报告来源 报告导读： 分清不同套保方案锚定的现券类型和期限， 30 年国债新老券、地方债和国开 债如何执行中性策略。 在中性策略实战中，理清做空工具与其定价锚点的对应关系是构建组合的前提。 常见的对冲工具主要包括国债期货与债券借贷：国债期货的价格高度锚定其 CTD 券，其中 TL 合约通常锚定 30 年老券， T 合约则锚定 7 年期国债， 因此利用国债期货参与中性策略时，不能仅停留在对于中性策略本身的利差空间 的观察，还需要确认对现券与 CTD 券之间的利差的稳定性与博弈空间； 而债券借贷则直接对标流动性最强的活跃券， 但实际使用中需要警惕高借贷费率与 高集中度引发的负 Carry 成本及逼空风险，当前 30 年国债活跃券偏强，这也是市场更愿意用活跃券做空导致其借贷集中度较高的原因。 一般而言，常见的中性策略博弈品种包括以下三类：① 30 年国债老券：需要厘清是博弈老券均值回归，还是博弈趋势性行情下的超跌修复。 一方面，相较 于 30 年国债活跃 / 次活跃券与 CTD 券利差， 23/24 年发行的老券与 TL 合约 CTD 券的利差中枢更加稳定，基本围绕 0bp 中枢，在上下 5bp 之间反复 震荡，适 ...

分清不同套保方案锚定的现券类型和期限，30年国债新老券、地方债和国开债如何 执行中性策略。 ——债市中性策略之五 本报告导读： 投资要点： 债券研究 /[Table_Date] 2026.03.25 国债期货 VS 债券借贷： 震荡市下债市中性策略的再拆解 | [Table_Authors] | 唐元懋(分析师) | | --- | --- | | | 0755-23976753 | | | tangyuanmao@gtht.com | | 登记编号 | S0880524040002 | | | 孙越(分析师) | | | 021-38031033 | | | sunyue6@gtht.com | | 登记编号 | S0880525080004 | [Table_Report] 相关报告 从"双审批"到发行放量：银行二永债供给节奏 的梳理与展望 2026.03.24 固收加时代，股市震荡的风会吹进债市"避风 港"吗 2026.03.22 美债熊平后或重回熊陡 2026.03.18 机构行为因子在债市量化择时中的"体检"、筛选 与引入 2026.03.09 战争与债券利率：历史经验能告诉我们什么 2026.03 ...

Core Viewpoint - The overall risk in the cross-year bond market is controllable, with a tendency for a warm sentiment to continue in the short term. The focus should be on the yield curve dynamics, particularly the narrowing of the 10-2 year spread and maintaining the 30-10 spread around 40 basis points [1]. Group 1: Market Dynamics - The supply-demand relationship for long-term bonds has improved significantly, with most long-term local government bonds issued at rates below 2.5%, indicating strong market absorption capacity [1]. - Technical indicators show a notable improvement, with recent trading sessions experiencing upward momentum and a low-level golden cross in the KDJ indicator, suggesting a shift in short-term funding focus [1]. - Funding rates are stabilizing and declining, but the future downward space is limited unless there is a reduction in the Open Market Operation (OMO) rates [1]. Group 2: Investment Opportunities - The 10-year government bonds and policy financial bonds present a high cost-performance ratio, as their rebound has not fully absorbed the benefits of monetary easing, indicating clear potential for price recovery [2]. - The supply pressure for 10-year bonds is relatively controllable compared to ultra-long bonds, with a current yield of approximately 1.96%, providing a thicker spread protection compared to 10-year government bonds [2]. Group 3: Short and Ultra-Long Bonds - The pricing of medium and short-term bonds has fully reflected the benefits of monetary easing, with limited further downward space and significant compression of spreads, making the cost-effectiveness of carry strategies insufficient [3]. - The issuance of ultra-long local government bonds has been stable, indicating market absorption capacity, but caution is advised regarding older bonds due to potential selling pressure and liquidity issues [3]. - The 30-year government bonds are expected to follow the recovery of 10-year bonds, with a compression of spreads anticipated but not expected to fall below 40 basis points [3].

Group 1 - The report highlights that the bond market experienced significant volatility at the end of 2025, with a notable increase in trading volume contrary to typical year-end trends, indicating a dominant position of short positions and profit-taking strategies [7][8]. - The report identifies two main reasons for the observed market behavior: persistent bearish sentiment and speculative trading strategies that exploit low trading volumes to create market fluctuations [8][9]. - It suggests that in a low-interest-rate and high-volatility environment, such phenomena are likely to increase, recommending two strategies for investors: hedging strategies for those seeking to smooth volatility and reverse trading strategies for those looking to capitalize on price corrections [9][11]. Group 2 - The report discusses the outlook for government bond futures, indicating that the cost-effectiveness of positive spread strategies is currently low due to a significant bearish sentiment, with IRR values for main contracts showing a decline [16]. - It emphasizes the importance of monitoring long-end basis convergence opportunities, as recent market conditions have led to a widening of basis spreads, suggesting potential for mean reversion [19]. - The report notes limited short-term trading opportunities in cross-period strategies due to consistent price movements across contracts, recommending a cautious approach [21]. Group 3 - The report outlines a curve strategy that suggests potential for flat trading opportunities post-holiday, as the long-end and ultra-long-end segments have shown significant declines, indicating a possible rebound [24].

Supply and Demand Dynamics - The total supply of long-term government bonds in 2026 is projected to be between 6.5 trillion and 7.2 trillion yuan, slightly higher than the 6.4 trillion yuan in 2025[2][4]. - The issuance of long-term government bonds has increased significantly since 2019, with the proportion of bonds with a maturity of over 10 years rising from less than 5% before 2019 to around 25% in recent years[2]. Market Behavior and Trends - From November 20 to December 15, 2025, net sales of bonds with maturities over 10 years totaled 659 billion yuan by brokerages, with funds also selling 458 billion yuan during the same period due to relative ranking pressures[1]. - The yield on 10-year government bonds rose from 1.81% to 1.87%, while the yield on 30-year bonds increased from 2.14% to 2.28%, leading to a widening yield spread of 43 basis points[1]. Issuance Patterns - In 2025, the issuance of special government bonds accounted for 1.3 trillion yuan, while ordinary long-term bonds totaled 211 billion yuan, indicating a shift towards longer maturities[3]. - The issuance of long-term local government bonds peaked in the first quarter of 2025, with significant amounts issued in subsequent months, reflecting a balanced issuance rhythm throughout the year[5][6]. Institutional Demand and Capacity - Major banks have been net sellers of long-term government bonds, with cumulative net sales of 3.58 trillion yuan for large banks and 2.79 trillion yuan for joint-stock banks in 2025[8]. - Insurance companies have emerged as significant buyers of long-term bonds, with net purchases of 2.36 trillion yuan in long-term government bonds and 1.88 trillion yuan in local bonds in 2025[9]. Future Outlook - The demand for long-term government bonds in 2026 may be constrained by potential declines in insurance premium growth and regulatory pressures on asset management products, which could limit their capacity to absorb new issuances[10][11]. - The market's ability to improve the supply-demand structure will be crucial for the performance of long-term bonds, with potential adjustments in bank capacity and central bank interventions being key factors to watch[12].

Core Viewpoint - The article discusses the recent weakening of 30-year government bonds and the potential for a re-pricing of the 30-year to 10-year government bond yield spread due to changes in institutional participation and expectations, despite a low interest rate environment [1][2]. Summary by Sections Interest Rate Environment and Yield Spread - The narrowing of the yield spread between 30-year and 10-year government bonds since 2023 is attributed to both declining interest rates and the influence of trading and speculative forces [1]. - Historical data suggests that the core determinants of the 30-year to 10-year yield spread are not solely based on interest rates but also on the economic cycle and policy orientation [1][2]. Future Expectations - The low interest rate environment does not necessarily lead to a downward shift in the yield spread's central tendency or a continuous narrowing of its fluctuation range [2]. - The central tendency of the 30-year to 10-year yield spread may rise to 40 basis points (bp), with an expanded fluctuation range of 30-50 bp, influenced by changes in policy environment, economic expectations, and institutional behavior [2]. Long-term and Short-term Factors - Long-term factors affecting yield spread volatility include the pressure from the stock-bond relationship, price fluctuations in cyclical goods, and potential underperformance of monetary policy [3]. - In the short term, there are signs of recovery in the 10-year government bonds and T contracts, suggesting gradual participation, while the 30-year bonds require further observation [3]. Investment Strategy - If the 30-year to 10-year yield spread continues to widen, there may be entry opportunities, but investors should be aware of the current wide fluctuations, which could exceed 20 bp [3].