Group 1 - The bond market sentiment has improved, with the long-end yields reaching a temporary low, as the 30Y active bond yield broke through 2.25%, down approximately 9 basis points from the monthly high [7][9] - Economic data for December was largely in line with expectations, having a limited impact on the bond market, while the equity market showed a slight slowdown [7][9] - The People's Bank of China announced an excess rollover of MLF, injecting liquidity into the market, which contributed to the overall downward trend in bond yields [7][9] Group 2 - The issuance of government bonds in Q1 2026 is expected to continue to be front-loaded, with a higher proportion of long-term bonds [13][14] - In January 2026, local government bond issuance significantly exceeded the same period last year, with 773.4 billion yuan issued, an increase of 215.9 billion yuan year-on-year, and a high proportion of long-term bonds [28][29] - The demand for long-term bonds remains weak, with institutional enthusiasm for new bonds not particularly high, although there is still some demand for new issues [33][38] Group 3 - The financial institutions' asset allocation pressure has eased, indicating a gradual weakening of the "asset shortage" in the bond market, which corresponds to fluctuations in the 10Y government bond yield [46] - The attractiveness of equity assets remains high, and the new margin policy is not expected to have a significant disruptive effect on the market [47][49] - The overall performance of long-term pure bond funds has been significantly lower compared to equity-related funds, indicating a lack of profitability in the bond market [49][51]

债市机构行为分析框架概览——宏观利率篇 20250729 摘要 高频成交数据能及时反映债市机构买卖趋势，但存在数据滞后和买卖加 总为零的局限性，需结合移动平均等方法平滑噪音，识别趋势。 托管数据分类粗糙且滞后，无法及时反映当月持仓变动，对快速变化的 市场行情意义有限，且未包含保险资管等重要参与者数据。 机构行为通过规模变动和策略分歧影响债券定价。例如，禁止手工补息 导致银行存款短缺，推动资金价格上升，利好某些券种。 理财产品行为趋于保守，将流动性管理压力外包给公募基金，可能预防 性赎回债券基金，从而带动利率调整，需密切关注其可能带来的市场波 动。 当前债市表现出急跌急涨、波动加剧等特征，公募基金久期逐年攀升， 反映出投资者不愿意退出长期持有，以及整体债券发行期限拉长导致久 期风险被动拉伸。 未来两三年内债券资产荒将持续存在，机构只能接受未来较长时间内收 益偏低的现实，企业不愿意借钱使得机构难以配置到合意的高息资产， 投资难度较大。 银行通过账户划分调节利润表压力，TPL 账户对利润表造成压力，AC 账 户适用于吃票息，OCI 账户用于中长期交易，通过综合收益变动实现对 利润表调节。 Q&A 债市机构行为研究的 ...