来源：郁言债市 摘 要 ►高波开局，利空情绪释放 新年第一周，债市经历了大幅的止盈或止损行情，这一现象在年初时点，并不常见。异动背后，或多是情绪作祟，机构卖债的实际诉求可能并非负债端出 现了超预期波动，亦或是其他的短期用款需求。而是在2025年多轮调整行情的疤痕效应下，债市投资者对于眼前的各种不确定性或更加敏感，普遍倾向于 提前卸掉久期风险，年初轻装上阵。波动始于情绪，也容易终于情绪，因而8-9日的债市初步修复，其实也并没有强利多逻辑作为支撑。 观察机构久期变化，以代表性较强的利率债基久期中枢为参考，1月以来稳定版本（40日滚动窗口）的久期中枢测算结果，从3.58年渐进回落至3.37年，位 于2025年以来4.8%的较低分位数，且与低点3.31年相差无几。灵敏版本（15日滚动窗口）的久期中枢测算结果为3.46年，同处于2025年以来的地分位数 14.1%。两组数据均可反映，债市2026年开局，便已经处于低风险状态，机构的担忧情绪已完成宣泄。 ►1月中下旬，关注三条主线 对于1月中下旬的行情，市场可能会围绕三个主线逻辑继续交易，一是基本面变化、二是政府债的供给量及结构、三是资金的稳定性。除此以外，定期存 款的到 ...

证券研究报告|宏观研究报告 [Table_Date] 2026 年 1 月 11 日 [Table_Title] 逢高配置 [Table_Summary] ► 高波开局，利空情绪释放 新年第一周，债市经历了大幅的止盈或止损行情，这一现象在年初时 点，并不常见。异动背后，或多是情绪作祟，机构卖债的实际诉求可能并 非负债端出现了超预期波动，亦或是其他的短期用款需求。而是在 2025 年多轮调整行情的疤痕效应下，债市投资者对于眼前的各种不确定性或更 加敏感，普遍倾向于提前卸掉久期风险，年初轻装上阵。波动始于情绪， 也容易终于情绪，因而 8-9 日的债市初步修复，其实也并没有强利多逻辑 作为支撑。 观察机构久期变化，以代表性较强的利率债基久期中枢为参考，1 月 以来稳定版本（40 日滚动窗口）的久期中枢测算结果，从 3.58 年渐进回 落至 3.37 年，位于 2025 年以来 4.8%的较低分位数，且与低点 3.31 年相 差无几。灵敏版本（15 日滚动窗口）的久期中枢测算结果为 3.46 年，同 处于 2025年以来的地分位数 14.1%。两组数据均可反映，债市2026年开 局，便已经处于低风险状态，机构的担忧情 ...

Group 1 - The central bank announced a fixed-rate reverse repurchase operation of 482.3 billion yuan for a 7-day term on December 29, with an operation rate of 1.4% [1] - The total bidding amount was 482.3 billion yuan, with the same amount being awarded, resulting in a net injection of 415 billion yuan after accounting for 67.3 billion yuan of reverse repos maturing on the same day [1] - According to Galaxy Securities, the overall decline in bond market yields last week was mainly influenced by a balanced and loose funding environment and expectations of interest rate cuts [1] Group 2 - The 10-year government bond yield decreased, with the central bank maintaining liquidity through reverse repos [1] - Production indicators have rebounded, but demand has declined, leading to rising inflation and prices [1] - It is expected that the year-end funding environment will remain balanced, with a focus on institutional behavior and changes in the ultra-long bond spread [1] Group 3 - Short-term favorable conditions in the bond market are still present, with a recommendation to seize allocation opportunities at the key level of 1.85% [1] Group 4 - Related products include the benchmark government bond ETF (511100) with a latest scale of 11.231 billion yuan, the credit bond ETF fund (511200) with a scale of 17.654 billion yuan, and the Sci-Tech bond ETF (551550) with a scale of 15.14 billion yuan [2]

（文章来源：每日经济新闻） 每经AI快讯，12月6日，中信证券研报指出，近期债市窄幅波动，银行二永债舆情事件频发。市场担忧 机构投资者调整流动性管理工具，赎回短债产品，引发债市交易性品种卖盘增加，估值大幅调整。研报 认为不必过度担忧公募基金新规对于二永债的影响：2024年以来理财净值化整改之下，低波动与高收益 存在冲突， 2026年理财机构或增加二永债、证金债等交易性品种的配置需求以增厚收益；另一方面， 银行净息差日益收窄背景下，农商行或增大信用债的配置规模，对于二永债实际配置需求或相应增加。 央行重启买债后，年末抢跑行情有望助推中长久期信用债走牛，3-5Y国股行二永债具备交易性价比， 可双线并行，建议关注银行二永债配置性价比。 ...

Report Summary 1. Report Industry Investment Rating The report is bullish on the bond market, suggesting that the current bond market has prominent allocation value and recommends investing in 10Y China Development Bank bonds, 30Y Treasury bonds, and 5Y capital bonds. [2] 2. Core View of the Report Based on the Q3 2025 quarterly reports of bond funds, the report analyzes the changes in interest rate bond funds, including scale, asset allocation, and investment strategies. It points out that due to factors such as the significant rise in the stock market and regulatory rule impacts in Q3, the bond market deviated from the capital and economic fundamentals, leading to a decline in the quarterly returns of interest rate bond funds. Currently, the bond market has high allocation value, and the bond yields are expected to decline in a volatile manner. [2] 3. Summary by Related Content Changes in Interest Rate Bond Funds in Q3 2025 - **Scale and Asset Allocation**: As of Q3 2025, the total asset value of interest rate bond funds was 3.1 trillion yuan, a decrease of 0.44 trillion yuan from Q2 2025. The bond allocation ratio decreased, while the cash ratio increased slightly. [2] - **Heavy - Positioned Bonds**: Actively managed interest rate bond funds slightly increased their allocation to Treasury bonds and reduced their allocation to policy - financial bonds. Overall, they reduced their allocation to long - duration bonds, but actively managed funds significantly increased their allocation to Treasury bonds with a maturity of 1 year or less and continued to increase their allocation to 30 - year Treasury bonds. [2] - **Yield**: The average annualized yield of interest rate bond funds decreased from 3.96% in Q2 2025 to - 1.84% in Q3 2025. Credit bond funds had relatively stronger defensive capabilities. [2] Investment Strategy Changes in Q3 2025 In Q3, the bond market deviated from the capital and economic fundamentals. Due to the significant extension of the duration in Q2, the bond market adjustment in Q3 led to a sharp decline in the quarterly returns of interest rate bond funds. As a result, the duration was shortened, and the scale returned to the level of Q3 2024. [2] Investment Recommendations - **Market Outlook**: The bond market has prominent allocation value, and the bond yields are expected to decline in a volatile manner. The policy interest rate in Q4 may be cut by 10 - 20BP. [2] - **Investment Choices**: The top choices for bond market investment are 10Y China Development Bank bonds, 30Y Treasury bonds, and 5Y capital bonds. It is predicted that the yield of 10Y Treasury bonds will return to around 1.65%, the yield of 30Y Treasury bonds will reach 1.9%, and the yield of 5Y large - bank secondary capital bonds will reach 1.9%. [2]

Core Insights - In the first three quarters of 2025, 73 enterprises in Henan province issued bonds in the interbank market, raising a total of 144.2 billion yuan, with 4 companies making their debut in bond issuance [1] - The balance of corporate debt financing tools in Henan reached 448.87 billion yuan by the end of September, reflecting a year-on-year growth of 8.6% [1] - The issuance of technology innovation bonds in Henan exceeded 13.72 billion yuan, with 9 companies participating [6] - The issuance of savings bonds in Henan reached 7.443 billion yuan, marking a year-on-year increase of 6.01% [8][9] Debt Market Dynamics - The total issuance of perpetual bonds and subordinated debt by commercial banks in 2025 has surpassed 1.26 trillion yuan [3] - The People's Bank of China conducted a 138.2 billion yuan reverse repurchase operation, resulting in a net injection of 94.7 billion yuan into the market [5] - The issuance of special refinancing bonds in Liaoning province is set at 5.546 billion yuan, aimed at repaying existing debts [11] Regional Highlights - The Zhengzhou High-tech Zone is seeking to support technology enterprises in issuing bonds for direct financing, offering subsidies for rating certification [12] - Yunnan province is promoting the issuance of bonds by private enterprises and encouraging local banks to invest in these bonds [14] Recent Issuance Activities - Anyang Steel Group successfully issued 500 million yuan in technology innovation bonds with an interest rate of 2.9% [18] - Luoyang Urban Development Group completed the issuance of 500 million yuan in renewable corporate bonds at a rate of 2.65% [17] - Kaifeng Development Investment Group issued 1 billion yuan in corporate bonds with a 3.15% interest rate [18] Market Sentiment - The Huayuan Fixed Income team expressed a bullish outlook on the bond market, predicting a downward trend in bond yields [25] - Xinda Fixed Income research indicated that while trade negotiations present uncertainties, liquidity remains assured, suggesting limited upward risk for the bond market [26]

Report Information - Report Date: October 20, 2025 [1] - Analyst: Zhang Hesheng [1] - Tel: 021 - 53686158 [1] - E - mail: zhanghesheng@shzq.com [1] - SAC Number: S0870523100004 [1] - Report Title: Sino - US Economic and Trade Relations Ease, Important Meetings Provide Support — Fixed Income & Macroeconomic Weekly Report (20251013 - 20251019) [3] Market Performance Summary Stock Market - US stock market: The Nasdaq, S&P 500, and Dow Jones Industrial Average increased by 2.14%, 1.70%, and 1.56% respectively, while the Nasdaq China Technology Index decreased by 7.27% from October 13 - 19, 2025 [3]. - Hong Kong stock market: The Hang Seng Index decreased by 3.97% from October 13 - 19, 2025 [3]. - A - share market: The wind All - A Index decreased by 3.45%. Among different indices, the CSI A100, CSI 300, CSI 500, CSI 1000, CSI 2000, and wind Micro - cap stocks changed by - 2.44%, - 2.22%, - 5.17%, - 4.62%, - 4.15%, and - 1.61% respectively. From a sector style perspective, both blue - chip and growth stocks in the Shanghai and Shenzhen markets declined, and the Beijing Stock Exchange 50 Index decreased by 4.91%. Among 30 CITIC industries, 4 rose and 26 fell, with banks and coal leading the gainers with over 4.0% increase. Gold, bank, and coal ETFs also performed well with weekly gains over 4% [4]. Bond Market - Chinese bond market: The 10 - year Treasury futures contract increased by 0.29% compared to October 10, 2025. The yield of the 10 - year active Treasury bond increased by 0.40 BP to 1.8246% compared to October 11, 2025. Yields of different - term bonds had mixed changes. The bond market leverage level increased, with the 5 - day average of inter - bank pledged repo volume rising from 5.61 trillion yuan on October 11 to 8.04 trillion yuan on October 17, 2025 [5][6][7]. - US bond market: US Treasury yields decreased. As of October 17, 2025, the 10 - year US Treasury yield decreased by 3 BP to 4.02% compared to October 10, 2025. Yields of all terms decreased, and the yield curve shifted downward [8]. Currency and Commodity Market - Currency market: The US dollar index decreased by 0.27%. The US dollar depreciated against the euro, pound, and yen, with changes of - 0.29%, - 0.55%, and - 0.39% respectively. The US dollar had mixed performance against the offshore and onshore RMB, with the exchange rate against the offshore RMB decreasing by 0.29% to 7.1269 and against the onshore RMB increasing by 0.05% to 7.1265 [9]. - Commodity market: Gold prices increased. The London gold spot price rose by 6.30% to $4224.75 per ounce, and the COMEX gold futures price rose by 6.24% to $4234.90 per ounce. In the domestic market, the Shanghai gold spot price rose by 11.09% to 997.17 yuan per gram, and the futures price rose by 10.91% to 998.20 yuan per gram [9]. Market Outlook and Recommendations - The new round of Sino - US economic and trade consultations is expected to ease Sino - US economic and trade relations and boost investors' risk appetite [10]. - With the easing of Sino - US economic and trade relations and the convening of the Fourth Plenary Session of the 20th Central Committee, investors' risk appetite is expected to recover, A - shares are expected to stabilize, and structural opportunities in sectors such as gold, rare earths, AI, computing power, energy storage, solid - state batteries, and innovative drugs are worth exploring [11]. - The short - term volatility of gold may increase, but the long - term upward trend remains unchanged [12]. - The bond market has investment value as the current absolute yield is at a recent high, such as the 10 - year Treasury yield above 1.80% [13].

Core Viewpoint - The bond market is experiencing significant adjustments, with institutions rebalancing their stock and bond allocations due to declining economic indicators and rising uncertainties in exports and consumer spending [1] Group 1: Market Performance - The 30-year yield has reached its highest point of the year, influenced by a 10 basis point reduction in policy rates in May, leading to a new high for 10-year government bonds [1] - As of September 10, 2025, the China Bond ETF for 5-10 year bonds has seen a decline of 0.17%, with a latest quote of 116.54 yuan, while it has accumulated a 2.85% increase over the past year [1] Group 2: Liquidity and Trading Activity - The 5-10 year government bond ETF recorded a turnover of 63.76% during the trading session, with a transaction volume of 959 million yuan, indicating active market trading [2] - The average daily transaction volume for the 5-10 year government bond ETF over the past week was 1.224 billion yuan [2] Group 3: Fund Size and Inflows - The latest size of the 5-10 year government bond ETF stands at 1.501 billion yuan, with inflows and outflows remaining balanced [3] - Over the past five trading days, the ETF has attracted a total of 31.6348 million yuan [3] Group 4: Performance Metrics - As of September 10, 2025, the 5-10 year government bond ETF has achieved a net value increase of 20.79% over the past five years [3] - The ETF's maximum monthly return since inception was 2.58%, with a longest consecutive monthly gain of 10 months and a total gain of 5.81% [3] - The historical probability of profit over three years is 100%, with a monthly profit probability of 70.89% [3] Group 5: Drawdown and Fees - The maximum drawdown for the 5-10 year government bond ETF in the past six months was 1.09%, with a relative benchmark drawdown of 0.52% [4] - The management fee for the ETF is 0.15%, and the custody fee is 0.05% [5] Group 6: Tracking Accuracy - As of September 10, 2025, the tracking error for the 5-10 year government bond ETF over the past month was 0.035% [6] - The ETF closely tracks the China Bond Index for 5-10 year government bonds, which is calculated using non-market capitalization weighting to reflect the overall performance of active bonds in this maturity range [6]

Report Industry Investment Rating - No relevant content provided Core Viewpoints of the Report - After continuous decline in August, the current yield of the ten - year treasury bond once approached 1.85%, more than 45BP higher than the reverse repurchase policy rate. With long - term capital and economic fundamentals both favorable to the bond market, the allocation power of the bond market is gradually increasing, and the bond market adjustment is basically in place. However, the expectation of anti - involution promotes the continuous strengthening of the equity market, which is negative for long - term bonds. Short - term bonds are relatively stable under the expectation of worry - free capital, and the yield curve is expected to become steeper [6] Summary According to the Table of Contents 1. Bond Market Performance: Risk Appetite Rebounds, Treasury Bonds Decline Significantly - **Yield and Price Changes**: In August, the capital market remained loose, and there was no significant marginal change in the economic fundamentals. However, with the rebound of risk appetite, equity assets rose significantly, suppressing bond market sentiment. Long - term bond yields increased significantly, and the treasury bond yield curve steepened. As of August 29, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.40%, 1.63%, 1.84%, and 2.14% respectively, with changes of - 1.53BP, 6.12BP, 13.35BP, and 19.25BP compared to July 31. The closing prices of TS, TF, T, and TL main contracts were 102.418 yuan, 105.515 yuan, 107.81 yuan, and 116.55 yuan respectively, with changes of 0.06%, - 0.20%, - 0.62%, and - 2.16% compared to July 31 [5][8] - **Trading Volume and Open Interest**: On August 29, the trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year bonds were 35,583, 61,424, 81,725, and 153,398 hands respectively, with changes of - 219, - 2479, - 37, and 473 hands compared to July 31. The open interests were 76,824, 136,875, 199,086, and 140,380 hands respectively, with changes of - 33,460, - 55,118, - 32,215, and - 17,436 hands compared to July 31 [13] - **Net Basis Spread**: The net basis spreads of TS, TF, T, and TL main contracts showed narrow - range fluctuations [14] - **Inter - period Spread**: The inter - period spreads of short - term and long - term treasury bonds rebounded from low levels [16][19] 2. Policy Dynamics: Central Bank's Flexible Injection, Capital Interest Rates First Rise Then Fall - **Reverse Repurchase Operations**: From August 1 to 29, the central bank's reverse repurchase injection was 631.46 billion yuan, and the reverse repurchase maturity was 636.8 billion yuan, with a net withdrawal of 5.34 billion yuan. As of August 29, the reverse repurchase balance was 227.31 billion yuan [23] - **Buy - out Reverse Repurchase**: In August, the central bank carried out 50 billion yuan of 6 - month buy - out reverse repurchase operations and 70 billion yuan of 3 - month buy - out reverse repurchase operations. After deducting the maturity amount, the net injection of buy - out reverse repurchase in August was 30 billion yuan [24] - **MLF Operations**: In August, the central bank carried out 60 billion yuan of medium - term lending facility (MLF) operations, with a net injection of 30 billion yuan, marking six consecutive months of "increased roll - over". Together with the 30 billion yuan of buy - out reverse repurchase, the total net injection of medium - term liquidity in August reached 60 billion yuan, the highest monthly level since February this year [27] - **LPR and PSL**: In August, the loan prime rate (LPR) remained unchanged, with the 1 - year LPR at 3.00% and the 5 - year LPR at 3.50%. In July, the net withdrawal of the pledged supplementary lending (PSL) was 23 billion yuan, and the balance was 126.39 billion yuan [28] 3. Bond Supply and Demand: Government Bond Issuance Accelerates - **Government Bond Issuance**: In August, the government bond issuance was 232.94 billion yuan, with a maturity of 100.03 billion yuan and a net issuance of 132.91 billion yuan. Among them, the net issuance of treasury bonds was 84.9 billion yuan, and the net issuance of local bonds was 48.01 billion yuan. As of August, the cumulative net issuance of treasury bonds was 467.11 billion yuan, with an issuance progress of 70.14%; the cumulative net issuance of local bonds was 570.58 billion yuan, with an issuance progress of 79.25% [42] - **Special Bond Issuance**: In August, the issuance of new special bonds slowed down [43] - **Bond Issuance Multiple**: In July, the overall multiple of local bond issuance increased month - on - month [45] - **Cash Bond Trends**: The yield of treasury bonds decreased slightly, the yield of US treasury bonds fluctuated sideways, and the credit spread of credit bonds was slightly compressed [46][49][50] 4. Strategy Views: Long - term Bonds Bearish, Short - term Bonds Stable - Given the long - term capital and economic fundamentals favorable to the bond market, the adjustment of the bond market is basically in place. However, the strengthening of the equity market is negative for long - term bonds, while short - term bonds are relatively stable, and the yield curve is expected to become steeper [6]

Core Viewpoint - The report from Guosheng Securities suggests that the adjustment space for the bond market is limited, indicating potential investment opportunities as stock market valuations rise [1] Bond Market Analysis - The bond market's performance is increasingly correlated with broader fixed income markets, including loans and non-standard financial products, rather than solely with the stock market [1] - The downward trend in broad interest rates, including loan rates, remains unchanged despite a decline in real returns from the real economy [1] - The excessive rise in interest rates at the beginning of the year is gradually being digested over time, as reflected in the shape of the yield curve and the year-on-year decline in interest rates [1] Interest Rate Projections - Guosheng Securities projects that the upper limits for 10-year and 30-year government bonds will remain around 1.75-1.8% and 2.05-2.1%, respectively [1] Market Indicators - The stock market's performance and non-bank positions are considered key indicators for assessing short-term adjustment pressures [1] - A potential signal for increasing allocations may arise if the stock market ceases to rise unilaterally or if fund positions drop to low levels, indicating that bearish forces may have exhausted [1]