证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2026 年 03 月 01 日 波动与避险情绪共振，哑铃策略应对高波环境 ——债市专题研究 核心观点 近期地缘政治冲突抬升市场不确定性，叠加节前流动性收敛与春季行情部分兑现，市 场或将进入"宏观数据真空+两会预期"博弈期，波动中枢上移的背景下，哑铃型策略 有望提升风险收益比。 ❑ 转债市场延续震荡修复格局，整体风格偏向稳健。 过去一周（2026/02/23~2026/02/27，下同），转债市场在节后资金回流与政策预期 升温背景下，延续震荡修复格局，整体风格偏向稳健，波动率与红利特征占优。 转债中盘指数（0.01%）表现优于大盘指数（-0.30%）和小盘指数（-0.10%），中价 指数表现较好（0.10%），高价转债走势较弱（-0.93%），显示资金对高估值、高价 位品种的风险偏好仍在收敛。驱动因素上，一是"两会"临近，政策定调窗口开 启，在宏观叙事尚未完全落地的"政策真空期"，资金更倾向于围绕预期差进行结 构性布局；二是海外地缘冲突与大宗商品价格波动，使部分传统周期与红利板块 的确定性相对提升，转债层面具备防御底仓属性的标的受到 ...

上周市场回顾 关键词：市场普涨 节前一周权益市场收涨，上证指数上涨0.4%，深证指数上涨1.4%，沪深300上涨0.4%，创业板指上涨 1.2%，科创50上涨3.4%。 债市收涨，10年国债收益率收于1.79%左右，下行约2bp，7年国债收益下行1.4bp左右，1年国债收益率 下行约0.6bp，3年期中债企业债收益率下行约3bp。 行业涨跌榜 | 序号 | 让季代码 | 山存间称 | 区间涨跌幅 [区间景日] 2026-02-09 | | | --- | --- | --- | --- | --- | | | | | [×间属日] 2026-02-14 | | | | | | [单位] % ↓ | | | 1 | 801230.SI | 综合(申万) | | 15.2753 | | 2 | : 801750.SI | 计算机(申万) | | 4.3462 | | 3 | : 801080.SI | : 电子(申万) | | 3.5160 | | 序号 | 证券代码 | 证券简称 | 区间涨跌幅 | | | | | | [区间首日] 2026-02-09 『区间尾日] 2026-02-14 | | | | | ...

Core Viewpoint - The article emphasizes the importance of strategic asset allocation and value investment in the context of a changing global economic landscape, particularly looking ahead to 2026 and the opportunities in cross-border asset management [1][2][3] Group 1: Economic Outlook - The global economy is expected to enter a phase of "moderate growth and policy coordination" in 2026, with China's long-term economic trends and the strengthening of Hong Kong's role as an international financial center providing structural opportunities for cross-border asset management [1] - The Chinese capital market is progressing steadily amid deepening reforms and high-level openness, showcasing resilience during structural adjustments in 2025 [1] Group 2: Investment Strategy - In equity investments, the company suggests maintaining strategic focus and increasing allocation to quality stocks, particularly in sectors like technology, biomedicine, new energy, and high-end manufacturing, supported by favorable policies and a recovering economy [2] - The fixed income sector is anticipated to see a stabilization in global interest rates, enhancing the allocation value of bond assets, with a preference for high liquidity and high safety cash-like assets [2] Group 3: Company Strategy - As a core platform for overseas investments of China Pacific Insurance Group, the company aims to strengthen its role as a "cross-border asset allocation bridgehead" by enhancing collaboration with the group, improving product lines, and accelerating digital transformation [3] - The company emphasizes the importance of long-term investment strategies, risk management, and innovation to navigate a volatile market environment [3]

Key Points - The report indicates that there is still potential for credit spread compression, particularly in the context of different bond types and their excess spreads compared to similar maturity and rating bonds [1][3][35] - As of January 30, 2026, the excess spreads for 3Y AAA-rated bank subordinated bonds, perpetual bonds, and industrial bonds are 6.1BP, 6.6BP, and 11.0BP, respectively, which are at the 92%, 79%, and 44% percentiles since early 2025 [1][3][35] - The report suggests that the selection of bonds based on value for money ranks as follows: bank subordinated bonds > perpetual bonds > urban investment bonds > industrial bonds [1][35] Credit Strategy Review for January 2026 - The yield of bank subordinated bonds has significantly decreased, and the excess spreads remain high, indicating potential for further compression [3][6] - The report notes that the 3Y AA+ urban investment bond yield decreased by 9BP, with the yield at the end of January 2026 being 1.91% [11] - Factors contributing to the decline in credit bond yields include limited corporate financing demand, stable credit issuance, and a loose funding environment [11][14] Performance of Different Credit Strategies - In January 2026, the performance of various credit strategies ranked as follows: duration extension > barbell strategy > 3Y bullet strategy > short-end sinking [15] - The returns for the duration extension strategy for urban investment bonds, industrial bonds, bank subordinated bonds, and perpetual bonds were 0.65%, 0.85%, 0.76%, and 0.82%, respectively [15][18] - The report highlights that the short-end sinking strategy yielded returns of 0.16%-0.19% across different bond types, although its performance was generally average [17][18] Outlook for February 2026 - The report anticipates that the overall funding environment will remain tight, with a weak recovery in the fundamentals [35] - It is expected that the central bank's operations will lead to a decrease in funding rates, potentially resulting in a further decline in long-term bond yields by 5-10BP in Q1 2026 [35] - The report emphasizes that the credit spread compression trend is likely to continue, with a focus on the performance of various bond types [35]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report recommends holding bonds during the Spring Festival. The current fundamental situation provides background support for the bond market, with continued loose liquidity, potential further decline in short - term interest rates, limited post - festival bond supply pressure, stronger market allocation power, and limited impact of the stock market on the bond market due to the low duration of trading institutions. If trading institutions increase leverage, it will further boost the bond market. The overall market trend is in a gradual recovery, and the dumbbell strategy is relatively more advantageous [1][5][21] Summary by Related Content 1. Current Bond Market Performance - This week, the bond market continued to recover, with long - term bonds performing more prominently. Interest rates across all tenors declined. The yields of 10 - year and 30 - year treasury bonds decreased by 0.1bps and 3.8bps respectively to 1.81% and 2.25%. The yields of 3 - year and 5 - year secondary capital bonds dropped by 1.6bps and 1.8bps respectively, and the 1 - year AAA certificate of deposit (CD) rate broke through 1.6%, falling 1bps to 1.59%. The dumbbell strategy recommended earlier achieved better returns [1][9] 2. Reasons for Recommending Holding Bonds During the Spring Festival 2.1 Loose liquidity will continue - The current liquidity remains stably loose, which is beneficial for the leverage strategy. Overnight funds are around 1.4%, and the 7 - day repurchase rate is around 1.4% - 1.5%. This is not due to increased central bank capital injection but rather weak financing demand and capital supplementation from other channels such as fiscal deposits. After the Spring Festival, funds tend to be even looser [1][10] - The loose funds will protect the bond market and may drive interest rates to decline from short - term to long - term. As funds remain loose, the CD rate may further decline to 1.5% - 1.55%. The current steep curve means that a decline in short - term interest rates will enhance the cost - effectiveness of long - term bonds and drive down long - term interest rates. The spread between the 10 - year treasury bond and the 1 - year CD is over 20bps, the highest since the second half of 2023 [2][13] 2.2 Limited post - festival market supply pressure and high bank allocation demand - In the first five weeks of this year, government bond net financing was about 2 trillion. If the first - quarter net financing is the same as last year at about 4.1 trillion, the net financing in the five weeks after the festival until the end of the quarter will also be about 2 trillion, with a weekly average similar to that before the festival. Since credit is more concentrated in January, post - festival bank and other institutional allocation needs are stronger [3][14] - Bank liability costs are continuously decreasing, alleviating the pressure on net interest margins. The scale of bonds with high floating profits bought before the second half of 2024 has decreased after realizing floating profits last year, reducing the space and demand for banks to realize floating profits and thus lowering the risk in the second half of the quarter for the bond market [3][14] 2.3 Limited pressure from other capital markets on the bond market and potential new driving forces - Although the rise of other capital markets may impact the bond market, the impact is mainly through trading institutions such as funds and securities firms. The duration of these institutions has dropped to a low level. The duration of medium - and long - term public offering interest - rate bond funds decreased to 3.35 years at the end of 2025, lower than the 3.45 years at the end of 2024, which means limited continued adjustment pressure on the bond market [4][16] - If the market continues to strengthen, the leverage - increasing demand of funds and securities firms may become a new driving force for the bond market to strengthen [4][16] 3. Overall Market Trend and Strategy - The overall market trend is in a gradual recovery process. The dumbbell strategy is relatively more advantageous. Since the duration of allocation - type institutions is relatively high, the market direction is mainly determined by them. With the continuous decline of their liability costs, the cost - effectiveness of bonds as allocation assets has increased. The stable liabilities and insufficient real - economy financing demand lead to asset scarcity, enabling allocation - type institutions to continue increasing their bond holdings. Trading institutions mainly affect the speed of market recovery. If they quickly increase their positions, it will accelerate the decline of interest rates [6][21]

Group 1 - Core viewpoint one: The A-share market experienced a volatile upward trend in January 2026, with major broad-based indices rising, supported by long-term capital and stabilizing economic expectations [4] - Core viewpoint two: The spring market is still expected to be promising, although a short-term correction may occur before the Spring Festival due to tightening liquidity and decreased trading enthusiasm [5] - Core viewpoint three: In the spring market, small-cap stocks typically perform better, with a focus on growth and cyclical sectors, particularly in electronics, power equipment, machinery, non-ferrous metals, and communications [6] Group 2 - The Hong Kong market is advised to maintain a "growth + value" barbell strategy, benefiting from earnings recovery, improved liquidity, and supportive policies, with a structural rebound expected in the first quarter [7]

Summary of Conference Call Notes Industry Overview - The current bond market is showing signs of recovery, primarily driven by increased purchases from banks, with large banks favoring 7-10 year bonds and smaller banks preferring bonds over 10 years, stabilizing market expectations [1][4]. Key Points and Arguments - **Increased Bond Purchases**: Banks are enhancing their bond allocations due to the attractiveness of long-term bond yields, which have surpassed deposit costs. The average deposit cost for banks has decreased to 1.6%-1.7%, making long-term bonds more appealing [1][3]. - **Market Stability**: Despite concerns over credit growth, maturity of fixed deposits, and stock market gains potentially leading to capital outflows, there has been no significant outflow of funds from banks recently. Banks have shown the capacity to continue purchasing bonds [1][3]. - **Interest Rate Movements**: Last week, interest rates across various maturities declined, with 10-year and 30-year government bonds falling by 1.3 and 1.6 basis points to 1.83% and 2.29%, respectively. The market is in a recovery phase, supported by bank purchases [1][4]. - **Investment Strategy**: A "barbell strategy" is recommended for investors, suggesting an increase in short-term certificates of deposit and long-term interest-bearing assets. The market is expected to continue fluctuating downward in the short term, with long-term physical assets potentially nearing 100 billion [2][6]. Additional Important Insights - **Liquidity and Funding Sources**: Currency settlement (结汇) does not directly enhance market liquidity or funding sources. While it can improve certain liquidity indicators like NSFR and LCR, it does not increase actual funding sources. The potential for liquidity improvement may stem from other factors, such as the lack of outflows from fixed deposits and a shift in household savings towards deposits due to weak real estate sales [5][6]. - **Future Market Trends**: The market is expected to stabilize as non-bank institutions replenish their positions, leading to a normalization of the yield curve slope. Long-term interest rates may decline further, potentially reaching levels between 1.6% and 1.7% or lower [4][6]. This summary encapsulates the key insights from the conference call, focusing on the bond market dynamics, investment strategies, and liquidity considerations.

Regulatory Dynamics - The central bank has lowered the interest rates of various structural monetary policy tools by 0.25 percentage points, with the one-year re-lending rate decreasing from 1.5% to 1.25% [3][8] - The Financial Regulatory Bureau held a meeting to discuss regulatory work for 2026, emphasizing the need for banks and insurance institutions to focus on their main businesses and improve financial services [9] - The Ministry of Human Resources and Social Security has introduced new policies to enhance the second pillar of enterprise annuities, aiming to increase coverage for more employees [10] Company Dynamics - Taiping Asset has increased its stake in Shanghai Airport to 5% through a block trade [23] - Zhonghui Life has invested 547 million in establishing an equity investment fund in Tianjin [24] - TaiKang Pension has increased its registered capital to 11 billion, marking a 22% increase [25] - Hengqin Life has raised its registered capital to approximately 4.99 billion [26] - Ping An Life reported a total claim amount of 415.1 billion for 2025, with significant efficiency in claims processing [27] - AIA Life reported cumulative claims of 23.9 billion over the past five years, with a notable increase in high-value claims [29] - China Life's claims report for 2025 showed over 1 trillion in claims, reflecting strong service capabilities [52] Industry Dynamics - Insurance capital has seen a high level of capital replenishment, with a total of 145.47 billion raised through debt and equity in 2025 [49] - The insurance sector has experienced a significant increase in claims, with major companies reporting substantial payouts [52] - The insurance industry is undergoing a "thinning" trend, with over 3,100 branches exiting the market in 2025 [53] - The insurance sector is witnessing a strong performance in stock investments, with a notable increase in the number of companies being targeted for acquisition by insurance funds [48] - The 2026 insurance investment officer survey indicates a positive outlook, with over 70% of respondents expressing optimism about stock and equity investments [51]

Core Viewpoint - The new asset-liability management regulations for insurance companies are set to enhance long-term investment strategies, focusing on matching assets and liabilities while promoting stability and value over short-term gains [1][2][3]. Group 1: Regulatory Changes - The consultation period for the new asset-liability management regulations is nearing completion, with insurance companies preparing to refine their management systems based on the draft [1]. - The draft emphasizes the importance of long-term assessments to prevent excessive focus on short-term profits, encouraging a shift towards sustainable investment practices [2][3]. Group 2: Investment Strategies - Insurance companies are expected to adopt a "barbell" strategy, balancing low-risk and high-risk assets to achieve a stable risk-return profile [4]. - The focus will be on long-term value investments, with a preference for high-dividend blue-chip stocks and growth sectors that align with national strategies [6][7]. Group 3: Market Outlook - The investment landscape is anticipated to shift towards a more balanced approach, with high-dividend assets providing stability and growth sectors offering long-term opportunities [5][6]. - The dynamic adjustment of asset weights within the "barbell" strategy will be crucial to respond to market conditions and ensure effective risk management [7].

Core Viewpoint - The new asset-liability management regulations for insurance companies are set to enhance long-term investment strategies, focusing on matching long-term assets and liabilities while promoting stability and value creation in investment decisions [1][2][3]. Group 1: Regulatory Changes - The consultation on the new asset-liability management regulations is nearing completion, with insurance companies preparing to refine their management systems based on feedback [1]. - The draft emphasizes long-term assessments to prevent excessive focus on short-term profits, encouraging a shift towards long-term potential returns [1][2]. Group 2: Investment Strategies - Insurance companies are expected to adopt a more dynamic and refined approach to their "barbell" investment strategy, balancing low-risk and high-risk assets while focusing on long-term value [3][4]. - The emphasis on long-term asset-liability matching will lead to a more precise and standardized investment behavior, aligning investment strategies closely with liability characteristics [2][3]. Group 3: Asset Allocation - The "barbell" strategy will see adjustments in the weight of high-dividend blue-chip stocks and growth assets, maintaining stability while allowing for tactical shifts based on market conditions [4][5]. - High-dividend assets are viewed as essential for ensuring stable returns and meeting liability costs, while growth sectors are expected to benefit from national strategic directions [5][6]. Group 4: Market Outlook - The investment focus will remain on high-dividend blue-chip stocks for their stable cash flow, while growth sectors will be monitored for structural opportunities amid changing market conditions [5][6]. - The dynamic adjustment of asset weights is crucial to maintaining the effectiveness of the "barbell" strategy, ensuring a balance between risk and return [6].