跨年债市的关键：供需错配的节奏 20260201 摘要 超长债供需失衡是市场主导逻辑，配置需求不足时债市风险加大，需求 增加则利率修复。当前经济环境改善，利率震荡上行，但短期需警惕供 需错位，春节后操作需谨慎。 机构不缺资金但缺乏利率风险指标（VAE），大行负债稳定但贷款一般， 超长债发行对银行 EV 指标构成压力，监管限制下，银行需市场化手段 应对超长债发行压力。 地方债和特别国债发行通过套保机制将利率上行压力转移至长期国债， 未来需密切关注这些因素对市场的影响，操作上保持谨慎。 上半年债券市场供需矛盾难以彻底解决，不仅是央行投放资金问题，还 涉及利率风险指标的系统性影响。2 月地方债发行量预计达 9,000 亿至 1 万亿元，发行冲击或超预期。 10 年以内国债相对安全，30 年以上国债需关注地方债一级发行利率对 二级市场的影响。节后长久期资产供应增加，配置需求不足，需保持谨 慎。 Q&A 2025 年 12 月债市走弱，2026 年 1 月中下旬债市修复后，目前债市进入平 台期或瓶颈期。请问在这种情况下，年前和跨年后的机会点和风险点在哪里？ 当前债市的主要逻辑是供需关系。一季度甚至整个上半年，供需矛盾将 ...

Group 1 - The report highlights a "non-typical" tight balance in the supply and demand for ultra-long bonds, indicating that banks are not lacking in liabilities but are missing interest rate risk indicators [5][11][14] - It is noted that the issuance of ultra-long local government bonds is expected to increase significantly in February, potentially exceeding 9,900 billion, which is higher than the issuance in January and March [21][25] - The report suggests that the market should be cautious about the potential disturbances in the bond market due to increased supply of local government bonds after the Spring Festival [29][28] Group 2 - The analysis indicates that the widening of the 30-10Y yield spread is attributed to the persistent tight balance in the supply and demand for ultra-long bonds, which has not fundamentally eased [10][8] - The report emphasizes the importance of timing in the bond market, particularly regarding when to avoid exposure to ultra-long bonds due to expected fluctuations in supply and demand dynamics [19][28] - It is recommended that investors maintain a cautious approach, focusing on medium to short-term bonds with high coupon rates and low volatility, especially as the market approaches the end of February [29][28]

丨证券研究报告丨 固定收益丨点评报告 [Table_Title] 谁来接长债？ 报告要点 [Table_Summary] 近期债市中短端抗跌，但超长端利差再次走阔。当前债市的困局在于财政的拉久期节奏，和央 行买长债的节奏并不一致，当前债市缺少长债的买入力量。后续债市如何恢复超长端的供求平 衡？我们认为主要有以下三种路径，并对每种路径进行了验证及测算：1）央行开始明显买入长 久期国债；2）长债利率继续调整后，财政系统在面临长端融资成本攀升的时候，会理性选择缩 短发行久期；3）大行进一步得到注资，或缓解利率敏感性监管指标压力，让大行有空间继续买 入长久期债券。在这一矛盾缓解之前，我们预计中短端相对抗跌，而超长端可能继续震荡偏弱。 分析师及联系人 [Table_Author] 赵增辉 马月 马玮健 SAC：S0490524080003 SAC：S0490525080001 SFC：BVN394 %% %% research.95579.com 1 [Table_Title2] 谁来接长债？ [Table_Summary2] 近期债市中短端抗跌，而超长端利差再走阔 近期债市中短端抗跌，但超长端利差再次走阔，主因超长端 ...