证券研究报告 【平安证券】26年1月利率债月报：再通胀对债市的影响路 径 证券分析师 刘 璐 投资咨询资格编号：S1060519060001 郑子辰 投资咨询资格编号：S1060521090001 王佳萌 投资咨询资格编号：S1060525070002 2026年1月4日 请务必阅读正文后免责条款 摘要 12月美元走弱、风偏提振带动曲线陡峭化，国内资金宽松驱动收益率曲线走陡。12月美联储宣布开启储备管理式购买（RMP）并继续降息，态度 偏鸽略超市场预期，美元指数走弱，流动性改善；在此带动下，美股震荡收涨，LME铜创新高，风险偏好共振回升，美债陡峭化。国内，12月基本 面供需震荡回落，资金面也边际改善：隔夜价格下台阶带动债市杠杆抬升。但受制于长端的供需矛盾，尽管基本面、资金面、配置盘年底配置行 为共振，债市未成功切换到多头行情，维持了震荡，曲线陡峭化。机构行为方面，债市的配置盘12月力度不弱：大行12月二级市场买债规模和久 期高于季节性，保险年末稳步发力、加仓超长国债；但交易盘转为保守，其中农商行主要布局存单；基金降久期，延续布局信用债和政金债；理 财12月季节性减配债券，转配信用债。 26年再通胀叙事可能如何 ...

报告发布日期 2025 年 12 月 23 日 | 齐晟 | 执业证书编号：S0860521120001 | | --- | --- | | | 香港证监会牌照：BXF200 | | | qisheng@orientsec.com.cn | | | 010-66210535 | | 杜林 | 执业证书编号：S0860522080004 | | | dulin@orientsec.com.cn | | | 010-66210535 | | 王静颖 | 执业证书编号：S0860523080003 | | | wangjingying@orientsec.com.cn | | | 021-63326320 | | 徐沛翔 | 执业证书编号：S0860525070003 | | | xupeixiang@orientsec.com.cn | | | 021-63326320 | 固定收益 | 动态跟踪 债市波动加大 固定收益市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗漏 | 低利率，破局——2026 年债市展望 | 2025-12- ...

当下债市热点问题探讨 证券研究报告/固收专题报告 2025 年 12 月 21 日 执业证书编号：S0740525070001 Email：yanly@zts.com.cn 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 分析师：严伶怡 Email：suht@zts.com.cn 请务必阅读正文之后的重要声明部分 报告摘要 我们认为债市供需的反身性在于，大家都能严丝合缝推导的问题未必是冲击很大的 问题： 联系人：苏鸿婷 1）EVE 指标可以调整假设，另外，过了今年自然年度，第二年指标的紧迫程度相对 降低；2）另外利率债的发行结构也并非一成不变，如果市场发现期限结构有可能调 整的概率，那么走陡行情可能会逆转。 相关报告 "配置盘"概念的滥用：当下衡量债券的配置价值 1、《债市长期思维转换主导短期下 相较银行，对于保险配置盘则是迷惑市场为何反复讨论配置盘力量不足，但实际上 背后是交易机构的撤退，其实保险的买入节奏一直相对平稳。 而且从保险角度，对于 30 年国债以交易性需求为主，大账配置或者摊余产品户仍以 同期限地方债作为配置品种。 对配置盘的理解，一方面分 ...

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - The trading sentiment in the bond market this week was cautious. The trading volume of funds in the first half - week was small, and the duration of interest - rate bond funds decreased significantly. The purchasing power of the allocation portfolio remained weak, and the bullish power in the bond market was limited [9]. - The bond market vitality index continued to rise slightly. The index was compiled based on the historical quantile levels of bond market leverage ratio, turnover rate, bond fund duration, and the implied tax rate of China Development Bank bonds since 2022 and their correlation coefficients with the bond market trend [10]. - Most interest - rate bond funds have recorded negative returns in the past three months. Since August, the scale of equity funds has slightly declined, while the scale of bond funds has slightly increased. The issuance of newly established bond funds this week was still at a low level [89]. 3. Summary by Relevant Catalogs 3.1 Overall Sentiment - The bond market vitality index continued to rise slightly. As of September 5, the bond market vitality index increased by 2 pcts to 45% compared with August 29, and the 5D - MA increased by 5 pcts to 41% [10]. - Indicators of rising bond market vitality included the trading volume of the active 10Y China Development Bank bond / the balance of 9 - 10Y China Development Bank bonds (the rolling two - year quantile increased from 41% to 63%) and the turnover rate of 30Y treasury bonds (the rolling two - year quantile increased from 24% to 47%) [12]. - Indicators of falling bond market vitality included the median duration of medium - and long - term pure bond funds (the rolling two - year quantile decreased from 99.5% to 92.7%), the implied tax rate of 10 - year China Development Bank bonds (reverse) (the rolling two - year quantile decreased from 81% to 66%), and the excess level of the inter - bank bond market leverage ratio compared with the average of the past four years (the rolling two - year quantile decreased from 11% to 9%) [13]. 3.2 Institutional Behavior 3.2.1 Buying and Selling Strength and Bond Selection - In the current bond market, the order of net buying strength was funds > other product types > large banks > insurance > others > wealth management > rural financial institutions > foreign - funded banks > money market funds, and the order of net selling strength was joint - stock banks > city commercial banks > securities firms. For ultra - long bonds (bonds with a maturity of over 15 years), the order of net buying strength was insurance > funds > other product types > others > foreign - funded banks, and the order of net selling strength was large banks > joint - stock banks > rural commercial banks > securities firms > city commercial banks > wealth management [20]. - Different institutions had different bond preferences. Large banks mainly focused on 3 - 5Y interest - rate bonds; rural commercial banks, insurance companies, and wealth management products had no obvious main bond types; funds mainly focused on 1 - 3Y and 3 - 5Y interest - rate bonds; other product types mainly focused on 3 - 5Y interest - rate bonds [20][25]. 3.2.2 Trading Portfolio - As of September 5, the mean and median durations of the full - sample medium - and long - term pure bond funds decreased by 0.23 years and 0.31 years respectively compared with August 29, reaching 4.40 years and 4.21 years, and were at the 92.7% rolling two - year quantile [38]. - The median durations of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds decreased by 0.64 years, 0.62 years, and 0.13 years respectively, reaching 5.10 years, 4.84 years, and 3.93 years, and were at the 90.0%, 90.0%, and 94.4% rolling two - year quantiles respectively [38][40]. - The median durations of high - performing interest - rate bond funds and credit bond funds decreased by 0.57 years and 0.09 years respectively, reaching 6.40 years and 4.54 years [40]. 3.2.3 Allocation Portfolio - The primary subscription demand for treasury bonds and policy - financial bonds was differentiated this week, with the demand for ultra - long bonds rising. The weighted average full - market multiples of treasury bonds decreased from 2.69 times to 2.66 times, while those of policy - financial bonds increased from 3.02 times to 3.54 times. For bonds with a maturity of 10Y and above, the weighted average full - market multiples of treasury bonds increased from 2.69 times to 3.02 times, and those of policy - financial bonds increased from 2.77 times to 3.74 times [54]. - Large banks' net buying of 1 - 3Y treasury bonds decreased in August. As of September 5, the cumulative net buying of 1 - 3Y treasury bonds this year was 6206 billion yuan [61]. - Rural commercial banks' cumulative net buying of bonds this year was significantly weaker than in previous years, mainly due to the weak net buying of short - term bonds within 1Y. However, the net buying of 7 - 10Y and over 10Y bonds was significantly higher than in previous years [71]. - Insurance companies' net buying of bonds was significantly higher than in previous years, mainly due to the strong buying of ultra - long bonds over 10Y. As of September 5, the ratio of cumulative net bond buying to cumulative premium income reached 45.95%, exceeding 42.62% at the end of September last year [78]. - Wealth management products' net buying of bonds in the secondary market had a slightly lower duration this week but remained at the highest level since February 23, 2024. As of September 5, the weighted average duration of cumulative net bond buying was 1.75 years, a decrease of 0.02 years compared with August 29 [86]. 3.3 Asset Management Product Tracking - Since August, the scale of equity funds has slightly declined, while the scale of bond funds has slightly increased. In September, the scale of bond funds and equity funds increased by 155 billion yuan and decreased by 305 billion yuan respectively compared with the previous month [89]. - The issuance of newly established bond funds this week was still at a low level, with a scale of only 32 billion yuan, down from 48 billion yuan in the previous week [89]. - This week, the net value increases of various types of bond funds have generally expanded, with credit bond funds performing better. The median annualized returns of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds in the past week were 4.0%, 3.6%, and 3.8% respectively. Most pure interest - rate bond funds and interest - rate bond funds have recorded negative returns in the past three months [89].

Group 1 - The benchmark government bond ETF (511100) has increased by 0.18% as of July 31, 2025, with a latest price of 109.35 yuan, and has accumulated a rise of 5.06% over the past year as of July 30, 2025 [1][2] - The average daily trading volume of the benchmark government bond ETF was 1.645 billion yuan over the past week, with a net inflow of 22.9268 million yuan recently [1][2] - Since its inception, the benchmark government bond ETF has recorded a maximum monthly return of 2.67%, a longest consecutive monthly gain of 9 months, and a longest cumulative gain of 6.94%, with a historical one-year holding profit probability of 100% [1] Group 2 - The benchmark government bond ETF tracks the Shanghai Stock Exchange's benchmark market-making government bond index, selecting approximately two recently listed bonds from various maturities, currently comprising 21 bonds [2] - According to Zhongyou Securities, after previous adjustments in the bond market, the configuration is gradually returning, and the market structure is becoming more balanced, with government bond supply expected to slow down significantly from August [2] - The current market sentiment is more influenced by volatility than by fundamental shocks, and the odds of long-term interest rates declining are gradually improving [2]