固收研究报告 关注机构季节性配置会否开启 —— 固收周报（11 月 17 日-11 月 21 日） 2025 证 11 证 22 证 ⚫ 本周债市回顾： 利率震荡回 升，收益率曲线走陡 本周（ 11/17 -11/21 ）债市收益率整体上行，主要受股债跷跷板、地缘影响与地产贴息 预期等影响 , 截至 11/21 ，30Y、10Y 、1Y 国债收益率分别变化 +1.85BP 、+0.57BP 、 -0.56BP 收于 2.16% 、1.82% 、1.40% ，30Y-10Y 、10Y -1Y 期限利差分别较上周变 化+0.69BP 、+1.22BP 收于 34.1BP 、41.6BP 。证证 10Y 证证证证证证证证证证证证 1证证证证证证证证证证证证证证证证证证证证 2证证证证证证证证证证证证 证 ⚫ 下周 债市展望： 临近月末关注资金面跨月情况 基本面来看， 证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证 证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证证 证证证证证证证证证证证证证证证证证证证证证 证 后续关注 四方面变化： 1 ）经济数据显示供需收缩，后续 P ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The equity market has continued its style rotation this week, with technology stocks that rose significantly before the year experiencing continuous adjustments due to year - end profit - taking pressure and overseas market adjustments. The sudden hawkish stance of the Fed, better - than - expected employment data, and the "end - of - the - world options day" of stock index futures have further amplified market volatility. This week, there has been an unusual situation of "double - kill" in both the stock and bond markets, and the possibility of a "double - rise" in the stock and bond markets in December is not high as the bond market faces a shortage of incremental funds [1][2][3][6] 3. Summary of Related Catalogs Equity Market - **Adjustment Factors**: Technology stocks are adjusted due to year - end profit - taking pressure from absolute - return annuities and insurance funds, and the overseas market adjustment caused by concerns about high valuations in the AI sector and the lack of market response to Nvidia's earnings [1] - **Amplifying Factors**: The sudden hawkish stance of the Fed and better - than - expected employment data have made the market pessimistic about the Fed's December interest - rate cut, and the "end - of - the - world options day" of stock index futures has further amplified market volatility [2][3] Bond Market - **Weak Performance**: Since the end of the central bank's bond - buying transactions, the bond market has been in a state of weak oscillation and shrinking trading volume. The daily trading volume of long - term and ultra - long - term bonds has decreased from more than 5,500 transactions in September and October to more than 4,400 transactions in November. The slope of the central bank's short - end bond purchases in November is weaker than that in October [4][17] - **Buying and Selling Forces**: Insurance is the main buyer of long - term bonds, while securities firms are the main sellers. Insurance is pre - heating for the "good start" at the end of the year, and securities firms consider the risk - return ratio of large - exposure unilateral trading before the year - end assessment. Insurance funds have felt an increase in dividend - paying insurance and a weakening of investment in long - duration assets, and banks are more cautious in their investment behavior [4][19] - **Duration**: The fund duration has declined this week, basically erasing the increase from the end of October to early November. Interest - rate bond funds contribute the main decline, while short - end and credit bond funds are relatively stable. As of Friday, the latest reading of the duration of medium - and long - term bond funds is 3.41 years, dropping to the 28% percentile level for the year [5][21] - **Future Outlook**: The possibility of a "double - rise" in the stock and bond markets in December is not high as the bond market faces a shortage of incremental funds, the hedging trading logic lacks sustainable verification in liability behavior, and the trading and allocation difficulties in December have increased [6][24]

Core Insights - The demand side indicates that the long bull market in equities, combined with the stock-bond seesaw effect, may lead to continued outflow of funds from the bond market, while the demand for convertible bonds remains resilient [1] - On the supply side, the prevalence of strong redemptions in convertible bonds is likely to continue, but issuance is expected to improve starting in 2026, leading to a potential new-old transition in market structure [1] - From a long-term perspective, convertible bonds are expected to enter a slow bull market alongside equities, but their performance is likely to be weaker than stocks and stronger than pure bonds [1] Demand Side Analysis - The stock-bond seesaw effect suggests that funds may continue to flow out of the bond market, with solid returns from equity markets driving this trend [2] - The core advantage of fixed income plus funds lies in their diversified asset allocation, which balances the risk-return characteristics of stocks and bonds [2] - Despite a slight outflow of funds recently, the demand for convertible bonds remains robust, with the share and scale of secondary bond funds significantly expanding in Q3 2025 [8] Supply Side Analysis - The convertible bond market saw a rapid contraction post-2015 bull market, with the market balance dropping to just 13.3 billion yuan by the end of 2015, a decrease of over 120 billion yuan from the previous year [11] - As the equity bull market continues, some existing convertible bonds will likely have strong redemption windows, and the prevalence of strong redemptions is expected to persist [11] - Starting in 2026, the issuance of convertible bonds is projected to improve, with an estimated supply of around 50-60 billion yuan, slightly better than in 2025 [16] Valuation and Market Dynamics - The historical valuation trends of convertible bonds generally follow the movements of the equity market, with the premium rate primarily driven by balanced and equity-oriented convertible bonds [19] - In a bull market for equities, investors may prefer balanced and equity-oriented convertible bonds to capture higher returns [19] - The current market faces challenges due to limited capacity for fund absorption and high price valuations, which compress the yield space for convertible bonds [19][20]

Report Summary Investment Ratings No investment ratings for the overall industries are provided in the report. Core Views - The Fed's internal turmoil is strong, and the prospect of a December interest rate cut is unclear, causing precious metals to fluctuate. Gold is under pressure and may experience high - level oscillations in the medium term [1]. - The crude oil market is generally in a state of supply surplus, but geopolitical factors bring uncertainties, so it should be treated with an oscillatory view [1]. - The short - end bond market is affected by a slightly tight capital supply, but the overall bond market is affected by multiple factors, and its operation is difficult, with a slightly bullish medium - term trend [3]. - Silver is under short - term pressure due to the US economic environment, but is still bullish in the medium term [4]. - The pig market has an oversupply situation, and the LH2601 contract is expected to be weak after a brief rebound [4]. - Rapeseed meal has a weak supply - demand pattern and is unlikely to have a trending upward market [5]. - Palm oil has strong support at the lower level in the short term, and low - long operations are recommended [5]. - Methanol is expected to oscillate weakly in the short term, and it is recommended to wait and see [7]. - Glass is expected to run weakly in the short term, and it is recommended to wait and see or short on rebounds [8]. - PVC is expected to oscillate weakly in the short term, and it is recommended to wait and see or short on rebounds [9]. - PTA's supply - demand situation has improved, and its price has short - term support [10]. - Natural rubber has a situation where raw material support and demand suppression coexist, and it will oscillate in the short term [10][11]. Summary by Variety Precious Metals - **Gold**: Fed internal disputes over a December rate cut are large, and gold is under pressure, with a medium - term high - level oscillation expected. Attention should be paid to the impact of the US dollar index [1]. - **Silver**: US employment pressure is high, and economic downward pressure suppresses the sentiment of going long on silver. The Fed's December rate - cut situation is uncertain, and silver is under short - term pressure but bullish in the medium term. Attention should be paid to the differentiation between gold and silver [4]. Energy - **Crude Oil**: US oil inventories have increased, and refinery profits have risen. Geopolitical factors such as attacks on Russian refineries and US sanctions have increased market uncertainty. The overall supply surplus situation drives the price down, and it should be treated with an oscillatory view [1]. Bonds - **Short - term Treasury Bonds**: Money market interest rates have mostly risen, indicating a slightly tight capital supply, which is negative for short - end bonds. However, the economic pressure in the fourth quarter and the central bank's operations are positive for the bond market. The bond market is difficult to operate, with a slightly bullish medium - term trend [3]. Agricultural Products - **Pig**: The supply of pigs is abundant, the terminal demand is weak, and the LH2601 contract is expected to be weak after a brief rebound. Farmers are advised to hedge according to the slaughter rhythm [4]. - **Rapeseed Meal**: The inventory of imported rapeseed meal is high, and domestic aquatic product demand is weak. It is in a weak supply - demand pattern, and attention should be paid to China - Canada trade policies [5]. - **Palm Oil**: China's October palm oil imports decreased year - on - year. November supply has increased significantly, but Indian demand expectations have increased. It has strong support at the lower level in the short term, and low - long operations are recommended [5]. Chemicals - **Methanol**: The production and port inventory of methanol are at a high level, downstream demand is stable, and the 01 contract is expected to oscillate weakly in the short term. It is recommended to wait and see [7]. - **Glass**: The average price of float glass has decreased, the inventory has increased, and the downstream orders are weak. The 01 contract is expected to run weakly in the short term, and it is recommended to wait and see or short on rebounds [8]. - **PVC**: The production of PVC is expected to remain high, the profit is poor, the domestic demand is stable, and the social inventory is expected to increase. The 01 contract is expected to oscillate weakly in the short term, and it is recommended to wait and see or short on rebounds [9]. - **PTA**: In November, the supply of PTA has decreased due to maintenance, and the downstream polyester demand is expected to remain high. The supply - demand situation has improved, and the price has short - term support [10]. Rubber - **Natural Rubber**: Thai raw material prices have changed, and China's rubber tire production and export data show a mixed situation. The supply is affected by weather, and the demand is weak. It will oscillate in the short term [10][11].

股指期权方面，备兑为主，短线买权防御。昨日权益指数震荡走弱， 沪指单日收跌0.81%。期权方面，各个品种成交额再度提升12.15%。连续 几日的流动性上行，叠加情绪指标持仓量PCR指标大幅走弱，以及隐含波 动率平均提涨0.69%。综合来看，市场对冲避险情绪凸显。策略方面，我 们仍建议续持备兑策略防御为主。同时，如果认为当前权益市场在年末资 金偏紧、海外降息预期回落等背景影响下，短期有高位回落可能，可以适 当补充看跌买权进行对冲保护。 国债期货方面，税期因素有所扰动，但影响或有限。昨日国债期货小 幅上涨，截止收盘， T、TF、TS、TL主力合约分别上涨0.03%、0.03%、0. 01%、0.06%。昨日国债期货T主力合约上午走势较为震荡，午后有所走 强。近期来看，税期因素或对资金面以及债市情绪形成一定扰动，资金利 率小幅上行，昨日DR001和DR007分别录得1.53%和1.52%。不过在央行对资 金面的呵护下，整体影响或不大。央行昨日在公开市场操作中虽然净投放 规模有所下降，但是整体仍呈现净投放状态。另外昨日股市表现仍偏弱， 上证指数继续有所回调，风险偏好回落以及股债跷跷板可能也对债市情绪 继续有一定带动。 ...

Group 1 - The convertible bond market is experiencing fluctuations, with the China Securities Convertible Bond and Exchangeable Bond Index down by 0.58% as of November 18, 2025, and the convertible bond ETF (511380) down by 0.41% at a latest price of 13.6 yuan [2] - Year-to-date, the total issuance of bonds by securities firms has reached 1.6 trillion yuan, a year-on-year increase of 62.34%, driven by a recovering capital market and low interest rates [2] - The issuance of 58 technology innovation bonds since May has totaled 789.7 billion yuan, with an average oversubscription rate of 3.8 times, indicating strong investor interest [2] Group 2 - The bond market is expected to maintain a volatile pattern, with government bond issuance decreasing and a balanced funding environment supported by the central bank [3] - The convertible bond market is projected to exhibit significant range-bound characteristics in 2026, influenced by rising expected returns from equity assets and the increasing probability of strong redemptions [3] - The latest size of the convertible bond ETF is 567.10 billion yuan, closely tracking the China Securities Convertible Bond and Exchangeable Bond Index, which reflects the overall performance of convertible and exchangeable bonds listed on the Shanghai and Shenzhen exchanges [3]

Group 1 - The article discusses a withdrawal strategy for profit-taking, suggesting a method where investors sell portions of their holdings based on specific drawdown thresholds [1][3] - It emphasizes the importance of not being overly greedy and highlights the risks of market corrections that can erase profits [3] - New investors are advised to take profits at a 15% gain, as securing profits is deemed more prudent than holding out for higher returns [5] Group 2 - The article differentiates between short-term and long-term bond funds, noting that short-term bond funds have minimal volatility and are suitable for conservative investors [5] - Long-term bond funds offer higher expected annual returns but require careful timing for investment, particularly in relation to government bond yields [7] - The article warns that long-term bonds may be negatively impacted if stock markets continue to rise, leading to capital flight from bonds [7] Group 3 - The consumer sector experienced volatility, initially rising due to a positive CPI report but later declining after disappointing retail sales data [8][10] - The CPI increase was attributed to seasonal spending during holidays rather than a genuine recovery in consumer demand [10] - The article suggests that the consumer sector has underperformed compared to technology and cyclical sectors, indicating potential for value recovery [10][12] Group 4 - It is recommended to focus on sectors supported by government policies, such as tourism, education, and consumer goods, to identify investment opportunities [12] - The overall investment strategy should prioritize a disciplined approach, including gradual accumulation in the consumer sector rather than aggressive positions [12]

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-11-18 股债跷跷板⾏情 股指期货：时间换空间，哑铃配置过渡。 股指期权：备兑防御为主。 国债期货：资⾦⾯扰动或有限。 股指期货方面，时间换空间，哑铃配置过渡。周一权益市场窄幅震荡 为主，主要指数收绿居多，其中全A指数跌0.15%，风格层面，哑铃结构占 优，配置属性偏向防御化特征。同时量能在2万亿之下，事件空窗期资金 进攻意愿降低。近期外部纷争对市场情绪产生一定压制，但中性基准判断 不会出现地区冲突，故扰动偏短期。同时，我们认为短期走出震荡的可能 性也偏低，其一，纳斯达克ETF出现高溢价，而这一状态多数出现在A股偏 好回调的周期中，其二，12月重要会议时点尚远，暂不支持政策炒作的基 础。故持有哑铃结构度过过渡期，以时间换空间，静态春躁行情启动。 股指期权方面，备兑防御为主。昨日权益指数震荡走弱，沪指单日收 跌0.46%。期权方面，各个品种成交额小幅回升7.78%，但依旧位于10月以 来流动性的较低位置。期权情绪指标走势偏弱，尤其以50、300等大盘相 关品种的降幅较深，期权交易情绪伴随风格切换。期权隐含波动率平均下 ...

国债期货：震荡略偏多 曹宝琴 投资咨询从业资格号：Z0012851 caobaoqin@nzfco.com 报告导读： 期货研究报告 2025年11月17日 周报 市场回顾与展望：由于央行公开市场再度重启买卖国债，市场对利率收益率曲线调节的预期增加，国 债期货有所反弹，但是反弹幅度较为有限。随着中美贸易领域关系的缓和，避险情绪有所降温，逆周期调 节的紧迫性有所降低，并且适逢年底，稳增长措施的力度或有限，债市短期没有更多逻辑主线可以遵循， 中期依然震荡略偏多思路。 10月我国制造业PMI为49%，比上月下降0.8个百分点。非制造业PMI为50.1，比上月上升0.1个百分点。 综合PMI产出指数为50%，比上月下降0.6个百分点。10月末，社融存量同比增8.5%，M2同比增8.2%，环比均 下降0.2个百分点，企业资金需求有所减弱，表明经济动能有所减弱。但是价格数据表明，经济韧性依然存 在。10月份，CPI环比上涨0.2%，同比上涨0.2%，扣除食品和能源价格的核心CPI同比上涨1.2%，涨幅连续第 6个月扩大。PPI环比由上月持平转为上涨0.1%，为年内首次上涨，同比下降2.1%，降幅比上月收窄0.2个百 分点 ...

Key Points Summary Core Viewpoint - The article discusses the impact of recent economic policies and data on China's economic landscape, highlighting the effects of consumer spending, industrial production, and monetary policy adjustments. Economic Events Review - In October, policies aimed at expanding domestic demand showed effectiveness, with the Consumer Price Index (CPI) rising by 0.2% year-on-year and month-on-month. The core CPI, excluding food and energy, increased by 1.2%, marking the sixth consecutive month of growth [2]. - The People's Bank of China (PBOC) indicated a commitment to maintaining a moderately loose monetary policy to support consumption and financial conditions, as outlined in the monetary policy report released on November 11 [2]. - Financial statistics for October revealed a decrease in new social financing by 5,970 million yuan year-on-year, with a total of 8,150 million yuan in new social financing [2]. Retail and Industrial Performance - In October, the total retail sales of consumer goods reached 46,291 million yuan, reflecting a year-on-year growth of 2.9%. The industrial value-added output for large-scale enterprises grew by 4.9% year-on-year [4]. - Fixed asset investment (excluding rural households) for the first ten months of the year was 408,914 million yuan, showing a year-on-year decline of 1.7%. Infrastructure investment decreased by 0.1%, while manufacturing investment increased by 2.7% [4]. - The sales area of newly built commercial housing fell by 6.8% year-on-year, with sales revenue declining by 9.6% [4]. Monetary Policy Insights - The PBOC's report emphasized the need for a supportive liquidity environment, which is expected to benefit short-term bonds. However, economic data and stock market performance are influencing long-term bond yields [6].