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 Viewpoint - The global asset allocation logic is shifting towards profit realization, with a priority on equity assets, while bonds require strict control of long-end risks [2] Group 1: Asset Allocation Strategy - Equity assets are prioritized in the current global asset allocation, supported by the debt-equity ratio advantage and policy support in A-shares, entering a "slow bull" phase [2] - The U.S. stock market benefits from AI efficiency dividends, leading to profit margin expansion, while the Japanese and Korean markets see significant profit upgrades due to their technology supply chain advantages [2] - Commodities are supported by AI-driven resource pricing reconstruction, physical hoarding demand, and geopolitical "safety premiums," maintaining a long bull market [2] Group 2: Macro Scenario and Investment Strategies - The macro scenario focuses on the continuation of the "AI narrative" and restrained interest rate cuts, with different risk preferences corresponding to four quadrants for investment layout [3] - Risk-seeking strategies can focus on a "strong rate cut + strong AI" combination, emphasizing mid-small cap growth, large cap growth, and gold for high elastic returns [3] - Conservative strategies may adopt a "strong rate cut + weak AI" defensive combination, centered on long bonds, gold, and large cap value stocks for stable returns and risk control [3] Group 3: All-Weather Strategy - The risk parity strategy allows for all-weather allocation, capturing the certainty of returns from bonds and gold during rate cut cycles while hedging against valuation volatility risks from the AI narrative [4] - The current domestic all-weather strategy combines short bonds as a base, with appropriate allocations to gold and equity assets, while closely monitoring uncertainties in overseas monetary policy and other risks [4]

Core Insights - The bond market in 2025 faced significant challenges, characterized by high volatility and a complex interplay of factors affecting investment strategies [1][2][3] - The pressure on institutions to generate returns has intensified, leading to increased competition and operational difficulties in navigating the market [2][3] Market Dynamics - The bond market experienced a notable decline in interest rates, with the yield on 10-year government bonds decreasing by nearly 1 percentage point compared to the same period in 2024, resulting in a challenging investment environment [3][5] - The yield on 10-year government bonds fluctuated throughout the year, starting at 1.6% and reaching approximately 1.92% by September, reflecting economic recovery expectations and supply pressures [5][6] Institutional Behavior - Different types of institutions displayed varied investment behaviors by the end of 2025, with large commercial and policy banks showing strong buying activity, while other institutions like joint-stock banks and city commercial banks were net sellers [11][12] - The investment strategies of institutions have diverged, with some focusing on short-term trading for excess returns, while others are more cautious, aiming to reduce costs and losses [9][12] Future Outlook - As 2026 begins, the bond market is anticipated to open with a yield of around 1.85% on 10-year government bonds, with expectations for potential interest rate cuts in the first quarter [13][16] - The market is expected to remain volatile, with institutions adopting a cautious approach and preparing for potential adjustments based on monetary policy developments [15][16]

Summary of Key Points from Conference Call Records Company/Industry Involved - Convertible Bond Market for 2026 Core Insights and Arguments 1. **Market Size and Trends**: The convertible bond market is expected to face a net exit scale of 100 billion to 150 billion, potentially shrinking the market value to below 400 billion, with a significant decrease in high-grade convertible bonds and a compression of remaining maturities [1][2][4] 2. **Demand Dynamics**: There is a trend towards productization and passive investment in the convertible bond market, with significant increases in public ETF holdings providing valuation support but reducing pricing efficiency [1][5] 3. **Valuation Concerns**: Current market valuations are at high levels compared to 2021-2023, necessitating caution in trading strategies and position control [1][7] 4. **Investment Strategy**: In 2026, outperforming the convertible bond index will be challenging, with a focus on select high-quality targets, particularly in technology and anti-involution sectors [1][10] 5. **Market Conditions for 2025**: The bond market in 2025 is characterized by limited opportunities, poor performance of long bonds, and a bullish credit bond market with narrowing credit spreads [1][12] 6. **Key Pricing Influences for 2026**: Important factors include overseas influences, domestic inflation, and the evolution of asset scarcity affecting bond market pricing [1][13][14] 7. **Economic Resilience**: The resilience of the U.S. economy is attributed to strong consumer spending, stable balance sheets, and an expanding credit cycle, with AI investments expected to have limited immediate impact on fundamentals [3][24][28] 8. **Interest Rate Outlook**: The likelihood of interest rate cuts in 2026 is low, with expectations of a slight upward trend in yields, influenced by economic conditions and monetary policy [17][31][32] 9. **Investment Recommendations**: Strategies for 2026 should focus on credit bond yield strategies, with an emphasis on short-duration bonds and potential opportunities in convertible bonds and foreign assets [18][20][23] Other Important but Potentially Overlooked Content 1. **Historical Performance of Convertible Bonds**: Historically, convertible bonds have shown good elasticity and resilience during market rebounds, but their anti-drawdown properties are less effective in minor downturns [8] 2. **Market Sentiment and ETF Impact**: The passive investment trend through ETFs has led to a reduction in market volatility but has also weakened pricing efficiency, indicating a need for active management strategies [5][6] 3. **Sector-Specific Opportunities**: The focus on specific sectors such as technology and industries benefiting from AI and global supply chain restructuring is crucial for identifying investment opportunities [10][33] 4. **Credit Market Dynamics**: The credit market is expected to remain stable with strong demand for high-yield assets, despite potential fluctuations in long-duration bonds [20][21] This summary encapsulates the essential insights and trends discussed in the conference call, providing a comprehensive overview of the convertible bond market and its implications for investors in 2026.

Core Viewpoint - The central viewpoint indicates that the central bank is expected to maintain stability in the bond market as the year-end approaches, likely increasing the scale of government bond purchases and enhancing net liquidity injections into commercial banks, which suggests that a significant downturn in the bond market similar to August and September is unlikely [1] Group 1: Bond Market Outlook - The bond market is anticipated to avoid a one-sided decline, with a favorable environment for medium to short-term interest rate bonds due to a loose monetary market [1] - Long-term interest rate bonds still hold trading value, but the likelihood of a significant decline in long-term and ultra-long-term bond yields is low, with expectations of a range-bound market instead [1] - The yield curve is expected to continue steepening, indicating a potential increase in the difference between short-term and long-term interest rates [1] Group 2: Credit Bonds and Duration Strategy - In terms of credit bonds, the fourth quarter is not seen as a time for institutions to significantly increase their holdings, leading to expectations that credit spreads will not compress significantly [1] - For duration selection, it is suggested that a core allocation could include medium-term government bonds and large bank secondary capital bonds, while leveraging positions could involve trading long-term and ultra-long-term bonds with appropriate stop-loss and take-profit strategies [1]

Summary of Conference Call Records Industry Overview - The conference call discusses the macroeconomic environment in China, focusing on the performance of the stock and bond markets, as well as the implications of macro liquidity and risk preferences on investment strategies [1][2][3]. Key Points and Arguments 1. **Macroeconomic Liquidity Trends** - In October, there was a slight easing of liquidity, but the probability of macro liquidity convergence is increasing, favoring bonds over equities [1][4]. - The current profit cycle has been declining since 2011, with expectations of low-level fluctuations entering Q4 2024 [1][11]. 2. **Private Sector Debt Growth** - The growth rate of private sector debt fell to 3.9% in September 2025, indicating a low-level fluctuation in profitability, with limited further decline expected [1][15][16]. - This trend reflects a continuous decline in profitability since 2011, with the current state being a low-level narrow fluctuation [15][17]. 3. **Investment Strategy Recommendations** - It is advised to construct a portfolio consisting of long-term bonds and value-oriented equity assets, with a focus on dividend indices and the Shanghai Composite Index [1][5]. - The highest proportion in the dividend index is currently from the banking sector [5]. 4. **Impact of International Capital Flows** - International capital flows significantly influence Chinese asset prices and the RMB exchange rate, with appreciation dependent on the performance of the real economy relative to the U.S. [1][18]. - The Chinese government has maintained a stable macro leverage ratio and other policy goals since 2016 [18][19]. 5. **Risk Preference Dynamics** - Risk preference is an endogenous variable that stabilizes when profitability does not decline further. Since August 29, there has been no significant increase in risk preference, indicating limited upward potential [1][8][24]. - The overall risk preference has shown a slight decline, necessitating a focus on value styles rather than growth styles in the current environment [24]. 6. **Policy Implications** - Domestic policies play a crucial role in economic and market dynamics, with the effectiveness of easing policies dependent on their ability to stimulate economic growth [10][20]. - In a deflationary context, there is a conflict between expansionary policies and debt reduction goals, requiring careful management of asset positions [21][22]. 7. **Future Economic Outlook** - The expectation is for macro liquidity to exhibit a converging trend towards the end of the year, with a focus on value styles unless there are signs of improvement in macro liquidity or risk preference [26]. - Continuous monitoring of data changes is essential for timely adjustments to investment strategies [26]. Other Important Insights - The relationship between the profit cycle and demographic structure suggests that significant improvements in the profit cycle are unlikely without substantial demographic changes [17]. - The analysis of private sector debt growth serves as a critical indicator for observing profitability trends, reflecting broader economic expectations [14][15]. - The distinction between "volume-price" relationships in market conditions highlights the importance of understanding market dynamics for investment strategies [22]. This summary encapsulates the key insights from the conference call, providing a comprehensive overview of the current economic landscape and investment strategies in the context of China's market.

Core Viewpoint - The U.S. Treasury's increased issuance of short-term debt may be necessary to sustain the current bull market, as historical patterns indicate that high net issuance of medium to long-term debt correlates with stock market stagnation or decline [1][2][5]. Group 1: Current Market Conditions - The net issuance of medium to long-term debt is approaching 100% of the fiscal deficit, with long-term debt net issuance accounting for 80% [2][5]. - The combination of high net issuance and slowing growth in total debt issuance is creating a challenging environment for the stock market, as the liquidity squeeze from medium to long-term debt issuance is undermining upward momentum [2][5]. Group 2: Historical Context - Historical data shows that when net issuance of medium to long-term debt exceeds 85% of the fiscal deficit and total issuance growth declines, the S&P 500's performance over the next 1-12 months is significantly below average [5][7]. Group 3: Short-Term Debt as a Solution - In 2023, the former U.S. Treasury Secretary Yellen successfully revitalized the market by significantly increasing short-term debt issuance, which helped to draw down over $2 trillion in idle funds from the Federal Reserve's reverse repo (RRP) tool [10]. - Simon White suggests that to prevent a market collapse, the Treasury must reduce the net issuance of long-term debt and restart total issuance growth, implying a substantial increase in short-term debt issuance [11]. Group 4: Repo Market Dynamics - The relationship between short-term debt and the stock market is closely tied to the explosive growth of the repo market, which has become increasingly liquid and resembles a "near-money" asset [12][13]. - The growth in government debt issuance, particularly as repo collateral, has a positive correlation with stock market performance, but this relationship is more pronounced in total issuance rather than net issuance [13][14]. Group 5: Potential Challenges - Restarting short-term debt issuance may not be without consequences, as it could raise interest costs and inflation risks, complicating the Treasury's fiscal management [15]. - The current interest expenditure on U.S. debt has surpassed $1 trillion annually, and further shortening the average debt maturity could exacerbate inflationary pressures [15][17].

Group 1 - The overall trend in government bond futures since early April has been characterized by "long strong, short weak," with short-term bonds experiencing significant declines after mid-April, while long-term bonds have maintained a volatile pattern [1] - The market's expectations for interest rate cuts remain, with short-term yields appearing relatively appropriate after previous increases, indicating that the prior rise has exhausted policy space [1][2] - Concerns about the economic outlook persist, particularly regarding real estate and external demand, making long-term bonds more attractive compared to short-term bonds [1][2] Group 2 - The short-term bond market has shown signs of overvaluation, with the yield spread between short-term government bonds and funding rates at historical lows, leading to concerns about the sustainability of short-term bond prices [2] - The basic economic fundamentals are more favorable for long-term bonds, as April's economic data indicates a general decline, making long-term bonds more sensitive to these fundamentals [2] - Investors should closely monitor changes in external demand and monetary policy, particularly regarding the central bank's potential resumption of secondary market government bond transactions, which could impact bond yields [4] Group 3 - The upcoming economic performance, changes in funding conditions, and developments in US-China trade negotiations will significantly influence the bond market in June [3] - The pressure on external demand is expected to gradually affect domestic demand, which could enhance the driving force for a stronger bond market [4] - As of the end of April, foreign investors' holdings of domestic bonds reached 29,781.5 billion yuan, reflecting an increase and indicating a growing interest in Chinese assets amid global market shifts [4]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - Standing at the end of April and looking forward to May, investors' preference for long - term and ultra - long - term bonds has increased, while their attention to credit products has decreased month - on - month, but there may be a characteristic of "being bullish but not taking action" [1][10]. - According to the bond market survey questionnaire results released at the end of April, six mainstream expectations of investors for the May bond market are summarized: preference for long - term and ultra - long - term bonds has increased significantly; Trump's tariff policy may promote the early implementation of reserve requirement ratio (RRR) and interest rate cut policies, and the positive impact on the bond market can continue; the current expectation of monetary easing is still strong, with most investors expecting an RRR cut in May - June and an interest rate cut more likely in the third quarter; most investors believe that the bond market will strengthen overall in May, and the probability of a bull - flattening curve is high; most investors' judgments on the operating ranges of 10 - year and 30 - year Treasury bond yields are narrow, and the market is expected to be mainly volatile; in terms of operations, most investors are neutral in practice and prefer to keep their positions basically stable, possibly showing "being bullish but not taking action" [1][10]. 3. Summary by Relevant Catalogs 3.1 Survey Background - A bond market questionnaire "What to expect from the May bond market?" was released on April 25, 2025, targeting the main concerns of the May 2025 bond market. As of 24:00 on April 27, a total of 331 valid questionnaires were received, covering various institutional investors such as bank self - operation, securities firm self - operation, public funds/special accounts, and individual investors [8]. 3.2 Expectations for Treasury Bond Yields - **10 - year Treasury Bond Yields**: 48% of investors think the lower limit of the 10 - year Treasury bond rate is below 1.60%, and 45% think it is between 1.60% - 1.70% (inclusive). 76% of investors believe the upper limit of the 10 - year Treasury bond rate may be within 1.80%, and 11% think it may be between 1.80% - 1.85% (inclusive). Most investors expect the bond market in May to trade around the tariff policy, and the 10 - year Treasury bond rate is unlikely to return to the previous high in April [11]. - **30 - year Treasury Bond Yields**: 41% of investors think the lower limit of the 30 - year Treasury bond operating range in May will be less than 1.8%, and 43% think it is between 1.80% - 1.85% (inclusive). 53% of investors believe the upper limit of the 30 - year Treasury bond operating range in May is between 1.90% - 2.00% (inclusive), and 31% think it is within 1.90%. The overall bond market in May may be volatile and slightly stronger [14]. 3.3 Expectations for the Second - Quarter Economic Trend - 62% of investors think the economic trend in the second quarter will be "both year - on - year and month - on - month weakening", a significant increase compared with the April questionnaire results. 22% of investors think it will show the characteristic of "year - on - year recovery but month - on - month weaker than the seasonal level". 10% of investors think it will be "year - on - year recovery and month - on - month in line with the seasonal level", and 5% think it will be "year - on - year recovery and month - on - month exceeding the seasonal level", a significant decrease compared with the April questionnaire results. The deviation between the economic fundamental expectation and the reality needs a certain verification period [19]. 3.4 Expectations for RRR and Interest Rate Cuts - **RRR Cut**: 66% of investors think an RRR cut will occur in May - June, and 17% think it will be in the third quarter. Investors have a high expectation for an RRR cut and expect it to happen earlier [21]. - **Interest Rate Cut**: 49% of investors think an interest rate cut will occur in the third quarter, 31% think it will be in May - June. 12% of investors think there will be no interest rate cut in 2025. Investors' expectation for an interest rate cut has further strengthened, and the proportion of those who think there will be no interest rate cut in 2025 has decreased significantly [21]. 3.5 Impact of Trump's Tariff Policy on the Bond Market - 46% of investors think it may promote the early implementation of RRR and interest rate cut policies, and the positive impact on the bond market can continue. 27% think the subsequent focus will be on the expectation of tariff policy cooling, and the positive impact on the bond market has ended. 15% think it may trigger non - US countries to impose tariffs on China, and the positive impact on the bond market can continue. 12% think it may strengthen the policy - makers' determination to stabilize the capital market, and the positive impact on the bond market has ended. Overall, investors generally think the subsequent impact of Trump's tariff policy on the bond market is still positive [23]. 3.6 Expectations for the May Bond Market行情 - 27% of investors think the interest rate curve will strengthen overall and show a bull - flattening trend in May. 26% think it will strengthen overall and show a bull - steepening trend. 16% think it is difficult to judge the trend of the interest rate curve in May. 10% think the short - end of the interest rate curve will be strong and the long - end will be weak, and 10% think the short - end will be weak and the long - end will be strong. Overall, more investors are optimistic about the May bond market, but there is some divergence between the expectations of a bull - flattening and a bull - steepening curve [25]. 3.7 Bond Market Operation Suggestions - 49% of investors think they should keep their positions basically stable. 23% think they should hold cash and wait, and then add positions after the market回调 to the expected level. 13% think they can start adding positions. 11% think they should take appropriate profits and reduce positions. 4% think they should reduce the duration to control risks. Most investors are neutral in practice, and keeping positions stable is the mainstream view [29]. 3.8 Preferred Bond Varieties in May - 18% and 17% of investors think the opportunities for long - term and ultra - long - term interest - rate bonds are relatively certain. 15%, 10%, and 10% of investors are more optimistic about medium - short - term interest - rate bonds, inter - bank certificates of deposit, and local government bonds respectively. About 9% of investors prefer medium - low - grade urban investment bonds. Investors have a higher preference for interest - rate products such as interest - rate bonds, certificates of deposit, and government bonds, and their preference for credit products has decreased month - on - month. The preferred varieties have shifted from the short - end to the long - end and ultra - long - end [32]. 3.9 Main Logic of Bond Market Pricing in May - 31% of investors think the central bank's monetary policy attitude and the trend of the capital market are still the main pricing logics for the May bond market. 16% and 15% of investors think fiscal stimulus, government bond issuance, and fundamental data such as real estate and PMI are the main pricing logics. 13% of investors think the implementation of the US tariff policy is the main pricing logic. The central bank's monetary policy attitude and the trend of the capital market are still the most concerned factors for investors [34].