固 定 收 益 华福证券 2025 年 12 月 31 日 迷雾中酝酿曙光——1 月债券策略 团队成员 投资要点： 12 月债券市场受机构行为等因素影响仍然维持震荡格局。尽管资金面 进一步转松，但长端利率受限于对跨年后潜在利空的担忧，迟迟难以回落。 这些潜在的风险因素包括 Q1 政府债发行、信贷冲量对银行信贷的冲击、 公募新规的落地以及 A 股与商品价格的持续上行。尽管这些因素确实存在 不确定性，但目前来看，市场担忧的极端情形也未必会发生。 固 定 收 益 专 题 由于近年来政府债供给期限的不断拉长，明年超长债的供需矛盾可能 是当前市场担忧最大的潜在利空。尽管中央经济工作会议在财政方面并未 显示进一步大幅扩张的态度，2026 年赤字率可能维持在 4%，政府债供给 规模相较于 2025 可能仅会出现小幅扩张，但由于保费收入增速放缓、部分 大行银行账簿利率风险指标已接近监管阙值，央行购债或仍聚焦中短久期， 市场对 1 月地方债大规模发行后机构的承接能力仍然存在怀疑。 目前合计有 20 个地区公布了 Q1 计划，规模达到 16877 亿元，而它们 2025Q1 的实际发行规模 16672 亿元。如果比较其中 12 ...

Investment Rating - The report does not explicitly provide an investment rating for the industry or specific assets. Core Insights - The report indicates a less urgent need for substantial policy easing in the near term, with June PMI surveys showing resilient economic momentum and Q2 real GDP growth tracking slightly above 5% [5] - The report suggests a gradual descent of the USD/CNY exchange rate, with a forecast of 6.90 for the USD/CNY spot in 12 months, implying limited total returns for long CNY positions against the USD [5] - The rates market is expected to continue short-term consolidation, with interest rates in China drifting lower over the medium term due to resilient economic growth and limited appetite for significant easing [6] Valuations and Policy Stance - The USD/CNY spot fell further in June, while the CNY depreciated modestly against the CFETS basket, indicating a shift in valuations [10] - The countercyclical factor widened in June, suggesting an appreciation bias in the USD/CNY fixing [17] Technicals - The carry-to-volatility ratio for USD/CNH and EUR/CNH remained largely unchanged in June, indicating stable market conditions [20] - Momentum to buy USD or EUR and sell CNH remained largely unchanged, reflecting consistent trading patterns [21] Fundamentals - China's trade balance rose in May, driven by a higher goods trade surplus, indicating strong export performance [32] - Long-term cash bond yields and NDIRS rates remained largely stable in June, suggesting a balanced outlook for bond markets [38] - The consensus forecast for CPI inflation edged down in June, while the forecast for real GDP growth edged up, reflecting a mixed economic outlook [56] Liquidity and Leverage - The PBOC injected liquidity into the interbank market in June primarily through pledged reverse repos, indicating active liquidity management [58] - Repo rates declined in early to mid-June before rising at the quarter-end due to seasonal liquidity demand, reflecting fluctuations in funding conditions [61] Bond Supply and Demand - Net issuance of central government bonds was around RMB 706 billion in June 2025, with the central government utilizing 51% of the annual issuance quota [69] - Local government general bond net issuance was around RMB 94 billion in June 2025, with local governments utilizing 56% of their general bond issuance quota [72]