债券策略周报 20260301 3 月债市投资策略 glmszqdatemark 2026 年 03 月 01 日 债市观点及组合策略推荐 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 [Table_Author] 分析师 徐亮 执业证书： S0590525110037 邮箱： xliang@glms.com.cn 展望 3 月债市，从利率节奏来看重点关注两个问题：1.中东冲突带来的大类资产 联动情况；2.国内货币政策是否有宽松的迹象。 从当前债券利率定价来看，目前 10 年国债利率略低于 1.8%，市场进一步做多意 愿不强（这一点可以从节后止盈情绪升温导致利率回升看出），不过地缘风险导致 的风险偏好下降确实有较大概率使得近期利率脉冲下行，但也需要观察权益下跌 情况，如果权益下跌后立即企稳，债券利率的下行空间也不大，预计 10 年国债活 跃券低位在 1.75%左右；而后续则需要关注大宗商品是否上涨带来通胀预期进一 步升温，从而带动利率上行。另外，国内债券利率下行的另一个制约在于降息预 期不高，如果两会后市场降息预期有所抬升，则 10 年国债利率有明显的交易机 会。 因此，从利率 ...

[Table_Page] 固定收益|专题报告 2026 年 2 月 12 日 证券研究报告 [Table_Title] 浮息债：债熊之盾,穿越周期 ——品类掘金系列之一 [Table_Summary] 报告摘要： [分析师： Table_Author]杜渐 SAC 执证号：S0260526020003 010-59136690 dujian@gf.com.cn 分析师： 吴棋滢 SAC 执证号：S0260519080003 SFC CE No. BQN213 021-38003588 wuqiying@gf.com.cn 请注意，杜渐并非香港证券及期货事务监察委员会的注册 持牌人，不可在香港从事受监管活动。 识别风险，发现价值 请务必阅读末页的免责声明 1 / 23 [Table_Contacts] 972918116公共联系人2026-02-12 20:25:03 ⚫ 为何近期浮息债受到市场关注？ ⚫ 在风浪中寻求稳定器："低利率+高波动"环境下，降低发行成本与防 御性配置需求显著提升。一是利率高波动催生防御性配置需求，当前 债市分歧加大，投资者担忧中长期的利率上行风险，浮息债票息重置机 制使其能够有效对冲 ...

宋睿、蒋雅伟，中债资信评估有限责任公司估值业务部分析师 ①估值方法实践。境内外市场普遍采用现金流贴现模型，但未来现金流的预测（尤其是远期基准利率的 确定）和估值收益率（贴现率）的选取存在不同实践，这可能导致估值结果的差异。 浮息债的对冲效果并非自动实现，而是高度依赖于其条款设计的精细程度。 ①基准利率的选择。不同的基准利率（如DR007、LPR、SHIBOR等）具有不同的波动特征与市场含 义。选择与投资者所需对冲的风险来源或资金成本结构相匹配的基准利率，是有效对冲的前提。错配可 能导致对冲失效甚至放大风险敞口。 ②重定价周期的设置。通过构建模拟投资组合（如比较重定价周期为7天与半年的浮息债），发现更 短、更贴合基准利率自身波动周期的重定价安排，能显著提升投资组合收益的稳定性与可预见性，在利 率上行和下行周期中均能更好地锁定与发行利差接近的收益水平，降低组合波动率。 ③重定价计算规则。采用更贴近重定价日当期市场利率的规则（如前一日利率），相比使用历史平均值 等平滑方法，能提供更及时、精准的风险对冲。 二、浮息债估值实践、特征与敏感性分析 李皓菲，中债资信评估有限责任公司估值业务部信用债估值团队主管 在全球利率波 ...

Group 1 - The bond market is experiencing a bullish trend, with the 10-year government bond yield fluctuating around 1.8% after a decline to this level on January 28. Recent movements indicate a gradual decrease in yields for long-term government bonds and government-backed securities [7][11][39] - Investors are advised to focus on three key questions regarding the potential for further yield declines: the extent of the rebound in yields, the possibility of further declines in the 10-year government bond yield, and the outlook for perpetual bonds [7][11][39] - The current spread between the 30-year and 10-year government bonds is approximately 42-43 basis points, with expectations that the 30-year yield could decline to around 2.2% if the 10-year yield remains stable at 1.8% [7][11][39] Group 2 - The report suggests that the 10-year government bond yield may face strong resistance at the 1.8% level, requiring significant positive stimuli to break below this threshold. Factors to monitor include potential interest rate cuts by the central bank and economic pressures affecting risk assets [12][41] - The sentiment around perpetual bonds has improved, with yields declining due to increased liquidity and positive market sentiment. However, the absolute returns on these bonds are currently limited [12][41] - The report outlines five strategies for bond selection, including focusing on high-frequency trading opportunities, long-term government bonds, and specific government-backed securities based on yield spreads [16][39] Group 3 - The bond market's overall sentiment remains strong, with a lack of significant negative factors currently impacting trading opportunities. The recent decline in overnight funding rates has further bolstered investor optimism [19][30] - The report indicates that the valuation of bonds is relatively attractive compared to other asset classes, with the current yield levels not appearing overly high [30][31] - The analysis of institutional holding costs shows that the average cost for funds holding 10-year government bonds is around 1.83%, indicating slight profitability for these institutions [22][30]

Core Viewpoint - Jinshang Bank's 2026 work meeting emphasized the importance of deepening reforms, ensuring transformation, and enhancing quality and efficiency to create value, manage risks, and support local development in the new five-year plan [1]. Group 1: 2025 Achievements - Jinshang Bank's transformation in 2025 showed significant results, with key areas like technology finance, green finance, and inclusive micro-loans growing over 10%. The bank led in "guaranteeing housing" credit in Shanxi Province, and county deposits became a new growth highlight [3]. - Innovative business breakthroughs included the first "Port Cloud Warehouse" financing and cross-border RMB settlement for aircraft bonded procurement in the province, along with successful issuance of technology innovation bonds and floating rate bonds, significantly increasing income from wealth management and trade finance intermediary services [3]. - The risk management system was comprehensively restructured, successfully resolving risks in village and town banks, with self-research in technology rising to 13%, laying a solid foundation for high-quality development [3]. Group 2: 2026 Focus Areas - The bank will focus on five key directions for high-quality development in 2026, starting with enhancing service efficiency for the real economy by creating a "green energy + finance" service model and supporting major provincial projects [4]. - The second focus is on deepening reforms to stimulate internal growth, implementing innovative incentives like "ranking and competition," and enhancing digital capabilities through AI to improve operational efficiency [5]. - The third focus is on strict risk management, establishing a comprehensive risk prevention system, and transitioning risk management to proactive prevention and control [5]. - The fourth focus is on building a high-quality professional team, developing a cadre of politically aware and management-savvy leaders, and implementing specialized training programs to enhance overall capabilities [5]. - The fifth focus is on leading with party building to ensure high-quality development, integrating party activities with business planning and assessment [5].

Group 1 - The report suggests that the recent peak for the 10-year government bond is around 1.9%, with potential upward movement if equity and commodity markets rise again. However, the upward space for long-term bond rates is limited, recommending a neutral duration strategy for portfolios [7][11][39] - Potential bullish factors for bonds include a period of rate stabilization after reaching high levels and expectations for interest rate cuts around the Lunar New Year, particularly if the central bank lowers relending and rediscount rates [7][39][40] - The report highlights that medium to long-term government bonds have performed well due to better-than-expected redemption regulations and a preference for government bonds in the secondary market, suggesting continued attention to their relative value [12][40] Group 2 - The report outlines four strategies for bond selection: focusing on high-frequency trading opportunities, considering long-term bonds with favorable odds, identifying trading opportunities in medium-term government bonds, and assessing the value of specific bonds [15][36] - In the context of 30-year government bonds, the current spread between 30-year and 10-year bonds is around 46 basis points, with expectations for this spread to widen due to supply concerns and nominal growth expectations [14][36] - The report indicates that the current yield levels for various bonds are not high compared to historical averages, suggesting that bonds may be undervalued relative to equities [28][36]

Market Overview - On January 6, the Shanghai Composite Index rose by 1.5%, the CSI 300 increased by 1.55%, the STAR 50 climbed by 1.84%, the CSI 1000 went up by 1.43%, the ChiNext Index gained 0.75%, and the Hang Seng Index rose by 1.38% [4] - The best-performing sectors on January 6 were non-ferrous metals (+4.26%), non-bank financials (+3.73%), basic chemicals (+3.12%), defense and military industry (+3.08%), and comprehensive sector (+2.89%). The worst-performing sector was telecommunications (-0.77%) [4] - The total trading volume for the A-share market on January 6 was 28,323 billion, with a net inflow of 2.879 billion Hong Kong dollars from southbound funds [4] Key Insights - The macroeconomic report highlighted two core viewpoints: asset replacement in reserves and a focus on basic and rare metals as a main theme [5] - The geopolitical environment is exceeding expectations, and a potential easing of US-China tensions could lead to a reassessment of national security demands. Additionally, rapid advancements in AI technology may boost global growth and alleviate debt and geopolitical pressures [6] - In the bond market, the current pricing framework for floating-rate bonds is more closely linked to the DR007 benchmark rate. The investment value of floating-rate bonds is expected to improve, considering the narrowing of the short-term interest rate corridor and changes in the yield curve [7] Industry Commentary - The 2025 box office data released by the film bureau showed a total box office of 51.832 billion and 1.238 billion viewers, both exceeding a 20% increase compared to the previous year [10] - The Spring Festival box office set a record for the same period, and the summer box office showed steady growth compared to last year. Several imported blockbusters performed better than expected towards the end of the year, with top films, especially animated ones, dominating the market [10] - Investment opportunities are suggested in companies like Wanda Film, Bona Film, China Film, Shanghai Film, Happy Blue Ocean, Maoyan Entertainment (Hong Kong), and Damai Entertainment (Hong Kong) for the 2026 Spring Festival [10]

Group 1 - The report suggests that investors should focus on three key issues regarding the current bond market, particularly the strong exit sentiment after the 30-year interest rate recovery, which has risen from approximately 2.13% to 2.28%, with a correction of over 8 basis points from its peak [6][10][39] - It raises the question of whether the 10-year interest rate may experience a decline after the significant widening of the 30-10Y spread, predicting a potential rise to 1.9% or higher in the next 1-2 months due to low expectations for short-term easing and lower-than-expected allocation power [11][40] - The report recommends focusing on short-term opportunities, particularly in the 2-year and under credit bonds, 3-4 year perpetual bonds, and 5-year government bonds, given the current low funding rates and the potential for increased preference for short-term credits and mid-term government bonds [12][40][41] Group 2 - The bond market has shown a slight rebound recently, attributed to the significant adjustments in the long-term bonds and expectations of monetary easing following important meetings [19] - The report indicates that the current yield curve is not steep, with the 10-1Y spread maintaining around 45 basis points, and suggests that the long-end rates will continue to influence curve movements, although significant steepening is unlikely [41][37] - It highlights that the valuation of bonds is relatively low compared to equities, with the current 10-year government bond yield being at a lower percentile compared to historical data, indicating that bonds are not overvalued [28][31][39]

Summary of Conference Call on Long-term Bonds Industry Overview - The conference call focuses on the long-term bond market, particularly the super long bonds, which are currently experiencing volatility due to supply expectations and weak demand [1][2]. Key Points and Arguments 1. **Market Sentiment and Interest Rates** - The sentiment in the super long bond market is negatively impacted by supply expectations and weak demand, leading to rising interest rates, especially for super long bonds [1][2]. - A short-term rebound opportunity exists, but long-term factors such as allocation strength and interest rate cut expectations limit this rebound potential [1][3]. 2. **Future Monetary Policy Expectations** - It is anticipated that monetary policy may become more accommodative in 2026, with clearer easing expectations emerging around March-April, while January-February may show less clarity [1][4]. 3. **Current Bond Recommendations** - Liquid super long bonds currently include T6, T2, and 25 ordinary government bonds [1][5]. - The 30-year old bonds, such as 25 special 5 and 25 special 6, show a yield spread of over 10 basis points, indicating holding value, but the compression speed of this spread may be slow [1][5]. 4. **Investment Strategies** - Suggested strategies include a low-duration defensive approach combined with a coupon strategy, focusing on two-year credit bonds and the potential rebound of 30-year government bonds [3][10]. - For short-term high-frequency trading, the most liquid bond is 25 special 6, while 2,502 bonds are recommended for slightly longer-term holds [8][9]. 5. **Liquidity and Future Issuance of Bonds** - The future liquidity of 2,502 bonds is uncertain, with potential issuance in 2026 estimated to reach between 250 billion to 300 billion, which could enhance its status as an active bond [6][7]. 6. **Short-term Investment Strategies** - Current market conditions favor short-term investments in three-month certificates of deposit due to favorable coupon rates [9]. - A combination of three-month and one-year certificates is recommended for better value [9]. 7. **Credit and Local Government Bonds** - For local government bonds, focus on new bonds with an implied tax rate above 4%, and for credit bonds, consider three-year secondary capital bonds and the spread with three-year national development bonds [12]. 8. **Floating Rate Bonds and Hedging Strategies** - Floating rate bonds are currently overpriced, but specific types like 25 Longfa XFL09 still hold value [13]. - A hedging strategy involving buying five-year national development bonds and shorting government bond futures could yield around 1.95% returns, providing a stable risk-return profile [13]. Additional Important Insights - The overall market environment presents unique opportunities across various bond types, including long-term government bonds and local government special bonds, which should be analyzed based on implied tax rates and regional economic conditions [15]. - The differentiation in performance among main bonds indicates a need for careful selection based on liquidity premiums and potential returns [11].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The domestic floating - rate bond market has gone through three stages: initial development, scale expansion, and adjustment and transformation, with significant room for improvement in market scale and product structure [2][74]. - The US floating - rate bond market is relatively mature, mainly including TIPS and FRNs, with different issuance subjects and benchmark interest rates from the domestic market [17]. - The valuation of floating - rate bonds is complex, and their secondary - market liquidity is insufficient. Issuers and investors choose floating - rate bonds for different reasons, such as cost reduction and risk avoidance [2][38]. Summary by Relevant Catalogs 1. Domestic Floating - Rate Bond Market Development - The domestic floating - rate bond market started in 1995 and has experienced three rounds of expansion. In 2025 (as of October 13), 103 floating - rate bonds were issued, with a scale of 293.57 billion yuan [2][5]. - As of October 13, 2025, the domestic floating - rate bond stock was 648.991 billion yuan, accounting for 0.34% of the total bond balance. Policy - bank bonds are the largest variety, and the top three benchmark - interest - rate types in terms of scale are DR007, 1 - year LPR, and 5 - year LPR [2][6]. - The remaining maturity of outstanding floating - rate bonds is highly concentrated in the 1 - 3 - year medium - and short - term varieties, with a balance - scale proportion of 79.01% [15]. 2. US Floating - Rate Bond Market - As of June 30, 2025, the US floating - rate bond (TIPs + FRNs) stock was approximately $3.39 trillion, accounting for 9.36% of the total US - dollar bond scale. The main products are TIPs and FRNs [17]. - TIPs are linked to the CPI, with a fixed coupon rate and a floating principal to resist inflation. As of June 30, 2025, the TIPs stock was approximately $1.73 trillion, accounting for 51.03% of floating - rate government bonds [17]. - FRNs are linked to the US benchmark interest rate, with a more diverse range of issuers. As of June 30, 2025, the FRNs stock was approximately $1.66 trillion, accounting for 48.97% of floating - rate government bonds [22]. 3. Floating - Rate Bond Valuation - The pricing of floating - rate bonds is driven by two factors: current benchmark - interest - rate changes triggering coupon resets and changes in market expectations of future interest rates. YTM may be "distorted" in analyzing floating - rate bonds [38]. - Quantitative valuation analysis of floating - rate bonds is subjective because future cash flows cannot be determined in advance and rely on forward - interest - rate forecasts. Current methods include the ChinaBond valuation method, forward - interest - rate prediction, and using comparable fixed - rate bonds for valuation [46]. 4. Secondary - Market Trading of Floating - Rate Bonds - With the decline of the interest - rate center, the trading activity of floating - rate bonds has decreased. Their liquidity is generally lower than that of fixed - rate bonds of the same period [52][55]. - The five floating - rate bonds with the best liquidity as of October 19, 2025, are 25 Guokai 14, 25 Nongfa Qingfa 09, 25 Nongfa 09, 24 Nongfa 09, and 25 Guokai Kechuang 01. Liquidity is better for bonds with a large stock scale, a remaining maturity of 1 - 3 years, and a recent issuance date [61]. 5. Reasons for Issuers and Investors to Choose Floating - Rate Bonds - For issuers, floating - rate bonds can reduce issuance costs in a declining or stable interest - rate environment, have a built - in risk - hedging function, and help broaden financing channels [64][65]. - For investors, floating - rate bonds are an effective tool to avoid interest - rate risks and achieve asset - liability matching. Investing in floating - rate bonds with a high repricing frequency can reduce the duration exposure of commercial - bank asset portfolios [70][71]. 6. Future Outlook for the Domestic Floating - Rate Bond Market - The domestic floating - rate bond market has significant room for improvement in market scale, product structure, and function. Local governments and enterprises can issue floating - rate bonds with the government - bond yield as the benchmark, and the central government can issue floating - rate bonds linked to inflation indicators [74][75]. - Banks' self - operation of floating - rate bonds can effectively alleviate interest - rate risks. To improve liquidity, multi - dimensional measures should be taken, such as expanding issuance scale, standardizing terms, and unifying quotation methods [74][75].