申万宏源固收研究 【申万固收|利率】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 原创 阅读全文 ...

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。 • ...

Group 1 - The report highlights the recent focus on bond market strategies following the implementation of new fund redemption regulations, which are better than market expectations [8][36] - Since the announcement of the consultation draft on September 5, 2025, bond funds have shown poor performance in certain bonds, with the 3-year government bond yield declining by 11 basis points and the 3-year national development bond yield remaining stable [5][36] - The report anticipates that medium to short-term government bonds will maintain low volatility due to easing liquidity and expectations of central bank purchases, with a potential for certain bonds to rebound [5][36] Group 2 - Long-term bond yields may have significant downward potential, influenced by central bank interest rate cut expectations and equity market performance [9][37] - The report suggests that the new redemption regulations primarily alleviate the yield spread issues between different bond types, providing some downward value for high-yield bonds, but their direct impact on long-term bond yields is limited [9][37] - Current expectations indicate that the 10-year government bond yield may fluctuate between 1.8% and 1.9%, with a strong value proposition if it rises above 1.9% [9][37] Group 3 - The bond selection strategy emphasizes focusing on bonds with high odds value, particularly in the 4-5 year range for government bonds and national development bonds [10][12] - Specific bonds such as 250420 and 240210 are highlighted for their potential value, while older bonds and 50-year government bonds are recommended for relative value after stabilization in the long bond market [12][11] - The report also identifies opportunities in floating rate bonds and short-term credit bonds, suggesting a focus on 2-3 year floating rate bonds based on the narrowing spread logic between national development and government bonds [12][10] Group 4 - The report discusses the current state of government bond futures, indicating that the main contract's internal rate of return remains high, with specific contracts recommended for both long positions and hedging opportunities [13] - The analysis of the futures market shows a strong bearish sentiment, particularly in the TF contract, while the TL contract has seen a recent recovery in bullish sentiment [13][20] - The report suggests that the current market conditions may provide opportunities for spread strategies, particularly in the short end of the yield curve [13][20]

12月18日，标普信用评级(中国)有限公司(以下简称"标普信评")召开了2026年银行业展望会议。该机构 对2025年商业银行的整体经营状况进行了简要回顾，并从信用质量、规模增长、资本充足、盈利能力、 资产质量等维度，对2026年商业银行的经营进行展望。 标普信评认为，回顾2025年，商业银行规模增速整体平稳，资本保持充足，但是盈利能力承压。2026年 行业预计稳字当头，但是需要关注盈利压力和局部风险。 作为资产端的重要组成部分，商业银行的金融投资业务近年来颇受关注。过去几年的债券牛市行情为商 业银行的金融投资业务带来了可观的收益，但2025年以来债市波动加剧，对商业银行债券投资带来了一 定挑战。邹雪飞表示，2026年预计商业银行的债券投资策略将由较为单一的趋势性配置转向收益、资 本、流动性等多种目标兼顾的平衡性策略。 资本充足率方面，邹雪飞表示，预计2026年商业银行的一级资本充足率维持在12%左右，同时资本结构 保持稳定。一是基于今年财政部发行5000亿元特别国债注资国有大行，二是地方政府通过发行专项债支 持中小银行补充资本。需要注意的是，如果房地产回稳不及预期或零售坏账持续上升，部分中小银行的 资本韧性 ...

国债期货方面 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 2025 年 12 月 15 日 债市观点及组合策略推荐 债券择券思路及个券关注 债券策略周报 20251215 当前债市策略的三个问题 glmszqdatemark [Table_Author] 分析师 徐亮 执业证书： S0590525110037 邮箱： xliang@glms.com.cn 针对当前债券市场，建议投资者可以关注三个问题： 1.为什么投资者在 30 年利率修复后的离场情绪浓厚？以 30 年活跃券 25T6 来衡 量本轮行情，其从 11 月中旬 2.13%左右上行 15BP 至 2.28%左右，其修复行情 从高点回落超过 8BP。如果投资者认为债市可以反转变好，那么继续关注利率下 行机会是合适的；但如果认为是反弹行情，在利率修复上行幅度的一半后，其继 续修复的空间和可能性则较小，此时应该及时降低关注。而当前可能使得债市反 转向好的因素需要关注两点，即央行是否在短期有降息可能性、银行保险等配置 力量有没有明显增加迹象。预计这两点在明年一季度中后期可能较为明显。 2.在 30-10Y 利差明显走扩后，1 ...

债券研究 证 券 研 究 报 告 【债券深度报告】 稳握票息，静待波澜 ——2026 年利率债年度投资策略 ❖ 债市策略：票息为矛、交易为盾 1、再议定价锚：从政策利率到市场利率。（1）10y 定价锚：基本面和政策条 件稳态环境下，参考 25 年关税冲击后 10y 国债运行区间、央行给出的合意区 间、配置与交易行为的变化，我们认为 10y 国债的核心波动区间大致在 OMO+30~50BP，行情极致时可能出现上下 5bp 的超额波动。（2）10y 国债运 行区间：OMO 降息 1 次 10BP（55%概率），全年波动区间预计在 1.6-1.9%； 不降息环境中（40%概率），全年波动区间 1.7-2.0%。（3）30y 定价锚：供需结 构并不占优，30-10y 利差大致可按 30-50BP 观察。（4）1y 定价锚：1y 国股行 存单利率下限或在 DR007+10BP 左右，接近+20BP 具备配置性价比。 2、震荡市赚什么钱？如何操作？ （1）票息为盾：重视震荡市场票息对组合的贡献提升，一是要充分把握票息 的时间价值，早配置早收益，二是要抓住调整窗口积极进行票息布局，在调整 中可以使用"华创三维度比价模型"寻 ...

Summary of Key Points from the Conference Call Industry Overview - The focus is on the bond market, particularly the dynamics of long-term and short-term interest rates, as well as investment strategies for December 2025 [1][2][3]. Core Insights and Arguments - **Cautious Investment Stance**: The bond market is under pressure, and a cautious approach is recommended. There is no strong bearish sentiment, but optimism is also not warranted due to the lack of new variables to drive rates down [2][3]. - **Long-term Interest Rates**: The 30-year government bond has seen significant declines due to poor market sentiment, expectations of increased special government bonds, and rising inflation expectations. The spread between 30-year and 10-year bonds remains high [3][4]. - **Short-term Interest Rates**: The one-year deposit rate has limited downward potential, and the current environment suggests that short-term bonds should be treated with a focus on coupon income, especially when there is room for arbitrage [4][7]. - **Investment Strategies**: Three recommended strategies include: 1. High-leverage short-duration credit strategy for cautious investors [5]. 2. Selection of well-performing bonds within the same duration, such as 5-year and 10-year government bonds [5]. 3. Focus on more flexible instruments like 30-year government bonds [5]. - **Credit and Local Government Bonds**: Preference for liquid 3-5 year bonds, with a focus on new and old bonds over three years for better value [6]. Additional Important Insights - **Central Bank Buying Scale**: The current central bank buying scale is 50 billion, which is below market expectations. If short-term rates rise, the central bank may increase its buying scale [7]. - **Bond Spread Dynamics**: The reasonable spread between specific bonds (e.g., 特二 and 特六) is estimated to be around 3 basis points, with recent fluctuations noted [8]. - **Investment Value of 2,502 Bonds**: The investment logic for 2,502 bonds hinges on whether they will be renewed in Q1 2026, with potential for significant activity if renewed [9]. - **Short-term Bonds and Floating Rate Bonds**: Recommendations include 5-year government bonds and specific floating rate bonds for investors looking for good holding value [10]. - **Trends in Convertible Bonds**: The convertible bond market is expected to be volatile in December, with a focus on low-valuation stocks and those with less crowding [12][13]. - **Market Relationships**: The relationship between the convertible bond market and the stock market is crucial, with potential valuation fluctuations expected due to market conditions [14]. - **New vs. Old Bonds**: New bonds are favored due to lower risk of forced redemption, while old bonds face higher risks [15]. - **Balanced Convertible Bonds**: These bonds are recommended for defensive strategies due to their stable price performance [16]. - **Sector Focus**: Attention is drawn to sectors like AI, nuclear fusion, and quantum computing, with specific companies highlighted for their potential [17].

Core Viewpoint - The article discusses the investment strategy for bonds in 2026, emphasizing the need to seek opportunities amidst fluctuations in the market [2] Group 1: Market Analysis - The bond market is expected to experience volatility due to various economic factors, including interest rate changes and inflation trends [2] - The research highlights the importance of monitoring macroeconomic indicators to identify potential investment opportunities [2] Group 2: Investment Strategy - The strategy suggests a focus on high-quality bonds to mitigate risks while aiming for stable returns [2] - It recommends diversifying bond portfolios to include a mix of government and corporate bonds to enhance yield [2] Group 3: Economic Indicators - Key economic indicators such as GDP growth, unemployment rates, and consumer spending will play a crucial role in shaping the bond market outlook [2] - The article emphasizes the need for investors to stay informed about central bank policies and their impact on interest rates [2]

Summary of Conference Call on Bond Investment Strategy Industry Overview - The focus is on the bond investment strategy for the year, particularly in the context of low interest rate expectations and limited downward space for both long-term (10-year government bonds) and short-term (1-year time deposits) rates [1][2][3]. Key Points and Arguments 1. **Interest Rate Expectations**: The current market has low expectations for interest rate cuts in the short term, which limits the downward movement of both long and short-term interest rates [2][3]. 2. **Investment Strategy for Year-End**: Investors should focus on institutional allocation intentions and the performance of the equity market. An increase in institutional allocation may compress the spread between government bonds and policy bank bonds [1][3]. 3. **Credit Bonds vs. Government Bonds**: The spread between credit bonds and policy bank bonds is thin, while the spread between credit bonds and government bonds is wider. Short-term credit bonds are positioned low, but there is still room for three to five-year credit bonds [4][5]. 4. **Monetary Policy Outlook**: The monetary policy is expected to maintain a loose growth-oriented approach next year, with limited impact from the current tightening of liquidity. The probability of easing measures this year is low, but the central bank may prepare for policy easing in Q1 next year [6][7]. 5. **Portfolio Construction**: For absolute return portfolios, a defensive stance with slightly lower duration is recommended, while relative return portfolios should seize opportunities such as the compression of spreads between policy bank bonds and government bonds [7][8]. 6. **Short-term vs. Long-term Strategies**: For short-term trading, focus on mid-term policy bank bonds due to clear returns. For long-term holding, consider 10-year secondary capital bonds, but be aware of their weaker liquidity [8][9]. 7. **Spread Compression Opportunities**: There are notable opportunities for spread compression between policy bank bonds and government bonds, which investors should monitor for potential profits [10][11]. 8. **Selection of Policy Bank Bonds**: Investors are advised to choose the main bond 215 over the new bond 220 for 10-year policy bank bonds due to liquidity considerations [11]. 9. **Changes in Investment Strategy**: Recent recommendations have shifted towards a more cautious approach as the year-end approaches, adjusting portfolios to mitigate risks associated with potential market volatility [14]. Other Important Considerations - The impact of new redemption regulations and changes in fund buying power for policy bank bonds should be closely monitored, as these factors will influence market trends at year-end and into next year [6][7]. - The use of hedging strategies, such as constructing combinations of 5-year secondary capital bonds with futures, can help mitigate risks and enhance returns [13].

Group 1 - The report suggests that in the absence of strong expectations for short-term interest rate cuts, both long-term government bond yields and short-term deposit rates are unlikely to decline significantly. The market currently does not anticipate easing of short-term funds or a reduction in LPR [1][8][37] - It is recommended to focus on two strategies for portfolio construction: 1. Opt for slightly lower duration for defensive positioning, waiting for a rate adjustment of around 5 basis points before considering extending duration; 2. Maintain a market-neutral or slightly longer duration stance, with risk exposure suggested to be placed in active bonds where spreads can compress, such as government bonds and ultra-long government bonds [1][8][40] Group 2 - For bond selection, the report emphasizes prioritizing long-term interest rate bonds, particularly focusing on 250215. If there is a higher frequency demand for duration adjustment, 25T6 should be considered. For higher yield bonds like 25T5 and 25T3, attention should gradually decrease as spreads compress further [2][10][12] - In the context of credit bonds, the report notes that the spread between 3-5 year credit bonds and government bonds is already low, indicating limited room for further compression. It is suggested to focus on mid-term government bonds for short-term capital gains, while mid to long-term credit bonds may offer better value for long-term holding [3][13] Group 3 - The report indicates that the current overall IRR level of government bond futures is slightly higher than the funding rate, with most futures contracts being relatively expensive compared to cash bonds. The strategy of focusing on the compression of spreads between government bonds and government-backed bonds is recommended [4][14] - The report highlights that the bond market has maintained a volatile trend, with government bonds showing stronger performance. Despite weak financial and economic data in October, interest rates have not significantly declined, and the market sentiment towards bonds remains cautious [15][20]