债券研究 证 券 研 究 报 告 【债券深度报告】 1 月：重视全年票息布局 ——债券月度策略思考 ❖ 一、基本面：政策靠前，用法优化 政策层面，年末集中落地布局"开门红"。2026 年"两新"政策落地时点早于 去年一周，但总量上按首批资金等额外推全年规模或在 2500 亿左右，较 2025 年力度减弱。结构上，更侧重资金分配优化、诉求提高使用效率。地产"稳预 期"也在接续发力。展望 1 月，由于春节在 2 月中旬偏晚，1 月可能是经济"开 门红"重点发力的时间窗口，假期错位或对数据节奏有一定影响，重点关注年 初通胀、PMI、出口、信贷数据。 ❖ 二、货币条件：年初扰动增多，关注央行对冲 1、银行体系流动性压力或增大。资产端，今年春节在 2 月，1 月信贷投放或 更加靠前发力，或对资金面形成一定压力。负债端，高息存款到期或仍有部分 向非银"搬家"，一季度存单到期将超 7 万亿，显著高于往年同期水平。 2、央行态度与资金展望：扰动增多，重在央行操作思路的选择。（1）央行表 态偏"克制"，数量操作积极，年末资金定价偏宽松，或不急于降息。（2） 当前流动性平稳，不具备大幅回收的条件，春节时点靠后，1 月取现备付压力 ...

固定收益周报 成交规模继续增长，信用利差分化 ――信用债周报 分析师：李济安 SAC NO：S1150522060001 2025 年 12 月 30 日 请务必阅读正文之后的声明 渤海证券股份有限公司具备证券投资咨询业务资格 1 of 16 证 券 研 究 报 核心观点： 本期（12 月 22 日至 12 月 28 日）交易商协会公布的发行指导利率有所分化， 表现为高等级多数下行，中低等级多数上行态势，整体变化幅度为-3 BP 至 2 BP。 本期信用债发行规模环比下降，企业债保持零发行，公司债、定向工具发行金额 减少，中期票据、短期融资券发行金额增加；信用债净融资额环比减少，公司债、 短期融资券、定向工具净融资额减少，企业债、中期票据净融资额增加，企业债、 短期融资券、定向工具净融资额为负，公司债、中期票据净融资额为正。二级市 场方面，本期信用债成交金额环比增长，企业债、公司债、中期票据、定向工具 成交金额增加，短期融资券成交金额减少。收益率方面，本期信用债收益率多数 下行。信用利差方面，本期中短期票据、企业债、城投债信用利差有所分化，1 年期、7 年期多数走阔，3 年期、5 年期多数收窄。分位数来看，多 ...

过去一周(2025年12月22日-2025年12月26日)，10年国债收益率呈窄幅横盘震荡状态。12月22日，12月LPR报价保持不变，现券收益率冲高震荡；12月23日， 流动性充裕环境下现券收益率有所回落；12月24日，宽货币预期扰动，现券收益率维持窄幅震荡状态；12月25日，资金面宽松引导短端利率下行，中长端利 率仍相对偏弱；12月26日，资金面维持宽松状态，市场交投情绪偏弱，债市延续震荡行情。截至周五收盘，10年国债活跃券收报1.8355%，30年国债活跃券 收报2.2210%。 浙商证券（601878）发布研报称，权益市场跨年行情或已启动，叠加贵金属引领的商品市场火热行情，或对债市资产荒逻辑形成进一步冲击。在利率波动显 著加大的市场环境下，波段交易策略虽理论占优但实际操作难度较大，买入并持有的票息策略或凭借相对简单的操作思路、相对中性的业绩表现而具有更高 性价比。 正文如下： 1.周度债市观察 1.1如何看待权益市场跨年行情 9月以来，权益市场持续处于横盘状态，上证指数在3700点至4100点之间宽幅震荡。12月17日至26日，上证指数走出八连阳行情，跨年行情或已启动。我们 认为，2020年末以茅指数 ...

Group 1 - The core viewpoint suggests seizing the certainty of short to medium-term credit bond arbitrage value and focusing on the rebound in valuation cost-effectiveness of component bonds [1] - In a volatile adjustment market with loose liquidity, the coupon strategy may be relatively superior, and it is recommended to pay attention to credit bond participation opportunities around 3 years [1] - The adjustment of component bonds has been significant, influenced by some banks' proprietary redemption of credit bond ETFs, leading to a convergence of premiums with non-component bonds [1] Group 2 - As of December 12, 2025, the company bond ETF (511030) has risen by 0.02%, achieving four consecutive increases, with the latest price at 106.61 yuan, and a year-to-date increase of 1.44% [4] - The trading volume of the company bond ETF was active, with an intraday turnover of 11.31% and a transaction value of 3.065 billion yuan, while the average daily transaction over the past week was 2.574 billion yuan [4] - The latest scale of the company bond ETF reached 27.093 billion yuan, marking a new high in nearly a year, with the latest share count at 254 million, also a new high in the past six months [4] Group 3 - The company bond ETF closely tracks the China Bond - Medium to High Grade Corporate Bond Spread Factor Index, which serves as a performance benchmark for investing in medium to high-grade corporate bonds [5] - The index is based on AAA-rated corporate bonds and is adjusted quarterly, providing a multi-dimensional reflection of the RMB bond market trends [5]

Core Viewpoint - The overall credit risk is expected to remain controllable in 2026, with low spreads and high volatility likely to continue [1]. Supply Side - The issuance policy for local government financing vehicles (LGFVs) is tightening, leading to a net outflow of LGFV bonds, with issuance scale expected to decline over the next two years [1]. - Central enterprises are continuing to increase leverage, contributing significant incremental supply of medium to long-term industrial bonds [1]. - The pace of bank balance sheet expansion is slowing, with weakened capital replenishment motivation; some small and medium-sized banks may still require capital supplementation [1]. Demand Side - The shift to net value-based wealth management and adjustments in fund fee rates are affecting the stability of institutional liabilities and bond allocation preferences, with stable demand for medium to short-term credit bonds, outperforming long-term bonds [2]. - During periods of interest rate fluctuations, coupon income becomes crucial. Since 2022, credit strategy portfolios have outperformed interest rate strategy portfolios, with short-term strategies performing better than duration strategies [2]. - It is recommended to focus on medium to short-term credit bonds to explore coupon income, while also monitoring event/policy impacts for trading opportunities in medium to long-term varieties [2]. Specific Bond Strategies - **LGFV Bonds**: Continue with a short to medium duration coupon strategy, focusing on local bonds and the progress of LGFV transformations. Bonds with medium credit quality should be primarily in the 2-3 year range, while higher-rated LGFV platforms can extend to 4-5 years, considering local debt progress and financial resource endowments [2]. - **Perpetual Bonds**: The trading value and riding space of the curve are emphasized. Although volatility has decreased compared to previous years, perpetual bonds from state-owned banks still hold trading value. Opportunities during significant price drops and riding space on the curve should be monitored [2]. - **Industrial Bonds**: Focus on high-grade central enterprise bonds with a duration strategy, while coal and steel bonds should prioritize coupon strategies. The leverage increase among central enterprises will continue to contribute significant incremental supply [3]. - **Real Estate Bonds**: A defensive allocation strategy is recommended, as the sector's fundamentals still require improvement. The strategy should focus on high-quality central and state-owned real estate bonds maturing within two years, with ongoing monitoring of liquidity, sales recovery, debt maturity schedules, and financing channel changes [3].

Core Viewpoint - The article emphasizes the importance of understanding economic cycles and adapting investment strategies accordingly, focusing on the interplay between risk and return, and the need for a dynamic asset allocation approach to navigate the evolving market landscape [1][2][3]. Group 1: Strategy Implementation - Investment strategies should be clearly planned at the end of each year, balancing proactive measures with responsive tactics to adapt to market changes [1]. - The essence of asset management strategies lies in seeking a dynamic balance among profitability, liquidity, and safety, transforming vague wealth goals into actionable frameworks [3]. Group 2: 2025 Strategy Review - The major shift in asset allocation for 2025 was driven by a change in risk premiums, transitioning from "conflict premium" to "repair premium" due to the stabilization of US-China trade tensions [4]. - AI+ technology is identified as a core driver of structural opportunities across various sectors, enhancing production efficiency and creating a viable industrial dividend chain [5]. - A supportive funding environment characterized by abundant liquidity has facilitated the concentration of capital in high-certainty and high-growth areas, enhancing the returns on quality assets [6]. Group 3: 2026 Asset Allocation Strategy - The risk premium for Chinese assets is expected to continue its downward trend, supported by the stabilization of external conflicts and the resonance of institutional reforms [10]. - The liquidity environment is anticipated to shift from abundance to structural adaptation, with a focus on high-certainty sectors, necessitating a refined asset selection approach [11]. - The correlation between inflation and profitability is expected to highlight the value of yield strategies, making fixed-income assets a key choice for stable returns [12]. - The focus of fiscal policy is projected to shift towards stability and social welfare, emphasizing structural opportunities over total economic growth [13]. - The narrative-driven trading approach is expected to weaken, with a shift towards profitability verification as the primary driver for industry selection [14]. Group 4: Key Conclusions for 2026 - The effective asset allocation strategy for 2026 is rooted in the interplay of declining risk premiums, rising profitability, and structural differentiation [16]. - The focus will be on midstream industries, which are expected to benefit from improved profitability and resilience against demand fluctuations [17]. - The use of tools like ETFs will remain crucial for efficiently capturing structural opportunities in specific sectors [17].

Group 1 - The report outlines four phases of market dynamics affecting credit bonds, with the first phase characterized by a tight monetary policy and rising credit bond yields, followed by a recovery phase where yields compress due to increased institutional demand [6][8] - The report highlights a significant shift in credit bond strategies, indicating that during periods of rising interest rates, credit strategies outperform duration strategies, with short-end bonds performing better than long-duration strategies [9][11] - The report notes that the traditional credit cycle has led to a divergence in financing sources, with a notable shift towards central enterprises and a decrease in local government financing, indicating a two-tiered market for credit bonds [19][22] Group 2 - The report emphasizes the impact of the "anti-involution" policy on various industries, suggesting that while it aims to improve market efficiency, it requires complementary demand-side policies to be effective [27] - The report discusses the tightening of issuance policies for urban investment bonds, predicting a significant drop in supply over the next two years, which may affect market liquidity and pricing [19][22] - The report identifies that the financing trend for industrial bonds is expected to continue, driven by central government initiatives and a focus on "real industry" financing, with central enterprises dominating the issuance landscape [21][22] Group 3 - The report indicates that the financial sector may see a stabilization of net interest margins due to supportive central bank policies, which could enhance the market position of leading city commercial banks [25][31] - The report suggests that the technology sector, particularly in electrical and hardware equipment, will benefit from favorable policy environments, with a recommendation to maintain a duration of around three years for investments in this sector [31][33] - The report highlights the importance of monitoring the cyclical nature of demand in the steel and coal industries, suggesting that any signs of recovery should be closely observed for potential investment opportunities [31]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - Last week, interest rate bonds fluctuated slightly weaker, and credit bonds adjusted synchronously with interest rates but declined more significantly. This might be due to the continuous fermentation of the Vanke incident, causing the market's credit risk preference to turn cautious [2][10]. - After three weeks of phased adjustment, the "volatility amplifier" characteristic of Tier 2 and perpetual bonds reappeared, with a decline higher than that of general - credit bonds and interest - rate bonds of the same maturity. There is a certain opportunity for left - side participation [3][18]. - The selling pressure of ultra - long - term credit bonds was strong last week. The market became more cautious about duration at the end of the year. The Vanke incident made the market more risk - averse, and investment institutions' willingness to invest in real - estate and related sectors decreased [4][22]. - Currently, the coupon strategy is still the best. After the recent adjustment, about 28.7% of the 1 - 3 - year credit bonds with implied ratings of AA and AA(2) have yields between 2.2% - 2.6%, leaving some room for bond selection. It is still not advisable to pursue ultra - long - term credit bonds. For allocation portfolios with a more stable liability side, the Tier 2 and perpetual bonds of large state - owned banks with a maturity of 3 - 5 years can be considered for appropriate participation [5][34]. 3. Summary According to Relevant Catalogs 3.1 Bond Market Performance - **Interest Rate and Credit Bond Yield Changes**: From December 1 to December 5, 2025, the 1Y, 2Y, 3Y, 4Y, and 5Y Treasury bond yields changed by - 0.0BP, - 1.5BP, - 1.5BP, - 0.2BP, and + 1.4BP respectively, while the yields of the same - maturity AAA medium - term notes increased by 1.1BP, 2.6BP, 2.9BP, 2.6BP, and 3.7BP respectively, and AA + medium - term notes increased by 2.1BP, 3.6BP, 1.9BP, 3.6BP, and 4.7BP respectively [10]. - **Ultra - long - term Credit Bond Performance**: The decline of ultra - long - term credit bonds was higher than that of general - credit bonds and interest - rate bonds of the same maturity. The 7Y performance was generally better than that of the 10Y. The yields of 10Y AAA/AA + medium - term notes increased by 4.18BP, the yields of 10Y AAA/AA + urban investment bonds increased by 5.80BP and 7.79BP respectively, and the yield of 10Y AAA - bank Tier 2 capital bonds increased by 8.54BP, while the 10Y Treasury bond yield increased by 0.68BP [12]. 3.2 Yield Curve and Historical Quantiles - **Yield Curve Steepness**: The steepness of the 1 - 2 - year yield curve was the highest for all ratings, and the 2 - 3 - year steepness of low - grade bonds was also relatively high. For AA + medium - term notes, the slopes of the 1 - 2 - year, 2 - 3 - year, and 3 - 5 - year intervals were 0.1433, 0.0837, and 0.0748 respectively; for AA urban investment bonds, they were 0.1476, 0.1402, and 0.0864 respectively [13]. - **Historical Quantiles**: The protection cushion of 3 - 5Y general - credit bonds has increased, and they currently have a certain cost - effectiveness. From December 1 to December 5, 2025, the valuation yields to maturity of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA +, 3Y - AA +, 5Y - AA +, 1Y - AA, and 3Y - AA ChinaBond medium - and short - term notes were at the 27.27%, 39.87%, 43.38%, 23.34%, 35.74%, 38.84%, 20.04%, and 30.99% levels since 2024. The historical quantiles of their credit spreads were 7.85%, 19.21%, 22.31%, 7.02%, 12.80%, 14.04%, 6.81%, and 17.76% respectively [15]. 3.3 Tier 2 and Perpetual Bonds - **Yield Changes**: The yields of 1 - 5Y, 7Y, and 10Y AAA - bank Tier 2 capital bonds increased by 2.98BP, 3.18BP, 7.48BP, 7.65BP, 4.97BP, 6.64BP, and 8.54BP respectively. The part with a maturity of 4 years and above is still 45BP - 65BP away from the lowest yield point since 2025. Compared with the sharp decline at the end of July, the yield points of varieties with a maturity of over 2 years are higher than the previous round [18]. - **Trading Activity**: Last week, the long - and short - side forces in the market were relatively balanced, and the market fluctuated repeatedly. From December 1 to December 5, the proportion of low - valuation transactions of Tier 2 and perpetual bonds was 100.00%, 5.00%, 50.00%, 0.00%, and 100.00% respectively; the average transaction duration was 4.62 years, 1.29 years, 2.23 years, 0.68 years, and 6.14 years respectively. The amplitude of transactions below the valuation was generally low, within 2.5BP, and the amplitude of discount transactions was also mostly within 3BP [19]. 3.4 Ultra - long - term Credit Bond Transactions - **Discount Transactions**: From December 1 to December 5, the proportion of discount transactions of ultra - long - term credit bonds was 25.00%, 60.00%, 65.00%, 80.00%, and 57.50% respectively. About 30.5% of the discount transaction amplitudes were above 4BP, mainly individual bonds with credit flaws such as AVIC Industry - Finance, and there were also many discount transactions of Shenzhen Metro above 4BP [22]. - **Transactions Below Valuation**: The willingness to buy ultra - long - term credit bonds was not strong, and the focus of market trading was still on low - quality urban investment bonds. About 30% of the transactions below the valuation had an amplitude of 3BP or more, but the proportion of ultra - long - term credit bonds was not high. Transactions with an amplitude of 3BP or more were mainly 2 - 5Y AA(2) and AA - low - quality urban investment bonds [23][25]. 3.5 Institutional Behavior - **General - credit Bonds**: Public funds and wealth management products mainly increased their holdings of general - credit bonds in the short - and medium - term, mainly within 3 years. Last week, funds net - bought 59.40 billion yuan of credit bonds within 1 year and 53.40 billion yuan of 1 - 3Y credit bonds, and were in a state of net - selling for credit bonds over 7 years. Wealth management products mainly net - bought 90.99 billion yuan of credit bonds within 1 year and 26.79 billion yuan of 1 - 3Y credit bonds [27]. - **Tier 2 and Perpetual Bonds**: The selling pressure of public funds and insurance companies on Tier 2 and perpetual bonds has weakened, and the buying power of wealth management products is not strong. Other asset management products are the main force for increasing holdings. Last week, fund companies net - sold 93.9 billion yuan of Tier 2 and perpetual bonds, insurance companies net - sold 40.1 billion yuan, and bank wealth management products net - bought 36 billion yuan. Only other products net - bought 197.4 billion yuan [27].

Summary of Conference Call on Long-term Bonds Industry Overview - The conference call focuses on the long-term bond market, particularly the super long bonds, which are currently experiencing volatility due to supply expectations and weak demand [1][2]. Key Points and Arguments 1. **Market Sentiment and Interest Rates** - The sentiment in the super long bond market is negatively impacted by supply expectations and weak demand, leading to rising interest rates, especially for super long bonds [1][2]. - A short-term rebound opportunity exists, but long-term factors such as allocation strength and interest rate cut expectations limit this rebound potential [1][3]. 2. **Future Monetary Policy Expectations** - It is anticipated that monetary policy may become more accommodative in 2026, with clearer easing expectations emerging around March-April, while January-February may show less clarity [1][4]. 3. **Current Bond Recommendations** - Liquid super long bonds currently include T6, T2, and 25 ordinary government bonds [1][5]. - The 30-year old bonds, such as 25 special 5 and 25 special 6, show a yield spread of over 10 basis points, indicating holding value, but the compression speed of this spread may be slow [1][5]. 4. **Investment Strategies** - Suggested strategies include a low-duration defensive approach combined with a coupon strategy, focusing on two-year credit bonds and the potential rebound of 30-year government bonds [3][10]. - For short-term high-frequency trading, the most liquid bond is 25 special 6, while 2,502 bonds are recommended for slightly longer-term holds [8][9]. 5. **Liquidity and Future Issuance of Bonds** - The future liquidity of 2,502 bonds is uncertain, with potential issuance in 2026 estimated to reach between 250 billion to 300 billion, which could enhance its status as an active bond [6][7]. 6. **Short-term Investment Strategies** - Current market conditions favor short-term investments in three-month certificates of deposit due to favorable coupon rates [9]. - A combination of three-month and one-year certificates is recommended for better value [9]. 7. **Credit and Local Government Bonds** - For local government bonds, focus on new bonds with an implied tax rate above 4%, and for credit bonds, consider three-year secondary capital bonds and the spread with three-year national development bonds [12]. 8. **Floating Rate Bonds and Hedging Strategies** - Floating rate bonds are currently overpriced, but specific types like 25 Longfa XFL09 still hold value [13]. - A hedging strategy involving buying five-year national development bonds and shorting government bond futures could yield around 1.95% returns, providing a stable risk-return profile [13]. Additional Important Insights - The overall market environment presents unique opportunities across various bond types, including long-term government bonds and local government special bonds, which should be analyzed based on implied tax rates and regional economic conditions [15]. - The differentiation in performance among main bonds indicates a need for careful selection based on liquidity premiums and potential returns [11].

Core Insights - The article emphasizes the importance of focusing on the cyclical resonance of the Kondratiev and Juglar cycles to capture long-term trend opportunities in asset allocation for 2026 [1][18] - It advocates for a defensive base using high-quality fixed-income assets in a low-interest-rate environment to hedge against inventory cycle risks [1][18] - The article suggests that structural opportunities should be prioritized over total volume, avoiding real estate adjustments and traditional capacity clearance while embracing policy guidance and technological iteration [1][18] Strategy Implementation Rules - Clear planning for the next year's strategy is essential, balancing "strategy" and "action" to achieve the highest level of execution [19] - Understanding asset pricing fundamentals is necessary but not sufficient; strategies must focus on future pricing rather than past norms [20] - The core of investment lies in balancing risk and return, with a disciplined approach to risk management being paramount [20] 2025 Strategy Review - The restructuring of risk premiums was a significant change in asset allocation for 2025, transitioning from "conflict premium" to "repair premium" due to the stabilization of US-China trade tensions [22] - AI+ has emerged as a core technology driving structural opportunities across various sectors, enhancing production efficiency and demand scenarios [23] - A supportive funding environment characterized by abundant liquidity has facilitated the concentration of capital in high-certainty and high-growth areas [24] 2026 Asset Allocation Strategy - The risk premium for Chinese assets is expected to continue its downward trend, supported by the "15th Five-Year Plan" and adjustments in US global competition strategies [27] - Liquidity conditions are shifting from abundance to structural adaptation, with a focus on high-certainty sectors [28] - The alignment of inflation and profitability is expected to highlight the value of yield strategies, making fixed-income assets a core choice for asset allocation [29] - The focus will shift from total economic volume to structural opportunities, with fiscal policy expected to play a more significant role than monetary policy [30] - The narrative-driven trading approach is anticipated to weaken, with market pricing returning to profitability verification as the core driver [31] - The strategy will evolve towards a focus on midstream industries, driven by policies that constrain supply and enhance profitability [32] 2026 Asset Allocation Conclusions - The effectiveness of the 2026 asset allocation strategy is rooted in the threefold resonance of declining risk premiums, rising profitability, and structural differentiation [14] - The allocation will emphasize yield strategies while focusing on midstream manufacturing and technology-enabled sectors [14] - Industry selection will hinge on three dimensions: certainty of profitability recovery, overseas business share, and adaptability to technological innovation [15] - Tools like ETFs will remain efficient vehicles for implementing strategies and capturing structural opportunities in niche areas [16]