信用周报：11月，信用还能拉久期吗？-20251104

Report Information - Report Title: Can Credit Extend Duration in November? - Release Date: November 4, 2025 - Analysts: Liang Weichao, Li Shukai - SAC Registration Numbers: S1340523070001, S1340524040001 - Email: liangweichao@cnpsec.com, lishukai@cnpsec.com Core Views - Last week, both interest rate bonds and credit bonds rose, but there were differences in terms. The short - end of credit bonds had weaker repair than interest rate bonds, while the 3 - 5Y segment performed better. The trading sentiment in the bond market significantly recovered, and the repair market started comprehensively after short - term negative factors were exhausted. The ultra - long - term credit bond market also recovered, with high - liquidity ultra - long perpetual and subordinated (two - tier perpetual) bonds and low - liquidity ultra - long urban investment bonds having a high degree of repair [2][10]. - The market for two - tier perpetual bonds has fully warmed up, with high increases across all terms. The active trading shows strong buying power, and the proportion of transactions below the valuation is high, but the margin is not large, so the market is not "overheated" [3][16]. - Last week, there were few sell - side transactions in ultra - long - term credit bonds. Discounted transactions mainly focused on some financial bonds and urban investment bonds with credit flaws. The trading activity of ultra - long - term credit bonds below the valuation was relatively high [3][23]. - Last week, public funds were obvious in chasing duration, mainly in the 3 - 5Y segment. For ultra - long - term bonds, public funds were only cautiously optimistic. Insurance and other asset management products had a larger and more stable scale of buying credit bonds over 7 years than public funds [4][28]. - The behavior of public funds chasing duration may be related to the concentrated opening of amortized cost - based bond funds after entering the fourth quarter. However, the allocation demand formed by the concentrated opening of these funds may not be able to continuously drive the market, and there are some unfavorable factors to consider [5][29]. - In November, the credit window period is narrow. For institutions with stable liability ends, it is still recommended to select 3 - 5Y weak - quality urban investment bonds with yields mainly between 2.2% - 2.4%. For trading desks, it is not recommended to chase ultra - long - term credit bonds in band operations, but they can appropriately participate in more liquid ultra - long two - tier perpetual bonds [5][34]. Summary by Relevant Content Bond Market Performance - From October 27 to October 31, 2025, the 1Y, 2Y, 3Y, 4Y, 5Y treasury bond yields decreased by 8.9BP, 9.0BP, 11.5BP, 9.1BP, 5.1BP respectively, while the yields of the same - term AAA medium - term notes decreased by 1.7BP, 7.2BP, 4.8BP, 10.0BP, 12.6BP respectively, and the yields of AA+ medium - term notes decreased by 3.7BP, 7.2BP, 6.8BP, 9.0BP, 11.6BP respectively [10]. - The yields of AAA/AA+ 10Y medium - term notes decreased by 6.50BP and 5.50BP respectively, the yields of AAA/AA+ 10Y urban investment bonds decreased by 9.14BP and 9.15BP respectively, the yield of AAA - 10Y bank secondary capital bonds decreased by 9.29BP, and the 10Y treasury bond yield decreased by 5.32BP [10]. - The yields of 1 - 5Y, 7Y, 10Y AAA - bank secondary capital bonds decreased by 6.17BP, 8.01BP, 9.14BP, 8.89BP, 7.74BP, 7.29BP, 9.29BP respectively [3][16]. Curve Shape - The steepness of the full - grade 1 - 2Y and 2 - 3Y segments was the highest, and the steepness of the low - grade 3 - 5Y segment was also not low, but both decreased compared with last week. Taking the yield term structure diagrams of AA+ medium - term notes and AA urban investment bonds as examples, the slopes of the 1 - 2Y, 2 - 3Y, and 3 - 5Y segments of AA+ medium - term notes were 0.1003, 0.1189, and 0.0716 respectively; for AA urban investment bonds, they were 0.1314, 0.1297, and 0.1192 respectively [12]. Absolute Yield and Credit Spread - The protection cushion of general credit bonds within 5Y was thin. By the end of October, the cost - effectiveness of credit bonds had significantly decreased. From October 27 to October 31, 2025, the yield - to - maturity of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA+, 3Y - AA+, 5Y - AA+, 1Y - AA, 3Y - AA medium - term notes was at the 8.51%, 24.67%, 22.70%, 5.45%, 20.08%, 22.92%, 4.36%, 15.06% levels since 2024 respectively. The historical quantiles of their credit spreads were 3.09%, 4.19%, 11.47%, 2.20%, 1.54%, 15.45%, 1.10%, and 17.21% respectively [14]. Active Trading - From October 27 to October 31, the proportion of low - valuation transactions of two - tier perpetual bonds was 100.00% every day, and the average trading durations were 4.88 years, 5.48 years, 4.29 years, 5.44 years, and 6.65 years respectively. The trading margin below the valuation was generally low, with only 2 transactions having a margin above 4BP, and the rest were within 3BP [18]. - From October 27 to October 31, the proportions of discounted transactions of ultra - long - term credit bonds were 0.00%, 0.00%, 19.51%, 0.00%, 4.88% respectively. The proportions of transactions below the valuation were 29.27%, 90.24%, 68.29%, 14.63%, 63.41% respectively. About 36.6% of the transactions below the valuation had a margin of 4BP or more, mainly 2 - 5Y AA(2) and AA weak - quality urban investment bonds [23][25]. Institutional Behavior - Last week, public funds had a net purchase of 114 billion yuan of 3 - 5Y credit bonds, an increase of 88 billion yuan compared with the previous week. Other asset management products had a continuous net purchase of credit bonds in the last two weeks of October, with a relatively large net purchase scale in the 3 - 5Y segment, about 40 - 55 billion yuan for two consecutive weeks [4][28]. - Last week, public funds had a net purchase of 14 billion yuan of 7 - 10Y credit bonds, showing an obvious improvement in preference for ultra - long - term credit bonds in the past two months, but the absolute scale of purchase was still not large [4][28]. Factors Affecting the Market - The concentrated opening of amortized cost - based bond funds in November may bring short - term demand for public funds to chase duration. The opening scale in October was about 534 billion yuan, and products with a closed - end period of more than 3 years accounted for 61%. It is expected that the total scale in November will exceed 70 billion yuan, with about 20 billion yuan for 3 - 5Y and about 36 billion yuan for over 5Y [29]. - The performance of science - innovation ETF products in October was average, and November is not a "peak season" for the increase of wealth management scale. There is a lack of large - scale incremental funds. The logic of incremental funds from insurance is similar, with the recent strengthening of the equity market and the problem of yield reduction of insurance products, making it difficult to find signs of premium volume growth [31].