来源：滚动播报 瑞士宝盛(Julius Baer)的Dario Messi在一份报告中称，财政动态继续影响着全球债券市场，但其当前对 主要政府债券收益率曲线的影响各不相同。"从本质上讲，'最初的财政冲击'仍在产生反响，但其强度 会随着时间和距离的推移而减弱，"这位固定收益主管表示。他表示，在美国，虽然赤字仍然不可持 续，但短期融资和美联储降息缓解了收益率的上行压力。德国去年的财政政策大转弯推高了利率，日本 的利率最近也大幅上升。他表示，在久期策略方面，瑞士宝盛目前不主张进行重大偏离，而是倾向于对 美元和欧元固定收益投资组合小幅超配久期。 ...

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。 • ...

2025年，国内债市跌宕起伏，利率处在长期下行趋势当中，但投资债券的收益却不见得好。从债券基金来看，纯债基金告别往日的稳赚不赔，开始大量出现 年收益为负的产品，而久期策略的不同也是导致不同产品间差异较大的因素。从全年来看，中长期债基年收益上限明显高于短债基金，而中长期债券的供应 难度或也是市场面临的关键难题。 中长期债基年收益上限明显高于短债基金 从2025年开始，债市出现许多特殊情形，主要体现为与过往市场经验有所不同。一方面，在利率长期下行趋势下没有展现出债券的吸引力；另一方面，即便 股市震荡调整，债市也缺乏对避险资金的吸引力。 一个明显的特征是，2025年想在债市"躺赢"很难，市场对投资债券的公募基金提出了更高要求。从年内的收益率排名来看，的确也与往年有大的不同，至少 从平均的收益水平来看，已经告别了4%的债基投资时代。 Wind统计显示，纯债基金当中，2025年内的中长期纯债基金业绩均值为1.02%，短债基金则为1.49%。尽管固收类的产品与货币政策的调整有很大的关系， 但长期以来，债基的配置灵活性多样，在不少低利率年代，类似的年度业绩均值也比较少见。 从宏观与政策背景来看，2025年经济修复节奏偏缓， ...

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 …………………………………………………………………………………………………………………………………………………………………………………………………… ...

债 券 策 略 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com 王哲一 A0230525100003 wangzy@swsresearch.com 联系人 王哲一 A0230525100003 wangzy@swsresearch.com 本研究报告仅通过邮件提供给 中庚基金 使用。1 券 研 究 请务必仔细阅读正文之后的各项信息披露与声明 债 证 券 研 究 报 告 - 2025 年 12 月 18 日 30Y 国债的"前世今生"：供需结构、 定价权迁移与曲线重定价 ⚫ 30Y 国债定价权发生了三次迁移，30Y 国债"资产荒"和 30Y 国债流动性改善是驱动定 价权转移的逻辑主线。 ⚫ 前世：2022 年之前 30Y 国债关注度不高。 ◼ 2022 年之前，30Y 国债供给规模远低于 10Y 国债，流动性不强，主要买入力量为 保险公司。 ◼ 交易盘对 30Y 国债参与不多，当债市未形成一致性的向上或向下方向时，决定配置 盘对 30Y 国债买入力量的重要因素在于静 ...

Group 1 - The simulated portfolio's returns have continued to rebound, with the exception of some secondary bond-heavy portfolios, while other credit style strategies have not outperformed their corresponding interest rate styles [3][17][22] - In the interest rate style portfolio, the secondary ultra-long and mixed barbell strategies showed significant rebounds, with weekly returns of 0.16% and 0.13% respectively [3][19] - In the credit style portfolio, the secondary ultra-long and mixed barbell strategies led with returns of 0.29% and 0.17% respectively [3][19] Group 2 - The average weekly return of the credit style time deposit heavy portfolio increased by 9.7 basis points to 0.06%, while the cumulative return since the fourth quarter has been lower than the corresponding interest rate style [3][22] - The city investment heavy portfolio's average return rose by 21 basis points to 0.07%, with bullet strategies achieving a return of 0.11%, outperforming short-end and barbell strategies [3][22] - The average return of the secondary capital bond heavy portfolio increased to 0.14%, with rebounds in secondary sinking and mixed barbell strategies at 0.15% and 0.17% respectively, but these rebounds were insufficient to offset previous losses [3][22] Group 3 - The credit style portfolio's coupon rates have shown signs of recovery, particularly in the bank subordinated bond heavy portfolio, which has a competitive yield in absolute terms [4][29] - The annualized yields for the secondary perpetual bond duration strategy are 2.19% and 2.23%, approximately 39 basis points away from the year's low [4][29] - The contribution from coupon income ranges from 20% to 90%, with most of the week's returns coming from capital gains [4][29] Group 4 - In the past four weeks, controlling drawdown has become the main strategy objective, with short-end sinking and commercial bank bond portfolios still showing positive cumulative excess returns [5][33] - The cumulative excess returns for city investment short-end sinking, commercial bank bullet, and broker bond sinking portfolios are 5 basis points, 4.4 basis points, and 1.5 basis points respectively, while other medium to long-term strategies have accumulated less than 5 basis points [5][33] - The city investment barbell strategy, which performed well in the previous two months, has seen its cumulative excess return drop to -25.7 basis points over the past four weeks [5][33] Group 5 - The trading direction for 4 to 5-year long-term credit bonds may show divergence, with some medium to long-term duration strategies lacking excess returns [6][36] - The short-end time deposit strategy's excess return turned negative this week, while the city investment sinking strategy showed a slight positive deviation from the benchmark [6][36] - The excess returns for ultra-long strategies have risen to their highest level since late October, with city investment, industry, and secondary ultra-long strategies recording 9.4 basis points, 11.1 basis points, and 29.7 basis points respectively [6][36]

Core Viewpoint - The overall credit risk is expected to remain controllable in 2026, with low spreads and high volatility likely to continue [1]. Supply Side - The issuance policy for local government financing vehicles (LGFVs) is tightening, leading to a net outflow of LGFV bonds, with issuance scale expected to decline over the next two years [1]. - Central enterprises are continuing to increase leverage, contributing significant incremental supply of medium to long-term industrial bonds [1]. - The pace of bank balance sheet expansion is slowing, with weakened capital replenishment motivation; some small and medium-sized banks may still require capital supplementation [1]. Demand Side - The shift to net value-based wealth management and adjustments in fund fee rates are affecting the stability of institutional liabilities and bond allocation preferences, with stable demand for medium to short-term credit bonds, outperforming long-term bonds [2]. - During periods of interest rate fluctuations, coupon income becomes crucial. Since 2022, credit strategy portfolios have outperformed interest rate strategy portfolios, with short-term strategies performing better than duration strategies [2]. - It is recommended to focus on medium to short-term credit bonds to explore coupon income, while also monitoring event/policy impacts for trading opportunities in medium to long-term varieties [2]. Specific Bond Strategies - **LGFV Bonds**: Continue with a short to medium duration coupon strategy, focusing on local bonds and the progress of LGFV transformations. Bonds with medium credit quality should be primarily in the 2-3 year range, while higher-rated LGFV platforms can extend to 4-5 years, considering local debt progress and financial resource endowments [2]. - **Perpetual Bonds**: The trading value and riding space of the curve are emphasized. Although volatility has decreased compared to previous years, perpetual bonds from state-owned banks still hold trading value. Opportunities during significant price drops and riding space on the curve should be monitored [2]. - **Industrial Bonds**: Focus on high-grade central enterprise bonds with a duration strategy, while coal and steel bonds should prioritize coupon strategies. The leverage increase among central enterprises will continue to contribute significant incremental supply [3]. - **Real Estate Bonds**: A defensive allocation strategy is recommended, as the sector's fundamentals still require improvement. The strategy should focus on high-quality central and state-owned real estate bonds maturing within two years, with ongoing monitoring of liquidity, sales recovery, debt maturity schedules, and financing channel changes [3].

Group 1 - The report outlines four phases of market dynamics affecting credit bonds, with the first phase characterized by a tight monetary policy and rising credit bond yields, followed by a recovery phase where yields compress due to increased institutional demand [6][8] - The report highlights a significant shift in credit bond strategies, indicating that during periods of rising interest rates, credit strategies outperform duration strategies, with short-end bonds performing better than long-duration strategies [9][11] - The report notes that the traditional credit cycle has led to a divergence in financing sources, with a notable shift towards central enterprises and a decrease in local government financing, indicating a two-tiered market for credit bonds [19][22] Group 2 - The report emphasizes the impact of the "anti-involution" policy on various industries, suggesting that while it aims to improve market efficiency, it requires complementary demand-side policies to be effective [27] - The report discusses the tightening of issuance policies for urban investment bonds, predicting a significant drop in supply over the next two years, which may affect market liquidity and pricing [19][22] - The report identifies that the financing trend for industrial bonds is expected to continue, driven by central government initiatives and a focus on "real industry" financing, with central enterprises dominating the issuance landscape [21][22] Group 3 - The report indicates that the financial sector may see a stabilization of net interest margins due to supportive central bank policies, which could enhance the market position of leading city commercial banks [25][31] - The report suggests that the technology sector, particularly in electrical and hardware equipment, will benefit from favorable policy environments, with a recommendation to maintain a duration of around three years for investments in this sector [31][33] - The report highlights the importance of monitoring the cyclical nature of demand in the steel and coal industries, suggesting that any signs of recovery should be closely observed for potential investment opportunities [31]

无论是股票ETF/LOF基金，都是属于较高预期风险和预期收益的证券投资基金品种，其预期收益及预期 风险水平高于混合型基金、债券型基金和货币市场基金。 基金资产投资于科创板和创业板股票，会面临因投资标的、市场制度以及交易规则等差异带来的特有风 险，提请投资者注意。 板块/基金短期涨跌幅列示仅作为文章分析观点之辅助材料，仅供参考，不构成对基金业绩的保证。 文中提及个股短期业绩仅供参考，不构成股票推荐，也不构成对基金业绩的预测和保证。 以上观点仅供参考，不构成投资建议或承诺。如需购买相关基金产品，请您关注投资者适当性管理相关 规定、提前做好风险测评，并根据您自身的风险承受能力购买与之相匹配的风险等级的基金产品。基金 有风险，投资需谨慎。 近日债券市场迎来较大波动，30年期活跃券2500006收益率累计上行超10bps。受此影响，10年以内的债 券亦出现不同程度回调。目前10年期国债收益率接近央行合意区间1.75%~1.85%上沿，待超长端扰动平 息后，债券市场有望迎来季节性的趋势行情。 从资金面上看，近期资金利率温和下行，DR001下破1.30%，为长端利率下行创造有利环境。政治局会 议定调适度宽松的货币政策，明年 ...