债券策略周报 20260301 3 月债市投资策略 glmszqdatemark 2026 年 03 月 01 日 债市观点及组合策略推荐 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 [Table_Author] 分析师 徐亮 执业证书： S0590525110037 邮箱： xliang@glms.com.cn 展望 3 月债市，从利率节奏来看重点关注两个问题：1.中东冲突带来的大类资产 联动情况；2.国内货币政策是否有宽松的迹象。 从当前债券利率定价来看，目前 10 年国债利率略低于 1.8%，市场进一步做多意 愿不强（这一点可以从节后止盈情绪升温导致利率回升看出），不过地缘风险导致 的风险偏好下降确实有较大概率使得近期利率脉冲下行，但也需要观察权益下跌 情况，如果权益下跌后立即企稳，债券利率的下行空间也不大，预计 10 年国债活 跃券低位在 1.75%左右；而后续则需要关注大宗商品是否上涨带来通胀预期进一 步升温，从而带动利率上行。另外，国内债券利率下行的另一个制约在于降息预 期不高，如果两会后市场降息预期有所抬升，则 10 年国债利率有明显的交易机 会。 因此，从利率 ...

Core Viewpoint - The report indicates a weakening support from government bond financing for social financing, leading to a slowdown in overall social financing growth, with the year-on-year growth rate dropping from 8.3% in December to 8.2% in January [1] Group 1: Social Financing and Monetary Supply - The demand for financing in the private sector remains weak, contributing to the overall sluggish growth in social financing [1] - The year-on-year growth rate of M2 increased from 8.0% in November to 9.0% in January, driven by a strong willingness of enterprises to settle in RMB and robust non-bank deposits [1] - The difference between the year-on-year growth rates of social financing and M2 is expected to influence interest rate trends, with potential further declines in bond rates anticipated [1] Group 2: Market Outlook and Investment Recommendations - Insufficient bank credit issuance since January has led to increased bond allocation, resulting in a gradual decline in medium to long-term interest rates [1] - The central bank's monetary policy easing may accelerate, suggesting further declines in bond rates are likely [1] - Despite previous concerns about potential inflation exceeding expectations in the first quarter, recent declines in industrial product prices indicate a continuation of low inflation in the domestic economy [1] - The domestic bond market is viewed positively, with recommendations for investors to actively monitor trading opportunities arising from potential discrepancies in inflation expectations after the Spring Festival [1]

Group 1 - The current upward trend in 10-year government bond yields is expected to reach around 1.9%, while 30-year government bond yields are approaching 2.35% due to factors such as increased risk appetite in equities, the stock-bond relationship, and inflation expectations from rising commodity prices [1] - Despite limited central bank liquidity injections, funding rates remain low, and the December PMI data shows a slight recovery, leading to a modest increase in inflation expectations. However, nominal economic growth expectations are not significantly high, indicating that the factors influencing bond yields are unlikely to lead to a sustained upward trend [1] - The 30-year local government and national bonds are considered to have allocation value, with the 30-10 year yield spread expected to remain slightly above 40 basis points, correlating the 2.35% yield of 30-year bonds with the aforementioned 10-year yield levels [1] Group 2 - As of January 9, 2026, the National Development Bank Bond ETF (159651) is experiencing a stalemate in trading, with the latest price at 106.83 yuan, and a cumulative increase of 1.07% over the past year [1] - The liquidity of the National Development Bank Bond ETF is active, with an intraday turnover of 22.08% and a transaction volume of 143 million yuan, while the average daily transaction volume over the past year is 284 million yuan [1] - The latest net outflow of funds from the National Development Bank Bond ETF is 8.3324 million yuan, with a total "absorption" of 138 million yuan over the past eight trading days [2] Group 3 - The management fee rate for the National Development Bank Bond ETF is 0.15%, and the custody fee rate is 0.05% [3] - As of January 9, 2026, the tracking error of the National Development Bank Bond ETF over the past two months is 0.009%, closely tracking the China Bond - 0-3 Year National Development Bank Bond Index [4]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In 2026, the government bond supply increment is expected to decrease significantly, with a possible rhythm disturbance rather than a trend impact [3] - The current core pressure lies on the demand side, but the demand side is expected to improve recently [4] - The bond market may remain volatile this month, waiting for possible allocation opportunities at the end of the month [5] 3. Summary by Relevant Catalogs 3.1 First Quarter Government Bond Issuance Plan - **Treasury Bonds**: The issuance plan in Q1 2026 is similar to that of last year. The issuance scale of single - issue treasury bonds has increased this week, but whether it will continue to be large - scale needs further observation. From 2024 - 2025, the single - issue scale of general treasury bonds is usually lower in Q1 and Q4 and higher in Q2 and Q3 [8] - **Local Bonds**: The planned issuance scale in Q1 2026 may be lower than last year. The issuance rhythm is more front - loaded in January, but the planned issuance amount and net financing in February and March are expected to be lower than last year. The term structure of the disclosed areas has been shortened, but the national - level change needs further observation [13][16] 3.2 Past Government Bond Issuance Characteristics - **Rhythm**: In 2025, the issuance of general treasury bonds and special refinancing bonds was front - loaded, and the issuance rhythm of special bonds was slower than expected. This characteristic is expected to continue in Q1 2026 [23][25] - **Term**: In recent years, the issuance term of government bonds has generally lengthened, with the average duration of local bonds increasing from 11.95 years in 2021 to 15.62 years in 2025, and the issuance term of treasury bonds rising from 6.34 years in 2022 to 8.33 years in 2025 [30] 3.3 Supply Pressure as a Disturbance, Long - term Bond Demand as the Core - **Supply**: The government bond increment in 2026 is expected to decrease significantly, with the impact being more about rhythm rather than trend [33] - **Demand**: The demand for long - term bonds was insufficient at the end of 2025, but the demand side is expected to improve recently. The bond market may be volatile in January and is expected to gradually recover after the supply shock at the end of the month [33][35][36]

Market Performance - The majority of government bond futures closed lower, with the 30-year main contract up by 0.03%, the 10-year main contract unchanged, the 5-year main contract down by 0.01%, and the 2-year main contract down by 0.01% [1] - The yields on major interbank bonds mostly rose, with the 10-year China Development Bank bond "25国开15" yield increasing by 0.1 basis points to 1.8610%, while the 10-year government bond "25附息国债16" yield remained unchanged at 1.7900% [1] - The 30-year government bond "25超长特别国债06" yield rose by 0.1 basis points to 2.1410%, and the 1-year government bond "25附息国债13" yield increased by 1.5 basis points [1] Funding Conditions - The central bank announced a 117.5 billion yuan 7-day reverse repurchase operation on November 4, with a fixed rate of 1.40% and a bid amount of 117.5 billion yuan [2] - On the same day, 475.3 billion yuan of reverse repos matured, resulting in a net withdrawal of 357.8 billion yuan [2] - The interbank funding conditions remained stable and loose, with overnight repurchase rates for deposit institutions slightly rising and hovering around 1.31% [2] Operational Recommendations - In October, the central bank purchased 20 billion yuan in bonds, which was below expectations, leading to a neutral impact on the bond market [3] - The bond market may enter a waiting phase due to a short-term policy vacuum, with overall market sentiment improving and bond yield fluctuation ranges expected to decrease [3] - It is suggested that investors consider buying on dips and look for opportunities in positive spread strategies due to rising IRR [3]

Group 1 - The bond market sentiment is currently weak, with a poor profit effect, and significant downward movement in interest rates requires strong event-driven stimuli, such as large-scale bond purchases, central bank rate cuts, or significant declines in equity markets [1][8] - The 10-year government bond yield has been fluctuating around 1.8%, with potential for both upward and downward movement, but a rebound opportunity is more likely if the yield approaches 1.9% [1][8] - The report suggests maintaining a slightly lower duration in bond portfolios and focusing on a barbell structure due to the difficulty in significantly steepening the yield curve in a weak market environment [2][39] Group 2 - The report highlights the importance of selecting specific bonds, with a focus on the 30-year government bond 25T6, which is expected to become the next main bond due to its good liquidity and upcoming issuance [3][12] - The yield spread between 25T6 and 25T2 is currently around 10 basis points, with expectations that this spread will compress to about 6 basis points as 25T6 gains prominence [12] - The report also emphasizes the need to monitor the impact of new regulations on fund redemptions, which may lead to increased volatility in certain bond types [2][39] Group 3 - The report indicates that the current bond yield valuations are not expensive compared to other asset classes, but the profit effect from bonds remains weak, making them less attractive [27][28] - The 10-year government bond yield is projected to be around 1.93% in the coming month, reflecting a weak outlook based on the constructed interest rate prediction model [23][24] - The report notes that the yield curve is expected to remain relatively flat, with short-term government bonds showing more resilience compared to long-term bonds [38][39]

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market, focusing on interest rate trends and investment strategies in the context of current market conditions [1][4][5]. Core Insights and Arguments - **Interest Rate Predictions**: The bond market shows signs of stabilization, but overall sentiment remains weak. The interest rate prediction model indicates a high probability (approximately 85%) of rising rates in the future, suggesting that current rebounds should be viewed as trading opportunities rather than a signal to chase gains [1][5][6]. - **10-Year Government Bond Yield**: It is anticipated that the yield on 10-year government bonds may rise by 20-30 basis points (BP) from the bottom, potentially reaching a high of around 1.85%-1.9% [1][5]. - **Market Sentiment**: A systemic decline in bond rates requires a significant reversal in sentiment, which is currently unlikely in the short term. The bond market is expected to remain volatile but not enter a bear market [1][6]. - **September Funding Pressure**: There is an expected increase in funding pressure in mid to late September due to a large volume of maturing certificates of deposit (CDs), although the tax period's impact is relatively minor [7][8]. - **Investment Strategy**: A "barbell" strategy is recommended for constructing bond portfolios, allowing for flexibility in adjusting long and short positions. It is advised to avoid large holdings in credit bonds with maturities over five years, while small positions in six-year subordinated capital bonds are acceptable [10][11]. Additional Important Insights - **Short-Term Instruments**: For short-term investments, the value of CDs is currently high, with rates close to 1.7%. It is suggested to prefer CDs over high-grade short-term credit bonds [9][8]. - **Local Government Bonds**: Investment strategies for local government bonds include focusing on long-term products with high issuance rates and considering arbitrage opportunities between primary and secondary markets [13][14]. - **Floating Rate Bonds**: For floating rate bonds with maturities of three years or less, attention should be given to specific bonds like 25 Longfa 7,809, while waiting for better pricing on 250,214 [19][20]. - **Arbitrage Opportunities**: There are potential arbitrage opportunities in the pricing of government bonds, particularly between 7-year and 10-year contracts, which could yield risk-free profits [21]. This summary encapsulates the key points discussed in the conference call, providing insights into the current state of the bond market and strategic recommendations for investors.

Group 1 - The interest rate for the SIL 23 bond for the period from September 20 to December 19 will be 11.2% [1] - As of September 15, 2025, the underlying loan portfolio consists of unsecured and secured loans with average interest rates of 12.1% and 6.1% respectively [1] - The proportion of investment assets in the portfolio is 64% for unsecured loans and 36% for secured loans [1]

Report Summary 1. Report Industry Investment Ratings The report does not provide overall industry investment ratings. Instead, it offers specific investment suggestions for different varieties within various sectors. 2. Core Viewpoints - The A-share market may enter a high-level oscillation pattern after significant gains, and the volatility has increased. The bond market is likely to remain range-bound, and the precious metals market has ended its continuous rise and slightly declined. The shipping index is weakly oscillating, and the steel and iron ore markets are affected by supply and demand factors. The energy and chemical sectors show different trends, and the agricultural products market is influenced by factors such as supply expectations and seasonal reports [2]. 3. Summary by Categories Financial - **Stock Index Futures**: The current basis rates of IF, IH, IC, and IM main contracts are -0.36%, -0.37%, -0.77%, and -0.54% respectively. The A-share market may enter a high-level oscillation pattern, and it is recommended to wait and see [2]. - **Treasury Bonds**: The 10-year treasury bond interest rate may oscillate between 1.74% - 1.8%, and the T2512 contract may fluctuate between 107.6 - 108.4. It is recommended to conduct range operations [2]. - **Precious Metals**: The safe-haven sentiment has subsided, and the precious metals market has ended its continuous rise and slightly declined. It is recommended to buy gold cautiously at low prices or use out-of-the-money call options for hedging. For silver, short-term high-sell and low-buy operations are recommended [2]. Black - **Steel**: The steel price is affected by production restrictions and off-season demand. It is recommended to pay attention to the long position of the steel-ore ratio. The iron ore price fluctuates with the steel price, and it is recommended to conduct range operations [2]. - **Coking Coal**: The spot price is oscillating weakly. It is recommended to reduce short positions appropriately and conduct arbitrage operations [2]. - **Coke**: The seventh round of price increases by mainstream coking plants has been implemented, and the coking profit continues to recover. It is recommended to reduce short positions appropriately and conduct arbitrage operations [2]. Non-Ferrous Metals - **Copper**: The copper price center has risen, and the spot trading is weak. The main contract reference range is 79,000 - 81,000 [2]. - **Aluminum and Its Alloys**: The supply of aluminum is highly certain, and it is necessary to focus on the fulfillment of peak-season demand and the inventory inflection point. The main contract reference ranges for aluminum, aluminum alloy, zinc, tin, nickel, and stainless steel are provided [2]. Energy and Chemicals - **Crude Oil**: The EIA inventory increase and supply increment expectations put pressure on the oil price. It is recommended to take a short position. The support levels for WTI, Brent, and SC are provided [2]. - **Other Chemicals**: Different chemicals such as urea, PX, PTA, short fiber, bottle chip, ethylene glycol, caustic soda, PVC, benzene, styrene, synthetic rubber, LLDPE, PP, methanol, and others have different trends and corresponding investment suggestions [2]. Agricultural Products - **Grains and Oils**: The abundant harvest expectation suppresses the US soybean price, while the domestic expectation remains positive. It is recommended to arrange long positions for the 01 contract. The palm oil is waiting for the MPOB report, and the short-term oscillation range is provided [2]. - **Livestock and Poultry**: The supply and demand contradiction in the pig market is limited, and the market shows a weakly oscillating pattern. The corn price is oscillating and adjusting, and it is recommended to short on rebounds [2]. - **Other Agricultural Products**: The overseas sugar supply is expected to be loose, and the raw sugar price has broken through the support level. It is recommended to gradually close short positions. The cotton inventory is low, and it is recommended to wait and see. The egg market has some demand support, but the long-term trend is still bearish. The apple price is running around 8,350, and the jujube price has dropped significantly. The soda ash and glass markets are in a bearish pattern, and it is recommended to hold short positions [2]. Special Commodities - **Rubber**: The rubber market has a strong fundamental situation, and the price is oscillating at a high level. It is recommended to short at high positions if the raw material price rises smoothly [2]. - **Industrial Silicon**: The spot price has risen slightly, and the main price fluctuation range is expected to be between 8,000 - 9,500 yuan/ton [2]. New Energy - **Polysilicon**: The self-discipline supports the polysilicon price to rise temporarily, and it is recommended to wait and see [2]. - **Lithium Carbonate**: The market sentiment has improved, and the fundamental situation remains in a tight balance. It is recommended to wait and see [2].

Core Viewpoint - The report from Dongwu Securities predicts that the Producer Price Index (PPI) will steadily recover to around -1.5% year-on-year by the end of the year, but a positive turnaround is still awaited [1] Group 1: Economic Indicators - The 10-year government bond is fluctuating at a low of 1.6%, with short-term adjustment pressure coming from a slight rebound in commodity prices, although this non-demand-driven factor is unlikely to trigger a trend-driven bear market [1] - The year-on-year growth rate of social financing stock needs to see a rebound, which is contingent on the "anti-involution" policy from the supply side leading to an increase in corporate profits, followed by improved expectations for household income and an increase in leverage [1] Group 2: Policy Implications - In the long term, while "anti-involution" is a supply-side policy, its ultimate goal is to enhance corporate profits, which will subsequently drive up wages and the prices of land and other factors, potentially translating into increased demand [1] - This demand increase could signal a genuine turning point for bond yields [1]