2026 年 01 月 12 日 债券研究周报 研究所： 证券分析师： 颜子琦 S0350525090002 yanzq@ghzq.com.cn 证券分析师： 洪子彦 S0350525100001 hongzy@ghzq.com.cn [Table_Title] 10 年国债低波化 债券研究周报 最近一年走势 相关报告 本篇报告解决了以下核心问题：1、近期债券市场行情复盘；2、近期机 构行为变化；3、后续债市行情展望。 投资要点: 国海证券研究所 请务必阅读正文后免责条款部分 《—债市锐评第 1 期：交易盘借贷做空地方债了 吗？*颜子琦，洪子彦》——2026-01-08 《债券研究周报：节后债市或延续震荡*颜子琦， 洪子彦》——2026-01-04 《固定收益点评：债市大幅调整，原因几何？*颜 子琦，洪子彦》——2025-12-30 《债券研究周报：险资抢配 30 年国债*颜子琦，洪 子彦》——2025-12-28 《债券研究周报：年末债市还有哪些好策略？*颜 子琦，洪子彦》——2025-12-22 债市 2026 年"开门黑"。1 月 9 日，10 年国债到期收益率较年初 上升至 1.88%附近，本文暂不堆 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market has been continuously adjusting at the beginning of the year, with the 10-year and 30-year Treasury bond yields breaking through key levels. Historically, bond market yields usually choose a direction around mid-January. The probability of a unilateral upward movement in yields at the turn of the year is extremely low. Over the past 10 years, yields have shown a V-shaped pattern in 5 years, an inverted V-shaped pattern in 2 years, a unilateral downward movement in 2 years, and a unilateral upward movement in 1 year [2]. - The direction of yields after mid-January depends on the verification of expectations after the end of the information vacuum period. If the verification falls short of expectations, yields usually return to pre-expectation levels. Currently, market concerns focus on factors such as ultra-long bond supply, the spring rally in equities, and less-than-expected monetary easing. However, since the third quarter of last year, the bond market has already priced in these negative factors, and the likelihood of these factors further exceeding expectations seems low [2]. - The effective upper limits for the 10-year and 30-year Treasury bond yields are 1.85% and 2.3% respectively. Short-term deviations do not represent a sustained breakthrough. The bond market requires patience, and investors should wait for opportunities around mid-January [2]. Summary by Directory How to Evaluate the Indicators at the Beginning of the Year? How to View the Market Expectations and Actual Trends Since the Beginning of 2022? - In early 2022, the expectation gap was between the verification of loose monetary policy and strong credit growth. Interest rates first declined due to expectations of monetary easing after a mid-January interest rate cut, but then rebounded as the strong start of the year became more apparent [10]. - In early 2023, the expectation gap was the actual strength of the post-pandemic economic recovery. Despite a tightening of the money supply, bond yields declined as the economic recovery fell short of expectations and the government set a relatively modest economic growth target [11]. - In early 2024, the expectation gap was the disappointment in incremental policies and the strong start of the year. After initial expectations for further growth-stabilizing policies faded, bond yields entered a second phase of decline as property and fiscal policies underperformed and government bond issuance was slow [12]. - In early 2025, the expectation gap was a significant reversal in expectations of monetary easing. Rooted in factors such as the strong start of the year, Sino-US relations, and technological narratives, risk appetite increased, leading to a tightening of funds by the central bank [13]. How Much Impact Do the Quality of the Strong Start and Supply Have? - The final verification of the strong start will come in March or April. In the short term, the market focuses on financial data and the PMI. Over the past 4 years, the net financing increment of government bonds from January to February has been most correlated with yield changes. If the year-on-year increase exceeds 50 billion yuan, the bond market may face pressure. Credit, PMI, and yield changes have a weak correlation, and the relationship between social financing and yields depends on market expectations [18]. Does the Stock-Bond跷跷板 Relationship Hold at the Beginning of the Year? - Since 2022, the short-term performance of stocks and bonds has shown some correlation, but the relationship may weaken after mid-January [19]. How to View Sino-US Disturbances? - Sino-US relations are a key factor. The impact on the bond market depends on the comparison between actual situations and market expectations [23][24]. How Much Impact Does the Money Supply Have? - The money supply is affected by various factors such as the economic situation, Sino-US relations, and the stock market. At the beginning of the year, the money supply is crucial. Before the Spring Festival, interest rates tend to rise seasonally, and whether this leads to a tight money supply depends on the central bank's attitude. A tight money supply can impede yield declines [26]. Is There a Final Decline? What Experience Can We Learn from History? - Regarding social financing and government bond supply, it is expected that the social financing growth rate from January to February will remain flat or increase slightly by 0.1 percentage points, and the net financing of government bonds will increase by more than 70 billion yuan compared to the same period last year. However, the central bank's bond purchases may offset the impact of supply [28]. - Regarding the stock-bond relationship, the stock market's spring rally may disrupt the bond market, but the stock market's ability to continuously rise and the potential decoupling of stock and bond trends after mid-January suggest that the stock market may not pose a long-term negative impact on the bond market [29][30]. - Regarding Sino-US relations, the market has been optimistic about Sino-US relations since the third quarter of last year. The likelihood of further unexpected improvement in Sino-US relations is lower than the possibility of negative changes, which is relatively favorable for the bond market [31][32]. - Regarding the money supply, the money supply has been improving since December. With the early issuance of government bonds and the central bank's view that interest rates have returned to a reasonable level, the central bank is likely to maintain a supportive stance, at least avoiding a repeat of last year's first-quarter situation [34]. A Magical Market Rule - Observing bond yields from November of the previous year to March of the following year, a pattern has emerged. Since 2016, a phased reversal has been the most common, with a V-shaped pattern in 5 years, an inverted V-shaped pattern in 2 years, a unilateral downward movement in 2 years, and a unilateral upward movement in 1 year. The probability of a unilateral upward movement is extremely low [35]. How Has the Market Performed in the First Quarter in Recent Years? - In the first quarter of 2022, yields first declined and then rose. Interest rate cuts and the COVID-19 situation initially pushed yields down, but expectations of strong credit growth and local property policies led to an increase in yields [46]. - In the first quarter of 2023, yields first rose and then fell. A tightening of funds and expectations of post-pandemic economic recovery pushed yields up at the beginning of the year, but unmet expectations, a lower economic growth target, the Silicon Valley Bank collapse, and a reserve requirement ratio cut led to a decline in yields [47][49]. - In the first quarter of 2024, yields declined steadily. Weak fundamentals, a poor stock market performance, a reserve requirement ratio cut, disappointing incremental policies, and a reduction in deposit rates contributed to the decline. Regulatory concerns about interest rate risk in March provided some resistance to the downward trend [52]. - In the first quarter of 2025, yields rose steadily. The central bank's suspension of bond purchases, a rise in the stock market driven by Deepseek, a structural stabilization of the economy, and better-than-expected US tariff policies led to an increase in yields [54].

以下文章来源于睿知睿见 ，作者睿知睿见 睿知睿见 . ↑点击上面图片 加雪球核心交流群 ↑ 风险提示：本文所提到的观点仅代表个人的意见，所涉及标的不作推荐，据此买卖，风险自负。 一个好的投资者，其能量一定的积极的，向上的，乐观的！ 别人看着他，就像看着太阳！ 他还能用朴实易懂的语言，传递正确的投资理念！ 作者： 睿知睿见 来源：雪球 最近几年 ， 大家对经济的体感很不好 ， 但GDP依然保持较高的增速 。 这让很多人都质疑GDP的真实性 。 尽管利润有20万 ， 但你还垫付了50万 款项 ， 现金流量表上是负数 。 所以你不但不会扩大消费 ， 反而会勒紧裤腰带过年 。 GDP跟人们的体感就是这样关系 。 我们确实做出了较快的GDP增速 ， 但现金没有收到 。 现金去哪里了呢 ？ 01 不用质疑 ， GDP是真的 ， 体感不好也是真的 。 问题出在哪里呢 ？ 其中一个重要原因就是 账期 ！ 这就好比你今年卖了100万的货 ， 利润是20万 ， 但只收到客户50万的货款 。 问题来了 ， 临近春节 ， 你会愿意消费吗 ？ 钱在哪里 ？ 钱卡在了三个地方 。 第一 ， 出口企业赚到钱后 ， 有7万亿美元留在海外没有 ...

Report Information - Report Date: December 28, 2025 [1] - Analysts: Yan Ziqi, Hong Ziyan [2] - Report Title: Bond Research Weekly: Insurance Funds Rush to Allocate 30-Year Treasury Bonds [2] Report Core Issues - Recent bond market performance review [5] - Recent institutional behavior changes [5] - Outlook for the subsequent bond market [5] Investment Highlights - The recent bond market has been volatile, with the 10-year Treasury bond yield hovering around 1.83%. The loose funding situation is notable at the end of the year, with funding rates remaining low and interbank lending volume above 5 trillion yuan [6][11] - In the short term, the 30Y - 10Y term spread may stabilize. Insurance institutions have significantly increased their bond purchases in the secondary market in the past two weeks, becoming the largest buyers of 30-year Treasury bonds and stabilizing their performance [6][11] - This phenomenon may be related to the "Insurance Company Asset - Liability Management Measures (Draft for Comment)", and it is also possible that insurance institutions are optimizing liquidity indicators at the end of the year. Attention should be paid to whether they become net sellers after the New Year [6][11] - In terms of trading structure, large banks mainly bought 10-year and shorter Treasury bonds, joint-stock banks took profits, securities firms mainly bought 5 - 10Y Treasury bonds, and public funds preferred 10Y China Development Bank bonds without significantly chasing 30-year Treasury bonds at the end of the year [6][12] - As of December 26, the median duration of medium - and long - term bond funds (including leverage) was 2.67 years, showing no significant change from December 22 [6][12] Section Summaries 1. This Week's Bond Market Review - The bond market was volatile, with the 10-year Treasury bond yield around 1.83%. The funding situation was loose, with rates low and interbank lending volume above 5 trillion yuan [11] - Insurance institutions increased bond purchases, becoming the largest buyers of 30-year Treasury bonds, which may be due to regulatory requirements and year - end optimization of indicators [11] 2. Bond Yield Curve Tracking 2.1 Key Maturity Interest Rates and Spreads - As of December 26, compared with December 22, the 1Y Treasury yield dropped 6.75bp to 1.29%, the 10Y dropped 0.39bp to 1.84%, and the 30Y dropped 1.79bp to 2.22% [13] - The 30Y - 10Y spread decreased 1.40bp to 38.57bp, and the 10Y CDB - 10Y Treasury spread increased 0.34bp to 14.41bp [13] 2.2 Treasury Bond Term Spreads - As of December 26, compared with December 22, the 3Y - 1Y spread rose 3.51bp to 7.55bp, the 5Y - 3Y rose 1.89bp to 23.21bp, etc. [16] 3. Bond Market Leverage and Funding Situation 3.1 Interbank Pledged Repurchase Balance - As of December 26, the balance rose 0.22 trillion yuan to 12.96 trillion yuan compared with December 22 [19] 3.2 Interbank Bond Market Leverage Ratio - As of December 26, the ratio increased 0.15pct to 107.79% compared with December 22 [22] 3.3 Pledged Repurchase Turnover - From December 22 to 26, the average daily turnover was 8.49 trillion yuan, with overnight turnover averaging about 7.49 trillion yuan and an overnight turnover ratio of 88.28% [25][26] 3.4 Interbank Funding Situation - From December 22 to 26, bank lending increased. As of December 26, large and policy banks' net lending was 4.91 trillion yuan, and joint - stock, city, and rural commercial banks' net lending was 0.58 trillion yuan [28] - As of December 26, DR001 was 1.2556%, DR007 was 1.5237%, R001 was 1.3450%, and R007 was 1.5264% [28] 4. Medium - and Long - Term Bond Fund Durations 4.1 Median Duration of Bond Funds - As of December 26, the median duration of medium - and long - term bond funds was 2.59 years (de - leveraged) and 2.67 years (including leverage), showing no change from December 22 [40] 4.2 Median Duration of Interest - Rate Bond Funds - As of December 26, the median duration of interest - rate bond funds (including leverage) was 3.72 years, down 0.01 year from December 22, and that of credit bond funds was 2.41 years, down 0.01 year [43] 5. Bond Lending Balance Changes - As of December 26, compared with December 22, the borrowing volume of 10Y CDB bonds fluctuated [47]

2025 年 12 月 27 日 2026 年债市展望：10 年国债收益率或重回 2%-3%波动 固定收益研究团队 ——固收专题 陈曦（分析师） 刘伟（分析师） chenxi2@kysec.cn 证书编号：S0790521100002 liuwei1@kysec.cn 证书编号：S0790524070008 2025 年债市以估值修复为主 2025 年债市的三次估值修复。（1）2025 年初，短端债券的估值修复，（2）2025 年 7 月，长端和超长端债券的估值修复，（3）2025 年 11 月，超长端债券的 估值修复。 2026 年的预期差或是通胀超预期回升 我们认为，2026 年第一个预期差，或是通胀超市场预期回升。 当前市场对于通胀的预期为物价水平低位稳定，对应 2026 年下半年 PPI 同比 为 0%左右。背后或是因为，对 2025 年 7-10 月 PPI 定基指数横盘震荡的线性 外推，即反内卷力度温和和需求平稳，且这一情形 2026 年有望延续。 2025 年 12 月的新增变化是，政策或重启供给侧结构性改革。12 月中央经济 工作会议在"当前问题、工作部署、财政政策、货币政策、环保"等多处涉 ...

Core Insights - The third round of bond market adjustments in 2025 may not be over yet, but there is potential for a delayed cross-year market rally if monetary easing expectations increase in January-February 2026 [1][3][27] Group 1: Understanding Recent Adjustments - The current bond market adjustment shows a structural characteristic where ultra-long-term bonds lead the decline, with the 30-year treasury bond reaching a peak yield of 2.28% on December 16, while the 10-year bond primarily experienced a corrective trend [1][11] - The adjustment in ultra-long-term bonds reflects weakened both allocation and trading power, with a significant increase in the supply of bonds over 10 years, reaching 1.86 trillion yuan by December 19, 2025, accounting for 11.66% of total bond issuance [13][19] - The adjustment pattern indicates that the third round may still be ongoing, potentially mirroring the structure of the second round, with the 10-year bond yield fluctuating in an adjustment-recovery-adjustment manner [24][25] Group 2: Comparison of Adjustment Rounds - In 2025, there have been three notable rounds of adjustments, with the first round driven by unexpected tightening of the funding environment, leading to a significant rise in short-term rates [2][19] - The second round was characterized by a simultaneous rise in stock prices and a decline in bond prices, indicating a shift in investor sentiment and a reduction in bullish sentiment towards bonds [22] - The third round, starting from November 3, 2025, has shown a different driving force, primarily influenced by institutional behavior and the resumption of bond trading, rather than the funding and stock-bond dynamics that characterized the previous rounds [2][22] Group 3: Cross-Year Market Trends - Historically, the bond market has exhibited a calendar effect around the New Year, often showing upward trends before the Spring Festival, with notable increases in bond yields observed in 2022, 2024, and 2025 [3][26] - The 2025 cross-year market saw a decline of approximately 50 basis points in the 10-year bond yield from T-60 to T-18 days before the Spring Festival, followed by a period of consolidation [3][26] - If the third round of adjustments continues, the potential for a delayed cross-year rally remains, contingent on favorable monetary policy developments [27]

Group 1 - The bond market showed a slight rebound on December 17, with the 10-year government bond ETF (511260) rising by 0.11% and the 30-year government bond futures rebounding by 0.63%, approaching recovery from Monday's decline [1] - The weak performance of the bond market in Q4 was more pronounced than expected, with the 30-year government bond futures dropping nearly 4% since November, nearing last year's low after "924" [1] - The strong performance of the 30-year government bond before 2025 has led investors to overlook inherent risks, as the introduction of TL contracts and the central bank's bond trading in 2024 have compressed the 30-10 year yield spread to a historical low of 10 basis points [1] Group 2 - The 30-year government bond is approaching post-tax mortgage rates, highlighting its investment value, but current risks suggest that long-term bonds should not be viewed merely as a duration strategy [2] - During the bond market adjustment phase, the 10-year government bond serves as a stabilizing force, reflecting its robust characteristics [2] - The economic "K" structure is unlikely to ease in the short term, which remains favorable for the bond market, but pessimistic sentiment has not fully dissipated, leading to a neutral to bearish monetary policy [2]

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].

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].

Summary of Conference Call on Long-term Bonds Industry Overview - The discussion revolves around the long-term bond market, particularly focusing on the 30-year government bonds in China and their recent performance trends [1][2][3]. Core Insights and Arguments - **Rising Yields**: Since July, the yields on long-term government bonds have risen sharply, influenced by a reversal of deflation expectations and breakthroughs in technology independence, which have elevated risk appetite in the A-share market [1][2]. - **Market Sentiment**: The sentiment in the market has been weak, with a notable increase in anxiety among investors as the 30-year bond yield rose nearly 10 basis points last week [2]. - **Investor Behavior**: There has been a significant shift in investor behavior, with many moving away from buying into the 30-year bond ETF during the recent downturn, indicating a preference for stop-loss strategies rather than bottom-fishing [3]. - **Banking Sector Impact**: Commercial banks are facing reduced capacity to absorb bonds due to stricter regulatory oversight on interest rate risks, year-end profit adjustments, and the cessation of long-term deposit products [3]. - **Insurance Companies**: Life insurance companies are experiencing a slowdown in premium growth and are increasingly favoring equity assets, leading to decreased demand for long-term government bonds [3]. - **Supply Side Dynamics**: The issuance of special government bonds is expected to continue until 2026, which will likely increase the supply of long-term bonds. Additionally, rising yields in overseas markets, such as Japan, are affecting domestic market sentiment [3][4]. Investment Strategy Recommendations - **Current Market Conditions**: It is deemed unwise to attempt to bottom-fish in the long-term bond market at this time, as the repricing process is not yet complete. The yield spread between 30-year and 10-year bonds in China is still lower than that in the US and Japan, indicating a mispricing that needs correction [4][5]. - **Short-term Opportunities**: Potential short-term trading opportunities may arise from new public fund fee regulations or increased bond purchases by the central bank, although these are not expected to reverse the overall market trend [4][5]. - **Risk Appetite**: For risk-tolerant investors, there is an arbitrage opportunity in the 30-10 year yield spread, which has exceeded 40 basis points. However, investors should be prepared for volatility [5]. - **Conservative Strategies**: Conservative investors are advised to adopt a leveraged carry strategy, as the current funding environment is stable and favorable for such approaches [5]. Additional Important Points - **Market Volatility**: The volatility in the A-share market has not weakened the macro trend, and investors with a higher risk appetite are encouraged to explore opportunities in the 10-year bond market, which is currently at the upper end of its trading range [2][5]. - **Long-term Outlook**: The long-term bond market is expected to continue its repricing process, and the best strategy remains leveraging carry strategies in the medium to long term [5].