2026年开年以来，中国债券利率市场不同期限继续长短分化，如果追溯回2025年5月8日"降息"以来，截 至2月14日，1年期至3年期短端利率因资金面宽松稳步下行，而5年期以上中长久期利率却出现不同程度 抬升，30年期超长端利率更是较"降息"之时上行近50个基点。这种"短降长升"的曲线形态，揭示出当前 利率市场正经历货币政策、通胀预期与财政融资三大因素驱动的"久期分割"新格局。 2025年5月"降息"后，中债曲线出现结构性分化。货币政策牢牢掌控短端，资金面持续宽松与国债买卖 常态化形成双重支撑，导致1—3年期利率围绕政策利率波动。通胀预期则主导中端，5—10年期利率走 势则主要反映当前市场对"再通胀"前景的分歧，对GDP平减指数、PPI等指标敏感度显著提升。若年中 物价回升超预期，流动性宽松局面可能边际收敛，推动10年期利率再次向2.0%关键位靠拢。 芦哲强调，财政融资成为超长端利率波动的主导变量。随着2026年"两会"临近，超长期特别国债发行高 峰将至。历史数据显示，每当政府债供给放量，30年期利率便出现陡峭化上行。当前30年与10年期利差 维持在45个基点附近时，在供需压力下可能扩张至50—60个基点。值得 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The short - end of the bond market depends on the central bank. The central bank's influence on the short - end funding has increased, bringing stability to the funding and alleviating the funding stratification. In the absence of interest rate cuts, the overnight funding rate corridor is expected to be between 1.2% - 1.4%. The short - end prices will be more stable, and the non - bank funding price stratification will also be fully alleviated. The performance of short - term bonds within 10 years is more related to the central bank's interest rate cuts and funding control [1][9][16]. - The long - end of the bond market depends on fiscal policy. The supply of ultra - long government bonds is an important factor affecting the long - end term spread. It is expected that the supply of ultra - long government bonds this year may still put upward pressure on the ultra - long - end bond yields. The 30 - year treasury bond yield is expected to break through the 2.2% key point, but after the breakthrough, attention should be paid to the post - festival fiscal supply. The 30 - year bond is more suitable as a flexible variety for right - side trading [1][9][34]. 3. Summary by Relevant Catalogs Short - end Depends on the Central Bank - **Increased Influence and Stability**: The central bank's influence on the short - end funding has significantly increased, bringing stability to the funding and basically solving the funding stratification problem, providing a stable space for carry strategies. Without interest rate cuts, the subsequent overnight funding rate corridor is expected to be between 1.2% - 1.4%. As the domestic interest rate transmission mechanism improves, short - end funding prices will be more stable, and the interest rate corridor, especially the upper limit, will narrow [1][9][16]. - **Alleviation of Non - bank Funding Stratification**: In Q1 2025, the spread between DR001 and R001 widened rapidly, but since then, the funding stratification has been significantly alleviated. Currently, the monthly spread between DR and R is stable within 10BP, providing a stable coupon strategy for non - banks. The performance of short - term bonds within 10 years is more related to the central bank's interest rate cuts and funding control [9][17]. - **Overseas Experience**: The Federal Reserve effectively controls the short - end bond market interest rates. The one - year US Treasury bond yield moves almost in line with the federal benchmark interest rate [9][30]. Long - end Depends on Fiscal Policy - **Influence of Ultra - long Government Bond Supply**: Ultra - long government bond supply is an important factor affecting the long - end term spread of the bond market, and the 30Y - 1Y spread is more sensitive to this factor than the 10Y - 1Y spread. Empirical results show that the net financing of ultra - long bonds and CPI year - on - year have a positive driving effect on the term spread, and the 30 - year treasury bond is more sensitive to the supply shock of ultra - long bonds [34]. - **Overseas Experience**: In the long run, the long - end US Treasury bond yields are affected by fiscal factors. However, during special periods such as QE or QT, they are disturbed by the Federal Reserve's policies. The scale of government debt on the fiscal side, especially the outstanding balance of long - term Treasury bonds, has a significant impact on the long - bond term spread [36]. - **Domestic Situation in 2026**: Since 2026, the issuance duration of local bonds has continued to lengthen. As of February 10, 2026, the weighted issuance duration of local bonds was 13 years, an increase of 0.6 years compared to last year. The new local bond issuance scale in January 2026 was 4285 billion yuan, slightly higher than 3053 billion yuan in the same period last year. It is expected that the overall fiscal rhythm this year will be the same as last year, with the supply peak mainly in the second and third quarters. The supply of ultra - long government bonds this year may still be a risk factor for the bond market. The 30 - year treasury bond yield is expected to break through 2.2%, but after the breakthrough, attention should be paid to the post - festival fiscal supply, and it is more suitable for right - side trading [9][39][43].

Core Viewpoint - The People's Bank of China (PBOC) has initiated temporary reverse and repurchase operations to maintain liquidity in the banking system and enhance the precision of open market operations [1][3]. Group 1: Market Reactions - Long-term bond yields have generally increased by approximately 3 basis points, with the 30-year government bond yield reaching 2.5225% [2]. - Short to medium-term bond yields have risen by 5-7 basis points, with the 1-year government bond yield increasing to 1.58% [2]. Group 2: Impact of Temporary Operations - The introduction of temporary reverse and repurchase operations aims to narrow the interest rate corridor and reduce volatility in the funding market [3]. - The new interest rate corridor is set with an upper limit of 2.30% and a lower limit of 1.60%, which is expected to stabilize the funding market [3]. Group 3: Market Sentiment and Strategy - Analysts suggest that the PBOC's actions signal a significant shift in monetary policy, indicating a potential increase in market interest rates [3][6]. - There is a cautionary stance regarding the bond market, with recommendations for institutions to secure profits and avoid bottom-fishing until uncertainties are resolved [5][6].

证 券 研 究 报 告 经济非典型修复下的配置行情 ——2026年2月债券投资策略展望 证券分析师： 黄伟平 A0230524110002 栾强 A0230524110003 王哲一 A0230525100003 2026.2.4 主要内容 风险提示：宏观调控力度超预期、金融监管超预期、市场风险偏好超预期、海外环境变化超预期 www.swsresearch.com 证券研究报告 2 ◼ 当前宏观环境特征：强预期与弱现实并存。 ◼ 从大类资产表现来看，当前市场隐含的经济增长预期可能超过过去三年。 ◼ 但从实际经济运行的量、价维度来看，基本面依然处在偏弱状态。 • PMI新订单再度大幅回落，表明有效需求不足对经济的制约仍是主要矛盾。 • 物价表现来看，CPI同比回升主要受其他用品和服务（黄金涨价）、食品烟酒（猪价企稳）的支撑，但房租、衣着、服务消费的价格 依然不强。 ◼ 基本面视角：实体经济偏弱，叠加2月往往是生产淡季。 ◼ 近期配置行情的特点：10年好于30年、国债好于国开、信用优于利率。 ◼ 中期层面需要注意的债市压力（3月两会后，尤其2季度以后）。 • 基本面改善的可能性，重点关注物价改善对名义GDP的支撑 ...

Core Viewpoint - The market is increasingly focused on the "quasi-ONRRP" tool, which may become a new direction for enhancing the monetary policy framework aimed at non-bank financial institutions [1][2] Group 1: Background and Current Situation - The current monetary policy transmission chain places non-bank institutions at the "downstream," leading to a natural "temperature difference" in liquidity access [2] - The People's Bank of China (PBOC) primarily directs liquidity tools towards commercial banks, causing non-bank institutions to rely on indirect liquidity access through banks or asset liquidation [2][5] - This indirect mechanism may fail under market pressure due to banks' risk-averse tendencies, weakening the transmission effect [2] Group 2: Market Dynamics and Liquidity Indicators - The difference between DR007 (a repo rate among deposit-taking institutions) and R007 (a broader market funding cost indicator) reflects liquidity friction, with R007 generally higher than DR007 [5] - During periods of liquidity stress, the spread between DR007 and R007 can widen significantly, impacting non-bank institutions' liquidity management [5] Group 3: Importance of Non-Bank Institutions - Non-bank financial institutions, such as securities firms and fund management companies, manage trillions of yuan in assets and play a crucial role in various financial market transactions [5][6] - Their business models often involve liquidity risk due to high leverage and maturity mismatches, necessitating a more robust liquidity support mechanism from the central bank [5][6] Group 4: Potential Mechanisms and Tools - Analysts suggest that the PBOC's exploration of liquidity support for non-bank institutions may point towards a "quasi-ONRRP" tool, similar to the Federal Reserve's approach [6][9] - The mechanism could involve specific liquidity support arrangements that address the unique challenges faced by non-bank institutions during stress scenarios [7][9] Group 5: Challenges and Controversies - There are differing opinions on the effectiveness and implementation of the quasi-ONRRP tool, with some experts arguing that it may not serve as a substantial liquidity boost for non-bank institutions [8] - Concerns exist regarding the definition of "specific scenarios" and the prevention of moral hazard in the proposed liquidity support framework [7][8] Group 6: Future Outlook - The PBOC may refine its liquidity support mechanisms by considering factors such as price, quantity, duration, collateral, and counterparty qualifications [9] - The overall market liquidity is expected to remain balanced and loose, with the central bank likely to use reverse repos and MLF to manage fluctuations [9]

固 定 收 益 华福证券 2026 年 02 月 02 日 近忧或已解，远虑未迫近——2 月债市策略 团队成员 投资要点： 固 定 收 益 专 题 1 月利率先上后下，转折点主要在于政府债供给与信贷扩张的潜在冲 击不及预期，但这背后可能也受到了央行政策态度变化的影响。此前 Q4 央 行提到"做好逆周期和跨周期调节"，《金融时报》也表示货币政策带来的 积极效果还可能持续显现发力，必须警惕过度放松货币金融条件可能产生 的一些负面效果，在 M2 与社融增速超过 8%、明显高于目标的情况下，进 一步放松的动力可能下降。但 1 月以来，可能由于 25Q4GDP 增速降至 4.5% 后中央稳增长的诉求增强，叠加 1 月信贷扩张幅度弱于预期，央行对于稳 信贷的诉求似乎有所增强，表示 M2 与社融高于目标较好地满足了实体经 济的资金需求，持续为经济回升向好创造适宜的货币金融环境，这可能反 映了在适度宽松的货币政策下，央行可以在一定程度上容忍 M2 与社融增 速高于目标，对其过度放松副作用的担忧也明显减弱。 近期市场对央行后续创设新型工具的预期升温，尤其是认为针对非银 的工具可能类似于美联储 ONRRP。但 ONRRP 是美国 ...

证券研究报告·宏观报告·宏观周报 宏观量化经济指数周报 20260201 春节错位对经济数据读数造成扰动 2026 年 02 月 01 日 [Table_Tag] [Table_Summary] 观点 ◼ 经济高频数据： 证券分析师 芦哲 执业证书：S0600524110003 luzhe@dwzq.com.cn 证券分析师 李昌萌 执业证书：S0600524120007 lichm@dwzq.com.cn 证券分析师 王洋 执业证书：S0600524120012 wangyang@dwzq.com.cn 相关研究 《市场短期进入结构混沌期，但大盘 指数仍然稳健》 2026-02-01 《1 月 FOMC：平安夜——2026 年 1 月 FOMC 会议点评》 2026-01-29 东吴证券研究所 1 / 17 请务必阅读正文之后的免责声明部分 ◼ 周度 ECI 指数：从周度数据来看，截至 2026 年 2 月 1 日，本周 ECI 供 给指数为 50.09%，较上周回升 0.03 个百分点；ECI 需求指数为 49.86%， 较上周回升 0.02 个百分点。从分项来看，ECI 投资指数为 49.91%，较 上 ...

华福证券 2026 年 02 月 01 日 固 定 收 益 央行新工具意义何在 地方债发行放量期限压缩 —— 流动性与机构行为周度跟踪 260201 投资要点： 固 定 收 货币市场：本周 OMO 合计净投放 5805 亿元，本周一有 2000 亿元 MLF 到期，周三财政部开展 1500 亿元 1M 国库现金定存操作，中标利率 连续 3 月维持在 1.73%。本周初 OMO 净投放规模有限，但 MLF 到期叠 加缴准以及政府债大量缴款，使得资金边际收紧，但此后外生扰动减弱， 临近月末央行投放规模也逐步增大，DR001 回落至 1.33%附近。 益 定 期 报 告 质押式回购成交量周一后持续回落；质押式回购整体规模周四前震荡 回升，周五明显回落。大型银行净融出在周一下行后维持震荡，中小型银 行净融出周四前持续上行，周五回落但仍高于上周；银行整体净融出维持 震荡，中枢较上周略有回落。非银刚性融出持续上升，其中货基、其他产 品、理财融出延续上升。非银刚性融入震荡上行，其中其他产品升幅较大。 资金缺口指数在周一上行后持续回落，但周五再度走高，季调后指数升至- 4098，略高于上周五的-4961，而季调前指数周五为- ...

Monetary Policy Insights - The discussion on whether the People's Bank of China (PBOC) should create new price-based overnight tools is driven by the need to enhance guidance on overnight market rates and the recent volatility in interbank overnight rates[1] - The PBOC is currently in a phase of balancing both quantity and price in its monetary policy, with the 7-day reverse repo rate serving as the short-term policy rate[2] - The effectiveness of a price-based framework in China hinges on the establishment of an "ample reserve system," which has not yet been fully realized[2] Economic Indicators - Fixed asset investment has decreased by 3.80% year-on-year[3] - Retail sales have shown a modest increase of 0.90% year-on-year[3] - Exports have increased by 6.60% year-on-year, indicating some resilience in external demand[3] Market Trends - The real estate market shows signs of recovery, with both new and second-hand home transactions increasing, although inventory pressure remains high with a sales-to-inventory ratio of 127.8, a historical high[40] - The logistics data indicates a year-on-year increase of 12.2% in commercial activity, reflecting a recovery in consumer demand despite a 70.1% decline in movie box office revenues[20] - The port cargo throughput has decreased by 1.70% month-on-month but increased by 6.87% year-on-year, influenced by seasonal factors[23] Fiscal and Monetary Developments - The broad deficit issuance is expected to increase, with net financing of government bonds projected at 1,420 billion and new special bonds at 3,024 billion in the upcoming week[32] - The willingness to leverage in the bond market remains high, with the balance of bonds awaiting repurchase still above historical levels[38]

证券研究报告：固定收益报告 发布时间：2026-01-30 研究所 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 研究助理:王一 SAC 登记编号:S1340125070001 Email:wangyi8@cnpsec.com 近期研究报告 《1 月收官，政府债供给压力如何？》 - 2026.01.27 固收专题 货币"新工具"会是什么样？ ⚫ 中国央行："向非银提供流动性"和"收窄利率走廊" 显然，当前投资者在讨论"中国版 ONRRP"时，已经将向"非银提 供流动性"和"提高利率走廊下限"两个政策取向混为一谈。但在以 往的央行公开政策论述中，这两者并非关联在一起的。第一，央行在 2025 年四季度和今年初提出"向非银机构提供流动性"问题，但前提 是在"在特定情景下"，而非常规操作。第二，央行在 2024 年之后多 次提到"利率走廊收窄"，至今未明确落地相关工具。央行诉求收窄 利率走廊由来已久，若推出新政策工具来框定资金利率的运行下限， 并不令人意外；但这种政策方向却与非银的流动性管理无关，央行对 非银的流动性管理被设定在流动性救助 ...