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 ...

证券研究报告|宏观研究报告 [Table_Date] 2026 年 03 月 01 日 [Table_Title] 中东突变，大类资产如何演绎 [Table_Summary] 2026年 2月 28日，美国和以色列联合对伊朗发起"先发 制人"的军事打击，随后伊朗宣布将对以色列发动"毁灭性 打击"，同时也对美国在中东部署的军事基地予以还击，28 日 阿联酋、巴林、科威特、沙特等海湾多国均发生爆炸，中东 区域地缘冲突全面加剧并扩散。 ►以史为鉴，"涨在预期，卖在现实" 面对突如其来的纷争升级，各类资产将如何演绎，"战争 时长"或是决定行情发酵程度的关键变量。回顾历史，美方 在中东区域主导的战争往往以两种形式收场，其一为闪电 战，如 2025 年 6 月的伊以冲突；一旦闪电战无法取得决定性 突破，战争便会演变成第二类结果，拉锯战，典型案例为 2003 年 3 月的伊拉克战争。 战争冲突对资产价格的影响，基本呈现"涨在预期，卖 在现实"的特征。如果冲突爆发突然，之前的市场预期并不 充分，可能在开战首个交易日，资产价格大幅脉冲，而随后 涨跌势均收窄，甚至逆转。战争开启之后，各类资产价格的 走向，与市场对战争持续时长的预 ...

核心观点 证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2026 年 02 月 28 日 如何看待债市春节后波动加大 ——债市策略思考 跨春节前后，债市交易主线或由宽货币预期交易向政策博弈逐步切换，获利了结与风 险回避两种情绪共振驱动债市调整。展望下一阶段，债市短线或维持震荡，多看少动 或构成多数投资者的主要选择。 ❑ 债市交易主线或逐步切换 回顾春节前债市突破行情，国内外权益市场承压调整构成外部利好，宽货币预期 交易构成内部动因，两者共振驱动 10 年国债收益率突破 1.80%阻力点位。从量能 角度来看，在 2 月 12 日及 13 日 10 年国债下探过程中，活跃券成交规模出现显著 收缩，与国债收益率强势突破 1.80%阻力位置的行情或并不完全匹配。从驱动角 度来看，节前权益市场调整或更偏向于短期交易性因素，债券相对于股票或仍为 弱势资产，相对偏弱的价格趋势并未发生实质性逆转。我们认为本轮突破或可定 义为在节前交易相对平淡时期由小部分资金买入催化产生，或并不能够完全反映 市场共识，行情支撑相对有限。 债市行情反转背后交易主线或也在逐步切换。本轮债市修复行情的核心驱动在于 投 ...

1. Report Industry Investment Rating No information provided in the report about the industry investment rating. 2. Core Viewpoints of the Report - Since the beginning of the year, the buying force of allocation portfolios for bonds has remained strong. Before the Spring Festival, the yield to maturity of 10-year Treasury bonds fell below 1.80% and stayed below this level. There were some subtle changes in this decline [6][11]. - One change is that trading portfolios took over in the second half of the interest rate decline. From February 9th to 13th, when the 10-year Treasury bond yield broke below 1.80%, securities companies bought 14.2 billion yuan and 25.3 billion yuan worth of 5 - 7Y and 7 - 10Y Treasury bonds respectively, with their buying power exceeding that of large banks, indicating that the marginal buying power of banks decreased below 1.80%, and trading portfolios started to buy [6][11]. - Another change is that the buying behavior of trading portfolios may be related to the basis strategy. The short - selling intensity of securities companies for 10-year Treasury bonds is not strong, and the current net bond borrowing volume is not high. From February 9th to 13th, the basis of the 10-year Treasury bond futures main contract rose from 0.0248 yuan to 0.0655 yuan, corresponding to the positive arbitrage strategy of long cash bonds + short futures. Currently, there is still some room for the basis to recover, and the 10-year Treasury bond is likely to continue to fluctuate [6][11]. - The third change is that funds are "avoiding" 10-year Treasury bonds, and there is room for the tax spread to compress. According to the latest spot bond trading data, funds' net purchases of 10Y policy financial bonds and 30-year Treasury bonds were 56.1 billion yuan and 28.4 billion yuan respectively, while only 3.7 billion yuan of 10Y Treasury bonds were bought. Under the structural change of buying power, the spread between China Development Bank bonds and Treasury bonds may compress [6][12]. 3. Summary According to the Table of Contents 3.1 This Week's Bond Market Review - Since the beginning of the year, the buying force of allocation portfolios for bonds has remained strong. Before the Spring Festival, the yield to maturity of 10-year Treasury bonds fell below 1.80% and stayed below this level. There were changes in trading portfolios taking over, basis - related buying, and funds avoiding 10-year Treasury bonds [6][11]. 3.2 Bond Yield Curve Tracking 3.2.1 Key Maturity Interest Rates and Spread Changes - As of February 13th, compared with February 9th, the 1Y Treasury bond yield rose 0.15bp to 1.32%; the 10Y Treasury bond yield fell 1.86bp to 1.79%; the 30Y Treasury bond yield fell 0.40bp to 2.24%. The spread between 30Y and 10Y Treasury bonds rose 1.46bp to 45.12bp, and the spread between 10Y China Development Bank bonds and 10Y Treasury bonds rose 1.21bp to 15.32bp [13]. 3.2.2 Treasury Bond Maturity Spread Changes - As of February 13th, compared with February 9th, the 3Y - 1Y Treasury bond spread fell 0.42bp to 5.93bp, the 5Y - 3Y spread fell 0.66bp to 16.79bp, the 7Y - 5Y spread rose 0.78bp to 11.11bp, the 10Y - 7Y spread fell 1.71bp to 13.77bp, the 20Y - 10Y spread rose 1.11bp to 43.65bp, and the 30Y - 20Y spread rose 0.35bp to 1.47bp [14]. 3.3 Bond Market Leverage and Funding Conditions 3.3.1 Balance of Inter - bank Pledged Repurchase - As of February 13th, 2026, compared with February 9th, the balance of inter - bank pledged repurchase decreased by 1.01 trillion yuan to 11.86 trillion yuan [19]. 3.3.2 Changes in Inter - bank Bond Market Leverage Ratio - As of February 13th, 2026, compared with February 9th, the inter - bank bond market leverage ratio decreased by 0.67 percentage points to 106.99% [20]. 3.3.3 Pledged Repurchase Turnover - From February 9th to 13th, the average daily turnover of pledged repurchase was 7.67 trillion yuan. The average overnight turnover was about 5.99 trillion yuan, and the average overnight turnover ratio was 74.78% [24][27]. 3.3.4 Operation of Inter - bank Funding Conditions - From February 9th to 13th, the net capital outflow of large banks was 4.53 trillion yuan, the net capital inflow of small and medium - sized banks was 0.47 trillion yuan, and the net capital outflow of the banking system was 4.06 trillion yuan. As of February 13th, DR001 was 1.2645%, DR007 was 1.4259%, R001 was 1.2835%, and R007 was 1.5378% [30]. 3.4 Duration of Medium - and Long - Term Bond Funds 3.4.1 Median Duration of Bond Funds - As of February 13th, the estimated median duration of medium - and long - term bond funds (de - leveraged) was 2.76 years, up 0.01 years from February 9th; the median duration (including leverage) was 2.97 years, up 0.06 years from February 9th [41]. 3.4.2 Median Duration of Interest - Rate Bond Funds - As of February 13th, the median duration of interest - rate bond funds (including leverage) was 3.73 years, up 0.04 years from February 9th; the median duration of credit - bond funds (including leverage) was 2.75 years, up 0.04 years from February 9th. The median duration of interest - rate bond funds (de - leveraged) was 3.35 years, with no significant change from February 9th; the median duration of credit - bond funds (de - leveraged) was 2.54 years, up 0.02 years from February 9th [43]. 3.5 Changes in Bond Lending Balance - As of February 13th, compared with February 9th, the borrowing volume of 10Y China Development Bank bonds decreased [46].

[Table_Report 2026 年 02 月 24 日 证券研究报告•固定收益定期报告 债券市场跟踪周报（2.9-2.14） 10 年国债突破阻力位，交易机构呈现分化 核心观点 西南证券研究院 [Table_Author] 分析师：杨杰峰 执业证号：S1250523060001 电话：18190773632 邮箱：yangjf@swsc.com.cn 分析师：叶昱宏 执业证号：S1250525070010 电话：18223492691 邮箱：yeyuh@swsc.com.cn 相关研究 请务必阅读正文后的重要声明部分 S 10年国债突破 1.8%关键点位，机构行为呈现显著分化。2月 9日，10年国债 活跃券（250016）中债估值收益率成功突破 1.800%阻力位并下行至 1.799%； 截至 2月 12日，250016持续突破并温和下行至 1.775%；但在 2月 13日， 10 年国债下行受阻反弹，显露出震荡行情迹象。在本轮长债行情的背后，不 同类型的机构扮演了截然不同的角色。券商是本轮收益率下行的核心推动力 量。2月 9日至 12日期间，券商对 7-10年国债的净买入规模高达 241.92亿 元， ...

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - The net borrowing volume of 30 - year treasury bonds has reached a record high recently. As of February 5, 2026, the borrowing concentration of 2500006 reached 38.85%, indicating a crowded short - position situation [6][12]. - Brokers' net selling of 30 - year treasury bonds has exceeded the net borrowing volume, but the yield to maturity of 30 - year treasury bonds has not risen significantly. The "bullets" of short - sellers may be running out [6][13]. - The buying power of large and small banks for 30 - year treasury bonds is strong, absorbing most of the brokers' net selling [6][13]. - Looking forward, the downward space of 10 - year treasury bonds may be limited due to the large - scale holdings of 10 - year treasury bonds by joint - stock banks at a cost below 1.8% since the fourth quarter of last year. If there are positive factors in the bond market, the downward range of 30 - year treasury bonds may be larger, and the short - sellers' closing positions will narrow the 30Y - 10Y term spread. However, it is also possible that short - sellers will increase their short - selling efforts [6][14]. 3. Summary by Directory 3.1 This Week's Bond Market Review - As of February 5, 2026, the borrowing concentration of 2500006 reached 38.85%, higher than the previous peaks in April and September 2025, indicating a crowded short - position [12]. - From December last year to February 5, 2026, the net borrowing volume of the top 3 active bonds increased by 46.4 billion yuan, and the overall net selling was 125.9 billion yuan. This year, the net borrowing volume and net selling were 35.5 billion yuan and 60.5 billion yuan respectively, showing that brokers are "using inventory" to sell [13]. - The net borrowing increment of 25T6 + 25T2 this year was 36 billion yuan, and the cumulative net selling of spot bonds was 37.4 billion yuan, suggesting that short - sellers' "bullets" may be scarce [13]. - The buying power of large and small banks for 30 - year treasury bonds is dominant, absorbing the brokers' net selling [13]. - In the future, the downward space of 10 - year treasury bonds may be limited, and if there are positive factors, the 30 - year treasury bonds may decline more, narrowing the 30Y - 10Y term spread. There is also a possibility that short - sellers will increase short - selling [14]. 3.2 Bond Yield Curve Tracking 3.2.1 Key Maturity Interest Rates and Spread Changes - As of February 6, compared with February 2, the 1 - year treasury bond yield rose 1.31bp to 1.32%; the 10 - year treasury bond yield fell 0.98bp to 1.81%; the 30 - year treasury bond yield fell 3.00bp to 2.25% [20]. - The spread between 30 - year and 10 - year treasury bonds fell 2.02bp to 44.08bp, and the spread between 10 - year CDB bonds and 10 - year treasury bonds fell 0.82bp to 15.43bp [23]. 3.2.2 Treasury Bond Term Spread Changes - As of February 6, compared with February 2, the 3Y - 1Y treasury bond spread fell 3.18bp to 6.02bp; the 5Y - 3Y spread fell 0.29bp to 17.43bp; the 7Y - 5Y spread rose 0.23bp to 11.13bp; the 10Y - 7Y spread rose 0.95bp to 14.37bp; the 20Y - 10Y spread fell 1.12bp to 42.91bp; the 30Y - 20Y spread fell 0.90bp to 1.17bp [26]. 3.3 Bond Market Leverage and Funding Situation 3.3.1 Balance of Inter - bank Pledged Repurchase - As of February 6, 2026, compared with February 2, the balance of inter - bank pledged repurchase rose 0.33 trillion yuan to 13.00 trillion yuan [30]. 3.3.2 Changes in Inter - bank Bond Market Leverage Ratio - As of February 6, 2026, compared with February 2, the inter - bank bond market leverage ratio rose 0.16pct to 107.71% [31]. 3.3.3 Pledged Repurchase Turnover - From February 2 to February 6, the average pledged repurchase turnover was 8.75 trillion yuan. The average overnight turnover was about 7.95 trillion yuan, and the average overnight turnover ratio was 90.82% [35][36]. 3.3.4 Inter - bank Funding Operation - From February 2 to February 6, bank fund lending increased. As of February 6, large - scale banks' net fund lending was 5.86 trillion yuan, small and medium - sized banks' net fund borrowing was 0.49 trillion yuan, and the net lending of the banking system was 5.36 trillion yuan. - As of February 6, DR001 was 1.2750%, DR007 was 1.4613%, R001 was 1.3605%, and R007 was 1.5288% [38]. 3.4 Duration of Medium - and Long - Term Bond Funds 3.4.1 Median Duration of Bond Funds - As of February 6, the median duration of medium - and long - term bond funds (de - leveraged) was 2.74 years, up 0.05 years from February 2; the median duration (including leverage) was 2.91 years, up 0.06 years from February 2 [49]. 3.4.2 Median Duration of Interest - Rate Bond Funds - As of February 6, the median duration of interest - rate bond funds (including leverage) was 3.67 years, up 0.05 years from February 2; the median duration of credit - bond funds (including leverage) was 2.69 years, up 0.09 years from February 2. The median duration of interest - rate bond funds (de - leveraged) was 3.34 years, up 0.02 years from February 2; the median duration of credit - bond funds (de - leveraged) was 2.52 years, up 0.03 years from February 2 [53]. 3.5 Changes in Bond Lending Balance - As of February 5, compared with February 2, the borrowing volume of 10 - year CDB bonds increased [56].

Core Insights - The bond market has shown a narrow fluctuation trend, indicating a relatively weak bullish sentiment among investors, suggesting a cautious approach to investment in the near term [1][2] - The correlation between the domestic equity market and commodity prices, particularly silver, has intensified, with silver price movements acting as a barometer for equity market trends [10][12] - The upcoming Chinese New Year holiday may reduce investors' willingness to hold positions, leading to a more defensive investment strategy [16] Group 1: Bond Market Analysis - The 10-year government bond yield has remained stable within a narrow range of 1.80% to 1.90%, reflecting a lack of strong trading direction and investor sentiment [2][21] - Recent monetary policy actions, such as the central bank's net purchase of 100 billion yuan in government bonds in January, have increased liquidity but have not significantly boosted bond market performance [23][27] - The bond market is expected to remain cautious, with potential for further movement contingent on substantial positive developments in monetary policy or market conditions [27] Group 2: Equity and Commodity Market Dynamics - The domestic equity market has shown a strong correlation with silver prices, with significant price drops in silver leading to declines in the equity market [10][12] - The silver market has experienced substantial gains, with a peak price of $115.87 per ounce on January 29, representing a 105.45% increase since late November 2025, indicating a buildup of bullish sentiment [12][16] - The volatility in silver prices during the holiday period may amplify uncertainties for investors, impacting their trading decisions [16] Group 3: Market Sentiment and Investor Behavior - Investor sentiment appears to be cautious, with a tendency to avoid aggressive positions ahead of the holiday, suggesting a preference for flexibility and defensive strategies [16] - The interplay between equity and commodity markets reflects broader market sentiment, with fluctuations in silver prices directly influencing equity market movements [10][12] - The overall market environment remains uncertain, with investors likely to adopt a "watch and wait" approach until clearer signals emerge [27]

Group 1: Report Industry Investment Rating - No information about the report industry investment rating is provided in the content [N/A] Group 2: Core Viewpoints - On February 5, 2026, the 30y Treasury bond model's single - day output probability was 10.57%, MA5 was 39.29%, and the model's view changed from oscillating to bullish, the first MA5 bullish signal since the model output an adjustment signal on October 30, 2025. The high yield of the new 30y Treasury bond might affect the model [4][7] - The 3 - year AAA medium - short note model remained bullish, with the bullish signal lasting for 43 trading days since December 8, 2025 [4][7] - On February 4, 2026, the 10 - year Treasury bond model's MA5 changed from oscillating to bullish, ending the oscillating adjustment period since December 2025. A factor of large banks' buying and selling of 7 - 10 - year Treasury bonds was added [4][7] - The 2 - year Treasury bond model fluctuated greatly recently. On February 4, 2026, it showed a single - day output probability turning bullish, and MA5 entered the oscillating range [4][7] - The gold model has been giving bullish signals since October 29, 2025. It entered the oscillating adjustment range on January 28, 2026, and is currently on the edge of the oscillating adjustment range [4][8] - The crude oil model has been generally bullish recently. The retracement on February 2, 2026, led to a marginal decline in the model's output probability, but it remains in the bullish range [4][8] Group 3: Summary by Related Catalog 1 Model Recent New Results Display - 30y Treasury bond model: On February 5, 2026, single - day output probability 10.57%, MA5 39.29%, changed from oscillating to bullish [7] - 3 - year AAA medium - short note model: Remained bullish, bullish signal for 43 trading days since December 8, 2025 [7] - 10 - year Treasury bond model: MA5 changed from oscillating to bullish on February 4, 2026, ending the oscillating adjustment since December 2025 [7] - 2 - year Treasury bond model: Fluctuated greatly, single - day output probability turned bullish on February 4, 2026, MA5 entered the oscillating range [7] - Gold model: Bullish since October 29, 2025, entered oscillating adjustment on January 28, 2026, currently on the edge of oscillating adjustment [8] - Crude oil model: Generally bullish, retracement on February 2, 2026, led to a marginal decline in output probability, still in bullish range [8]

Group 1 - The report highlights a "non-typical" tight balance in the supply and demand for ultra-long bonds, indicating that banks are not lacking in liabilities but are missing interest rate risk indicators [5][11][14] - It is noted that the issuance of ultra-long local government bonds is expected to increase significantly in February, potentially exceeding 9,900 billion, which is higher than the issuance in January and March [21][25] - The report suggests that the market should be cautious about the potential disturbances in the bond market due to increased supply of local government bonds after the Spring Festival [29][28] Group 2 - The analysis indicates that the widening of the 30-10Y yield spread is attributed to the persistent tight balance in the supply and demand for ultra-long bonds, which has not fundamentally eased [10][8] - The report emphasizes the importance of timing in the bond market, particularly regarding when to avoid exposure to ultra-long bonds due to expected fluctuations in supply and demand dynamics [19][28] - It is recommended that investors maintain a cautious approach, focusing on medium to short-term bonds with high coupon rates and low volatility, especially as the market approaches the end of February [29][28]

Core Viewpoints - The current bond market is expected to remain volatile, with a possibility of the 10-year government bond yield breaking below 1.80%, but the downward space may be limited without substantial positive factors like reserve requirement ratio cuts or increased trading volume of government bonds [3][11][15] - The equity market maintains an optimistic outlook, with calendar effects likely benefiting small-cap stocks and sustaining strong performance [3][8][15] Bond Market Analysis - The bond market has shown a slight strengthening trend recently, driven by renewed expectations of loose monetary policy, but the performance has been asymmetric, with mid to long-term bonds performing better while ultra-long 20-year and 30-year bond yields have risen [4][12] - A recalibration of perceptions regarding the bond market is necessary, as bonds may now be viewed as weak assets despite some positive catalysts, contrasting with the previous bull market from 2021 to early 2025 [4][12] - The 30-year bond's recognition needs to be reassessed, as its performance has been tied to specific macroeconomic factors, and the current yield spread is at a relatively low level historically [5][13] - The difficulty in capturing market waves has increased, with rapid pricing adjustments occurring within 1-2 trading days, necessitating enhanced trading capabilities [5][12] February Calendar Effects - The bond market in February has historically shown mixed performance, with 4 years of gains and 6 years of losses from 2016 to 2025, influenced by cash demand during the Spring Festival [6][14] - The equity market in February exhibits a style divergence favoring small-cap stocks, driven by a lack of verifiable financial data and a shift in market logic towards future growth narratives [7][14] - The timing of the Spring Festival can significantly impact February's equity market performance, with later festivals correlating with stronger market movements due to the convergence of seasonal and policy factors [7][14]