证券研究报告 | 固定收益点评 gszqdatemark 2025 11 18 年 月 日 固定收益点评 收入暂无虞，支出将加速——10 月财政数据点评 10 月广义财政收入有所回落，广义财政支出大幅下滑。收入端，加总一 般公共预算收入和政府性基金收入，10 月广义财政收入当月同比-0.6%， 前值 3.2%。支出端，10 月广义财政支出同比增速-19.1%，前值 2.3%。 收入端，一般预算收入增速小幅提升，政府性基金收入同比明显回落。2025 年 10 月，一般公共预算收入当月同比 3.2%（前前值 2.6%），税收收入当月 同比 8.6%前前值 8.7%），非税收入当月同比-33%，前前值-11.4%）。10 月，政府性基金收入当月同比-18.4%，前值 5.6%，10 月政府性基金收入 累计同比-2.8%，前值-0.5%，10 月政府性基金收入并未出现明显的冲量 现象，根据预算 2025 年政府性基金收入全年预算同比为 0.7%，而目前距 离预算目标差距不大。 税收方面，10 月四大税种均表现较好，个税增速尤其亮眼，基数效应影 响下，证券交易印花税增速回落。10 月税收同比 8.7%，四大税种中，企 ...

证券研究报告 | 宏观研究 gszqdatemark 2025 11 18 年 月 日 宏观点评 10 月财政数据的 4 点关注 事件：2025 年 1-10 月一般财政收入累计 18.65 万亿，同比 0.8%（1-9 月同比 0.5%）；10 月一般财政收入 2.26 万亿，同比 3.16%（9 月同比 2.58%）。1-10 月 一般财政支出累计 22.58 万亿，同比 2%（1-9 月同比 3.1%）；10 月一般财政支 出 1.78 万亿，同比-9.78%（9 月同比 3.08%）。 核心结论：10 月财政收支分化明显，主要有 4 点关注：一是税收收入延续高增， 可能与物价改善推升名义变量表现等有关；二是国有资产盘活较难延续，非税收 入增速创近 5 年新低；三是一般财政支出增速明显回落、支出进度也偏慢，后续 有两种可能，年底加快支出进度或者结转至明年支出，将直接影响明年财政支出 力度，关注最终预算执行情况；四是土地出让收入再度负增，土地财政仍承压。往 后看，财政的当务之急仍是推动现有政策落地，形成更多实物工作量。维持年度策 略报告（《乘势而上—2026 年宏观经济与资产展望》）的观点：2026 年政 ...

证券研究报告 | 朝闻国盛 gszqdatemark 2025 11 18 年 月 日 朝闻国盛 如何理解央行利率比价 今日概览 重磅研报 【策略】一周市场表现与政策事件回顾（11.14 当周）——20251117 【金融工程】转债估值维持高位震荡——十一月可转债量化月报 —— 20251117 【固定收益】如何理解央行利率比价——20251117 【固定收益】天气因素推升食品价格——基本面高频数据跟踪—— 20251117 研究视点 【化工】AIDC 电源管理终极方案，SST 趋势明显——20251117 【电力设备】钙钛矿：技术突破与产业化加速并行，设备与材料环节迎 来机遇——20251117 【传媒】OpenAI 发布新模型 GPT-5.1，苹果推出 App Store 小程序合作 伙伴计划——20251117 【海外】哔哩哔哩-W（09626.HK）-广告技术迭代，新游火爆出圈—— 20251117 作者 | 分析师 宋嘉吉 | | | | | --- | --- | --- | --- | | 执业证书编号：S0680519010002 | | | | | 邮箱：songjiaji@gszq.com ...

Group 1: A-Share Market Review - The A-share market experienced high volatility, with the Shanghai Composite Index reaching a peak of 4034.08 points before closing at 3990.49 points, reflecting a significant fluctuation during the week [1][9] - The market's risk appetite slightly declined, as indicated by the equity risk premium (ERP) of 2.69%, which changed by 0.11 basis points during the week [1][9] - The performance of micro-cap stocks and the CSI 2000 index was notable, with weekly gains of 4.11% and 0.89% respectively, while the STAR 50 and ChiNext indices showed weaker performance with declines of -3.85% and -3.01% [13][17] Group 2: Global Equity Markets - Global equity markets mostly rose, with the French CAC, Brazilian IBOV, and Vietnamese exchanges leading the gains, recording weekly increases of 2.77%, 2.39%, and 2.27% respectively [2][26] - The U.S. stock market showed mixed results, with the Nasdaq underperforming, as concerns over inflation led to a decline in expectations for a December interest rate cut by the Federal Reserve [2][29] Group 3: Major Asset Classes - Commodity prices saw a comprehensive increase, with Brent crude oil rising by 1.19%, London gold by 1.93%, and LME copper by 1.47% [3][31] - The U.S.-China interest rate spread expanded, with both short and long-term U.S. Treasury yields rising, while the dollar index fell by 0.31% and the RMB appreciated by 0.33% [3][31] Group 4: Policy Events - Domestic economic data released indicated that new credit and social financing in October fell short of expectations, with new loans at 220 billion RMB against an expected 460 billion RMB [4][38] - The U.S. government ended a 43-day shutdown following the signing of a temporary funding bill by President Trump, which will provide funding until January 30, 2026 [4][38] - The Chinese government is expected to face challenges in maintaining economic growth, as investment in real estate, infrastructure, and manufacturing showed a general decline [4][38]

Report Industry Investment Rating No relevant information provided. Core View of the Report Currently, various interest rate parity relationships are generally within a reasonable range, which provides further room for subsequent monetary easing. With the decline of deposit rates, it will further broaden the space for subsequent monetary policy easing to drive down the social financing cost [4][29]. Summary by Relevant Catalogs Comparison between Central Bank Interest Rates and Market Interest Rates - At the beginning of this year, the market interest rate deviated significantly from the policy rate, but it has now returned to the normal level. The DR007 rate has gradually fallen back to near the 7 - day reverse repurchase rate [1][9]. - In a smooth interest rate transmission mechanism, short - term money market interest rates revolve around the policy rate center and affect the overall market interest rate level through the financial system [1][9]. Comparison between Commercial Banks' Asset - side and Liability - side Interest Rates - Deposit rates and lending rates have been declining in tandem, which is expected to open up more policy operation space. Before 2024, the trends of deposit and lending rates diverged, but after 2024, the deposit rate turned downward, and the pressure on the narrowing net interest margin has been relieved to some extent [2][12]. Comparison of Yields of Different Types of Assets - **Long - term**: The comprehensive loan yield after deducting non - performing loans and taxes is highly consistent with the 5 - year Treasury bond yield. In the second quarter of this year, the weighted average loan interest rate was 3.29%, and the calculated weighted average loan yield was 1.52%, close to the 1.54% average yield of 5 - year Treasury bonds in the same period. Similar results can be obtained for mortgage loans [2][14]. - **Short - term**: The yield trends of different assets at the short - end are similar, with small spreads, indicating a stable parity relationship [2][17]. Comparison of Interest Rates of Different Terms The previously abnormal yield curve has now returned to a normal state. The 1 - year and 10 - year Treasury bond spread is currently around 40bps, which is basically at a normal historical level [3][20]. Comparison of Interest Rates of Different Risks - Subsequent reduction of lending rates may require a decline in bond yields. Enterprise lending rates cannot be lower than government bond yields such as Treasury bonds and local bonds [4][22]. - High - interest 30 - year local bonds may restrict the downward movement of lending rates. Considering tax factors, the loan lower - limit determined by government bonds may be higher, which can reduce competitive low - price lending by banks but may also limit the decline in financing costs to some extent [4][25].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report updates the high - frequency data of fixed - income fundamentals from November 10th to November 16th, 2025. The overall high - frequency index of fundamentals is stable, with changes in various sub - indices such as production, demand, prices, inventory, transportation, and financing. For example, the industrial production high - frequency index shows a narrowing increase, the real estate sales high - frequency index has a stable decline, and the infrastructure investment high - frequency index has an expanding increase [1][9]. 3. Summary by Relevant Catalogs 3.1 Total Index - The current Guosheng fundamental high - frequency index is 128.7 points (previous value: 128.6 points), with a week - on - week increase of 6.1 points (previous value: 6.1 points), and the year - on - year increase remains unchanged. The long - short signal of interest - rate bonds is downgraded, with a signal factor of 4.1% (previous value: 4.4%) [1][9]. 3.2 Production - The industrial production high - frequency index is 127.5, with a week - on - week increase of 5.2 points (previous value: 5.3 points), and the year - on - year increase narrows. The electric furnace and PX operating rates increase. The electric furnace operating rate is 60.9% (previous value: 59.6%), and the PX operating rate is 90.5% (previous value: 89.9%) [1][9][15]. 3.3 Real Estate Sales - The high - frequency index of commercial housing sales is 41.5, with a week - on - week decrease of 6.2 points (previous value: 6.2 points), and the year - on - year decline remains unchanged. The transaction land premium rate drops. The 100 - large - city transaction land premium rate is 1.4% (previous value: 3.6%) [1][9][28]. 3.4 Infrastructure Investment - The high - frequency index of infrastructure investment is 122.5, with a week - on - week increase of 9.1 points (previous value: 9.0 points), and the year - on - year increase expands. The operating rate of petroleum asphalt continues to decline, with a current operating rate of 29.0% (previous value: 29.7%) [1][9][42]. 3.5 Export - The high - frequency index of exports is 143.6, with a week - on - week increase of 0.9 points (previous value: 1.0 points), and the year - on - year increase narrows. The container freight rate index rises continuously. The CCFI index is 1094.0 points (previous value: 1058.2 points) [1][9][44]. 3.6 Consumption - The high - frequency index of consumption is 120.7, with a week - on - week increase of 3.5 points (previous value: 3.6 points), and the year - on - year increase narrows. The average daily box office of movies rises, reaching 54410,000 yuan (previous value: 29640,000 yuan) [1][9][54]. 3.7 CPI - The monthly - on - monthly CPI forecast is 0.1% (previous value: 0.1%). The price of white - striped chickens rises slightly, with an average wholesale price of 17.8 yuan/kg (previous value: 17.6 yuan/kg) [1][9][60]. 3.8 PPI - The monthly - on - monthly PPI forecast is 0.0% (previous value: 0.0%). The spot prices of coal and copper rise slightly. The ex - warehouse price of thermal coal in Qinhuangdao Port is 832 yuan/ton (previous value: 798 yuan/ton), and the LME copper spot settlement price is 10841 US dollars/ton (previous value: 10704 US dollars/ton) [1][9][62]. 3.9 Transportation - The high - frequency index of transportation is 132.6, with a week - on - week increase of 10.5 points (previous value: 10.4 points), and the year - on - year increase expands. The highway logistics freight rate index rises slightly, reaching 1051 points (previous value: 1050 points) [2][10][74]. 3.10 Inventory - The high - frequency index of inventory is 163.0, with a week - on - week increase of 7.9 points (previous value: 8.0 points), and the year - on - year increase narrows. The inventory scale of electrolytic aluminum and soda ash increases. The electrolytic aluminum inventory is 122,000 tons (previous value: 116,000 tons), and the soda ash inventory is 1,707,000 tons (previous value: 1,703,000 tons) [2][10][82]. 3.11 Financing - The high - frequency index of financing is 242.2, with a week - on - week increase of 30.5 points (previous value: 30.4 points), and the year - on - year increase expands. The net financing of local bonds turns from negative to positive, with a net financing of 242.8 billion yuan (previous value: - 36 billion yuan) [2][10][93].

Investment Rating - The report maintains an "Increase" rating for the electric equipment industry [4] Core Insights - Continuous technological breakthroughs in perovskite solar cells have led to significant improvements in efficiency and stability, with laboratory results showing a lifespan increase to over three times that of traditional solutions and maintaining a high efficiency of 26.2% [1] - The industrialization process of perovskite technology is accelerating, with several companies achieving GW-level production capacity, marking 2025 as a pivotal year for mass production [2] - Clear policy support is evident, with the Ministry of Industry and Information Technology promoting advanced photovoltaic technologies, indicating a broad and promising industry outlook [3] Summary by Sections Technological Advancements - Perovskite solar cells have achieved notable efficiency improvements, with a record efficiency of over 30% for all-perovskite tandem cells and significant advancements in commercial applications [1] Industrialization Progress - The perovskite photovoltaic industry in China is entering a critical phase, with major companies launching GW-level production lines and achieving stable operational efficiencies [2] Policy Support and Market Potential - Government policies are favoring the development of perovskite technologies, with applications extending into space and emerging sectors like construction and automotive, indicating a robust market potential [3] Investment Recommendations - The report suggests focusing on equipment manufacturers and material suppliers that are poised to benefit from the growth of the perovskite industry, including companies like Jiejiawei, Maiwei, and Jin Jing Technology [3]

Quantitative Models and Construction Methods - **Model Name**: CCBA Pricing Model **Construction Idea**: The model adjusts convertible bond pricing based on redemption probability and market deviation metrics [6][21] **Construction Process**: - Define pricing deviation: $ \text{Pricing Deviation} = \frac{\text{Convertible Bond Price}}{\text{CCBA Model Pricing}} - 1 $ - Adjust for redemption probability to form the CCB_out model - Select convertible bonds with the lowest deviation across three domains: debt-heavy, balanced, and equity-heavy, forming a pool of 45 convertible bonds [6][21] **Evaluation**: The model demonstrates strong stability and consistent returns, even during volatile market conditions [21] - **Model Name**: Convertible Bond & Equity Rotation Strategy **Construction Idea**: Utilize market pricing deviation to dynamically allocate between convertible bonds and a stock-bond portfolio [11][15] **Construction Process**: - Calculate Z-score: $ Z = \frac{\text{Pricing Deviation}}{\text{3-Year Standard Deviation}} $ - Apply truncation at ±1.5 standard deviations and normalize: $ \text{Score} = \frac{Z}{-1.5} $ - Determine convertible bond weight: $ \text{Convertible Bond Weight} = 50\% + 50\% \times \text{Score} $ - Allocate remaining weight to a stock-bond portfolio (50% 7-10Y Treasury + 50% CSI 1000 Total Return Index) [11][15] **Evaluation**: The strategy achieves stable excess returns by overweighting undervalued convertible bonds and underweighting overvalued ones [11][15] Model Backtesting Results - **CCBA Pricing Model**: - Absolute return: 21.3% - Excess return: 10.1% - IR: 1.71 [24] - **Convertible Bond & Equity Rotation Strategy**: - Absolute return: Stable excess returns observed during low valuation periods - Current convertible bond premium: 7.80% [11][15] Quantitative Factors and Construction Methods - **Factor Name**: Convertible Bond Pricing Deviation (CCB_out) **Construction Idea**: Measure deviation between market price and model price, adjusted for redemption probability [21][24] **Construction Process**: - Define deviation: $ \text{Pricing Deviation} = \frac{\text{Convertible Bond Price}}{\text{CCB_out Model Pricing}} - 1 $ - Adjust for redemption probability to refine the factor [21][24] **Evaluation**: The factor effectively identifies undervalued convertible bonds, supporting stable returns [21][24] - **Factor Name**: Stock Momentum **Construction Idea**: Combine convertible bond pricing deviation with stock momentum to enhance strategy elasticity [27][28] **Construction Process**: - Calculate stock momentum scores based on past 1, 3, and 6 months' performance - Combine momentum scores with pricing deviation to form a composite factor [27][28] **Evaluation**: The factor increases strategy elasticity, achieving higher absolute and excess returns [27][28] - **Factor Name**: High Turnover **Construction Idea**: Select convertible bonds with high trading activity within a low-valuation pool [30][31] **Construction Process**: - Define turnover metrics: - Convertible bond turnover rate (5-day and 21-day) - Convertible bond-to-stock turnover ratio (5-day and 21-day) - Combine turnover metrics with pricing deviation to refine selection [30][31] **Evaluation**: The factor enhances strategy responsiveness, achieving consistent excess returns [30][31] Factor Backtesting Results - **Convertible Bond Pricing Deviation (CCB_out)**: - IR: 1.71 - Absolute return: 21.3% [24] - **Stock Momentum**: - IR: 2.31 - Absolute return: 25.0% [28] - **High Turnover**: - IR: 1.96 - Absolute return: 23.6% [31] Strategy Construction and Results - **Strategy Name**: Low Valuation Strategy **Construction Idea**: Select undervalued convertible bonds across three domains (debt-heavy, balanced, equity-heavy) [21][24] **Construction Process**: - Use CCB_out pricing deviation to identify undervalued convertible bonds - Form a pool of 45 convertible bonds with AA- rating or higher and balance above 3 billion [21][24] **Evaluation**: Stable returns with strong excess performance [21][24] - **Strategy Name**: Low Valuation + Strong Momentum Strategy **Construction Idea**: Combine pricing deviation with stock momentum for higher elasticity [27][28] **Construction Process**: - Integrate stock momentum scores (1, 3, 6 months) with pricing deviation - Select convertible bonds with the highest composite scores [27][28] **Evaluation**: Enhanced elasticity and higher returns [27][28] - **Strategy Name**: Low Valuation + High Turnover Strategy **Construction Idea**: Combine pricing deviation with turnover metrics for responsive selection [30][31] **Construction Process**: - Select convertible bonds with high turnover rates within a low-valuation pool - Combine turnover metrics with pricing deviation for refined selection [30][31] **Evaluation**: Consistent excess returns with improved responsiveness [30][31] - **Strategy Name**: Balanced Debt-Heavy Enhanced Strategy **Construction Idea**: Focus on undervalued convertible bonds while enhancing debt-heavy and balanced domains [33][34] **Construction Process**: - Use pricing deviation to select undervalued convertible bonds - Apply turnover and momentum factors for enhancement in debt-heavy and balanced domains [33][34] **Evaluation**: High absolute returns with controlled volatility and drawdowns [33][34] - **Strategy Name**: Credit Bond Substitution Strategy **Construction Idea**: Replace credit bonds with convertible bonds offering higher yields [35][36] **Construction Process**: - Select convertible bonds with $ \text{YTM} + 1\% > \text{3-Year AA Credit Bond YTM} $ - Apply stock momentum and volatility control for portfolio optimization [35][36] **Evaluation**: Stable returns with low volatility and drawdowns [35][36] - **Strategy Name**: Volatility Control Strategy **Construction Idea**: Control portfolio volatility by combining enhanced strategies and credit bonds [37][39] **Construction Process**: - Select convertible bonds with high scores in low valuation + strong momentum - Combine enhanced strategies with credit bonds to control portfolio volatility at 4% [37][39] **Evaluation**: Stable returns with controlled volatility and drawdowns [37][39] Strategy Backtesting Results - **Low Valuation Strategy**: - IR: 1.71 - Absolute return: 21.3% [24] - **Low Valuation + Strong Momentum Strategy**: - IR: 2.31 - Absolute return: 25.0% [28] - **Low Valuation + High Turnover Strategy**: - IR: 1.96 - Absolute return: 23.6% [31] - **Balanced Debt-Heavy Enhanced Strategy**: - Absolute return: 22.4% - Volatility: 12.2% - Drawdown: 13.9% [34] - **Credit Bond Substitution Strategy**: - Absolute return: 7.2% - Volatility: 2.1% - Drawdown: 2.8% [36] - **Volatility Control Strategy**: - Absolute return: 9.7% - Volatility: 4.4% - Drawdown: 4.4% [39]

Investment Rating - The report provides a "Buy" rating for the companies involved in the AIDC power management solutions and SST technology [8]. Core Insights - The data center industry is transitioning to higher power levels, with cabinet power increasing from an average of 8KW to over 30KW, and Nvidia's single cabinet power reaching 120KW. This shift necessitates new power supply architectures due to the limitations of traditional DC power distribution systems [1]. - Solid State Transformers (SST) are positioned as the ultimate solution for AIDC power management due to their high efficiency (up to 98%) and compact design, which can significantly reduce equipment count by approximately 40% [2][3]. - The 800V HVDC system is identified as a starting point for SST penetration, offering active flexibility and compatibility with green energy, which is crucial as new data centers in China are required to have over 80% green energy usage [3]. Summary by Sections AIDC Power Management - The cost of power-related equipment in typical AIDC projects accounts for nearly 50% of total costs, highlighting the importance of efficient power solutions [1]. - SST technology is expected to evolve towards gigawatt-level applications, with Delta's 800V SST system already reaching MW-level capacity [1]. SST Technology - SST replaces traditional transformers with high-frequency power electronics, achieving higher efficiency and smaller size, which is essential for modern data centers [2]. - The modular design of SST integrates multiple functions, reducing the need for various traditional devices [2]. Market Opportunities - Companies such as Sifang Co., China West Electric, Jinpan Technology, and Xinte Electric are highlighted as key players in the SST system and materials market, with significant advancements in efficiency and application [3].

Investment Rating - The industry investment rating is maintained as "Increase" [5] Core Viewpoints - The media sector experienced a decline of 1.44% during the week of November 10-14, influenced by a pullback in the technology sector. The report remains optimistic about the gaming sector and the potential recovery of the film and television sector driven by new policies. There is also a focus on AI applications and IP monetization, particularly in areas like AI companionship, education, and toys [1][2][3][4] Summary by Sections 1. Market Overview - The media sector's performance was down by 1.44% in the week of November 10-14. The top-performing sectors were consumer services (up 4.81%), textiles and apparel (up 4.43%), and pharmaceuticals (up 3.29%). The worst-performing sectors included computers (down 3.72%), electronics (down 4.44%), and communications (down 4.90%) [9][11] 2. Sub-sector Insights - **Gaming**: Key companies to watch include ST Huatuo, Giant Network, Jibite, and others. - **Film and Television**: Focus on Mango Super Media, Huace Film & TV, and Huanrui Century. - **IP**: Companies like Chuangyuan Co., Shanghai Film, and Huali Technology are highlighted. - **AI**: Notable companies include Doushen Education, Shengtian Network, and others. - **Education**: Key players are Xueda Education, Fenbi, and Tianli International Holdings. - **Hong Kong Stocks**: Attention on Alibaba, Tencent, Pop Mart, Kuaishou, and others [2][14] 3. Key Events Review - OpenAI released GPT-5.1, which includes two sub-models aimed at enhancing user interaction and emotional value. This model is expected to improve user experience significantly [16] - Apple announced a partnership with Tencent for the App Store mini-programs, reducing its commission to 15%, which is expected to boost the mini-program ecosystem significantly [3][16] - Baidu launched the Wenxin 5.0 model, supporting multimodal inputs and outputs, showcasing significant advancements in AI capabilities [4][16] 4. Sub-sector Data Tracking - **Gaming**: Popular upcoming games include "Kung Fu Panda: Dragon Knight" and "Tom Cat Adventures 2" [17] - **Box Office**: The total box office for the week was 238 million yuan, with "Demon Slayer: Infinity Castle Chapter" leading at 120.88 million yuan [18][21] - **TV Series**: The top series during this period was "Tang Dynasty Ghost Stories" with a viewership index of 84.9 [22] 5. Company Valuation - The report includes a valuation table for media companies, highlighting their market performance and projected earnings [15]