Report Industry Investment Rating - The report does not mention the industry investment rating. Core Viewpoints of the Report - In December 2025, the weakening of the US dollar and the improvement of risk appetite led to a steeper curve overseas, while in China, loose funds drove the yield curve to steepen. The bond market remained volatile due to the supply - demand contradiction at the long end [2]. - In 2026, the PPI is facing three positive factors: the tail - lifting factor, imported inflation, and the continued effectiveness of the "anti - involution" policy. Under the neutral scenario, the PPI is expected to turn positive in the second quarter of 2026 and reach around 1.2% by the end of the year. The mild re - inflation needs to resonate with other factors to significantly affect the bond market [3][55]. - Currently, the bond market is in a wait - and - see state. It is expected to remain volatile in the short term, lacking the motivation and space for trend trading. There are some structural opportunities, such as the follow - up rise opportunity of 5 - 7Y China Development Bank bonds and the compression opportunity of credit spreads [4]. Summary by Directory PART1: December 2025 - Curve Steepening Driven by Overseas and Domestic Factors Overseas - In December 2025, the Fed announced reserve management - style purchases (RMP) and continued to cut interest rates. The US dollar index weakened, liquidity improved, the US stock market rose, and risk appetite recovered. The US bond yield curve steepened due to factors like Fed's short - term bond purchase, market concerns about Fed independence, and rising commodity prices. Precious and industrial metals performed well, with copper benefiting from AI demand and gold and silver supported by geopolitical events [10][16]. Domestic - In November 2025, the domestic economic fundamentals showed a divergence between quantity and price, and in December, both supply and demand declined. The capital market was generally loose, and the overnight interest rate hit a new low for the year. The bond market remained volatile due to the long - end supply - demand contradiction, and the yield curve steepened [17][23]. - In terms of institutional behavior, large banks and insurance companies, as allocation players, increased their bond - buying in the secondary market in December. Large banks added some policy - related financial bonds and focused on 5 - 7 - year varieties. Insurance companies mainly added long - term treasury bonds. Trading players became conservative. Rural commercial banks mainly invested in certificates of deposit, funds reduced duration and mainly sold long - term treasury bonds, and wealth management products seasonally reduced bond allocation and slightly increased credit bond allocation [26][35][47]. PART2: How the 2026 Re - inflation Narrative May Affect the Bond Market 2026 PPI's Three Positive Factors - The tail - lifting factor can support the PPI to turn positive in the second half of 2026 even without new price - increasing factors [55]. - Imported inflation may occur as overseas capital expenditure and manufacturing investment are likely to rise in 2026. The US deficit rate may expand, and the Fed's new round of easing may release emerging market countries' capital expenditure demand [57]. - The "anti - involution" policy has shown a supporting effect on the PPI. Since August 2025, the month - on - month PPI of the mining industry has turned positive, driving the overall PPI to turn positive since October [60]. PPI Forecast under Different Scenarios - Under the pessimistic scenario, the PPI is expected to turn positive in the second half of 2026 with an average monthly PPI growth rate of 0%. Under the neutral scenario, with a monthly average PPI growth rate of 0.1%, the PPI is expected to turn positive in the second quarter of 2026 and reach around 1.2% by the end of the year. Under the optimistic scenario, with a monthly average PPI growth rate of 0.2%, the PPI is expected to turn positive in April 2026 and exceed 2% in the second half of the year [67]. PPI's Impact on the Bond Market - Historically, during the four PPI upward cycles since 2009, three typical upward periods were driven by the resonance of domestic and overseas demand or supply - demand. The PPI and the bond market generally move in the same direction, but there were several periods of divergence, mainly due to strong economic recovery expectations or PPI being mainly affected by the supply side while the domestic demand did not improve significantly and the monetary policy remained loose [69][71]. - In 2026, the mild re - inflation needs to resonate with other factors such as total demand, central bank's capital management, financial institutions' liability - side stability, and the flow of activated household deposits to significantly affect the bond market. The trading of typical total assets based on re - inflation may have limited odds [78]. PART3: Bond Market Strategy for January 2026 - In January 2026, the bond market may still be in a wait - and - see period. Potential risks include government bond supply pressure, the spring rally in the equity market, and the first - quarter credit boom. Potential positive factors include the possible relaxation of large banks' bond - allocation pressure and the relatively loose capital market, with a higher probability of a reserve - requirement ratio cut than an interest - rate cut in January [81]. - The bond market is expected to remain volatile in the short term, lacking the motivation and space for trend trading. Structurally, there are opportunities such as the follow - up rise of 5 - 7Y China Development Bank bonds and the compression of credit spreads in credit bonds [4][83].

2025 年 12 月 22 日 债券研究周报 研究所： 证券分析师： 颜子琦 S0350525090002 yanzq@ghzq.com.cn 证券分析师： 洪子彦 S0350525100001 hongzy@ghzq.com.cn [Table_Title] 年末债市还有哪些好策略？ 债券研究周报 最近一年走势 相关报告 本篇报告解决了以下核心问题：1、近期债券市场行情复盘；2、近期机 构行为变化；3、后续债市行情展望。 投资要点: 国海证券研究所 请务必阅读正文后免责条款部分 《债券研究周报：10 年国债成交量为何下滑了？* 颜子琦，洪子彦》——2025-12-15 《债券研究周报：超长债企稳了吗？*颜子琦，洪 子彦》——2025-12-08 《破局而立，波段致胜——2026 年利率债投资策 略*颜子琦，刘畅，洪子彦》——2025-12-03 《固定收益点评：超长债阴跌，怎么看？*颜子琦， 洪子彦》——2025-12-03 《债券研究周报：年底债市机构行为格局之变*颜 子琦，洪子彦》——2025-11-30 | 1、 | 本周债市点评 | 4 | | --- | --- | --- | | 2、 | 债 ...

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - The pricing power of funds in the bond market has further increased, and there are still short - term long - trading opportunities. The high correlation between funds and interest rate trends has been further strengthened this year, and low interest rate fluctuations imply the enhancement of funds' pricing power in the bond market. Some "unexplained" interest rate increases may be due to the lack of bond - receiving institutions. The impact of fund institutional behavior on interest rate fluctuations may further expand, and short - term redemption pressure is controllable [2][11][15] 3. Summary According to the Directory 3.1 This Week's Institutional Behavior Review - **Correlation between funds and interest rates**: The high correlation between funds and interest rate trends is not new. Since 2024, the behavior of funds and interest rate trends have shown high correlation, and this year, the low - level fluctuation of interest rates has implied the further improvement of funds' pricing power in the bond market, which may be related to bank wealth management outsourcing [2][11][12] - **"Unexplained" interest rate increases**: This phenomenon may be related to the lack of bond - receiving institutions. Insurance institutions have reduced their allocation of national bonds since 2024, and rural commercial banks' intention to buy more as the interest rate adjusts is gradually decreasing [15] 3.2 Yield Curve - **Treasury bonds**: Short - term yields increased, while medium - and long - term yields decreased. The 1Y yield increased by 3bp, the 3Y yield increased by 1bp, the 5Y yield decreased by 2bp, the 7Y yield decreased by 1bp, the 10Y yield decreased by 1bp, the 15Y yield increased by 3bp, and the 30Y yield decreased by 3bp [17] - **China Development Bank bonds**: Yields decreased overall. The 1Y yield increased by 1bp, the 3Y yield decreased by 1bp, the 5Y yield decreased by about 2bp, the 7Y yield decreased by 2bp, the 10Y yield decreased by about 1bp, the 15Y yield decreased by 2bp, and the 30Y yield decreased by 1bp [17] 3.3 Term Spread - **Treasury bonds**: The interest spread increased, and the short - term spread narrowed while the long - term spread was differentiated. The 1Y - DR001 interest spread remained flat overall, and the 1Y - DR007 interest spread increased by 10bp [20] - **China Development Bank bonds**: The interest spread increased, and the short - term spread narrowed while the long - term spread was differentiated. The 1Y - DR001 interest spread increased by 2bp, and the 1Y - DR007 interest spread increased by about 8bp [22] 3.4 Bond Market Leverage and Funding Situation - **Leverage ratio**: It decreased to 107.14%. From September 1st to September 5th, 2025, the leverage ratio fluctuated and increased within the week. As of September 5th, it was about 107.14%, up 0.30pct from last Friday and 0.07pct from Monday [25] - **Average daily trading volume of pledged repurchase**: From September 1st to September 5th, the average daily trading volume of pledged repurchase was about 7.3 trillion yuan, a decrease of 0.24 trillion yuan compared with last week. The average daily trading volume of overnight pledged repurchase was 7.6 trillion yuan, a decrease of 0.43 trillion yuan month - on - month. The average overnight trading volume accounted for 88.35%, an increase of 2.89pct month - on - month [28][33] - **Funding situation**: Bank - based fund outflows first increased and then decreased. The main fund inflow party was funds, and the outflows of money market funds first decreased and then increased. DR007 and R007 fluctuated and decreased [34] 3.5 Duration of Medium - and Long - Term Bond Funds - **Median duration**: The median duration of medium - and long - term bond funds decreased. As of September 5th, the median duration (de - leveraged) was 2.77 years, a decrease of 0.04 years from last Friday; the median duration (including leverage) was 2.95 years, a decrease of 0.16 years from last Friday [45] - **Duration of different types of bond funds**: The median duration (including leverage) of interest - rate bond funds decreased to 3.75 years, a decrease of 0.16 years from last Friday; the median duration (including leverage) of credit bond funds decreased to 2.72 years, a decrease of 0.12 years from last Friday [51] 3.6 Category Strategy Comparison - **Sino - US interest rate spread**: It widened overall. The 1Y spread widened by 23bp, the 2Y spread widened by about 12bp, the 3Y spread widened by 13bp, the 5Y spread widened by 8bp, the 7Y spread widened by 11bp, the 10Y spread widened by 11bp, and the 30Y spread widened by 7bp [55] - **Implied tax rate**: The short - term spread narrowed, and the long - term spread was differentiated. As of September 5th, the 1Y spread between China Development Bank bonds and treasury bonds narrowed by about 1bp, the 3Y spread narrowed by 2bp, the 5Y spread changed by less than 1bp, the 7Y spread narrowed by 1bp, the 10Y spread widened by 1bp, the 15Y spread narrowed by 5bp, and the 30Y spread widened by 2bp [56] 3.7 Bond Lending Balance Changes - On September 5th, the lending concentration of active 10Y treasury bonds, active 10Y China Development Bank bonds, and active 30Y treasury bonds increased; the lending concentration of the second - active 10Y China Development Bank bonds decreased, and the lending concentration of the second - active 10Y treasury bonds remained unchanged. In terms of institutions, the lending of large - scale banks and other institutions decreased, while that of small - and medium - sized banks and securities firms increased [57]

Report Information - Report Title: "Fixed Income Weekly: Have Large Banks Started Buying Long-Term Bonds? - Weekly Report on Bond Market Institutional Behavior (Week 1 of August)" [1] - Report Date: August 10, 2025 [2] - Chief Analyst: Yan Ziqi [3] - Analyst: Hong Ziyan [3] 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Report Core View - The bond market ran smoothly this week, with the 10-year Treasury yield slightly dropping to 1.69%, the funding rate staying around 1.42%, and the 5-year AAA medium - short note yield dropping to 1.91% [3][11] - Large banks continued to buy short - term bonds, and although they bought some long - term bonds, the volume was less than 10 billion yuan, so it's hard to say they have started buying long - term bonds. However, they have bought long - term local government bonds in multiple weeks since June, which may be related to duration balance and return requirements [3][4][12] - Funds further increased their purchases of credit bonds and Tier 2 capital bonds. With the easing of the funding situation, the bond market leverage ratio climbed, and there is still an opportunity for credit spreads to compress [4][13] 3. Summary by Directory 3.1 This Week's Institutional Behavior Review - **Yield Curve**: Treasury yields declined overall, with the 1Y yield down 2bp, 3Y down 3bp, 5Y down about 3bp, 7Y down 1bp, 10Y down 2bp, 15Y flat, and 30Y up 1bp. For CDB bonds, short - term yields declined and long - term yields increased, with the 1Y yield changing less than 1bp, 3Y down 1bp, 5Y down 1bp, 7Y changing less than 1bp, 10Y up 2bp, 15Y up 2bp, and 30Y up 1bp [14] - **Term Spread**: Treasury interest spreads rose, and the spreads widened overall; CDB bond interest spreads were stable, and the middle - term spreads widened [15][16][17] 3.2 Bond Market Leverage and Funding Situation - **Leverage Ratio**: It dropped to 107.51%. From August 4th to August 8th, it first decreased and then increased during the week. As of August 8th, it was about 107.51%, down 0.07 pct from last Friday and up 0.24 pct from Monday [21] - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover of pledged repurchase this week was 8.1 trillion yuan, with the average daily overnight proportion at 89.87%. The average overnight turnover was 7.3 trillion yuan, up 1.53 trillion yuan month - on - month, and the overnight trading proportion was up 3.10 pct [27][28] - **Funding Situation**: Bank lending showed a fluctuating upward trend. As of August 8th, large and policy banks' net lending was 5.22 trillion yuan; joint - stock and urban/rural commercial banks' average daily net borrowing was 0.57 trillion yuan, and the net borrowing on August 8th was 0.74 trillion yuan. The net lending of the banking system was 4.47 trillion yuan. DR007 fluctuated upward, and R007 fluctuated downward [31] 3.3 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: The median duration of medium - and long - term bond funds decreased to 2.81 years (de - leveraged) and 3.12 years (leveraged). On August 8th, the de - leveraged median duration was 2.81 years, down 0.02 years from last Friday; the leveraged median duration was 3.12 years, down 0.06 years from last Friday [45] - **Duration by Bond Fund Type**: The median duration (leveraged) of interest - rate bond funds decreased to 3.92 years, up 0.04 years from last Friday; the median duration (leveraged) of credit bond funds decreased to 2.89 years, down 0.07 years from last Friday. The de - leveraged median duration of interest - rate bond funds was 3.44 years, down 0.03 years from last Friday; the de - leveraged median duration of credit bond funds was 2.65 years, down 0.04 years from last Friday [48] 3.4 Category Strategy Comparison - **Sino - US Yield Spread**: It generally narrowed, with the 1Y narrowing by 8bp, 2Y by 10bp, 3Y by 6bp, 5Y by 9bp, 7Y by 7bp, 10Y by 6bp, and 30Y by 3bp [54] - **Implied Tax Rate**: It generally widened. As of August 8th, the CDB - Treasury spread widened by 2bp for 1Y, 2bp for 3Y, 1bp for 5Y, about 1bp for 7Y, 3bp for 10Y, about 2bp for 15Y, and less than 1bp for 30Y [55] 3.5 Bond Lending Balance Changes - On August 8th, the lending concentration of the active 10 - year Treasury bond increased, while the lending concentration trends of the second - active 10 - year Treasury bond, active 10 - year CDB bond, second - active 10 - year CDB bond, and active 30 - year Treasury bond declined. All institutions showed a decline [59]

Report Industry Investment Rating - The report does not explicitly mention the industry investment rating. Core Viewpoints - The general deposit growth rate of the Big Four banks has been persistently low, and they face significant pressure. The difference in deposit rates between large and small - medium - sized banks may lead to a continued low growth rate of the Big Four's general deposits. The Big Four rely more on inter - bank liabilities to support asset expansion [1]. - The central bank's easing in Q2 2025 has supported the Big Four to expand their bond investment scale and increase leverage in the bond market, which has pushed down bond yields and exacerbated the problem of yield inversion in bond investments by banks and insurance funds. Attention should be paid to regulatory attitudes towards the bond market and central bank's actions on the capital side [1]. - It is recommended to be bullish on long - term urban investment bonds and bank capital bonds with yields above 2%. The investment value of interest - rate bonds is relatively low, and the spread of low - rated credit bonds is expected to further compress. It is also suggested to continue to pay attention to Hong Kong - listed banks [1]. Summary by Related Content Big Four Banks' Deposit Situation - Since 2024, the general deposit growth rate of the Big Four banks has declined rapidly. In 2024, from March to June, it dropped from 10.2% to 4.4%. In May 2025, the general deposits of the Big Four decreased by 0.2 trillion yuan, while those of small - medium - sized banks increased by 0.42 trillion yuan. As of the end of May 2025, the general deposit growth rate of the Big Four was 5.8%, significantly lower than 9.4% of small - medium - sized banks [1]. - From January to May 2025, the Big Four's liability scale increased by 8.46 trillion yuan, with general deposits increasing by 3.11 trillion yuan, accounting for only 36.8% of the liability increment. In contrast, the proportion of general deposits in the liability increment of small - medium - sized banks reached 88.4% [1]. Asset Expansion and Investment of Banks - As of the end of May 2025, the credit growth rate of the Big Four was 9.5%, and the bond investment growth rate was as high as 17.8%. The credit growth rate of small - medium - sized banks was 5.8%, and the bond investment growth rate was 15.2%. The Big Four rely on inter - bank liabilities and borrowing from the central bank to support asset expansion [1]. Bond Market Situation - In Q2 2025, the central bank was extremely accommodative. Since early June, the DR001 rate has often been below 1.4%. This has led to a significant increase in bond market leverage and bond fund duration. On June 20, the average duration of medium - and long - term bond funds reached 5.0 years, and the 10Y and 30Y treasury bond yields declined [1]. - The trading volume of bond - pledged repurchase in the bond market has risen to near - historical extreme levels, and the bond market leverage has reached a historical high. The 10Y treasury bond yield is approaching a previous low [1]. Investment Recommendations - It is recommended to be bullish on long - term urban investment bonds and bank capital bonds with yields above 2%. The investment value of interest - rate bonds is relatively low, and among interest - rate bonds, local bonds have a higher cost - performance than treasury bonds. The spread of low - rated credit bonds is expected to further compress, and it is estimated that the yield of 5Y high - grade credit bonds may reach 1.8% in the future [1]. - It is also suggested to continue to pay attention to Hong Kong - listed banks, as low domestic interest rates may drive up the valuation of high - dividend - yield targets [1].

Report Summary 1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints - In the past week (20250602 - 20250608), US stocks, the Hang Seng Index, and the FTSE China A50 Index all rose. The Nasdaq, S&P 500, and Dow Jones Industrial Average increased by 2.18%, 1.50%, and 1.17% respectively, and the Nasdaq China Technology Index rose 3.76%. Meanwhile, the Hang Seng Index climbed 2.16%, and the FTSE China A50 Index went up 0.58% [2]. - Most A - share sectors rose, with technology and non - ferrous metals leading the gains. The wind all - A index increased by 1.61%, and 23 out of 30 CITIC industries advanced, with communication, non - ferrous metals, electronics, and computers having weekly gains of over 3% [3]. - Interest - rate bond prices rose, and the yield curve steepened in a bullish manner. The 10 - year Treasury bond futures main contract rose 0.18% compared to May 30, 2025, and the yield of the 10 - year Treasury bond active bond dropped 1.65 BP to 1.6547% [4]. - The capital price declined, and the central bank advanced the placement of outright reverse repurchases. The R007 and DR007 decreased by 18.88 BP and 10.07 BP respectively, and the central bank net - injected 3283 billion yuan this week [5]. - The bond market leverage level slightly increased. The 5 - day average of inter - bank pledged repurchase volume rose from 6.50 trillion yuan on May 30, 2025, to 6.99 trillion yuan on June 6, 2025 [6]. - US Treasury yields mostly increased, and the curve became steeper. The 10 - year US Treasury yield rose 10 BP to 4.51% as of June 6, 2025 [7]. - The US dollar depreciated, and the gold price rose. The US dollar index fell 0.24%, and the prices of London gold spot, COMEX gold futures, Shanghai gold spot, and futures all increased [8]. - The US May non - farm payrolls increased less year - on - year but exceeded expectations, and the probability of the Fed cutting interest rates in September decreased. The probability dropped from 74.3% to 59.3% as of June 7 [9]. - Looking ahead, the domestic broad - money expectation and external uncertainties still exist. The equity and bond markets may benefit from the broad - money expectation, but the equity market may be negatively affected by external tariff uncertainties, while gold is expected to gain [10]. 3. Summary by Related Content Stock Market - US stocks: The Nasdaq, S&P 500, and Dow Jones Industrial Average rose by 2.18%, 1.50%, and 1.17% respectively, and the Nasdaq China Technology Index increased by 3.76% [2]. - Hong Kong stocks: The Hang Seng Index rose 2.16% [2]. - A - shares: The wind all - A index rose 1.61%. Most sectors advanced, with communication, non - ferrous metals, electronics, and computers having significant gains [3]. Bond Market - Domestic bonds: Interest - rate bond prices rose, the yield curve steepened bullishly, the capital price declined, the central bank net - injected funds, and the bond market leverage level slightly increased [4][5][6]. - US bonds: US Treasury yields mostly increased, and the curve became steeper [7]. Currency and Commodity Markets - Currency: The US dollar depreciated against most major currencies, including the euro, pound, and the Chinese yuan [8]. - Commodity: Gold prices rose both internationally and domestically [8]. Macroeconomic Data - US non - farm payrolls: In May, the US added 13.9 million non - farm jobs, exceeding expectations but increasing less year - on - year. The unemployment rate remained at 4.2%. The probability of the Fed cutting interest rates in September decreased [9].