固收 信用：年末或有一定波动 20251125 摘要 摊余成本债基转向信用债投资，尤其集中在 3-5 年期普信债，推动信用 利差压缩至年内新低，但需考虑国开债切券的影响，实际利差空间已不 大。 摊余成本债基建仓仍在进行中，预计将持续支撑 3-5 年期信用债表现至 12 月底或明年 1 月，但二永债受流动性和定价逻辑影响，其比价未来大 概率回落。 12 月份市场波动性可能增加，历史数据显示四季度信用利差压降受政策 影响显著，今年年初至今利差已大幅压缩，需警惕流动性扰动。 当前信用债市场面临政策预期和资金面波动的不利因素，利差压降空间 有限，广普利率下行是关键，但年内整体利率下行难度较大。 短期信用债抗波动能力弱，性价比不高；中长期信用债虽有摊余成本债 基支撑，但需谨慎；超长期限信用债可考虑止盈，博弈未来货币政策宽 松。 若未来货币政策宽松，5 年以上中长期信用债或有反应，而 5 年以内中 短期信用债因已处低位，跟随速度可能较慢，压缩空间有限。 二永债比价优势明显，未来货币政策宽松或摊余成本建仓结束后，比价 回落可能带来收益，在票息和抗波动能力上优于 3-5 年普信债。 展望四季度末及 2026 年初，我们认为 ...

证券研究报告|宏观研究报告 [Table_Date] 2025 年 11 月 23 日 [Table_Title] 等待风口 [Table_Summary] 11 月中上旬，四季度第一批基本面落地，尽管数据难言乐观，但 央行对进一步实施"宽货币"的态度仍偏谨慎。"弱现实"与"货币慢 发力"之间，市场选择定价后者，债市博弈降息的热情相应下降，10 年国债收益率暂未脱离 1.80%的中枢水平。 ►为什么涨不动 缺乏增量资金以及成交结构改变或是两个重要因素。增量资金维 度，三季度以来的存款脱媒过程中，资金主要流向了理财与保险。然 而，这两类机构并没有显著增加债券的配置。理财并非利率债的常规 买盘，且其债券持仓比例也在逐季压缩，取而代之的是存款类资产的 增加；而保险三季度债券投资占比由 49.3%下滑至 48.5%，12 个季度 以来首次压降债券仓位，而股票持仓占比相应提升，这意味着保险对 于债券配置的刚需也不强。 成交结构方面，10 年国债、10 年国开债活跃券的单日成交笔数均 较 10 月中下旬成交高点几乎砍半。此外，作为债市行情重要的发动 机，公募基金、资管产品当前的交易重心逐渐由利率板块迁移至信用 板块，银行 ...

证券研究报告 固收 2025 年 11 月 23 日│中国内地 利率周报 华泰研究 张继强 研究员 zhangjiqiang@htsc.com +(86) 10 6321 1166 仇文竹* 研究员 SAC No. S0570521050002 qiuwenzhu@htsc.com +(86) 10 6321 1166 吴宇航* 研究员 SAC No. S0570521090004 wuyuhang@htsc.com +(86) 10 6321 1166 欧阳琳* 研究员 SAC No. S0570525070010 ouyanglin@htsc.com "五组利率比价关系"的启示 朱逸敏* 联系人 SAC No. S0570124070133 zhuyimin@htsc.com +(86) 10 6321 1166 央行政策利率和市场利率的关系 央行政策利率与市场利率的关系主要关注两个维度：1）OMO→资金利率→ 同业存单/短端国债利率： 5 月以来，DR001 资金利率回到政策利率附近波 动。向后看，央行几大目标更为均衡，资金面大概率延续平稳，货币市场利 率与 OMO 利差预计稳定且延续低位。2）OMO→ ...

股债定价各有独立逻辑，定价的结果或均偏向止盈。 投资要点： 市 场 策 略 周 报 股弱债不强，意味着什么 [Table_Authors] 唐元懋(分析师) 本报告导读： 证 券 研 究 报 告 | | 0755-23976753 | | --- | --- | | | tangyuanmao@gtht.com | | 登记编号 | S0880524040002 | | | 杜润琛(研究助理) | | | 021-38031034 | | | durunchen@gtht.com | | 登记编号 | S0880123090079 | | | 孙越(分析师) | | | 021-38031033 | | | sunyue6@gtht.com | | 登记编号 | S0880525080004 | [Table_Report] 相关报告 区间震荡行情延续 2025.11.22 美元流动性收紧何时缓解 2025.11.18 大行短端买入力度减弱 2025.11.18 本轮移仓有何特征和机会 20251117 2025.11.17 大行融出回落，存单发行提升，6M 期限最多 2025.11.17 请务必阅读正文之后 ...

资金面有所缓和；债市整体走弱 【内容摘要】11 月 19 日，资金面有所缓和，主要回购利率均下行；债市整体走弱；转债市场 有所反弹，转债个券多数上涨；各期限美债收益率普遍上行，主要欧洲经济体 10 年期国债收 益率走势分化。 【财政部在卢森堡成功发行 40 亿欧元主权债券，认购总额超千亿】11 月 18 日，财政部代表 中央政府在卢森堡成功发行 40 亿欧元主权债券。其中，4 年期 20 亿欧元，发行利率 2.401%； 7 年期 20 亿欧元，发行利率 2.702%。这是我国首次在卢森堡发行欧元主权债券，国际投资者 认购踊跃，总认购金额 1001 亿欧元，是发行金额的 25 倍。此次欧元主权债券投资者中，欧 洲、亚洲、中东、美国离岸投资者分别占比 51%、35%、8%、6%，主权类、基金资管、银行和保 险、交易商等类型投资者分别占比 26%、39%、32%、3%。此次发行的债券全部托管在香港金管 局债务工具中央结算系统（CMU），随后将在香港联合交易所和卢森堡证券交易所上市。 【财政部：提前下达 2026 年部分中央财政城镇保障性安居工程补助资金预算】11 月 19 日， 财政部发布通知，提前下达 2026 ...

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1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - **Interest - rate bonds**: From November 7 to November 14, 2025, the central bank conducted a total of 126.37 billion yuan in reverse repurchase operations, with 85.09 billion yuan in reverse repurchases maturing, resulting in a net injection of 41.28 billion yuan. Bank - to - bank funding prices rose. During November 10 - 16, 2025, the primary issuance of interest - rate bonds was 72.6866 billion yuan, and the net financing amount was 39.0322 billion yuan. Most treasury bond yields declined, and the 10Y - 1Y term spread narrowed from 40.97BP to 40.36BP [1]. - **Credit bonds**: From November 10 to November 16, 2025, 935 credit bonds (including inter - bank certificates of deposit) were issued in the primary market, with a total issuance scale of 120.1412 billion yuan, a month - on - month increase of 16.8766 billion yuan; the net financing amount was 2.0711 billion yuan. Most credit bond yields declined [2]. - **Large - scale asset weekly observation**: From November 7 to November 14, 2025, most of the three major US stock indexes rose; European three major stock indexes increased; US bond yields went up; the US dollar index weakened, and non - US currencies were differentiated; crude oil and gold prices rose [3]. 3. Summary by Directory 3.1 Interest - rate Bonds 3.1.1 Liquidity Observation - From November 7 to November 14, 2025, the central bank's full - scale net injection was 41.28 billion yuan. Bank - to - bank funding prices rose, and most exchange - based funds also increased [15]. 3.1.2 Primary Market Issuance - From November 10 to November 16, 2025, the primary market issuance of interest - rate bonds was 72.6866 billion yuan, with a net financing amount of 39.0322 billion yuan. The issuance of local government bonds increased compared to the previous period [25]. 3.1.3 Secondary Market Trading - Most treasury bond and state - owned development bond yields declined, and the 10Y - 1Y term spreads of both narrowed [32]. 3.2 Credit Bonds 3.2.1 Primary Market Issuance - From November 10 to November 16, 2025, 935 credit bonds were newly issued in the primary market, with a total issuance scale of 120.1412 billion yuan, a month - on - month increase of 16.8766 billion yuan; the net financing amount was 2.0711 billion yuan. Asset - backed securities had the largest proportion in terms of the number of issuances, and financial bonds had the highest proportion in terms of issuance amount. Most of the issuances were AAA - rated, and the issuance was mainly for 3 - 5 - year terms. The financial industry had the largest number of issuances [43]. 3.2.2 Secondary Market Trading - Most credit bond yields declined. For urban investment bonds, the 1 - year AA - rated yield declined the most, and the 5 - year AAA - rated yield increased the most. For medium - and short - term notes, the 5 - year AA - rated yield declined the most, and the 10 - year AAA - rated yield increased the most [50]. 3.2.3 One - week Credit Default Event Review - From November 10 to November 16, 2025, the credit bonds of 3 enterprises defaulted [54]. 3.3 Large - scale Asset Weekly Observation 3.3.1 Most European and American Stock Indexes Rose - Most of the three major US stock indexes, European three major stock indexes, and most Asia - Pacific stock indexes rose [55]. 3.3.2 US Bond Yields Rose - From November 7 to November 14, 2025, US bond yields increased, and the 10Y - 1Y term spread changed to 44.00BP [58]. 3.3.3 The US Dollar Index Weakened, and Non - US Currencies Were Differentiated - The US dollar index declined by 0.26% weekly, and non - US currencies showed different trends [60]. 3.3.4 Crude Oil and Gold Prices Rose Weekly - From November 7 to November 14, 2025, gold and crude oil prices increased [66]. 3.4 Investment Recommendations - The macro - economic data in October verified the economic recovery path of "downplaying the aggregate and optimizing the structure". The bond market may remain volatile. Investors are advised to pay attention to the impact of the new fund regulations on the bond market. In the short term, institutional investors may reduce their allocation of pure bond funds and turn to bond ETFs or money market funds. In the long term, the new regulations are conducive to the stability of the liability side of bond funds. It is recommended to seize the band opportunities of interest - rate bonds, focus on high - rated and short - duration credit bonds, and pay attention to the Central Economic Work Conference in December [4].

Core Viewpoint - The bond market is experiencing narrow fluctuations in interest rates, with increasing speculation about potential interest rate cuts and reserve requirement ratio reductions, yet the central bank's monetary policy remains steadfast without immediate changes [1][2]. Economic Data and Market Response - In early November, the first batch of fourth-quarter fundamental data was released, showing inflation exceeding expectations while other indicators, such as credit, fixed asset investment, and real estate sales, fell short [2]. - The central bank has communicated a cautious "loose monetary" signal, indicating that future funding conditions may be more optimistic than the market anticipates, despite downplaying the importance of total financial volume [2][3]. Interest Rate Trends - As of November 17, the interbank bond market showed mixed yield movements, with the 3-month government bond yield rising by 3 basis points to 1.38%, the 2-year yield stable around 1.43%, and the 10-year yield at approximately 1.81% [2]. - Analysts suggest that the bond market may need to adapt to a slower monetary policy response, with expectations for potential interest rate cuts in the future [3]. Future Monetary Policy Expectations - There is optimism among industry insiders regarding the possibility of interest rate cuts, particularly if upcoming economic indicators, such as the November PMI data, do not meet expectations [3][4]. - The central bank's emphasis on "cross-cycle adjustment" and the potential for further easing of monetary policy are seen as supportive of domestic economic recovery [4]. Investment Strategies - Short-term strategies in the bond market are likely to focus on yield spreads and the relative value of different bond types, with a preference for short-term securities due to their higher certainty compared to long-term bonds [5]. - Analysts recommend a "barbell strategy" for bond market positioning, balancing short-term safety with long-term trading opportunities to manage potential market volatility [5]. Year-End Market Dynamics - There is an expectation of profit-taking pressure as the year-end approaches, with institutions advised to maintain positions while being vigilant for signs of market adjustments [6]. - The bond market is characterized by low interest rates, low spreads, and low volatility, which may hinder active trading strategies [6].

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

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