横盘之后，是涨是跌？ ——流动性周报 20251123 证券研究报告：固定收益报告 发布时间：2025-11-24 研究所 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 近期研究报告 《从资管信托新规，看银行理财变局— — 机 构 行 为 专 题 二 20251120 》 - 2025.11.21 固收周报 ⚫ 上涨面依然大于下跌面 观点回顾：四季度债市或在震荡中前行。对短端而言，高配置价 值和交易价值是实实在在的，存单年末还将存在一定的供给压力，但 出现负反馈的概率不高，在资金稳定宽松背景下，同业存单利率处于 高配置价值区间，年末有超预期下行的可能。对于长端而言，前期期 限利差的扩张，给予了长端一定的修复空间。依然坚持四季度债市利 多因素多发，但赎回压力持续存在，需要以区间震荡思路做交易的判 断。随着宽松预期的升温，不妨对后期后续的债市行情更乐观点。 债市进入盘整状态，甚至不对风险偏好做出反应。近几周，债市 波动收窄的程度依然超出预期，即收益率波动幅度明显收窄，仅仅因 房地产政策预期等因素而出现小幅波动，甚至在全球风险偏好明显收 ...

Group 1: Open Market Operations - The central bank conducted a 7-day reverse repurchase operation on November 17, with a fixed rate of 1.40% and a total amount of 283 billion [1] - On the same day, 119.9 billion in reverse repos matured, resulting in a net injection of 163.1 billion [1] Group 2: Funding Conditions - The central bank continued net injections in the open market, with overnight repurchase rates rising approximately 14 basis points to around 1.51% due to tax periods and year-end bank liabilities [3][5] - The overnight financing rate in the U.S. was reported at 4.00% [3] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit was stable at 1.64% [8] Group 4: Government Bond Futures - The closing prices for government bond futures showed increases: 30-year contracts rose by 0.33%, 10-year by 0.09%, 5-year by 0.05%, and 2-year by 0.03% [13] Group 5: Fiscal Revenue - From January to October, the national general public budget revenue reached 18.649 trillion, a year-on-year increase of 0.8%, with tax revenue at 15.3364 trillion, up 1.7%, and non-tax revenue at 3.3126 trillion, down 3.1% [14] - The central government’s budget revenue was 8.1856 trillion, down 0.8%, while local government revenue was 10.4634 trillion, up 2.1% [14] Group 6: Foreign Holdings in Bond Market - As of October 2025, foreign institutions held 3.73 trillion in the interbank bond market, accounting for 2.2% of the total custody amount [15] - Foreign institutions held 2.04 trillion in government bonds, 0.78 trillion in interbank certificates of deposit, and 0.75 trillion in policy financial bonds [15] Group 7: Global Macro - Japan's Q3 GDP showed a quarter-on-quarter decline of 0.4%, marking the first negative growth in six quarters [17] - The Bank of Japan is maintaining a loose monetary policy stance to achieve a stable inflation target of 2% [17]

国债期货长端表现稍强，周内先上后下，30年期主力合约全周上涨0.11%，10年期主力合约下跌0.06%，5年期主力合约下跌0.04%，2年 期主力合约下跌0.02%。 中证转债指数全周震荡上行，逼近前高，周线上涨0.52%，收盘报491.71。 一级市场 新华财经北京11月17日电（王柘）上周（2025年11月10日至11月14日）资金面边际收紧，债市横盘震荡。10年期国债活跃券收益率收于 1.805%，变动-0.1BP，全周振幅不足1.5BP。央行发布10月金融数据整体偏弱，信贷增速延续回落，三季度货币政策执行报告影响较中 性。债市行情明朗仍有待更多信号。 行情回顾 2025年11月14日，中债国债到期收益率1年期、2年期、3年期、5年期、7年期、10年期、30年期、50年期较2025年11月7日分别变动 0.59BP、-0.25BP、-0.52BP、-0.57BP、-0.1BP、-0.02BP、-1BP、4.8BP。 | | | 中 债国债收益率曲线(到期)$ | | | --- | --- | --- | --- | | 标准期限(年) | 11月7日 | 11月14日 | 变动BP | | 0 | 1 ...

绩优债基的"制胜之道" 证券研究报告 25Q3 绩优债基季报分析 绩优债基样本筛选及总览 1）筛选标准 我们依据基金规模、是否为摊余定开基金、是否有大额赎回或较大回撤、 业绩表现等指标筛选出绩优基金样本。其中，在基金类型划分上，我们依 据持仓情况将中长期纯债基进一步划分为利率债基、信用债基、利率信用 混合债基。 固定收益 | 固定收益专题 2）规模与业绩总览：利率债基&利率信用混合债基"小"才"美" 整体来看，三季度纯债基表现普遍不佳，其绩优"尖子生"较整体的业绩 差距也并没有很大。在绩优纯债基里，利率信用混合债基表现更佳。和混 合型债基对比来看，纯债基里的绩优"尖子生"业绩表现也不如混合型债 基的整体水平。而在混合型债基中，绩优基金的业绩较整体水平明显拉开 了差距。 纯债基的业绩压力相应带来了规模的萎缩。其中，绩优债基虽然维持了正 增长，但增速也较为有限。分类型来看，利率信用混合债基表现更优，短 期纯债基规模萎缩压力最大。混合型基金中，混合一级债基规模也出现了 小幅萎缩，混合二级债基规模大幅增长。 25Q3，绩优债基的"制胜之道" 1）杠杆与久期：绩优纯债基降杠杆降久期，绩优混合债基降杠杆拉久期 整体来看， ...

Group 1: Industry Investment Rating - There is no information about the industry investment rating in the report. Group 2: Core Viewpoints - The bond market in the fourth quarter may move in a volatile manner. Short - term bonds have high allocation and trading value, and there is a possibility of an unexpected decline in inter - bank certificate of deposit rates at the end of the year. Long - term bonds have some room for repair due to the expansion of the term spread. Although there are many bullish factors in the bond market in the fourth quarter, redemption pressure persists, and trading should be based on an interval - oscillation strategy. With the increasing expectation of monetary easing, a more optimistic view of the subsequent bond - market situation can be taken [3][10]. - The restart of the central bank's bond purchases in October had a net purchase amount of only 20 billion yuan, lower than market expectations. The restart should be understood more as a signal, and high expectations for the purchase volume should not be held [3][10]. - The key impact on the market lies in whether the central bank will adjust the bond - purchase term to hedge against the potentially concentrated issuance of long - term and ultra - long - term local bonds in November, which may bring significant pressure to the allocation portfolio [4][19]. Group 3: Summary by Directory 1. How to View the Central Bank's Bond - Purchase Scale - **Viewpoint Review**: The bond market in the fourth quarter may move in a volatile way. Short - term bonds have high value, and long - term bonds have repair space. Bullish factors are numerous, but redemption pressure exists. With rising easing expectations, the subsequent bond - market situation can be viewed more optimistically [3][10]. - **Analysis of the Central Bank's Bond - Purchase Scale**: - **From the perspective of liquidity**: The central bank's bond - purchase space comes from the switch between tools. Since the beginning of this year, repurchase and MLF have been the main channels for the central bank to inject medium - and long - term liquidity. The medium - and long - term liquidity injection has been sufficient, especially after the second quarter, so there is no need to rely on the central bank's bond - purchase channel. At the end of the year, the central bank can increase bond purchases to make up for the concentrated maturity of MLF, but the operation space may be within one trillion yuan if mainly relying on bond purchases [10][11][13]. - **From the perspective of the central bank's bond maturity**: The cumulative scale of the central bank's bond purchases in this round should be limited to around one trillion yuan. The restart of bond purchases is a form of "roll - over," and the continuous purchase scale after the restart needs to reach around one trillion yuan to match the maturity volume. Otherwise, it may be a de - facto non - roll - over [15]. - **From the perspective of monthly purchase scale**: To have a relatively neutral impact on the market, the single - period injection scale may be small. If calculated based on a net weekly purchase of 20 billion yuan, the monthly net purchase scale can reach around 100 billion yuan. Concentrated incremental purchases may cause an abnormal decline in short - term Treasury bond yields, which is not what the central bank wants to see [16].

Group 1 - The central bank resumed government bond trading operations in October, with a net injection of 20 billion yuan, indicating a shift towards a more accommodative monetary policy [1] - Analysts from CITIC Securities believe that the central bank's unexpected resumption of bond trading signals an improvement in market liquidity expectations [1] - Zhongyou Securities expresses a more optimistic outlook for the year-end bond market, noting that interbank certificate of deposit rates are currently in a high allocation value range, suggesting potential downward pressure on short-term yields [1] Group 2 - Related products include the benchmark government bond ETF (511100), which focuses on medium to long-term bonds with low fees [2] - The credit bond ETF fund (511200) targets medium to short-term credit bonds, also with low fees and high credit quality [2] - The Sci-Tech Innovation Bond ETF (551550) offers medium to short-term bonds with low fees and high credit quality [2]

Group 1 - The bond market is expected to have a smooth bullish phase in Q4 due to limited supply and increased allocation by banks and insurance funds [1] - Since October 13, various institutions have increased their positions in long-term bonds, while rural commercial banks have significantly reduced their holdings [1] - The central bank's resumption of government bond purchases has established a yield ceiling for bonds, leading to a growing trend of non-bank entities investing in the bond market [1] Group 2 - The scale of actively managed pure bond funds decreased by 743.3 billion, with potential adjustments to punitive redemption fees expected to be a net positive for the market [2] - MLF rates have dropped to 1.60%, indicating a potential future decrease in policy rates, with expectations for 30Y government bonds to decline by nearly 15 basis points [2] - As of November 3, 2025, the 5-10 year government bond ETF has seen a recent increase in trading activity, with a turnover of 153.59% and a total transaction volume of 2.469 billion [2] Group 3 - The 5-10 year government bond ETF reached a new high in scale at 1.608 billion, with recent inflows balancing out [3] - The ETF has shown a net value increase of 21.59% over the past five years, ranking in the top 18.78% among index bond funds [3] - Historical performance indicates a 100% probability of profit over three years, with a monthly profit probability of 70.91% [3] Group 4 - The 5-10 year government bond ETF has a Sharpe ratio of 1.05 over the past year, indicating favorable risk-adjusted returns [4] - The maximum drawdown over the past six months was 1.09%, with a relative benchmark drawdown of 0.46% [5] - The management fee for the ETF is 0.15%, and the custody fee is 0.05% [6] Group 5 - The tracking error for the 5-10 year government bond ETF was 0.027% over the past month, demonstrating its close alignment with the underlying index [7] - The index reflects the performance of actively traded government bonds with maturities of 5, 7, and 10 years [7]

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market, focusing on the impact of central bank policies and market dynamics on fixed income securities, particularly government and credit bonds [1][2][4]. Core Insights and Arguments - **Central Bank Actions**: The central bank's resumption of bond purchases is viewed as a signal of renewed expectations for monetary easing, significantly boosting market sentiment despite limited liquidity increase [1][2][4]. - **Market Sentiment**: Short-term trading sentiment has exceeded expectations, with a notable recovery in market activity following the central bank's actions [2][3]. - **Institutional Buyers**: The primary buyers of long-term government bonds are brokerages and insurance companies, while public funds show limited expectations for future yield declines [3][4]. - **Credit Bond Performance**: The credit bond market has shown strong performance, with demand driven by insurance funds, wealth management products, and asset management products. Public funds have increased their allocation to credit bonds, particularly in the 3 to 5-year maturity range [8][9][11]. - **Yield Movements**: Recent yield declines for government bonds ranged from 8.9 to 11.5 basis points for 1 to 5-year maturities, while credit bonds showed more significant declines for maturities beyond two years [10][12]. Additional Important Insights - **Market Dynamics**: The bond market is expected to face challenges in forming a smooth bull market due to year-end redemption pressures and new public fund fee regulations [6][7]. - **Investment Strategies**: Recommendations include extending duration and focusing on 3 to 5-year AA/AA2 rated municipal bonds, which offer high coupon rates as a core allocation. Super long-term bonds should be approached cautiously, with a focus on liquidity [16][18]. - **Future Market Outlook**: The market's recovery is ongoing, but caution is advised as the absolute yield levels are currently in the historical top 25%, indicating potential risks of rapid increases [14][15]. - **ETF and Insurance Trends**: The growth of new ETF products is limited, and insurance premium growth is not expected to be significant in the fourth quarter, suggesting weaker demand for long-term bonds [17][18]. This summary encapsulates the key points discussed in the conference call, providing insights into the current state and future outlook of the bond market.

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The bond market showed an overall volatile performance in the latest week. On October 31, the yield to maturity of the active 10Y Treasury bond dropped to 1.79%, and the 30Y - 10Y term spread narrowed. Medium - and short - term bonds remained strong [4][10]. - There were three characteristics of institutional behavior this week: large banks increased their purchases of short - term bonds, securities firms increased their allocation of medium - and long - term bonds, and funds allocated more to credit bonds than to interest - rate bonds [4][10]. - In November, the money market rate and short - term bonds are expected to be stable, but the certificate of deposit (CD) rate may not decline significantly. The money market is likely to be stable, and the short - end interest rate is expected to range between 1.35% - 1.40%. Although the 1Y AAA - rated CD rate has dropped to 1.63%, it is less likely to decline further [4][11]. - Interest rates are in a high - probability winning state this year, but the probability of a trending market is not high, yet there are structural opportunities. The October PMI was lower than market expectations, and the fundamentals are generally not negative for the bond market. The 30Y - 10Y Treasury spread, 10Y CDB - 10Y Treasury spread, and 5Y CDB - Treasury spread are at relatively high odds [4][11]. - The short - term performance of Bond 25 Special 06 is strong, but there is a certain risk of interest rate increase. The balance of Bond 25 Special 06 was 247 billion yuan on October 31. The probability of its refinancing next year is small, and there is a "herding" phenomenon among funds holding this bond. If it is not refinanced, it may experience excessive decline [4][12]. 3. Summary by Relevant Catalog 3.1 This Week's Bond Market Review - The bond market was volatile. The 10Y Treasury yield dropped to 1.79% on October 31, and the 30Y - 10Y term spread narrowed. Medium - and short - term bonds were strong [10]. - Large banks mainly bought Treasury bonds with maturities of less than 1Y and 1 - 3Y. Securities firms increased their purchases of 7Y, 10Y, and 30Y Treasury bonds, with low net purchases of policy - financial bonds. Funds continued to allocate more to credit bonds than to interest - rate bonds since October [4][10]. 3.2 Bond Yield Curve Tracking 3.2.1 Key Maturity Interest Rates and Spread Changes - As of October 31, compared with October 27, the 1Y Treasury yield dropped 7.95bp to 1.38%, the 10Y Treasury yield dropped 4.69bp to 1.80%, and the 30Y Treasury yield dropped 6.00bp to 2.14% [13]. - The 30Y Treasury - 10Y Treasury spread dropped 1.31bp to 34.77bp, and the 10Y CDB - 10Y Treasury spread dropped 2.41bp to 13.00bp [14]. 3.2.2 Treasury Term Spread Changes - As of October 31, compared with October 27, the 3Y - 1Y Treasury spread dropped 2.28bp to 3.20bp, the 5Y - 3Y Treasury spread rose 6.31bp to 15.16bp, the 7Y - 5Y Treasury spread dropped 4.14bp to 11.06bp, the 10Y - 7Y Treasury spread rose 3.37bp to 11.86bp, the 20Y - 10Y Treasury spread dropped 1.63bp to 32.88bp, and the 30Y - 20Y Treasury spread rose 0.32bp to 1.89bp [16]. 3.3 Bond Market Leverage and Funding Situation 3.3.1 Balance of Inter - bank Pledged Repurchase - As of October 31, 2025, compared with October 27, the balance of inter - bank pledged repurchase increased by 0.40 trillion yuan to 11.41 trillion yuan [19]. 3.3.2 Changes in Inter - bank Bond Market Leverage Ratio - As of October 31, 2025, compared with October 27, the inter - bank bond market leverage ratio increased by 0.24 pct to 106.85% [20]. 3.3.3 Pledged Repurchase Turnover - From October 27 to October 31, the average daily turnover of pledged repurchase was 6.70 trillion yuan. The average overnight turnover was about 5.75 trillion yuan, and the average overnight turnover ratio was 85.95% [24][27]. 3.3.4 Operation of Inter - bank Funding - Bank funds for lending first increased and then decreased. As of October 31, the net lending of large banks and policy banks was 4.16 trillion yuan, and the net borrowing of joint - stock banks, city commercial banks, and rural commercial banks was 0.36 trillion yuan. The net lending of the banking system was 3.80 trillion yuan [28]. - The daily lending amount of banks first increased and then decreased. As of October 31, the daily lending amount of large banks and policy banks was 3.17 trillion yuan, and that of small and medium - sized banks was - 0.45 trillion yuan [30]. - As of October 31, DR001 was 1.3184%, DR007 was 1.4551%, R001 was 1.4069%, and R007 was 1.4923% [30]. 3.4 Duration of Medium - and Long - Term Bond Funds 3.4.1 Median Duration of Bond Funds - As of October 31, the median duration of medium - and long - term bond funds was 2.65 years (de - leveraged), up 0.05 years from October 27; the median duration (including leverage) was 2.71 years, up 0.07 years from October 27 [40]. 3.4.2 Median Duration of Interest - Rate Bond Funds - As of October 31, the median duration of interest - rate bond funds (including leverage) was 3.73 years, up 0.11 years from October 27; the median duration of credit bond funds (including leverage) was 2.49 years, up 0.14 years from October 27. The median duration of interest - rate bond funds (de - leveraged) was 3.30 years, up 0.01 years from October 27, and the median duration of credit bond funds (including leverage) was 2.45 years, up 0.06 years from October 27 [43]. 3.5 Changes in Bond Lending Balance - As of October 31, compared with October 27, the borrowing volume of 10Y CDB bonds showed volatility [48].

Group 1 - The bond market is experiencing slight fluctuations, with the 30-year government bond ETF down by 0.06% and the 30-year futures contract down by 0.14% as of 10:00 AM [1] - The central bank conducted a 7-day reverse repurchase operation of 342.6 billion yuan at a stable interest rate of 1.40%, while yields on major government bonds have seen a slight increase [1] - Public funds have distributed dividends 3,359 times this year, totaling 168.9 billion yuan, which is a 21.94% increase compared to the same period last year [1] Group 2 - Bond funds continue to provide stable returns and are a significant contributor to the overall dividend distribution, while equity and mixed funds are also showing increased payouts [2] - The Pengyang 30-year government bond ETF is the first ETF tracking the 30-year government bond index, offering T+0 trading attributes, making it suitable for investors looking to manage cash and adjust portfolio duration [2] - The bond market is currently influenced by mixed factors, including potential negative impacts from new fund redemption regulations and the central bank's resumption of bond purchases, which could affect interest rates [2]