国泰海通｜固收：定量拆解：债基跨年行情的几个关键点

Group 1: Bond Fund Holdings and Performance - The leverage level of pure bond funds reached 118.27%, significantly higher than that of mixed bond funds that can invest in equities [1] - The overall duration has shortened to 2.84, aligning with product positioning strategies [1] - Concentration risk in individual bonds is evident, with short-term and long-term bond funds showing much higher concentration than mixed bond funds, possibly due to liquidity needs or strategy focus [1] - Mixed primary bond funds performed steadily with an average return of 0.62% and a maximum drawdown of -0.81%, indicating acceptable risk-adjusted returns [1] - Mixed secondary bond funds led in returns with an average of 2.98%, but also had the highest drawdown at -1.07%, with improved risk-adjusted returns compared to the previous two quarters [1] - Short-term bond funds exhibited the lowest volatility, but current yield attractiveness is limited [1] - Long-duration bond funds performed poorly with an average return of -0.35% and a maximum drawdown of -0.69% [1] Group 2: Amortized Cost Method Bond Funds - As of November 13, 2025, there are 191 amortized cost method bond funds still in operation, with a total net asset value of approximately 1.47 trillion yuan and a total asset value of about 2.03 trillion yuan [2] - The market value of bond investments within these funds is around 1.95 trillion yuan [2] - A significant number of amortized bond funds with a closed period greater than three years are expected to open from the end of 2025 to the entire year of 2026, with 109 funds anticipated to open [2] - The opening of amortized bond funds is expected to drive demand for long-term credit bonds [2] Group 3: Potential Liquidity Pressure in Credit Bond Market - Bond funds that are likely to be affected by new regulations include those with a high proportion of institutional investors (>50%), small scale (<1 billion yuan), and high duration/high elasticity (duration >5 years or leverage >130%) [3] - Over 50% of the sample consists of bond funds with more than 50% institutional investor participation, while over 60% are small bond funds [3] - Approximately 15% of the funds have high duration and high elasticity [3] - Low-yield bond funds may face significant redemption pressure within six months following the implementation of new regulations [3] - As of the end of Q3, affected bond funds (considering only institution-led funds) held credit bonds worth about 2.65 trillion yuan, accounting for nearly 9.13% of the total market custody balance [3] - The market value of financial bonds held by affected bond funds is approximately 2.02 trillion yuan, representing 13.03% of the total market [3]