Core Insights - The bond ETF market has reached a new high with a total scale exceeding 700 billion yuan, marking significant growth in 2023 [1] - There has been a net inflow of over 427 billion yuan into bond ETFs this year, with 20 ETFs attracting more than 10 billion yuan each [1] - Institutional investors dominate the bond ETF market, accounting for 92% of the total investors [1] Group 1: Market Overview - As of November 14, 2023, the total scale of bond ETFs is 706.29 billion yuan, a record high [1] - The bond ETF market has seen a notable expansion this year, with 53 bond ETFs contributing to the total scale [1] - The short-term bond ETF has attracted nearly 40 billion yuan, while the 30-year government bond ETF has seen over 29 billion yuan in net inflows [1] Group 2: Types of Bond ETFs - The main categories of bond ETFs include interest rate bond ETFs, credit bond ETFs, and convertible bond ETFs, each with distinct risk-return characteristics [2][3][4] - Interest rate bond ETFs are based on government bonds and policy financial bonds, while credit bond ETFs focus on corporate bonds [2][3] - Convertible bond ETFs serve as a hybrid between bonds and stocks, providing unique investment opportunities [4] Group 3: Factors Driving Growth - The growth of bond ETFs is driven by increased demand from investors in a low-interest environment, leading to heightened sensitivity to fund fees [5] - Regulatory support and product innovation have contributed to the introduction of 32 new bond ETFs this year [6] - Enhanced liquidity from market makers and broker-dealers has significantly improved the trading environment for bond ETFs, creating a positive feedback loop [6] Group 4: Future Outlook - The bond ETF market is expected to face challenges in 2025, with diminishing correlations between long-term bonds and both fundamental and liquidity factors [6] - Institutional behavior is increasingly influencing the bond market, with a shift towards equity-bond rebalancing due to declining risk-return ratios [6] - The asset management sector is anticipated to focus on multi-asset and multi-strategy developments in response to changing market conditions [6]

Group 1: Fixed Income Market Outlook - The 2026 outlook indicates significant pressure for banks to realize floating profits, while insurance companies will continue to rebalance between equities and bonds supported by premium growth [6][7] - Brokerages are expected to increase their allocation to interest rate bonds and enhance returns through various tools [6][10] - Asset management products will see a slowdown in growth rates post-net worth transformation, with funds facing impacts from declining yields and new redemption regulations [6][11] Group 2: Far East Horizon (03360.HK) - Far East Horizon has evolved into a comprehensive group with financial services as its shield and industrial operations as its spear, being the first listed financing leasing company in China [15][16] - The company is expected to maintain stable leasing volumes and benefit from a decrease in funding costs, alongside profit expansion in its industrial operations due to its overseas strategy [15][16] - The revenue structure is shifting, with the industrial operations segment projected to account for 42.71% of total revenue by 2024, reflecting the effectiveness of its dual-driven strategy [16] Group 3: Beautycounter (300957.SZ) - The company is undergoing operational adjustments, focusing on channel optimization and product concentration, with expectations of returning to stable growth by 2026 [19][20] - Revenue for the first three quarters of 2025 was 3.464 billion yuan, a year-on-year decrease of 13.78%, but showing signs of improvement due to strategic adjustments [19][20] - The company anticipates earnings per share (EPS) of 1.02, 1.22, and 1.43 yuan for 2025, 2026, and 2027 respectively, maintaining a "buy" rating [20] Group 4: Top Group (601689.SH) - The company achieved a revenue of 20.9 billion yuan in the first three quarters of 2025, with a year-on-year growth of 8.1%, while net profit decreased by 12% [22][23] - Revenue projections for 2025-2027 are 29.9 billion, 36.5 billion, and 43.1 billion yuan, reflecting growth rates of 12%, 22%, and 18% respectively [24] - The company is expanding its international presence and developing new products in robotics and AI liquid cooling servers, with significant orders already secured [24]

1. Report Industry Investment Rating - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The correlation between the fundamental and capital aspects and long - term bonds has weakened this year. The correlation between commercial bonds, exchange - rate bonds has weakened, while the correlation between stocks and bonds has significantly increased. This is due to the decline in the risk - return ratio of bonds, leading institutions to rebalance their stock - bond portfolios. The behavior of institutions has an increasingly large impact on the bond market. Next year, banks still face significant pressure to realize floating profits, and insurance companies will continue to rebalance their stock - bond portfolios supported by premium growth [1][9]. - The bond market is expected to remain volatile. It is recommended to adopt a barbell strategy, appropriately control the duration level in trading, seize trading opportunities from oversold rebounds, and pay attention to reverse operations [2][15]. 3. Summary by Relevant Catalogs 3.1 Review Summary and Bond Market Outlook - This week, the equity market showed resilience, and news of the fund fee - rate new regulations disturbed the bond market, causing it to fluctuate weakly. The yields of 10Y and 30Y treasury bonds both increased by 2bp. The market situation varied from day to day, with factors such as the restart of treasury bond trading, Sino - US meetings, equity market performance, and fund fee - rate news affecting the bond market [8]. 3.2 Bond Market Review 3.2.1 Capital Situation - The central bank conducted a net withdrawal of funds, and the capital situation was generally balanced. From November 3rd to November 7th, the central bank's open - market operations had a net withdrawal of 157.22 billion yuan. R007 and DR007 decreased by 2bp and 4bp respectively compared to October 31st. The 3M certificate of deposit (CD) issuance rate first decreased, then increased, and finally decreased again. The FR007 - 1Y swap rate fluctuated upwards [17][18]. 3.2.2 Secondary Market Trends - Yields fluctuated upwards this week. The yields of key - term treasury bonds all increased, and most of the key - term treasury bond spreads narrowed. As of November 7th, the yields of 10Y and 30Y treasury bonds increased by 2bp compared to October 31st, reaching 1.81% and 2.16% respectively, and their spread narrowed by 0.4bp to 34bp [27]. 3.2.3 Bond Market Sentiment - The 30Y treasury bond weekly turnover rate slightly decreased, the 30Y - 10Y treasury bond spread narrowed, the inter - bank leverage ratio slightly increased to 107.2%, the exchange leverage ratio increased to 122.8%, the median duration of medium - and long - term pure bond funds slightly decreased, and the implied tax rate of 10 - year China Development Bank bonds first narrowed and then widened [35]. 3.2.4 Bond Supply - The net financing of interest - rate bonds slightly decreased this week. From November 3rd to November 7th, the net financing of interest - rate bonds was 318.8 billion yuan, a slight decrease of 5.4 billion yuan compared to last week. The net financing of treasury bonds increased, while that of local government bonds and policy - based financial bonds decreased. Next week, the issuance scale of local government bonds will increase, and new 10Y treasury bonds will be issued, and 30Y treasury bonds will be re - issued. The net financing of inter - bank certificates of deposit slightly decreased, and the average issuance rate decreased to 1.63% [50][55][56]. 3.3 Economic Data - In October, the year - on - year export turned negative. Since November, automobile consumption and port throughput have strengthened, while real - estate transactions remain weak. In terms of high - frequency economic data, real - estate transactions show mixed trends, consumption in the automobile sector has improved, movie consumption has marginally improved but is still weaker than the seasonal average, export - related port throughput has improved, and industrial production improvement has slowed down [62]. 3.4 Overseas Bond Market - The direction of the Fed's interest - rate cut in December is unclear. The US non - farm payrolls data was not released on time due to the government shutdown. Fed officials have increasing differences on whether to continue cutting interest rates in December. US bonds rose, while the bond markets in the UK and Germany fell [70][71][72]. 3.5 Performance of Major Asset Classes - The CSI Convertible Bond Index and the Nanhua Crude Oil Index increased, while the Nanhua Rebar Index weakened, and both Shanghai copper and Shanghai gold adjusted. This week, the performance of major asset classes was: convertible bonds > crude oil > CSI 300 > CSI 1000 > live pigs > Chinese - funded US dollar bonds > China bonds > US dollar > Shanghai gold > Shanghai copper > rebar [78]. 3.6 Policy Review - Multiple policies were released this week, including the "China's Actions for Carbon Peak and Carbon Neutrality" white paper, the "Report on the Implementation of China's Fiscal Policy in the First Half of 2025", the revised "Administrative Measures for the Securities Settlement Risk Fund", the "Analysis Report on Inclusive Finance Indicators (2024 - 2025)", etc. Attention should be paid to the implementation of these policies in related fields [81][83][85]

Core Viewpoint - The 365-day investment advisory portfolio has demonstrated strong performance, primarily through a mix of bond funds and a small allocation to stocks, aiming to provide stable returns while minimizing risks [3][4][6]. Group 1: Portfolio Characteristics - The 365-day investment advisory portfolio is primarily composed of bond funds, including government bonds and credit bonds, to reduce risk through diversification [8]. - The portfolio utilizes the negative correlation between stocks and bonds to mitigate volatility risks, allowing for strategic gains during market fluctuations [10][12]. - The portfolio employs a rebalancing strategy that automatically adjusts the allocation between stocks and bonds, facilitating a "buy low, sell high" approach without requiring investor intervention [15][18]. Group 2: Performance Metrics - Since its inception, the 365-day investment advisory portfolio has outperformed the secondary bond index by 2.92% as of October 17, 2025, with a maximum historical drawdown of -4.15%, significantly lower than the index's volatility [4][6]. - As of October 2025, the portfolio's stock and convertible bond allocation was reduced from 17% to 14%, while the bond and cash allocation increased from 83% to 86% following a market adjustment [22][23]. Group 3: Sources of Returns - The portfolio's returns are derived from three main sources: the stock component, which focuses on value stocks with stable dividends; the bond component, which is influenced by interest rates; and the rebalancing strategy that captures market fluctuations [24][30][47]. - The stock portion emphasizes value style, characterized by lower volatility during bear markets and higher dividend yields, providing a stable income stream [25][27][29]. - The bond component's performance is primarily affected by interest rates, with a focus on short to medium-term bonds to minimize risk [30][43][46]. Group 4: Investment Suitability - The 365-day investment advisory portfolio is suitable for investors with idle funds that are not needed for over a year, seeking stable growth with minimal volatility [63][64]. - It is particularly appropriate for those looking to transition funds temporarily while awaiting better market conditions for direct stock investments [64].

王哲一 (8621)23297818× wangzy@swsresearch.com 债 券 研 究 2025 年 10 月 19 日 7 月以来，债市机构行为全解析 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com 王哲一 A0230525100003 wangzy@swsresearch.com 联系人 究 报 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 债 券 策 略 证 券 研 债券策略 目录 | 1.债市周度复盘（2025/10/13-2025/10/17） 4 | | --- | | 2.债基：业绩考核+负债端压力，久期博弈心态依然较重 ...4 | | 3.理财：产品净值和负债端仍稳定，是信用债主要买入力量7 | | 4.银行：大行逆势买入，小行止盈 8 | | 5.保险：对债市压顶不追底，且面临股债配比再平衡 10 | | 6.债市策略 12 | | 7.风险提示 12 | 请务必仔细阅读正文之后的各项 ...

Summary of Conference Call Notes Industry or Company Involved - The discussion primarily revolves around the **U.S.-China trade relations** and its implications on various industries, particularly focusing on **rare earth exports** and the **debt market**. Core Points and Arguments 1. **U.S. Tariff Threats**: The likelihood of the U.S. imposing a 100% tariff is low, viewed as a negotiation tactic. Historical context shows that excessive tariffs negatively impact the U.S. economy, especially with the current government shutdown increasing economic risks [1][2][6]. 2. **China's Rare Earth Export Controls**: China's implementation of rare earth export controls is a significant negotiation leverage. While China does not monopolize rare earth reserves, it holds a critical position in the refining process. This control could severely impact U.S. industries such as automotive, semiconductor, and military sectors [1][4][7]. 3. **Negotiation Window**: There remains a window for negotiations before the escalation of tariffs, with potential meetings between leaders around the APEC conference at the end of October. The timing of China's rare earth controls and U.S. tariffs creates an opportunity for dialogue [1][5]. 4. **Impact on Debt Market**: The current geopolitical tensions have a different impact on the debt market compared to previous instances. The stable funding environment and limited impact of U.S. tariffs on Chinese exports suggest that domestic demand driven by policy stimulus is more influential on the market [1][6][7]. 5. **A-Share Market Resilience**: The expectation of a slow bull market in A-shares and increased investor confidence means that geopolitical events are likely to have a smaller impact than anticipated. The ongoing rebalancing between stocks and bonds continues to suppress the debt market [1][7]. 6. **Future Trading Strategies**: Future strategies should focus on changes in A-share risk appetite and liquidity. If risk appetite adjusts and liquidity becomes looser, it may present a buying opportunity. The anticipated U.S.-China agreement in early November could also create trading opportunities [3][8]. Other Important but Possibly Overlooked Content 1. **Economic Risks from Trade Disputes**: The ongoing trade disputes could exacerbate economic risks for the U.S., particularly with the government shutdown affecting GDP [2][5]. 2. **Market Dynamics**: The A-share market's resilience is attributed to technological advancements and investor confidence, indicating that the market may not react as strongly to geopolitical tensions as previously expected [7][8]. 3. **Monitoring Yield Fluctuations**: Investors should be cautious about yield fluctuations, with a recommendation to avoid chasing yields below 1.75% due to potential risks, while yields above 1.8% may present buying opportunities [3][8].

Group 1: Company Positioning and Strategy - The company positions itself as a differentiated player in the brokerage industry, focusing on "wealth management" and "investment banking" as strategic pillars, aiming to serve the real economy and residents' wealth management [2] - The company emphasizes a "non-directional transformation" and "equity-debt rebalancing," maintaining a focus on investment opportunities in the equity market with a "high dividend+" strategy [2][3] Group 2: Investment Strategies and Asset Management - The company plans to build a "pyramid-type" asset portfolio to achieve stable returns that exceed market performance, utilizing flexible strategies to manage risks and optimize asset allocation [3] - The company’s affiliate, Invesco Great Wall, has maintained a strong reputation in active equity investment due to its stable governance structure and ability to leverage both domestic policy insights and international resources [3] Group 3: Wealth Management Transformation - The company is actively advancing its wealth management business by establishing a digital framework centered on "digital clients, digital employees, digital products, and digital advisory," focusing on creating a comprehensive advisory product ecosystem [3] - The company aims to build a multi-layered financial product matrix, with a strategic focus on ETF distribution and customized institutional wealth management products, particularly the "Wealth Great Wall · Private 50" product series [3]

Market Overview - The market experienced a pullback today, with the CSI All Share Index down by 1.74%, returning to a rating of 4.3 stars [1] - Large-cap stocks saw slight declines, while small-cap stocks experienced more significant drops [2] - Recent market trends indicate rapid style rotation [3][8] Style Rotation - The previously underperforming value style saw gains today, while the growth style, which had performed well yesterday, faced declines [4][6] - Value and dividend indices showed slight increases, with the banking index rising significantly [5] - The ChiNext and STAR Market experienced notable declines [7] Growth and Value Dynamics - The growth and value styles frequently switch, with a notable speed of change [9] - This year, growth styles have led the market, with some STAR Market indices reaching overvalued levels [10] - The ChiNext has seen less growth compared to the STAR Market but has still achieved a relatively high valuation [11] Volatility and Valuation - Following the increase in valuations, the volatility of growth styles is expected to be higher than last year's undervalued state [12] - Investors should prepare psychologically for market fluctuations [13] Hong Kong Market - The Hong Kong stock market also experienced an overall decline, but the drop was less severe compared to the A-share market [14] - The Hang Seng Index showed slight declines but remained relatively resilient [15] Investment Strategies - The article discusses various investment strategies, including a pause in regular investments for certain indices that have returned to normal valuations, with a focus on maintaining positions until undervalued opportunities arise [17][25] - The "Monthly Salary Treasure" investment strategy, which consists of 40% stocks and 60% bonds, is highlighted as a stable market participation method [45][46] Pension Fund Insights - The article provides insights into personal pension fund investments, emphasizing the importance of patience and the potential for future undervalued opportunities [39][40] - The performance of selected pension index funds, such as the CSI A500 and CSI Dividend, is noted, with the former showing a 19% profit and the latter around 6% [38]

Group 1 - The core viewpoint of the articles indicates that new funds are being established and invested at a faster pace this year, with many funds ending their fundraising early and actively building positions in equity assets due to a stable economic environment and ample liquidity in the A-share market [1][6][7] Group 2 - Several funds, including those from Guotai Fund and others, have announced early closure of fundraising, reflecting strong investor interest and confidence in the market [2][4] - New funds launched in the last quarter have shown impressive performance, with some achieving returns exceeding 30% since their inception [3][5] - Many newly established equity funds have quickly built positions, with some reporting changes in net asset value just days after their launch, indicating a proactive investment strategy [4][5] Group 3 - Fund companies are optimistic about the future of A-shares, expecting a potential upward trend in the market, supported by stable economic conditions and liquidity [6][7] - The investment focus is shifting towards sectors such as technology, consumer demand, and safety-related assets, with expectations of improved corporate earnings in the upcoming quarters [8]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - In the past three years, the re - allocation of insurance funds may have been an important factor in the flattening of the interest rate curve. When the supply of high - yield assets such as non - standard assets shrank, insurance funds favored ultra - long - term interest - rate bonds [5][28]. - The impact of the "premium开门红" on the bond market has weakened. Premium income is not the only factor determining the rhythm of insurance bond allocation. Insurance institutions often time their bond allocations, and high new premiums do not necessarily lead to high bond - allocation scales [5][34]. - After the reduction of the scheduled interest rate, the cost of new insurance liabilities will decrease, and the criteria for high - dividend assets to enter the pool may be lowered. Insurance may gradually focus on overseas income - generating assets [6][61]. - Due to the change in accounting standards and the pursuit of risk - return ratio and profit - smoothing mechanisms, insurance funds prefer high - dividend assets. Under the new accounting standards, most bonds are placed in the FVOCI account, and the trading attributes and the characteristic of realizing profits at the end of the quarter have been amplified [6][86]. - The "Solvency II" has higher requirements for the duration and transparency of insurance assets, but for most insurance institutions, the level of risk factors alone is difficult to affect the allocation preference of insurance funds [6][118]. - The net secondary - market purchases of treasury bonds, policy - bank bonds, local government bonds, and financial bonds (excluding policy - bank bonds) by insurance institutions are highly correlated with the actual changes in their holdings, which is worthy of tracking [6]. 3. Summary According to the Table of Contents 3.1 In recent years, insurance funds may have been an important factor in the flattening of the interest rate curve - Premiums are an important source of insurance funds. The long - term nature of insurance liabilities makes insurance funds prefer long - term assets. The proportion of life insurance premiums in total premiums has increased from 52% in 2022 to 56% in 2024 [25]. - When the supply of high - yield non - standard assets shrank, insurance funds re - allocated to ultra - long - term interest - rate bonds, resulting in the flattening of the interest rate curve. From 2022Q2 to 2025Q1, the proportion of non - standard assets in total insurance funds decreased from 26.9% to 19.3%, and the term spread between 30Y and 10Y treasury bonds changed from "mean - reversion" to "downward - trend" after 2020 [28]. 3.2 The impact of the "premium开门红" on the bond market has weakened, and currently, insurance asset allocation values the risk - return ratio more - In the past, due to the lack of long - term government bond issuance in January, insurance funds flowed into the secondary market in the early part of the year. However, in recent years, the supply of long - term government bonds in the primary market has increased, and the influence on the secondary market has weakened [34]. - Premium income is not the only factor determining the rhythm of insurance bond allocation. The reasons include sufficient primary - market supply, relatively high deposit returns, and the importance of timing bond allocation to increase returns in a low - interest - rate environment [41]. - Before the reduction of the scheduled interest rate, insurance institutions usually try to boost premiums but time their bond allocations. Although the reduction of the scheduled interest rate on August 31, 2025, was greater than expected, the "premium - boosting" phenomenon was not obvious, and the preference for bond market allocation weakened. After the reduction, the cost of new insurance liabilities decreased, and the attractiveness of 30Y treasury bonds and 20Y and above local government bonds increased when their YTM was higher than 2% [51][61]. - Insurance may focus on overseas fixed - income assets. The expansion of the scope of eligible investors for the Southbound Bond Connect is imminent, which may increase the proportion of overseas investment by insurance institutions and help improve investment returns [64]. 3.3 Stock - bond rebalancing and the switch between old and new accounting standards make high - dividend assets more popular - As the domestic long - term bond yield may remain low for a long time, insurance companies may seek high - yield fixed - income assets overseas and increase their allocation of equities [73]. - Under the new accounting standards, most bonds are placed in the FVOCI account, and the trading attributes and the characteristic of realizing profits at the end of the quarter have been amplified. Insurance institutions prefer to buy high - dividend assets and re - classify them into the FVOCI account to smooth profit fluctuations [86][97]. - High - dividend equity assets can support investment returns when bond yields are low. Their full - return index has performed better than ultra - long - term treasury bonds since 2019 [103]. 3.4 "Solvency II" has higher requirements for the duration and transparency of insurance assets - Since 2023, the solvency adequacy ratio of insurance institutions has been steadily increasing. As of 2025Q1, the comprehensive solvency adequacy ratio of Chinese insurance companies reached 204.5%, and the core solvency adequacy ratio reached 146.5% [110]. - "Solvency II" requires a higher degree of matching between asset and liability durations. If the asset duration is less than the liability duration, the minimum capital for interest - rate risk will increase rapidly under stress - testing scenarios [113]. - Holding assets such as trusts, real estate, and non - standard assets will increase the risk factor, raise the minimum risk capital, and lower the solvency adequacy ratio. However, for most insurance institutions, the level of risk factors alone is difficult to affect their asset - allocation preferences [118]. 3.5 Insurance focuses on primary - market subscriptions and supplements with secondary - market transactions 5.1 Which types of bonds in the cash - bond trading data of insurance institutions are worthy of high - frequency tracking - The net secondary - market purchases of treasury bonds, policy - bank bonds, local government bonds, and financial bonds (excluding policy - bank bonds) by insurance institutions are highly correlated with the actual changes in their holdings. In 2024, insurance institutions showed more obvious trading behaviors in the secondary market [119]. 5.2 Rules for insurance trading of treasury bonds - Insurance institutions tend to increase their net purchases of long - term treasury bonds at the end of the quarter and sell them at the beginning of the next quarter. Since 2023, their net purchases of 30Y treasury bonds have increased significantly [125]. - Although there are obvious rules for insurance institutions' trading of treasury bonds at the end of the quarter, it is difficult for a single type of investor to affect the bond - market trend [136]. 5.3 Insurance trading of local government bonds: The spread can be used as a leading indicator - The supply pressure of local government bonds affects the spread, which in turn affects the net secondary - market purchases of local government bonds by insurance institutions. The spread of local government bonds is an important indicator for judging the net - buying power of insurance institutions in the secondary market. When the spread increases by 5 - 6bp within a month, the net - buying scale of insurance institutions may increase significantly [138]. 5.4 Insurance trading strategy for Tier 2 and perpetual bonds - Since May 2024, insurance institutions have continuously sold medium - and long - term Tier 2 and perpetual bonds because these bonds cannot pass the cash - flow test and most are re - classified into the FVTPL account, which has a greater impact on current profits [152].