谜题尽解，尚待新局 - 2026 年债市年度策略展望 20251128 摘要 当前债市的主要矛盾和市场预期是什么？ 当前债市的主要矛盾在于市场观点的分歧已经基本消除，预期高度一致。货币 政策方面，降息空间被珍惜，未来三年每年 OMO 降息 10 个 BP 是合理预期， 因此债市收益率不大可能大幅下行。债市阶段底部已由市场自然交易给出答案， 即当前 OMO 1.4%加上 25-45 个 BP 为上下限。信用利差方面，自 2024 年 6 月 30 日以来，各品种利差已压缩至难以进一步压缩的水平，信用风险终局由 政策管控显现出比市场化违约机制更有效。权益市场一旦跌得猛，会有类平准 基金救市预期。 金融市场研究核心价值在于策略分析，贡献收益并适时追逐风险。产业 债中民企占比低，2026 年违约大年概率小，关注地产板块敏感主体波 动。行情启动顺序为金融债、城投债、产业债。 预计 2026 年企业债指数领先国债，因票息保护较好。年初国债收益率 已上升，票息保护不足。权益和黄金大概率跑赢债市，目前处于衰退向 复苏过渡期，权益市场表现通常更好。 当前信用表现优于利率，短期信用债表现突出，票息策略重回主流。建 议减少杠杆，逢 ...

证券研究报告|宏观研究报告 [Table_Date] 2025 年 11 月 23 日 [Table_Title] 等待风口 [Table_Summary] 11 月中上旬，四季度第一批基本面落地，尽管数据难言乐观，但 央行对进一步实施"宽货币"的态度仍偏谨慎。"弱现实"与"货币慢 发力"之间，市场选择定价后者，债市博弈降息的热情相应下降，10 年国债收益率暂未脱离 1.80%的中枢水平。 ►为什么涨不动 缺乏增量资金以及成交结构改变或是两个重要因素。增量资金维 度，三季度以来的存款脱媒过程中，资金主要流向了理财与保险。然 而，这两类机构并没有显著增加债券的配置。理财并非利率债的常规 买盘，且其债券持仓比例也在逐季压缩，取而代之的是存款类资产的 增加；而保险三季度债券投资占比由 49.3%下滑至 48.5%，12 个季度 以来首次压降债券仓位，而股票持仓占比相应提升，这意味着保险对 于债券配置的刚需也不强。 成交结构方面，10 年国债、10 年国开债活跃券的单日成交笔数均 较 10 月中下旬成交高点几乎砍半。此外，作为债市行情重要的发动 机，公募基金、资管产品当前的交易重心逐渐由利率板块迁移至信用 板块，银行 ...

Group 1: Policy Changes and Market Concerns - The Ministry of Finance has reinstated value-added tax on interest income from government bonds, local bonds, and financial bonds since August 8, 2025, with a tax rate of 3%[11] - The China Securities Regulatory Commission has revised public fund sales fee management regulations, imposing punitive redemption fees of at least 1.5%, 1.0%, and 0.5% for different redemption periods[1] Group 2: Impact on Bond Market - As of June 2025, the total scale of bond funds is approximately CNY 11.15 trillion, with individual and institutional investors holding 17% and 81% respectively, translating to CNY 1.88 trillion and CNY 8.99 trillion[2] - If the new redemption fee regulations are implemented, there is a potential for significant capital outflow from public bond funds, which could amplify overall market volatility[1] Group 3: Institutional Responses - Bank wealth management products held CNY 1.38 trillion in public bond funds, accounting for 4.2% of their total holdings as of June 2025[3] - Insurance companies are estimated to hold around CNY 900 billion in public bond funds, maintaining a stable allocation of approximately 2.4%[4] Group 4: Historical Context and Future Projections - Historical cases show that bond fund outflows can be substantial; for instance, from September 2022 to January 2023, bond fund sizes dropped from CNY 5.19 trillion to CNY 4.01 trillion, a decrease of CNY 1.18 trillion[9] - Current market conditions suggest that if bond funds experience significant redemptions, the yield on 10-year government bonds could peak between 1.90% and 1.95%[10]