[Table_Title] 1 月债市，抢占先机 [Table_Title2] 利率月报 从市场定价内容来看，12 月债市主要交易四大主题，一是中 央对次年的政策定调、二是短期内央行"宽货币"加码的可能性、 三是超长政府债供给占比、四是年末机构间的排名博弈。 ►基本面与资金面是年初债市行情的重要参考 复盘过去五年 1 月债市行情，长端利率的运行方向并不一 致，涨跌互现的背后，主要是基本面与资金面呈现出不同组合。 组合一是年初经济基本面向好，资金面逐步收敛，两种因素叠加 下，债市收益率逐步上行，典型的案例年份是 2021 年、2023 年、2025 年。组合二是年初基本面数据不及预期，货币政策靠前 发力，推动资金面进一步宽松，这一状态则对债市更为利好，典 型的案例年份是 2022 年、2024 年。 展望 2026，以史为鉴，基本面与资金面状态决定着债市行情 的底色，"宽货币"加力与具体落地形式依然是博弈重点。除此之 外，债市同样存在非季节性的定价考量，主要有以下四个关注。 ►关注点一：供给节奏 1 月政府债净供给压力在 1.3 万亿元左右。加总国债和地方 债，一季度政府债净融资规模约 4.00-4.12 万亿 ...

第 532 期 2026-01-05 焦点关注 今年万亿级地方债发行启动 根据山东省财政厅披露信息，2026年1月5日，山东省发行723.81亿元地方政府债券，而这是今年全国首 个发行地方政府债券的省份，也由此宣告2026年地方政府债券正式启动发行。 宏观动态 央行12月公开市场国债买卖净投放500亿元 1月5日，央行公布2025年12月各项工具流动性投放情况。其中，公开市场业务方面，7天期逆回购净投 放819亿元，公开国债买卖净投放500亿元，为连续第三个月开展国债买卖操作；中央国库现金管理净投 放100亿元。 交易商协会发布通知！加大对债券交易记录相关违规行为惩戒力度 1月4日，交易商协会发布关于提示做好债券交易记录保存相关工作的通知。通知称，近一段时间以来， 交易商协会在相关业务检查和自律调查过程中发现，部分机构内控缺失、合规风控流于形式，且一些机 构未按要求保存债券交易记录的问题较为普遍，严重阻碍还原交易真相，不利于有效监管和打击违法违 规。 针对上述情形，交易商协会将加大对相关违规行为的惩戒力度。 财政部拟发行400亿元182天贴现国债 近日，财政部发布通知，拟发行2026年记账式贴现（第一期）国债 ...

证券研究报告 固收定期报告 hyzqdatemark 2026 年 01 月 05 日 投资要点： 联系人 mahe@huayuanstock.com 本周利率整体回升，1 月债市或反弹 报告核心观点：26 年元旦假期 3 天对比 24 年元旦国内游总量增长、质量提升，全 国国内出游 1.42 亿人次，国内出游总花费 847.89 亿元。对比 24 年元旦假期出游人 次、总花费、人均花费分别+5.19%、+6.35%、+1.10%。《公开募集证券投资基金 销售费用管理规定》于 2026 年 1 月 1 日起施行，相对于征求意见稿，对债基赎回制 度整体放宽。截至 25 年 H1，债券型基金机构投资者占比为 82.76%。正式规定的出 台或缓解银行自营、理财等机构的赎回压力与流动性担忧，个人投资者 7 日持有即 可另行规定赎回费或提高短债基金的吸引力。对银行理财而言，未来或更倾向于配 置债券 ETF、同业存单基金及货币市场基金。我们目前认为债市做多的胜率较高， 2026 年债市行情可能好于预期。 本周（25/12/29-26/1/4）市场概览： 证券分析师 廖志明 SAC：S1350524100002 liaoz ...

焦点关注 交易商协会：新增24家机构 非金融企业债务融资工具承销商资格 12月30日，中国银行间市场交易商协会发布《关于2025年非金融企业债务融资工具承销业务相关会员申请从事承销相 关业务市场评价结果的公告》，增加8家非金融企业债务融资工具一般主承销商、1家科技创新非金融企业债务融资工 具主承销商、15家非金融企业债务融资工具承销商。 第 530 期 2025-12-30 宏观动态 625亿元超长期特别国债支持消费品以旧换新资金提前下达 日前，为优化实施"两新"政策，做好政策平稳有序衔接，满足元旦、春节等旺季消费需求，国家发展改革委会同财政 部向地方提前下达2026年第一批625亿元超长期特别国债支持消费品以旧换新资金计划。 财政部：抓好地方政府债务监督 12月28日，财政部召开全国监管局工作会议。会议提出，2026年财政监管要紧密围绕服务党和国家中心工作，落实落 细"加强、聚焦、优化"工作方针，加大财政监管力度，履行财会监督职责，贯彻过紧日子要求，推进财政科学管理， 切实抓好地方政府债务监督，扎实开展财经纪律整治，有效抓好财政收入、基层"三保"、超长期特别国债、专项监督 检查等重点监管任务，为完成全年财政 ...

报告导读： 结合历史与现实，一季度债市可能先承压，后反弹。 回顾最近几年一季度的债市行情，行情逻辑和驱动各有不同。 梳理来看： 2020 年是疫情突发避险和央行大力度宽松驱动利率快速下行； 2021 年是春节 前"小钱荒"带动利率上行，随后货币政策定调"不急转弯"，利率再度回落； 2022 年是年初降息和信贷开门红带动利率先下后上； 2023 年是疫后复苏的"强 预期"被阶段性证伪，利率先上后下； 2024 年是资产荒极致演绎，利率单边下行； 2025 年是央行引导资金收紧与股市冲高，利率上行。 我们预计 2026 年一季度债市行情或有以下几点与之前相似的特征：一是基本面现实难有"黑天鹅"，债市的核心关注点在政策预期和债券发行节奏 ： 结合 12 月中央经济工作会议对财政偏稳健的表述，"两会"政策力度整体超预期的概率不大，对政策和复苏预期的定价或告一段落；二是 政府债发行进度可能会慢 于大幅前置的 2025 年，一季度净融资占比或在全年 25% 左右。 2026 年，政府债净融资规模可能会在 2025 年的基础上略有提升（预计广义赤字规模将 从 14.4 万亿微升至 14.8 万亿，提升 2% ），供给节奏可 ...

1. Report Industry Investment Rating - Not provided in the report 2. Report's Core View - In 2026, the economy may continue the weak recovery trend, with the old and new driving forces differentiating more significantly under the overall pressure. Infrastructure and real estate may continue to drag down the economy. The central bank will increase counter - cyclical and cross - cyclical adjustment, and the monetary policy will remain moderately loose, promoting the social comprehensive financing cost to run at a low level and promoting a reasonable recovery of prices. The probability of making long positions in the bond market is high, and the bond market in 2026 may perform better than expected [2][75]. 3. Summary by Relevant Catalogs 3.1 Macro News - In November, the total bond custody scale increased by 1.48 trillion yuan month - on - month to 178.2 trillion yuan. The increase was mainly due to the growth of the custody scale of national bonds and local government bonds, with commercial banks being the main buyers. Generalized funds mainly increased their holdings of financial bonds [2][8]. - The fourth - quarter regular meeting of the central bank's Monetary Policy Committee in 2025 emphasized increasing counter - cyclical and cross - cyclical adjustment, promoting a reasonable recovery of prices, and promoting the social comprehensive financing cost to run at a low level. The meeting removed the content related to small and micro - enterprise financing and real - estate market support [19]. - In November, the profits of industrial enterprises above the designated size decreased significantly year - on - year. From January to November, the total profits of industrial enterprises above the designated size reached 6.6 trillion yuan, a year - on - year increase of 0.1%. The profits of the mining industry decreased by 27.2%, the manufacturing industry increased by 5.0%, and the production and supply of electricity, heat, gas, and water increased by 8.4% [23]. - At the end of the third quarter of 2025, the total assets of China's financial institutions were 531.76 trillion yuan, a year - on - year increase of 8.7%. The total assets of the banking, securities, and insurance industries increased by 7.9%, 16.5%, and 15.4% respectively [26]. 3.2 Medium - term High - frequency Data 3.2.1 Consumption - As of December 21, the daily average retail volume of passenger cars decreased by 11.4% year - on - year, and the daily average wholesale volume decreased by 9.0% year - on - year. As of December 26, the total box office revenue in the past 7 days increased by 90.1% year - on - year. As of December 19, the total retail volume of three major household appliances decreased by 35.7% year - on - year, and the total retail sales decreased by 49.7% year - on - year [29][32]. 3.2.2 Transportation - As of December 21, the container throughput of ports increased by 6.6% year - on - year. As of December 26, the average subway passenger volume in first - tier cities increased by 3.2% year - on - year. The postal express collection volume increased by 0.1% year - on - year, the delivery volume increased by 1.7% year - on - year, the railway freight volume decreased by 2.0% year - on - year, and the highway truck traffic volume decreased by 0.6% year - on - year [35][39]. 3.2.3 Industrial Operating Rate - As of December 24, the blast furnace operating rate of major steel enterprises decreased by 0.1 percentage points year - on - year. As of December 25, the average asphalt operating rate decreased by 1.0 percentage points year - on - year. The soda ash operating rate increased by 2.3 percentage points year - on - year, and the PVC operating rate decreased by 1.8 percentage points year - on - year [42][44]. 3.2.4 Real Estate - As of December 26, the total commercial housing transaction area in 30 large - and medium - sized cities in the past 7 days decreased by 23.0% year - on - year. As of December 19, the second - hand housing transaction area in 9 sample cities decreased by 27.1% year - on - year [47][50]. 3.2.5 Prices - As of December 26, the average wholesale price of pork decreased by 22.2% year - on - year, the average wholesale price of vegetables increased by 13.6% year - on - year, and the average wholesale price of 6 key fruits increased by 8.4% year - on - year. The average price of thermal coal at northern ports decreased by 8.2% year - on - year, and the average spot price of WTI crude oil decreased by 16.9% year - on - year. The average spot price of rebar decreased by 3.5% year - on - year, the average spot price of iron ore increased by 2.2% year - on - year, and the average spot price of glass decreased by 20.3% year - on - year [54][58]. 3.3 Bond and Foreign Exchange Markets - On December 26, most money - market interest rates showed a downward trend. Most government bond yields also decreased. The yields of 1 - year, 5 - year, 10 - year, and 30 - year government bonds were 1.29%, 1.59%, 1.84%, and 2.22% respectively, down 7.0BP, 0.8BP, up 0.8BP, and down 0.3BP respectively compared with December 19. The yields of 1 - year, 5 - year, 10 - year, and 30 - year China Development Bank bonds were 1.52%, 1.79%, 1.98%, and 2.39% respectively, down 6.0BP, 0.6BP, up 1.1BP, and down 0.4BP respectively compared with December 19. The yields of 1 - year, 5 - year, and 10 - year local government bonds were 1.48%, 1.76%, and 2.04% respectively, down 5.2BP, 1.9BP, and 0.5BP respectively compared with December 19. The yields of 1 - month and 1 - year AAA and AA+ inter - bank certificates of deposit increased to varying degrees. As of December 23, the 10 - year government bond yields of the United States, Japan, the United Kingdom, and Germany were 4.18%, 2.04%, 4.51%, and 2.96% respectively, up 2BP, 2BP, 1BP, and down 2BP respectively compared with December 19. On December 26, the central parity rate and spot exchange rate of the US dollar against the RMB were 7.04 and 7.01 respectively, down 192 and 325 pips respectively compared with December 19 [61][65][70]. 3.4 Investment Suggestions - In 2026, the bond market may perform better than expected. It is expected that the policy interest rate will be cut by about 20BP in 2026, and a 10BP cut may occur in the first quarter. Currently, it is recommended to focus on the allocation value of 5 - year bank capital bonds and ultra - long - term interest - rate bonds [75][78].

债 券 策 略 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com 联系人 栾强 A0230524110003 luanqiang@swsresearch.com 本研究报告仅通过邮件提供给 中庚基金 使用。1 2025 年 12 月 28 日 债市行情或在一季度启动，固收资 产怎么选？ 债 券 研 究 请务必仔细阅读正文之后的各项信息披露与声明 证 券 研 究 报 告 - ⚫ 近期基本面承压、资金面宽松的背景下，债市表现依然不强，或主因债市核心矛盾在于对 供需期限失衡压力的担忧。展望 2026 年一季度，供需期限失衡压力有望阶段性缓解。叠 加基本面修复节奏温和，资金面易松难紧，债券利率有望启动下行行情，或现年内低点。 ➢ 行情支撑一：强预期弱现实。基本面仍处在强预期弱现实的状态，经济表现与金融市场收 敛的可能性也给债市带来利好支撑。2025 年下半年以来，伴随"反内卷"发酵和权益市 场持续走强，市场对基本面改善的预期也持续抬升。但实际上，基本面表现仍然处在较低 水平 ...

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - In 2025, the bond market showed a pattern of "fast bull, slow bear, mainly oscillating", with the 10 - year Treasury bond yield fluctuating between 1.6% - 1.9%. The yield curve changed from bull - steep to bear - flat and then to bear - steep [2][9]. - In 2026, the yield curve is likely to maintain a relatively steep shape, with the short - end being prone to decline and the long - end difficult to fall. The probability of the curve remaining oscillating or slightly bull - steep is higher [3]. - In 2026, the riding strategy is a better choice than simply relying on duration extension. The 5 - year to 4 - year Treasury bond riding strategy is optimal on the current yield curve, with relatively controllable risks [4]. 3. Summary According to the Directory 3.1 1.行情回顾：债市“快牛慢熊”，曲线从牛陡走向熊陡 - In 2025, the bond market experienced a "fast bull, slow bear" and entered an oscillating market. The 10 - year Treasury bond yield oscillated between 1.6% - 1.9%. The short - term bond interest rate first rose and then fell during the year, and the yield curve changed from bull - steep to bear - flat and then to bear - steep [9]. - In Q1, long - term interest rates dropped significantly, short - term interest rates rebounded sharply, and the curve changed from bull - steep to bear - flat; in Q2, the bond market entered a sideways consolidation, and the curve remained relatively flat; in Q3, long - term bond yields rose significantly, short - term fluctuations were limited, and the curve changed from bear - flat to bear - steep; in Q4, the "bear - steep" of the curve was further strengthened [11]. 3.2 2.行情展望：排除长端大幅上行风险，曲线陡峭化或延续 3.2.1 2.1 曲线形态：短端易落长端难下，收益率曲线或延续陡峭 - After the bear - steep, there are three typical trends: bear - flat, bull - steep, and oscillation. In 2026, the curve is most likely to remain steep or slightly bull - steep, with a high probability of a structural differentiation pattern of "short - end decline, long - end oscillation" [14][15]. 3.2.2 2.2 四个约束：限制长端收益率大幅上行的因素 - ROIC: The central decline of ROIC in recent years restricts the significant upward movement of long - term Treasury bond yields [16][18]. - Long - term loan interest rate and long - term Treasury bond interest rate: The long - term loan interest rate is still falling, and the long - term Treasury bond yield is difficult to rise significantly [19]. - Stock - bond ratio: The current stock - bond ratio is in a neutral range, and if the bond yield rises significantly, it will enter the allocation value range [21]. - Asset - liability ratio: The spread between the liability costs of banks and insurance and the Treasury bond yields has been significantly eased, and the stabilizing effect of the allocation disk may suppress the significant upward movement of yields [23]. 3.3 3.利率策略：做陡曲线，骑乘策略或是最佳选择 3.3.1 3.1 策略选择：曲线偏陡背景下，骑乘优于单纯久期博弈 - In 2026, it is difficult to simply rely on duration extension to bet on interest rate decline. The riding strategy can obtain certain returns from the curve shape and is more suitable for the market characteristics of "low interest rate, low volatility, and dominated by curve structural changes" [25][28]. 3.3.2 3.2 策略思路：在陡峭曲线下，选择1年持有期的曲线凸点 - In the riding strategy, the 5 - year Treasury bond riding to the 4 - year is the optimal convex point on the current yield curve, which can obtain relatively certain structural returns while controlling risks [30][32]. 3.3.3 3.3 策略模拟：不同情景下骑乘目标收益测算与风险衡量 - Under the static curve assumption, the one - year target return of the 5 - year to 4 - year riding strategy is about 2.01%; under the bull - steep assumption, it can be increased to about 2.20%. The 5 - year riding strategy has a relatively thick risk cushion, and the risk is relatively controllable [34][35].

固收定期报告 证券研究报告 ——利率周报（2025.12.15-2025.12.21） 证券分析师 投资要点： 联系人 mahe@huayuanstock.com 短期制约因素突出，当前经济或仍承压 报告核心观点：11 月经济数据与财政收支数据相继披露，当前经济或仍持续承压。 我们认为经济运行核心矛盾仍聚焦于"旧动能调整拖累与新动能成长并存"，消费 与投资的短期压力与财政收支的低增长态势相互呼应。从经济运行基本面看，需求 端或仍承压。消费与投资双引擎若持续乏力，可能直接影响四季度经济增速预期， 预计同比增速将较三季度有所放缓。短期制约因素尤为突出：房地产市场仍在筑底 阶段，居民消费短期仍可能保持谨慎态度。2025 年 1-11 月财政收支情况显示，财 政运行呈现"收入低增、支出中央地方分化"的特征。当前经济与财政的运行态势， 与 2025 年中央经济工作会议的政策部署形成精准呼应。会议强化内需主导作用、突 出企业创新主体地位，并新增"加大逆周期和跨周期调节力度"的表述，为后续政 策发力指明了方向。明年经济或呈现弱修复态势，财政收支平衡压力或将持续。 本周（12/15-12/21）市场概览： hyzqdatem ...

证券研究报告|宏观研究报告 [Table_Date] 2025 年 12 月 21 日 在中央经济工作会议"保持必要的财政赤字、债务总规模和支出总量" 的要求下，市场预期 2026 年政府债净供给规模将在 2025年高基数的背景 下，延续同比提升的趋势，尤其是超长政府债的净供给规模，可能将由今 年的 6.4 万亿元，进一步提升至 6.5-7.2 万亿元。银行、保险等配置盘，或 分别受制于利率风险指标、增量保险收入的等约束，理论上无法顺利承接 庞大的超长端供给。因此，市场在 11-15 日自发对此逻辑进行防御性定 价，超长端利率明显上行。然而实操之中，银行的利率风险考核指标并非 是一成不变的刚性变量，监管可以视当下的特殊情况，合理放松考核尺 度，提升银行消化超长政府债供给的能力。另外，央行也可通过一些特殊 方式，帮助银行完成久期指标的短期出表。 ►主线二：对结构性降息的猜想 由于今年以来居民需求、地产量价数据表现普遍不算乐观，因此，年 末市场开始对降息，尤其是LPR结构性降息存在期待。不过，当前贷款利 率降息需要考量的不仅仅是需求变化的问题，还需兼顾银行低息差压力背 后的金融系统风险。截至 2025 年三季度末 ...