固收｜经济工作会议后，利率为何上行 20251214 摘要 货币政策维持宽松基调，强调降本降息，但短期内市场反应平淡，配置 力量不足导致跨年行情预计震荡偏弱，明年一月后或有转机。 预计 2026 年一季度降准概率较大以缓解银行负债端压力，降息规模和 时间点尚不明确，OMO 降息或针对对资金不敏感机构，降息模式可能 多样化。 财政政策方面，增量有限，更注重用好已有政策，广义赤字预计与 2025 年持平，缺乏强劲财政刺激信号导致市场反应平淡。 特别国债和地方专项债发行量增加且期限延长，导致长期和超长期债券 供给增加，市场债券托管久期难以下行，收益率存在上行压力。 国内利率上限设置有利于国债市场稳定，扩张期内利率上行速度较慢， 央行可能通过买入国债维护国家杠杆成本。 年底至明年初银行配置力量偏弱，债市博弈超跌反弹，TL 合约波动区间 预计在 110 元至 113.5 元之间，可博弈老老债与新债税率差异。 信用票息策略在 2026 年仍具投资价值，短久期信用下沉策略预计成为 主流，转债市场关注科技成长板块，均衡布局分散风险。 Q&A 如何看待近期债市的波动及其背后的原因？ 近期债市出现了明显的波动，主要表现为先走弱后 ...

固收- 超长债：漫长的重定价 20251208 大部分投资者更看好权益市场表现，对债市更为谨慎。这导致权益资产增配、 久期下调，推动超长期国债收益率上行。 机构行为变化也显著影响了市场。今 年 2-3 月和 7-8 月调整期间，大量资金入场抄底 30 年国债 ETF，但 9-11 月下 跌过程中 ETF 规模下降，显示越跌越买的资金消失，更倾向于止损。此外，从 技术层面看，TL 合约跌破支撑位，多头资金止损导致市场承接力量下降，引发 进一步下跌。 商业银行作为传统配置盘，其承接能力下降有三方面原因：账簿 利率风险监管趋严、临近年末卖出 OCI 账户调节利润、停售长期存款产品缩短 负债久期。寿险公司保费收入增速一般且更多向权益资产倾斜，加之监管引导 增配权益资产，使得对超长期国债需求减少。公募基金等交易盘面临净赎回压 力，也削弱了承接能力。 供给侧方面，由于中央发行特别国债稳增长政策延续 至 2026 年，预计超长期国债供给将继续增加。此外，日本等海外经济体 30 年国债收益率明显上行，对国内市场情绪产生传染效应，共振推动全球主要经 济体超长期利率上行。 当前时点是否适合抄底超长期限国债？应采取怎样的投资策略？ ...

Report Summary 1. Investment Rating There is no specific industry investment rating provided in the report. 2. Core View The bond market is expected to continue its oscillating trend. Considering the weak fundamental situation, a slightly bullish stance is recommended for unilateral trading, with the suggestion to lightly position long on T contracts on dips. In terms of arbitrage, it is advised to stay on the sidelines for the short - term after closing the short position on the 30Y - 7Y term spread (TL - 3T) mid - week. Attention should be paid to potential cash - and - carry arbitrage opportunities in the next - quarter bond futures contracts [5][6]. 3. Summary by Directory First Part: Weekly Core Points Analysis and Strategy Recommendation - **Market Analysis**: This week, the bond futures market showed some divergence. Some market participants pre - speculated on the central bank's treasury bond trading information for this month, leading to relatively stronger performance in the short - to - medium - term. Meanwhile, foreign media reports on real - estate incremental policies suppressed long - term sentiment, with the TL contract declining more in the second half of the week. The actual progress, specific intensity of real - estate policies, and the source of fiscal subsidy funds are unknown, making it difficult to drive a trend - upward in yields. Market expectations for interest - rate cuts are weak, and capital prices continue to constrain the downward movement of yields [5]. - **Strategy Recommendation** - **Unilateral Trading**: Adopt a slightly bullish approach and lightly position long on T contracts on dips [6]. - **Arbitrage**: After closing the short position on the 30Y - 7Y term spread (TL - 3T) mid - week, stay on the sidelines in the short - term. For inter - delivery - month arbitrage, also enter a wait - and - see mode as the liquidity of the current - quarter contracts will gradually decline next week. Pay attention to potential cash - and - carry arbitrage opportunities in the next - quarter bond futures contracts, as their valuations are relatively high, mostly above 1.7% [5]. Second Part: Relevant Data Tracking - **Economic Data** - **EPMI**: In November, China's Strategic Emerging Industries Purchasing Managers' Index (EPMI) was 52.7, down 7.0 percentage points from the previous month. Although the decline was significant, it remained in the expansion range. EPMI and the official manufacturing PMI usually have high synchronicity in trends, but they diverged last month, indicating significant differences in the prosperity of different domestic industries. With the slowdown in the expansion of emerging industries in November, the recovery momentum of this month's PMI may still be weak [10]. - **Capital Market** - **Funding Conditions**: This week, affected by tax payments and a still - high net financing scale of government bonds, the market funding situation tightened first and then eased. As of Friday's close, DR001 and DR007 were 1.3209% and 1.4408% respectively. The overnight and 7 - day non - bank funding spreads were 6.68bp and 5.44bp respectively. The one - year certificate of deposit issuance rate of joint - stock banks slightly rose to around 1.65%. Next week, the net financing scale of government bonds will continue to decline, but approaching the end of the month, the funding situation will face some temporary disturbances. With the central bank's consistent supportive attitude, the upward range of market funding prices is expected to be relatively limited [12][16][17]. - **Term Spread**: Since Wednesday this week, the 30Y - 7Y term spread has widened again. On one hand, after the spread approached 40bp, there was a lack of substantial positive drivers, and the momentum for further compression was insufficient. Some funds pre - speculated on the central bank's treasury bond trading information for November and preferred to go long on medium - term treasury bonds. On the other hand, foreign media reported on Thursday that the policy level was considering providing mortgage subsidies to new home buyers nationwide in the future, which was more bearish for the long - term. If the mortgage subsidy policy is finally implemented, it will help balance the cost of home purchases and the rent - to - sale ratio for residents, and the probability of the central bank cutting interest rates will decrease accordingly, which is negative for the bond market. However, the details of relevant policies are unknown, so the bond market is not expected to over - price in advance [18][19][25]. - **Arbitrage Indicators** - **Inter - delivery - month Arbitrage**: In the past two weeks, the indicators for potential inter - delivery - month arbitrage opportunities during the roll - over period of the T contract triggered two short - term long - trading signals, but the indicator became neutral starting on Thursday, presumably related to the significant increase in long positions in the next - quarter T contract on that day. As next week is the last week before the delivery month, it is recommended to enter a wait - and - see mode for inter - delivery - month arbitrage [5][26][29]. - **Cash - and - carry Arbitrage**: Calculated based on the ChinaBond valuation and futures settlement prices, the implied repo rates (IRR) of the current - quarter contracts of TS, TF, T, and TL are 1.3226%, 1.0132%, 1.4099%, and 1.2732% respectively. The IRR of the next - quarter contracts of TS, TF, T, and TL are 1.6583%, 1.7361%, 1.7706%, and 1.7469% respectively, with relatively high valuations [34]. - **Roll - over Progress**: This week, the roll - over of the main contracts accelerated significantly. As of Friday's close, the roll - over progress of the TS, TF, T, and TL contracts was 69.2%, 63.2%, 63.7%, and 64.8% respectively [35].

Core Viewpoint - The recent phenomenon of simultaneous declines in both the stock and bond markets is primarily attributed to the bond market absorbing some of the redemption pressure and deleveraging demands caused by the stock market's pullback, with speculative funds in TL contracts further amplifying this volatility [1][2]. Group 1: Market Dynamics - The bond market's motivation to go long has not increased due to the stock market's pullback, as the current environment is characterized by low odds and ongoing concerns about potential new fund fee regulations [1]. - The stock market's decline may have triggered a chain reaction among multi-asset funds, leading the bond market to bear some selling pressure and deleveraging demands, evidenced by low divergence indices among brokers and funds [1]. - TL contracts have a high proportion of speculative funds, which tend to engage in short-term trading rather than long-term allocation, making them more susceptible to market sentiment and cyclical trading behaviors [2]. Group 2: Historical Context - Historical patterns indicate that the phenomenon of "simultaneous declines in stocks and bonds" with "greater declines in futures than in cash bonds" has occurred previously, specifically in late October 2023 and mid-March 2024, typically lasting no more than 10 days before a synchronized recovery in both markets [2].

Core Viewpoint - The news highlights an upward movement in government bond futures, indicating a potential shift in market sentiment towards safer assets [1] Group 1: Market Performance - Government bond futures rose in the afternoon, with the TL contract increasing by 0.12% to 119.39 and the T contract rising by 0.10% to 108.59 [1] - The yield on the 10-year government bond active coupon decreased by 1.1 basis points to 1.6970% [1]

Group 1: Report Information - Report Title: "TS Contract: Can It Still Be Used for Cash-and-Carry Arbitrage? - Interest Rate Weekly (Week 3 of May)" [1] - Report Date: May 19, 2025 [2] - Chief Analyst: Yan Ziqi, with a practice certificate number of S0010522030002 [2] - Research Assistant: Hong Ziyan, with a practice certificate number of S0010123060036 [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report. Group 3: Core Views - Since the implementation of reciprocal tariffs on April 3, the bond market's maturity yields have first decreased and then increased. Among treasury bond futures, the TL contract has been strong, while the TS/TF/T main contracts have declined [2]. - The weak performance of the TS contract is due to the previous large premium and the change in the expectation of loose monetary policy. The market's expectation of loose monetary policy changed significantly in Q1, and there are differences in the short - term expectation of loose monetary policy after the double - cut in May. The yield curve has flattened instead of steepening as expected [3]. - As of May 16, the basis of the TS main contract is - 0.07 yuan, and the IRR is 1.79%. The basis has significantly converged, and the IRR is close to the capital interest rate, so the cost - effectiveness of cash - and - carry arbitrage is insufficient [4]. - In the short term, the TS contract may still be in a premium state because of the continuous negative carry. The inversion between R001 and the 2 - year treasury bond maturity yield has decreased from about 60bp at the beginning of the year to 15bp on May 16, and the negative carry phenomenon of some varieties will continue [4]. - Considering that the tight capital situation in Q1 will not repeat, the short - term interest rate has a ceiling and the probability of a sharp decline is low. With the significant convergence of the basis, one can consider participating in the possible rise of the TS contract [4]. Group 4: Analyst and Research Assistant Introduction - Analyst Yan Ziqi is the assistant director of the Research Institute of Hua'an Securities and the chief analyst of fixed income. He has 8 years of experience in sell - side fixed income and equity research, and has won the second place in the 2024 Wind Gold Analyst and the best analyst in the 2023 Choice fixed income industry [12]. - Research Assistant Hong Ziyan is a master of financial engineering from the University of Southern California, covering macro - interest rates, institutional behavior, and treasury bond futures research [12].