固收市场周报：摊余债基或将支撑信用行情？-20260209

Group 1 - The report highlights that the recent concentration of open-ended amortized cost bond funds may support the credit bond market, with a total net asset value of approximately 2.04 trillion yuan as of the end of 2025, reflecting an increase of about 61.2 billion yuan from the previous quarter [4][9][10] - The report indicates a significant shift in the asset allocation of these funds from primarily interest rate bonds to credit bonds due to limited options in a low-interest-rate environment, with a notable increase in credit bond allocation expected in 2024-2025 [4][9][17] - The anticipated peak of open-ended amortized cost bond funds in the first quarter of 2026 is projected to reach approximately 3739.7 billion yuan, with a focus on bonds with maturities of over five years in January and February, and shorter maturities in March [10][4] Group 2 - The report details that the market share of policy financial bonds decreased from 74% at the end of 2024 to 54% by the end of 2025, while the share of non-financial credit bonds surged from 1% to 24%, indicating a significant reallocation towards credit bonds [17][18] - The core asset in the credit bond allocation is medium-term notes, which accounted for 14.11% of the total bond investment market value, with a holding value of approximately 375.6 billion yuan, marking an increase of 3675.85 billion yuan compared to the previous year [17][18] - The report emphasizes that the open-ended amortized cost bond funds are likely to continue influencing the credit bond market, with a focus on 3-5 year maturity credit bonds, particularly those rated AA+ and above, as they seek to manage duration mismatch risks [27][4][9]