债 券 研 究 2026 年 02 月 28 日 存单走势或制约长债空间 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 证 券 研 究 报 联系人 栾强 A0230524110003 luanqiang@swsresearch.com 债 券 策 略 告 相关研究 - 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com ⚫ 供需均较为友好，支撑存单利率平稳。2026 年以来，尽管资金面面临了一些扰动，包括 税期、跨节等因素，但存单利率走势总体平稳，从供给端和需求端来看，对存单利率都较 为友好。 ➢ 供给端来看，央行投放了较多相对中长期的流动性，银行存单净融资规模明显低于 往年同期。实际上，自 2025 年四季度开始，央行流动性投放力度就明显增强，并 且通过 MLF、买断式逆回购等工具投放了较多相对中长期的流动性，同时恢复了常 态化买债操作，但对银行负债端补充 ...

1月以来，债券收益率整体先上后下，上行主要受年初以来股市持续上涨、 风险偏好上升的影响。从经济基本面来看，内需仍然处于回落的趋势中，外需 保持韧性，但对债市影响有限。通胀逐步回升，1月工业品价格也多数上涨，使 得市场通胀预期逐步上行，对债市偏利空。货币政策方面，在央行进行结构性 降息后，短期内进一步降准降息的概率有所下降，但会维持资金面稳定。目前 债市的主要矛盾仍然集中在逐步好转的基本面预期、股市和商品市场的持续上 涨以及风险偏好的整体抬升，利率呈现易上难下的特征。2月处于数据真空期， 预计短期内上述预期持续，对债市较为不利。建议短期内交易盘保持谨慎，配 置盘有年初早配置的需求，可在利率受冲击上行至区间上沿时择机介入。 1 南京银行 2026 年 1 月宏观利率展望 风险偏好抬升，利率易上难下 阿 内容摘要： 宏观经济方面，12月经济显示内需继续放缓，需求端固定资产投资降幅扩 大，其中房地产、制造业、基建投资增速均继续下行。消费增速回落，显示内 需仍然在走弱的过程中。供给端生产略有回升，主要受高技术产业生产加速拉 动。12月CPI和PPI同步回升，显示通胀逐步进入温和上行的趋势中。 1 月以来，资金面月初偏宽 ...

投资咨询业务资格：证监许可【2012】31号 樊梦真 从业资格证号：F3035483 投资咨询证号 ：Z0014706 报告日期：2026-1-19 本报告非期货交易咨询业务项下服务，其中的观点和信息仅供参考，不构成任何投资建议；期市有风险，投资需谨慎 01 PART ONE 主要观点 周度行情一览 • 上周国债期货市场各期限走势分化，30年期延续弱势，其余各期限反弹修复，市场情绪回暖。周初海外地缘政治风险升温，全球权益市场波动加剧，叠加国内 12月通胀数据低于预期，市场对经济复苏斜率担忧再起，资金涌入固收资产避险，推动期债上行。后半周后市场关注点转向国内政策可能加码的预期。一方面， 市场传言央行可能通过结构性工具引导宽信用；另一方面，部分投资者担忧财政政策发力可能带来供给压力，多空双方在"弱现实"与"强预期"间反复权衡。 周四（1月15日），央行联合相关部门召开会议，宣布推出一篮子货币政策措施，主要聚焦于结构性工具与流动性支持的结合，旨在引导金融机构加大对重点领 域和薄弱环节的支持，同时维持市场流动性合理充裕。具体举措包括：1.创设专项再贷款工具：新增2000亿元科技创新和技术改造再贷款额度，利率较同类工具 ...

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints of the Report - China's exports in September continued to exceed expectations, with a year-on-year growth of 8.3%. The resilience of exports was mainly supported by the demand from non-US economies and emerging markets, low base effect, and the "anti-involution" effect on export prices. In the fourth quarter, although the rising base may suppress export readings, exports may still perform better than expected. [3][7] - China's imports in September had a year-on-year growth of 7.4%, reaching a new high for the year. The increase was mainly driven by price rises, and the import volume of some consumer goods remained weak. Attention should be paid to the improvement of import momentum after the accelerated implementation of wide - credit policies in the fourth quarter. [3][4] 3. Summary by Relevant Catalogues 3.1 Export: Strong Demand from Emerging Markets Supports Export Resilience - **Overall Export Situation**: In September, the export growth rate was +8.3%, 3.9 percentage points higher than that in August. The narrowing decline in exports to the US and the rising growth rate to non - US economies, along with the booming emerging markets, supported export resilience. [3][13] - **By Product Category** - **Consumer Goods**: The drag on consumer goods exports narrowed slightly but remained at a low level. In September, the year - on - year decline of four categories of consumer goods (clothing, shoes, bags, and toys) was - 12.7%, a 0.6 - percentage - point improvement from August. Price was still the main drag, with shoes and bags having year - on - year declines of - 13.0% and - 14.1% respectively. [15] - **Intermediate Goods**: The export of intermediate goods accelerated, significantly driving exports. In September, the combined year - on - year growth of five categories of intermediate goods (plastic products, steel, aluminum, integrated circuits, and general equipment) was +21.0% (compared to +12.3% in August), driving export growth by 2.4 percentage points. [18] - **Electronic Products**: Due to the low base, the drag of electronic products on exports significantly narrowed. In September, the combined year - on - year decline of mobile phones and laptops was - 1.0% (compared to - 8.1% in August), and the drag on exports narrowed to - 0.1%, the best performance since April. [23] - **Automobiles**: The contribution of automobiles declined slightly. In September, the year - on - year growth of automobile (including chassis) export value was +10.9%, a 6.5 - percentage - point decline from August, and the driving rate of export growth dropped to 0.4%. [23] - **By Country** - **Developed Economies**: In September, the decline in exports to the US narrowed slightly, with a year - on - year decline of - 27.0%, and its share in exports rose to 10.4%. The growth rate of exports to the EU continued to rise, reaching +14.2%. [24] - **Emerging Markets**: Exports to ASEAN slowed down, with a year - on - year growth of +15.6%, a 7 - percentage - point decline from the previous month, but still at a relatively high historical level. Exports to Latin America were remarkable, with the year - on - year growth turning positive to +15.2%, the highest since May. [24] 3.2 Import: Significantly Driven by Price, with the Growth Rate Reaching a New High for the Year - **Overall Import Situation**: In September, the import amount had a year - on - year growth of 7.4%, a 6.1 - percentage - point increase from August, reaching a new high for the year. The month - on - month growth was +8.5%, significantly higher than the usual 2% in the same period. Price increases were the main driver, while the import volume of some commodities remained weak, indicating that domestic demand still needed to be boosted by wide - credit policies. [29] - **By Product Category** - **Upstream Bulk Commodities**: The decline in imports of upstream bulk commodities significantly narrowed. In September, the combined year - on - year decline of five categories of upstream bulk commodities (iron ore, copper ore, coal and lignite, crude oil, and refined oil) was - 1.6%, the best performance this year, 10.5 percentage points narrower than in August. [30] - **Intermediate Goods**: The import of intermediate goods accelerated. The combined year - on - year growth of four categories of intermediate goods (primary plastics, copper materials, diodes, and integrated circuits) was +11.6%, a 6.2 - percentage - point increase from the previous month, also at a new high for the year. [30] - **Downstream Consumer Goods**: The decline in downstream consumer goods narrowed to single - digits for the first time. The combined year - on - year decline of three categories of consumer goods (medical materials and drugs, cosmetics, and automobiles) was - 9.9% (compared to - 25.1% previously), dragging down imports by - 0.2%. [30]

Core Viewpoint - The bond market is experiencing a weak and volatile trend, with various factors influencing its performance, including macroeconomic data and policy changes [2][3][4]. Group 1: Market Trends - Since July, the equity market has been rising, leading to a correction in the bond market, with the yield spread between 30-year and 10-year government bonds reaching above the 75th percentile for 2023, indicating improved cost-effectiveness for pure bond assets [1][3]. - As of September 30, the interbank bond market showed mixed yield movements, with the 10-year yield around 1.86%, reflecting a general upward trend in bond yields since September [2]. - The bond market is under pressure due to factors such as unexpected developments in US-China negotiations and increased redemption pressures from bond funds [2]. Group 2: Positive Factors - Despite the seasonal weakness in September, there are positive indicators, including weak macro data and a shift in the central bank's reverse repurchase auction method, suggesting a supportive monetary policy stance [3]. - The reduction in new bond supply for October is expected to positively impact the bond market, with government bond net financing projected to decrease significantly compared to previous months [4]. Group 3: Investment Strategies - In the current environment of market volatility, maintaining an open mindset is recommended, as fundamental support remains strong [6]. - Analysts suggest focusing on short-term and cross-product arbitrage opportunities, as well as identifying underpriced bonds with buying support [6]. - The bond market is believed to be in a bottoming phase, with potential for improved cost-effectiveness, particularly as the fourth quarter approaches [6].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - In September 2025, with the addition of the traditional "Golden September" peak season, the PMI slightly rebounded below the boom - bust line, but the recovery was still mild, and structural contradictions remained. The production in September drove the PMI to rise by 0.28pct, followed by the employees, while the demand and material inventory contributed less than 0.1pct. The production - new order gap widened, and the PMI increase was weaker than the average in September since 2022, falling short of the seasonality. The economic recovery foundation needs to be strengthened, and the 50 billion yuan policy - based financial instruments may be the key to "break the situation" [6][12]. - For the bond market, the PMI has been below the boom - bust line for 6 consecutive months. The market has fully anticipated the weak data. In the fourth quarter, new policy - based financial instruments will take effect. Attention should be paid to whether data such as new orders are "better than expected". The downstream construction and project expenditures may speed up in the fourth quarter, which may drive the performance of the mid - stream manufacturing industry. Attention should also be paid to whether the PMI can exceed the seasonal level and return above the boom - bust line [6][13]. 3. Summary According to the Directory I. Manufacturing PMI: Moderately Upward, Elasticity Awaits Policy Boost (1) Supply and Demand: The Supply - Demand Gap May Widen Again - New orders increased by 0.2pct month - on - month to 49.7%. The impact of high temperature and heavy rain faded, and exports showed resilience, but the intensity of demand recovery was still insufficient as the increase in September was the lowest since 2022 [2][16]. - Production increased by 1.1pct month - on - month to 51.9%, being the largest contributor to PMI improvement. The production peak season was realized, and the procurement volume and production and operation activity expectation index increased. The "production - new order" gap widened to 2.2pct, the highest since the beginning of the year, and the supply - demand differentiation intensified [2][20]. (2) Foreign Trade: New Export Orders Rebound Faster - New export orders increased by 0.6pct month - on - month to 47.8%, and imports increased by 0.1pct to 48.1%. In September, due to the Christmas product export peak season and the demand from non - US economies, exports were stable, and port freight volume remained high. The increase in new export orders in September exceeded that in August and was better than the overall new orders, showing export resilience [24]. - Imports continued the slight upward trend and were at a high level in the same period, indicating that enterprises' demand for import stocking was strong [25]. (3) Price: The Pressure of Price Decline Reappears - In September, the purchase price of raw materials and the ex - factory price decreased by 0.1pct and 0.9pct month - on - month to 53.2% and 48.2% respectively. The supply and demand of the basic raw material industry declined, dragging down the price index, while the prices of industries such as equipment manufacturing improved, showing a large industry differentiation [3][29]. (4) Inventory: Slow Destocking, Active Production, and a Sharp Increase in Product Inventory - In September, the raw material inventory index increased by 0.5pct to 48.5% due to the increase in procurement volume. However, the downstream demand destocking was slow, and the production expanded actively, resulting in a 1.4pct increase in finished product inventory to the highest level in the same period, showing the characteristic of "passive inventory accumulation" [3][31]. II. Non - Manufacturing PMI: The Construction Industry Continues to Be in Low - level Prosperity, Awaiting Policy Effect - In September, the non - manufacturing PMI was 50.0%, a month - on - month decrease of 0.3pct. The service industry PMI decreased by 0.4pct to 50.1%, and the construction industry PMI increased by 0.2pct to 49.3%, remaining below the boom - bust line [36]. - The construction industry expansion was still weak. The business activity indexes of housing construction and civil engineering construction were below 50%. The lack of new orders was the main factor restricting construction. The 50 billion yuan policy - based financial instruments may accelerate the investment rhythm in the fourth quarter and help the construction industry PMI recover [4][36]. - The service industry's prosperity declined in the off - season. After the summer vacation, tourism consumption entered the off - season. The approaching National Day holiday is expected to drive the improvement of travel service consumption [4][36].

Market Performance - Treasury futures closed higher across the board, with the 30-year main contract rising by 0.21%, the 10-year main contract up by 0.12%, the 5-year main contract increasing by 0.07%, and the 2-year main contract gaining 0.01% [1] - The yield on the 10-year China Development Bank bond "25国开15" rose by 0.75 basis points to 1.9425%, while the 10-year government bond "25附息国债11" yield increased by 0.85 basis points to 1.7980% [1] - The 30-year government bond "25超长特别国债02" yield rose by 1.2 basis points to 2.0910% [1] Funding Conditions - The central bank announced a 280 billion yuan 7-day reverse repurchase operation on September 15, with a fixed rate of 1.40% and a full bid amount of 280 billion yuan [2] - On the same day, 191.5 billion yuan of reverse repos matured, resulting in a net injection of 88.5 billion yuan [2] - The central bank also conducted a 600 billion yuan 6-month buyout reverse repo operation, following a previous 1 trillion yuan 3-month buyout operation on September 5 [2] Economic Fundamentals - August economic data showed weaker-than-expected consumption and investment, indicating a need for stronger domestic demand [3] - China's retail sales in August grew by 3.4% year-on-year, below the expected 3.8% and previous 3.7% [3] - Fixed asset investment from January to August increased by only 0.5% year-on-year, compared to expectations of 1.3% and a previous increase of 1.6% [3] Operational Recommendations - The basic data is favorable for the bond market, but strong risk appetite is pressuring long-term bond yields [4] - The market anticipates stronger policies to boost consumption, and stability in the bond market requires more significant positive signals [4] - Investors are advised to remain cautious and observe market movements, particularly regarding funding conditions and potential credit policy changes [4]

Report Information - Industry: Treasury Bond [1] - Date: September 12, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Report Core View - In August, there were no significant changes in the bond market's fundamentals and policies, and the stock - bond seesaw was the main reason for the bond market adjustment. In September, the factors suppressing the bond market may ease, but there are still limited incremental positives. The bond market has become less sensitive to the stock market since late August, and as the fastest - growing phase of the stock market may have passed, the stock market's suppression of the bond market may further ease. From a calendar effect perspective, the bond market has performed poorly in September since 2019 due to government bond issuance peaks and the intensification of broad - credit policies. This year, supply - side disturbances are weaker than in previous years, but the risk lies in the possible further intensification of broad - credit policies, and broad - monetary policies are unlikely to be implemented. Overall, the suppression of the bond market may ease, but it still lacks a breakthrough. In the short term, this week is a period of intensive economic data release, and economic data is expected to show moderate recovery, with the main focus on the stock - bond seesaw and the expectation of central bank bond - buying [11][12]. Summary by Directory 1. Market Review and Operation Suggestions - **Market Performance**: The strength of the A - share market suppressed long - term bonds, while loose funds supported short - term bonds. Most yields of major - term interest - rate bonds in the inter - bank market declined, with medium - and long - term yields falling by about 2bp. By 16:30, the yield of the 10 - year active treasury bond 250011 was reported at 1.8010%, down 1.4bp [8][9]. - **Funding Market**: The central bank increased its open - market operations, resulting in a stable and then looser funding situation. There were 2126 billion yuan of reverse repurchases maturing, and the central bank conducted 2920 billion yuan of reverse repurchase operations, achieving a net injection of 794 billion yuan. The inter - bank funding sentiment index remained stable and then loosened. Short - term funding rates mostly declined slightly, with the overnight weighted rate of inter - bank deposits falling 5.69bp to 1.3706%, the 7 - day rate rising 0.5bp to 1.4813%, and medium - and long - term funds remaining stable. The 1 - year AAA certificate of deposit rate remained around 1.6% [10]. 2. Industry News - **Economic Data**: In August, China's CPI was flat month - on - month and down 0.4% year - on - year due to a higher base and weak food prices. Core CPI rose 0.9% year - on - year, with the growth rate expanding for the fourth consecutive month. PPI was down 2.9% year - on - year, with the decline narrowing by 0.7 percentage points compared to the previous month, and flat month - on - month, ending eight consecutive months of decline [13]. - **Policy Statements**: The National Development and Reform Commission aims to better coordinate domestic economic work and international trade struggles, maintain policy continuity and stability, and strive to achieve the annual economic and social development goals. The Ministry of Finance plans to make full use of a more proactive fiscal policy to support employment and foreign trade, foster new growth drivers, improve people's livelihoods, and prevent and resolve risks [13][14]. 3. Data Overview - **Treasury Bond Futures**: The report provides data on the trading of various treasury bond futures contracts on September 8, including settlement prices, opening prices, closing prices, price changes, trading volumes, open interest, and position changes [6]. - **Monetary Market**: Data on the SHIBOR term structure, SHIBOR trends, and inter - bank pledged repurchase weighted rates are presented [28][30].

Core Viewpoint - The bond market has experienced significant adjustments since July, leading to negative returns for over a thousand bond funds, while the equity market has seen a rise in investor confidence due to supportive policies [1][4]. Group 1: Bond Market Performance - Since July, the 30-year government bond futures have retraced over 5%, with other maturities also showing declines, indicating a broad adjustment in the bond market [2][3]. - As of September 9, over a thousand bond funds reported negative year-to-date returns, with 50 funds showing returns below -2% and 181 funds below -1% [4]. - The bond market's downturn is attributed to changing market expectations, driven by macroeconomic policies aimed at stabilizing growth and a strong equity market performance [3][4]. Group 2: Fund Dynamics - The adjustment in the bond market has led to significant redemption pressures on bond funds, with nearly 20 funds experiencing large redemptions in the past month [4]. - Convertible bond funds and mixed equity-bond funds have performed relatively well, with some convertible bond funds achieving returns exceeding 20% [4]. - Recent regulatory changes regarding public fund fees have raised concerns among investors, potentially impacting the bond market's attractiveness [5]. Group 3: Market Outlook - The current environment suggests that the bond market may continue to face disturbances due to rising risk appetite and the strong performance of the equity market [6]. - Despite the challenges, there remains fundamental support for the domestic bond market, with expectations of a stable liquidity environment and ongoing growth policies [6]. - Analysts suggest that while a trend of recovery in the bond market may take time, there could be structural opportunities as market sentiment stabilizes [6].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In August 2025, most economic data showed a slowdown. Against the backdrop of credit - easing policies, the market risk appetite continued to improve, driving the Shanghai Composite Index to break through the high of the past 10 years. The "stock - bond seesaw" affected the bond market, with different - term bond yields generally rising. Looking forward to September, the bond market faces greater adjustment pressure, but if the 10Y Treasury bond rate breaks through 1.8%, the allocation portfolio may gradually enter the market [2][3][5]. - The economic fundamentals in July showed a slowdown trend, with only exports accelerating among the six major indicators. The divergence between domestic and foreign demand became more obvious, and the GDP reading weakened significantly compared with the second quarter. The Fed is likely to start cutting interest rates in September, and the RMB may appreciate in the second half of the year [4][28][72]. 3. Summary by Relevant Catalogs 3.1 2025 August China Capital Market Review 3.1.1 China Capital Market Trend Review - In August, most economic data weakened. Under the influence of credit - easing policies, the market risk appetite improved, and the Shanghai Composite Index broke through the high of the past 10 years. The bond market was affected by factors such as the "stock - bond seesaw" and the unexpected convergence of the capital market around the tax period, with the yields of different - term bonds rising. The yield of the 1 - year Treasury bond active bond decreased by 1.75BP to 1.35%, the 10 - year increased by 7.45BP to 1.78%, and the 30 - year increased by 10.4BP to 2.0180% [2][3][10]. 3.1.2 Bond Market Primary Issuance Situation - In August, the pressure of government bonds increased significantly. The net issuance of local bonds was 977.6 billion yuan, less than the planned amount by 183.2 billion yuan, mainly due to the shortfall in new special bonds. The net issuance of national bonds was 593.3 billion yuan, and that of policy - financial bonds was 771 billion yuan. The supply pressure of government bonds in September may decline month - on - month, and the pressure on the capital market may ease [18]. 3.1.3 Capital Market Tracking - In August, the central bank continued to make large - scale capital injections. The monthly central values of DR001 and R001 decreased. Looking forward to September, the pressure on the capital market may increase, and attention should be paid to the central bank's incremental monetary policies [23]. 3.2 China Bond Market Macroeconomic Environment Interpretation 3.2.1 Economic Fundamentals and Monetary Policy - In July, most economic data showed a slowdown. Industrial, service, consumption, investment, and real - estate sales growth rates were lower than the previous values, and the GDP reading weakened. The central bank continued to inject funds in August, and the Politburo meeting had a more positive attitude towards loose monetary policies [28][66]. 3.2.2 Overseas Economy - In July, the global de - dollarization process slowed down, but the downward pressure on the US economy began to emerge. The Fed is likely to start cutting interest rates in September. The US economic downward pressure is greater than the inflation upward momentum, and the RMB may appreciate in the second half of the year [68][72][79]. 3.3 2025 September China Bond Market Outlook and Allocation Strategy - In September, although it is very likely that economic data will continue to weaken, the bond market still faces great adjustment pressure. If the 10Y Treasury bond rate breaks through 1.8%, the allocation portfolio can gradually enter the market. Some local bonds with a spread of 30bp higher than national bonds have allocation value [80][81].