证 券 研 究 报 告 久期的博弈机会vs票息的稳健价值 ——2026年一季度债券投资策略展望 证券分析师： 黄伟平 A0230524110002 栾强 A0230524110003 王哲一 A0230525100003 研究支持：杨琳琳 A0230124120001 2026.1.6 主要内容 ✓ 缓解长债供需失衡的可能路径： www.swsresearch.com 证券研究报告 2 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 ◼ 一、2025年：长端利率债一直受赔率偏低的制约。2025年：债券资产"低夏普"，权益资产"高夏普"。 ◼ 二、影响债市走势的主要矛盾：债券的供需失衡>政策预期差（特别是货币政策）>物价回升的中期预期。 ✓ 长久期债券供需结构生变，基金和保险对超长期限国债净买入量回落： • 第一层供需矛盾：长久期债券供需结构生变，超长债供给抬升，但基金和保险对超长期国债需求减弱。 • 第二层供需矛盾：政府债供给期限偏长、货币流动性供给期限偏短导致的期限结构错配。 • 央行降准：银行承接长债能力抬升，但受存款准备金约束，5%的经验下限或与国际经验有关。 • ...

引子 最近一则消息在金融圈炸开了锅：特朗普要换美联储主席了。作为一个浸-市场多年的量化投资者，我第一反应不是去猜测新主席人选，而是立即调出了近 期的机构资金流向数据。果然，一些有趣的蛛丝马迹已经浮现… 一、政治博弈下的利率迷局 特朗普在讲话中透露将任命一位支持大幅降息的新美联储主席，这让我想起了十年前刚接触量化投资时的一个深刻体会：政策风向的变化往往最先反映在 机构资金的交易行为上。 现任美联储主席鲍威尔的任期即将结束，而特朗普心仪的1%以下利率水平与当前3.5%-3.75%的利率存在巨大差距。这种政策预期差正是量化投资者最需要 关注的信号。记得2015年美联储加息周期启动前，我的系统就捕捉到了机构资金异常的回补行为。 二、房贷利率背后的市场真相 自9月以来，美国房贷利率稳定在6.3%-6.4%，表面看似乎纹丝不动。但通过量化系统观察到的机构资金流向却显示：部分房地产相关ETF已经连续三周出 现"震仓洗盘"的特征。 这让我想起去年研究过的一个典型案例： 左侧股票呈现典型的"机构震仓"特征 - 先是三连板快速拉升，然后剧烈震荡。而右侧股票则是散户主导的"抢反弹"行情。当时很多人被表面的涨跌迷惑，但 量化数据清晰 ...

Report Summary 1) Report Industry Investment Rating No investment rating for the industry is provided in the report. 2) Core Viewpoints - The short - term trading opportunities for A - share index futures are limited due to low trading volume and volatility [2]. - The current interest rate is approaching the high level before the end of September, and the allocation value of bonds within 10 years is relatively improved. The 30 - year bonds may be oversold under emotional drive. It is recommended to wait and see for the unilateral strategy and focus on the Politburo meeting and the new regulations on bond fund redemption fees [2]. - Gold is in a consolidation phase near $4200, and it is advisable to be cautious about chasing long positions unilaterally. Silver is oscillating strongly and may reach $60. Investors are advised to lock in profits after accumulating floating profits [2]. - The container shipping index is expected to fluctuate in the short - term [2]. - For steel, it is recommended to focus on the long - rebar and short - iron ore arbitrage. Iron ore is in high - level consolidation, and coking coal and coke are also in a consolidation state [2]. - Copper prices are rising again, and aluminum prices are rising with increased positions. Different trading strategies are recommended for various non - ferrous metals [2][3]. - For new energy and chemical products, different products have different market trends and corresponding trading suggestions, such as PX having strong support in the medium - term, while PTA's rebound space is limited [3]. - In the energy and chemical industry, different products have different market situations, such as LLDPE's trading volume weakening significantly and PP's supply having an upward expectation [3]. - In the agricultural products market, different products have different trends, such as palm oil falling due to potential inventory growth and sugar oscillating weakly [3]. 3) Summary by Related Catalogs Financial Sector - **Stock Index Futures**: A - share index futures have low trading volume and volatility, and the short - term trading space is limited. The dividend sector is firm, and the index futures are trading weakly [2]. - **Treasury Bonds**: The current interest rate is approaching the high level before the end of September. The 30 - year bonds are relatively weak, and the short - term market driver may come from the policy expectation difference. It is recommended to wait and see for the unilateral strategy and focus on the Politburo meeting and the new regulations on bond fund redemption fees. The positive arbitrage strategy for the 2603 contract is recommended for the spot - futures strategy [2]. - **Precious Metals**: Gold is in a consolidation phase near $4200, and it is advisable to sell out - of - the - money put options to earn time value. Silver is oscillating strongly and may reach $60. Investors are advised to lock in profits after accumulating floating profits. Platinum and palladium should be traded with a short - term high - selling and low - buying strategy, and the long - platinum and short - palladium hedge should take profits at high levels [2]. Black Sector - **Steel**: Steel mills are reducing production. It is recommended to focus on the long - rebar and short - iron ore arbitrage and narrow the spread between hot - rolled coil and rebar [2]. - **Iron Ore**: The shipment is increasing, the arrival is decreasing, and the port inventory is increasing. It is in high - level consolidation, with the range from 750 to 820 [2]. - **Coking Coal**: The price reduction range of coal in the production area is expanding, and the price of Mongolian coal is stable. The futures price is falling again, with the range from 1050 to 1150, and the 1 - 5 reverse spread is recommended [2]. - **Coke**: The first round of price cuts in December has been implemented, and the port trading price is falling. It is in a consolidation state, with the range from 1550 to 1700, and the 1 - 5 reverse spread is recommended [2]. Non - Ferrous Sector - **Copper**: The LME cancelled warehouse receipts are increasing significantly, and copper prices are rising again. The short - term decline space is limited [2]. - **Aluminum**: Aluminum prices are rising with increased positions. Different trading strategies are recommended for aluminum, waste aluminum, and aluminum alloy, with corresponding price ranges [2][3]. - **Other Non - Ferrous Metals**: For zinc, supply reduction and interest - rate cut expectations provide support, but the spot trading is dull [4]. For other non - ferrous metals such as tin, nickel, and stainless steel, different market trends and trading suggestions are provided [3]. New Energy and Chemical Sector - **New Energy**: Different new energy products such as polysilicon and lithium carbonate have different market trends and corresponding trading suggestions, such as polysilicon futures rising while the spot price is stable [3]. - **Chemical Products**: Different chemical products have different market situations, such as PX having strong support in the medium - term, while PTA's rebound space is limited. Different trading strategies are recommended for each product [3]. Energy and Chemical Sector - Different energy and chemical products such as LLDPE, PP, and methanol have different market trends and corresponding trading suggestions, such as LLDPE's trading volume weakening significantly and PP's supply having an upward expectation [3]. Agricultural Products Sector - Different agricultural products such as palm oil, sugar, and cotton have different market trends and corresponding trading suggestions, such as palm oil falling due to potential inventory growth and sugar oscillating weakly [3].

瑞郎的避险属性与经济基本面形成鲜明反差，成为汇率波动的特殊催化因素。作为全球三大避险货币之 一，2025年地缘风险与全球经济波动推动资金持续流入瑞郎，使其年内累计升值超10%，一度触及 0.7915的近十年低点。但强势瑞郎严重削弱出口竞争力，瑞士央行虽维持1.0%-1.5%的2025年GDP增速 预期，却将通胀预期下修至0.2%，远低于2%的目标。 瑞士央行面临政策工具受限的困境，进一步放大汇率不确定性。传统外汇干预手段因美国指责"汇率操 纵"而空间收窄，降息则可能挤压银行利润、引发资本外流。美国经济相对韧性形成对比，其"高息+避 险"双属性使美元在跌势中获得缓冲，但瑞郎的避险需求黏性更强，即便降息预期升温，也难以扭转其 长期强势格局。 机构对美元兑瑞郎后市分歧聚焦于政策与避险的平衡。部分机构认为，若瑞士央行12月如期降息，汇价 可能短暂反弹至0.8150区间；而若地缘风险升级，瑞郎避险买盘将推动汇价向0.7900整数关口靠近。当 前市场对美联储12月维持利率不变的概率超50%，这种政策预期差本应加剧美元跌势，但避险需求形成 的支撑使汇率陷入平衡。 技术面看，美元兑瑞郎自9月触及0.7915低点后，形成0.8 ...

Core Viewpoint - The Australian dollar (AUD) is experiencing a strengthening trend against the US dollar (USD), supported by improvements in employment and persistent inflation, while facing challenges from commodity price volatility and uncertainties in iron ore demand [1][2]. Group 1: Economic Indicators - Australia's Q3 CPI rose to 3.2% year-on-year, with trimmed mean inflation at 3% [1] - The unemployment rate fell to 4.3% in October, with an increase of 42,200 jobs, including a significant rise of 55,000 full-time positions [1] - The Reserve Bank of Australia (RBA) is unlikely to lower interest rates in the short term due to resilient inflation and employment data [1] Group 2: Monetary Policy Expectations - The Federal Reserve's shift towards a more accommodative stance is providing an advantage to the AUD, with an 82.9% probability of a 25 basis point rate cut in December [1] - Goldman Sachs predicts three additional rate cuts by the Federal Reserve in 2025, although Chairman Powell indicated that rate cuts are not guaranteed, which may create policy expectation volatility [1] Group 3: Commodity Market Dynamics - China's iron ore imports exceeded 100 million tons in October, marking the fifth consecutive month above this threshold, while Brent crude oil prices are declining, partially offsetting the AUD's commodity-related support [1][2] - Structural contradictions in the Australian economy and fluctuations in external demand are constraining the AUD's upward movement, with rising inflation driven by housing and electricity costs potentially suppressing consumer spending [2] Group 4: Market Sentiment and Technical Analysis - There is a notable divergence among institutions regarding the future of the AUD, with Oxford Economics predicting a potential rate cut by the RBA in 2026, while Capital Economics believes faster rate cuts by the Fed will support the AUD [2] - Technical indicators show that the AUD has formed a consolidation platform around 0.6550, with a bullish signal emerging from the 5-day and 10-day moving averages [2] - Key resistance levels are identified at 0.6580-0.6600, with support levels at 0.6550-0.6560, and future movements will depend on upcoming data releases from the Fed and Australian inflation figures [2]

Group 1: Report's Core View - The short - term A - share market may continue to fluctuate upwards, but short - term volatility should be watched out for. The style may become more balanced in the future, and a defensive allocation is recommended, focusing on opportunities in technology sector rotation, high - dividend, and cyclical sectors. The bond market is expected to be volatile and bearish [6]. - The "watch - the - stock - to - trade - bonds" principle dominates short - term trading, and the bond market is difficult to decline significantly before the stock market cools down [8]. Group 2: Stock Index Strategy Stock Index Trend Review - Last week, the A - share market showed a significant divergence. The Shanghai Composite Index representing large - cap blue - chips fell, while the Shenzhen Component Index, ChiNext Index, and STAR Market Index rose. The weakness of financial and real - estate sectors dragged down the Shanghai - related indices, while the growth - style sectors provided support for relevant indices [6]. Technical Analysis - The market maintained a differentiated pattern last week. The ChiNext and STAR Market indices were strong, while the SSE 50 was weak. After a ground - volume rebound on a certain day in August, there was a significant volume decline on Thursday, forming a divergence with the previous up - volume. The short - term profit - taking pressure was prominent [6]. Strategy Outlook - Reasonably control positions and pay attention to policies and sector rotation rhythms [6]. Group 3: Treasury Bond Strategy Treasury Bond Trend Review - The bond market oscillated last week. Although the central bank made a net injection, liquidity did not loosen significantly due to tax - period disturbances. Rumors of the central bank's bond - buying operation and the Fed's interest - rate cut provided some support [9]. Technical Analysis - The T - contract K - line oscillated upwards, with the MACD yellow and white lines intertwined, and the BOLL lines still opening downwards [9]. Strategy Outlook - The bond market is expected to be volatile and bearish. It is recommended to reduce positions in a timely manner [9]. Group 4: Key Data Tracking PMI - In July, the manufacturing PMI dropped to 49.3%, weaker than market expectations and seasonal trends. Both supply and demand sides weakened, with external demand falling more significantly on the demand side and production slowing on the supply side. Upstream non - ferrous and steel industries improved, while downstream export - oriented industries were suppressed [13]. Inflation - In a certain month, the year - on - year CPI was flat, and the month - on - month CPI rose by 0.4%. The year - on - year PPI decreased by 3.6%, and the month - on - month PPI decreased by 0.2%. There were positive changes in prices, but the year - on - year CPI and PPI remained sluggish [16]. Industrial Added Value - The year - on - year growth rate of industrial added value in a certain month dropped to 5.7%, and the growth rate of the service production index dropped to 5.8%. The decline in industrial added value was mainly due to the export - oriented industries such as automobiles, electronics, textiles, and electrical machinery [19]. Fixed - Asset Investment - The estimated year - on - year growth rate of fixed - asset investment in a certain month turned negative to - 5.2%. The reasons were complex, including short - term factors like extreme weather and statistical method issues, medium - term factors such as export - expectation decline and policy implementation, and long - term factors like the shrinking real - estate investment [22]. Social Retail Sales - The year - on - year growth rate of social retail sales in a certain month dropped to 3.7%, and that of above - quota retail sales dropped to 2.8%. The decline was mainly reflected in low - level fluctuations in catering revenue, weak sales of state - subsidized products, and a decline in real - estate - related consumption [25]. Social Financing - In a certain month, new social financing was 1.2 trillion yuan, and new RMB loans were negative. At the end of the month, the year - on - year growth rate of social financing stock was 9.0%, and that of M2 was 8.8%. Although the credit growth was negative, the growth rates of social financing, M1, and M2 improved. In the future, the social financing growth rate may peak and decline, and policies may be adjusted according to the situation [28]. Import and Export - In a certain month, China's exports were $3217.8 billion, imports were $2235.4 billion, and the trade surplus was $982.4 billion. The import and export performance was stronger than expected, mainly due to the "rush" behavior under the threat of US tariffs on semiconductors and pharmaceuticals [31]. Group 5: Weekly Focus - The report lists a series of US economic indicators to be focused on, including the second - quarter core PCE price index, personal consumption expenditure, real GDP, and initial jobless claims [33].

Group 1: Federal Reserve Rate Cut - The Federal Reserve announced a 25 basis point rate cut, lowering the federal funds rate target range to 4.00%-4.25%, marking the first cut in 2025 and following three cuts in 2024 [1] - Despite the rate cut aligning with market expectations, Fed Chairman Powell's hawkish remarks dampened market sentiment, emphasizing that a 50 basis point cut lacked broad support and that there was no need for significant cuts [2] - The Fed's economic growth forecast was raised to 1.6%, indicating a focus on economic resilience and inflation vigilance, which shifted market perceptions from aggressive easing to prioritizing economic strength [2] Group 2: Market Reactions - Gold prices initially surged to a historical high of $3744 per ounce following the rate cut but quickly retreated, reflecting a "buy the rumor, sell the news" mentality among investors [1][3] - A-shares experienced a decline, with all three major indices dropping over 1%, indicating a structural shift in investment logic from liquidity-driven to fundamental verification [6] - The A-share market's reaction was influenced by Powell's hawkish stance, leading to a reassessment of global liquidity improvements and creating dual pressures from domestic policy and external demand expectations [6] Group 3: Gold Market Dynamics - The gold market exhibited significant volatility, with prices fluctuating over $60 in a single day, driven by market psychology surrounding the rate cut [3][4] - Technical indicators suggested that gold was overbought, with the 14-day RSI reaching 78, indicating potential for a technical pullback [4] - Long-term support for gold prices remains intact due to the initiation of the Fed's rate cut cycle, weakening of the dollar credit system, and strong demand from central banks [4] Group 4: A-share Market Outlook - The A-share market is expected to face a period of structural opportunities despite short-term volatility, with technology growth and low volatility dividend sectors being highlighted for potential gains [8] - The market may experience a "policy-driven + profit improvement" support dynamic in the fourth quarter, suggesting a potential upward trend [8] - Foreign capital continues to flow into the A-share market, indicating renewed interest in Chinese assets despite short-term fluctuations [10] Group 5: Future Considerations - The next three months are critical for market performance, with inflation data being a key variable that could influence the Fed's rate cut pace [9] - The ongoing strong demand for gold from global central banks, particularly from the People's Bank of China, suggests potential for further increases in gold reserves [9]

Report Summary 1. Report Industry Investment Ratings No specific overall industry investment ratings are provided in the report. However, specific investment suggestions are given for each variety: - **Buy Suggestions**: Index futures (sell far - month contracts), Treasury bonds (buy on dips), Precious metals (low - buying for silver, hold gold long - positions), Iron ore (buy on dips), Coking coal (buy on dips, 9 - 1 calendar spread), Coke (buy on dips, 9 - 1 calendar spread), Copper (hold), Aluminum (range - trading), Zinc (range - trading), Nickel (range - trading), Urea (buy on dips, quick profit - taking), PTA (range - trading, TA1 - 5 reverse spread, expand processing margin), PP (range - trading, stop - loss for previous short - positions), Maize (long - position for 01 contract), Industrial silicon (hold call options), Polysilicon (hold call options) [2] - **Sell Suggestions**: Gold (sell put options below 760 yuan), Steel (sell on rallies), Container shipping index (sell on rallies), Alumina (range - trading), Crude oil (wait for geopolitical clarity), Caustic soda (hold short - positions), PVC (stop - loss for short - positions), Pure benzene (observe or short - term long), Styrene (range - trading), Synthetic rubber (observe), LLDPE (short - term long), Cotton (reduce near - month short - positions, hold 01 short - positions), Eggs (long - term short), Apples (observe around 7800), Glass (hold short - positions), Carbonate lithium (observe cautiously) [2] 2. Core Views - **Market Environment**: The second round of China - US trade talks extended tariff exemption clauses, and the Politburo meeting's policy tone was consistent with the previous one, causing short - term market expectation differences. The policy negatives were exhausted in early August, and the capital market became looser [2]. - **Market Trends**: Index futures continued to rise, TMT regained popularity; Treasury bonds were expected to oscillate upward; Precious metals' upward trend slowed down; The container shipping index was expected to be weak; Steel and iron ore prices fluctuated; Non - ferrous metals were supported by fundamentals; Energy and chemical products showed different trends; Agricultural products were affected by factors such as production expectations and inventory; Special and new energy products had their own characteristics in price movements [2]. 3. Summary by Variety **Financial** - **Index Futures**: Continued to rise, with TMT heating up again. Recommended selling far - month contracts and shorting MO put options with strike prices of 6300 - 6400, with a mild bullish view [2]. - **Treasury Bonds**: With policy negatives exhausted and loose funds, they were expected to oscillate upward. Suggested buying on dips and paying attention to July economic data [2]. - **Precious Metals**: Gold's upward trend slowed down, and silver was affected by market sentiment. Gold long - positions were held above 3300 dollars (770 yuan), and silver was bought at low levels around 36 - 37 dollars (8700 - 9000 yuan) [2]. **Industrial** - **Container Shipping Index (EC)**: Expected to be weakly oscillating, with a strategy of selling on rallies [2]. - **Steel and Iron Ore**: Steel turned to oscillation, and iron ore followed steel price fluctuations. Suggested buying on dips for iron ore and using a long - coking coal and short - iron ore strategy [2]. - **Non - ferrous Metals**: Copper was supported by fundamentals, and the price range was 77000 - 79000; Aluminum was oscillating, and the range was 20000 - 21000; Zinc was oscillating in a narrow range, and the range was 22000 - 23000; Nickel was oscillating strongly, and the range was 118000 - 126000 [2]. **Energy and Chemical** - **Crude Oil**: Weakly oscillating, with a strategy of waiting for geopolitical clarity. Support levels were [63, 64] for WTI, [66, 67] for Brent, and [490, 500] for SC [2]. - **Urea**: There was a game between export drive and weak domestic consumption. The short - term strategy was to buy on dips and take quick profits, and exit long - positions if the price did not break through 1770 - 1780 [2]. - **PTA**: With low processing fees and limited cost support, it was expected to oscillate in the range of 4600 - 4800. TA1 - 5 was treated with a reverse spread, and the processing margin was expanded at a low level (around 250) [2]. **Agricultural** - **Soybean Meal and Maize**: Maize was oscillating weakly, and the 01 contract of soybean meal was held long due to import concerns [2]. - **Palm Oil**: The price pulled back due to expected inventory increases. Observed whether P09 could stand firm at 9000 [2]. - **Cotton**: The downstream market was weak. Near - month short - positions were reduced, and 01 short - positions were held [2]. **Special and New Energy** - **Glass**: The spot sales weakened, and the contract was held short [2]. - **Industrial Silicon and Polysilicon**: Both were oscillating upward, and call options were held [2]. - **Carbonate Lithium**: The price was pulled up by news, but there were uncertainties in the mining end. It was mainly observed cautiously [2].

Group 1 - The manufacturing PMI stands at 50.8%, indicating a slight recovery, with the new orders index rising to 51.2%, suggesting ongoing demand [3] - There is a significant disparity between large enterprises (PMI at 52.1%) and small enterprises (PMI at 49.3%), highlighting the lack of policy support for smaller firms [3] - The non-manufacturing PMI is at 54.5%, driven by strong performance in tourism and film sectors, while real estate sales remain weak, indicating a divergence in market sentiment [3] Group 2 - The "production and business expectations index" in the manufacturing PMI has surged to 57.3%, the highest this year, reflecting strong corporate confidence despite delayed policy implementation [4] - The technology sector shows promising growth potential, with significant investments from major companies like Google and Microsoft, and a high pre-announcement growth rate exceeding 60% for mid-year reports [4] - High dividend stocks, such as Industrial and Commercial Bank of China with a 5.7% dividend yield, are attracting investment in a volatile market, emphasizing the importance of cash flow [5]

Group 1 - Spot gold prices have dropped to a multi-week low around $3316.50 per ounce, with limited buying interest observed [1] - Silver is fluctuating cautiously near a low point of $38, reflecting a similar trend to gold [1] - The easing of safe-haven demand is attributed to the US-EU trade agreement, alongside a potential 1.5% rise in the US dollar, which is pressuring precious metal prices [1] Group 2 - Market expectations regarding interest rate changes remain cautious, with a 96.9% probability of no change in July and a 62.6% chance of a rate cut in September [2] - Structural differentiation in tariffs is noted, with countries like South Korea, Canada, and Chile seeking favorable terms, which reduces systemic risk premiums [2] - The geopolitical landscape is entering a rebalancing phase, with a ceasefire agreement between Thailand and Cambodia reducing short-term safe-haven demand, while US-Russia tensions are escalating [2] Group 3 - The strong rebound of the US dollar continues to exert pressure on gold prices, with a potential drop below $3300 leading to support levels around $3275-$3285 [3] - Silver prices are also under pressure from a strong dollar, with support levels at $37.30-$37.50 and potential further decline towards $35.65-$35.85 [3] - The precious metals market is expected to experience increased volatility, with key focus on the outcomes of the July 30 FOMC meeting and ongoing negotiations between the US and China [3]