/ 利率｜继续跌吗？一个神奇的历史规律 分析师 孙彬彬 SAC 证书编号：S0160525020001 sunbb@ctsec.com 分析师 隋修平 SAC 证书编号：S0160525020003 suixp@ctsec.com 联系人 郑艺鹏 zhengyp@ctsec.com 相关报告 1. 《量化 | 30 年国债及 3 年 AAA 中短票 择时模型 》 2026-01-05 2. 《信用 | 科创债成分券能否继续反弹？》 2026-01-05 3. 《转债 | 节后转债有何季节性规律？》 2026-01-04 证券研究报告 固收专题报告 / 2026.01.07 核心观点 ❖ 开年债市连续调整，10 年国债和 30 年国债已经相继破位，从历史出发，债 市利率通常在 1 月中旬前后会选择方向，究竟是继续下跌？还是盘整后回 暖？ 遇事不决，可以先看看概率，一个神奇的规律是，统筹观察岁末年初的债市， 利率单边上行的概率极低，过去 10 年利率呈现 5 年 V 型、2 年倒 V 型、2 年单边下行、1 年单边上行，即使是 2016 年末到 2017 年初利率单边上行， 期间也有一个近 40bp 的下行波段。 ...

证券研究报告 | 2026年1月5日 超长债周报 TL 崩盘式下跌再创新低 核心观点 固定收益周报 超长债复盘：上周财政工作会议提到扩大财政支出盘子，12 月制造业 PMI 回升 0.9 至 50.1，4 月以来首次重返荣枯线，长期限品种收益率上行， 超长债再度暴跌。成交方面，上周超长债交投活跃度变化不大，交投非 常活跃。利差方面，上周超长债期限利差走阔，品种利差缩窄。 超长债投资展望： 30 年国债：截至 12 月 31 日，30 年国债和 10 年国债利差为 40BP，处于 历史较低水平。从国内经济数据来看，11 月经济下行压力继续增加。我 们测算的 11 月国内 GDP 同比增速约 4.1%，增速较 10 月回落 0.1%。通 胀方面，11 月 CPI 为 0.7%，PPI 为-2.2%，通缩风险有所缓解。我们认 为，当前债市震荡概率更大。一方面，去年四季度以来的经济企稳，主 要来自于中央加杠杆的托底。考虑到今年四季度并无增发国债，预计四 季度政府债券融资增速快速回落，四季度国内经济依然承压。同时从中 央经济工作会议和政治局会议来看，2026 年党中央更加重视高质量发 展，经济总量"稳中求进"的重要性次 ...

货币政策宽松预期受限，市场担忧政府债供给放量，山东债单日供给近 千亿，引发市场对筹码结构不稳固的担忧，空头力量未完全消退。 2026 年初债市预计震荡，十年国债利率波动区间 1.75%-1.85%，30 年国债利率约 2.3%。社融增速预计小幅上升 0.1%，政府债净融资预计 超万亿，银行杠杆票息策略空间有限。 通胀方面，小金属和贵金属价格上涨对 PPI 影响有限，因有色金属在 PPI 权重较低。预计 2026 年一季度 PPI 不会连续为正，明年 2 月 CPI 同比 预计达 1.5%，受春节错位和技术问题影响。 股市春节躁动对债市压力可控，单周涨幅超 10%才会对债券收益率产生 明显压力。央行通过流动性宽松和买入操作维稳市场，大型银行和保险 公司积极配置，无需过度担心政府债供给。 当前阶段应注重空间选择而非时间选择，十年国债利率区间 1.75%- 1.85%，30 年国债约 2.3%。银行杠杆票息策略舒适，调控空间有限， 应关注具体投资品种及其位置。 Q&A 2025 年债券市场在年底出现了较大调整，主要原因是什么？ 固收- 1 月债市展望 20251229 摘要 2025 年年底债券市场的调整主要有两个 ...

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]

证券研究报告 | 2025年12月28日 超长债周报 年末资金面宽松，超长债继续反弹 核心观点 固定收益周报 超长债复盘：上周公布的 LPR 利率保持不变，央行四季度例会提到"充 实完善货币政策工具箱，开展国债买卖，关注长期收益率的变化"，A 股大涨，债市继续反弹，超长债小涨。成交方面，上周超长债交投活跃 度小幅下降，交投非常活跃。利差方面，上周超长债期限利差缩窄，品 种利差缩窄。 超长债投资展望： 30 年国债：截至 12 月 26 日，30 年国债和 10 年国债利差为 39BP，处于 历史较低水平。从国内经济数据来看，11 月经济下行压力继续增加。我 们测算的 11 月国内 GDP 同比增速约 4.1%，增速较 10 月回落 0.1%。通 胀方面，11 月 CPI 为 0.7%，PPI 为-2.2%，通缩风险有所缓解。我们认 为，当前债市震荡概率更大。一方面，去年四季度以来的经济企稳，主 要来自于中央加杠杆的托底。考虑到今年四季度并无增发国债，预计四 季度政府债券融资增速快速回落，四季度国内经济依然承压。同时从中 央经济工作会议和政治局会议来看，2026 年党中央更加重视高质量发 展，经济总量"稳中求进 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Last week, after the release of November economic data, the contradiction between strong supply and weak demand in China was prominent, with both production and consumption continuing to decline, but prices showed signs of improvement. The bond market first declined and then rose, showing a small V-shaped trend, slightly warming up throughout the week, and the 30 - 10 Treasury spread narrowed slightly. The trading activity of ultra - long bonds decreased slightly last week, but overall trading was very active. The term spread of ultra - long bonds flattened, and the variety spread showed mixed changes [1][11][4]. - The current bond market is more likely to fluctuate. On one hand, the economic stabilization since the fourth quarter of last year mainly comes from the support of central government leveraging. Considering that there is no additional issuance of Treasury bonds in the fourth quarter of this year, it is expected that the financing growth rate of government bonds will decline rapidly in the fourth quarter, and the domestic economy will still be under pressure. On the other hand, the absolute level of interest rates is low, the market is desensitized to positive factors, and investors' sentiment is generally weak [2][3][12][13]. Summary by Relevant Catalogs Weekly Review - Ultra - long Bond Review - After the release of November economic data, the domestic bond market showed a small V - shaped trend and slightly warmed up, with the 30 - 10 Treasury spread narrowing slightly. The trading activity of ultra - long bonds decreased slightly but was still very active. The term spread flattened, and the variety spread showed mixed changes [1][11][4] Weekly Review - Ultra - long Bond Investment Outlook - **30 - year Treasury bonds**: As of December 19, the spread between 30 - year and 10 - year Treasury bonds was 41BP, at a relatively low historical level. The economic downward pressure in November continued to increase, with the estimated GDP growth rate in October at about 4.1%, a decline of 0.1% from October. The deflation risk has been alleviated. The bond market is likely to fluctuate, and the 30 - 10 spread is expected to fluctuate at a high level recently [2][12] - **20 - year CDB bonds**: As of December 19, the spread between 20 - year CDB bonds and 20 - year Treasury bonds was 17BP, at an extremely low historical position. Similar to the situation of 30 - year Treasury bonds, the bond market is likely to fluctuate, and the variety spread of 20 - year CDB bonds is expected to have narrow - range fluctuations [3][13] Weekly Review - Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 24.3 trillion. As of November 30, the total amount of ultra - long bonds with a remaining term of more than 14 years was 243,416 billion, accounting for 15.1% of the total bond balance. Local government bonds and Treasury bonds are the main varieties. By remaining term, the 30 - year variety accounts for the highest proportion [14] Primary Market - Weekly Issuance - The issuance volume of ultra - long bonds dropped sharply last week (December 15 - 19, 2025), with a total issuance of 207 billion yuan. Compared with the previous week, the total issuance volume decreased significantly. By variety, local government bonds accounted for the largest share. By term, 30 - year bonds had the largest issuance volume [19] Primary Market - This Week's Scheduled Issuance - The announced issuance plan for ultra - long bonds this week is 12 billion yuan, all of which are ultra - long local government bonds [25] Secondary Market - Trading Volume - The trading of ultra - long bonds was very active last week, with a trading volume of 12,302 billion yuan, accounting for 14.1% of the total bond trading volume. The trading activity decreased slightly. The trading volume of ultra - long Treasury bonds increased, while that of ultra - long local bonds decreased [27] Secondary Market - Yield - After the release of November economic data, the bond market showed a small V - shaped trend and slightly warmed up, with the 30 - 10 Treasury spread narrowing slightly. The yields of different - term Treasury bonds, CDB bonds, local bonds, and railway bonds changed to varying degrees [38] Secondary Market - Spread Analysis - **Term spread**: The term spread of ultra - long bonds flattened last week, and the absolute level was low. The 30 - year - 10 - year Treasury spread was 41BP, unchanged from the previous week, at the 22% quantile since 2010 [48] - **Variety spread**: The variety spread of ultra - long bonds showed mixed changes last week, and the absolute level was low. The spreads between 20 - year CDB bonds and Treasury bonds, and between 20 - year railway bonds and Treasury bonds were 17BP and 20BP respectively, with changes of 2BP and - 2BP compared with the previous week, at the 14% and 15% quantiles since 2010 [50] 30 - year Treasury Bond Futures - Last week, the main contract TL2603 of the 30 - year Treasury bond futures closed at 112.66 yuan, with a 0.00% increase. The total trading volume was 658,100 lots (- 26,189 lots), and the open interest was 141,900 lots (- 718 lots). The trading volume decreased slightly, and the open interest decreased slightly [55]

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Views of the Report - Last week, after the release of November economic data, the contradiction between strong supply and weak demand in China was prominent, with both production and consumption continuing to decline, but prices showed signs of improvement. The bond market first declined and then rose, showing a small V-shaped trend, slightly recovering throughout the week, and the 30 - 10 Treasury spread narrowed slightly. The trading activity of ultra - long bonds decreased slightly last week, but overall trading was very active. The term spread of ultra - long bonds remained flat, and the variety spread showed mixed changes [1][4][11][38]. - As of December 19, the spread between 30 - year Treasury bonds and 10 - year Treasury bonds was 41BP, at a historically low level. The spread between 20 - year China Development Bank bonds and 20 - year Treasury bonds was 17BP, at a historically extremely low position. The current bond market is more likely to fluctuate. The 30 - 10 spread冲高 slightly declined this week, and it is expected to fluctuate at a high level in the near future. The variety spread of 20 - year China Development Bank bonds is also expected to fluctuate narrowly [2][3][12][13]. Group 3: Summary by Relevant Catalogs Weekly Review Ultra - long Bond Review - After the release of November economic data last week, the bond market first declined and then rose, slightly recovering throughout the week, with the 30 - 10 Treasury spread narrowing slightly. The trading activity of ultra - long bonds decreased slightly, but overall trading was very active. The term spread of ultra - long bonds remained flat, and the variety spread showed mixed changes [1][4][11]. Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of December 19, the spread was 41BP, at a historically low level. In November, the economic downward pressure continued to increase. The estimated GDP growth rate in October was about 4.1% year - on - year, a 0.1% decline from October. The deflation risk was alleviated. The bond market is more likely to fluctuate. The 30 - 10 spread is expected to fluctuate at a high level in the near future [2][12]. - **20 - year China Development Bank Bonds**: As of December 19, the spread was 17BP, at a historically extremely low position. The economic situation and bond market analysis are similar to those of 30 - year Treasury bonds. The variety spread of 20 - year China Development Bank bonds is expected to fluctuate narrowly [3][13]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 24.3 trillion. As of November 30, the total amount of ultra - long bonds with a remaining maturity of more than 14 years was 24,341.6 billion, accounting for 15.1% of the total bond balance. Local government bonds and Treasury bonds were the main varieties. The 30 - year variety had the highest proportion [14]. Primary Market Weekly Issuance - Last week (December 15 - 19, 2025), the issuance of ultra - long bonds dropped sharply, with a total of 207 million yuan issued. Compared with the previous week, the total issuance decreased significantly. In terms of varieties, local government bonds accounted for the majority. In terms of terms, 15 - year, 20 - year, and 30 - year bonds were issued [19]. This Week's Pending Issuance - The announced issuance plan for ultra - long bonds this week is 120 million yuan, all of which are ultra - long local government bonds [25]. Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was very active, with a trading volume of 123.02 billion yuan, accounting for 14.1% of the total bond trading volume. The trading activity decreased slightly. The trading volume and proportion of different varieties changed differently [27]. Yield - After the release of November economic data last week, the bond market showed a small V - shaped trend. The 30 - 10 Treasury spread narrowed slightly. The yields of Treasury bonds, China Development Bank bonds, local bonds, and railway bonds of different terms changed to different extents [38]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds remained flat, with an absolute low level. The 30 - year - 10 - year Treasury spread was 41BP, unchanged from the previous week, at the 22% quantile since 2010 [48]. - **Variety Spread**: Last week, the variety spread of ultra - long bonds showed mixed changes, with an absolute low level. The spreads between 20 - year China Development Bank bonds and Treasury bonds, and between 20 - year railway bonds and Treasury bonds were 17BP and 20BP respectively, with changes of 2BP and - 2BP from the previous week, at the 14% and 15% quantiles since 2010 [50]. 30 - year Treasury Bond Futures - Last week, the main contract of 30 - year Treasury bond futures, TL2603, closed at 112.66 yuan, with a 0.00% increase. The total trading volume was 658,100 lots (- 26,189 lots), and the open interest was 141,900 lots (- 718 lots). The trading volume decreased slightly compared with the previous week, and the open interest decreased slightly [55].

证券研究报告 | 2025年12月22日 超长债周报 30-10 利差冲高回落 核心观点 固定收益周报 超长债复盘：上周 11 月经济数据出炉，国内供强需弱矛盾突出，生产消 费均继续下行，但物价延续改善迹象，债市先抑后扬，小 V 型走势，全 周略微回暖，30-10 国债利差小幅收窄。成交方面，上周超长债交投活 跃度小幅下降，但总体交投非常活跃。利差方面，上周超长债期限利差 走平，品种利差涨跌互现。 超长债投资展望： 30 年国债：截至 12 月 19 日，30 年国债和 10 年国债利差为 41BP，处于 历史较低水平。从国内经济数据来看，11 月经济下行压力继续增加。我 们测算的 10 月国内 GDP 同比增速约 4.1%，增速较 10 月回落 0.1%。通 胀方面，11 月 CPI 为 0.7%，PPI 为-2.2%，通缩风险有所缓解。我们认 为，当前债市震荡概率更大。一方面，去年四季度以来的经济企稳，主 要来自于中央加杠杆的托底。考虑到今年四季度并无增发国债，预计四 季度政府债券融资增速快速回落，四季度国内经济依然承压。同时从中 央经济工作会议和政治局会议来看，2026 年党中央更加重视高质量发 展，经 ...

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]

研报强调传统的拉长久期获取资本利得策略难度大幅上升，不同类型机构需要调整操作思路——交易性 资金应转向中短久期套息加杠杆策略，配置型资金需要耐心等待保险资金入场带来的买点，而年初以来 的套牢盘则应把握反弹机会逐步减仓。 定价权转移的宏观逻辑 申万宏源指出债券市场的定价权正在经历2022年以来的首次重大逆转。 在2022年之前，30年国债并非主流品种，长债与超长债的定价权牢牢掌握在配置盘手中。 但2022年后，随着新旧动能切换、信用收缩加剧和物价低迷预期深化，拉久期成为市场主流策略。大量 中长债基金发行，叠加交易性机构深度参与，债市定价权逐渐被交易盘主导。 进入2025年，市场环境再次发生根本性变化。 央行降准降息幅度保持克制，反内卷提振物价、存款搬家资产配置再平衡、资产荒压力缓解等新的宏观 叙事正在形成。 申万宏源认为中国债券市场的定价权正在发生深刻转移。 12月15日，申万宏源黄伟平团队发表研报，指出尽管10月以来国内经济数据边际回落、央行重启买债等 利好因素出现，债券利率下行幅度却相当有限，市场呈现利多出尽态势。 申万宏源认为这背后反映的是长债和超长债的定价权正从交易盘向配置盘转移。 央行流动性投放能够保 ...