固定收益丨深度报告 [Table_Title] 交易增强，配置重构 ——2026 年，机构行为的新变化 %% %% %% %% research.95579.com 报告要点 [Table_Summary] 2026 年，主要金融机构策略分化将重塑债市格局。银行交易属性增强，浮盈兑换压力减小。 若利率敏感性指标约束放松，或为其提供长债配置空间。券商自营在监管支持下延续"债券 筑基、权益增厚"的进取策略。理财全面进入"真净值"时代，产品封闭化与防御性配置成 为主流。公募基金有望借费率新规修复负债端，久期策略或重新打开，对冲工具使用增加。 保险机构则聚焦长期配置，增配长久期利率债与高股息资产。市场整体交易属性增强，配置 策略逐步多元化。 分析师及联系人 [Table_Author] 赵增辉 赖逸儒 SAC：S0490524080003 SAC：S0490524120005 SFC：BVN394 SFC：BVZ968 请阅读最后评级说明和重要声明 2 / 24 1 丨证券研究报告丨 %% %% %% %% research.95579.com 2 [Table_Title 交易增强，配置重构 2] ——2026 年 ...

1. Report Industry Investment Rating No information about the industry investment rating is provided in the given content. 2. Core Views of the Report - Interest rates have a "range", while credit has no clear anchor, and the coupon is more certain. Compared with the yield lows in the second half of last year, the credit of over 3y has not fully recovered, with Tier 2 and perpetual bonds performing better than urban investment bonds [3]. - Compared with the time when the draft of the new regulations on public - fund sales solicitation was released in early September last year, the recovery of Tier 2 and perpetual bonds, especially those over 3y, has been mediocre. In the previous unclear bond - market outlook, the strategy of extending duration for trading - type bonds was not favored [3]. - The supply pressure is not significant. Due to the Spring Festival factor, the issuance of credit bonds generally slows down in January and February. As of January 23, the issuance of non - financial credit bonds was 891.4 billion yuan, which is not large compared with previous years [3]. - The opening of amortized cost bond funds can still be exploited, which is beneficial for credit bonds with maturities of less than 2y and more than 5y. The amortized cost bond funds opened 257.5 billion yuan in the fourth quarter of last year and 264.5 billion yuan in the first quarter of this year. The products' closed - end periods are mainly over 5y and under 2y, which will continue to create new allocation demand for credit bonds and support the long - position market of credit bonds [3]. 3. Summary According to Relevant Catalogs 3.1 Strong Credit Pattern Continues, High Demand for 3 - 5y and Tier 2/Perpetual Bonds - Since the beginning of the year, the credit spread has been passively compressed, and this situation continued last week. The 3 - 5y maturity performed the best. The yields of 3 - 5Y medium - term notes decreased by about 4 - 7bp; the yields of low - grade 3 - 4Y urban investment bonds decreased by about 5 - 10bp; the yields of 3 - 4Y Tier 2 and perpetual bonds decreased by about 3 - 4bp [9]. - From the trading indicators, the credit - bond market is booming. The average trading duration of credit bonds has slightly increased to 2.54 years, the TKN trading proportion has continuously risen from 54.7% in the second week of this year to around 73.4%, and the low - valuation trading proportion has also risen above 70% [17]. - The trading volume of Tier 2 and perpetual bonds has reached the highest level since September last year, showing higher popularity than urban investment bonds [18]. 3.2 Can the Strong Credit Pattern Continue? 3.2.1 Interest Rates Have a Range, Credit Is More Certain - Compared with interest rates, as interest rates are approaching the "lower limit", the downward rhythm of interest rates may slow down in the short term without other positive catalysts. Credit bonds have no absolute reasonable range, and the market still lacks confidence in long - term interest rates. Therefore, in the absence of a liquidity shock in the bond market, the coupon of credit bonds is more certain [20]. - Comparing with four time points (the end of last year, the yield lows of credit bonds in November and July last year, and the time when the draft of the new regulations on public - fund sales solicitation was released in early September last year), the performance of medium - and long - term credit bonds has been outstanding this year, especially the Tier 2 and perpetual bonds have a clear catch - up market. Compared with the yield lows in November and July, the yields of long - term credit bonds still have room to decline, with Tier 2 and perpetual bonds performing better than urban investment bonds, while the short - end yields are already close to or lower than the corresponding points [21]. 3.2.2 The Impact of the New Regulations on Public - Fund Sales Has Not Been Fully Recovered - After the release of the draft of the new regulations in September last year, the market was generally worried that the funds of institutions such as wealth management and bank self - operation would be affected by the redemption regulations in the future and would no longer participate in Tier 2 and perpetual bonds through public - funds. As a result, the price ratio between 5Y AAA - Tier 2 bonds and medium - term notes widened by nearly 20bp from September to December last year. - The implementation of the new regulations on public - fund sales rates at the beginning of this year was better than expected, and Tier 2 and perpetual bonds had a recovery market. The price ratio between 5Y AAA - Tier 2 bonds and medium - term notes compressed by 2.6bp, and the 3Y variety compressed by about 3.7bp. Overall, the recovery of Tier 2 and perpetual bonds has been mediocre, and they may continue to outperform in the future [23]. 3.2.3 The Supply Disturbance of Credit Is Not Significant - From the perspective of bond supply, the issuance of treasury bonds has increased significantly at the beginning of the year, and the primary supply pressure of the interest - rate bond market is greater than in previous years. To support the early implementation of fiscal policies, the issuance of government bonds may continue to increase in the last week of January and February. For credit bonds, due to the Spring Festival factor, the issuance generally slows down in January and February. As of January 23 this year, the issuance of non - financial credit bonds was 891.4 billion yuan, which is not large compared with previous years. Compared with interest - rate bonds, the supply pressure of credit bonds is smaller, which is likely to form a strong credit pattern [30]. 3.2.4 Exploiting the Opening of Amortized Cost Bond Funds - In the first quarter, a large number of amortized cost bond funds entered the intensive opening period again. Calculated based on the fund scale disclosed in the fourth - quarter report of 2025, the scales entering the opening period in January, February, and March were 81.1 billion yuan, 59.4 billion yuan, and 124 billion yuan respectively, with a total of 264.5 billion yuan (compared with 257.5 billion yuan in the fourth quarter of last year). - After the opening period, the products tend to allocate bonds with remaining maturities close to their closed - end periods. The closed - end periods of the products entering the opening period in the first quarter are mainly over 5y and under 2y, with scales of 129.7 billion yuan and 78.1 billion yuan respectively. - The re - allocation of amortized cost bond funds in the fourth quarter of last year was mainly concentrated in credit bonds, and this trend is expected to continue. On the one hand, it enhances the certainty of short - term credit, and on the other hand, it promotes the yields of long - term credit to continue to decline. Since last year, the long - term interest - rate game has been difficult, and the investment income and holding experience of interest - rate bond funds have been inferior to those of credit - bond funds. Therefore, amortized cost bond funds are likely to overweight credit bonds [34]. 3.3 How to View Institutional Behavior - Last week, insurance institutions increased their purchases of general - credit bonds, with a total net purchase of 7.6 billion yuan, mainly increasing the allocation of general - credit bonds with maturities under 3Y, with a new net purchase of 4 billion yuan. The allocation of Tier 2 and perpetual bonds decreased, but the purchase of 5 - 10Y Tier 2 and perpetual bonds increased [38]. - Funds also increased their allocation of general - credit bonds, with a total net purchase of 42.3 billion yuan last week, a month - on - month increase of 11.3 billion yuan. The purchase duration has been slightly extended, with a slight increase in the allocation of 3 - 5Y varieties, and the net purchase of 5 - 10Y varieties turned positive for the first time this year. In terms of Tier 2 and perpetual bonds, funds increased their holdings by 63.6 billion yuan last week, a month - on - month increase of 32.4 billion yuan, mainly increasing their holdings of 3 - 5Y varieties [40]. - The scale of wealth management increased compared with last week. As of January 18, the scale of bank wealth management was 31.57 trillion yuan, remaining basically flat month - on - month. Wealth management increased its holdings of general - credit bonds by 4.5 billion yuan, but the increase was lower than last week. Wealth management changed from net selling to net buying of Tier 2 and perpetual bonds, mainly increasing the allocation of varieties with maturities under 1Y [42][44]. 3.4 Primary - Market Tracking: Increased Supply of Industrial Bonds and Other Financial Bonds - From January 19 to 25 last week, urban investment bonds still had a net outflow, with a net financing of - 25.4 billion yuan, and the net outflow scale decreased. The supply of industrial bonds increased, with a weekly net financing of 133.7 billion yuan [47]. - By province, the top three regions in terms of net financing of urban investment bonds this year are Jiangsu (10.1 billion yuan), Beijing (6.8 billion yuan), and Guangdong (6.7 billion yuan). The top three regions with net outflows are Tianjin (- 7.1 billion yuan), Chongqing (- 5.3 billion yuan), and Hunan (- 4.7 billion yuan) [49]. - By industry, the top three industries in terms of net financing of industrial bonds this week are Building Decoration (19 billion yuan), Food and Beverage (14.7 billion yuan), and Public Utilities (13.3 billion yuan) [51]. - This month, the weighted average issuance duration of urban investment bonds has extended to 3.57 years, while that of industrial bonds has shortened to 1.86 years, and the issuance proportion of bonds with maturities over 5y has significantly decreased. The primary - market issuance sentiment of urban investment bonds has significantly improved, with the proportion of full - field multiples above 3 times increasing to 56%, a month - on - month increase of 14pct. The proportion of full - field multiples above 3 times in the issuance of industrial bonds increased to 22% [53][54]. - Two industrial bonds were postponed for issuance this week, with a total postponed issuance scale of 900 million yuan [57]. 3.5 Secondary - Market Tracking: Significant Increase in the Trading Proportion of 3 - 5y Tier 2 and Perpetual Bonds - The trading proportion of urban investment bonds with short maturities under 1y increased by 1pct compared with last week, that of industrial bonds increased by 3pct month - on - month, and that of Tier 2 and perpetual bonds decreased by 2pct month - on - month, but the trading proportion of 3 - 5y increased by 11pct month - on - month [60]. - This week, the trading proportion of Tier 2 and perpetual bonds with an implied rating of AA+ continued to increase. The trading proportion of urban investment bonds with a rating of AA(2) and below decreased by 1pct month - on - month compared with last week, that of industrial bonds with a rating of AA and below remained flat month - on - month, and that of Tier 2 and perpetual bonds with a rating of AA+ increased by 5pct month - on - month [60].

Group 1 - The report emphasizes the importance of focusing on coupon rates and suggests taking advantage of the 3-5 year credit bond allocation opportunities during the concentrated opening period of amortized cost method bond funds [6][7] - The credit bond market is characterized by strong buying power despite a short-term contraction in liquidity, with a notable shift in demand from short-term to medium and long-term bonds [6][9] - The report indicates that the market will benefit from multiple supportive factors, including accelerated credit issuance by banks and the upcoming concentrated opening period for amortized cost method bond funds, which is expected to provide sustained buying support for medium to long-term credit bonds [7][9] Group 2 - In the primary market, net financing decreased to 49.04 billion yuan, with a total issuance of 278.6 billion yuan and maturities of 229.57 billion yuan during the week of January 12-16, 2026 [9][10] - The secondary market saw an increase in trading volume, with total transactions reaching 861.775 billion yuan, up by 65.925 billion yuan from the previous week, and a general decline in medium-term note yields [9][12] - The report highlights that AAA-rated issuers accounted for the largest share of new issuances, with construction sector issuers being the most prominent [9][10]

Investment Rating - The industry investment rating is "Positive" (maintained) [1] Core Viewpoints - The report anticipates steady growth in wealth management, estimating an increase of 3.8 trillion yuan in 2026, driven by the gradual maturity of residents' "excess savings" [4][17] - The report highlights a seasonal pattern in wealth management growth, with Q1 typically showing lower figures due to seasonal adjustments, while Q2 to Q4 exhibit stronger growth [22][27] - The report emphasizes the importance of short-term products, particularly those with a minimum holding period of 1 month, which are expected to be the main growth drivers in the wealth management sector [30] Summary by Sections 1. Liability Side - Growth is assured, with "deposit migration" as the main catalyst, leading to an expected wealth management growth of 3.8 trillion yuan in 2026 [4][17] - The proportion of residents' fixed deposits peaked at 85.57% in mid-2023, but is projected to decline to 55.33% by the end of 2023 and 48.14% by the end of 2024, indicating potential for further decreases [4][17] 2. Product Side - Short-term products, particularly those with a minimum holding period of 1 month, are the fastest-growing segments, with annualized yields close to 3-year fixed deposit rates [5][30] - The report notes that the liquidity and yield of these products make them attractive to wealth management clients, with non-managed daily opening and short-term products showing significant growth [5][30] 3. Asset Side - Deposits serve as the main base for wealth management, but their ability to contribute excess returns is limited as high-interest agreements mature [6][17] - The report suggests that credit bonds are becoming more attractive due to a steepening yield curve, with a focus on finding relatively high-yielding assets [6][17] - The report indicates that the allocation to equity products remains low, with a focus on "fixed income plus" strategies, reflecting clients' risk preferences [7][20] 4. Investment Recommendations - In a low-interest environment, wealth management subsidiaries with diverse product lines, strong research capabilities, and extensive distribution channels are expected to have a competitive advantage. Recommended banks include CITIC Bank and China Everbright Bank, with beneficiaries including Shanghai Pudong Development Bank, Hangzhou Bank, and Beijing Bank [8][16]

Group 1 - The core viewpoint of the report indicates a shift in bond market pricing power, particularly for long-term and ultra-long-term bonds, from trading desks to allocation desks due to macroeconomic narrative changes and supply-demand dynamics [11][12][13] - The report highlights that the demand structure for long-duration assets has changed, with a weakening marginal demand from insurance and banks, leading to a more pronounced supply-demand contradiction [12][13] - The report suggests that trading funds should focus on short to medium-term strategies, while allocation funds should look for suitable buying points in the insurance sector [13] Group 2 - The report discusses the understanding of "flexibly and efficiently using various monetary policy tools," emphasizing that "shortening and lengthening" is about adjusting liquidity structure rather than contracting total liquidity [14][15] - It notes that the liquidity environment in Q1 2026 is expected to be stable and low, contrasting sharply with the tightening seen in Q1 2025 [16][17] - The report anticipates that the effectiveness of leverage strategies will increase in 2026 due to stable funding rates and a potential steepening of the yield curve [17][18] Group 3 - The report outlines that the effective strategies in the bond market are cyclical, with a shift from duration strategies to "carry and leverage" strategies expected in 2026 [18] - It highlights that the investment style of amortized cost bond funds has shifted from interest rate bonds to credit bonds, particularly supporting the demand for high-quality credit bonds [19][20] - The report indicates that the recent convergence of spreads between credit bond ETFs' constituent and non-constituent bonds is influenced by bank proprietary trading and liquidity management [22][23] Group 4 - The report discusses the impact of the new public fund fee regulations on the demand structure for credit bonds, suggesting a potential weakening of pricing power for bond funds [24][25] - It notes that the demand for convertible bonds remains strong due to their favorable positioning in the market, especially for non-redeemed and newly issued bonds [26][27] - The report concludes that the performance of convertible bonds in November was driven by the rise of the Shanghai Composite Index and the significant accumulation of previously underweighted positions [28]

Summary of Key Points from Conference Call Records Industry Overview - The global economy is experiencing a bifurcation between new and traditional economies, with new economies driving stock markets and traditional economies supporting bond markets. This relationship should not be viewed in isolation [1][3] - The U.S. is facing "three highs" pressures: high inflation, high interest rates, and high wages, which are squeezing corporate profits and leading to a cooling job market and low consumer confidence. In contrast, the AI sector remains relatively stable [1][6] - China's economy also shows a similar bifurcation, with rapid growth in new economies but traditional economies still dominating. The real estate downturn is dragging down overall economic performance [1][10] Stock Market Insights - The U.S. stock market's recent rise is primarily driven by leading AI companies, with a clear divergence between AI and non-AI sectors in terms of performance and profitability [1][8] - The risk premium in the U.S. stock market is approaching zero, indicating a high risk appetite among investors. However, caution is advised regarding the long-term stability of this market, as the current rally is concentrated among a few leading firms [1][13] - In 2026, stock market opportunities will depend on capital return rates, external funding for the real economy, and government fiscal support. A high trade surplus and increased fiscal support in 2025 have positively impacted capital returns [4][17] Economic Challenges - The U.S. economy is under significant pressure from high inflation, high interest rates, and high wages, which are negatively impacting corporate profits. The job market is cooling, and consumer confidence is at a historical low [6][7] - The AI sector's contribution to U.S. GDP is increasing, while investment demand in non-AI sectors is weak or contracting. This structural change may continue to affect the overall economic performance in the U.S. [7][9] China’s Economic Dynamics - China's new economy is growing rapidly, supported by government policies, but traditional sectors still account for a significant portion of the economy, with real estate and infrastructure facing challenges [10][11] - Manufacturing is becoming the core driver of China's current and future development, but high investment growth is leading to overcapacity issues [11][12] - The "K-shaped" divergence in China's economy is evident, with emerging industries like IT and AI growing rapidly, while traditional sectors like construction are struggling [12][20] Fiscal and Monetary Policy Implications - Fiscal policy is crucial for economic and stock market performance, with a noted shift from monetary policy influence to fiscal policy impact since 2017 [21][27] - High trade surpluses are a double-edged sword for China, as they can lead to increased trade friction and potential economic challenges [22][25] - The anticipated fiscal policy for 2026 is expected to be similar to 2025, with marginal effects slowing down due to a focus on debt resolution rather than direct investment [27][28] Market Predictions - The bond market is expected to benefit from a declining interest rate environment, particularly in the first half of 2026, despite potential rate increases towards the end of the year [46] - Credit risk in 2026 will be influenced by the disappearance of floating profits and reduced liquidity management tools, which may affect demand for short- to medium-term credit bonds [57][58] Investment Strategies - Investors are advised to look for opportunities in high-quality state-owned enterprises in the real estate sector amidst ongoing market volatility [51][64] - The development of financial products and their management strategies will play a significant role in shaping the credit bond market dynamics in the coming years [55][56] This summary encapsulates the critical insights and forecasts from the conference call, highlighting the ongoing economic bifurcation, market dynamics, and strategic investment considerations.

Core Viewpoint - The emergence of a significant wave of funds exceeding 400 billion yuan from amortized cost method bond funds is set to influence the bond market, particularly with a focus on credit bonds in a low-interest-rate environment [1][2][6] Group 1: Market Dynamics - A large number of amortized cost method bond funds, established between 2019 and 2020, are entering a concentrated "open window" period, with over 80 funds expected to open, totaling more than 400 billion yuan [1][6] - The market is witnessing a structural trend where credit bonds are performing well, driven by increased buying from these funds, while government bonds are relatively stable [4][6] Group 2: Institutional Preferences - Institutional investors favor these funds due to their stable net value calculation method, which mitigates short-term market fluctuations and provides predictable returns [2][5] - The shift in funding sources indicates that bank wealth management products are replacing bank proprietary investments as the main buyers of these funds, reflecting a change in investment strategy [5] Group 3: Future Outlook - The influx of over 2 trillion yuan in amortized cost method bond funds expected to enter the market from November to December is anticipated to benefit 3-5 year credit and government bonds [6] - Despite the positive outlook, analysts caution that credit spreads are already at relatively low levels, suggesting limited room for further declines [6]

Core Viewpoint - The upcoming concentrated opening period for amortized cost method bond funds is becoming a significant variable in the bond market, with over 80 funds expected to open, totaling more than 400 billion yuan in scale by early 2026 [1][2][3] Group 1: Market Dynamics - As of November 14, there are a total of 190 amortized cost bond funds, with a peak opening period expected from November 2025 to the first quarter of 2026 [1][2] - The recent surge in interest for these funds is attributed to their ability to provide a stable yield in a low-interest-rate environment, making them an attractive option for institutional investors [4][6] - The shift in investment from bank proprietary trading to wealth management products is driving demand for these funds, as banks seek stable and predictable returns [7][8] Group 2: Investment Strategies - Amortized cost bond funds utilize a "buy and hold until maturity" strategy, which helps in matching the duration of the bonds with the fund's closed period, providing a stable investment experience [3][4] - The focus on 3-5 year credit bonds has increased, with significant net purchases observed in this segment, leading to a decrease in yields and a narrowing of credit spreads [6][11] - The anticipated influx of funds from the opening of these bond funds is expected to provide additional capital for 3-5 year credit bonds and policy financial bonds, potentially enhancing returns for investors [11][12] Group 3: Future Outlook - The bond market is expected to see continued interest in amortized cost bond funds, particularly in the 3-5 year credit segment, as these funds enter their next round of openings [10][11] - The market dynamics suggest that while there may be short-term gains, the overall impact on yield may be limited due to the relatively small scale of these funds compared to the broader market [9][12] - The upcoming months are likely to witness fluctuations in the bond market as high-interest fixed deposits mature, influencing the liquidity and investment strategies of wealth management products [12]

1. Report Industry Investment Rating There is no information provided about the report industry investment rating in the given content. 2. Core Viewpoints of the Report - Last week, interest - rate bonds fluctuated weakly, while credit bonds showed differentiated trends. High - grade credit bonds also weakened but with smaller declines. Short - duration medium - and low - grade bonds weakened, but the yields of 3 - 5Y bonds were still falling. The trading sentiment in the bond market cooled down. The central bank resumed trading in treasury bonds, but the scale was lower than expected. The strengthening of the equity market in the second half of the week made the bond market weaker. Ultra - long - term credit bonds also weakened, with only the yields of the least liquid ultra - long urban investment bonds showing a reverse recovery [2][10]. - Public funds have shown a significant trend of chasing longer durations for two consecutive weeks, mainly focusing on 3 - 5Y bonds. Other institutions such as wealth management and insurance have relatively stable demand for credit bonds. The behavior of public funds chasing longer durations may continue in the short term, driven by the concentrated opening of amortized cost method funds and the improving performance of credit ETF products [3][29][32]. - The "volatility amplifier" characteristic of Tier 2 capital bonds of banks (Two - Yong bonds) reappeared, with larger declines than general credit bonds and interest - rate bonds of the same duration. There is a small window period for short - term trading of Two - Yong bonds [4][16]. - In terms of strategies, it is still recommended to select bonds from weakly - qualified urban investment bonds with 3 - 5Y durations. It is not advisable to chase ultra - long - term credit bonds for short - term trading, but there is a small window period for short - term trading of Two - Yong bonds [4]. 3. Summary According to the Directory 3.1 Fund's Two Marginal Changes in Chasing Duration - **Bond Market Performance** - Interest - rate bonds fluctuated weakly last week, and credit bonds showed differentiation. From November 3 to 7, 2025, the yields of 1Y, 2Y, 3Y, 4Y, and 5Y treasury bonds increased by 2.2BP, 3.2BP, 3.0BP, 2.7BP, and 2.1BP respectively. The yields of AAA medium - term notes of the same duration increased by 1.2BP, 2.3BP, decreased by 0.5BP, increased by 1.6BP, and 0.2BP respectively. AA + medium - term notes' yields increased by 1.2BP, 0.3BP, decreased by 0.5BP, decreased by 2.4BP, and decreased by 2.8BP respectively [10][11]. - Ultra - long - term credit bonds weakened, with only the yields of the least liquid ultra - long urban investment bonds recovering. The yields of 10Y AAA/AA + medium - term notes increased by 1.01BP and 0.01BP respectively, the yields of 10Y AAA/AA + urban investment bonds increased by 0.86BP and decreased by 0.14BP respectively, the yield of 10Y AAA - bank secondary capital bonds increased by 9.29BP, and the yield of 10Y treasury bonds increased by 5.32BP [10]. - The "volatility amplifier" characteristic of Two - Yong bonds reappeared, with larger declines than general credit bonds and interest - rate bonds of the same duration. The yields of 1 - 5Y, 7Y, and 10Y AAA - bank secondary capital bonds increased by 2.94BP, 5.39BP, 4.35BP, 4.23BP, 4.16BP, 1.30BP, and 0.64BP respectively. The part of the curve above 4Y is still 30BP - 50BP away from the lowest yield point since 2025 [16]. - **Curve Shape** - The steepness of the 1 - 2Y and 2 - 3Y segments of all - grade bonds is the highest, and the steepness of the 3 - 5Y segment of low - grade bonds is also relatively high, but it has been decreasing for two consecutive weeks. For example, for AA + medium - term notes, the slopes of the 1 - 2Y, 2 - 3Y, and 3 - 5Y segments are 0.0909, 0.1109, and 0.0605 respectively; for AA urban investment bonds, the slopes are 0.1231, 0.1236, and 0.0953 respectively [12]. - **Historical Quantiles of Yields and Credit Spreads** - The protection margin of general credit bonds within 5Y is thin, and the cost - effectiveness of credit bonds is currently not high. From November 3 to 7, 2025, the yields of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA +, 3Y - AA +, 5Y - AA +, 1Y - AA, and 3Y - AA medium - and short - term notes are at the 12.52%, 24.62%, 23.75%, 8.42%, 18.57%, 17.27%, 5.39%, and 9.50% levels since 2024 respectively. The historical quantiles of credit spreads are at the 2.64%, 0.22%, 2.20%, 1.98%, 0.22%, 2.64%, 0.66%, and 6.40% levels respectively [14]. - **Trading Activity** - For Two - Yong bonds, the buying power was strong in the first half of the week but weakened significantly in the second half. From November 3 to 7, the proportion of transactions below the valuation was 100.00%, 100.00%, 100.00%, 2.50%, and 12.50% respectively; the average trading durations were 6.95 years, 6.67 years, 6.51 years, 0.91 years, and 0.85 years respectively. The trading volume below the valuation was generally low, with only 2 transactions having a margin of more than 4BP, and the rest within 3BP [18]. - For ultra - long - term credit bonds, the selling volume increased in the second half of the week, and the focus of discounted transactions was on weakly - qualified urban investment bonds. From November 3 to 7, the proportion of discounted transactions was 5.00%, 2.50%, 5.00%, 85.00%, and 35.00% respectively. The discount margin was generally within 4BP, and about 15% of the transactions had a margin of more than 4BP, mainly weakly - qualified urban investment bonds [23]. - The trading activity of ultra - long - term credit bonds decreased marginally. From November 3 to 7, the proportion of transactions below the valuation was 32.50%, 52.50%, 57.50%, 10.00%, and 20.00% respectively. About 47% of the transactions below the valuation had a margin of 4BP or more, mainly 2 - 5Y AA(2) and AA weakly - qualified urban investment bonds, whose liquidity has improved recently [25]. - **Institutional Behavior** - Public funds have shown a significant trend of chasing longer durations for two consecutive weeks, mainly focusing on 3 - 5Y bonds. Last week, funds net - bought 181.17 billion yuan of 1 - 3Y credit bonds, 110.48 billion yuan of 3 - 5Y credit bonds, and 31.96 billion yuan of 7 - 10Y credit bonds. Wealth management's buying of credit bonds slowed down, mainly net - buying 25.66 billion yuan of 1 - 3Y credit bonds. Insurance's buying of general credit bonds was relatively stable, net - buying 32.65 billion yuan of 1 - 3Y credit bonds and 26.56 billion yuan of 3 - 5Y credit bonds [3][29]. - The behavior of public funds chasing longer durations may continue in the short term. On one hand, the concentrated opening of amortized cost method funds may support the 3 - 5Y credit bond market. The expected opening scale of these funds in the second half of November and December is 328.62 billion yuan and 1,238.55 billion yuan respectively, and the proportion of funds with a closed - end period of more than three years is 80.96% and 65.68% respectively. On the other hand, the improving performance of credit ETF products, especially the second - batch of science and technology innovation ETFs, may also drive public funds to chase longer durations. The cumulative losses of credit market - making ETFs are decreasing, and most science and technology innovation ETFs have achieved positive cumulative net values. The trading duration of credit ETF products has been lengthening recently, with strong buying of 3 - 5Y and over - 5Y component bonds [32][33].

Core Viewpoint - The opening of a significant number of amortized cost bond funds is driving strong demand for credit bonds, reshaping the market dynamics [1] Group 1: Scale and Flow - In early November, seven amortized cost bond funds entered their open period, totaling 53.6 billion yuan; an additional 14 funds are expected to open in November and December, amounting to 102.3 billion yuan [2] - The shift in investment strategy towards credit bonds is a notable change for amortized cost bond funds, with projections indicating that by Q3 2025, the market value of credit bonds held by these funds will rise to 292.8 billion yuan, accounting for 15.4% of their portfolios [2][3] Group 2: Impact and Outlook - The demand from amortized cost bond funds has significantly increased net purchases of 3-5 year credit bonds, with net buying exceeding 11 billion yuan for two consecutive weeks [4] - The opening of these funds is expected to boost demand for 2-3 year credit bonds in December, with a combined opening scale exceeding 80 billion yuan [5] - The ongoing influx of bank wealth management funds into amortized cost bond funds necessitates a shift towards credit bonds to enhance yield attractiveness, particularly for medium to high-rated credit bonds [6]