证券研究报告|宏观研究报告 [Table_Date] 2025 年 12 月 21 日 在中央经济工作会议"保持必要的财政赤字、债务总规模和支出总量" 的要求下，市场预期 2026 年政府债净供给规模将在 2025年高基数的背景 下，延续同比提升的趋势，尤其是超长政府债的净供给规模，可能将由今 年的 6.4 万亿元，进一步提升至 6.5-7.2 万亿元。银行、保险等配置盘，或 分别受制于利率风险指标、增量保险收入的等约束，理论上无法顺利承接 庞大的超长端供给。因此，市场在 11-15 日自发对此逻辑进行防御性定 价，超长端利率明显上行。然而实操之中，银行的利率风险考核指标并非 是一成不变的刚性变量，监管可以视当下的特殊情况，合理放松考核尺 度，提升银行消化超长政府债供给的能力。另外，央行也可通过一些特殊 方式，帮助银行完成久期指标的短期出表。 ►主线二：对结构性降息的猜想 由于今年以来居民需求、地产量价数据表现普遍不算乐观，因此，年 末市场开始对降息，尤其是LPR结构性降息存在期待。不过，当前贷款利 率降息需要考量的不仅仅是需求变化的问题，还需兼顾银行低息差压力背 后的金融系统风险。截至 2025 年三季度末 ...

银行间主要利率债收益率普遍下行，30年期国债"25超长特别国债06"收益率下行2.5BPs至2.254%，10年 期国开债"25国开15"收益率下行2.2BPs报1.91%，10年期国债"25附息国债16"收益率下行0.95BPs报 1.843%。 中证转债指数收盘上涨0.94%，报483.16点，成交金额617.86亿元。嘉美转债、大中转债、环旭转债、 春23转债、华懋转债涨幅居前，分别涨20.00%、14.87%、10.00%、6.44%、6.11%。能辉转债、华安转 债、莱克转债、天箭转债、阳谷转债跌幅居前，分别跌6.21%、2.42%、1.40%、1.18%、1.02%。 【海外债市】 北美市场方面，美债收益率集体下跌，2年期美债收益率跌1.45BP报3.485%，3年期美债收益率跌 2.49BPs报3.528%，5年期美债收益率跌2.97BPs报3.695%，10年期美债收益率跌3.12BPs报4.143%，30年 期美债收益率跌3.15BPs报4.813%。 新华财经北京12月17日电（王菁）债市周三（12月17日）小幅走强、长端表现更优，国债期货全线收 涨，银行间现券收益率回落2BPs左右；公开 ...

Group 1: Wealth Management Scale - The wealth management scale increased by CNY 960 billion to CNY 33.61 trillion from December 1-5, indicating a seasonal rebound[1] - The scale is expected to face pressure as December is a traditional quarter-end month, with weekly reductions anticipated starting from the second week of December[1] - Historical data suggests that the weekly decline in wealth management scale could reach CNY 3,000-4,000 billion by the last week of December[1] Group 2: Leverage Rates - The average leverage level in the interbank system rose from 107.13% to 107.37% during the week[2] - Exchange leverage levels slightly decreased from 123.01% to 122.99%, showing a downward trend throughout the week[2] - Non-bank institutions showed insufficient motivation to increase leverage, with their average leverage level declining from 112.19% to 112.10%[2] Group 3: Bond Fund Duration - The duration of interest rate-based medium and long-term bond funds compressed from 3.49 years to 3.36 years, marking a continuous decline over five weeks[3] - In contrast, the duration of credit-based medium and long-term bond funds increased from 2.13 years to 2.20 years[3] - Short and medium-term bond funds saw their durations extend, with average durations rising from 1.38 years to 1.42 years for medium-term funds and from 0.76 years to 0.79 years for short-term funds[3] Group 4: Risk Alerts - Potential risks include unexpected adjustments in monetary policy, liquidity changes, and fiscal policy alterations[4]

证券研究报告|宏观研究报告 [Table_Date] 2025 年 11 月 30 日 [Table_Title] 11 月，理财规模温和增长 [Table_Summary] ►11 月，理财规模小增 700+亿元 非银机构需求回升，非银机构开始加杠杆。平均杠杆水平由前一 周的 111.71%升至 112.19 %。日度来看，由周一的 111.83%逐步加杠 杆至周四 112.55%的区间高点，周五小幅回调 0.62pct 至 111.92%。 ►债基久期继续压缩 11 月 24-28 日，或受基金赎回相关传闻扰动，债市仍然维持震荡格 局。在此背景下，各机构对久期的博弈维持谨慎，利率型与信用型中长债 基继续压缩久期。按照稳定模型计算，利率型中长债基久期周度平均值由 前一周的 3.51 年压缩至 3.49 年，信用型中长债基久期周度平均值则由前 一周的 2.14 年压缩至 2.13 年。 与此同时，中短债基金久期也在压缩，久期均值由前一周的 1.40年压 缩至 1.38 年；短债基金久期中枢则由前一周的 0.75 年小幅升至 0.76年。 风险提示 本周（24-28 日）理财规模转降，环比降 1328 亿元至 ...

Group 1 - The duration of medium to long-term pure bond funds has increased, while short-term bond funds have decreased. The median duration of all medium to long-term pure bond funds reached 2.58 years, up 0.08 years week-on-week, placing it at the 80.40th percentile over the past three years [1][9][18] - The median duration of short-term pure bond funds decreased to 0.95 years, down 0.02 years week-on-week, which is at the 83.50th percentile over the past three years [1][9][18] - The median duration of medium to long-term interest rate bond funds reached 3.69 years, up 0.12 years week-on-week, at the 84.50th percentile, while the standard deviation increased to 2.72, at the 97.10th percentile [1][9][18] Group 2 - The turnover rate of interest rate bonds has decreased, while the turnover rate of credit bonds has increased. The turnover rate of 10-year and above government bonds decreased to 1.92%, at the 49.6th percentile over the past three years [1][9][18] - The turnover rate of 5-7 year medium-term notes increased to 1.23%, at the 28.7th percentile [1][9][18] - Local government bonds in Qingdao, Jiangxi, and Jiangsu have high turnover rates, with valuation spreads of 13.81 bps, 10.93 bps, and 11.36 bps respectively [1][9][18] Group 3 - The leverage ratio in the interbank bond market increased by 0.12 percentage points to 107.17%. The leverage ratio for insurance companies rose by 0.12 percentage points to 128.87%, while the leverage ratio for banks increased by 0.03 percentage points to 102.66% [1][9][18] - The leverage ratio for securities companies decreased by 0.94 percentage points to 224.13%, and the leverage ratio for broad-based funds increased by 0.42 percentage points to 111.89% [1][9][18] Group 4 - The total scale of wealth management products in the market increased by 30.25 billion yuan week-on-week, consistent with seasonal levels, while the net value of wealth management products remained stable at 0.73% [1][9][18] - The scale of fixed-income wealth management products saw significant growth, while other investment types experienced slight changes [1][9][18] - The performance comparison benchmarks for wealth management products showed a decline for those with a duration of one month or less and one to three years, while others remained stable or increased [1][9][18]

Report Investment Rating - The report is bullish on the bond market, predicting that the yield of the 10Y Treasury bond will return to around 1.65%, the 30Y Treasury bond to 1.9%, and the 5Y large - bank secondary capital bond to 1.9% (all referring to non - VAT bonds) by the end of the year [24]. Core Viewpoints - In October 2025, the wealth management scale increased more than seasonally, with the total scale reaching 33.6 trillion yuan at the end of October, up 3.7 trillion yuan from the end of the previous year and 1.5 trillion yuan from the end of the previous month [3][6]. - The average monthly annualized yield of pure fixed - income wealth management products of wealth management companies significantly rebounded in October. The average performance comparison benchmark of newly issued RMB fixed - income wealth management products of wealth management companies has been declining since the beginning of 2022, and the lower limit may reach 2.0% in the future [3]. - The interest - bearing liability cost rate of A - share listed banks has declined rapidly in the past two years. It is expected to fall below 1.60% in Q4 2025, and the liability cost of commercial banks will decline year by year in the next three to five years, supporting the downward trend of bond yields [3]. - The report is bullish on the bond market in the short term. Factors such as high equity positions of institutions like annuities, rapid decline in bank liability costs, loose liquidity, and seasonal patterns are expected to support the bond market [3]. Summary by Directory 10 - month Wealth Management Scale - As of the end of October 2025, the wealth management scale reached 33.6 trillion yuan, hitting a historical high. The increase in October was 1.5 trillion yuan, higher than the average increase of 0.87 trillion yuan from 2021 - 2024. Even with a strong stock market in Q3 2025, the wealth management scale increased by 1.46 trillion yuan, higher than the same period from 2022 - 2024 [6][7][9]. Fixed - income Wealth Management Yield in October 2025 - The performance comparison benchmark of newly issued RMB fixed - income wealth management products has been declining since 2022. In October 2025, the upper limit was 2.61% and the lower limit was 2.13%, and the lower limit may drop to around 2.0% in the future [12][17]. - The average 7 - day annualized yield of cash - management wealth management products was 1.26% as of November 9, 2025, and that of money market funds was 1.11%. The yield of cash - management products was stable at a low level in October [13][15]. - The fixed - income wealth management yield significantly rebounded in October. The average monthly annualized yield of pure fixed - income wealth management products was 3.53% in October, up from 2.15% in September [18]. Investment Advice - The interest - bearing liability cost rate of A - share listed banks decreased to 1.63% in Q3 2025, and it is expected to fall below 1.60% in Q4 2025. In the next three to five years, the liability cost of commercial banks will decline year by year, supporting the downward trend of bond yields [19]. - Given high equity positions of institutions like annuities, rapid decline in bank liability costs, loose liquidity, and expected policy rate cuts, the report is bullish on the bond market. Wealth management products may increase their allocation of credit bonds with a remaining maturity of 3 years or less and long - term industrial and urban investment bonds [24].

Investment Rating - The report indicates a focus on high-quality corporate long-duration bonds and suggests a flexible investment strategy to adapt to market conditions. Core Insights - The Chinese credit bond market has formed with non-financial credit bonds accounting for approximately 32 trillion RMB, presenting potential arbitrage opportunities, particularly in medium-term notes and corporate bonds [1][2] - Historical asset shortages have occurred during periods of loose monetary policy and insufficient real financing demand, with the current environment requiring close attention to policy changes [1][5] - Key investment strategies include focusing on high-quality long-duration products, exploiting regulatory arbitrage opportunities, and increasing allocations to high-grade products for stable returns [1][9] Summary by Sections Current Market Changes - The credit bond market has seen significant changes, with credit spreads remaining low amid an asset shortage and a decrease in default events, limiting trading opportunities based on spread fluctuations [2][11] Major Categories and Characteristics - Credit bonds are categorized into financial and non-financial types, with non-financial bonds primarily comprising short-term financing, medium-term notes, and corporate bonds, which may present arbitrage strategies [3][4] Rating Agency Impact - Rating agencies operate under issuer-paid and investor-paid models, with the latter primarily covering certain bonds in the interbank market. The actual practice still favors rated bonds despite regulatory changes allowing for the cancellation of mandatory ratings [4] Historical Asset Shortages - Four historical phases of asset shortages are identified, characterized by loose monetary policy and insufficient real financing demand, with varying influences from demand and supply factors [5] Feasible Investment Strategies - Current feasible investment strategies include focusing on high-quality long-duration bonds, utilizing arbitrage opportunities between different regulatory systems, and considering undervalued assets during severe asset shortages [7][9] Indicators of Rate Downturn Reversal - Key indicators for potential reversals during rate downturns include changes in fundamentals, stringent financial regulations, and institutional behaviors [8] Credit Spread Volatility - Credit spread volatility is influenced by central bank monetary policy, fundamental changes, and institutional behaviors, with historical events illustrating these impacts [10][12] Future Influencing Factors - Future factors affecting the credit bond market include central bank monetary policy changes, actual or expected fundamental changes, and institutional behaviors such as potential redemption waves [12] Risk Preference Influences - In adverse market conditions, risk preferences for credit bonds are influenced by default events, investor characteristics, liquidity compensation, and leverage operation convenience [13][14] Supply Pressure Impact - Credit bond supply pressure is influenced by corporate financing willingness, cost advantages of financing channels, and regulatory policies, with recent trends indicating a shift towards bond financing due to cost advantages [19][20] Common Investment Strategies - Common investment strategies in the credit bond market include regional and industry rotation, product selection based on market volatility, duration selection based on interest rate trends, and monitoring changes in wealth management product behaviors [21][22]

Investment Rating - The report maintains a "Buy" rating for the banking industry, indicating an expected investment return exceeding the market benchmark index by over 15% in the next 6-12 months [1]. Core Insights - The third quarter report reveals that despite market fluctuations, the banking wealth management scale has achieved a year-on-year increase, with an estimated scale reaching 33 trillion yuan [4]. - The report highlights three anomalies in the wealth management data, prompting further analysis of the underlying factors affecting asset allocation and market dynamics [7]. Summary by Sections Wealth Management Scale and Growth - As of the end of Q3 2025, the wealth management scale recorded 32.13 trillion yuan, with a quarterly increase of 1.46 trillion yuan, reflecting a year-on-year growth of 9.4%, which is an improvement of 1.9 percentage points compared to the end of Q2 2025 [4][18]. Product Structure and Asset Allocation - The structure of wealth management products remains stable, with fixed-income products maintaining a 97% share. As of Q3 2025, the balance of fixed-income products was 31.21 trillion yuan, with open-ended and closed-end products maintaining an 80:20 ratio [5][20]. - The asset allocation as of Q3 2025 shows a significant increase in cash and deposits, contributing to a total asset allocation of 34.33 trillion yuan, with cash and deposits accounting for 27.5% of the total, marking a recent high [6][27]. Market Position and Distribution Channels - Wealth management companies have strengthened their market position, with a scale of 29.28 trillion yuan, representing 91.1% of the market share, an increase of 1.5 percentage points from Q2 2025 [7]. - The number of distribution channels for wealth management products has expanded to 583, reflecting a year-on-year increase of 35 channels [7]. Anomalies in Wealth Management Data - The report raises questions regarding the increase in wealth management scale despite pressures on net asset values and declining yields in the bond market, suggesting a "price comparison effect" leading to a shift from deposits to wealth management products [9][10]. - Despite a bullish stock market, the allocation to equity assets in wealth management decreased, attributed to the need for companies to dispose of older products and the common practice of investing through public funds [11][12]. Future Outlook - The report suggests that as the valuation rectification approaches completion, wealth management products will need to enhance their strategies to manage net value volatility while capitalizing on market opportunities [14].

Group 1: Market Dynamics - Since October, the main pricing themes in the bond market have been influenced by the fluctuating U.S.-China relations, particularly regarding tariffs, with the U.S. showing a tendency to extend tariff delays[2] - The recent discussions around public fund redemption fees have intensified, with potential adjustments to the proposed regulations, although no official confirmation has been made yet[2] - The People's Bank of China (PBOC) may not restart bond purchases if the liquidity remains ample, as indicated by the recent behavior of major banks shifting their focus back to shorter-term bonds[2] Group 2: Government Debt Supply - The Ministry of Finance has approved an additional 500 billion yuan in local government bond quotas for Q4, which is expected to have a limited impact on the market due to historical precedents[3] - The net supply of government bonds for October to December is projected to be 10,200 billion, 10,900 billion, and 4,500 billion yuan respectively, indicating a significant reduction in pressure compared to the previous quarter[3] - Concerns about a substantial decline in fiscal stimulus have been alleviated with the approval of the bond quota, reducing fears of liquidity withdrawal by the central bank[3] Group 3: Investment Strategies - Various negative factors have been released continuously, suggesting limited upward movement in yields, with the duration of medium to long-term bond funds decreasing to 3.39 years, close to the low point observed in March[4] - Investors are advised to consider increasing duration positions cautiously, with recommendations to buy during market corrections to mitigate the risk of being trapped in rising markets[4] - For those seeking lower volatility, 10-year government bonds are recommended, while those looking for higher returns may consider 10-year policy bank bonds and 30-year government bonds, which have shown greater yield spread expansion[4]

Core Viewpoint - The report from CITIC Securities indicates a projected decline in bank wealth management scale by 850 billion yuan, reaching 32.11 trillion yuan by the end of September 2025, primarily due to seasonal factors and short-term market dynamics [1] Group 1: Wealth Management Scale - The bank wealth management scale is expected to decrease by 850 billion yuan to 32.11 trillion yuan by September 2025 [1] - The decline is attributed to seasonal withdrawal for parent bank assessments, increased cash demand from investors before the National Day holiday, and capital diversion to equity markets [1] - The drop is larger than the average decline of 660 billion yuan from 2018 to 2024 but lower than the average of 1.1 trillion yuan from 2023 to 2024 [1] Group 2: Future Outlook - After October, the wealth management scale is anticipated to recover as the pressure from quarterly assessments eases and liquidity demand from the holidays decreases [1] - In the long term, the low-interest-rate environment suggests that "fixed income plus" wealth management products will remain a key growth driver for the scale [1] - The monthly scale in October is expected to rebound by over 1 trillion yuan, with the annual peak potentially exceeding 33.5 trillion yuan [1]