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 ...

2026 年 01 月 25 日 债券研究周报 [Table_Title] 30 年国债的"逼空"行情 债券研究周报 最近一年走势 相关报告 《债券研究周报：节后债市或延续震荡*颜子琦， 洪子彦》——2026-01-04 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 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 《债市锐评第 3 期：利率见顶了吗？*颜子琦，洪 子彦》——2026-01-21 《债券研究周报：近期债市的三点核心变化*颜子 琦，洪子彦》——2026-01-19 《债券研究周报：10 年国债低波化*颜子琦，洪子 彦》——2026-01-12 《—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 本周（1 月 19 日至 23 日），债券市场表现较强， 其中 30 年国债 较为亮眼，活跃券 2500006 ...

Summary of Key Points from Conference Call Records Industry or Company Involved - The discussion primarily revolves around the bond market and local government economic policies in China. Core Points and Arguments 1. **Current Bond Market Outlook**: The bond market should not be overly pessimistic, suggesting a neutral duration strategy and focusing on opportunities from increased allocation and interest rate cut expectations. The spread between 30-year and 10-year bonds is approaching 50 basis points, indicating potential for recovery [1][2][3]. 2. **Investment Recommendations**: - Focus on 5-year positive capital bonds, 5-10 year perpetual bonds, and high-rate long-term bonds. - The 30-year old bonds are more cost-effective compared to new bonds, and the 50-year government bonds present better opportunities [1][4]. 3. **Government Support for Local Projects**: Local governments are advancing project construction tailored to regional needs, with the Ministry of Finance emphasizing increased fiscal spending and financial collaboration to support local projects [1][7][8]. 4. **Debt Management and Wage Issues**: The government is addressing wage arrears for private enterprises and migrant workers to ensure smooth consumption during the Spring Festival. Measures include monitoring, data reporting, and credit penalties [2][9]. 5. **Banking Sector's Role**: Banks are actively providing liquidity loans to city investment companies to help repay project debts, indicating progress in debt clearance efforts [2][10]. 6. **Service Sector Development**: The business department is focusing on specific industries such as telecommunications, healthcare, and tourism in selected pilot cities to promote economic growth [2][11]. 7. **Fiscal Policy for 2026**: The fiscal policy will remain proactive, with a projected deficit rate around 10% of GDP, emphasizing job creation and timely repayment of debts to support various projects [2][17]. 8. **Investment in Major Projects**: The government plans to increase central budget investments significantly, targeting major engineering projects with high leverage effects [2][13]. 9. **Monitoring and Auditing**: The audit office will focus on the management of fiscal funds, especially in key sectors like energy and local government debt, to prevent systemic risks [2][14]. Other Important but Possibly Overlooked Content 1. **Economic Growth Indicators**: The construction business activity index rose from 49.0 to 52.8, driven by early project approvals and new financial tools [2][12]. 2. **Measures to Increase Resident Income**: Specific initiatives in Anhui province aim to enhance income through job creation, support for entrepreneurs, and improved social security policies [2][20]. 3. **Support for Private Enterprises**: The government is implementing various financial measures to support private enterprises, including low-interest loans and quick debt issuance channels for small and medium enterprises [2][21].

Core Viewpoint - The article discusses the performance of the 30-year government bond, highlighting its unique position in the market characterized by high elasticity and liquidity, which has led to a "negative premium" situation [1][2]. Group 1: Market Dynamics - Since December 2025, the yield on the 10-year government bond has fluctuated, returning to 1.83%, while the 10-year policy bank bond increased from 1.90% to 1.96%, and the 30-year government bond surged from 2.19% to 2.30% [1]. - The high elasticity and liquidity of the 30-year and 10-year bonds make them preferred for flexible trading strategies, allowing for easier execution of hedging strategies [1][2]. Group 2: Strategic Insights - In a rising interest rate environment, the 30-year government bond faces directional trading challenges, but it is also a key instrument for various hedging strategies, including credit bonds and local government bonds [2]. - The borrowing and selling volume of the 30-year government bond has seen significant growth, with borrowing rates reaching 140-150 basis points [2]. Group 3: Future Outlook - The potential for the 30-year government bond yield spread to recover depends on three scenarios: a sharp rebound, stable interest rate expectations, and central bank interventions [3]. - The upcoming market conditions may favor strategies that involve holding high coupon, low elasticity, and low liquidity bonds, particularly around the Spring Festival [3].

Group 1 - The report highlights the expectation of rising interest rates and how low premiums on elasticity and liquidity, as well as "negative" premiums, can be addressed [1] - The 30-year government bond has shown weakness compared to the 10-year government bond, with the yield rising from 2.19% to 2.30% since early December 2025, while the 10-year government bond yield fluctuated around 1.83% [7][11] - The report suggests that high elasticity and liquidity characteristics of the 30-year bond may lead to greater potential losses during rising interest rate periods, making it less favorable in the current market environment [8][14] Group 2 - The report discusses the factors contributing to the "negative premium" of the 30-year government bond, emphasizing that high liquidity and elasticity can lead to a lower or negative premium, contrary to traditional pricing logic [12][14] - It notes that the supply of long-term bonds is increasing, with expectations of continued high issuance of super long-term bonds, which may not alleviate market concerns [21][24] - Demand for super long-term government bonds remains weak, particularly among large banks, which may limit their purchasing power in the secondary market [26][31] Group 3 - The report outlines three scenarios for the future performance of the 30-year government bond, including potential rapid rebounds or adjustments based on market conditions and central bank actions [39][43] - It indicates that the 30-year bond may experience a quick downward adjustment in yields, with a potential narrowing of the 30-10Y spread to around 40 basis points [45] - The report suggests that strategies involving the 30-year bond may be more suitable for hedging purposes, especially if market conditions remain uncertain leading up to the Spring Festival [46]

Report Industry Investment Rating No information provided in the content about the report industry investment rating. Core Viewpoints - The bond market had a "bad start" in 2026. On January 9th, the yield to maturity of the 10-year Treasury bond rose to around 1.88% compared to the beginning of the year. The report focuses on potential changes in market institutional behaviors and makes three subsequent judgments [6][14]. - The bond market continues to "depend on funds for ups and downs", but large banks have joined the secondary allocation of long-term and ultra-long-term bonds since late December 2025, which is an uncommon change in history. From January 4th to January 9th, funds sold over 300 billion yuan of bonds, pushing interest rates up, while large banks significantly increased their net purchases of 10-year and 30-year Treasury bonds [6][14]. - Looking ahead, the 10-year Treasury bond may become more "low-volatility" as banks hold significantly more Treasury bonds than funds for the 10-year term, making it easier to play a stabilizing role. The difference in volatility (10Y CDB + 30Y Treasury - 2 * 10Y Treasury) has been rising since the second half of 2025 and is expected to continue [6][16]. - The low volatility of the 10-year Treasury bond may keep its trading volume at a relatively low level as trading desks gradually switch to other varieties. The trading volume of the 10-year Treasury bond may continue to be at a relatively low level in the future [9][19]. - The spread between the 30-year Treasury bond and the 10-year CDB bond may further widen. Under the influence of supply and demand, the spread between the 30-year and 10-year Treasury bonds still has a widening trend, while the spread between the 10-year CDB and 10-year Treasury bonds may see the decline of some previous liquidity premiums due to the decrease in the trading volume of the 10-year Treasury bond, driving the implied tax rate to a relatively low level [9][19]. - Overall, the low volatility of the 10-year Treasury bond may enhance its defensive attributes, turning it into an asset with liquidity, duration, and relatively small fluctuations. The bond market is likely to remain in a volatile trend in the future [8][19]. Summary by Relevant Catalog 1. This Week's Bond Market Review - The bond market had a "bad start" in 2026. The 10-year Treasury bond yield to maturity rose to around 1.88% on January 9th compared to the beginning of the year. The report focuses on potential changes in market institutional behaviors and makes three subsequent judgments [6][14]. - The bond market continues to "depend on funds for ups and downs", but large banks have joined the secondary allocation of long-term and ultra-long-term bonds since late December 2025, which is an uncommon change in history. From January 4th to January 9th, funds sold over 300 billion yuan of bonds, pushing interest rates up, while large banks significantly increased their net purchases of 10-year and 30-year Treasury bonds [6][14]. - The change may be traced back to the first-quarter 2025 Monetary Policy Implementation Report. In September 2025, the central bank optimized the evaluation system for primary dealers, adding the "performance in stabilizing the market during bond market fluctuations". It is expected that large banks will further join small and medium-sized banks as trading counterparts to non-bank institutions [15]. - Three judgments on the impact of this change: the 10-year Treasury bond may become more "low-volatility"; its trading volume may remain at a relatively low level; the spread between the 30-year Treasury bond and the 10-year CDB bond may further widen. Overall, the bond market is likely to remain in a volatile trend [6][9][16]. 2. Bond Yield Curve Tracking 2.1 Key Maturity Interest Rates and Spread Changes - As of January 9th, compared to January 4th, the 1-year Treasury bond yield to maturity decreased by 4.35bp to 1.29%; the 10-year Treasury bond yield to maturity increased by 3.55bp to 1.88%; the 30-year Treasury bond yield to maturity increased by 4.95bp to 2.30%. - The spread between the 30-year and 10-year Treasury bonds increased by 1.40bp to 42.42bp, and the spread between the 10-year CDB and 10-year Treasury bonds increased by 0.70bp to 15.05bp [20]. 2.2 Treasury Bond Maturity Spread Changes - As of January 9th, compared to January 4th, the 3Y - 1Y Treasury bond spread increased by 12.89bp to 17.19bp; the 5Y - 3Y Treasury bond spread decreased by 5.50bp to 19.45bp; the 7Y - 5Y Treasury bond spread decreased by 0.27bp to 10.42bp; the 10Y - 7Y Treasury bond spread increased by 0.78bp to 11.89bp; the 20Y - 10Y Treasury bond spread increased by 1.45bp to 41.02bp; the 30Y - 20Y Treasury bond spread decreased by 0.05bp to 1.40bp [24]. 3. Bond Market Leverage and Funding Situation 3.1 Interbank Pledged Repurchase Balance - As of January 9th, 2026, compared to January 4th, the interbank pledged repurchase balance increased by 0.81 trillion yuan to 13.08 trillion yuan [25]. 3.2 Interbank Bond Market Leverage Ratio Changes - As of January 9th, 2026, compared to January 4th, the interbank bond market leverage ratio increased by 0.50pct to 107.88% [29]. 3.3 Pledged Repurchase Transaction Volume - From January 4th to January 9th, the average pledged repurchase transaction volume was 7.51 trillion yuan. The average overnight pledged repurchase transaction volume was about 6.79 trillion yuan, and the average overnight transaction volume accounted for 91.09% [31][34]. 3.4 Interbank Funding Situation - From January 4th to January 9th, bank fund lending continued to rise. As of January 9th, large banks' net fund lending was 5.90 trillion yuan, small and medium-sized banks' net fund borrowing was 0.68 trillion yuan, and the net lending of the banking system was 5.22 trillion yuan. - In terms of funding rates, as of January 9th, DR001 was 1.2727%, DR007 was 1.4727%, R001 was 1.3480%, and R007 was 1.5157% [35]. 4. Medium and Long-Term Bond Fund Durations 4.1 Median Bond Fund Duration - As of January 9th, the median duration of medium and long-term bond funds (deleveraged) was 2.60 years, an increase of 0.02 years compared to January 4th; the median duration (including leverage) was 2.73 years, an increase of 0.01 years compared to January 4th [43]. 4.2 Median Interest Rate Bond Fund Duration - As of January 9th, the median duration of interest rate bond funds (including leverage) was 3.68 years, a decrease of 0.04 years compared to January 4th; the median duration of credit bond funds (including leverage) was 2.48 years, an increase of 0.05 years compared to January 4th. - As of January 9th, the median duration of interest rate bond funds (deleveraged) was 3.31 years, unchanged compared to January 4th; the median duration of credit bond funds (deleveraged) was 2.39 years, an increase of 0.02 years compared to January 4th [46]. 5. Bond Lending Balance Changes - As of January 9th, compared to January 4th, the borrowing volume of the 10-year CDB bond showed fluctuations [50].

Market Overview - On December 10, the stock market experienced a decline while the bond market saw gains, continuing the seesaw effect observed recently[1] - The total trading volume of the Wande All A index was 1.79 trillion yuan, a decrease of 126.1 billion yuan compared to December 9[1] - The Hang Seng Index and Hang Seng Technology Index rose by 0.42% and 0.48%, respectively, with net outflow of southbound funds amounting to 1.018 billion HKD[2] Equity Market Insights - The Wande All A index rebounded after touching a support level around 6230, indicating a strong support[1] - The current market is in the second phase of a recovery trend, with potential resistance at the October high point[1] - Consumer sectors are highlighted as market beneficiaries due to low-value discovery and policy dynamics, with the food and beverage sector showing a return of -8.05% year-to-date[2] Bond Market Dynamics - Recent market concerns have been addressed, with expectations for a "loose monetary policy" remaining intact despite a shift in policy tone[3] - The November CPI and PPI data showed year-on-year changes of 0.7% and -2.2%, respectively, indicating a moderate recovery in inflation[3] - Fund institutions, previously cautious, have resumed buying in the bond market, with notable performance in 30-year and 10-year government bonds[4] Liquidity and Fund Flows - The People's Bank of China shifted from net withdrawal to net injection, with a net injection of 110.5 billion yuan on December 10[4] - Despite low interest rates, net inflows for funds and brokerages have not significantly increased, remaining below the quarterly average[5] - The stability of fund liabilities and the presence of incremental capital will be crucial for a potential year-end rally in the bond market[5] Risk Factors - Potential unexpected adjustments in monetary policy could impact market conditions[6] - Changes in liquidity levels may also lead to unforeseen market fluctuations[6] - Fiscal policy adjustments in response to economic slowdowns could further influence market dynamics[6]

Core Viewpoint - The upcoming week is a critical juncture for the bond market, determining its direction for recovery or further decline [1] Group 1: Market Direction - If the bond market opts for a recovery, it is advisable to extend duration positions promptly [1] - In the event of continued market decline, a strategy of small, frequent purchases may be considered to capitalize on potential market tops [1] Group 2: Comparative Analysis - From a cost-performance perspective, the 30-year government bonds and 10-year policy bank bonds offer better value compared to 10-year government bonds [1] - The yield spread between 30-year government bonds and 10-year government bonds, as well as the spread between 10-year policy bank bonds and government bonds, have reached new highs over the past year [1] Group 3: Yield Curve Strategy - After a two-week adjustment period, the yield spread between 10-year and 1-year government bonds has rebounded from extremely low levels to the 50-60% percentile range [1] - Future strategies may include employing a barbell approach to take advantage of opportunities for curve flattening [1]