Q&A 如何看待节后债市的调整？20260226 摘要 近期国债期货与现券调整集中在超长端，房地产"放开限购"类新闻易 触发超长端下跌，表明市场空头情绪可能持续影响债市，超长端调整或 将延续。 中短端定价受资金面影响，央行货币政策改革倾向于利率调控而非数量 控制，资金供给充足，为短端信用债提供稳定套息空间，2025 年 Q1 或 是未来较长时间内银行间最后一次资金面收紧。 超长端定价受财政发债行为、久期供给结构与配置力量约束，债市面临 "不可能三角"困境：财政拉长久期、央行不买长债、不调整银行指标 难以同时成立，对 30 年国债构成约束。 央行对长端操作审慎，利率下行时更易表态，难以成为超长端稳定买盘 力量。银行 EVE 指标对长债配置构成约束，大行是主要承接力量，但指 标健康度受关注。 30 年国债仍受"不可能三角"框架约束，2026 年或呈震荡格局，中短 端套息策略确定性更高。年初利率下行与银行配置盘相关，配置盘走弱 时，交易盘影响放大。 春节后债市快速调整应如何定性，是配置盘驱动牛市中的短暂波折，还是阶段 性拐点？ 核心判断是中短端套息策略将重新占优，但超长端难以保持乐观预期。超长端 在 2026 年更 ...

证 券 研 究 报 告 收益率多上行但利差分化，5年以内普信相对抗跌 信用债市场周度跟踪（2026.2.23-2026.3.1） 证券分析师：黄伟平 A0230524110002 杨雪芳 A0230524120003 张晋源 A0230525040001 研究支持： 曹璇 A0230125070001 2026.3.1 主要内容 注：受春节假期影响，本期为2026.02.23-2026.03.01，上期为2026.02.09-2026.02.15 ，收益率和各类利差变动为2.27相对2.14的变动值。 www.swsresearch.com 证券研究报告 2 ◼ 一级市场：本期普通信用债净供给环比下降，二永债无新发行与到期。本期（2026.02.23-2026.03.01）普通信用债合计发行/净融资952亿元/-892亿元，上期 （2026.02.09-2026.02.15）分别为1390亿元/363亿元。其中，产业债发行环比下降至503亿元，净融资环比转负至-294亿元；城投债发行环比下降至449亿元，净融 资环比转负至-598亿元。本期银行二永债无发行/到期，上期（2026.02.09-2026.02.1 ...

票息行情未止：接续力量和可挖掘的标的 [Table_Authors] 张紫睿(分析师) 信用债市场周度回顾 260223 本报告导读： 下一步承接力量为配置盘打底+交易盘接力，短端和科创债值得挖掘。 投资要点： 请务必阅读正文之后的免责条款部分 | 1. | 票息行情未止：接续力量和可挖掘的标的 3 | | --- | --- | | 2. | 信用债市场周度回顾 4 | | 2.1. | 一级发行：净融资大幅减少 4 | | 2.2. | 二级交易：成交量基本持平，利差多数下行 5 | | 2.3. | 信用评级调整及违约跟踪 7 | | 3. | 风险提示 7 | | | 021-23185652 | | --- | --- | | | zhangzirui@gtht.com | | 登记编号 | S0880525040068 | | | 王宇辰(分析师) | | | 010-83939801 | | | wangyuchen4@gtht.com | | 登记编号 | S0880523020004 | [Table_Report] 相关报告 春节期间需关注的几件事 ——海外篇 2026.02.22 M2- ...

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].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the primary market, the net supply of ordinary credit bonds increased compared to the previous period, while the net supply of bank perpetual and secondary capital bonds (two - tiered perpetual bonds, "二永债") turned negative due to no issuance this period [4]. - In the secondary market, yields mainly declined, and credit spreads mostly widened. 3 - year ordinary credit bonds, 5 - year financial bonds, and weak - quality urban investment bonds performed well. The turnover rate of ordinary credit bonds and bank perpetual bonds decreased, while that of bank secondary capital bonds increased [4]. - For credit strategies, it is advisable to moderately extend the duration to 3 - 5 years for carry trades, and also focus on short - to - medium - term coupon - bearing assets and the potential cost - effectiveness of ETF component bonds. For two - tiered perpetual bonds, it is recommended to be cautious and wait for opportunities for valuation recovery or increased supply [4]. 3. Summary by Related Catalogs 3.1 Primary Market 3.1.1 Ordinary Credit Bonds - Supply increased compared to the previous period, with the issuance amount reaching 357.3 billion yuan and net financing of 255.1 billion yuan. Both industrial and urban investment bonds saw an increase in issuance and net financing. The issuance of industrial bonds increased to 204.6 billion yuan, and net financing rose to 146.5 billion yuan. The issuance of urban investment bonds increased to 152.7 billion yuan, and net financing reached 108.6 billion yuan, the highest since 2024 [4]. - The weighted issuance term increased to 2.89 years (previously 2.76 years). The weighted issuance terms of urban investment bonds and industrial bonds also increased [15]. - The credit bond bid - cap minus the coupon rate rose from 0.37% to 0.43%, and the subscription multiple increased from 2.52 to 2.82, indicating increased subscription enthusiasm [21]. 3.1.2 Bank Two - Tiered Perpetual Bonds - There was no issuance of bank two - tiered perpetual bonds this period, and the net financing scale turned negative. Two secondary capital bonds matured, with net financing of - 7 billion yuan, and one perpetual bond matured, with net financing of - 10 billion yuan [4]. 3.2 Secondary Market 3.2.1 Overall Yield and Credit Spread - Yields mainly declined, with 3 - year ordinary credit bonds, 5 - year financial bonds, and weak - quality urban investment bonds performing better. For example, among 3 - year ordinary credit bonds, the AA - rated extendible industrial bonds had the largest decline of - 5.34BP [4]. - Credit spreads mostly widened, except for a small number of varieties such as 1 - year commercial financial bonds, some weak - quality urban investment bonds, and 10 - year two - tiered perpetual bonds, which saw a slight narrowing. The 5 - year AA - rated urban investment bonds performed best with a - 1.24BP change, while the 5 - year high - grade ordinary credit bonds had a relatively large widening [4]. 3.2.2 Urban Investment Bonds - Yields in various regions mostly declined, and credit spreads mostly widened. Weak - quality urban investment bonds performed better. For example, in Anhui, the yields of AA - rated and AA(2) - rated urban investment bonds decreased by - 1.76BP and - 6.33BP respectively in the past week [59]. - The turnover rate of urban investment bonds in different regions showed different trends, and the trading volume also varied [62][65]. 3.2.3 Industrial Bonds - Yields in various industries showed differentiation, and credit spreads generally widened. For example, in the steel industry, the AA - rated industrial bonds' yields decreased by - 2.30BP in the past week, while in the real estate industry, the AA - rated industrial bonds' yields increased by 4.80BP [68]. - The turnover rate and trading volume of industrial bonds in different industries also showed different characteristics [70][73]. 3.2.4 Financial Bonds - Yields mostly declined, credit spreads generally widened, and the performance of excess spreads was differentiated. For bank secondary capital bonds and perpetual bonds, yields of different ratings and bank types showed different degrees of decline, and credit spreads and excess spreads also changed accordingly [93]. 3.3 Stock Bond Distribution - Currently, most yields are distributed within 2.4%. The average yield distributions of industrial bonds in various industries and urban investment bonds in different regions are presented in detail in the report, with most yields concentrated in a relatively low range [105][106][108].

Summary of Conference Call Records Industry Overview - The conference primarily discusses the bond market, focusing on the recovery trends observed since mid-January 2026, with specific attention to government bonds and credit bonds [1][2]. Key Points and Arguments Recovery of the Bond Market - The bond market has shown signs of recovery due to three main factors: 1. **Stability of Government and Local Bonds**: The stability of interest rates for government bonds and local bonds has been crucial. The 10-year government bond has remained stable, not exceeding 1.9%, while local bonds have stayed below 2.5% [2]. 2. **Banking Sector Participation**: There has been an increase in bank allocations to bonds, particularly after the clarity of KPIs for banks in 2026. This has led to a stronger demand for bonds, especially those with shorter durations [3][4]. 3. **External Support Factors**: External factors such as the stagnation of equity markets and expectations of monetary easing have contributed to the bond market's recovery. The MLF (Medium-term Lending Facility) has also seen increased volumes, indicating a supportive monetary environment [4][5]. Future Market Outlook - The outlook for the bond market remains cautious but optimistic. Short-duration bonds are expected to perform well, while long-duration bonds may face more volatility. The market anticipates that the recovery could serve as a precedent for future bond market trends in 2026 [5][6]. - The potential for downward movement in interest rates exists, particularly for 10-year government bonds, if deposit rates continue to decline [5][6]. Risks and Challenges - The bond market may face challenges related to supply and demand mismatches, especially in the first and second quarters of 2026. The issuance of local bonds is expected to be high, which could lead to increased pressure on the market [9][10]. - The risk indicators for banks remain a concern, particularly for smaller banks, which may face stricter regulations and slower adjustments to their risk profiles [9][10]. Investment Recommendations - Analysts recommend focusing on 10-year government bonds and certain credit bonds, particularly those with favorable yield spreads. The expectation is that these assets will provide stability and potential for appreciation in the current market environment [11][12]. - The discussion also highlights the potential for industry-specific perpetual bonds, particularly those issued by state-owned enterprises, which are seen as having a favorable risk-return profile [17][18]. Market Dynamics - The dynamics of the bond market are influenced by the behavior of institutional investors, with a noted shift towards increasing allocations in response to market conditions. The performance of convertible bonds is also highlighted, with expectations of continued demand despite some volatility [26][27]. Conclusion - The bond market is currently in a recovery phase, supported by stable interest rates, increased bank participation, and favorable external conditions. However, potential risks related to supply-demand mismatches and regulatory pressures on banks warrant careful monitoring. Investment strategies should focus on stable, shorter-duration bonds and select credit instruments to navigate the evolving landscape [36].

Group 1 - The core viewpoint of the article indicates that the credit bond market is entering an investment window characterized by both opportunities and challenges, driven by a weak macroeconomic recovery and a continued loose monetary policy [1] - Experts believe that the credit bond investment environment in the first quarter of 2026 will be favorable, but it is essential to focus on structural opportunities while being cautious of liquidity and regulatory changes [1][2] - The core support for credit bond investment in the first quarter is attributed to a loose liquidity environment and a moderate pace of fundamental recovery, with expectations of a downward trend in bond yields [2][3] Group 2 - The scale of open-ended bond funds is expected to exceed 260 billion yuan in the first quarter of 2026, which will alleviate market supply and demand pressure [3] - The investment opportunities in the credit bond market are concentrated in short- to medium-term interest rate strategies and high-quality long-term varieties, with a consensus among brokers on specific targets and strategies [4] - The focus for short-term credit bond strategies is on leveraging the yield spread between bond coupon income and financing costs, particularly for bonds maturing within three years [4][6] Group 3 - Despite a relatively favorable investment environment, risks related to liquidity, regulatory changes, and credit spread repricing remain critical concerns [7][8] - The liquidity changes are highlighted as a direct short-term risk, with potential outflows of funds following the year-end surge, necessitating caution regarding market volatility [7] - The article emphasizes the need for a balanced investment strategy that prioritizes coupon income, structural opportunities, and controlled leverage while closely monitoring liquidity fluctuations and regulatory developments [8]

Core Viewpoint - The bond market is under pressure with a weak trend due to limited expectations for monetary easing at the beginning of the year and concerns over supply pressure [1] Market Performance - Government bond futures closed lower across the board, with the 30-year main contract down 0.44% at 110.47, the 10-year main contract down 0.08% at 107.61, the 5-year main contract down 0.06% at 105.5, and the 2-year main contract down 0.03% at 102.332 [2] - The interbank major interest rate bond yields briefly fell before rising again, with the 10-year policy bank bond yield up 1.15 basis points to 1.99%, and the 10-year government bond yield up 0.75 basis points to 1.891% [2] Monetary Policy and Market Outlook - The People's Bank of China emphasized maintaining a moderately loose monetary policy, enhancing financial services for high-quality economic development, and ensuring a stable financial environment [7][8] - Institutions expect the bond market to remain volatile, with a preference for carry trades and small positions in adjusted wave trading strategies [9] Funding Conditions - The central bank conducted a 286 billion yuan 7-day reverse repurchase operation at a rate of 1.40%, resulting in a net withdrawal of 500.2 billion yuan for the day [6] - Shibor rates showed mixed performance, with the overnight rate rising by 0.3 basis points to 1.266% and the 7-day rate rising by 2.8 basis points to 1.45% [6] Institutional Insights - Western fixed income analysts believe that new public fund sales regulations will positively impact the bond market, potentially improving institutional sentiment [9] - Expectations for monetary policy in 2026 include possible rate cuts and reserve requirement ratio reductions, with a focus on maintaining liquidity and supporting economic growth [9]

Summary of Key Points from the Conference Call Industry Overview - The conference call discusses the foreign exchange market outlook for 2026, highlighting the expected return of loose trading conditions and the potential weakening of the US dollar in the first half of 2026, with the dollar index projected to fall to the 90-94 range [2][13]. Core Insights and Arguments - **2025 Market Dynamics**: The US dollar weakened in the first half of 2025 due to tariff uncertainties and fluctuating employment data, leading to a de-dollarization trend. However, by the second half, the dollar rebounded as tariff issues were resolved and the Federal Reserve's rate cuts were fully priced in, resulting in a low volatility environment [3][4]. - **Carry Trade Strategy**: In the current low volatility environment, the primary trading strategy is the carry trade, where investors sell low-yield currencies and buy high-yield currencies. Latin American currencies, such as the Brazilian real and Mexican peso, performed well due to high interest rates [4][5]. - **Factors Influencing 2026 Volatility**: Key factors that may affect volatility in 2026 include changes in US policy expectations, deteriorating employment data, signs of economic recession indicated by PMI indices, and the stance of the new Federal Reserve chairman on interest rates [6][7]. - **Federal Reserve's Potential Actions**: The Federal Reserve may adjust interest rates in response to economic conditions, with a potential for further rate cuts if employment continues to decline. Current forward implied rates suggest a 50-75 basis point reduction is possible [7][8]. - **Global Interest Rate Disparities**: There is a significant difference in the future rate cut potential between the US and other central banks, with the US having more room to cut rates compared to the European Central Bank and the Bank of England. This could narrow interest rate differentials and encourage foreign investment in US assets without significantly increasing the dollar's value [8]. Other Important Considerations - **Upcoming Risks**: Notable risks include the potential for a US government shutdown, which could tighten liquidity, and ongoing tariff issues that may create market volatility. The possibility of the Supreme Court ruling on current tariffs could lead to renegotiations of trade agreements [10][11]. - **Impact of Technology and AI**: The rise of AI technology may enhance productivity but could also lead to demand shrinkage, creating imbalances in the global economy and potentially causing significant fluctuations in financial markets, including the forex market [9]. - **Chinese Yuan Outlook**: The Chinese yuan is expected to appreciate gradually in 2025, supported by stable US-China trade relations and a weak dollar environment. The yuan may fall below 7 against the dollar in the first half of 2026 [14][15]. This summary encapsulates the key points discussed in the conference call, providing insights into the foreign exchange market's dynamics, strategies, and potential risks moving forward.

Core Insights - The article discusses the investment strategies and market outlook of Jiang Lei, a fund manager at Everbright, particularly focusing on short-duration bond strategies in a challenging bond market environment [1][2][3]. Group 1: Investment Strategy - Jiang Lei emphasizes strict control over credit risk and duration exposure as essential principles for protecting investor returns during market volatility [1]. - The current bond market presents low investment odds, with credit spreads and term spreads compressed, making it challenging for fund managers to achieve significant returns [2]. - The new fund, Everbright Baodexin Tianli 30-Day Rolling Bond, will focus on high-quality AA+ short- to medium-term credit bonds while avoiding lower-rated credit bonds to ensure asset safety [3]. Group 2: Market Conditions - The bond market has experienced multiple fluctuations this year, and the likelihood of further interest rate cuts in the third quarter is low due to ongoing observations of monetary policy impacts [2]. - Jiang Lei notes that the overall liquidity in the market remains ample, allowing for certain yield advantages in short-duration strategies [2][4]. - The team will closely monitor the spread between bond rates and DR007 (7-day repo rate) to identify opportunities for leveraging in pursuit of more certain returns [4]. Group 3: Risk Management - The investment approach prioritizes absolute returns, aiming to protect principal while capturing excess returns through careful duration management [3]. - Jiang Lei advocates for a contrarian investment mindset, suggesting that investors should avoid chasing market trends and instead look for opportunities during market overreactions [5]. - The fund's structure allows for a 30-day rolling operation period, which helps manage liquidity needs and reduces transaction costs for investors [6].