1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the bond market showed significant structural differentiation, influenced by macro - economic data and central bank liquidity operations. The "broad money" expectation may become the short - term trading focus, and the "stabilizer" effect of banks continues to work, with bonds within 10 years likely to be more stable. Liquidity abundance is expected to support the bond market to stabilize [2]. - In the context of the macro - economy still in the recovery stage and the need to boost the upward slope of prices, the central bank needs to maintain sufficient liquidity to support the real economy effectively [2]. 3. Summary According to the Table of Contents 3.1 Important Matters - In 2025, China's GDP grew by 5.0% in real terms, with the fourth - quarter real GDP growing by 4.5% and the nominal GDP growing by 3.85%, and the gap between nominal and real GDP growth rates narrowed [5]. - In January 2026, the central bank's MLF net injection was 70 billion yuan, and the medium - and long - term base money net injection in January reached 1 trillion yuan [2][8]. - Six major banks announced the optimization of personal consumption loan fiscal subsidy policies, including extending the implementation period, expanding the scope of support, and increasing subsidy standards [12][13]. - The central bank governor said that in 2026, the central bank will continue to implement a moderately loose monetary policy, and there is still room for reserve requirement ratio cuts and interest rate cuts [14]. 3.2 Money Market 3.2.1 Open Market Operations and Funds Rate Trends - From January 19 to 23, 2026, the central bank's 7 - day reverse repurchase operation had a net injection of 22.95 billion yuan. It is expected that 138.1 billion yuan of base money will be withdrawn from circulation from January 26 to 30 [16]. - Towards the end of January, the money market tightened marginally, and DR001 briefly exceeded the 1.3% - 1.4% operating range. As of January 23, R001, R007, DR001, and DR007 changed by 9.20BP, 2.23BP, 7.84BP, and 5.05BP respectively compared with January 16 [18]. 3.2.2 Certificate of Deposit (CD) Rate Trends and Repurchase Transaction Volume - In the primary market, last week, the CD issuance scale was 589.49 billion yuan, with a net financing of - 116.9 billion yuan. The CD issuance scale of city commercial banks was the largest, with a net financing of 72.72 billion yuan. The CD issuance interest rates of most institutions decreased compared with the previous week [24][28][30]. - In the secondary market, last week, CD interest rates generally declined under the background of loose liquidity. The 1Y - 3M spread of AAA - rated CDs was at the 47.07% quantile level [34]. 3.3 Bond Market 3.3.1 Primary Market - In early 2026, the issuance rhythm of national bonds accelerated compared with the same period in 2025, and the net financing scale of national bonds over 10 years was also higher than that from 2023 - 2025. The supply rhythm of central finance accelerated, mainly due to the issuance of discount national bonds and coupon - bearing national bonds in 2026 and the re - issuance of some coupon - bearing national bonds in 2025 [36]. - Last week, the supply scale of interest - rate bonds increased significantly. The net financing of national bonds, local bonds, and policy - bank bonds was 344.3 billion yuan, 222.37 billion yuan, and 187.5 billion yuan respectively. As of January 23, the issuance scale of special refinancing bonds in 2026 reached 250 billion yuan, mainly in long - term and ultra - long - term bonds [43][45]. 3.3.2 Secondary Market - Large - scale banks continued to prefer national bonds within 10 years, which supported medium - and short - term interest rates. The central bank's continuous large - scale MLF injection maintained abundant liquidity, and the term spread was compressed. The yields of national bonds and policy - bank bonds of various maturities changed to different degrees, and the implied tax rate of 10 - year policy - bank bonds decreased slightly [48]. - The average daily turnover rates of the 10 - year national bond active bond (250016) and the 10 - year policy - bank bond active bond (250215) decreased. The average spread between the 10 - year national bond active bond (250016) and the secondary - active bond (250022) increased by 0.03BP, indicating that the liquidity premium is tilting towards 250022 [50][52]. - The 10 - 1 - year and 30 - 1 - year national bond term spreads narrowed, and the long - term and ultra - long - term local - national bond spreads also narrowed [56][57]. 3.4 Institutional Behavior Tracking - In December 2025, the institutional leverage ratio increased seasonally. Banks and other institutions increased their leverage, while securities firms reduced their leverage. The 20 - day moving average of the single - day trading volume of inter - bank pledged repurchase was 7.87 trillion yuan last week, showing a "first rising, then falling" trend [63][65]. - In the cash - bond market, large - scale banks still preferred to increase their holdings of 5 - 10 - year national bonds, but the net purchase scale decreased significantly. Small - and medium - sized banks continued to reduce their holdings of 5 - 10 - year national bonds and policy - bank bonds. Insurance companies significantly increased their holdings of national bonds and local bonds over 10 years, and funds increased their holdings of 5 - 10 - year policy - bank bonds and national bonds over 10 years [63][72]. - The replenishment willingness of small - and medium - sized banks, securities firms, funds, and other institutions was relatively weak last week. The current replenishment costs of major trading desks vary significantly [75]. - Considering capital occupation and tax costs, commercial banks and insurance companies can obtain relatively higher returns by investing in local bonds due to the relatively high spread between local bonds and national bonds [84]. 3.5 High - Frequency Data Tracking - Last week, the settlement prices of rebar, wire rod, and cathode copper futures, the cement price index, and the South China Glass Index decreased compared with the previous week. The CCFI index decreased slightly, while the BDI index increased by 12.44%. The wholesale prices of pork and vegetables increased, and the settlement prices of Brent and WTI crude oil futures decreased slightly. The central parity rate of the US dollar against the RMB was 6.99 [88][89]. 3.6 Future Outlook - The "stabilizer" effect of banks continues to work, and bonds within 10 years are likely to be more stable. Although the ultra - long - term interest rate theoretically has more room, its stability is weaker than that of bonds within 10 years [90]. - Abundant liquidity is expected to support the bond market to stabilize. In the short term, the bond market is mainly in a recovery phase, with a low possibility of a trend - like decline. It is recommended to gradually take profits from band trading and choose national bonds within 10 years, especially the 10 - year national bond active bond (250016) [91].

证券研究报 告 【债券周报】 工业略降温，二手房延续"开门红" ——每周高频跟踪 20260124 （1）动力煤：煤价由涨转跌。全国多地降温，居民用电需求增加，沿海电 厂日耗迅速攀升。但下游库存仍较为充裕，补库压力不明显。 （2）螺纹钢：螺纹钢价格由涨转跌。本周冬季需求淡季特征明显，户外施 工逐步停滞，螺纹钢表观需求下降，厂库、社库双增，下游需求季节性走 弱，钢厂利润修复缓。 （3）沥青：开工率环比下降。受降温降水天气影响，终端施工需求进一步 下滑，华南需求平稳，其他地区需求均下降至低位。 2、地产：（1）新房成交行情小幅降温。1 月 16 日-1 月 22 日，30 城新房成交 面积 116.4 万平方米，环比-10.55%，单周同比-38%，跌幅扩大。（2）二手房 成交环比继续增长。二手房成交面积环比+14.3%，环比保持上行，同比回正 至+14%，表现强势。 ❖ 消费相关：1 月中上旬乘用车零售同比-28% 1、汽车：1 月 1 日-28 日，乘用车市场零售 67.9 万辆，同比-28%，环比- 37%，去年春节偏早，节前集中购车影响形成高基数，导致 1 月同比偏低。 2、原油：油价涨幅扩大。布伦特原油 ...

债市情绪有所回暖 国债周报 2026/01/24 蒋文斌（宏观金融组） 0755-23375128 jiangwb@wkqh.cn 从业资格号：F3048844 交易咨询号：Z0017196 程靖茹（联系人） chengjr@wkqh.cn 从业资格号：F03133937 CONTENTS 目录 01 周度评估及策略推荐 04 流动性 02 期现市场 05 利率及汇率 03 主要经济数据 01 周度评估及策略推荐 周度评估及策略推荐 ◆ 流动性：本周央行进行11810亿元逆回购操作，有9515亿元逆回购到期，本周净投放2295亿元，DR007利率收于1.49%。 ◆ 利率：1、最新10Y国债收益率收于1.83%，周环比-1.12BP；30Y国债收益率收于2.29%，周环比-1.50BP；2、最新10Y美债收益率4.24%，周环 比+0.00BP。 ◆ 小结：基本面看，12月经济数据显示生产端有所回暖，外需方面出口数据超预期，其中非美市场和高技术行业出口维持高增，为工增提供了 有力支撑。需求端而言，前期政策边际效应减弱使得耐用品消费放缓，投资增速延续下滑，地产拖累和居民消费信心不足依然存在。经济恢 复动能持续性 ...

Core Viewpoint - The recent divergence in the bond market has intensified following the central bank's press conference, with the LPR remaining unchanged for eight consecutive months, leading to new dynamics in market sentiment and bond yields [3][7]. Group 1: Bond Market Trends - Long-term bond yields have experienced a rare rebound after a prolonged decline, with the 30-year government bond yield dropping by 2.75 basis points and 1.6 basis points, reaching 2.261% [5][6]. - However, this upward trend was not sustained, as bond futures saw a collective decline on January 22, with the 30-year main contract falling by 0.07% to 112.170 [6][7]. - The primary market issuance has been a significant factor influencing the bond market's rebound, with a recent issuance of 160 billion yuan in 7-year fixed-rate bonds seeing a subscription multiple of 5.91 times [6][7]. Group 2: Monetary Policy Impact - The latest LPR remains at 3.0% for the 1-year and 3.5% for the 5-year, reflecting a stable monetary policy environment, with no immediate need for rate cuts or reductions [7][8]. - The central bank's commitment to maintaining liquidity in the banking system is evident, with a net injection of 309 billion yuan through reverse repos on January 22 [8]. Group 3: Foreign Investment Dynamics - There is a growing interest in foreign investment in Chinese government bonds, particularly as global markets face uncertainty, positioning Chinese bonds as a potential safe haven [9][10]. - As of November 2025, foreign institutions held 3.6 trillion yuan in Chinese bonds, with government bonds making up 56.2% of this total [10][11]. - Despite fluctuations in foreign holdings due to various market factors, the long-term trend suggests that the opening of the bond market will encourage steady foreign investment in Chinese bonds [12].

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - Recent regulatory cooling of the equity and some commodity markets, along with the unchanged loose monetary policy and the central bank's clear indication of room for increasing aggregate policies this year, have led to a further repair of bond market sentiment. However, the probability of a short - term policy rate cut is low, and the capital side will face more disturbances next week. The long - end is constrained by supply concerns and fundamental expectations, and the downward momentum of yields is insufficient. Therefore, it is recommended that investors wait and see on the single - side and be cautious about chasing up. In terms of arbitrage, the long - end slope has become steeper this week, but at the current term spread level, it is not advisable to over - participate. The spread between new and old 30Y bonds is relatively high, so investors may moderately pay attention to shorting the basis of 30Y active bonds [8]. Summary According to Relevant Catalogs First Part: Weekly Core Points Analysis and Strategy Recommendations - **Comprehensive Analysis** - Last December's foreign trade data showed strong resilience, and the overall financial data was also better than expected. In the financial data structure, the corporate sector performed particularly well, indicating that the corporate sector's expectations may have turned positive first. In contrast, due to weak income expectations and unstable housing prices, the credit expansion of the household sector continued to slow down, and the improvement of the deposit term - deposit trend was also limited [6]. - At the press conference on Thursday, incremental information was released. On the one hand, the structural interest rate cut was implemented, and the central bank lowered the interest rates of various structural monetary policy tools by 0.25 percentage points, increased the quotas of some structural monetary policy tools, and expanded the scope of support. On the other hand, central bank officials clearly stated that there is still room for "reserve requirement ratio cuts and interest rate cuts" this year. The loose tone of monetary policy remains unchanged, and there is still room for increasing aggregate policies, which is friendly to the bond market. However, the implementation of structural "broad credit" reduces the probability of increasing aggregate easing in the short term. The central bank also said it would "guide the overnight interest rate to run around the policy rate," which means the policy rate still restricts the downward movement of short - term bond yields [7]. - **Strategy Recommendations** - **Single - side**: Wait and see [9] - **Arbitrage**: Moderately pay attention to shorting the basis of 30Y active bonds [9] Second Part: Relevant Data Tracking - **Enterprise Sector Social Financing Growth Continues to Recover** - In December, the new RMB loans were 910 billion yuan, 80 billion yuan less than the same period last year; the loan balance increased by 6.4% year - on - year, unchanged from the previous month. Structurally, the household sector continued to "shrink its balance sheet," with loans decreasing by 91.6 billion yuan, 441.6 billion yuan less than the same period last year; enterprises and institutions had new loans of 1.07 trillion yuan, 580 billion yuan more than the same period last year. Among them, medium - and long - term loans related to investment increased by 330 billion yuan, 290 billion yuan more than the same period last year, ending five consecutive months of year - on - year decrease [10][13]. - In December, the social financing scale was 2.2075 trillion yuan, 646.2 billion yuan less than the same period last year; the stock of social financing increased by 8.3% year - on - year, a 0.2 - percentage - point decline from the previous month. Structurally, the government bond financing scale was only 683.3 billion yuan, a significant decrease of 1.0733 trillion yuan compared with the same period last year, which was the main reason for the year - on - year decrease in social financing. The combined financing of corporate bonds, non - financial enterprise stocks, and non - standard financing was 159.5 billion yuan, 246.9 billion yuan more than the same period last year [13]. - **Divergence in M2 and M1 Growth Rates** - In December, M2 increased by 0.5 percentage points year - on - year to 8.5%. In terms of the deposit structure, the seasonal increase in year - end fiscal expenditure led to a significant decrease in fiscal deposits and their conversion into household and corporate deposits, which was one of the important supports for M2. However, the unexpected increase in M2 growth is likely related to the increase in the settlement of foreign exchange by the private sector at the end of the year after the reversal of exchange - rate expectations [18]. - In contrast to the rise in M2 growth, M1 increased by 3.8% year - on - year in December, a 1.1 - percentage - point decline from the previous month. The relatively high base in the same period last year was one of the reasons for the decline in M1 growth. Considering the credit data structure, the decrease in the degree of currency activation may reflect that there are still blockages in the domestic currency circulation in the household sector [18]. - **Foreign Trade Performance Exceeds Expectations** - According to the customs statistics in US dollars, in December last year, China's goods exports increased by 6.6% year - on - year, a 0.7 - percentage - point increase from the previous month; imports increased by 5.7%, a 3.8 - percentage - point increase; the trade surplus rose to 114.14 billion US dollars. Foreign trade continued to show resilience and performed better than expected [25]. - **Regulatory Authorities Guide the Cooling of the Equity Market** - Compared with the relatively high price - earnings ratio, the risk premium shows that compared with the 10 - year Treasury bond yield, the current valuation of the Wind All - A Index is roughly at a neutral level since 2017 and is not overvalued. With the lack of profit elasticity at the numerator end, the low market risk - free rate at the denominator end is an important support for the equity market valuation [27]. - This week, the increase in the margin ratio for margin trading in the equity market and the "anti - monopoly" measures for some commodities last week are specific measures to cool down the risk - asset market at the policy level, which is relatively favorable for the bond market. However, from the perspectives of A - share trading volume, leveraged funds, and rolling price - earnings ratio, the expectations in the equity market are still positive and have not fundamentally changed [32]. - **The Capital Side Tightens First and Then Eases** - This week, the market capital price first rose and then fell. After the central bank's continuous large - scale net injection of short - term liquidity, the capital side became loose again starting from Thursday. As of the close on Friday, DR001 and DR007 were at 1.3199% and 1.4430% respectively. The overnight and 7 - day non - bank capital spreads were 5.35bp and 7.07bp respectively. In terms of long - term funds, the issuance rate of 1 - year inter - bank certificates of deposit of joint - stock banks was generally in the range of 1.63 - 1.65% this week [39]. - Next week, the market capital side will face dual disturbances. First, next Wednesday and Thursday are the peak periods for tax payments, and January is a large tax - paying month, so the potential capital gap is relatively large. Second, local bond issuance will reach a small peak again, and the announced data shows that the net financing scale for the week is about 217.219 billion yuan [39]. - **Change in the Spread between New and Old Ultra - long - term Bonds** - Recently, the spread between the CTD bond of the TL main contract and the active bond of the same term (including tax) has generally fluctuated between 6 - 8bp. It tended to decline in the first four trading days of this week but widened again to above 7bp on Friday. After excluding the impact of value - added tax, the current spread between new and old ultra - long - term bonds is relatively high, which may be related to the relatively large subsequent supply of ultra - long - term government bonds [44]. - **Valuation of the Treasury Bond Futures Market** - Calculated based on the ChinaBond valuation and futures settlement price, as of the close on Friday, the IRRs of the TS, TF, T, and TL main contracts were 1.4206%, 1.5414%, 1.3811%, and 1.9495% respectively. Static analysis shows that the IRR of the TL main contract is significantly high, which may be related to the divergence of its CTD bond's trend from the active bond of the same term on Friday. The valuations of other - term main contracts are relatively reasonable [50].

Economic Overview - Domestic demand continues to weaken, with fixed asset investment declining by 3.8% year-on-year, a decrease of 1.2 percentage points from the previous value[8] - Real estate investment dropped by 17.2%, down 1.3 percentage points, indicating ongoing weakness in the sector[9] - Consumer spending growth fell to 0.9% in December, a decline of 0.4 percentage points from the previous month, reflecting weak consumer sentiment[12] Inflation and Production - CPI rose by 0.8% year-on-year in December, up 0.1 percentage points, indicating a mild upward trend in inflation[41] - PPI increased by 0.2% month-on-month, with a year-on-year decline of 1.9%, but the decline is narrowing by 0.3 percentage points compared to the previous month[49] - High-tech industries showed growth, with industrial value-added increasing by 5.9% year-on-year, although overall industrial production growth was slightly down[37] Monetary Policy and Liquidity - The central bank implemented an unexpected structural interest rate cut, indicating a continued commitment to liquidity support[56] - Short-term funding rates remained stable, with DR001 operating within 15 basis points below the policy rate[58] - The central bank's measures include increasing the quota for targeted loans to small and medium-sized enterprises by 1 trillion yuan, reflecting a focus on supporting the real economy[82] Market Trends - Bond yields initially rose but later fell, influenced by rising risk appetite and stock market performance[2] - The overall market sentiment remains cautious, with expectations of continued pressure on bond prices due to improving economic fundamentals and inflation concerns[2] - The trade surplus expanded to $114.14 billion in December, driven by a rebound in exports, particularly in automotive and electronic products[22]

【行情跟踪】 国债期货收盘多数上涨，30年期主力合约涨0.75%报112.25，10年期主力合约涨0.03%报108.2，5年期主 力合约涨0.01%报105.88，2年期主力合约跌0.01%报102.43。 银行间主要利率债收益率普遍下行，超长债表现更优。截至发稿，10年期国开债"25国开15"收益率下行 0.75BP报1.942%，10年期国债"25附息国债16"收益率下行0.35BP报1.8305%，30年期国债"25超长特别国 债06"收益率下行2.1BPs报2.256%。 中证转债指数收盘上涨0.90%，报522.95点，成交金额889.92亿元。天创转债、大中转债、永吉转债、 浙矿转债、凯众转债涨幅居前，分别涨20.00%、12.87%、10.78%、10.56%、8.12%。嘉美转债、风语转 债、众和转债、亿纬转债、神通转债跌幅居前，分别跌4.52%、2.01%、1.48%、1.37%、1.24%。 新华财经北京1月21日电债市周三（1月21日）延续偏暖，午后超长端期限券显著走强，其他期限品种表 现基本持稳，国债期货主力多数收涨，银行间现券收益率多数下行0.5BP，30年期收益率稍早一度回落 超 ...

1月21日，十年国债ETF（511260）午后微涨，债市情绪迎改善。 华宝证券指出，近期央行公开市场操作净投放呵护流动性，叠加权益市场有所降温，且央行超预期下调 结构性政策工具利率，债市情绪改善，10年期国债收益率短期内快速修复。不过本次利率下调集中于再 贷款、再贴现等定向工具，侧重于信用扩张，并非全面降息；且一季度政府债供给压力仍有扰动，叠加 权益市场春季行情尚未结束。展望后市，短期收益率进一步向下突破概率有限，10年期国债收益率或围 绕1.85%中枢波动，应重视高票息配置。若1月下旬政府债供给扰动减弱，则有望形成中期做多布局机 会。 十年国债ETF（511260）跟踪上证10年期国债指数，选取剩余期限7到10年且在上交所挂牌的国债作为 样本，久期恒定。从过往表现来看，十年国债ETF（511260）成立以来净值屡创新高，历史业绩持续稳 健。根据基金定期报告，截至三季度末，近1年回报率达4.17%，近3年回报率达14.04%，近5年回报率 达23.39%，成立至今累计回报率达35.77%。 值得关注的是，十年国债ETF成立以来经历了2018~2024年共计7个完整自然年度，均保持每年正收益， 有望成为穿越牛熊 ...

Core Viewpoint - The market is perceived as the true intelligence, and it is essential to follow its direction rather than attempt to predict outcomes independently [1]. Group 1: Market Conditions - The bond market shows signs of warming, with long-term bonds being particularly attractive. The concentration of borrowing for 30-year bonds reached 30%, and the yield spread between 30-year and 10-year bonds is at 50 basis points, a level not seen since the introduction of 30-year bond futures [6]. - The interbank funding market is balanced and slightly loose, with a significant drop in long bond yields. The central bank conducted a 3.24 billion yuan reverse repurchase operation, with 3.586 billion yuan maturing, resulting in a net withdrawal of 346 million yuan [3]. - The stock market is experiencing fluctuations, with no unexpected information from the National Development and Reform Commission and the Ministry of Finance. The 10-year government bond yield opened at 1.8325% and fluctuated, reaching a low of 1.815% before recovering to 1.825% [5]. Group 2: Interest Rates and Trading Data - The weighted average rates for various interbank funding instruments are as follows: RO1 at 1.42%, R007 at 1.54%, R014 at 1.63%, and R1M at 1.63%. The trading volume for RO1 was approximately 78.17 billion yuan, while R007 had a volume of about 7.44 billion yuan [4]. - The financing balance in the stock market has decreased, indicating a cooling effect on the market. The dynamics between large-cap and small-cap stocks are shifting, with large-cap stocks struggling to outperform small-cap stocks [9].

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market and its dynamics, particularly in the context of recent policy changes by the central bank and macroeconomic indicators [2][3][4]. Core Insights and Arguments - The central bank has restarted government bond trading to enhance the financial function of government bonds and to serve as a pricing benchmark for the yield curve, indicating a potential intention to regulate the yield curve and assist fiscal financing [2][5]. - The fourth quarter is expected to have a favorable fundamental and supply environment for interest rate trends, although macro trends remain unclear. Short-term data may show slight weakening, which could stimulate a wide monetary policy sentiment, providing a good window for the bond market [2][6]. - The manufacturing PMI for October was reported at 49, below expectations, indicating weakening demand that may lead to a slight decline in economic data for the fourth quarter, further supporting the bond market [2][8]. - Investment strategies suggest focusing on short-term rates, which are more certain, while taking trading opportunities in long-term and ultra-long-term bonds. The yield spread between 10-year and 30-year bonds is currently at a reasonable level [2][7]. Important but Overlooked Content - The TLAC non-capital tool is designed to enhance total loss-absorbing capacity and has a repayment order between ordinary bonds and AT1/AT2 instruments. It is crucial for investors to understand the complexities and risks associated with these instruments [2][10]. - The issuance of ordinary bonds globally amounts to approximately $6 trillion, primarily used for liability supplementation, with a significant portion issued in euros [2][9]. - The impact of Deutsche Bank and Credit Suisse events on the subordinate debt market highlights the credit risks associated with AT1 instruments, emphasizing the need for investors to be cautious regarding macroeconomic conditions and individual bank performance [2][13]. Additional Insights - The bond market's performance is influenced by various factors, including seasonal effects and holiday impacts, which investors should be aware of [2][8]. - The global banking sector's capital adequacy remains high, with core Tier 1 capital ratios around 14.52%, although there are regional variations in non-performing loans [2][17]. - Chinese institutions have a relatively low participation in the offshore subordinate debt market, with a significant portion of their debt being ordinary bank debt [2][12]. - The historical context of AT1 bond conversions and write-downs illustrates the potential risks and regulatory differences across jurisdictions, which can affect investment decisions [2][14][15].