证 券 研 究 报 告 【债券周报】 商品交易再通胀，债市怎么走？ ——债券周报 20260111 债券研究 ❖ 一、债券市场经历"开门黑" 原因一：权益与商品行情强势压制债市。12 月 PMI 逆季节性回升，叠加"两 新"政策、房地产交易增值税等政策集中落地，开年宏观预期得以提振。上证 指数站稳 4000 点，万得全 A 累计上涨 5.1%。与此同时，2026 年财政继续发 力、投资回稳的预期仍在，再通胀交易在跨年前后有所升温。南华工业品指数 环比+2.5%，其中金属品种偏强。 原因二：年初国债发行规模较大，供给担忧升温。财政部公布 10 年以及 2 年 国债单只规模超 1700 亿，明显高于去年同期，引发市场供给担忧发酵。随后 1 年规模小幅下行至 1350 亿，当前国债发行符合 4%赤字率下的中性发行速 度，后续或有提速空间。1 月首周地方债招标不佳，但地方债与国债发行加点 已突破 20bp，后续关注货币财政配合控制发债成本的相关政策态度及操作。 原因三：基金冲量资金回流，赎回有所增加，对现券持续净卖出。出于内部考 核、外部竞争排名压力等诉求，年末基金存在规模冲量的现象，节后基金冲量 资金回流，信用债 ...

新华财经上海1月8日电（记者杨溢仁）步入2026年一季度，宏观经济弱复苏态势延续，货币政策宽松基 调未改，叠加机构行为变化与政策落地影响，信用债市场正迎来兼具机遇与挑战的投资窗口。 业内专家普遍认为，一季度的债市环境对信用债投资较为有利，但需聚焦结构性机会，同时警惕流动性 与监管变化等潜在风险。 宽松托底基本面供需格局料改善 在大部分业内人士看来，一季度信用债投资的核心支撑逻辑源于宽松的流动性环境与温和的基本面修复 节奏。 来自申万宏源的研究观点指出，一季度基本面修复节奏温和，资金面易松难紧，债券利率有望启动下行 行情，或现年内低点，这一环境对信用债投资仍然有利。 就流动性供给来看，跨年结束后机构负债压力边际减轻，且央行大概率会延续呵护资金面的态度，为信 用债市场提供稳定的资金支撑。 "2026年初，央行对流动性管理的态度预计较2025年初更为宽松，资金利率贴近利率走廊下沿运行的概 率较大，这将显著提升信用债套息策略的安全边际。"一位机构交易员向记者表示，"不仅如此，信用债 供需格局的阶段性缓和也将进一步优化投资环境。" 回顾历史，根据华西证券测算，2021年至2025年1月（除2023年受理财赎回影响外）信 ...

证 券 研 究 报 告 久期的博弈机会vs票息的稳健价值 ——2026年一季度债券投资策略展望 证券分析师： 黄伟平 A0230524110002 栾强 A0230524110003 王哲一 A0230525100003 研究支持：杨琳琳 A0230124120001 2026.1.6 主要内容 ✓ 缓解长债供需失衡的可能路径： www.swsresearch.com 证券研究报告 2 风险提示：宏观调控力度超预期、金融监管超预期、市场风险偏好超预期、海外环境变化超预期 ◼ 一、2025年：长端利率债一直受赔率偏低的制约。2025年：债券资产"低夏普"，权益资产"高夏普"。 ◼ 二、影响债市走势的主要矛盾：债券的供需失衡>政策预期差（特别是货币政策）>物价回升的中期预期。 ✓ 长久期债券供需结构生变，基金和保险对超长期限国债净买入量回落： • 第一层供需矛盾：长久期债券供需结构生变，超长债供给抬升，但基金和保险对超长期国债需求减弱。 • 第二层供需矛盾：政府债供给期限偏长、货币流动性供给期限偏短导致的期限结构错配。 • 央行降准：银行承接长债能力抬升，但受存款准备金约束，5%的经验下限或与国际经验有关。 • ...

思考 5》 2025/08/18 《债市"走楼梯"行情下的困境与 破局——近期市场反馈及思考 4》 2025/07/13 《关税预期反复下的核心矛盾梳理 与策略应对——近期市场反馈及思 考 3》 2025/05/28 《"低利率、低利差、高波动"环境 下的应对——近期市场反馈及思 考》 2025/03/28 《纠结、分歧与多空之辩——近期 市场反馈及思考》 2025/02/19 2025 年 12 月 22 日 对近期债市高波动的几个思考 相关研究 《论债市定价权的转移——近期市 场反馈及思考 8 》 2025/12/15 《"年末抢跑+双降"预期及债市 有效策略的探讨——近期市场反馈 及思考 7》 2025/11/04 《如何寻找债券市场的合理定价— —近期市场反馈及思考 6》 2025/10/10 《"资金分流+反内卷"下的债市 主导逻辑变迁——近期市场反馈及 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com 王哲一 A0230525100003 wangzy@swsre ...

2025 年 12 月 18 日 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 奕强 A0230524110003 luangiang@swsresearch.com 王哲一 A0230525100003 wangzy@swsresearch.com 联系人 王哲一 A0230525100003 wangzy@swsresearch.com | 1．前世：2022 年之前 30Y 国债关注度不高 5 | | --- | | 2. 今生: 2022 年-2024 年, 30Y 国债定价权向交易盘转移 | | …… | | 2.1 定价"物价持续偏低" 叙事+缺少技术变革… 2.2 流动性改善是催化剂， "资产荒" 是主驱动 … | | 3.今生: 当下 30Y 国债面临"资产荒"缓解与供需结构错配 | | …… | | 3.1 "资产荒"缓解的镜像：我国 AI 技术突破叠加反内卷，经济预期扭 | | 转 …………………………………………………………………………………………………………………………………………………………………………………………………… ...

Group 1 - The core viewpoint suggests seizing the certainty of short to medium-term credit bond arbitrage value and focusing on the rebound in valuation cost-effectiveness of component bonds [1] - In a volatile adjustment market with loose liquidity, the coupon strategy may be relatively superior, and it is recommended to pay attention to credit bond participation opportunities around 3 years [1] - The adjustment of component bonds has been significant, influenced by some banks' proprietary redemption of credit bond ETFs, leading to a convergence of premiums with non-component bonds [1] Group 2 - As of December 12, 2025, the company bond ETF (511030) has risen by 0.02%, achieving four consecutive increases, with the latest price at 106.61 yuan, and a year-to-date increase of 1.44% [4] - The trading volume of the company bond ETF was active, with an intraday turnover of 11.31% and a transaction value of 3.065 billion yuan, while the average daily transaction over the past week was 2.574 billion yuan [4] - The latest scale of the company bond ETF reached 27.093 billion yuan, marking a new high in nearly a year, with the latest share count at 254 million, also a new high in the past six months [4] Group 3 - The company bond ETF closely tracks the China Bond - Medium to High Grade Corporate Bond Spread Factor Index, which serves as a performance benchmark for investing in medium to high-grade corporate bonds [5] - The index is based on AAA-rated corporate bonds and is adjusted quarterly, providing a multi-dimensional reflection of the RMB bond market trends [5]

Core Viewpoint - The bond market showed slight weakness on November 13, with government bond futures declining across the board, while interbank bond yields rose by approximately 0.5 basis points. The central bank's latest monetary policy report emphasizes stable growth and removes the "preventing capital outflow" statement, maintaining a favorable outlook for the bond market [1][8]. Market Performance - Government bond futures closed lower, with the 30-year main contract down 0.26% at 116.13, the 10-year main contract down 0.1% at 108.41, the 5-year main contract down 0.08% at 105.885, and the 2-year main contract down 0.01% at 102.462 [2]. - Interbank bond yields generally increased slightly, with the 30-year "25 Super Long Special Government Bond 06" yield rising by 0.5 basis points to 2.15%, and the 10-year "25 National Development Bank 15" yield up by 0.35 basis points to 1.876% [2]. International Market Trends - In North America, U.S. Treasury yields varied, with the 2-year yield up 1.67 basis points to 3.568%, and the 30-year yield down 0.29 basis points to 4.665% [3]. - In Asia, Japanese bond yields mostly rose, with the 10-year yield increasing by 1.2 basis points to 1.697% [4]. - In the Eurozone, yields on 10-year bonds generally fell, with the French yield down 4.7 basis points to 3.375% and the German yield down 1.5 basis points to 2.642% [4]. Funding Conditions - The central bank conducted a 1900 billion yuan 7-day reverse repurchase operation at a rate of 1.40%, resulting in a net injection of 972 billion yuan for the day [7]. - Short-term Shibor rates mostly declined, with the overnight rate down 10.0 basis points to 1.315% [7]. Institutional Insights - Huatai Fixed Income noted that recent regulatory measures by the central bank could help open up space for easing and improve the transmission of interest rates from short to long [8]. - CITIC Securities suggested that in the current environment of fluctuating long-term rates, investors should focus on coupon strategies and maintain a flexible approach to enhance returns [9].

Core Insights - The article emphasizes the importance of avoiding certain behaviors and mindsets that lead to financial and personal dissatisfaction, rather than providing direct advice on how to achieve happiness or financial success. Group 1: Financial Missteps - Focusing on a higher socioeconomic group as a source of happiness can lead to dissatisfaction, as the current group was once the target of aspirations [2] - Sacrificing independence for status can result in a lack of personal freedom, which is essential for true happiness [3] - Making money and spending money the core of one's identity detracts from building a fulfilling life [4] - Relying heavily on others for financial stability can lead to vulnerability and dissatisfaction [5] - Believing that more money will solve all problems can create unrealistic expectations and lead to disappointment [5] - Viewing money solely as a source of greed and evil ignores its potential as a tool for independence and comfort [6] - Extreme saving without enjoying life can turn financial management into a hobby rather than a means to improve life [7] Group 2: Psychological Traps - Attributing all personal success to effort while blaming failures on bad luck creates a distorted self-perception [8] - Comparing oneself to others can lead to envy and dissatisfaction, as external appearances do not reflect true happiness [9] - Ignoring the social and emotional costs of spending can lead to poor financial decisions [10] - Being unaware of regret tendencies can result in a life filled with missed opportunities [11] - Equating net worth with self-worth can lead to a misguided understanding of success [12] - Treating financial decisions as purely mathematical ignores emotional and experiential needs [13] - Following the lifestyle expectations of the most successful people can create a perpetual sense of inadequacy [14] - Overly optimistic expectations can lead to dissatisfaction when reality does not meet those expectations [15] - Risking essential needs for unnecessary wants can lead to significant personal loss [16] Group 3: Strategies for Improvement - Experimenting with various spending methods within budget can help identify what truly adds value [11] - Being influenced by advertising can lead to dissatisfaction with one's life [12] - Learning to quickly reject unsuitable options is more important than knowing what to buy [13] - Acknowledging what does not work for oneself is a sign of making progress in financial decisions [14] - Long-term wealth accumulation is more about small, consistent decisions rather than major ones [15]

Overall Performance - The average seven-day annualized yield of RMB public cash management products is 1.447% as of September 4, 2025, while USD cash products have an average yield of 3.942% [5] - There are a total of 4,922 RMB public cash management products, with only 55 products (1.1%) yielding over 2% in the past six months [5] - 1,561 products (31.7%) fall within the yield range of 1.5% to 2%, while three products yield below 1% [5] Highlighted Product Analysis - The top three products in terms of average seven-day annualized yield over the past six months are "Qiyuan Cash No. 5 J" and "Qiyuan Currency No. 2 (ESG Theme) F" from Su Yin Wealth Management, and "Cash Management Product No. 83 D" from Huaxia Wealth Management, with yields of 2.897% and 2.809% respectively [6] - "Qiyuan Currency No. 2 (ESG Theme)" focuses on low-risk assets such as bank deposits and repos, utilizing moderate leverage and a tiered strategy to maintain static returns amid declining market interest rates [6] - Huaxia Wealth Management's "Cash Management Product No. 83 D" capitalizes on high bond yields and employs leverage strategies while maintaining liquidity through cash and easily convertible assets [6]

Core Insights - The recent inclusion of credit bond ETFs in the pledged repo trading has significantly boosted trading activity, with two benchmark market-making credit bond ETFs exceeding transaction volumes of 10 billion yuan on June 11 [1][2] - The rapid influx of capital has led to four credit bond ETFs, established for less than six months, joining the "100 billion club" [1][2] Trading Activity - On June 11, the Southern CSI Benchmark Market-Making Corporate Bond ETF recorded a transaction volume exceeding 15.5 billion yuan, marking an increase of over 7 billion yuan from the previous trading day and setting a new single-day transaction record [2] - Other ETFs, such as the E Fund CSI Benchmark Market-Making Corporate Bond ETF, also saw significant trading volumes, with over 9 billion yuan, while several others surpassed 6 billion yuan [2] Fund Inflows - In the past month, four major credit bond ETFs have seen net inflows exceeding 5 billion yuan, with the E Fund and Southern ETFs leading the way [3] - The inclusion of credit bond ETFs in the pledged repo has enhanced liquidity and provided a tool for liquidity management, allowing investors to use these ETFs for financing during tight liquidity periods [3] Investment Strategies - The inclusion of credit bond ETFs in pledged repo trading is viewed as a key measure to address developmental shortcomings, significantly enhancing their investment appeal [4] - Investors can utilize a "buy ETF - pledge financing - reinvest" leverage strategy to increase returns, improving overall capital efficiency for institutional investors [4] - Various investment strategies, including pure bond strategies, multi-asset strategies, and structured investment strategies, can benefit from leveraging credit bond ETFs [4]