分析师：徐至 登记编码：S0730525040001 A 股科技消费均衡配置，债市区间震荡 把握长债机会 ——月度策略 相关报告 《月度策略：温和修复中的震荡蓄势——月 度策略》 2026-02-04 《月度策略：继续关注科技成长及高股息 "哑铃"策略——月度策略》 2026-01-07 《月度策略：平稳收官, 高股息防御与科技 成长布局——月度策略》 2025-12-03 联系人：李智 0.00 0.50 1.00 1.50 2.00 2.50 2,900.00 3,100.00 3,300.00 3,500.00 3,700.00 3,900.00 4,100.00 4,300.00 上证综合指数 中债国债到期收益率:10年(%) 证券研究报告-月度策略 发布日期：2026 年 03 月 04 日 投资要点： 电话： 0371-65585629 地址： 郑州郑东新区商务外环路10号18楼 地址： 上海浦东新区世纪大道1788 号T1座22楼 股市回顾。2 月 A 股市场中小盘风格全面占优，中证 2000、中证 1000 等小盘指数月度领涨，沪深 300 等大蓝筹相对滞涨，风格层 面周期与成长双轮驱动，金融 ...

证券研究报告 固收点评报告 hyzqdatemark 2026 年 03 月 01 日 长债调整或是机会 ——3 月债市投资策略 投资要点： 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 请务必仔细阅读正文之后的评级说明和重要声明 联系人 2 月中上旬长债延续反弹，但 2 月底阶段性调整。2 月初-2 月 25 日，10Y 及 30Y 国债收益率缓慢下行，但之后 2 日有所调整。2 月底长债有所回调，或主要系上海房 地产政策放松引发券商及基金等交易盘止盈，2 月 26 日及 27 日券商及基金合计净 卖出超长（剩余期限 20Y 以上）利率债 403 亿。我们认为，交易盘止盈或是机会， 情绪企稳后长债收益率有望再度回落。2026 年 1 月 1 日-2 月 27 日，券商及基金合 计净卖出超长利率债 970 亿元，上年同期仅净卖出 515 亿；同时期，国股行、城农 商行及险资分别净买入超长利率债-1088 亿、417 亿及 1545 亿，同比分别多增 567 亿、447 亿及-497 亿元。尽管券商自营及基金等交易盘大幅净卖出超长利率债，但 ...

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: December 31, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Report Highlights 1. Industry Investment Rating - Not provided in the report 2. Core Viewpoints - In the short term, the bond market is greatly affected by sentiment. The game of expectations for interest rate cuts and long - term bond supply causes futures to fluctuate but difficult to break through. With the potential pressure of the stock market's Spring Festival rally on the bond market, there are many short - term negative factors. However, the cross - year capital market is expected to remain loose, supporting short - term bonds. It is recommended to focus on the strategy of shorting long - term and going long short - term bonds. In the long run, after continuous adjustments, bond interest rates have returned to a reasonable level, and there is room for easing next year. The first quarter may face multiple negative factors and provide good allocation opportunities, followed by potential upside for long - term futures contracts [11][12] 3. Summary by Section **3.1 Market Review and Operation Suggestions** - **Market Conditions**: Market sentiment recovered, and 30 - year long - term bonds rebounded after a sharp decline the previous day [8] - **Interest Rate Bonds**: Yields of major inter - bank interest - rate bonds fluctuated within a narrow range. The yield of the 10 - year Treasury bond active bond 250016 rose 0.2bp to 1.86% [9] - **Funding Market**: Inter - bank funding costs increased due to the year - end. The central bank net injected 253.2 billion yuan through reverse repurchase operations. The overnight DR rate fluctuated around 1.24%, and the 7 - day funding rate rose 9.3bp to 1.69%. The 1 - year AAA certificate of deposit rate fell 3bp to 1.6% [10] - **Conclusion**: Short - term negative factors are numerous, but the cross - year capital market is expected to support short - term bonds. Long - term bonds may have good allocation opportunities after the first - quarter negative factors are digested [11][12] **3.2 Industry News** - China will be the first economy to pay interest on central bank digital currency. The new digital RMB measurement framework will be launched on January 1, 2026 [13] - China will implement import provisional tax rates on 935 commodities in 2026, and the number of tariff items will increase to 8972 [13] - From January to November, the total operating income of state - owned enterprises was 75.63 trillion yuan, a year - on - year increase of 1%, and the total profit was 3.72 trillion yuan, a year - on - year decrease of 3.1%. The asset - liability ratio at the end of November was 65.2%, a year - on - year increase of 0.3 percentage points [13] - Market supervision authorities will strengthen anti - monopoly law enforcement and platform economy regulation in 2026 [14] - The National Housing and Urban - Rural Development Work Conference proposed high - quality urban renewal, and many places have included it in their "15th Five - Year Plan" [14] - Shenzhen's "15th Five - Year Plan" suggests promoting real estate investment in affordable housing and improved commercial housing [14] **3.3 Data Overview** - **Treasury Bond Futures Market**: Data such as the opening price, closing price, settlement price, and trading volume of various treasury bond futures contracts on December 30 are provided [6] - **Money Market**: Information on inter - bank repurchase rates and SHIBOR is presented, but specific numerical summaries are not provided in the text [23][31] - **Derivatives Market**: Information on Shibor3M and FR007 interest rate swap curves is presented, but specific numerical summaries are not provided in the text [36]

Group 1 - Seven provinces have repaid a total of 3.342 billion yuan of illegal new government hidden debts [1] - The Ministry of Finance is enhancing debt risk management and has publicly reported 12 typical accountability cases for new hidden government debts [1] - Nine regions have returned 1.848 billion yuan of agricultural loans that were improperly collected by state-owned enterprises [1] Group 2 - Henan Province Jinshui Investment Management Co., Ltd. has been rated AAA with a stable outlook [2] - The company was established in December 2010 with a registered capital of 750 million yuan and is a subsidiary of Zhengzhou Jinshui Holding Group Co., Ltd. [2] Group 3 - The People's Bank of China conducted a 67.3 billion yuan reverse repurchase operation with a fixed interest rate of 1.40% [3] - The operation resulted in a net withdrawal of 63.6 billion yuan for the day [3] - Shibor rates showed mixed performance, with the overnight rate dropping to 1.272%, the lowest since August 2023 [3] Group 4 - The LPR for December remained stable, with the one-year LPR at 3% and the five-year LPR at 3.5% [4] Group 5 - The Shanghai Stock Exchange has revised and published guidelines for the management of corporate bond duration business [5] - The guidelines aim to standardize information disclosure, payment of principal and interest, interest rate adjustments, and convertible bond exchanges [5] Group 6 - Fujian Province plans to issue local government bonds totaling 83.29813 billion yuan in the first quarter of 2026 [6] - Guizhou Province plans to issue local government bonds totaling 94.926 billion yuan in the same period [6] - Hainan Province plans to issue local government bonds totaling 18 billion yuan in the first quarter of 2026 [6] Group 7 - Xinxiang Investment Group plans to issue 800 million yuan of short-term corporate bonds, which have been accepted by the Shanghai Stock Exchange [8] - The issuer has a credit rating of AA+ with a stable outlook [8] Group 8 - Pingdingshan Smart City Technology Co., Ltd. is planning to issue up to 1 billion yuan in corporate bonds [10] - The company is fully controlled by Pingdingshan Urban Construction Investment and Operation Group Co., Ltd. [10] Group 9 - Huaihua City Construction Investment Co., Ltd. announced the transfer of equity stakes in several companies to local government entities [11] - This transfer will result in a reduction of 732 million yuan in net assets over the next 24 months [11] Group 10 - Nanning Urban Construction Investment Group has successfully exited the local government financing platform after optimizing its debt structure [13] Group 11 - Guiyang Investment Holding Group's legal representative has been restricted from high consumption due to a construction contract dispute [14] - Hengyang High-tech Holdings received a warning letter for misusing 157 million yuan of bond funds, which is 24.15% of the total raised [14] Group 12 - Huafu Fixed Income suggests caution towards long-term low-quality city investment bonds and maintains a wait-and-see approach on real estate bonds [15] - The market is experiencing increased divergence regarding long-term low-quality city investment bonds due to changes in debt resolution policies [15] Group 13 - Huachuang Fixed Income anticipates a slightly warmer sentiment in the bond market as it enters the year-end allocation window [16] - Fund managers are inclined to increase allocations to short-term bonds while considering valuation fluctuations [16]

Group 1: Fixed Income Market Insights - The report highlights the significant adjustment in the long-term bond market, indicating a supply-demand imbalance due to increased government bond issuance, which rose from 4.77 trillion in 2018 to approximately 13.35 trillion by December 2025 [6][7] - It is suggested that the future demand for ultra-long bonds may weaken, particularly from insurance funds, as the issuance of long-term bonds has surged, leading to increased pressure on banks' investment durations [7][8] - The report recommends addressing the supply-demand imbalance by controlling the issuance of government bonds and encouraging the central bank to purchase ultra-long bonds to alleviate market pressures [8][9] Group 2: China Jushi Co., Ltd. Insights - The report discusses the confidence of major shareholders in China Jushi Co., Ltd., with plans for significant share buybacks totaling between 6.75 billion and 11 billion RMB, reflecting a strong belief in the company's long-term growth potential [12][13] - China Jushi is recognized as a leading global manufacturer in the fiberglass industry, with a production capacity of nearly 3 million tons of fiberglass yarn and a compound annual growth rate (CAGR) of 9.72% in revenue from 2014 to 2024 [13][14] - The company is entering the high-end electronic fabric market, which is expected to benefit from increased demand driven by advancements in computing power, positioning it for substantial growth in this sector [13][14]

Group 1 - The bond market experienced increased volatility in November, with a general upward trend in yields and a slight steepening of the yield curve, as the 10-year government bond yield rose by 5 basis points (BP) to 1.84% and the 1-year yield increased by 2 BP to 1.4% [1][7][8] - Factors influencing the bond market included fluctuations in liquidity, the stock-bond relationship, and changing policy expectations, leading to cautious market sentiment [1][7][8] - The yield curve showed a divergence in movements across different maturities, with the short and medium-term yields rising more significantly than the long-term yields [8][17][25] Group 2 - Looking ahead to December, key focus areas include the outcomes of major central meetings and the potential for institutional behavior to drive early positioning in the market [2][3][26] - The government is expected to have a net supply of approximately 650 billion yuan in government bonds, returning to a lower level for the year, with specific allocations for various types of bonds [2][39][40] - The liquidity environment is anticipated to remain balanced, although there may be short-term pressures due to large maturities of certificates of deposit [2][45][48] Group 3 - The upcoming central economic work conference is expected to provide guidance on macroeconomic policies, including monetary easing and fiscal measures, with a focus on consumption and real estate [3][55][56] - The market is also watching for potential adjustments in monetary policy, particularly regarding the Loan Prime Rate (LPR) and the implications of recent changes in bank deposit products [3][58] - The real estate sector is under scrutiny for potential new policies aimed at stabilizing the market, with expectations for coordinated efforts on both supply and demand sides [3][57]

Group 1 - The report highlights the significant adjustment in the long-term bond allocation value, particularly noting the weak performance of ultra-long bonds and the systemic reduction in duration by broker proprietary trading and bond funds due to limited capital gains expectations [1][2] - Since 2018, the net issuance of government bonds has rapidly increased from 4.77 trillion to approximately 13.35 trillion by December 2, 2025, with an expected net issuance of around 13.8 trillion for 2025, indicating a substantial increase in bond supply [1][2] - The report indicates a supply-demand imbalance for ultra-long bonds, with the annual issuance of interest rate bonds with a maturity of 20 years or more increasing from 1.96 trillion in 2021 to 5.28 trillion by December 2, 2025, leading to increased duration pressure on bank proprietary bond investments [1][2] Group 2 - Recommendations for addressing the ultra-long bond issues include controlling the issuance duration of government bonds and exploring the issuance of floating rate bonds to mitigate interest rate risk for banks [1][2] - The report suggests that the central bank should increase its own allocation of ultra-long bonds and encourage insurance funds to enhance their allocation to reduce the asset-liability duration gap [1][2] - The report notes that the conditions for further policy interest rate cuts may be in place, as the overall cost of interest-bearing liabilities for banks has decreased significantly, supporting the potential for lower LPR and policy rates [2]

Summary of Conference Call on Bond Market Outlook and Investment Strategy Industry Overview - The conference call primarily discusses the bond market outlook for 2025 and 2026, focusing on the impact of macroeconomic factors, inflation, and government policies on bond yields and investment strategies [1][2][3]. Key Points and Arguments 1. **Interest Rate Outlook**: - The central bank is expected to maintain the 10-year government bond yield between 1.7% and 1.9% due to limited fundamental recovery [1][4]. - A slight interest rate cut of 10 basis points has occurred, but long-term bond yields have decreased significantly from 2.0% to 1.6% [2][3]. 2. **Inflation Concerns**: - Inflation is primarily driven by upstream factors, with no significant improvement in sectors like real estate or food [1][2][3]. - The sustainability of the recent CPI growth is questioned, as commodity prices have not shown significant recovery [3]. 3. **Market Dynamics**: - The bond market has faced challenges due to a recovering equity market, which has not led to a corresponding increase in bond yields [2][5]. - The central bank's bond purchasing activities signal a desire to prevent rapid increases in yields, aiming to stabilize the market around 1.8% [11][12]. 4. **Investment Strategy**: - The investment approach emphasizes "configuration trading," focusing on market sensitivity and flexibility to navigate uncertain conditions [7][9]. - The strategy includes controlling drawdowns and maintaining agility in trading to capitalize on structural opportunities [7][9]. 5. **Impact of Regulatory Changes**: - New regulations on fund redemption fees may impact funds holding long-duration bonds, potentially leading to increased market volatility [13][14]. - The anticipated redemption volume could reach 700 billion, affecting market dynamics [13]. 6. **Government Policies**: - The government's efforts to address debt issues and increase fiscal special bonds are seen as positive but may not directly stimulate GDP growth [10]. - The real estate market's stability is crucial for consumer confidence and overall economic recovery [10][18]. 7. **Market Sentiment**: - Despite the challenges, there is a relatively optimistic outlook for bond market configuration opportunities towards the end of the year, supported by the central bank's actions [5][6]. Other Important Insights - The bond market is expected to remain in a narrow fluctuation range, with trading strategies needing to adapt to short-term market movements rather than long-term predictions [23]. - The importance of maintaining strict stop-loss disciplines and psychological resilience in trading is emphasized to manage risks effectively [24][26][27]. - The overall macroeconomic environment is stable, but the potential for interest rate cuts is increasing as the central bank seeks to support economic growth [16][18]. This summary encapsulates the key insights and strategies discussed in the conference call, providing a comprehensive overview of the current and future outlook for the bond market.

Summary of the Conference Call on Bond Market Investment Strategy Industry Overview - The focus is on the bond market, specifically the investment strategies for November 2025, highlighting a strong but limited downward movement in bond prices with low risk [1][4]. Key Points and Arguments - **Economic Expectations**: Investors have high expectations for a strong economic start in the coming year, supported by positive developments in US-China trade negotiations and potential recovery in PMI data [1][3]. - **Interest Rate Trends**: The ten-year government bond yield needs more favorable conditions to effectively drop below 1.7%. Current conditions show a 7,000 fund level around 1.4, indicating a loose but not extremely low liquidity environment [2][3]. - **Duration Strategy**: It is recommended to maintain a neutral to slightly high duration strategy in November, focusing on opportunities to compress spreads, particularly in 30-year non-active bonds, 50-year government bonds, and 5-10 year active government bonds [5][11]. - **Short-term vs Long-term Bonds**: Short-term certificates of deposit are not cost-effective, while short-term government bonds are less likely to decline due to central bank purchases. If short-term rates continue to decline, a bullet strategy is preferred; if rates fluctuate, a balanced approach between bullet and barbell strategies is suggested [6][10]. - **Central Bank Actions**: The central bank restarted government bond trading to stabilize the balance sheet and as a long-term liquidity tool. This move is crucial given the declining balance of central government debt from January to September [7][8]. - **Government Bond Supply**: Although the net financing scale of government bonds in Q4 is lower than last year, it is still significant, necessitating central bank cooperation. The expected net financing scale for November to December is approximately 1.7 trillion, lower than last year's nearly 3 trillion [9][10]. - **Future Monetary Policy**: There is a high probability of interest rate cuts next year, although the likelihood of cuts within the year is low. The central bank may adopt a more flexible approach to reserve requirement ratio adjustments based on market conditions [10][12]. - **Investment Recommendations**: For 10-year government bonds, the new bond 220 is less attractive compared to the main bond 215 due to its small issuance scale. Recommendations include focusing on high-value long-term bonds such as the 30-year and 50-year government bonds [11][12]. - **Floating Rate Bonds**: Floating rate bonds benefit from declining short-term rates, but many are currently overpriced. Investors are advised to selectively focus on specific floating rate products [13]. - **Bond Futures Strategies**: The December contract IR2 is at a high level, suggesting effective hedging strategies using bond futures. Specific analysis is required for different contracts during the November rollover [14]. Other Important Insights - The overall bond market is expected to remain strong with limited downside risk, indicating a cautious but optimistic outlook for investors [4]. - The central bank's actions are crucial for maintaining liquidity and supporting the bond market amid fluctuating economic conditions [8][10].

1. Report's Industry Investment Rating The provided content does not mention the industry investment rating. 2. Report's Core View - Adopt short - and medium - term credit as the foundation, conduct band - trading on secondary and perpetual bonds, and be cautious about chasing long - term credit. The central bank's bond - buying is not a one - time benefit. It aims to promote banks to expand their balance sheets and absorb the fourth - quarter supply. There may be more measures to encourage bank bond - buying, and the bond market is likely to turn around in the fourth quarter, but the process will not be rapid. Short - duration credit remains the core, secondary and perpetual bonds can be traded in bands, and long - term credit should be approached with caution [5][8]. - In terms of specific allocation, continue to explore the steeper parts of the 2 - 3Y yield curve. There are many entities with a 3Y - 2Y term spread of over 25bp in public bonds, and there is also a wide range of bond selection with a 5Y - 3Y term spread between 30 - 40bp [5][10]. 3. Summary According to Relevant Catalogs 3.1 Credit Bond Weekly View - The central bank's restart of treasury bond trading enhanced Q4 liquidity, leading to a rapid decline in bond yields and a rise in credit bonds, especially in the medium - and long - term. Future central bank policies may further boost the bond market. Short - duration credit is the base, secondary and perpetual bonds can be traded in bands, and long - term credit should be chased cautiously [5][8]. - Suggest exploring the 2 - 3Y steeper parts of the yield curve, with favorable term - spread conditions for bond selection [5][10]. 3.2 Credit Bond Weekly Review 3.2.1 Negative Information Monitoring - From October 27 to November 2, there was no downgrade in corporate or bond ratings. However, some companies had negative events, such as Rongqiao Group with large - scale overdue loans and commercial acceptance bills, and Greenland Holdings with a large number of new lawsuits [12][13]. 3.2.2 Primary Issuance - Credit bond issuance decreased significantly week - on - week, and the maturity volume also shrank. The net financing was 126 billion yuan, indicating a basic balance between inflow and outflow. Two bonds with a total scale of 700 million yuan were cancelled or postponed. The issuance cost fluctuated slightly, with the AA+ level rising slightly [13][14]. 3.2.3 Secondary Trading - The repair slope of credit bonds of all grades and tenors increased, with a central decline of about - 6bp. Credit spreads widened at the short end and narrowed at the long end. The 5Y - 1Y term spread of all grades narrowed significantly, and the 3Y - 1Y spread narrowed slightly. The AA - AAA grade spread narrowed at the short - and medium - term and widened at the long - term. The weekly turnover rate decreased slightly to 2.02%. Only one bond was traded at a discount of over 10%, and no real - estate enterprise bonds were involved. The top five real - estate enterprises with widening spreads were Times Holdings, Yuzhou Hongtu, and Zhongjun [17][25][26].