the Basel framework, the impact amplitude of the "parallel upward shift" scenario of interest - rate shocks has been adjusted from 250BP to 225BP, which is expected to support large - scale banks to newly undertake 649 billion yuan of 30 - year local bonds [31]. 3.2.2 Insurance: Dividend - Paying Insurance Dominates the "Good Start", Weakening the Pricing Power of Long - Term Bonds - Compared with banks' large - scale bond allocation, insurance companies' allocation of ultra - long - term bonds is insufficient. In 2026, the "good start" of insurance was remarkable, with dividend - paying insurance as the absolute main force. In January 2026, 79 life insurance companies achieved a new - order premium of 212.6 billion yuan in the bank - insurance channel, a year - on - year increase of 27.6% [35]. - The dominance of dividend - paying insurance may lead to a shorter duration preference and a higher equity preference of insurance funds, weakening insurance companies' pricing power over long - term bonds and increasing the allocation of medium - and long - term high - coupon bonds. Currently, the dividend yield of dividend - paying stocks is still attractive compared with long - term bonds, and the pressure of insurance companies' stock - bond rebalancing still exists [40][43]. - The current yield spread between 30 - year and 10 - year bonds is at a high level. As premium income grows, insurance companies will have a certain capacity to absorb ultra - long - term bonds, but they may be more cautious in the allocation rhythm [44]. 3.3 How Will the Market Evolve under the Dominance of the Allocation Desk? - In previous trading desk position - reduction periods, significant declines in the positions of broad - based funds generally corresponded to obvious interest - rate adjustments, which usually led to bank position increases. The recovery rhythm after trading desk position reduction is determined by the trading desk's re - entry pace, and the specific recovery situation depends on factors such as the capital market, fundamentals, and the degree of "asset shortage" [50][55]. - The current trading desk position reduction (from June 2025 to January 2026) is special: there is differentiation among bond types, with long - term interest rates oscillating and credit spreads at a historical low; there is also differentiation among institutions, with the liability side of public funds being greatly affected and that of bank wealth management products being relatively stable; this adjustment is less affected by the capital market and fundamentals, so historical experience cannot be blindly followed [60]. - Currently, long - term bonds are in a narrow - range oscillation. The liability side of funds is recovering slowly, and securities firms lack the space and positions for band trading. In the future, attention should be paid to the sustainability of allocation demand (the deposit - loan gap is the core to maintain banks' bond allocation demand) and the recovery rhythm of the trading desk's liability side. If the trading desk increases its positions, it may drive long - term bonds to break through downward, and the yields of medium - and short - term credit bonds are expected to decline rapidly, while the recovery of long - term and ultra - long - term credit bonds still awaits the recovery of market sentiment [62].