固收：年内债券投资思路 20251117 摘要 当前降息预期较低，长短端利率下行空间受限。市场通过挂钩资金或政 策利率的标的测算，短期内降息预期不高，导致长端（如 10 年期国 债）和短端利率（如一年期存单）难有明显下行空间，投资者需谨慎。 年底投资策略应关注机构配置意愿和权益市场表现。机构配置意愿增强 可能压缩国开与国债利差，权益市场春节行情或带动利率上升。绝对收 益考核组合宜选择稍低久期防守，相对收益考核组合可抓住利差压缩机 会，优先选择国开债。 信用债与国开利差较薄，与国债利差较阔。一年期信用债位置较低，三 至五年期仍有空间。二级资本债收益依赖国开调整，选择品种需考虑市 场环境，以确保稳定表现。 明年货币政策预计维持稳增长宽松取向，资金面收敛影响有限。全年经 济增长目标有支撑，年内宽松概率不大，但明年一季度央行可能提前布 局政策宽松，包括降息或降准，需密切关注。 绝对收益考核组合应选择低久期防守，等待加久期机会；相对收益考核 组合应抓住机会，如国开与国债利差压缩。关注赎回新规落地及基金买 入政金债力量变化，以及跨年配置行情的影响。 Q&A 年内债券投资策略的基本逻辑是什么？当前市场对利率的预期如何？ 年 ...

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]

Report Industry Investment Rating No information provided in the content. Core Viewpoints - Entering the fourth quarter of 2025, a new batch of fixed - open bond funds priced using the amortized cost method are entering a concentrated opening period. These products can provide stable and predictable returns, alleviating investors' concerns about the uncertainty of the bond market and attracting market attention [1][11]. - From 2025Q4 to 2026Q2, the fixed - open bond funds with a 3 - 5 - year closed - end period will enter a new opening peak. Attention should be paid to the allocation opportunities of 3 - 5y varieties, including high - grade general credit bonds and policy - financial bonds [5][32]. Summary by Directory 1. Historical Amortized Cost Method Bond Funds - **Open - period Peaks**: Since their establishment in 2019, amortized cost fixed - open bond funds have experienced multiple open - period peaks. The third peak is expected from 2025Q4 to 2026Q2. They were first issued in May 2019, with issuance peaks in Q4 2019 and Q3 2020, and previous open - period peaks in 2022Q4 - 2023Q1 and 2023Q4 [2][11]. - **Bond Allocation Structure**: Policy - financial bonds dominate the bond allocation of existing products, but their proportion has declined in recent years. As of Q3 2025, the proportion of policy - financial bond holdings has dropped from around 90% to around 75% [2][12]. - **Historical Performance**: When amortized cost method bond funds enter the intensive open - period, the heavy - position varieties corresponding to the product's closed - end period perform well. For example, when 3y and 7y funds were concentratedly established or reopened, the spreads of corresponding - term policy - financial bonds were significantly compressed [16]. 2. What's Different This Round? (1) Investor Perspective - **Bank Self - operation**: In the affiliated - party context, the scale of bank self - operation holding amortized cost fixed - open bond funds has remained stable at around 250 billion yuan in recent years, mainly holding products with a term of 3y and above, indicating a stable long - term allocation demand [3][17]. - **Bank Wealth Management**: In 2025, due to the rectification of the valuation - smoothing method through the trust mechanism, bank wealth management has significantly increased its holdings of amortized cost method bond funds. The scale has increased from 1.71 billion yuan in Q4 2024 to 9.3 billion yuan in Q3 2025, a nearly 5.4 - fold increase. Bank wealth management prefers medium - term credit bonds and short - term (3y and within) amortized cost method bond funds [20][23]. (2) Asset Perspective - **Shift in Bond Allocation Preference**: Since 2025, the bond allocation preference of amortized cost method bond funds entering the open - period has shifted from policy - financial bonds to credit bonds. Among the 36 funds that reopened in the first three quarters of 2025, most have changed their bond allocation from policy - financial bonds to general credit bonds, with only 3 still mainly investing in policy - financial bonds [4][26]. - **Reasons for the Shift**: Firstly, the participation of bank wealth management in the investor structure has increased, and they prefer credit bonds. Secondly, in a low - interest - rate environment, institutions pursue higher - coupon - return assets [26]. - **Grade and Term Distribution**: In terms of the top five holdings of these 36 funds, they are mainly AAA - grade high - grade bonds, followed by non - rated bonds. The term is generally in line with the closed - end period of the funds, and subsequent structural opportunities of corresponding varieties can be grasped according to the term distribution of maturing funds [27]. 3. Opportunities for 3 - 5y Varieties under the New Round of Amortized Cost Method Bond Fund Openings - **Open - period Characteristics**: From 2025Q4 to 2026Q2, fixed - open bond funds with a 3 - 5 - year closed - end period will enter a new open - period. The main term shows a switching characteristic of "3 - 5 years → 5 years → 3 years", and the 5 - year variety will reach a maturity peak for the first time since the concentrated establishment of products in 2020 [5][32]. - **Credit Bonds**: With the increasing trend of wealth - management funds, attention can be paid to the spread - compression opportunities of 3 - 5 - year high - grade general credit bonds. However, the credit spreads of 3 - 5y high - grade medium - and short - term notes have been compressed to a relatively low level since 2024, so it is advisable to wait for the implementation of the fund - fee new regulations before seizing allocation opportunities [5][33]. - **Policy - financial Bonds**: Due to the previous selling pressure of funds, the spread quantiles of 3 - 5y policy - financial bonds are at a high level since 2022. After the implementation of the fund - fee new regulations, it is a good allocation time. However, the insufficient incremental funds of new products flowing into policy - financial bonds may lead to a less - effective spread - compression market than before [6][35][37].

Report Industry Investment Rating No relevant content provided. Core View - The probability of a bond market rebound is high. For 30 - year Treasury bonds, the 30 - 10 spread is expected to compress periodically with the bond market rebound. For 20 - year CDB bonds, the variety spread is expected to compress again in the short term [2][3][11][12] Summary by Directory Weekly Review Ultra - long Bond Review - Last week, the central bank announced 20 billion yuan of Treasury bond transactions in October. The A - share market reached 4000 points again, the bond market had a slight correction, and ultra - long bonds declined slightly. The trading activity of ultra - long bonds increased slightly and was very active. The term spread and variety spread of ultra - long bonds narrowed [1][4][10] Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of November 7, the spread between 30 - year and 10 - year Treasury bonds was 34BP, at a historically low level. With economic downward pressure increasing in September, Q3 GDP at 4.8% year - on - year (down 0.4% from Q2), and deflation risks existing (September CPI at - 0.3% and PPI at - 2.3%), the bond market is likely to rebound. The 30 - 10 spread is expected to compress periodically [2][11] - **20 - year CDB Bonds**: As of November 7, the spread between 20 - year CDB bonds and 20 - year Treasury bonds was 15BP, at a historically extremely low level. Considering the economic situation and central bank's actions, the bond market is likely to rebound, and the variety spread of 20 - year CDB bonds is expected to compress again in the short term [3][12] Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 23.9 trillion yuan. As of October 31, the ultra - long bonds with a remaining term over 14 years totaled 23.9836 trillion yuan, accounting for 15.0% of all bonds. Local government bonds and Treasury bonds are the main varieties. By remaining term, the 30 - year variety has the highest proportion [13] Primary Market Weekly Issuance - Last week, the issuance volume of ultra - long bonds was small. From November 3 to 7, 2025, 6.29 billion yuan of ultra - long bonds were issued, a significant decrease compared with the previous week. By variety, Treasury bonds were 2 billion yuan, local government bonds were 4.14 billion yuan, etc. By term, 15 - year bonds were 0.86 billion yuan, 20 - year bonds were 2.01 billion yuan, etc. [19] This Week's Planned Issuance - The announced issuance plan for this week is 13.22 billion yuan, including 2.7 billion yuan of ultra - long Treasury bonds, 10.42 billion yuan of ultra - long local government bonds, and 0.1 billion yuan of ultra - long medium - term notes [25] Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was very active. The trading volume was 1.0951 trillion yuan, accounting for 12.1% of all bonds. The trading activity increased slightly compared with the previous week. By variety, the trading volume of ultra - long Treasury bonds was 790.6 billion yuan, etc. [28] Yield - Last week, due to the central bank's announcement of Treasury bond transactions and the A - share market reaching 4000 points, the bond market had a slight correction and ultra - long bonds declined slightly. The yields of 15 - year, 20 - year, 30 - year, and 50 - year Treasury bonds changed by 3BP, 2BP, 2BP, and 3BP to 2.05%, 2.15%, 2.16%, and 2.23% respectively. Similar changes occurred in CDB bonds, local bonds, and railway bonds [34] Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 30 - year and 10 - year Treasury bonds was 34BP, down 1BP from the previous week, at the 14% percentile since 2010 [41] - **Variety Spread**: Last week, the variety spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 20 - year CDB bonds and Treasury bonds was 15BP, and the spread between 20 - year railway bonds and Treasury bonds was 17BP, with changes of 0BP and - 2BP respectively from the previous week, at the 12% percentile since 2010 [47] 30 - year Treasury Bond Futures - Last week, the main contract TL2512 of 30 - year Treasury bond futures closed at 115.95 yuan, a decrease of 0.63%. The total trading volume was 573,900 lots (down 104,798 lots), and the open interest was 180,600 lots (down 2,293 lots), with a significant decrease in trading volume and a slight decrease in open interest compared with the previous week [49]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Credit spread repair has spread to the medium and long - ends. Interest - rate bonds continued to fluctuate. Credit bond yields at all maturities and ratings decreased significantly, with larger declines at medium and long - ends. Credit spreads at all ratings converged, with more significant compression in 5Y and above varieties [2][5]. - Urban investment bond spreads generally declined by 5 - 6BP. Spreads of external rating AAA, AA +, and AA platforms decreased. By administrative level, provincial and municipal platform spreads decreased by 5BP, and district - county platform spreads decreased by 6BP [2][9]. - Most industrial bond spreads declined, while spreads of mixed - ownership and private real - estate bonds continued to rise. Central and state - owned enterprise real - estate bond spreads decreased, while those of mixed - ownership and private real - estate bonds increased. Coal, steel, and some chemical bond spreads decreased [2][18]. - The yields of secondary and perpetual bonds returned to a fluctuating pattern, with low - grade secondary bonds making up for losses. Yields and spreads of different maturities and ratings showed different changes [2][27]. - The 3Y excess spreads of industrial and urban investment perpetual bonds diverged, while the 5Y excess spreads were stable [2][31]. Summary by Directory 1. Credit Spread Repair Spreads to the Medium and Long - Ends - Interest - rate bonds fluctuated. 1Y, 7Y, and 10Y Guokai bond yields rose by 2BP, 3BP, and 1BP respectively, while 3Y and 5Y yields remained flat. Credit bond yields at all maturities and ratings decreased significantly, with larger declines at medium and long - ends. Credit spreads at all ratings converged, with more significant compression in 5Y and above varieties. Rating and term spreads also showed different changes [5]. 2. Urban Investment Bond Spreads Generally Decline by 5 - 6BP - By external rating, AAA platform spreads decreased by 5BP, AA + and AA by 6BP. Different provinces showed different decline ranges. By administrative level, provincial and municipal platform spreads decreased by 5BP, and district - county platform spreads decreased by 6BP [9][13][15]. 3. Most Industrial Bond Spreads Decline, while Spreads of Mixed - Ownership and Private Real - Estate Bonds Continue to Rise - Central and state - owned enterprise real - estate bond spreads decreased by 3 - 4BP, mixed - ownership real - estate bond spreads increased by 17BP, and private real - estate bond spreads increased by 37BP. Coal, steel, and some chemical bond spreads decreased [18]. 4. The Yields of Secondary and Perpetual Bonds Return to a Fluctuating Pattern, with Low - Grade Secondary Bonds Making up for Losses - 1Y AA + and AAA - grade secondary capital bond yields rose by 1 - 2BP, AA grade remained flat, and all - grade perpetual bond yields rose by 1BP, with spreads compressing by 0 - 2BP. 3Y AAA - grade secondary bond yields rose by 3BP, AA + grade by 1BP, AA - grade decreased by 2BP, and all - grade perpetual bond yields remained flat. 5Y AA + and above - grade secondary bond yields and spreads changed within 1BP, AA - grade spreads and yields decreased by 5BP; all - grade perpetual bond yields rose by 1 - 2BP, and spreads rose by 0 - 1BP [27]. 5. The 3Y Excess Spreads of Industrial and Urban Investment Perpetual Bonds Diverge, while the 5Y Excess Spreads are Stable - The 3Y excess spread of industrial AAA perpetual bonds decreased by 1.62BP to 13.89BP, at the 35.51% quantile since 2015. The 5Y excess spread remained flat at 12.39BP, at the 26.19% quantile. The 3Y excess spread of urban investment AAA perpetual bonds increased by 1.67BP to 6.64BP, at the 8.51% quantile; the 5Y excess spread decreased by 0.08BP to 11.00BP, at the 16.51% quantile [31]. 6. Credit Spread Database Compilation Instructions - Market - wide credit spreads, commercial bank secondary and perpetual spreads, and urban investment/industrial perpetual bond spreads are based on ChinaBond medium - short - term notes and ChinaBond perpetual bond data. Urban investment and industrial bond spreads are compiled and statistically analyzed by the R & D center of Cinda Securities. Historical quantiles are calculated since the beginning of 2015 [36]. - The calculation methods for individual bond spreads, excess spreads, and sample selection criteria are provided [38].

Group 1 - The report indicates that the credit market is experiencing a compression of credit spreads, with institutions favoring short- to medium-term credit bonds due to significant adjustments in long-term bonds [1][10][15] - The overall market sentiment has been influenced by the recent stock market performance, which has increased risk appetite, alongside regulatory impacts that have led to ongoing adjustments in the bond market [2][17] - The report anticipates that the bond market will gradually enter a recovery phase in the fourth quarter, driven by fundamental factors and a potential easing of liquidity conditions [2][17] Group 2 - Seasonal factors suggest that the bond market typically experiences neutral fluctuations in October, with a smoother downward trend expected after December [3][19] - The second batch of Sci-Tech Innovation Bonds ETFs has seen limited growth in scale and lower trading activity compared to the initial batch, although the excess spread remains stable [4][24] - The current steep yield curve for credit bonds indicates that long-term credit yields are relatively high, with specific advantages noted for certain types of bonds, such as secondary capital bonds [5][16]

Group 1 - The credit market in the first half of 2025 can be divided into four phases: a market correction, a recovery phase, a volatile market, and a continuation of market fluctuations with favorable supply-demand dynamics for credit [2][13][28] - The supply side in 2025 shows structural changes, including continued low supply of local government bonds, increasing supply of industrial bonds, and a steady issuance of technology innovation bonds [2][28] - On the demand side, public funds and other products are the main buyers of credit bonds, indicating strong market interest [2][28] Group 2 - Looking ahead to the second half of 2025, supply is expected to remain stable, and the anticipated growth in bank wealth management products will support market demand for credit [3][30] - The expansion of benchmark credit bond ETFs and technology innovation bond ETFs is expected to continue in the third quarter, contributing to market dynamics despite some ongoing debates [3][34] - The liquidity environment remains favorable for the bond market, with a focus on selective paths for credit spread compression, suggesting that concerns about significant adjustments may not be immediate [3][30]

Group 1 - The report indicates that after a significant compression of interest rate spreads, there remains an opportunity for interest rates to break through their current range, with a higher probability of downward movement rather than upward reversal [4][7][13] - Historical patterns suggest that when interest rate spreads are compressed, two scenarios typically arise: either a significant rebound in interest rate bond yields or a downward breakout of interest rate bonds, leading to a widening of credit spreads [7][8] - Current conditions favor the latter scenario, supported by reduced redemption pressure on wealth management products, potential reallocation of bond funds by banks, and a stable demand for bond market investments due to a loose funding environment [9][13] Group 2 - The report highlights that the fixed income market is currently focused on upcoming inflation and financial data releases, including June's CPI and PPI in China, as well as U.S. Federal Reserve meeting minutes [14][15] - There is an expected increase in the supply of interest rate bonds, with a projected issuance of 631.8 billion yuan this week, which is considered high compared to previous years [15][17] - The bond market is experiencing a continuation of the trend of compressing yields, with recent data showing slight fluctuations in yields across various maturities, indicating a lack of momentum for a downward breakout [42][43]

Group 1 - The core viewpoint of the report emphasizes that investment opportunities in the credit bond market for July are hidden in niche varieties, durations, and issuers [6][9]. - The report indicates that the short-end strategy remains stable, with high-grade bonds showing limited excess returns while low-grade bonds continue to be explored [6][9]. - The report notes that the market sentiment in the first week of July is positive, with mid-to-long-term spreads continuing to compress, indicating a market still seeking duration for yield [6][9]. Group 2 - The report highlights that the issuance of credit bonds has significantly decreased, but net financing has increased due to a faster reduction in repayment amounts [22][23]. - It mentions that the average coupon rates for newly issued AAA and AA+ bonds have shown a slight decline, while the issuance costs for mid-to-low grade bonds have increased [22][23]. - The report states that the valuation of credit bonds across various grades and maturities has declined, with mid-to-long-term yields decreasing more significantly than short-term yields [22][26]. Group 3 - The report suggests that the main strategy for urban investment bonds in July is to focus on short-end bonds within a 3-year duration, while extending duration to 5 years where possible [14][19]. - It indicates that the absolute yield gap has narrowed significantly, making further short-end exploration challenging, and emphasizes the need for a balanced approach in duration management [14][19]. - The report identifies specific regions such as Shandong, Sichuan, Tianjin, and Henan as areas for potential exploration in the short-end segment [14][19]. Group 4 - The report notes that credit spreads for urban investment bonds have generally narrowed by about 4 basis points across most provinces, with minimal differentiation between regions [29][30]. - It highlights that the credit spreads for various industries have also contracted by 3 to 4 basis points, indicating a consistent trend across sectors [29][30]. - The report points out that the real estate sector continues to experience significant valuation volatility, reflecting ongoing market challenges [29][30].

Report Industry Investment Rating - Not provided in the given content Core Views of the Report - After the cross - quarter period, the spread compression market of credit bonds will continue. Seasonal decline in interest rates, stable capital, and the risk - taking preference of asset management products are the main reasons. The short - term market for medium - and long - term credit bonds will continue, and the term spread will further compress [5][8]. - The allocation value of industrial bonds can be concerned. The market may chase high - yield subjects, and the follow - up sinking motivation may strengthen. The sectors with thick spreads such as construction local state - owned enterprises, coal state - owned enterprises, etc., are expected to be further explored [5][10]. - There is a callback risk due to the "scar effect" of previous adjustments. For ultra - long - term credit bonds, a small - scale participation is advisable. The rapidly expanding credit bond ETF helps compress the liquidity premium [5][13]. - The Shanghai Composite Index has started a new round of market, and the bullish sentiment has driven up the market risk preference. The underlying logic of the convertible bond market remains unchanged, and the long - term allocation logic is still valid. When the convertible bond valuation reaches an absolute high and the equity market has a small upward trend, it may be a good window period. Convertible bonds can be appropriately added to the position [5][14]. Summary According to the Directory 1. Credit Bonds and Convertible Bonds Views: Spread Compression Market May Continue - The spread compression market of credit bonds will continue after the cross - quarter. The market's risk - taking preference for extending the duration to obtain capital gains may increase, and the term spread of medium - and long - term credit bonds will further compress [5][8]. - The allocation value of industrial bonds is worthy of attention. The market may continue to chase high - yield subjects, and sectors with thick spreads may be further explored [5][10]. - There is a potential callback risk for credit bonds, and ultra - long - term credit bonds can be participated in with a small position. The convertible bond market's basic logic remains unchanged, and it can be appropriately added to the position when the equity market is strong [5][13][14]. 2. Credit Bond Review: The Market Continues to Chase Absolute Coupon Income 2.1 Negative Information Monitoring - From June 23 to June 29, 2025, there were no bond defaults or overdue events. However, there were several cases of corporate rating downgrades and negative events, such as the rating downgrades of Montz New Urbanization Development Investment Co., Ltd. and some overseas companies like Longfor Group [17][18]. 2.2 Primary Issuance: Issuance Volume Declined, and the Financing Cost of Medium - and High - Grade Bonds Slightly Decreased - The primary issuance volume of credit bonds decreased to 300 billion yuan, with the maturity scale remaining flat and the net financing slightly negative. Six credit bonds were cancelled or postponed, with a total scale of 4 billion yuan. The average coupon rates of AAA and AA + grade bonds decreased by 1bp and 4bp respectively [19][21]. 2.3 Secondary Trading: Medium - and Low - Valued, Medium - and Long - Term Bonds Outperformed - Except for AAA - grade bonds, the valuations of credit bonds generally declined, and the spreads of medium - and low - grade credit bonds significantly narrowed. The term spread of each grade mainly narrowed, and the 3Y - 5Y part continued to outperform. The credit spreads of urban investment bonds in most provinces widened by about 2bp, while industrial bonds fluctuated slightly and outperformed urban investment bonds. The liquidity of credit bonds weakened slightly, with the turnover rate dropping by 0.06pct to 2.25% [25][29][34]. 3. Convertible Bond Review: Convertible Bonds Rose Significantly, and the Right - Side Window Opened 3.1 Market Overall Performance: The Stock Market Continued to Rise, and Convertible Bonds Followed Strongly - From June 23 to June 27, 2025, major stock indices rose. The leading convertible bonds outperformed their underlying stocks, and some convertible bonds were actively traded [39]. 3.2 Convertible Bonds Followed Strongly, Seize the Right - Side Opportunity - This week, convertible bonds rose significantly, but the average daily trading volume decreased to 7.5907 billion yuan. The CSI Convertible Bond Index rose 2.08%, the parity center rose 3.7% to 98.0 yuan, and the conversion premium center fell 2.8% to 25.9%. Medium - and low - rated, small - cap, and high - priced convertible bonds performed well [43].