信用周报：基金追久期的两点边际变化-20251117

1. Report Industry Investment Rating There is no information provided about the report industry investment rating in the given content. 2. Core Viewpoints of the Report - Last week, interest - rate bonds fluctuated weakly, while credit bonds showed differentiated trends. High - grade credit bonds also weakened but with smaller declines. Short - duration medium - and low - grade bonds weakened, but the yields of 3 - 5Y bonds were still falling. The trading sentiment in the bond market cooled down. The central bank resumed trading in treasury bonds, but the scale was lower than expected. The strengthening of the equity market in the second half of the week made the bond market weaker. Ultra - long - term credit bonds also weakened, with only the yields of the least liquid ultra - long urban investment bonds showing a reverse recovery [2][10]. - Public funds have shown a significant trend of chasing longer durations for two consecutive weeks, mainly focusing on 3 - 5Y bonds. Other institutions such as wealth management and insurance have relatively stable demand for credit bonds. The behavior of public funds chasing longer durations may continue in the short term, driven by the concentrated opening of amortized cost method funds and the improving performance of credit ETF products [3][29][32]. - The "volatility amplifier" characteristic of Tier 2 capital bonds of banks (Two - Yong bonds) reappeared, with larger declines than general credit bonds and interest - rate bonds of the same duration. There is a small window period for short - term trading of Two - Yong bonds [4][16]. - In terms of strategies, it is still recommended to select bonds from weakly - qualified urban investment bonds with 3 - 5Y durations. It is not advisable to chase ultra - long - term credit bonds for short - term trading, but there is a small window period for short - term trading of Two - Yong bonds [4]. 3. Summary According to the Directory 3.1 Fund's Two Marginal Changes in Chasing Duration - Bond Market Performance - Interest - rate bonds fluctuated weakly last week, and credit bonds showed differentiation. From November 3 to 7, 2025, the yields of 1Y, 2Y, 3Y, 4Y, and 5Y treasury bonds increased by 2.2BP, 3.2BP, 3.0BP, 2.7BP, and 2.1BP respectively. The yields of AAA medium - term notes of the same duration increased by 1.2BP, 2.3BP, decreased by 0.5BP, increased by 1.6BP, and 0.2BP respectively. AA + medium - term notes' yields increased by 1.2BP, 0.3BP, decreased by 0.5BP, decreased by 2.4BP, and decreased by 2.8BP respectively [10][11]. - Ultra - long - term credit bonds weakened, with only the yields of the least liquid ultra - long urban investment bonds recovering. The yields of 10Y AAA/AA + medium - term notes increased by 1.01BP and 0.01BP respectively, the yields of 10Y AAA/AA + urban investment bonds increased by 0.86BP and decreased by 0.14BP respectively, the yield of 10Y AAA - bank secondary capital bonds increased by 9.29BP, and the yield of 10Y treasury bonds increased by 5.32BP [10]. - The "volatility amplifier" characteristic of Two - Yong bonds reappeared, with larger declines than general credit bonds and interest - rate bonds of the same duration. The yields of 1 - 5Y, 7Y, and 10Y AAA - bank secondary capital bonds increased by 2.94BP, 5.39BP, 4.35BP, 4.23BP, 4.16BP, 1.30BP, and 0.64BP respectively. The part of the curve above 4Y is still 30BP - 50BP away from the lowest yield point since 2025 [16]. - Curve Shape - The steepness of the 1 - 2Y and 2 - 3Y segments of all - grade bonds is the highest, and the steepness of the 3 - 5Y segment of low - grade bonds is also relatively high, but it has been decreasing for two consecutive weeks. For example, for AA + medium - term notes, the slopes of the 1 - 2Y, 2 - 3Y, and 3 - 5Y segments are 0.0909, 0.1109, and 0.0605 respectively; for AA urban investment bonds, the slopes are 0.1231, 0.1236, and 0.0953 respectively [12]. - Historical Quantiles of Yields and Credit Spreads - The protection margin of general credit bonds within 5Y is thin, and the cost - effectiveness of credit bonds is currently not high. From November 3 to 7, 2025, the yields of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA +, 3Y - AA +, 5Y - AA +, 1Y - AA, and 3Y - AA medium - and short - term notes are at the 12.52%, 24.62%, 23.75%, 8.42%, 18.57%, 17.27%, 5.39%, and 9.50% levels since 2024 respectively. The historical quantiles of credit spreads are at the 2.64%, 0.22%, 2.20%, 1.98%, 0.22%, 2.64%, 0.66%, and 6.40% levels respectively [14]. - Trading Activity - For Two - Yong bonds, the buying power was strong in the first half of the week but weakened significantly in the second half. From November 3 to 7, the proportion of transactions below the valuation was 100.00%, 100.00%, 100.00%, 2.50%, and 12.50% respectively; the average trading durations were 6.95 years, 6.67 years, 6.51 years, 0.91 years, and 0.85 years respectively. The trading volume below the valuation was generally low, with only 2 transactions having a margin of more than 4BP, and the rest within 3BP [18]. - For ultra - long - term credit bonds, the selling volume increased in the second half of the week, and the focus of discounted transactions was on weakly - qualified urban investment bonds. From November 3 to 7, the proportion of discounted transactions was 5.00%, 2.50%, 5.00%, 85.00%, and 35.00% respectively. The discount margin was generally within 4BP, and about 15% of the transactions had a margin of more than 4BP, mainly weakly - qualified urban investment bonds [23]. - The trading activity of ultra - long - term credit bonds decreased marginally. From November 3 to 7, the proportion of transactions below the valuation was 32.50%, 52.50%, 57.50%, 10.00%, and 20.00% respectively. About 47% of the transactions below the valuation had a margin of 4BP or more, mainly 2 - 5Y AA(2) and AA weakly - qualified urban investment bonds, whose liquidity has improved recently [25]. - Institutional Behavior - Public funds have shown a significant trend of chasing longer durations for two consecutive weeks, mainly focusing on 3 - 5Y bonds. Last week, funds net - bought 181.17 billion yuan of 1 - 3Y credit bonds, 110.48 billion yuan of 3 - 5Y credit bonds, and 31.96 billion yuan of 7 - 10Y credit bonds. Wealth management's buying of credit bonds slowed down, mainly net - buying 25.66 billion yuan of 1 - 3Y credit bonds. Insurance's buying of general credit bonds was relatively stable, net - buying 32.65 billion yuan of 1 - 3Y credit bonds and 26.56 billion yuan of 3 - 5Y credit bonds [3][29]. - The behavior of public funds chasing longer durations may continue in the short term. On one hand, the concentrated opening of amortized cost method funds may support the 3 - 5Y credit bond market. The expected opening scale of these funds in the second half of November and December is 328.62 billion yuan and 1,238.55 billion yuan respectively, and the proportion of funds with a closed - end period of more than three years is 80.96% and 65.68% respectively. On the other hand, the improving performance of credit ETF products, especially the second - batch of science and technology innovation ETFs, may also drive public funds to chase longer durations. The cumulative losses of credit market - making ETFs are decreasing, and most science and technology innovation ETFs have achieved positive cumulative net values. The trading duration of credit ETF products has been lengthening recently, with strong buying of 3 - 5Y and over - 5Y component bonds [32][33].