申万宏源固收研究 【申万固收|利率年度策略】波折中寻机——2026年债券投资策略展望 原创 阅读全文 ...

Summary of Conference Call on Bond Investment Strategy Industry Overview - The focus is on the bond investment strategy for the year, particularly in the context of low interest rate expectations and limited downward space for both long-term (10-year government bonds) and short-term (1-year time deposits) rates [1][2][3]. Key Points and Arguments 1. **Interest Rate Expectations**: The current market has low expectations for interest rate cuts in the short term, which limits the downward movement of both long and short-term interest rates [2][3]. 2. **Investment Strategy for Year-End**: Investors should focus on institutional allocation intentions and the performance of the equity market. An increase in institutional allocation may compress the spread between government bonds and policy bank bonds [1][3]. 3. **Credit Bonds vs. Government Bonds**: The spread between credit bonds and policy bank bonds is thin, while the spread between credit bonds and government bonds is wider. Short-term credit bonds are positioned low, but there is still room for three to five-year credit bonds [4][5]. 4. **Monetary Policy Outlook**: The monetary policy is expected to maintain a loose growth-oriented approach next year, with limited impact from the current tightening of liquidity. The probability of easing measures this year is low, but the central bank may prepare for policy easing in Q1 next year [6][7]. 5. **Portfolio Construction**: For absolute return portfolios, a defensive stance with slightly lower duration is recommended, while relative return portfolios should seize opportunities such as the compression of spreads between policy bank bonds and government bonds [7][8]. 6. **Short-term vs. Long-term Strategies**: For short-term trading, focus on mid-term policy bank bonds due to clear returns. For long-term holding, consider 10-year secondary capital bonds, but be aware of their weaker liquidity [8][9]. 7. **Spread Compression Opportunities**: There are notable opportunities for spread compression between policy bank bonds and government bonds, which investors should monitor for potential profits [10][11]. 8. **Selection of Policy Bank Bonds**: Investors are advised to choose the main bond 215 over the new bond 220 for 10-year policy bank bonds due to liquidity considerations [11]. 9. **Changes in Investment Strategy**: Recent recommendations have shifted towards a more cautious approach as the year-end approaches, adjusting portfolios to mitigate risks associated with potential market volatility [14]. Other Important Considerations - The impact of new redemption regulations and changes in fund buying power for policy bank bonds should be closely monitored, as these factors will influence market trends at year-end and into next year [6][7]. - The use of hedging strategies, such as constructing combinations of 5-year secondary capital bonds with futures, can help mitigate risks and enhance returns [13].

Group 1 - The report suggests that in the absence of strong expectations for short-term interest rate cuts, both long-term government bond yields and short-term deposit rates are unlikely to decline significantly. The market currently does not anticipate easing of short-term funds or a reduction in LPR [1][8][37] - It is recommended to focus on two strategies for portfolio construction: 1. Opt for slightly lower duration for defensive positioning, waiting for a rate adjustment of around 5 basis points before considering extending duration; 2. Maintain a market-neutral or slightly longer duration stance, with risk exposure suggested to be placed in active bonds where spreads can compress, such as government bonds and ultra-long government bonds [1][8][40] Group 2 - For bond selection, the report emphasizes prioritizing long-term interest rate bonds, particularly focusing on 250215. If there is a higher frequency demand for duration adjustment, 25T6 should be considered. For higher yield bonds like 25T5 and 25T3, attention should gradually decrease as spreads compress further [2][10][12] - In the context of credit bonds, the report notes that the spread between 3-5 year credit bonds and government bonds is already low, indicating limited room for further compression. It is suggested to focus on mid-term government bonds for short-term capital gains, while mid to long-term credit bonds may offer better value for long-term holding [3][13] Group 3 - The report indicates that the current overall IRR level of government bond futures is slightly higher than the funding rate, with most futures contracts being relatively expensive compared to cash bonds. The strategy of focusing on the compression of spreads between government bonds and government-backed bonds is recommended [4][14] - The report highlights that the bond market has maintained a volatile trend, with government bonds showing stronger performance. Despite weak financial and economic data in October, interest rates have not significantly declined, and the market sentiment towards bonds remains cautious [15][20]

Core Viewpoints - The report anticipates room for OMO rate cuts, LPR cuts, and reserve requirement ratio reductions in 2026, with a slight decline in the central tendency of the 10Y government bond yield [3][4] Economic Conditions - The current domestic market shows strong supply but weak demand, with structural contradictions still evident, and the foundation for economic recovery needs to be solidified. The manufacturing PMI for October is at 49.0%, remaining below the 50.0% threshold for seven consecutive months [4][25] - The essence of the "anti-involution" policy is correction rather than stimulation, leading to structural and mild impacts on prices. The key variables for future price trends will be the strength of demand recovery and the rhythm of policy coordination [4][25] Valuation Insights - After adjustments, the reasonableness of the 10Y government bond valuation has improved, attributed to the gradual fading of the "seesaw" effect. The correlation coefficient between the weighted average interest rate of RMB loans and the 10Y government bond yield has been consistently high, indicating a strong relationship [4][26][27] - A model was developed to estimate the 10Y government bond yield based on the weighted average interest rate of RMB loans, yielding a formula: 10Y government bond yield = (1.11 × RMB loan weighted average interest rate * 100 - 1.95) / 100, with an adjusted R² of 0.908 [4][27] Policy Environment - The report highlights the central bank's liquidity injection as a significant factor influencing the bond market. The net purchase scale of government bonds in the open market is monitored, indicating the central bank's actions to manage liquidity [29][30] Market Dynamics - The report notes that both the upward and downward space for interest rates in 2025 is limited, suggesting a stable outlook for the bond market [19][32] - The volatility of bond yields has decreased, with the volatility in 2024 recorded at 0.18 and from the beginning of 2025 to November 7 at 0.09, indicating a narrowing and shortening of yield fluctuations [22]

Core Viewpoint - The Industrial and Commercial Bank of China (ICBC) is adopting a cautious and flexible approach to its bond investment strategy in response to rising interest rates, emphasizing the importance of asset safety and stable returns while optimizing investment strategies for long-term health and risk resilience [1][2]. Group 1: Investment Strategy - ICBC plans to adhere to three main principles for its bond investment: "steady, flexible, and forward-looking" [1]. - The bank will closely monitor macroeconomic policy signals and market sentiment to dynamically optimize the overall scale, variety, and duration of bond investments, balancing current returns with medium- to long-term interest rate risks [1]. - The bank aims to enhance overall investment returns through active trading strategies and precise research on various bond types, optimizing the structure of its investments [1]. Group 2: Market Environment - ICBC anticipates that future market interest rates will exhibit a fluctuating range, influenced by multiple factors, including the central bank's liquidity policies and year-end institutional allocation demands [1]. - The bank emphasizes the need for refined management and scientific grasp of investment rhythm and risk exposure in a complex and changing market environment [2].

Core Insights - The article reviews the bond investment behaviors of banks in the low interest rate cycles of the US, Europe, and Japan, providing insights for the high-quality development of China's banking sector's bond investment business [1] Group 1: Low Interest Rate Cycle Overview - In the US, the Federal Reserve initiated a rate-cutting cycle in 2007, leading to a federal funds rate of 0-0.25% by December 2008, which was later raised to 2.25%-2.5% in December 2015 before being cut again in 2019 and 2020 due to economic slowdowns and the pandemic [2] - The 10-year US Treasury yield fell from 5.3% in 2007 to 1.5% in 2012, and later to a historic low of 0.55% in mid-2020, before rising again due to economic recovery expectations [2] - In Europe, the European Central Bank (ECB) reduced the main refinancing rate from 4.25% in 2008 to 0% by 2016, marking the start of a negative interest rate era, which ended with rate hikes in July 2022 [5] - Japan has experienced a prolonged low interest rate environment since 1999, with the 10-year government bond yield remaining around 0% during the yield curve control (YCC) policy, which is expected to normalize in 2024 [6] Group 2: Characteristics of Low Interest Rate Periods - Market interest rates do not always move in sync with policy rates, with market rates often rising faster than policy rates as the low interest rate cycle nears its end, leading to increased interest rate risk [7] - Despite a weak economic backdrop, low interest rate periods can still experience significant yield volatility due to fluctuations in economic conditions, inflation, and policy expectations [8] - The duration of low interest rate environments varies, with the US experiencing the shortest duration at 3 years, while Japan has been in a low interest rate environment for nearly 30 years [8] Group 3: Bond Investment Strategies in Low Interest Rate Cycles - The low interest rate cycle can be divided into three phases: rapid rate decline, low rate fluctuation, and rapid rate increase [9] - In the rapid rate decline phase, strategies include expanding portfolio size, extending duration, leveraging, and investing in fixed-rate bonds to capitalize on capital gains [10][11] - During the low rate fluctuation phase, strategies focus on increasing risk tolerance, enhancing reallocation returns, and employing active trading to boost capital gains [17] - In the rapid rate increase phase, strategies should aim to reduce portfolio PVBP, shorten duration, and hedge against interest rate risks [29] Group 4: Recommendations for China's Banking Sector - Banks should enhance credit risk tolerance and focus on economically robust regions and industries with stable demand to mitigate risks [30] - Developing intermediary businesses to increase non-interest income is crucial in a low interest rate environment, reducing reliance on bond investment income [31] - Diversifying investment regions and considering overseas opportunities can improve portfolio returns and mitigate interest rate risks [31] - Implementing appropriate hedging strategies based on the current phase of the interest rate cycle is essential for managing risks effectively [31]

Group 1 - The report emphasizes the need to increase allocation to high-elasticity varieties while maintaining a short-duration defensive strategy in the bond market [6][11] - The credit bond market has experienced a new round of declines, with short-term bonds showing stronger stability compared to longer-term bonds, which are under pressure due to regulatory changes and market sentiment [12][11] - The report suggests focusing on medium to short-duration investments, particularly in high-grade credit bonds, as the market seeks certainty and low volatility [12][11] Group 2 - In the corporate perpetual bond sector, the report notes an increase in configuration value but advises caution against potential declines, especially in long-duration products [12][18] - The issuance of corporate perpetual bonds in September was 135 bonds totaling 141.4 billion, reflecting a slight decrease from the previous month, while the repayment scale also decreased [18][19] - The report highlights that the financing costs for AAA and AA+ rated bonds have increased, with rates at 2.34% and 2.57% respectively, indicating a tightening market [18][19] Group 3 - The ABS market is experiencing a slow adjustment in valuation, leading to a convergence in premiums compared to municipal investment bonds, with limited liquidity improvement expected [14][15] - The report recommends prioritizing ABS with a higher safety margin, such as those related to public housing and fee income rights, while cautioning against further exploration in the current environment [14][15] - The issuance of ABS in September reached 267.7 billion, with personal consumption loans and small loans leading the issuance volume [9][40] Group 4 - The report indicates that the secondary market for corporate perpetual bonds has seen a significant increase in yields, particularly in the medium to long-term segments, with credit spreads widening [30][31] - The report notes that the yield on AA-rated 5Y corporate perpetual bonds increased by up to 21 basis points, reflecting a broader trend of rising yields across various sectors [30][31] - The report highlights that the credit spreads for municipal perpetual bonds remained relatively stable, while industrial bonds exhibited greater volatility [32][34]

Group 1 - The core view of the report indicates that the simulated portfolio returns have generally recovered, with absolute returns of interest rate style portfolios outperforming credit style portfolios overall [2][10][14] - In the interest rate style portfolio, the top weekly returns were from the industrial ultra-long and secondary bond duration strategies, recording returns of 0.17% and 0.16% respectively [2][14] - In the credit style portfolio, the leading strategies were the industrial ultra-long and perpetual bond duration strategies, achieving returns of 0.2% and 0.16% respectively [15][2] Group 2 - The average weekly return of the credit style time deposit heavy portfolio increased by 3.5 basis points to 0.09%, reaching the highest absolute level since mid-August [2][16] - The average weekly return of the city investment heavy portfolio rose to 0.1%, similar to the time deposit strategy, with long-duration city investment bonds showing a recovery in the market [2][16] - The ultra-long bond heavy strategy saw a return increase of nearly 25 basis points, with the industrial ultra-long strategy reaching a high return level of 0.2% [2][16] Group 3 - The report highlights that the secondary perpetual bond duration strategy has significant profit potential, with capital gains contributing substantially this week [3][25] - The annualized coupon rate of the perpetual bond duration strategy is around 2.28%, and the distance from the lowest point this year is over 42 basis points [3][25] - The credit style portfolio's returns were primarily driven by capital gains, with coupon contributions falling within the range of 25% to 50% [3][25] Group 4 - In the past four weeks, the recovery signals for excess returns in secondary bond heavy strategies appeared first in bullet-type and down-sinking combinations [4][30] - The cumulative excess returns for city investment short-end sinking, commercial bank bond bullet-type, and brokerage bond duration strategies reached 11.8 basis points, 11.4 basis points, and 8.2 basis points respectively [4][30] - The report notes that medium to long-duration strategies generally yielded excess returns, with the secondary perpetual bond duration strategy achieving excess returns of 4.8 basis points and 5.3 basis points [33][30]

Core Viewpoint - Current macroeconomic conditions globally are creating a more uncertain economic outlook, yet it is suggested that this may be an opportune time for investing in bonds [1] Group 1 - The global economic landscape is characterized by murky conditions, impacting various economic forecasts [1] - Despite the uncertainty, the bond market is highlighted as a potentially favorable investment avenue [1]

Core Viewpoint - Shanghai Bank is focusing on enhancing its bond investment strategies and public loan issuance plans to navigate market fluctuations and achieve sustainable growth in revenue streams [2][3]. Group 1: Bond Investment Strategy - The bank acknowledges that fluctuations in the bond market can impact its revenue, emphasizing the need for effective rotation of its three main income sources: net interest income, intermediary business income, and other non-interest income [2]. - Shanghai Bank's bond investment strategy includes: 1. Serving the real economy by optimizing asset allocation and enhancing comprehensive services for corporate clients [2]. 2. Diversifying strategies to capitalize on the acceleration of RMB internationalization and expanding offshore asset investments [2]. 3. Maintaining core trading value contributions and improving active trading capabilities [2]. 4. Balancing risk and return by controlling portfolio duration to mitigate interest rate fluctuation risks [2]. Group 2: Public Loan Issuance Plans - The bank aims to achieve a "double uplift" in key areas and sectors by enhancing its service capabilities in targeted fields [3]. - Key initiatives include: 1. Developing a specialized financial service system for technology-driven enterprises, focusing on early-stage and small-scale businesses [3]. 2. Expanding inclusive financial services for small and micro enterprises, particularly in automotive and supply chain finance [3]. 3. Accelerating the establishment of green finance initiatives, targeting high-quality clients in green industries [3][4]. Group 3: Convertible Bonds - The bank is progressing with its convertible bond strategy as a means to supplement its core Tier 1 capital, having issued 20 billion yuan in convertible bonds in January 2021, maturing in January 2027 [5]. - The bank's stock price is currently above the conversion price of the convertible bonds, and it plans to enhance its market value management and operational efficiency to facilitate the conversion process [5].