低利率环境下，海外债市的调整往往快速且迅猛，有三大特征 ： 1）调整幅度较大，美、德、法、日的 平均调整幅度分别为81、53、59、74bp；2）调整速度较快，这些调整通常发生在1-2个月内；3）调整往 往伴随期限溢价走高，美法日的10Y国债利率回调幅度明显大于2Y国债。 此外，债券"凸性"会放大低利率下的市场波动 。 利率下行会导致久期非线性拉长，价格敏感度显著上 升。这种"不对称"机制使低利率区间内，同样利率反弹带来的资本损失远超高利率区间。测算显示，低 利率下30Y国债反转时的价格跌幅约为高利率下的1.7倍，回撤压力剧增。 （二）"高波动"的陷阱背后？一致预期演绎到极致，宏观环境变化下出现反噬 海外经验显示，低利率环境下债市依然保持较高波动、且调整中易出现1-2月内调整50-100bp的现象，我 们将其称为低利率下的"高波动"陷阱。这或是当下市场普遍忽视的另一个"盲点"。 （一）海外经验"镜鉴"？"低利率"环境下，存在"高波动"陷阱 海外经验显示，低利率并非债市低波动的"避风港"。 1）以美债为例，10Y美债利率与波动率的关系存在 结构性断裂，1990年后美债"利率走低则波动收窄"的规律失效。2）美国以 ...

海外经验显示，低利率环境下债市依然保持较高波动、且调整中易出现1-2月内调整50-100bp的现象，我 们将其称为低利率下的"高波动"陷阱。这或是当下市场普遍忽视的另一个"盲点"。 （一）海外经验"镜鉴"？"低利率"环境下，存在"高波动"陷阱 （二）"高波动"的陷阱背后？一致预期演绎到极致，宏观环境变化下出现反噬 低利率环境下，机构的"同质化策略"与拥挤的交易行为，是债市脆弱性的微观基础。 1）配置型机构为 应对负债端压力会拉长久期，以美国为例，2008-2015年，美国寿险10年以上债券配置占比上升6.3%。 2）交易型机构基差收益薄、融资成本低，倾向于加杠杆，交易也较拥挤。 宏观基本面预期的逆转，通常是打破市场一致预期、导致债市步入高波动的直接诱因。 历史回溯来看， 低利率时代债市出现高波动并不以货币政策趋紧为前提，降息不及预期即可能触发债市回调。政策预期 的变化往往由基本面改善驱动，经验显示，名义GDP修复是高波动的重要诱因。 宏观环境变化下的资金"再平衡"，是加剧债券市场波动的重要催化剂。 历史回溯来看，低利率阶段9次 美债利率50bp以上的反弹期间，标普500悉数上涨；7次日债利率反弹期间，日经22 ...

债市的"盲点"系列之二 2025 年 12 月 09 日 相关研究 《2026年:财政货币政策展望- 2026 年展望报告系列之 2025/12/02 《中长期债基久期上升，机构杠杆率多数上行——机构行为观察周报 率多数上行一 20251121 》 2025/ 《向"改革" 要红利– 2025/11/22 -2026 年 宏观形势展望》 2025/11/16 《居民存款搬家仍处于起步期 申万宏源策略：五问五答看懂居民 存款搬家》 2025/08/19 t «点点»: 《债市的"盲点" ？ ——兼论长们 利率从"2%" 到 "1%" 的距离》 更论长债 利率从 2025/03/17 证券分析师 赵伟 A0230524070010 zhaowei@swsresearch.com 陈达飞 A0230524080010 chendf@swsresearch.com 李欣越 A0230524080004 lixy@swsresearch.com 赵宇 A0230524080007 zhaoyu2@swsresearch.com 王茂宇 A0230521120001 wangmy2@swsresearch.com 联系人 ...

Core Viewpoint - The market is experiencing a shift from speculative trading to value reassessment, as evidenced by the divergence in valuations between high-growth AI stocks and undervalued blue-chip stocks [1][3]. Group 1: Market Dynamics - The average valuation of the CSI 300 index has quietly fallen below the 20th percentile of the past five years, indicating a significant market correction [1]. - The past two years have seen a typical cycle of "herding-dispersion-collapse" in the market, particularly with high-growth stocks, leading to extreme valuations detached from fundamentals [3]. - High-growth stocks with P/E ratios exceeding 100 have experienced an average drawdown of 45% since the beginning of 2024, while stocks with P/B ratios below 1 have seen net inflows [3]. Group 2: Value Opportunities - Low-valued blue-chip stocks, particularly in the banking sector, are showing unique investment appeal, with one major state-owned bank having a P/E ratio of only 4.5 and a dividend yield of 6.2% [3]. - The decline in non-performing loan ratios for leading banks over eight consecutive quarters and signs of stabilizing net interest margins highlight the resilience of fundamentals against valuation discounts [3]. - The transition from a "storytelling" market to one focused on performance metrics provides a solid foundation for the revaluation of undervalued blue-chip stocks [3]. Group 3: Macro Factors - Structural changes in the macroeconomic and policy environment are driving the shift in market styles, with the central bank's focus moving from "broad monetary policy" to "broad credit policy" since 2025 [4]. - The end of the Federal Reserve's interest rate hike cycle and the stabilization of the RMB exchange rate have led to a resurgence of northbound capital inflows into A-shares, particularly in the banking sector [4]. - In the third quarter, northbound capital net purchases of bank stocks exceeded 30 billion yuan, marking a two-year quarterly high, while the AI sector saw a net outflow of 18 billion yuan [4]. Group 4: Investment Philosophy - The market oscillates between extremes of overvaluation and undervaluation, and the end of speculative trading in high-growth stocks signals a re-evaluation of the safety margin and growth certainty of undervalued blue-chip companies [5]. - Investors are encouraged to seek out undervalued companies that consistently generate cash flow and return dividends to shareholders, as these firms are likely to shine in the wave of value recovery [5].

Economic Overview - The U.S. economy is under significant pressure, facing high national debt, elevated unemployment rates, and rising prices, leading to speculation about an impending interest rate cut by the Federal Reserve [1] - On September 18, the Federal Reserve announced a 25 basis point cut in the federal funds rate to a range of 4.00%-4.25%, marking the first rate cut since January of this year [1] Federal Reserve Actions - During the meeting, all 11 voting members supported the rate cut, with only the newly appointed member advocating for a 50 basis point reduction [3] - Fed Chairman Jerome Powell described the rate cut as a "risk management" measure aimed at addressing downward pressure on the U.S. job market, as August's non-farm payrolls added only 22,000 jobs, significantly below the expected 75,000, and the unemployment rate rose to 4.3%, the highest in nearly four years [3] Market Reactions - The rate cut signals a preemptive response to the U.S. economic downturn, with implications for global asset prices, capital flows, and monetary policy rhythms in other countries, particularly affecting the Chinese A-share market [5] - The consensus within the Federal Reserve indicates a stronger agreement on further rate cuts, with the number of members supporting three cuts this year increasing from 2 to 9 since June 2024 [6] Capital Flows and A-share Market - The A-share market is expected to benefit from the rebalancing of global capital, with passive fund inflows from Northbound capital reaching $3.684 billion in August, a significant increase from $313 million in July [8] - Although active funds are still experiencing outflows, the scale of these outflows has narrowed considerably, indicating a growing attractiveness of RMB assets [8] Policy Measures in China - The People's Bank of China (PBOC) has introduced a series of measures in collaboration with the China Securities Regulatory Commission and the Financial Regulatory Bureau, including rate cuts and adjustments to mortgage policies, signaling a commitment to stabilize market expectations [9] - The PBOC's recent actions provide more flexibility in monetary policy, especially following the Fed's rate cut, which could further support the A-share market [9] Export and Manufacturing Outlook - China's exports grew by 12.3% in March, although this rate fell to 4.4% in August, maintaining a medium-speed growth trend, which is crucial for stabilizing growth [11] - The global trend of interest rate cuts is expected to improve the external demand environment, supporting the profitability outlook for Chinese manufacturing in the coming months [11] Sector-Specific Insights - The non-ferrous metals sector is benefiting from a weaker dollar and heightened risk aversion, with prices for gold and copper continuing to rise [13] - The brokerage sector is seeing improved profitability due to increased market trading activity, while sectors like computing hardware, robotics, and solid-state batteries are performing well under the dual drivers of policy support and liquidity [14]

Core Viewpoint - The Japanese stock market has surged to historical highs due to the easing of uncertainties surrounding US-Japan tariff measures and strong corporate earnings [1][3]. Market Performance - On August 12, the Nikkei 225 index rose by 2.15% or 897.69 points, closing at 42,718.17 points, while the Topix index increased by 1.39%, closing at 3,066.37 points [1][3]. - Technology and banking stocks led the gains, with SoftBank Group up 6.92% and Mizuho Financial Group up 3.32% [2]. Factors Driving the Market - Easing concerns over the impact of US tariffs and a weaker yen have been primary drivers for the rise in Japanese stocks [2]. - Multiple factors contributed to the Nikkei index's increase, including reduced trade tensions, strong corporate earnings, and favorable government policies aimed at enhancing shareholder returns [3][4]. - The influx of foreign capital has been notable, with overseas funds showing net buying for 14 consecutive weeks from April to mid-July [3]. Investment Appeal - Japanese stocks are seen as attractive due to their valuation advantages compared to major developed markets, with many non-financial companies holding significant cash reserves and offering high dividend yields [4]. - The ongoing low-interest-rate environment and the depreciation of the yen have encouraged international investors to seek returns in Japanese equities [4]. Future Outlook - Analysts maintain an optimistic outlook for the Japanese stock market, with Goldman Sachs raising the 12-month target for the Topix index from 3,000 to 3,200 points, and Citigroup forecasting the Nikkei 225 index to reach 45,000 points by year-end [6]. - However, potential risks include concerns over the sustainability of government debt and the impact of rapid yen appreciation on carry trades, which could affect market stability [5][6].

Core Viewpoint - The recent surge in Japanese stocks is attributed to multiple factors, including easing trade tensions, strong corporate earnings, and favorable government policies, rather than an optimistic outlook on the Japanese economy [1][2][3]. Group 1: Market Performance - On August 12, the Nikkei 225 index rose by 2.15% or 897.69 points, closing at 42718.17 points, while the Topix index increased by 1.39%, closing at 3066.37 points [1]. - The rise in the stock market was led by technology and banking stocks, with SoftBank Group up 6.92% and Mizuho Financial Group up 3.32% [1]. Group 2: Factors Influencing the Market - Easing of trade tensions between Japan and the U.S. has alleviated concerns, benefiting sectors like automotive and electronics [2]. - Recent corporate earnings reports indicate stable profitability and healthy cash flow among Japanese companies, enhancing investor confidence [2]. - The Japanese government's policies aimed at improving shareholder returns and increasing stock buybacks have created a more attractive investment environment [2]. Group 3: Investment Dynamics - There has been a continuous net inflow of foreign capital into Japanese stocks for 14 weeks from April to mid-July, driven by the attractiveness of Japanese equities [2]. - The valuation advantage of Japanese stocks compared to other developed markets suggests a potential for catch-up gains [3]. - The low debt levels and high cash positions of many non-financial Japanese companies contribute to their appeal [3]. Group 4: Future Outlook - Analysts remain optimistic about the Japanese stock market, with Goldman Sachs raising the Topix index target from 3000 to 3200 points and Citigroup forecasting the Nikkei 225 index to reach 45000 points by year-end [5]. - The potential for continued fiscal stimulus from the Japanese government is expected to provide liquidity support for the stock market [4]. - However, concerns about government debt sustainability and the impact of potential interest rate hikes by the Bank of Japan could introduce volatility [4][5].

Core Insights - The Hong Kong stock market is experiencing a significant influx of capital, particularly into thematic ETFs, with over 500 billion yuan entering in July alone and a total net subscription exceeding 100 billion yuan for the year [1][2]. Group 1: Thematic ETF Performance - In July, the net subscription for Hong Kong thematic ETFs reached 568.18 billion yuan, with financial, technology, and innovative pharmaceuticals being the most popular sectors [2]. - Specific ETFs such as the E Fund Hong Kong Securities ETF and the GF Hong Kong Stock Connect Non-Bank ETF saw net subscriptions of 111.43 billion yuan and 74.68 billion yuan respectively [2]. - The total net subscription for thematic ETFs in the first seven months of the year reached 1,025 billion yuan, with the total scale of these ETFs surpassing 500 billion yuan by the end of July [3]. Group 2: Capital Inflow Dynamics - Southbound capital has become the main driver for the Hong Kong stock market, with a cumulative net inflow exceeding 800 billion yuan this year, surpassing the total for the previous year [4]. - The influx of capital is attributed to three main factors: the attractive valuation of Hong Kong stocks post-adjustment, a global asset rebalancing favoring non-US assets, and the resilience of new economy sectors like AI and innovative pharmaceuticals [4]. - Public funds have significantly contributed to this inflow, with an estimated net inflow of 3,000 to 4,500 billion yuan through Hong Kong Stock Connect expected for the year [4]. Group 3: Market Valuation and Outlook - The valuation of Hong Kong stocks remains relatively low compared to major global markets, indicating that the market's prosperity may just be beginning [5]. - The overall earnings forecast for Hong Kong stocks has been revised upward since October last year, reflecting market confidence in economic recovery and corporate profitability [6].

Group 1 - The Hong Kong Monetary Authority reported an increase of HKD 20.13 billion in foreign assets of the exchange fund in May, reaching HKD 358.66 billion [1] - The monetary base stands at HKD 21.25 billion, which includes various components such as certificates of indebtedness, government-issued currency, and bank reserves [1] - The total claims of the exchange fund on the private sector in Hong Kong amount to HKD 325.6 billion, while total external liabilities are HKD 31 billion [1] Group 2 - The Financial Secretary of Hong Kong, Paul Chan, indicated that international confidence in US dollar bonds is wavering, leading to an influx of international funds into Hong Kong, which is becoming a safe haven for capital [1] - The overnight interbank lending rates have decreased, and the Hong Kong dollar is expected to maintain its peg to the US dollar, providing a trustworthy environment for capital flow [1] - According to Shenwan Hongyuan Securities, the Hong Kong stock market has shown strong performance as a pioneer in the revaluation of Chinese assets, with increased trading volume in small and mid-cap stocks since April 2025 [1][3] Group 3 - Shenwan Hongyuan Securities emphasized that amidst the US-China trade conflict and declining confidence in the US dollar, global funds are undergoing a rebalancing, with capital moving from US stocks to European markets [3] - The firm anticipates that as high-quality assets in Hong Kong increase, foreign capital will return to Chinese assets, with Hong Kong stocks being the first destination [3]