债 券 研 究 2026 年 02 月 28 日 存单走势或制约长债空间 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 证 券 研 究 报 联系人 栾强 A0230524110003 luanqiang@swsresearch.com 债 券 策 略 告 相关研究 - 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com ⚫ 供需均较为友好，支撑存单利率平稳。2026 年以来，尽管资金面面临了一些扰动，包括 税期、跨节等因素，但存单利率走势总体平稳，从供给端和需求端来看，对存单利率都较 为友好。 ➢ 供给端来看，央行投放了较多相对中长期的流动性，银行存单净融资规模明显低于 往年同期。实际上，自 2025 年四季度开始，央行流动性投放力度就明显增强，并 且通过 MLF、买断式逆回购等工具投放了较多相对中长期的流动性，同时恢复了常 态化买债操作，但对银行负债端补充 ...

Core Viewpoints - The bond market is currently under pressure due to fundamental challenges and a loose monetary environment, with concerns about supply-demand mismatches being a primary issue. However, there is an expectation for a temporary alleviation of these pressures in Q1 2026, leading to a potential downward trend in bond yields, possibly reaching a low for the year [4][8] - The market is characterized by a "strong expectation but weak reality" scenario, where economic performance is not aligning with financial market optimism. Despite a strong equity market, the underlying economic fundamentals remain weak, which could provide support for the bond market as expectations adjust [10] - The coordination between monetary and fiscal policies is expected to strengthen, with fiscal measures likely taking the lead and monetary policy providing support. This collaboration is crucial for maintaining a stable bond market environment [17][18] Group 1: Market Support Factors - **Support Factor One: Strong Expectation, Weak Reality** The economic performance is currently low, with insufficient effective demand impacting production. Historical trends show that equity market uptrends are usually linked to fundamental improvements, but this time, the equity market is rising despite ongoing downward pressures on the economy [10][11] - **Support Factor Two: Monetary and Fiscal Coordination** The fiscal policy is expected to be the main driver, with monetary policy acting in support. The issuance of government bonds is anticipated to be front-loaded in Q1 2026, with a focus on longer maturities, which will require careful coordination with monetary policy [17][18] - **Support Factor Three: Anticipation of Monetary Easing** There is an expectation for interest rate cuts and reserve requirement ratio reductions in Q1 2026, which could lead to a favorable environment for bond yields to decline. Historical patterns suggest that such easing typically occurs at least once a year [26][27] Group 2: Investment Strategy - **Investment Strategy: Combination of Short-Medium Term Credit Bonds and Long-Term Rate Bonds** A "barbell" strategy combining short to medium-term credit bonds with long-term rate bonds is recommended. Historical data indicates that a 10 basis point decline in the 10-year government bond yield is likely, which would favor long-term bonds despite their higher volatility [30][31] - **Perspective One: Historical Experience Reference** Based on historical data, the 10-year government bond yield is expected to decrease by approximately 10 basis points in Q1 2026, with long-term bonds showing strong performance but higher volatility compared to short to medium-term credit bonds [30][31] - **Perspective Two: Scenario Hypothesis Simulation** Assuming a 10 basis point decline in the 10-year government bond yield, the total returns for long-term bonds are expected to outperform, although they are less resilient to rising interest rates. In contrast, short to medium-term credit bonds are projected to provide better total returns with a stronger safety cushion [39][40]

Core Insights - The recent bond market has exhibited significant volatility, particularly in ultra-long-term government bonds, which have shown some recovery after sharp adjustments [2] - The primary factors influencing the bond market include supply-demand imbalance, policy expectation discrepancies (especially regarding monetary policy), and mid-term inflation expectations [2] - The supply-demand imbalance is particularly evident in long-duration assets, with increased net supply of bonds and a mismatch in the duration of monetary supply [2] Supply-Demand Dynamics - The supply of bonds is skewed towards longer durations while monetary supply is concentrated in the short term, leading to increased volatility in long-duration assets [2] - The demand structure for long-duration assets has changed, with a weakening marginal demand from insurance companies and banks, which may exacerbate supply-demand conflicts [2] - The government bond supply is expected to be smaller in December and the first half of January, which may alleviate some supply-demand imbalances, but future increases in supply should be monitored closely [2] Policy Expectations - Discrepancies in policy expectations, particularly regarding monetary policy, may heighten market sentiment volatility [2] - The call for "flexible and efficient use of various monetary policy tools" suggests stricter conditions for implementation, indicating that any policy action will need to be timely and effective [2] - The potential for a rate cut is anticipated, with the first window for observation likely occurring early in the new year, contingent on liquidity conditions [2] Inflation Expectations - Mid-term inflation expectations are becoming a factor to consider, with anticipated improvements in price levels due to base effects in 2026 [2] - The ongoing trend of "anti-involution" may accelerate price recovery, although current inflation levels are not a primary concern for the bond market [2] Investment Strategies - The report discusses the effectiveness of duration strategies versus leverage strategies, indicating that the latter may be more robust in the current environment [2] - The low-interest-rate environment and decreasing volatility suggest that leverage strategies could provide better returns compared to duration strategies, which have shown poor performance this year [2] - For operational strategies, trading funds are advised to focus on short to medium-duration credit bonds, while allocation funds should seek appropriate entry points in long-duration assets [2]

Group 1 - The core view of the report emphasizes a defensive strategy in the bond market, with a focus on mid-to-short duration credit bonds being relatively advantageous, while long-duration bonds are approached with a trading strategy [3][4]. - Recent adjustments in the bond market were influenced by the easing of real estate policies, particularly a new policy introduced in Shanghai, which has led to a slight recovery in market sentiment and a decrease in long-term bond yields [1][2]. - The report indicates that the rise in risk appetite, particularly following the Federal Reserve's interest rate cuts, is a primary factor contributing to the upward pressure on long-term bond yields in China [2][3]. Group 2 - The bond market tracking section notes that mid-to-short duration bonds have shown relatively strong performance, while long-end yields have experienced slight adjustments [7]. - Economic activity indicators, such as the high-frequency economic activity index, are currently in a seasonal decline, with the index at 1.01% as of September 16 [17][18]. - The report highlights that the transaction volume in the real estate market remains at historical lows, with 30 major cities recording a total sales area of 21.00 million square meters [34]. Group 3 - The monetary and liquidity section reports fluctuations in the DR001 weighted average interest rate, which ranged from 1.4140% to 1.5127% during the week of September 15-19 [58]. - The report also notes that the 1-year interbank certificate of deposit rates fluctuated between 1.625% and 1.650%, indicating a narrowing of the 1Y-3M spread by 0.74 basis points [58][59].

Group 1: Economic Overview - Investment remains a drag on the US economy, with the Atlanta Fed's GDPNOW model predicting a 2.6% annualized growth rate for Q2, entirely driven by a reduction in imports [2] - Employment market shows resilience, with weekly initial jobless claims decreasing by 6,000 to 227,000, remaining at seasonal lows [2] - Fiscal policy remains expansionary, with a weekly fiscal deficit of $131.1 billion, higher than seasonal levels and stronger than historical averages [2] Group 2: US Market Performance - US stock market experienced a slight increase of 0.02%, driven by mixed signals from Federal Reserve officials regarding interest rate outlook and differing expectations on tariffs' impact on inflation [3] - The outlook for US stocks suggests a potential return to a bullish trend, supported by corporate earnings resilience, although high valuations and increased tariffs may limit upward potential [3] Group 3: Bond Market Insights - Short-term focus on liquidity tightening pressure following the increase of the debt ceiling, with a maintained view of high volatility in US bond yields [3] - Strategy suggests maintaining a high allocation to short- to medium-term US bonds, with attention to potential opportunities if yields rise [3] Group 4: Currency Analysis - The US dollar is experiencing short-term support due to delayed tariffs and economic resilience, but medium-term trends remain weak due to uncertainties in tariff policies and fiscal pressures [3] - The Chinese yuan is expected to maintain a neutral trend, influenced by mixed factors including tariff impacts and ongoing interest rate differentials with the US [3] Group 5: Gold Market Dynamics - Short-term gold prices may remain volatile due to geopolitical issues and cooling interest rate expectations, but medium-term support is expected from central bank gold purchases [4] Group 6: Chinese Economic Trends - Anticipated Q2 economic growth of approximately 5.2%, with nominal GDP growth around 4% and a GDP deflator potentially declining to -1.2% [6] - Retail price competition continues, with significant growth in instant retail orders and a notable increase in passenger vehicle sales, despite challenges in the automotive sector [6] Group 7: External Demand and Pricing Pressure - Global manufacturing PMI rose to 49.5%, indicating ongoing recovery in global manufacturing and demand [7] - Chinese exports to the US are cooling, while exports to non-US regions remain strong, although pricing pressures are evident across various sectors [7] Group 8: Policy Developments - Recent government policies aim to stabilize employment and support businesses, including increased unemployment insurance and social security subsidies [7] Group 9: Domestic Market Strategy - Domestic market sentiment is improving, with a focus on "anti-involution" policies and urban renewal expectations, leading to a stronger stock market performance [9] - Bond market shows weakness, with a rise in 10-year government bond yields to 1.66%, influenced by risk appetite and tightening liquidity [9] Group 10: Stock Market Outlook - A-shares are experiencing upward movement driven by various factors, including easing US-China trade tensions and urban renewal policies, although the market remains vulnerable to corrections [10] - The Hong Kong stock market is facing risks of volatility, with current valuations at high levels and requiring further catalysts for upward movement [10]

Economic Overview - The internal momentum of the US economy is weakening, with the Atlanta Fed's GDPNOW model predicting a 0.4 percentage point decline in Q2 real GDP growth to 3.4% [2] - Personal consumption expenditure (PCE) growth has decreased by 0.6 percentage points to 1.9%, primarily due to a slowdown in the services sector [2] - Private investment growth (excluding inventory) has dropped by 0.8 percentage points to 0.4%, with significant contractions in real estate (-4.4%) and construction (-3.4%) [2] - The job market remains stable, with weekly initial jobless claims falling by 0.3 thousand to 245 thousand, aligning with seasonal levels [2] - The worsening situation in the Middle East is increasing inflationary pressures, as indicated by the Truflation daily inflation index rising by 8 basis points to 2.14% [2] Fiscal and Monetary Policy - Fiscal policy remains expansionary, with a weekly fiscal surplus of $18.5 billion, which is weaker than seasonal levels but stronger than historical averages [3] - The Federal Reserve maintained a wait-and-see stance during the June meeting, with the dot plot indicating that 7 out of 18 members do not expect rate cuts this year [3] Market Performance - Overseas markets showed muted performance last week, with the US dollar slightly rebounding and US Treasury yields fluctuating [4] - The US stock market was nearly flat, up 0.1%, with expectations that the most significant tariff impacts have passed, potentially leading to a renewed upward trend driven by corporate earnings resilience [4] - However, high valuations and increased tariffs may limit upward potential [4] - The strategy suggests maintaining a neutral position on US stocks with a balanced allocation [4] Chinese Economic Conditions - Domestic demand shows mixed signals, with strong automotive consumption but a slowdown in real estate transactions [6] - In June, average daily retail sales of passenger cars reached 48,000 units, a 17% year-on-year increase [7] - Real estate sales are declining, with new home transaction volumes in 30 major cities dropping by 8.6% year-on-year [7] - The land market is also cooling, with land supply and transaction volumes decreasing [7] External Demand and Trade - High-frequency data indicates a potential slowdown in China's export growth in June, with port cargo and container throughput growth rates declining [8] - Exports to the US may have seen some recovery, while exports to non-US regions are expected to decline from previous highs [8] Fiscal Performance - In May, fiscal revenue growth slowed, with public budget revenue increasing by only 0.1% year-on-year [9] - Tax revenue growth decreased to 0.6%, while non-tax revenue turned negative for the first time in 2024 [9] - Government spending growth was also slower, with a 2.6% increase year-on-year [9] Market Strategy - The bond market is showing strength, with short-term rates performing well due to a stable funding environment [10] - The A-share market experienced a slight decline, with uncertainties in corporate earnings and the need for further policy support for real estate and consumption [12] - The Hong Kong stock market is facing risks of correction, with high valuations and unstable fundamentals [12]