债券研究 证 券 研 究 报 告 【债券日报】 权益走强叠加美伊冲突爆发，债市收益率先上后下 ——利率债市场周度复盘 具体看，本周央行全口径净回笼 4614 亿元，资金情绪指数基本在 50 附近，1y 国股行存单发行利率下行至 1.59%。 周三（2 月 25 日），央行净投放 3095 亿元，资金面由紧转松，上海地产政策 优化落地，权益震荡偏强，股债跷板效应叠加机构止盈驱动，收益率震荡回调， 10 年国债回到 1.8%上方。 周四（2 月 26 日），央行净回笼 795 亿元，权益市场高位回调，受"沪七条" 以及两会前政策博弈，止盈情绪升温，现券情绪偏弱，10y 国债收益率最高上 行至 1.8140%。 周五（2 月 27 日），央行净投放 2690 亿元，央行下调远期售汇业务的外汇风 险准备金率，午间政治局会议通稿公布增量内容不多，债市情绪修复，配置盘 有序进场，券商转为净买入，现券收益率多数下行，10y 国债活跃券回到 1.8% 附近。 周六（2 月 28 日），央行延续净投放，跨月资金平稳宽松，调休日上午债市成 交清淡，午后美伊局势升级，避险情绪升温驱动收益率加速下行，10y 国债活 跃券下行 1.2 ...

固 华福证券 2026 年 02 月 28 日 定 收 益 重构信贷收支表：连接货币政策与银行行为 ——解构宏观流动性系列之一 固 定 收 益 近年来债券投资者对于银行债券配置行为的关注度持续提升，但债券 投资并不是银行最主要的业务类型。银行的存款与贷款分别是 M2 与社融 的主要构成部分，而后者又是货币政策的目标，央行本质上也是通过调控 流动性来影响银行的行为，进而实现其货币政策的目标。因此，研究银行 债券配置需要从中观视角连接货币政策与银行行为。而央行每月公布的信 贷收支表为相关行为提供了相对充分的信息。 深 度 考虑 M2 是货币政策的重要中介目标，因此我们的研究以银行行为如 何影响 M2 作为起点。由于银行存款与 M0 都在信贷收支表的资金来源端， 二者又是 M2 的主要组成部分。理论上如果其他因素不变，银行其他资金 来源的下降与资金运用的上升，都会带来 M2 的上升，因此我们既可以根 据信贷收支表上各类机构各类存款的此消彼长分析 M2 的变动，也可以根 据其他科目的变化来反推 M2 变动的原因。但近年来，M2 的变动常常与信 贷、债券投资等科目的变动相背离，如果反推 M2 可以发现其变动常常由 其他 ...

来源：华西研究 不过受地产新政影响，债市全线调整。早盘股市高开高走，叠加上海地产消息面扰动，市场空头情绪明 显升温，长端利率开盘便开启上行行情，10年国债收益率随之站上1.80%关口，30年国债活跃券也震荡 上行0.6bp。午后，随着上海楼市新规正式出台，债市收益率加速上行，10年、30年国债纷纷触及 1.81%、2.23%的日内高点，尽数回吐春节前一周的全部涨幅。直至尾盘，债市情绪才逐步企稳，二者 分别收于1.80%、2.23%。 市场成交量回升，交易盘明显止盈。节后第二个交易日，市场交投显著升温，主要交易品种成交量明显 回升，10年国债、30年国债、10年国开债等活跃券成交笔数分别升至516、1600、1754笔（24日分别为 394、902、634笔）。然而，交易量激增的背后，是交易盘在消息面的影响下集中出货。据经纪商利率 债成交势力图显示，券商和基金是此次卖出主力，其中券商大额减持超长国债和7-10年政金债，基金也 主要卖出7-10年政金品种。 市场受地产新政扰动而调整，或也是两会政策博弈的开端。不过债基的负债端还相对稳定，今日仅小级 别的短债基金被赎回。往后看，继续关注基金负债端的变化，如果没有出现 ...

固 定 收 益 华福证券 2026 年 02 月 24 日 春节假期综述：海外波动难撼债市修复趋势 团队成员 投资要点： 益 专 题 1 月中旬以来债券市场修复的重要因素在于大行对于长债的持续净买 入。从 1 月信贷收支表看，大行与中小行新增信贷均低于去年同期，但存 款增速均有所回升，且大行的升幅更大，在此背景下大行配置债券的规模 也明显上升，显示在央行流动性宽松、大行负债相对充裕、但信贷需求整 体偏弱的环境下，大行配置债券的意愿有所提升。但相较于往年银行一般 都在年初配置短债不同，今年大行在二级市场增持长债是非常罕见的现象， 这一方面说明市场前期担忧的利率风险指标问题并未对大行的实际投资带 来显著影响，另一方面可能也部分反映了央行态度的变化。 Q4 货政报告对稳增长的诉求增强，由于信贷需求偏弱，货币政策对宽 松副作用的担忧也明显减弱。尽管降准降息可能需要根据整体政策部署综 合，但在稳增长的基调下预计央行在降息前仍将维持宽松的流动性环境， 同时也有望加大对国债的买入力度以配合财政。我们原本预计，在 10 年期 国债收益率突破 1.8%后，大行对 7-10 年国债的净买入力度可能下降，甚至 阶段性的转为净卖出， ...

Summary of Conference Call Notes Industry Overview - The focus of the conference call is on the bond market in China, with a long-term bullish outlook on the bond market despite short-term fluctuations [1][15]. Key Points and Arguments 1. **Long-term Bullish Outlook**: The company maintains a long-term bullish view on the bond market, with expectations of upward trends despite potential short-term volatility, particularly after the Spring Festival [1][10]. 2. **High Real Interest Rates**: China's real interest rates, measured by the 10-year government bond yield relative to CPI, remain high at approximately 1.1168, which is conducive to economic growth and necessitates a low-interest environment [2][4]. 3. **International Comparisons**: Historical data from developed economies shows that exiting low-interest environments takes considerable time, suggesting that China may also require a prolonged period to stabilize its interest rates [3][4]. 4. **Government Debt Levels**: The increasing scale of government debt, projected to rise to over 70 trillion for central government bonds and 80 trillion for local government bonds by 2026, indicates significant fiscal pressure that necessitates a low-interest environment [4][5]. 5. **Banking Sector Stability**: The banking sector's net interest margin has been declining, from approximately 2.1% in 2020 to 1.42% in 2025, which impacts profitability and necessitates a stable interest rate environment to maintain financial stability [6][7]. 6. **Insurance Sector Growth**: The insurance sector has seen rapid growth, with new premium income reaching 212.6 billion in January 2026, a 27.6% increase year-on-year, indicating strong demand for bonds from non-bank financial institutions [8][9]. 7. **Bond Market Demand**: There is a significant demand for bonds from various sectors, including insurance, as large amounts of fixed deposits are maturing and being converted into insurance products and other financial instruments [9][10]. 8. **Interest Rate Projections**: The 10-year government bond yield is expected to remain within the range of 1.7% to 1.9%, with a potential decline to 1.6% if interest rates are cut further [10][11]. 9. **Investment Strategies**: The company recommends focusing on high liquidity government bonds and credit bonds, with an emphasis on safety and yield, particularly in the context of expected low interest rates and potential market volatility [22][23]. Additional Important Content - **Fiscal and Monetary Policy Coordination**: The need for coordinated fiscal and monetary policies to support domestic demand is emphasized, with a focus on maintaining liquidity and reducing financing costs [15][16]. - **Asset Management Products**: The total assets of asset management products have reached 120 trillion, reflecting a growing trend in the financial market that requires careful monitoring [17][18]. - **Regional Investment Insights**: Specific regions such as Beijing and Guangxi are highlighted for their stable investment opportunities, with a focus on local government bonds and enterprises that are financially sound [26][29]. This summary encapsulates the key insights and strategic outlook presented during the conference call, focusing on the bond market dynamics, fiscal pressures, and investment strategies in the context of China's economic landscape.

Report Industry Investment Rating - Not provided in the document Core Viewpoints of the Report - The pre - holiday bond market continued to recover mainly because the pressure on the bank's asset - liability gap was lower than expected. Factors included government bond digestion pressure not being too high, most due deposits being renewed, and an increase in the speed of foreign exchange settlement under the expectation of RMB appreciation [6][9]. - Since 2025, the "quantity and price decline" of large - bank certificates of deposit (CDs) has often led to a downward repair of bond market interest rates. After the holiday, it is necessary to focus on whether CDs can continue the pre - holiday trend of "quantity and price decline" [6][9][11]. - The key to whether bond interest rates can continue to break through after reaching critical points depends on whether CD interest rates can "as expected" continue to decline after the holiday [6][11]. Summary by Relevant Catalogs 1. Bond Market Weekly Viewpoint: Pay Attention to Whether CDs Can Continue the "Quantity and Price Decline" after the Holiday - The pre - holiday bond market recovery was due to three factors: government bond high growth not causing much digestion pressure, bank deposit loss not being serious as most due deposits were renewed, and the positive impact of increased foreign exchange settlement on the bond market [6][9]. - The "quantity and price decline" of large - bank CDs since 2025 has been correlated with the downward repair of bond market interest rates, and this time is no exception [6][9]. - After the holiday, it is necessary to observe whether there are more factors to ease the bank's liability pressure and whether the central bank will reduce other ways of base money injection [11]. - Since the end of 2024, CD interest rates have often shown "anti - seasonal" fluctuations, and it is worth noting whether they will continue to decline after the holiday [6][11]. 2. This Week's Focus in the Fixed - Income Market: The Supply Scale of Interest - Bearing Bonds Remains at a High Level in the Same Period 2.1 This Week's Domestic Inflation and Financial Data Will Be Released - China will announce January CPI, PPI and other data, and the US will announce January unemployment rate and other data [15][16]. 2.2 This Week's Interest - Bearing Bond Issuance Is Expected to Be Around 712.1 Billion - The total issuance of interest - bearing bonds this week is expected to reach 712.1 billion. Among them, treasury bonds are expected to issue 210 billion, local bonds 322.1 billion, and policy - financial bonds about 180 billion [17][18]. 3. Review and Outlook of Interest - Bearing Bonds: Bond Market Interest Rates Mostly Decline 3.1 The 14 - day Reverse Repurchase Injection Started - After the month - end, the scale of open - market operation injections decreased. The 7 - day reverse repurchase scale decreased last week, and the 14 - day reverse repurchase injection started in the second half of the week, with a net withdrawal of 756 billion [22][23]. - The increase in cross - month capital interest rates was controllable. The repurchase trading volume increased, and the overnight proportion reached a high level. The overnight price and DR007 both declined [23]. - The issuance volume of CDs increased, and the price continued to decline. The net financing amount of CDs was positive, and the proportion of medium - term CDs decreased [29]. 3.2 The Bond Market Sentiment Remained Optimistic - Last week, there was little new information in the bond market. After the month - end, funds were loose, and the equity and commodity markets mostly declined. The bond market sentiment remained optimistic, and most interest rates declined [39]. - The 10Y treasury bond reached a critical point, and more catalysts may be needed for a downward breakthrough. Most yields of interest - bearing bonds with different maturities declined, with only the 1 - year treasury bond yield rising slightly [39]. 4. High - Frequency Data: Most Commodity Prices Were Hit - On the production side, the trends of operating rates were divergent. The blast furnace and PTA operating rates increased, while the semi - steel tire and asphalt operating rates decreased. The year - on - year decline in the daily average crude steel output in late January widened [45]. - On the demand side, the year - on - year growth rates of passenger car manufacturers' wholesale and retail sales were still negative. The land premium rate in 100 large - and medium - sized cities decreased, and the land transaction area increased. The sales area of commercial housing in 30 large - and medium - sized cities increased significantly compared with the same period of last Spring Festival. The export indices declined [45]. - On the price side, most commodity prices declined. Crude oil, copper, and aluminum prices decreased, and the price of coking coal futures also decreased. The comprehensive building materials price index and cement index decreased slightly, while the glass index increased. The price of downstream consumer products such as vegetables and pork mostly declined [46].

Group 1 - The report indicates that the bond market has entered a bullish trend due to increased liquidity and a decline in risk appetite, with the 10Y government bond yield decreasing by 0.90 basis points to 1.8000% compared to the previous week [2][3] - The central bank's continuous reverse repurchase operations have maintained liquidity stability, leading to a significant increase in market leverage and a notable rise in interbank pledged repo transaction volume [24][29] - The net supply of interest rate bonds and certificates of deposit has increased significantly, with a total net supply of interest rate bonds reaching 8829.27 billion yuan, up 5024.12 billion yuan from the previous week [31][34] Group 2 - The report highlights that the yield curve for interest rate bonds is flattening, indicating a bullish trend, with the 10Y government bond yield showing a notable performance [42][43] - The report notes that the yield spreads across various maturities have generally narrowed, with specific spreads such as the 1Y National Development Bank bond to government bond and the 10Y National Development Bank bond to government bond also narrowing [54][56] - The upcoming week will see significant issuance of local government bonds, and attention will be paid to the issuance results across different maturities [3][39]

1. Report Industry Investment Rating - No information provided regarding the industry investment rating in the report 2. Core Viewpoints of the Report - Last week, medium - and long - term bonds continued to show a recovery trend, mainly driven by the decline in ultra - long - term bond yields, which improved market sentiment. However, the short - term interest rates did not decline further with the loosening of the capital market as the previous interest - rate cut expectations had been priced in. The 1 - year Treasury bond yield increased slightly, while long - and ultra - long - term bonds performed better, flattening the yield curve [2][79]. - The current market environment has changed significantly compared to 2023 - 2024. The "asset shortage" logic is difficult to replicate. The supply of bond - type assets is abundant, and the demand structure is changing. Market sentiment has shifted from one - sided bullishness to a multi - empty game, and the odds space restricts the market development. Therefore, the sustainability of the trading - driven market may not be overly optimistic, and the market is more likely to maintain a volatile pattern [2][80]. - If the bond market recovery in February enters the late stage, the market will probably enter a more intense game and volatile observation period. Considering the high pressure for the 10 - year Treasury bond to break through and the lack of recovery in short - term bonds, shortening the portfolio duration may have a higher probability of success in the future [2][81]. 3. Summary by Relevant Catalog 1. Important Matters - In January, the central bank's open - market Treasury bond transactions had a net injection of 100 billion yuan into the market [5]. - On February 4, the central bank conducted an 800 - billion - yuan 3 - month (91 - day) fixed - quantity, interest - rate - tender, and multi - price - winning bid repurchase operation. After deducting the 700 - billion - yuan maturity in February, the net injection was 100 billion yuan. As of February 6, the outstanding 3 - month and 6 - month repurchase amounts were 2.9 trillion yuan and 4.0 trillion yuan, respectively [6]. - The central bank aims to support key areas such as expanding domestic demand, technological innovation, and small and medium - sized enterprises [7]. - The State Council executive meeting proposed to make more effective use of funds such as central budgetary investment, ultra - long - term special Treasury bonds, and local government special bonds, as well as new policy - based financial instruments to promote effective investment [8]. 2. Money Market 2.1 Open - Market Operations and Fund Interest Rate Trends - From February 2 to February 6, the central bank's 7 - day and 14 - day reverse repurchase operations had a total injection of 1005.5 billion yuan, with 1761.5 billion yuan maturing, resulting in a net injection of - 756 billion yuan. From February 9 to February 13, it is expected that 405.5 billion yuan of base currency will mature and be withdrawn, all from reverse repurchase maturities [10]. - After crossing January, fund prices declined, with DR001 falling below 1.3%. As of February 6, R001, R007, DR001, and DR007 were 1.361%, 1.529%, 1.275%, and 1.461% respectively, showing a decline compared to January 30 [12]. 2.2 Certificate of Deposit (CD) Interest Rate Trends and Repurchase Transaction Volume - In the primary market, last week, the issuance scale of inter - bank CDs was 506.58 billion yuan, with a net financing of 336.84 billion yuan. The city commercial banks had the largest issuance scale, reaching 208.56 billion yuan with a net financing of 137.93 billion yuan. The issuance interest rates of state - owned and joint - stock banks decreased, while those of city and rural commercial banks showed mixed changes [19][22][25]. - In the secondary market, except for a slight increase in the 1 - month - term CD yield, the yields of other terms generally declined. The 1Y - 3M spread is currently at the 46.08% quantile level [30]. 3. Bond Market Primary Market - Last week, the supply of interest - rate bonds continued to increase. A total of 118 interest - rate bonds were issued, with an actual issuance of 1160.673 billion yuan and a net financing of 883.373 billion yuan. In 2026, the issuance rhythm of Treasury bonds and local bonds in January was higher than the historical average. As of February 6, the cumulative net financing of various Treasury bonds and local bonds in 2026 was approximately 640 billion yuan and 1.28 trillion yuan respectively, and the issuance of local bonds had accelerated [33][38]. - As of last week, the issuance of special refinancing bonds had reached 590 billion yuan, mainly in long - and ultra - long - term maturities. Regions such as Jiangsu, Zhejiang, Henan, Jiangxi, and Sichuan had relatively large issuance scales, accounting for about 46.46% of the total issuance [39]. Secondary Market - Last week, the bond market was still in the recovery stage, mainly driven by the decline in ultra - long - term bonds, with the term spread generally compressing. The yields of 1 - year, 3 - year, 5 - year, 7 - year, 10 - year, and 30 - year Treasury bonds changed by 2.08BP, - 2.05BP, - 2.09BP, - 0.94BP, - 0.10BP, and - 3.80BP respectively, and the 10Y - 1Y Treasury bond yield spread narrowed to 48.95BP [42]. - The average daily turnover rate of the 10 - year Treasury bond active bond (250016) decreased, while that of the 10 - year CDB bond active bond (250215) increased. The average spread between the 10 - year Treasury bond active bond (250016) and the secondary - active bond (250022) was 0.29BP, narrowing compared to the previous week [44]. 4. Institutional Behavior Tracking - Last week, the leveraged trading volume remained at a relatively high level, with an average of about 8.75 trillion yuan. In the cash - bond market, large banks reduced their marginal increase in Treasury bonds with maturities within 10 years; small and medium - sized banks continued to significantly increase their holdings of Treasury bonds over 10 years and local bonds of all maturities; insurance companies continued to buy local bonds over 10 years and increased their reduction of Treasury bonds over 10 years; securities firms slowed down their net selling of Treasury bonds over 10 years; and funds significantly increased their holdings of policy - financial bonds with maturities of 5 - 10 years and increased their holdings of Treasury bonds over 10 years [55][63]. - In December 2025, the leverage ratio of all institutions in the inter - bank market was about 119.37%, an increase of about 1.33 percentage points compared to November. The leverage ratios of commercial banks, securities firms, and other institutions were about 110.30%, 187.68%, and 134.42% respectively [55]. 5. High - Frequency Data Tracking - Last week, steel and glass prices showed a mixed trend, with the rebar futures settlement price down 1.65% and the wire rod futures settlement price up 4.26%. The cathode copper futures settlement price increased by 6.17%, and the cement price index decreased by 0.58%. The CCFI index decreased by 2.74%, while the BDI index increased by 21.91%. Food prices were also mixed, with the wholesale pork price up 0.11% and the wholesale vegetable price down 0.88%. Crude oil prices rose, with Brent and WTI crude oil futures settlement prices up 7.33% and 7.12% respectively. The central parity rate of the US dollar against the RMB was 6.97 [77]. 6. Market Outlook - The medium - and long - term bond market is expected to enter a more volatile observation period. The possibility of the central bank's reserve - requirement ratio cut and interest - rate cut in the first quarter has decreased. Shortening the portfolio duration may be a more favorable strategy [81].

固 定 收 益 华福证券 2026 年 02 月 09 日 节后债市或延续节前趋势 1.8%或由阻力变支撑 团队成员 投资要点： 固 定 上周利率债表现偏强。尽管周初 10 年国债新券短暂突破 1.8%后受止 盈情绪影响再度调整，但此后在大行的持续买入下，10 年国债也经受住了 风险偏好修复、地方债集中发行等因素的扰动，此后随着交易情绪回暖利 率再度走低，10 年期国债利率再度降至 1.8%附近，10 年政金债以及 30 年 国债的下行幅度更大。随着春节临近，也有部分投资者关注长假因素是否 会对市场趋势带来扰动。 收 益 专 题 从历史看，节后债市的表现一般都是节前趋势的延续。过去单数年份 利率容易在春节前后上行，但双数年份利率反而多在春节前后下行，唯一 的例外是 2022 年利率在节前回落、节后走高，但这一年的特殊性在于央行 在节前降息落地，节后利率在止盈情绪和对信贷的担忧下出现了上行。之 所以呈现出这样的状态，主要还是因为岁末年末市场往往都对市场的状态 进行了充分定价，市场结构会得到一定程度的出清，而年初货币政策的导 向往往也会根据新一年的目标进行调整，而这样的调整一般也不会因为春 节因素发生变化，后续的 ...

Market Overview - From late January to early February, significant global events disrupted asset pricing, leading to fluctuations in gold and silver prices, and a notable decline of 2.48% in the Shanghai Composite Index on February 2[20] - The domestic bond market saw a window for growth, with the yield on 30-year government bonds decreasing by 4 basis points (bp) to 2.22%[20] Bond Market Characteristics - The current bond market is characterized by three main features: a decline in risk appetite, ample liquidity, and favorable supply-demand dynamics[2] - Risk appetite has weakened, with the performance of risk assets declining compared to mid-December to mid-January, leading to a shift of funds back to fixed income[2] - Despite an increase in bond supply in February, demand remains strong, with government bonds seeing good subscription rates and a high coverage ratio of over 12 times for some issuances[2] Inflation Concerns - Inflation remains a key concern, with January's Producer Price Index (PPI) expected to show a month-on-month increase of approximately 0.3%, driven by rising commodity prices[3] - The Consumer Price Index (CPI) is anticipated to rebound significantly in February due to the effects of the Spring Festival, with both year-on-year and month-on-month growth expected to rise[3] Yield Dynamics - The 10-year government bond yield is currently stable at around 1.80%, indicating resistance to a systemic decline in interest rates[20] - The yield spread between 30-year and 10-year government bonds has compressed from 48bp to 44bp, driven by buying interest from funds and smaller banks[4] Risk Factors - Potential risks include unexpected adjustments in monetary policy, liquidity changes, and fiscal policy shifts that could impact market stability[5]