资金面均衡偏松，资金利率平稳，DR001在1.27%附近，DR007在1.47%附近。 | | | | 银行间资金 | (2026. 01. 09) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 | 加权利率 | 变化 | 利率走势 | 最高利率 | 变化 | 成交量 | (42 变化量 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | (亿元) | 元) | 比 (*) | | R001 | 1. 35 | | | 1.88 | -12 | 80887.95 | -431.79 | 91.69 | | R007 | 1.52 | | | 1.85 | -5 | 6247. 42 | -515. 21 | 7.08 | | R014 | 1.54 | | | 1.80 | -90 | 734. 08 | -106. 17 | 0. 83 | | R1M | 1.55 | -1 | | 1.85 | -5 | 169.03 | -45.76 | 0. 19 | 万一这 ...

证 券 研 究 报 告 三十张图看清2025年债市表现 证券分析师： 黄伟平 A0230524110002 栾强 A0230524110003 王哲一 A0230525100003 研究支持：杨琳琳 A0230124120001 2026.1.10 1、2025年债市走势：长端利率债一直受赔率偏低的制约 1.30 1.40 1.50 1.60 1.70 1.80 1.90 2.00 2.10 2.20 1年存单，% R001，%，5dma 10年国债，% www.swsresearch.com 证券研究报告 2 资料来源: iFind，申万宏源研究 开始向下日期 尝试接近1.6%日期 10Y国债收益率 下行幅度，BP 基本面 资金面 机构预期/投资者行为 海外环境 2024/12/30 2025/1/6 1.713%->1.597% 11.62 年初处于经济数据空窗期，对 基本面预期不强 央行呵护跨年，资金面均衡偏 松，该时期内DR001均值 1.53%，R001均值1.75%，大 行净融出规模仍然较高 2024年年末机构抢跑交易预期 延续，跨年后，机构加杠杆且 久期抬升行为较为明显，券商 杠杆率从219%抬 ...

研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 行业 国债日报 日期 2026 年 1 月 7 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货1月6日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2603 | 111.270 | 111.050 | 110.930 | 110.960 | -0.340 | -0.31 | ...

开局高起点，全年预计先下后上。 走过由债牛转向阴跌的2025年，新的一年债市走势分歧加大。元旦节后，银行间市场主要利率债收益率 仍以上行为主，1月6日，10年期品种收益率来到1.88%的阶段新高，30年期品种收益率则直接突破 2.3%，一度行至2.315%。 回顾近几年债市情况，多数年份以较上年更低的利率起点开局，2026年的起点明显更高，也被视为一种 交易安全垫。但展望全年，中信证券首席经济学家明明认为，债市的干扰因素依然较多，利率预计将先 下后上。 短期来看，综合考虑年初货币宽松预期不强，叠加供给压力等忧虑增加，机构普遍预测债市走势偏弱。 央行日前披露的数据显示，2025年12月公开市场买卖国债净投放流动性500亿元，继续低于市场预期。 阴跌的债市驶入2026 相较于单边债牛的2024年，2025年债市圈的日子不太好过。尤其是去年四季度以来，持续的阴跌与机构 抛售形成负反馈，长债利率大幅上行。 截至2025年12月31日，10年期国债期货主力合约全年累计跌了0.95%，30年期主力合约累计跌幅达到 5.62%。银行间现券方面，10年期国债活跃券"25附息国债16"票面利率1.83%，年末收益率收于1.85 ...

智通财经APP获悉，浙商证券发布研报称，站在12月底时点展望1月，投资者对下阶段债市走势研判较 为集中：一致预期维持中短利率债偏好，操作层面整体偏防守。财政政策的力度与节奏和政府债券供给 压力成为投资者关注的核心要点。 (4)财政发力及政府债发行成为投资者最为关注的核心问题，货币政策及资金面仍然是债券投资者重点 关注的问题； (5)投资者对中短利率债的偏好上升。 1月债券市场行情会如何演绎？调查结果显示，投资者对1月债市未形成单一方向的强势共识，预期呈现 "谨慎乐观，结构主导"的格局。短端利率因更受益于宽松的流动性环境而获得相对更强的看好；长端利 率则因可能面临基本面修复、供给压力或政策预期博弈而表现相对谨慎，导致"短强长弱"成为最主流的 市场预期。 当前债市应如何操作？12月多数投资者在实操层面偏中性，持币观望，待回调至预期点位后再加仓和保 持仓位基本稳定仍然是主流观点；可以开始加仓者占比小幅下降，由11月调研结果的14%减少至11%。 反映出市场在向防守侧倾斜。还有部分投资者判断偏谨慎，降久期控风险的投资者占比较11月调研结果 有所上升。 1月债市定价的主线逻辑最可能是什么？债市投资者的关注焦点转向"财政 ...

2026 年地方债投资策略 地方债六问六答 glmszqdatemark 2025 年 12 月 19 日 [Table_Author] | 分析师 | 徐亮 | | --- | --- | | 执业证书： S0590525110037 | | | 邮箱： | xliang@glms.com.cn | | 研究助理 | 黄紫仪 | | 执业证书： S0590125110076 | | | 邮箱： | huangziyi@glms.com.cn | 相关研究 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 14.3 万亿元隐债化债压力如何？2026 年-2028 年之前地方政府实际需要消化的隐性债务 总额仅为 0.94 万亿元。2025 年化债地方债发行期限进一步拉长，超长期占比大幅上升至 68%，主要是增加了 30Y 和 20Y 地方债的供给。 专项债募集资金投向有何变化？2025 年 1-10 月投向基建类的市政建设及产业园区基础 设施、交通基础设施资金规模大幅下滑明显，两者占比较 2024 年大幅下降 12%。 2026 年政府债供给节奏如何？我们预计 2026 年 1-3 ...

Core Insights - The Ministry of Finance emphasizes the need to continuously prevent and resolve risks in key areas while implementing a comprehensive debt management policy [1] - The central bank conducted a net withdrawal of 213.4 billion yuan through reverse repos, indicating a tightening of liquidity in the market [3] - Jiangxi and Hunan provinces plan to issue a total of approximately 29.2 billion yuan in new special bonds for land reserve and other projects [4][5] Fiscal Policy - The Ministry of Finance will continue to implement a package of debt management policies, focusing on replacing hidden debts and holding accountable new hidden debt behaviors [1] - The ministry aims to strengthen financial operation analysis and dynamic monitoring to ensure stable grassroots financial operations [1] Market Dynamics - The central bank's operation today included a 1.40% interest rate for a 7-day reverse repo, with a total of 3.55 billion yuan in reverse repos maturing, leading to a net withdrawal of 213.4 billion yuan [3] - The issuance of special bonds in Jiangxi and Hunan is aimed at funding land reserves and other projects, with specific amounts detailed for each province [4][5] Debt Issuance - Henan Investment Group plans to issue 1.5 billion yuan in medium-term notes with a subscription range of 1.50% to 2.50% [7] - The issuance of 740 million yuan in bonds by Henan Southeast Industry Development Group has been accepted by the Shanghai Stock Exchange [8] - Luoyang Guohong Group completed the issuance of 1 billion yuan in PPN at a rate of 2.4% [9] - Anhui Construction Investment Group made its market debut with a 500 million yuan medium-term note issuance [10][11] Regulatory Developments - The Anhui Regulatory Bureau of the Ministry of Finance has established a leadership group for the supervision of government bond funds, emphasizing the importance of this task [6] Market Sentiment - Xinyin Fund suggests that incremental fiscal policies may not materialize until early next year, while the bond market is expected to maintain a bullish trend [19] - The central bank's resumption of government bond trading is seen as a positive signal for the market, with expectations of continued liquidity support [19]

Core Viewpoint - The 30-year government bond ETF from Bosera is experiencing a mixed market sentiment, with a recent price of 107.31 yuan and a 1.41% increase over the past two weeks, indicating active trading and liquidity in the domestic bond market [2]. Group 1: Market Performance - The 30-year government bond ETF has a current scale of 18.048 billion yuan [3]. - The ETF has seen a net inflow of 265 million yuan recently, with a total of 549 million yuan net inflow over the past five trading days, averaging 110 million yuan per day [3]. - The trading volume for the ETF reached 1.853 billion yuan, with a turnover rate of 10.26%, reflecting a vibrant market activity [2]. Group 2: Market Trends - The domestic bond market sentiment is currently high, with short-term bonds being heavily purchased and yields declining significantly, influenced by rumors of large banks buying newly issued bonds with maturities of three years or less [2]. - The central bank conducted a reverse repurchase operation of 557.7 billion yuan, resulting in a net injection of 419.5 billion yuan, leading to a loosening of the interbank market liquidity [2]. - Analysts predict three characteristics for the bond market in 2025: increased impact of central bank and regulatory attitudes on interest rate trends, a rise in risk appetite due to "anti-involution" policies, and a potential shift in the low-interest-rate support logic for the bond market due to stock market profitability [2].

Report Industry Investment Rating - The trend rating for treasury bonds is "oscillation" [1] Core Viewpoints of the Report - Affected by the escalation of the Sino-US trade war, treasury bond futures will strengthen in the short term, and the curve is expected to flatten. However, policies such as the new fund fee regulations have not been implemented, and the stock-bond pattern has changed, so the bond market is unlikely to have a trend of strengthening [2][13] Summary According to the Directory 1. One-week Review and Views 1.1 This Week's Trend Review - From October 6th to 12th, treasury bond futures oscillated. On Thursday, due to the strong overseas risk appetite during the holiday, the bond market was weak in the morning, but it rose overall throughout the day. On Friday, the bond market sentiment was okay in the morning, but the issuance of the 50-year ultra-long special treasury bonds was poor at noon, causing treasury bond futures to decline. On Saturday, the trade war escalated again, and the spot bond yields of treasury bonds dropped significantly. As of October 10th, the settlement prices of the main contracts of 2-year, 5-year, 10-year, and 30-year treasury bond futures were 102.352, 105.655, 107.960, and 114.020 yuan respectively, with changes of -0.022, +0.000, +0.075, and +0.020 yuan compared to the previous weekend [1][11] 1.2 Next Week's Views - After the holiday, the bond market sentiment improved compared to late September, with 7 - 10Y varieties performing strongly. Affected by the escalation of the Sino-US trade war, treasury bond futures will strengthen in the short term, and the curve is expected to flatten. However, policies such as the new fund fee regulations have not been implemented, and the bond market is unlikely to have a trend of strengthening. The Sino-US trade conflict has heated up again, and treasury bonds will have a short-term favorable period. This round of the treasury bond's upward trend may not be "one-step", and there may still be some room for increase in the short term [2][13] 2. Weekly Observation of Interest Rate Bonds 2.1 Primary Market - This week, 14 interest rate bonds were issued, with a total issuance volume of 286.254 billion yuan and a net financing amount of 193.297 billion yuan, an increase of 213.981 billion yuan and 142.396 billion yuan respectively compared to last week. Two local government bonds were issued, with a total issuance volume of 10.254 billion yuan and a net financing amount of -24.565 billion yuan, a decrease of 62.019 billion yuan and 87.766 billion yuan respectively compared to last week. 158 interbank certificates of deposit were issued, with a total issuance volume of 230.880 billion yuan and a net financing amount of 95.930 billion yuan, an increase of 193.590 billion yuan and 227.480 billion yuan respectively compared to last week [20] 2.2 Secondary Market - The yields of treasury bonds showed a differentiated trend. As of October 10th, the yields of 2-year, 5-year, 10-year, and 30-year treasury bonds were 1.50%, 1.61%, 1.85%, and 2.28% respectively, with changes of +0.80, -0.14, -1.08, and +5.65 bp compared to the previous weekend. The spreads of 10Y - 1Y and 10Y - 5Y narrowed, while the spread of 30Y - 10Y widened. The yields of 1-year, 5-year, and 10-year policy bank bonds were 1.60%, 1.80%, and 2.04% respectively, with changes of -5.26, -2.26, and +0.89 bp compared to the previous weekend [25] 3. Treasury Bond Futures 3.1 Price, Transaction, and Position - Treasury bond futures oscillated. As of October 10th, the settlement prices of the main contracts of 2-year, 5-year, 10-year, and 30-year treasury bond futures were 102.352, 105.655, 107.960, and 114.020 yuan respectively, with changes of -0.022, +0.000, +0.075, and +0.020 yuan compared to the previous weekend. The trading volumes of 2-year, 5-year, 10-year, and 30-year treasury bond futures this week were 32,254, 55,914, 78,817, and 116,178 lots respectively, with changes of +1,706, -15,123, -18,511, and -30,040 lots compared to last week. The positions of 2-year, 5-year, 10-year, and 30-year treasury bond futures this week were 74,944, 147,637, 251,416, and 173,754 lots respectively, with changes of -5,116, -1,919, +2,992, and +2,975 lots compared to last week [33][36] 3.2 Basis and IRR - The short-selling hedging strategy is considered to be closed. The trade conflict has heated up, and the market risk preference is expected to weaken in the short term, and treasury bond futures will have a short-term favorable period. However, the market's negative factors have not been fully exhausted, and the new fund fee regulations are likely to be implemented this year, which will still disturb the bond market. There are no obvious positive arbitrage opportunities this week [40] 3.3 Inter-period and Inter-variety Spreads - As of October 10th, the inter-period price differences of the 2512 - 2603 contracts of 2-year, 5-year, 10-year, and 30-year treasury bond futures were +0.088, +0.100, +0.295, and +0.330 yuan respectively, with changes of -0.004, -0.030, -0.025, and -0.010 yuan compared to the previous weekend [44] 4. Weekly Observation of the Funding Situation - This week, the central bank conducted 113.70 billion yuan of 7-day reverse repurchase operations, and due to 266.33 billion yuan of reverse repurchase expiring, a net withdrawal of 152.63 billion yuan was achieved. As of October 10th, R007, DR007, SHIBOR overnight, and SHIBOR 1-week were 1.49%, 1.42%, 1.32%, and 1.45% respectively, with changes of -12.68, -1.47, -6.00, and +4.60 bp compared to the previous weekend. The average daily trading volume of interbank pledged repurchase this week was 7.53 trillion yuan, an increase of 3.26 trillion yuan compared to last week, and the overnight proportion was 61.77%, lower than the previous week's level [48][50][52] 5. Weekly Overseas Observation - The US dollar index strengthened, and the yield of 10Y US treasury bonds declined. As of October 10th, the US dollar index rose 1.13% to 98.8223 compared to the previous weekend; the yield of 10Y US treasury bonds was reported at 4.05%, a decrease of 8 bp compared to the previous weekend; the spread between Chinese and US 10Y treasury bonds was inverted by 219.9 bp. During the holiday, the US government shutdown led to an increase in market risk aversion, and the expectation of interest rate cuts increased. After the holiday, the Sino-US trade conflict escalated again [58] 6. Weekly Observation of High-Frequency Inflation Data - Industrial product prices showed a mixed trend. As of October 10th, the Nanhua Industrial Product Index, the metal index, and the energy and chemical index were 3,573.12, 6,449.77, and 1,604.70 points respectively, with changes of -0.72, +100.37, and -26.52 points compared to the previous weekend. Agricultural product prices also showed a mixed trend. As of October 10th, the prices of pork, 28 key vegetables, and 7 key fruits were 18.85, 4.88, and 7.06 yuan/kg respectively, with changes of -0.46, -0.13, and +0.12 yuan/kg compared to the previous weekend [61] 7. Investment Suggestions - The bond market is strengthening in the short term, and it is recommended to take a bullish approach [62]

Group 1 - The report addresses how to quantify current market implied interest rate cut expectations through interest rate swap pricing and floating rate bond spread analysis, aiming to fill gaps in traditional liquidity analysis [3] - The analysis identifies four stages of interest rate cut expectations evolution since 2024, indicating a significant reversal in market expectations compared to the beginning of the year [4] - Current market pricing does not reflect further easing potential and may even imply a marginal tightening of policy, suggesting that if a rate cut signal is released in Q4, it could create a significant positive impact on the bond market due to the existing low market consensus [4] Group 2 - The report highlights three marginal changes in institutional behavior following the breach of interest rates, indicating a shift in market dynamics [6] - Fund managers have significantly reduced their duration, with the median duration of long-term bond funds dropping to 2.8 years, and net purchases of ultra-long government bonds turning negative since early September [7] - Banks have been actively buying 10-year government bonds, acting as a buffer during the recent bond market correction, while the trading volume of certain bonds has shown a rapid adjustment [8]