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 | 2026年03月01日 超长债周报 30 年国债冲高回落 核心观点 固定收益周报 超长债复盘：春节假期出行人数创新高，节后第一周"沪七条"发布，A 股继续反弹，债市先抑后扬，超长债再度下跌。成交方面，上周超长债 交投活跃度大幅下降，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 2 月 27 日，30 年国债和 10 年国债利差为 44BP，处于 历史偏低水平。从国内经济数据来看，12 月经济下行压力有所缓解。我 们测算的 12 月国内 GDP 同比增速约 4.5%，增速较 11 月回升 0.4%。通 胀方面，1 月 CPI 为 0.2%，PPI 为-1.4%，通缩风险继续缓解。我们认为， 3 月债市先抑后扬。一方面，2024 年四季度以来的经济企稳，主要来自 于中央加杠杆的托底。2025 年四季度无增发国债，短期政府托底经济力 度减弱，2025 年四季度 GDP 增速已经回落到了后疫情时代最低水平，我 国经济依然承压。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"的重要性次序有所 ...

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].

新华财经北京2月24日电（王菁）随着春节假期结束，债券市场正式步入丙午马年的交易时段。尽管节 前在央行流动性呵护下，10年期国债收益率一度下破1.8%的关键点位，但节后市场正面临超2.7万亿元 公开市场到期、税期与跨月重叠等多重因素的考验。 超2.7万亿资金回笼压境，流动性能否平稳"过关"？ 春节后首个交易周，市场即将迎来流动性的"压力测试"。多位市场分析人士指出，本周公开市场到期规 模创下近年新高，叠加税期走款等因素，资金面难免出现波澜。 近日，新华财经综合多家机构观点后发现，虽然节后资金面难免承压，但投资者对债市后市并不悲 观，"逢调整布局"、"继续保持多头思维"成为主流策略。 华西证券研究所首席经济学家刘郁测算，2月24日至28日，央行公开市场操作合计到期27024亿元，为 2019年以来节后首周到期规模的最高点。其中，仅节后前两个交易日的到期规模就分别高达14524亿元 和8500亿元。具体来看，7天逆回购到期8524亿元，14天逆回购到期14000亿元；MLF到期3000亿元； 国库定存到期1500亿元。 除了公开市场到期的"洪峰"，税期与跨月的重叠也是扰动因素之一。受春节假期影响，2月税期申报截 ...

超长债投资展望： 30 年国债：截至 2 月 13 日，30 年国债和 10 年国债利差为 45BP，处于 历史偏低水平。从国内经济数据来看，12 月经济下行压力有所缓解。我 们测算的 12 月国内 GDP 同比增速约 4.5%，增速较 11 月回升 0.4%。通 胀方面，1 月 CPI 为 0.2%，PPI 为-1.4%，通缩风险继续缓解。我们认为， 近期债市回调概率更大。一方面，2024 年四季度以来的经济企稳，主要 来自于中央加杠杆的托底。2025 年四季度无增发国债，短期政府托底经 济力度减弱，2025年四季度 GDP增速已经回落到了后疫情时代最低水平， 我国经济依然承压。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"的重要性次序有 所调降。另一方面，春节前后属于统计局数据真空期，当前利率绝对水 平偏低，A 股春季躁动量价齐升，预计股债跷跷板效应强化。近期 30-10 利差高位企稳，预计短期利差高位震荡为主。 证券研究报告 | 2026年02月23日 超长债周报 30-10 期限利差继续高位震荡 核心观点 固定收益周报 超长债复盘：1 月通胀继续回暖 ...

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].

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Last week, the 1 - month PMI dropped significantly to 49.3, the central bank's treasury bond trading in January increased to 100 billion, precious metals and A - shares fluctuated greatly, the bond market rose sharply again, and the ultra - long bond yield reached a recent low. The trading activity of ultra - long bonds increased significantly, the term spread narrowed, and the variety spread widened [1][4][12]. - For the 30 - year treasury bond, as of February 6, the spread between the 30 - year and 10 - year treasury bonds was 44BP, at a relatively low historical level. For the 20 - year CDB bond, the spread between the 20 - year CDB bond and 20 - year treasury bond was 14BP, at an extremely low historical position. The probability of a near - term bond market correction is high due to factors such as weakened government support and the stock - bond seesaw effect. The 30 - 10 spread is expected to fluctuate at a high level in the short term, and the variety spread of the 20 - year CDB bond is expected to continue to fluctuate narrowly [2][3][13]. 3. Summary by Directory 3.1 Weekly Review 3.1.1 Ultra - long Bond Review - The 1 - month PMI in January dropped to 49.3, the central bank's treasury bond trading increased to 100 billion, precious metals and A - shares fluctuated, the bond market rose, and the ultra - long bond yield reached a recent low. Trading was very active, the term spread narrowed, and the variety spread widened [1][4][12]. 3.1.2 Ultra - long Bond Investment Outlook - **30 - year Treasury Bond**: As of February 6, the spread was 44BP. The economy's downward pressure eased in December, with a GDP growth rate of about 4.5%, up 0.4% from November. CPI was 0.8% and PPI was - 1.9% in December. The bond market is likely to correct due to weakened government support and the stock - bond seesaw effect. The 30 - 10 spread is expected to fluctuate at a high level [2][13]. - **20 - year CDB Bond**: As of February 6, the spread was 14BP. Similar economic data as the 30 - year treasury bond. The bond market is likely to correct, and the variety spread is expected to fluctuate narrowly [3][14]. 3.1.3 Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds was 24.8 trillion. By variety, local government bonds and treasury bonds were the main ones. By remaining term, the 30 - year variety had the highest proportion [15]. 3.2 Primary Market 3.2.1 Weekly Issuance - Last week (February 2 - 6, 2026), the issuance of ultra - long bonds soared to 321.9 billion yuan. By variety, local government bonds accounted for the largest share. By term, 30 - year bonds had the largest issuance [20]. 3.2.2 This Week's Scheduled Issuance - The announced issuance plan for this week is 159.7 billion yuan, mainly ultra - long local government bonds [24]. 3.3 Secondary Market 3.3.1 Trading Volume - Last week, the trading of ultra - long bonds was very active, with a turnover of 1064.4 billion yuan, accounting for 12.2% of all bond turnovers. Compared with the previous week, the turnover and proportion increased [27]. 3.3.2 Yield - The ultra - long bond yield reached a recent low. Yields of different - term treasury bonds, CDB bonds, local bonds, and railway bonds changed. Representative individual bonds also had yield changes [35][36]. 3.3.3 Spread Analysis - **Term Spread**: It narrowed last week, with the 30 - year - 10 - year treasury bond spread at 44BP, down 2BP from the previous week, at the 31st percentile since 2010 [44]. - **Variety Spread**: It widened last week. The 20 - year CDB bond - treasury bond spread was 14BP, and the 20 - year railway bond - treasury bond spread was 21BP, at the 12th and 16th percentiles since 2010 respectively [48]. 3.4 30 - year Treasury Bond Futures - Last week, the main 30 - year treasury bond futures contract TL2603 closed at 112.57 yuan, up 0.58%. The total trading volume was 503,700 lots (76,441 lots), and the open interest was 117,600 lots (- 17,239 lots). The trading volume increased slightly, and the open interest decreased slightly [51].

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]

避险资产不避险，债市风景独好？ 证券研究报告/固收专题报告 2026 年 02 月 04 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 分析师：严伶怡 近期债市市场走势偏修复，但开年以来各类品种表现背离，盘下来基本只有超长债表 现较差。从开年以来 10 年以内债券、二永的表现来看，债市可以说并非熊市，属于 迟到的配置行情。1 月 30 年国债虽然较去年底上行 2BP，最高上行 7BP，但 10 年及 以内国债、中短信用债表现稳定，基本没有下跌；二永表现更为优异，主要源于分红 险和固收+的配置需求，3 年、5 年 AAA-二级资本债，3 年、5 年 AA+银行永续债较 年底分别下行 5.8BP、9.0BP、 9.8BP、9.6BP。 从 30 年国债的角度上，在经历了去年 12 月和今年开年大幅调整后，很多投资人"受 伤"后参与力度减弱，因此没怎么跟随 10 年内修复，导致期限利差被动走阔。 多资产市场超高波动，但跟以往相比，对债券市场的影响比较小。无论是商品市场的 "滞涨"交易，还是权益市场科技方向的"风险偏好"交易，对债市并未造成显著下 跌的影响 ...

2026 年 2 月份债券市场的整体看法是什么？ 2026 年 2 月份债券市场的整体策略是从配置布局转向为交易做准备。1 月份 债券市场在银行和资管类资金积极配置下，利率下行至阶段性高点，10 年期国 债收益率从 1.9%降至接近 1.8%。尽管调整幅度仅为 10 个 BP，但相较于过 去几个月的波动，这一波行情非常有效。 进入 2 月份，市场面临春节假期后的 不确定性，包括股票市场可能回暖、高频数据变化以及房地产数据等因素。建 议投资者在 2 月逐步为上半年的交易做准备，选择利差压缩空间较大的品种和 流动性好的资产，以便随时调整。 从定价维度来看，基本面条件较 1 月略好。 PMI 数据反映出春节前季节性回落，而二手房交易数据可能也会走弱。此外， 一季度信贷开门红效应虽存在，但若无超预期表现，对债市更有利。 资金面方 面，一月份资金条件对债市偏有利，包括银行负债稳定、央行投放积极。二月 份则预计资金条件中性稳健。春节前后 10 个工作日内，通常收益率小幅下行 5 目前是布局 5 年以上长期信用债的较好窗口期，信用利差和期限利差较 高，票息角度具性价比。优选成交活跃度高、主体评级较高的个券，如 7-10 年 ...