Group 1: Market Performance - In January, the Wind All A index rose significantly with a monthly increase of 5.83% and an average daily trading volume of 3.05 trillion yuan, although it fell by 1.59% in the last week [3] - The CSI 1000 index increased by 8.68%, the CSI 500 by 12.12%, the CSI 300 by 1.65%, and the SSE 50 by 1.17%, driven mainly by the electronics and non-ferrous metals sectors, while the banking sector dragged down the overall index [3] - Domestic investor sentiment was high, with a monthly increase in financing balance of 197.1 billion yuan, while the issuance of stock funds decreased to 20 billion yuan, but mixed funds surged to 46.9 billion yuan, significantly above the monthly average of 13.4 billion yuan in 2025 [3][4] Group 2: Policy Expectations - The current valuation levels of A-share hot topics are high, with the dynamic PE of the CSI 500 index exceeding two standard deviations above the past five years [4] - The China Securities Regulatory Commission emphasized the need for a stable market, discouraging excessive speculation and market manipulation, indicating a preference for a "slow bull" market rather than a "crazy bull" [4][5] - The Shanghai and Shenzhen stock exchanges have introduced measures to increase the minimum margin ratio for financing purchases of stocks [4] Group 3: Bond Market Dynamics - In January, the bond market experienced a decline followed by a recovery, with the People's Bank of China (PBOC) significantly increasing the net injection of Medium-term Lending Facility (MLF) [6][7] - As of January 30, the yields for 2-year, 5-year, 10-year, and 30-year government bonds were 1.38%, 1.58%, 1.81%, and 2.29% respectively, with varying changes from the previous month [6] - The issuance of government bonds in January was 2.08 trillion yuan, with a net issuance of 1.181 trillion yuan, including 426.7 billion yuan of central government bonds and 754.3 billion yuan of local government bonds [8] Group 4: Manufacturing and Economic Indicators - The official manufacturing PMI for January was 49.3, below the expected 50.1, indicating a contraction in the manufacturing sector [9][10] - The decline in PMI is attributed to seasonal factors and insufficient market demand, with labor-intensive industries experiencing a drop in exports and early returns of workers for the Spring Festival [10] - The price indices for raw materials and factory output both increased, with the purchasing price index at 56.1 and the factory price index at 50.6, indicating potential pressure on corporate profits [11][12] Group 5: Precious Metals Market - In January, gold prices rose by 13.01% to 4,880.034 USD/oz, while silver surged by 19.12% to 85.259 USD/oz, with both metals experiencing extreme volatility [25][26] - The market dynamics were influenced by geopolitical tensions, concerns over the US dollar's credibility, and expectations of continued loose monetary policy from the Federal Reserve [25][26] - The sharp adjustment on January 30 was seen as a forced liquidation of overbought positions, but the long-term drivers for precious metals remain intact [26][27]

跨年债市的关键：供需错配的节奏 20260201 摘要 超长债供需失衡是市场主导逻辑，配置需求不足时债市风险加大，需求 增加则利率修复。当前经济环境改善，利率震荡上行，但短期需警惕供 需错位，春节后操作需谨慎。 机构不缺资金但缺乏利率风险指标（VAE），大行负债稳定但贷款一般， 超长债发行对银行 EV 指标构成压力，监管限制下，银行需市场化手段 应对超长债发行压力。 地方债和特别国债发行通过套保机制将利率上行压力转移至长期国债， 未来需密切关注这些因素对市场的影响，操作上保持谨慎。 上半年债券市场供需矛盾难以彻底解决，不仅是央行投放资金问题，还 涉及利率风险指标的系统性影响。2 月地方债发行量预计达 9,000 亿至 1 万亿元，发行冲击或超预期。 10 年以内国债相对安全，30 年以上国债需关注地方债一级发行利率对 二级市场的影响。节后长久期资产供应增加，配置需求不足，需保持谨 慎。 Q&A 2025 年 12 月债市走弱，2026 年 1 月中下旬债市修复后，目前债市进入平 台期或瓶颈期。请问在这种情况下，年前和跨年后的机会点和风险点在哪里？ 当前债市的主要逻辑是供需关系。一季度甚至整个上半年，供需矛盾将 ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - Due to the introduction of VAT on new bonds, the calculated credit spreads are passively narrowed, making them incomparable with historical data. Two methods are presented to remove the impact of VAT and restore the real spread levels [2][11] - After adjusting for VAT, high - grade, medium - and short - term credit bonds' credit spreads relative to the same - maturity government bonds are at historically low levels, and profit - seeking should moderately shift to medium - and long - term bonds [33] Summary According to the Table of Contents I. Credit Spread Calibration Techniques 1. Tax Burden Compensation Back - Calculation Method - When VAT is introduced, investors require "tax burden compensation" in new bond issuance pricing to ensure after - tax real yields are not lower than old bonds. The ratio of pre - tax yields that makes the after - tax yields of new and old bonds equal is defined as the "coupon compensation multiple" [2][12] - For new bonds issued after August 8, 2025, banks' self - operation applies a 6% VAT rate, and asset management institutions and public funds apply a 3% VAT rate. After considering urban construction and education surcharges, the actual VAT rates are 6.34% and 3.26% respectively. The "coupon compensation multiple" for banks is about 1.07, and for asset management institutions and public funds, it is about 1.03 [13] - If the current secondary - market valuation yield curve fully reflects investors' tax burden compensation requirements, dividing the current valuation by the coupon compensation multiple can obtain the original valuation yield curve without the impact of VAT. For example, on January 23, the equivalent coupon compensation for 1 - 10 - year government bonds and policy - bank bonds with 6% and 3% interest VAT was calculated [18] - By dividing the ChinaBond valuation yield curve by the coupon compensation multiple, the credit spreads after removing the impact of VAT can be restored. As of January 23, the medium - duration general - credit bonds still have some room for decline compared with government bond yields [24] - Different types of bond investors have different tax - rate preferences and interest compensation requirements. Government bonds are mainly held by banks' self - operation with higher actual tax rates and higher after - tax interest compensation requirements, while policy - bank bonds and financial bonds are mainly invested by institutions with a 3% tax rate and lower interest compensation requirements [25] - After calibration, the credit spreads of high - grade, medium - and short - term credit bonds relative to the same - maturity government bonds are at historically low levels, and profit - seeking should shift to medium - and long - term bonds [33] - The tax compensation back - calculation method provides a theoretical framework, but in practice, it is difficult to verify whether "full compensation" has been achieved, and the compensation amount is affected by multiple factors and is dynamic [39] 2. New - Old Bond Spread Restoration Method - In the short term, by observing the yield difference between new and old bonds issued by the same entity with very close remaining maturities, the dynamic change of the market's pricing of VAT compensation can be more timely reflected [4] - For general non - financial credit bonds, the credit spread after removing the impact of VAT is equal to the credit spread calculated based on the ChinaBond yield curve plus the new - old bond spread of the same - maturity government bonds/policy - bank bonds. For Tier 2 and perpetual bonds, it is equal to the credit spread calculated based on the ChinaBond yield curve plus the new - old bond spread of the same - maturity government bonds/policy - bank bonds minus the new - old bond spread of the same - maturity financial bonds [4] - As of January 23, the adjusted spreads of 1 - 5 - year high - grade general - credit bonds and government bonds have shrunk to below the 15th percentile since 2024, while the spreads of 7 - year and above bonds are at a relatively higher historical percentile, with more sufficient risk compensation for extending the maturity [47] - The new - old bond spread restoration method has limitations. The observed spread may underestimate the real tax compensation requirement, and it is difficult to restore the spreads of some bonds due to the scarcity of comparable bond samples. This method is more suitable for capturing short - term trading opportunities and monitoring market sentiment [4][48]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - After the January long - short game, the market has seen some new changes. The PPI recovery speed may be faster than the previous neutral expectation, government bond supply is front - loaded with longer terms, and the expectation of broad monetary policy has further weakened. The bond market may face medium - term pressure, but there may be short - term trading opportunities with limited space [7][11][15][25][31] Summary by Related Catalogs Interest Rate and Bond Market in January - Interest rate showed a first - up - then - down trend in January. In the first two weeks, the 10 - year Treasury bond rate rose to around 1.9% due to factors such as supply concerns, dampened interest rate cut expectations, the seesaw effect of rising equities, and inflation concerns from strong commodities. In the middle and late January, with sufficient central bank liquidity injection and other factors, the market had a recovery window [2][7] - The bond market remained relatively resilient in the last week of January. The 7 - day reverse repurchase net investment was 5.805 billion yuan. The 7 - day funding rate rose significantly. The yields of both ends of the curve rose while the middle part declined. The 10 - year Treasury bond yield fell 2bp to 1.81%. The duration of public - offering funds continued to rise [32][33][37] PPI and Inflation - In January, prices accelerated upward with a wider coverage, and the change was transmitted from raw materials to the end - products. The month - on - month increase of PPI in January may be between 0.15% and 0.25%, and the year - on - year may be in the range of - 1.53% to - 1.43%, with the year - on - year decline expected to narrow faster. The PPI may return to zero earlier than the previous neutral prediction [3][11] Government Bond Supply - In January, the overall net financing of government bonds was significantly higher than the seasonal level, showing the characteristic of front - loaded supply. The local bond issuance was skewed towards the medium - and long - term, with the issuance scale of 10 - year and 30 - year bonds increasing. The supply pressure will still be relatively high from February to March [4][15][24] Expectation of Broad Monetary Policy - Since the beginning of the year, the market's expectation of broad monetary policy has gradually cooled, and the overall level has further weakened compared with the end of last year. Although there may be opportunities for short - term game of easing expectations, the overall space for total easing is limited this year [5][25][27] Local Bond Issuance - In the last week of January, local bond issuance increased, and the issuance scale this year has been significantly higher than that of the same period last year. The weighted average issuance term of local bonds has generally increased slightly compared with the same period last year, and the issuance scale of 10 - year and 30 - year local bonds has almost doubled [54][57] - In the week from January 24th to January 30th, the issuance scale of new special bonds and ordinary refinancing bonds increased month - on - month. The weighted average issuance term increased slightly by 1 year to 17 years, and the issuance spread decreased by 1bp month - on - month [43][45][51] - The actual issuance progress of local bonds in January was 103% of the plan. The expected issuance scale of local bonds from February 2nd to 6th is 57.97 billion yuan [59][60]

证券研究报告 固收 "看股或商品做债"为何不灵了？ 吴靖*，PhD 研究员 SAC No. S0570523070006 wujing018437@htsc.com +(86) 10 6321 1166 欧阳琳* 研究员 SAC No. S0570525070010 ouyanglin@htsc.com +(86) 10 6321 1166 2026 年 2 月 01 日│中国内地 利率周报 华泰研究 张继强 研究员 zhangjiqiang@htsc.com +(86) 10 6321 1166 仇文竹* 研究员 SAC No. S0570521050002 qiuwenzhu@htsc.com +(86) 10 6321 1166 吴宇航 研究员 SAC No. S0570521090004 SFC No. BXH064 SAC No. S0570124070133 zhuyimin@htsc.com 朱逸敏* 联系人 +(86) 10 6321 1166 报告核心观点 近日，传统"看股或商品做债"策略失效，背后源于两大力量交织：一是大 宗商品价格剧烈波动，其通胀效应与经济影响背离，对债市压制有限；二是 ...

Report Industry Investment Rating No information regarding the report's industry investment rating is provided in the content. Core Viewpoints of the Report - Mid - term, long - term interest rates may be similar to the early 2021 period, oscillating at the peak, but there are still some constraints for a smooth short - term decline. In January, the 10Y Treasury yield initially reached 1.90% and then dropped to 1.81% at the end of the month, reaching the lower limit of the 1.8% - 1.9% oscillation range. Currently, the expectation of broad - based monetary policy is relatively insufficient, making it difficult to support the yield to break downward. In February, with the large - scale supply of local bonds, the 10Y Treasury yield may return to the central position of the oscillation range. Investment strategies suggest focusing on two structural opportunities: the allocation opportunities of 5Y policy - financial bonds and 3 - 5Y general - credit bonds due to the concentrated maturity of amortized - cost - method bond funds; and the opportunities for spread compression under the background of the central bank supporting reasonable and sufficient liquidity, such as the spread between 10Y China Development Bank bonds and 10Y Treasury bonds [1][24]. Summary by Directory 2 - Month Bond Market Outlook: Similarities and Differences between 2026 and 2021 - **Fundamentals**: In 2021, the credit cycle weakened and the real - estate market peaked and declined. In 2026, the credit cycle may decline moderately, and the real - estate market may still be at the bottom - grinding stage. In 2021, factors such as the "Three Red Lines" and "Two Concentration Limits on Mortgage Loans" in the real - estate industry and repeated outbreaks of the epidemic led to a contraction in real - estate financing, causing a rapid decline in the credit and real - estate cycles. In 2026, the real - estate market is still at the bottom - grinding stage during the transformation of old and new driving forces, and the credit cycle may decline relatively moderately with the support of monetary and fiscal policies [1][8]. - **Fiscal Policy and Local Bond Supply**: After the withdrawal of extraordinary policies, the broad - based deficit ratio may decline marginally. Compared with 2021, the current local bond supply is front - loaded and has a longer term. In 2021, fiscal efforts were back - loaded and the term was shortened, while in 2026, fiscal policy continues to be "actively front - loaded" with a relatively long - term [12]. - **Monetary Policy and Capital Market**: In both 2021 and 2026, the expectation of broad - based monetary aggregate policies declined. However, in early 2026, liquidity was relatively abundant, while in early 2021, the capital market was tight. In 2021, there was no interest - rate cut throughout the year, and the policy intensity weakened significantly compared with 2020. In early 2026, there was a 25BP structural interest - rate cut and an over - amount renewal of MLF to provide liquidity support [18]. - **Equity Market and Institutional Behavior**: Against the backdrop of a booming equity market, funds flowed into the stock market. Compared with 2021 when insurance and funds had a greater demand for bonds, in 2026, factors such as the entry of insurance funds into the market and the lack of comparative advantages of pure bonds may limit the demand support for bonds [21]. January Bond Market Review Bond Market Trend Review - **First Week**: The 10Y Treasury interest rate rose 3bp to 1.88%. At the beginning of the year, affected by supply shocks and the A - share market's good start, the yield first rose and then fell, reaching a peak and then declining. Later in the week, as negative factors were initially released, market sentiment improved marginally, and the ultra - long - term bonds returned to around 2.3% [26]. - **Second Week**: The 10Y Treasury interest rate dropped 4bp to 1.84%. In the second week, under the combined effect of equity market adjustments, policy games, and capital - market fluctuations, the bond market oscillated and recovered with increased volatility. After the central bank's over - amount renewal of repurchase agreements and the implementation of structural tool interest - rate cuts, the capital - market tension gradually eased. The adjustment policy of the exchange margin ratio for margin trading triggered risk - aversion trading in the equity market, and the bond market started a smooth upward trend [29]. - **Third Week**: The 10Y Treasury interest rate dropped 1bp to 1.83%. In the third week, with the central bank's support, the capital - market pressure was relatively controllable. As the equity market's upward trend slowed down, the bond market recovered. With the cooling of the equity market and the fermentation of external risk - aversion signals, the bullish sentiment in the bond market was boosted, and ultra - long - term bonds had a strong performance. At the end of the week, the central bank's over - amount renewal of MLF and the mention of "there is still some room for reserve - requirement ratio cuts and interest - rate cuts this year" by the governor increased the market's expectation of an MLF interest - rate cut, and the bullish force in the bond market was strong [29]. - **Fourth Week**: The 10Y Treasury interest rate dropped 2bp to 1.81%. Near the end of the month, with a quiet market news environment, the stock - bond seesaw effect was strengthened, and the short - and long - term bond varieties showed different trends. At the beginning of the week, with tight capital, the short - term yield weakened, and the ultra - long - term bonds performed strongly, flattening the yield curve. Later, as the central bank's capital support took effect, the cross - month capital market was moderately loose. The medium - and short - term bonds strengthened overall, while the ultra - long - term bonds weakened under the influence of profit - taking sentiment and supply concerns, making the yield curve steeper [30]. Capital Market - The central bank net - injected 967.8 billion yuan through four major tools. At the beginning of the month, due to a large supply of bonds, capital prices gradually increased. In the middle of the month, affected by the reserve - requirement payment day and the deferred repurchase agreement, the capital market tightened. On the evening of January 14, the central bank announced an over - amount renewal of 90 billion yuan in repurchase agreements, with a net injection of 30 billion yuan this month, and the capital market gradually loosened. At the end of the month, facing the tax - payment period, capital prices increased again, and the central bank net - injected 7 - day funds to support liquidity, but the amount was not large [31]. - In January, capital prices generally increased. The monthly average of R001 increased 5bp to 1.41%, and the monthly average of R007 decreased 2bp to 1.55%. The monthly average of DR001 increased 6bp to 1.34%, and the monthly average of DR007 increased 2bp to 1.51%. The 3M inter - bank certificate of deposit (NCD) issuance rate oscillated in the range and then increased at the end of the month. The FR007 - 1Y swap rate first rose and then fell, and recovered at the end of the month. The 3M national - share bank bill rate first rose, then fell, and then recovered. As of January 30, the 3M national - share bank bill rate was 1.45%, and the monthly average from January 4 to 30 increased month - on - month and decreased year - on - year [33]. Secondary Market Trends - In January, yields first rose and then fell. Except for 3m, 3y, 20y, and 30y, the Treasury interest rates of other key tenors declined. Except for 5y - 3y, 7y - 5y, and 50y - 30y, the term spreads of other key tenors of Treasury bonds widened. As of January 30, the yields of 7y and 5y Treasury bonds decreased 6bp and 5bp respectively compared with December 31, reaching 1.68% and 1.58%, with relatively large declines. The term spreads of 30y - 10y and 3y - 1y widened 6bp compared with December 31, reaching 48bp and 10bp respectively, with relatively large widening amplitudes [42]. - In January 2026, the spread between new and old 10Y Treasury bonds first widened and then narrowed, the negative spread between new and old 10Y China Development Bank bonds narrowed, and the spread between the second - active and active 30Y Treasury bonds first rose and then fell [44]. Bond Market Sentiment - In January 2026, the inter - bank leverage ratio first rose and then fell, the spread between 30Y and 10Y Treasury bonds continued to widen, and the duration of bond funds first increased and then decreased within the month. The weekly average turnover rate of 30Y Treasury bonds in January 2026 increased slightly compared with December 2025. Compared with December 31, 2025, the spread between 50Y and 30Y Treasury bonds narrowed 2.9bp, and the spread between 30Y and 10Y Treasury bonds widened 5.8bp on January 30, 2026. The inter - bank leverage ratio rose to 108.2% at the beginning of January and fell to 107.4% at the end of the month, and the exchange leverage ratio continued to decline and fell to 123.0% at the end of the month. Compared with December 31, 2025, the median duration of the full - sample bond funds remained basically the same on January 30, 2026, and the median duration of interest - rate bond funds decreased by 0.04 years. The implied tax rate of 10Y China Development Bank bonds widened in January 2026 compared with December 2025 [50]. Bond Supply - In January 2026, the net financing amount of interest - rate bonds increased compared with December 2025 and January 2025. As of January 31, 2026, the net financing amount of interest - rate bonds in January 2026 was 133.12 billion yuan, an increase of 85.24 billion yuan compared with December 2025 and an increase of 29.77 billion yuan compared with the same period in 2025. The net financing amounts of Treasury bonds, local government bonds, and policy - financial bonds all increased month - on - month [54]. - In January 2026, the issuance scale of Treasury bonds decreased month - on - month but increased year - on - year. From January 1 to January 31, 2026, a total of 13 Treasury bonds were issued, with a total issuance scale of 121.7 billion yuan, a decrease of 60.41 billion yuan compared with December 2025 and an increase of 19.85 billion yuan compared with January 2025, of which the proportion of those with a term of 1 year or less was 29%. On January 14, a new 30Y coupon - bearing Treasury bond 260002.IB was issued, with an issuance scale of 3.2 billion yuan and an issuance interest rate of 2.38%. On February 6, this 30Y coupon - bearing Treasury bond will be re - issued with 3.2 billion yuan [57]. - In January 2026, the issuance scale of local government bonds increased both month - on - month and year - on - year, and the issuance scale of local bonds will be large next week. From January 1 to January 31, 2026, 27 policy - financial bonds were issued, with an issuance scale of 69.28 billion yuan, an increase of 45.88 billion yuan compared with December 2025 and an increase of 12.58 billion yuan compared with the same period in 2025. 135 local government bonds were issued, with an issuance scale of 86.33 billion yuan, an increase of 57.96 billion yuan compared with December 2025 and an increase of 30.58 billion yuan compared with the same period in 2025. According to iFinD data as of January 31, 2026, it is planned to issue 57.97 billion yuan in local bonds from February 2 to February 6 [59]. - In January 2026, the net repayment amount of inter - bank certificates of deposit (NCDs) increased, and the monthly issuance interest rate decreased. The total issuance amount of inter - bank NCDs in January 2026 was 169.34 billion yuan, a decrease of 143.57 billion yuan compared with December 2025. The total repayment amount was 231.62 billion yuan, and the net repayment amount was 62.28 billion yuan, an increase of 4.52 billion yuan month - on - month. The average issuance interest rate of NCDs in January 2026 was 1.62%, a decrease of 2.4bp compared with December 2025 [60]. Economic Data - In January, the manufacturing PMI returned to the contraction range. On January 31, data from the National Bureau of Statistics showed that China's manufacturing PMI in January was 49.3%, the previous value was 50.1%; the non - manufacturing PMI was 49.4%, the previous value was 50.2%; the comprehensive manufacturing PMI was 49.8%, the previous value was 50.7% [63]. - Since January, second - hand housing transactions have recovered, and industrial production has weakened marginally. In terms of real - estate, the monthly average of the transaction area of commercial housing in 30 cities turned negative month - on - month but the year - on - year decline narrowed. The monthly average of the transaction area of second - hand housing in 13 cities turned positive month - on - month and the year - on - year decline narrowed. The monthly average of the land transaction area in 100 cities turned negative month - on - month and the year - on - year decline widened. In terms of consumption, movie monthly consumption was weak both month - on - month and year - on - year, travel increased month - on - month, and subway passenger volume was stronger than the seasonal level. In terms of exports, the monthly port throughput increased year - on - year, and the freight rate index continued to decline year - on - year. Industrial production weakened marginally. The monthly average of daily coal consumption in power plants increased both month - on - month and year - on - year. The monthly average of the PTA and semi - steel tire operating rates increased month - on - month, while the operating rates of other indicators decreased month - on - month [63][65]. - The high - frequency infrastructure and price data in January showed that inventory indicators increased both month - on - month and year - on - year, and the prices of crude oil and asphalt increased significantly. In terms of infrastructure high - frequency data, the monthly average of the mill operating rate decreased month - on - month but increased year - on - year, and the monthly average of the asphalt operating rate decreased both month - on - month and year - on - year. The monthly average of rebar inventory increased both month - on - month and year - on - year. Among price indicators, the monthly average of cement and vegetable price indicators decreased month - on - month, while the monthly average of other price indicators increased month - on - month [66]. Overseas Bond Market - The Federal Reserve announced to keep interest rates unchanged. On January 28, the Federal Reserve ended its two - day monetary policy meeting and announced to keep the target range of the federal funds rate unchanged between 3.5% and 3.75%, which was in line with market expectations. The Federal Open Market Committee stated that existing indicators showed that the US economic activity was expanding steadily, but the uncertainty of the economic outlook remained high. Employment growth was persistently low, the unemployment rate showed some signs of stabilizing, and inflation remained at a relatively high level. Among the 12 members of the Federal Open Market Committee, 10 supported the monetary policy decision, and 2 members, Stephen Milan and Christopher Waller, voted against it, advocating a 25 - basis - point interest - rate cut [71]. - The US PPI increase in December exceeded expectations. On January 30, data released by the US Bureau of Labor Statistics showed that the US PPI in December increased 3% year - on - year, with an expected increase of 2.8% and a previous value of 3%; it increased 0.5% month - on - month, with an expected increase of 0.2% and a previous value of 0.2%. The core PPI in December increased 3.3% year - on - year, with an expected increase of 2.9% and a previous value of 3%; it increased 0.7% month - on - month, with an expected increase of 0.2% and a previous value of 0% [71]. - Trump nominated Kevin Warsh as the next chairman of the Federal Reserve. On January 30, US President Trump nominated former Federal Reserve governor Kevin Warsh as the next chairman of the Federal Reserve, and this nomination needs to be approved by the Senate. Warsh joined the Federal Reserve in 2006 and was the youngest Federal Reserve governor at that time. In terms of monetary policy, he had a somewhat hawkish stance in the past and emphasized fiscal discipline and a more cautious attitude towards interest - rate cuts [72]. -

❑ 高波环境下，市场运行特征体现为配置性价比不足，交易资金主导。 过去一周（2026/01/26~2026/01/30，下同），转债市场在高波环境下运行，运行特 征逐步体现出配置性价比不足、交易资金主导。转债整体走势较弱，转债大盘指 数（-1.09%）表现略优于中盘指数（-2.76%）和小盘指数（-2.79%），低价指数表 现较好（-0.87%），高价转债走势弱（-5.19%）。权益端，前期放量冲高后成交额自 高位回落，市场风险偏好边际降温，量价结构由趋势推动向均衡过渡，配置资金 加仓意愿减弱。在此背景下，转债市场股性扩张动能明显放缓，高波动、高弹性 品种在情绪回落阶段承压更为显著，而具备一定防御属性与估值约束的低价品种 相对占优。在此阶段，转债配置的安全边际有待进一步消化，策略上应以交易思 维应对高波动市场环境，侧重把握波动率与结构分化带来的阶段性机会，同时保 持对估值约束与回撤风险的关注。从当前市场特征看，转债收益来源更多依赖波 动率与结构分化，而非系统性股性扩张，对节奏与仓位管理的要求明显提高。 证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2026 年 02 月 01 ...

Group 1 - The report highlights a "non-typical" tight balance in the supply and demand for ultra-long bonds, indicating that banks are not lacking in liabilities but are missing interest rate risk indicators [5][11][14] - It is noted that the issuance of ultra-long local government bonds is expected to increase significantly in February, potentially exceeding 9,900 billion, which is higher than the issuance in January and March [21][25] - The report suggests that the market should be cautious about the potential disturbances in the bond market due to increased supply of local government bonds after the Spring Festival [29][28] Group 2 - The analysis indicates that the widening of the 30-10Y yield spread is attributed to the persistent tight balance in the supply and demand for ultra-long bonds, which has not fundamentally eased [10][8] - The report emphasizes the importance of timing in the bond market, particularly regarding when to avoid exposure to ultra-long bonds due to expected fluctuations in supply and demand dynamics [19][28] - It is recommended that investors maintain a cautious approach, focusing on medium to short-term bonds with high coupon rates and low volatility, especially as the market approaches the end of February [29][28]

Market Overview - The 10-year government bond yield is stabilizing around 1.8%, while the 30-year yield is at 2.25%[2] - Economic and inflation expectations are weakening, leading to a high probability of central bank support despite continued government debt net financing[2] Investment Strategy - February's bond market has a higher win rate than odds, suggesting a dynamic view on central bank threshold limits and a focus on duration strategy[2] - The market may see a bullish momentum if the 30-year bond yield breaks below 2.15%[2] Supply and Demand Dynamics - January government bond issuance reached approximately 2.08 trillion yuan, with net financing exceeding seasonal levels[21] - February government bond issuance is expected to decrease year-on-year to 2.11 trillion yuan, with net financing dropping by 3.4 billion yuan[27] Economic Indicators - PMI data has shown an unexpected decline, contributing to weakened expectations for the New Year[3] - External demand may provide some support to the economy, with exports expected to drive growth[3] Market Sentiment - Bank buying power has increased, which is a key factor in the January interest rate decline[3] - The trading market's confidence in duration strategies is recovering, although it may take time for full restoration[3]

印度政府将于2月1日公布2026-27财年年度预算案。印度股市今日为预算案举行特别交易时段。印度货 币和债券市场今日休市，将于2月2日恢复交易。 ...