证券研究报告|宏观研究报告 [Table_Date] 2026 年 2 月 27 日 [Table_Title] 2026，理财重迎"净值化"的变局 [Table_Title2] 2026 年投资展望系列之十五 [Table_Summary] ►2025 年，净值平滑的终年 回眸 2025，理财全年运行呈现出三个核心特征： 特征 1：净值波动成为常态，回撤上限还可控。随着估值整改推 进，理财净值波动的频率和幅度均明显抬升。不过整改也伴随着浮盈 释放，起到了净值平滑的作用。尤其是在市场大幅调整的背景下，借 助浮盈支撑，理财基本将产品回撤上限控制在 10bp 以内。 特征 2：理财收益下破 2.0，实际回报与负债成本之间的矛盾日 益突出。25 年，全市场理财产品平均收益率进一步下滑，首次跌破 2.0%至 1.98%，前一年末为 2.65%。而在负债端，受制于渠道业绩 压力制约，理财的业绩基准下调幅度渐缓，这也使得理财产品实际业 绩与业绩基准下限之间的安全垫逐步压缩，部分产品已出现倒挂。 特征 3：存量浮盈托底&存款搬家，规模创历史新高。在整体业 绩持续走低的背景下，2025 年理财规模实现"逆势"扩张，全年累计增 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - From January 26th to January 30th, the performance of general credit bonds was stronger than that of secondary capital bonds, possibly due to some institutions taking phased profit - taking after the yields of secondary capital bonds declined for two consecutive weeks. Large banks increased their allocation of interest - rate bonds due to abundant liabilities, small and medium - sized banks became more cautious, wealth management products increased their allocation of low - volatility amortized cost - based bond funds under the net - value constraint, and insurance preferred local government bonds. In the next few weeks, the concentrated opening of amortized bond funds will benefit specific - term credit bonds, and the market of secondary capital bonds is driven by the buying power of funds and insurance, with different yield performances for each term. In terms of future allocation, it is recommended to focus on 5 - year AA+ and AAA urban investment bonds with more attractive interest - rate differentials, and for secondary capital bonds, focus on the allocation opportunities of medium - and long - term varieties after phased profit - taking and the warming of market sentiment [3]. - The overall credit bond market recently followed the fluctuations of interest - rate bonds but showed relative resilience. Urban investment bonds generally outperformed secondary and perpetual bonds. The short - end interest rates of interest - rate bonds rose due to the temporary tightening of the capital market, while the long - end and ultra - long - end interest rates fluctuated under the alternating influence of stock market sentiment and policy expectations. The weakening participation of trading - type funds in ultra - long - term interest - rate bonds led to a shift of funds to credit bonds, which is a key reason for the relatively better performance of credit bonds [7]. - The behaviors of major investment institutions have significantly diverged, affecting the supply - demand pattern of credit bonds. Large banks increased their net purchases of interest - rate bonds due to asset shortages and abundant liabilities, which created conditions for the narrowing of credit spreads. At the end of 2025, wealth management products slightly increased their holdings of credit bonds but significantly increased their holdings of public funds, cash, and deposits. This reflects the demand for stable asset net values under the net - value transformation [8]. - In the future, asset supply and specific product cycles will directly affect the credit bond market. Although the supply of government bonds in January was large, the market interest rates remained stable due to the active participation of insurance and other allocation funds, providing a good allocation window for credit bonds. The upcoming opening peak of amortized cost - based bond funds in the next 16 weeks will bring re - allocation demand for corresponding - term credit bonds, and the deepening of the net - value transformation of wealth management products may increase the demand for medium - and long - term amortized bond funds, benefiting medium - and long - term credit bonds [9]. - The recent strong market of secondary capital bonds is driven by the implementation of the new public - fund fee regulations, the structural change of bond - type funds, and the hot sales of dividend - insurance products. Currently, the market has shown signs of differentiation. The yields of 1 - 3 - year varieties have fallen back to near the previous lows, with a narrowing spread protection space, while the 5 - year, 7 - year, and 10 - year varieties still have a certain spread protection margin and relatively high allocation cost - effectiveness. The market rhythm is expected to slow down, and medium - and long - term secondary capital bonds still have certain allocation value. In terms of the allocation strategy, it is recommended to focus on 5 - year AA+ and AAA urban investment bonds and medium - and long - term secondary capital bonds with relatively sufficient spread protection [10]. 3. Summary According to Relevant Catalogs 10Y Treasury Bonds: Large Banks Net Buy, Small and Medium - Sized Banks Net Sell - Since January 7, 2026, as the yield of 10 - year treasury bonds gradually declined, the net purchase volume of 7 - 10 - year treasury bonds by large banks showed a fluctuating upward trend, with a single - day peak of 14.105 billion yuan. The increase in large - bank purchases of 10 - year treasury bonds has created conditions for the narrowing of credit spreads. On the demand side, bank deposits have shown super - seasonal growth, increasing the scale of on - balance - sheet funds and reducing the pressure on the liability side. On the supply side, the slow issuance of government bonds, especially local government bonds, has created an asset gap, forcing large banks to increase their net purchases [19]. - In contrast, small and medium - sized banks have a more obvious left - hand trading characteristic in bond investment. Since January 7, 2026, as the yield of 10 - year treasury bonds declined, their willingness to allocate medium - and long - term treasury bonds decreased. Their conservative trading strategy is a passive choice due to the weakening of the traditional profit model. The narrowing of the interest - rate spread of 3 - year large - denomination certificates of deposit between representative city commercial banks and large banks has limited their bond - allocation funds, and the increasing difficulty and risk of obtaining capital gains through trading in the volatile bond market have made them more cautious, focusing on stable coupon income [24]. Bank Wealth Management: Slightly Increase Holdings of Credit Bonds, Focus on Low - Volatility and High - Liquidity Assets - At the end of 2025, bank wealth management slightly increased its holdings of credit bonds, focused on increasing the allocation of public funds, cash, and bank deposits, and reduced its holdings of equity - type assets and inter - bank certificates of deposit. The proportion of bond investment was at a low level in recent years. The increase in public - fund investment may be related to the increase in the allocation of amortized cost - based bond funds and bond ETFs, and the increase in cash and bank - deposit investment may be due to the temporary increase in the supply of inter - bank deposits at the end of the year and the relatively attractive interest rates. The decrease in the scale of equity - type assets and inter - bank certificates of deposit may be due to the contraction of the net supply of inter - bank certificates of deposit [30]. New Trends in the Long - Term Bond Market: Slower Brokerage Trading, Insurance Allocation Shift - At the beginning of the year, the concentrated short - selling behavior of brokerage self - operation in 30 - year treasury bonds, combined with the weak承接 power of insurance and other allocation funds, suppressed the trading sentiment of interest - rate bonds. Trading - type investors, represented by funds, reduced their participation in 30 - year treasury bonds and shifted some funds to credit bonds, which is an important reason for the relatively better performance of credit bonds. The selling amount and borrowing balance of 20 - 30Y treasury bonds by brokerage self - operation have declined recently, but they are still at a relatively high level. Insurance institutions prefer local government bonds over 30 - year treasury bonds, mainly for the relatively higher coupon and continuous tax advantages [33]. Is the Supply of Government Bonds in January in Line with Expectations? - Although the supply of government bonds in January was large, the active participation of allocation funds, mainly insurance, in local government bonds effectively alleviated the supply pressure, and the market interest rates remained stable, providing a good allocation window for credit bonds. The actual issuance volume of government bonds in January 2026 was higher than the planned volume, and the issuance scale was basically the same as that of the same period in 2025. After adjusting for seasonal factors, the issuance scale was actually similar to that of the previous year [40]. Future 16 Weeks: Peak Opening of Amortized Bond Funds, Benefiting Corresponding - Term Credit Bonds - The next 16 weeks will be the peak opening period of amortized bond funds, with those with a fixed - opening period of less than 1 year and more than 5 years being the main types, which will have a positive impact on corresponding - term credit bonds. The demand of wealth management products for stable net values may benefit medium - and long - term credit bonds. The opening scale in February is small, but there will be a peak in March. The term structure shows that in February, bonds with a term of more than 5 years are the main type, and in March, bonds with a term of less than 1 year are the main type, which may increase the demand for corresponding - term credit bonds [48]. Adjustment of Cash - Bond Trading Data Caliber: Institutional Classification and Callable Bond Terms - The adjustment of the institutional net - purchase data caliber implemented in 2026 includes two dimensions. One is the simplification of the classification of all - market institutions, and the other is the adjustment of the calculation rule of callable bond terms from being based on the maturity date to being based on the exercise date. After the adjustment, the configuration behavior of wealth - management funds needs to be tracked through the "other" category, and the previous method of judging institutional allocation behavior of secondary capital bonds based on the net - purchase data of 5 - 10Y "other" - type bonds is no longer applicable [52]. How Long Will the Secondary Capital Bond Market Last? - The recent strong market of secondary capital bonds is driven by the improvement of policy expectations, the structural adjustment of bond funds, and the allocation demand of dividend - insurance products. Currently, insurance mainly undertakes long - term secondary capital bonds such as 10Y, while funds have become the main buyers of medium - and short - term secondary capital bonds since December 2025. However, due to the influence of the spread level of secondary capital bonds of different terms, the daily net - purchase growth rate of funds has slowed down. The yields of 1 - 3Y secondary capital bonds have fallen back to near the lows after the release of the draft new public - fund fee regulations in September 2025, with a narrowing spread protection space, while medium - and long - term secondary capital bonds still have a certain spread protection margin and relatively high investment cost - effectiveness [59]. Bond Allocation Strategy: Slightly Cooled Market Sentiment, Focus on Credit Bond Catch - Up - In the past four weeks, the market has shifted from the dominance of secondary capital bonds in mid - January to the recent leadership of general credit bonds. Based on the current interest - rate differential quantile, valuation level, and rotation rhythm, the next - week allocation priority is adjusted as follows: urban investment bonds (AA+, 5Y) > urban investment bonds (AAA, 5Y) > secondary capital bonds (AAA -, 5Y). The 5Y AA+ urban investment bonds have coupon advantages and certain credit - sinking space, and have clear valuation - repair potential; the 5Y AAA urban investment bonds have low credit risk and good liquidity; the 5Y AAA - secondary capital bonds have a relatively reasonable valuation in their sector. For previously strong varieties, such as 5Y AA and AA(2) urban investment bonds and 10Y local government bonds, caution is recommended in allocation [65].

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - In 2026, the scale of wealth management may grow steadily, but the proportion of credit bond allocation is likely to decline. The behavior of funds will be the core indicator of the credit bond market, and the concentrated opening of amortized bond funds may boost the demand for credit bonds with specific maturities. The growth rate of credit bond ETFs may slow down [1][2][4][5][6] 3. Summary by Relevant Catalogs 3.1 2026 Wealth Management Scale May Grow Steadily, Credit Bond Allocation Proportion Is Hard to Rise - **2026 wealth management scale growth may be in the range of 2.7 - 3.4 trillion yuan**: From 2024 - 2025, the scale of bank wealth management grew steadily, with annual increments exceeding 3 trillion yuan. The core driver was asset re - allocation during the downward cycle of deposit rates. It is estimated that the growth of wealth management scale in 2026 may be in the range of 2.7 - 3.4 trillion yuan [2][13][24] - **The proportion of credit bond allocation in wealth management shows a downward trend**: In 2025, due to the rectification of net - value smoothing methods, the proportion of bond allocation and credit bond allocation in wealth management decreased. In 2026, in the context of full net - value management and a low - spread environment, the proportion of credit bond allocation may be difficult to increase [26] - **Wealth management bond allocation shows seasonal characteristics and focuses on coupon cost - effectiveness**: In 2025, the willingness of wealth management to increase credit bond allocation decreased, mainly concentrating on bonds within 3 years. The bond allocation rhythm of wealth management is affected by scale changes and shows seasonal characteristics [30] - **The net purchase of inter - bank certificates of deposit by other asset management products exceeded that of credit bonds**: In 2025, the proportion of net purchases of credit bonds by other asset management products decreased significantly, while they increased the allocation of inter - bank certificates of deposit, which reflects the wealth management's large - scale increase in inter - bank certificates of deposit through entrusted asset management products for liquidity management [35][36] 3.2 In 2026, Fund Behavior Is the Core Indicator of the Credit Bond Market - **In 2026, the growth rate of bond fund scale may be under pressure**: The new regulations on fund sales fees in December 2025 may weaken the attractiveness of short - term bond funds, and if the pattern of a strong stock market and a weak bond market continues in 2026, it may suppress the growth of bond fund scale [4][43] - **The proportion of funds allocating credit bonds increased, and the duration operation is flexible**: In 2025, the willingness of funds to increase credit bond allocation increased, mainly due to the large expansion of credit bond ETFs and the relative advantage of credit bond coupon strategies in a volatile market. Funds mainly net - bought credit bonds within 5 years in 2025, with flexible duration operations [50][53] - **The concentrated opening of amortized bond funds may drive the demand for credit bond allocation with specific maturities**: In 2026, the concentrated opening of amortized bond funds is expected to exceed 60 billion yuan. If some products turn to a credit - style, it may boost the demand for credit bonds with corresponding maturities, especially medium - to high - grade 5 - year and 3 - year varieties [6][63] - **The growth rate of credit bond ETF scale may slow down**: In 2025, credit bond ETFs achieved leap - forward development, but in 2026, it may be difficult to reproduce the large - scale new issuance, and the scale growth may mainly rely on existing products to attract incremental funds. The scale change of credit bond ETFs is also greatly affected by interest rate trends [6][67][68]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The adjustment of Tier 2 and Perpetual (Two - Yong) bonds may not be over, and they still face risks of callback and repricing. However, they still have certain cost - effectiveness, especially 5 - year high - rating varieties [5][6]. - In the fourth quarter, the bond market is likely to fluctuate and decline, and there are still concerns about the decline in spreads. It is difficult to reproduce the unilateral downward trend in April [5]. - After the official release of the new public offering sales regulations, the spread center of Two - Yong bonds and their yield may rise slightly [5]. 3. Summary According to the Directory 3.1 Two - Yong Bonds' Cost - Effectiveness is Prominent - In September, affected by market risk appetite and rising interest rates, the bond market continued to adjust. After the China Securities Regulatory Commission solicited opinions on the new public offering sales regulations on September 5, the bond market faced redemption pressure. Two - Yong bonds, as heavily - held by public funds, had significant declines, and the yields of 5Y and above Two - Yong bonds reached new highs for the year [5][12]. - In October, the stock market pulled back, the 10Y Treasury bond interest rate declined slightly, and the yields of urban investment bonds and Two - Yong bonds decreased. The Two - Yong bonds with larger previous declines had more obvious recoveries. As of now, the yields and credit spreads of 5Y credit assets are still at relatively high historical percentile levels for the year, and the decline may be limited [5][14]. 3.2 What to Focus on in Two - Yong Bonds - From a macro - fundamental perspective, Sino - US games and a weak economy support the bond market. However, the stock market rebound in October and concerns about the new public offering sales regulations still pose concerns about the decline in yields of quasi - interest - rate varieties [20]. - In terms of supply structure, the redemption of Two - Yong bonds reached a new high in September, the net financing gap widened, and banks faced capital replenishment pressure. In the fourth quarter, the supply of Two - Yong bonds may not be weak due to "redeeming old and issuing new" [5][23]. - From the perspective of institutional behavior, the spread trend of Two - Yong bonds is more related to the net purchases of funds, wealth management products, and securities firms. Currently, the liquidity of Two - Yong bonds is okay, but the buying power of funds is not strong. The impact of the official release of the new public offering sales regulations remains to be observed [27]. - Historically, the bond market in the fourth quarter is likely to show a pattern of fluctuating recovery, and it mostly moves sideways in October. Currently, the trading volume and turnover rate of Two - Yong bonds have rebounded, and the decline space is limited. Attention can be paid to the effect of the interest - rate amplifier of Two - Yong bonds on increasing returns when interest rates decline [47]. 3.3 Which Two - Yong Bonds Still Have Cost - Effectiveness - From the perspective of asset comparison, except for 3Y - AA+ Tier 2 capital bonds, the historical percentiles of the yields of other Two - Yong bonds are higher than those of other varieties with the same maturity, still having certain cost - effectiveness. The yields of 3Y implied AAA - and AA+ perpetual bonds are higher than those of medium - short - term notes and Tier 2 capital bonds of the same maturity, at 76% and 18% historical percentile levels for the year respectively. The yields of 5 - year Tier 2 capital bonds and perpetual bonds are higher than those of other credit assets, and the yields are all at more than 16% historical percentile levels for the year [53]. - From the perspective of credit spreads, high - implied - rating Two - Yong bonds have relatively higher cost - effectiveness, especially 5Y Tier 2 capital bonds. The 3Y implied AAA - perpetual bonds have relatively large spread compression space compared with Tier 2 capital bonds of the same rating and maturity, at the 50% historical percentile level for the year. The spreads of 5 - year high - implied - rating Two - Yong bonds compared with general credit bonds are more sufficient, and the 5Y implied AAA - perpetual bonds are worthy of attention, with a credit spread of 66bp, at the 59% historical percentile level for the year [58].

Core Viewpoint - The article highlights a significant shift in the asset allocation of wealth management products in China's banking sector, indicating a trend towards more conservative investment strategies due to regulatory pressures and market conditions [2][4][6]. Asset Allocation Changes - The proportion of cash and bank deposits in wealth management products increased from 23.9% (approximately 7.68 trillion yuan) at the end of 2024 to 24.8% (approximately 8.18 trillion yuan) by mid-2025 [2]. - Conversely, the allocation to bonds decreased from 43.5% to 41.8%, with the balance dropping from 18.6 trillion yuan to 18.33 trillion yuan [3]. - Equity assets also saw a decline, with the balance falling from 0.83 trillion yuan (2.58%) at the end of last year to 0.78 trillion yuan (2.38%) by mid-year [3]. Investment Style - The investment style of wealth management funds has become increasingly conservative, reflecting a heightened sensitivity to net asset value fluctuations among clients [4][6]. - The trend of short-term funding sources for wealth management products has raised concerns among industry professionals, as new products are being launched with shorter durations and low-risk profiles remain dominant [7]. Regulatory Impact - Since 2024, various technical methods for stabilizing net asset values have been prohibited, forcing wealth management funds to revert to conservative asset allocations [8]. - The regulatory environment has led to a reliance on low-volatility assets, despite attempts to diversify into equities [8]. Liquidity Risk Management - The significant allocation to interbank deposits, while meeting low-volatility requirements, poses potential liquidity risks [9]. - Current regulations limit the investment in illiquid assets to 15% of the net asset value for open-ended public wealth management products, yet many products exceed this limit through indirect investment channels [10][11]. Industry Practices - Some wealth management firms are reportedly circumventing liquidity restrictions by channeling investments through trust or insurance products, which allows them to bypass direct investment limits [10][12]. - This practice raises concerns about the actual liquidity of assets held within these products, as a high proportion may be tied up in illiquid investments [11][13]. Conclusion - The article suggests that the wealth management industry is constrained by a "low volatility" mandate, which may hinder the transition to a more dynamic and transparent investment approach [12][13].

Group 1: Report's Core View - The capital flow of wealth management products is an important influencing factor in the credit bond market. This report analyzes the changes in wealth management scale and bond - allocation behavior under the background of net - value transformation to enrich the credit bond analysis framework [1][9] Group 2: Wealth Management Scale Trends 2.1 Overall Scale and New Product Term - Deposit interest rate decline drives deposit transfer to wealth management, leading to an increase in wealth management scale. As of Q1 2025, the wealth management product scale reached 29.14 trillion yuan. The average 1 - year fixed - deposit rate of the six major banks was only 0.96% in June 2025, while the wealth management yield was 3.01%. Newly issued products are mainly closed - end, and the term of new products has been extended, with the proportion of new wealth management products with a term over 1 year reaching 47% in June 2025, up about 14 percentage points from March 2024 [10][12] 2.2 Main Expansion Force - Open - ended products are more popular among individual investors. In 2024, the scale of open - ended products increased by 2.7 trillion yuan year - on - year, while that of closed - ended products increased by only 160 billion yuan. The minimum - holding - period products are the main expansion force of wealth management products in 2024, balancing liquidity and yield. As of the end of June 2025, the average maximum drawdown of minimum - holding - period products in the past 1 year was 0.18%, the lowest among open - ended products, and the average annualized yield in the past 1 year reached 2.53%, about 70bp higher than daily - open products [16][17] Group 3: Impact of the "Impossible Triangle" on Bond - Allocation Style 3.1 Bond Allocation Changes - To stabilize the net value of wealth management products, wealth management has reduced bond allocation in recent years and increased the allocation of cash and bank deposits with higher liquidity and lower valuation fluctuations. As of Q1 2025, the scale of wealth management investment in bonds, cash and bank deposits, and inter - bank certificates of deposit was 13.68 trillion yuan, 7.27 trillion yuan, and 4.20 trillion yuan respectively, accounting for 43.9%, 23.3%, and 13.5% of the total investment assets, with changes of - 6.5%, 5.8%, and 0.2% respectively compared to Q4 2022 [23] 3.2 Credit Bond Allocation - Credit bonds are the main investment direction of wealth management funds, accounting for 41% of the total investment assets. As of the end of 2024, the proportions of interest - rate bonds and credit bonds in bond investment were 5% and 95% respectively. In Q1 2025, wealth management preferred to allocate urban investment bonds, secondary perpetual bonds, and industrial bonds, accounting for 35%, 26%, and 23% of credit bonds respectively. Due to the short - term nature of most wealth management products and the instability of the liability side, the duration of credit bond allocation is short [33][37] 3.3 Increased Fund Entrustment - It is difficult for wealth management to meet the performance benchmark by directly investing in bonds. In Q2 2025, the wealth management performance benchmark dropped to 2.88%, still 84 - 87bp higher than the yields of 3Y AA(2) urban investment bonds and 7Y AA+ secondary perpetual bonds. With the blockage of insurance and trust channels, wealth management has increased entrusted investment in funds. The proportion of wealth management's penetrated investment in funds has been rising, indicating an increasing importance of entrusted funds [39][47] 3.4 Bond - Buying Behavior after Self - Built Valuation Model Restrictions - The "self - built valuation model" is a new way for wealth management to smooth net - value fluctuations but has problems such as liquidity risk and unfair returns. After the restriction of the self - built valuation model, some wealth management may reduce the allocation of long - term secondary perpetual bonds and medium - low - rated credit bonds and increase the allocation of short - term high - rated bonds [52][53] Group 4: Impact of Wealth Management on the Credit Bond Market 4.1 Influence of Scale Changes - The bond - allocation rhythm of wealth management is highly correlated with the scale change, which affects the credit spread trend. When the wealth management scale rises, the credit spread tends to narrow; when it falls, the credit spread tends to widen. The seasonal change of wealth management scale also makes the credit spread show seasonal characteristics. Quarter - beginning is a good time for credit spread compression, especially from August to the end of the year. September is a good allocation window, but beware of widening credit spreads in November [3][57] 4.2 Observing Market Adjustment from Wealth Management - During bond market adjustments, pay attention to the risk of "redemption tides". The "redemption tide" occurs when wealth management passively sells bonds due to significant net - value drawdowns. The "redemption tide" is accompanied by an increase in the net - value break - even rate. When the weekly环比 change of the 4 - week rolling net - value break - even rate exceeds 6%, the possibility of a "redemption tide" increases. The maximum drawdown rate of wealth management products can be a leading indicator of credit spread changes, leading by about 7 - 60 days [3][64]