2025 年 12 月 15 日 论债市定价权的转移 近期市场反馈及思考 8 投资者当下更为关心的是"谁在主导债市的定价权、2026年是否存在预期差、以及什么策略可能 较为有效"。本文就以上话题汇总投资者最为关心的 10 个话题(涵盖利率、信用及转债等方面）。 谁主导了债市 (特别是长债、超长债) 的定价权? 2026 年 1 季度与 2025 年同期的债市环境有何不同? 相关研究 "资金分流+反内卷" 下的债市 导逻辑变迁 -近期市场反馈及 2025/08/18 思考 5》 《债市"走楼梯"行情下的困境与 近期市场反馈及思考 4》 做同 券研究报 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 奕强 A0230524110003 luanqiang@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 杨雪芳 A0230524120003 yangxf@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 张晋源 A0230525040001 ...

摘要 全球经济呈现新老经济分化，新经济驱动股市，传统经济支撑债市，股 市和债市不能简单对立看待。美国面临"三高"压力，企业盈利受挤压， 就业市场降温，消费信心低迷，传统部门压力大，AI 行业相对稳定。 美股上涨由 AI 龙头驱动，AI 与非 AI 板块分化明显，AI 企业盈利增速显 著，传统行业受"三高"挤压。中国经济也存在类似分化，新经济快速 发展，但传统经济仍占主导，房地产下行拖累整体经济。 制造业成为中国发展核心力量，地方政府推动制造业发展，但高投资增 速带来产能过剩。中国新老经济呈现"K 型"分化，新兴行业增长迅猛， 传统行业增长乏力，影响就业和消费。 美股和美债均处于牛市，但美股风险溢价接近 0，风险偏好较高。与互 联网泡沫时期相比，美股尚未达到极端估值水平，但需谨慎评估其长期 稳定性，本轮上涨集中在少数头部企业。 AI 浪潮与互联网浪潮存在显著差异，AI 浪潮中经济增速较低且呈下降趋 势，大部分行业面临就业压力，AI 技术替代人类工作加剧社会分化。互 联网浪潮期间经济增速较高，各行各业普遍繁荣。 2026 年度金融市场展望策略会 20251209 Q&A 2025 年中美经济及债券市场的整体表现如 ...

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]

Core Insights - The report indicates that the credit spread compression is entering its second half, with expectations of further declines in the bond market during November and December due to central bank actions and reduced government bond supply [5][8]. - The credit market has shown limited room for further gains, particularly for short to medium-term credit bonds, as many have approached or breached previous lows [2][13]. - The behavior of institutional investors is constrained by upcoming regulatory changes and valuation adjustments, leading to limited incremental funds for credit bonds [3][14]. Credit Market Performance - In October, the bond market experienced fluctuations, with credit spreads narrowing as the 10-year government bond yield decreased from 1.788% to 1.741% by the end of the month [1][8]. - The narrowing of credit spreads was more pronounced in medium to long-term credit bonds compared to short-term ones, indicating a preference for longer durations [1][8]. - The report highlights that the valuation of credit bonds, particularly those rated AAA and AA+, has limited downward space, with most nearing previous lows [2][13]. Institutional Behavior - The anticipated reform of fund fee structures has led to a significant reduction in bond fund volumes, with a cautious approach expected from funds until the formal guidelines are released [3][14]. - Wealth management products are expected to maintain stable incremental funds, but their allocation to bonds may remain conservative due to valuation adjustments required by year-end [3][14]. - The recent performance of the Sci-Tech Innovation Bond ETF has shown limited growth, indicating a lack of substantial incremental demand in the credit market [3][14]. Seasonal Trends - Historically, credit spreads tend to fluctuate towards the end of the year, with limited independent trends observed in the fourth quarter [4][5]. - The report notes that while the credit market may not perform poorly at year-end, it often lags behind interest rate movements, with institutions prioritizing government bonds [4][5]. Future Outlook - The report suggests that the credit spread compression is likely to continue, with a focus on structural opportunities within the credit market as incremental funds remain limited [5][8]. - For investors seeking excess returns, the report recommends exploring lower-rated bonds in the 4-5 year range or focusing on longer-duration bonds with stable liquidity [5][8].

Report Information - Report Title: Can Credit Extend Duration in November? - Release Date: November 4, 2025 - Analysts: Liang Weichao, Li Shukai - SAC Registration Numbers: S1340523070001, S1340524040001 - Email: liangweichao@cnpsec.com, lishukai@cnpsec.com Core Views - Last week, both interest rate bonds and credit bonds rose, but there were differences in terms. The short - end of credit bonds had weaker repair than interest rate bonds, while the 3 - 5Y segment performed better. The trading sentiment in the bond market significantly recovered, and the repair market started comprehensively after short - term negative factors were exhausted. The ultra - long - term credit bond market also recovered, with high - liquidity ultra - long perpetual and subordinated (two - tier perpetual) bonds and low - liquidity ultra - long urban investment bonds having a high degree of repair [2][10]. - The market for two - tier perpetual bonds has fully warmed up, with high increases across all terms. The active trading shows strong buying power, and the proportion of transactions below the valuation is high, but the margin is not large, so the market is not "overheated" [3][16]. - Last week, there were few sell - side transactions in ultra - long - term credit bonds. Discounted transactions mainly focused on some financial bonds and urban investment bonds with credit flaws. The trading activity of ultra - long - term credit bonds below the valuation was relatively high [3][23]. - Last week, public funds were obvious in chasing duration, mainly in the 3 - 5Y segment. For ultra - long - term bonds, public funds were only cautiously optimistic. Insurance and other asset management products had a larger and more stable scale of buying credit bonds over 7 years than public funds [4][28]. - The behavior of public funds chasing duration may be related to the concentrated opening of amortized cost - based bond funds after entering the fourth quarter. However, the allocation demand formed by the concentrated opening of these funds may not be able to continuously drive the market, and there are some unfavorable factors to consider [5][29]. - In November, the credit window period is narrow. For institutions with stable liability ends, it is still recommended to select 3 - 5Y weak - quality urban investment bonds with yields mainly between 2.2% - 2.4%. For trading desks, it is not recommended to chase ultra - long - term credit bonds in band operations, but they can appropriately participate in more liquid ultra - long two - tier perpetual bonds [5][34]. Summary by Relevant Content Bond Market Performance - From October 27 to October 31, 2025, the 1Y, 2Y, 3Y, 4Y, 5Y treasury bond yields decreased by 8.9BP, 9.0BP, 11.5BP, 9.1BP, 5.1BP respectively, while the yields of the same - term AAA medium - term notes decreased by 1.7BP, 7.2BP, 4.8BP, 10.0BP, 12.6BP respectively, and the yields of AA+ medium - term notes decreased by 3.7BP, 7.2BP, 6.8BP, 9.0BP, 11.6BP respectively [10]. - The yields of AAA/AA+ 10Y medium - term notes decreased by 6.50BP and 5.50BP respectively, the yields of AAA/AA+ 10Y urban investment bonds decreased by 9.14BP and 9.15BP respectively, the yield of AAA - 10Y bank secondary capital bonds decreased by 9.29BP, and the 10Y treasury bond yield decreased by 5.32BP [10]. - The yields of 1 - 5Y, 7Y, 10Y AAA - bank secondary capital bonds decreased by 6.17BP, 8.01BP, 9.14BP, 8.89BP, 7.74BP, 7.29BP, 9.29BP respectively [3][16]. Curve Shape - The steepness of the full - grade 1 - 2Y and 2 - 3Y segments was the highest, and the steepness of the low - grade 3 - 5Y segment was also not low, but both decreased compared with last week. Taking the yield term structure diagrams of AA+ medium - term notes and AA urban investment bonds as examples, the slopes of the 1 - 2Y, 2 - 3Y, and 3 - 5Y segments of AA+ medium - term notes were 0.1003, 0.1189, and 0.0716 respectively; for AA urban investment bonds, they were 0.1314, 0.1297, and 0.1192 respectively [12]. Absolute Yield and Credit Spread - The protection cushion of general credit bonds within 5Y was thin. By the end of October, the cost - effectiveness of credit bonds had significantly decreased. From October 27 to October 31, 2025, the yield - to - maturity of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA+, 3Y - AA+, 5Y - AA+, 1Y - AA, 3Y - AA medium - term notes was at the 8.51%, 24.67%, 22.70%, 5.45%, 20.08%, 22.92%, 4.36%, 15.06% levels since 2024 respectively. The historical quantiles of their credit spreads were 3.09%, 4.19%, 11.47%, 2.20%, 1.54%, 15.45%, 1.10%, and 17.21% respectively [14]. Active Trading - From October 27 to October 31, the proportion of low - valuation transactions of two - tier perpetual bonds was 100.00% every day, and the average trading durations were 4.88 years, 5.48 years, 4.29 years, 5.44 years, and 6.65 years respectively. The trading margin below the valuation was generally low, with only 2 transactions having a margin above 4BP, and the rest were within 3BP [18]. - From October 27 to October 31, the proportions of discounted transactions of ultra - long - term credit bonds were 0.00%, 0.00%, 19.51%, 0.00%, 4.88% respectively. The proportions of transactions below the valuation were 29.27%, 90.24%, 68.29%, 14.63%, 63.41% respectively. About 36.6% of the transactions below the valuation had a margin of 4BP or more, mainly 2 - 5Y AA(2) and AA weak - quality urban investment bonds [23][25]. Institutional Behavior - Last week, public funds had a net purchase of 114 billion yuan of 3 - 5Y credit bonds, an increase of 88 billion yuan compared with the previous week. Other asset management products had a continuous net purchase of credit bonds in the last two weeks of October, with a relatively large net purchase scale in the 3 - 5Y segment, about 40 - 55 billion yuan for two consecutive weeks [4][28]. - Last week, public funds had a net purchase of 14 billion yuan of 7 - 10Y credit bonds, showing an obvious improvement in preference for ultra - long - term credit bonds in the past two months, but the absolute scale of purchase was still not large [4][28]. Factors Affecting the Market - The concentrated opening of amortized cost - based bond funds in November may bring short - term demand for public funds to chase duration. The opening scale in October was about 534 billion yuan, and products with a closed - end period of more than 3 years accounted for 61%. It is expected that the total scale in November will exceed 70 billion yuan, with about 20 billion yuan for 3 - 5Y and about 36 billion yuan for over 5Y [29]. - The performance of science - innovation ETF products in October was average, and November is not a "peak season" for the increase of wealth management scale. There is a lack of large - scale incremental funds. The logic of incremental funds from insurance is similar, with the recent strengthening of the equity market and the problem of yield reduction of insurance products, making it difficult to find signs of premium volume growth [31].

Group 1: Macro Economic Insights - The year-on-year growth rate of PPI rebounded to -2.9% in August, up from -3.6% in the previous month, indicating a slight improvement in industrial price pressures [4][8] - CPI in August decreased by 0.4% year-on-year, which is lower than the expected -0.2%, suggesting ongoing deflationary pressures in consumer prices [4][5] - The core CPI has remained above seasonal levels for five consecutive months, indicating a potential stabilization in consumer demand [7][9] Group 2: Real Estate Industry Overview - The A-share real estate sector reported a revenue of 712.8 billion yuan in the first half of 2025, a year-on-year decline of 11.6%, although the decline rate has narrowed compared to the previous year [28] - Key real estate companies have shown improved land acquisition efforts, with a total land purchase amount of 399.9 billion yuan, representing 72% of their total for 2024 [29] - The overall policy environment remains supportive, with measures aimed at stabilizing the market and promoting housing demand, leading to a gradual recovery in transactions in some first- and second-tier cities [30][31] Group 3: Financial Sector Developments - The new regulations on fund sales are expected to lower subscription fees and standardize service fees, which may alter investor preferences towards more liquid financial products [22][23] - The demand for high liquidity financial products is anticipated to increase, particularly for those with minimal holding periods, as investors seek better returns amid changing fee structures [24] - The shift towards ETF trading and long-term holding of bonds is likely as investors adapt to the new redemption fee structures [25] Group 4: Company-Specific Updates - The company "Saiwei Times" announced a stock incentive plan aimed at enhancing its long-term incentive mechanisms, with a target net profit growth of 70%/155%/215% from 2025 to 2027 [33][34] - The company is leveraging digital transformation to enhance its product development, brand management, and supply chain efficiency, which is expected to strengthen its competitive advantage [35]

Investment Rating - The industry investment rating is "Positive" (maintained) [1] Core Insights - The report highlights that the new regulations on fund sales fees are expected to benefit wealth management products with diverse offerings and clear customer advantages [8] - The liquidity preference of residents is shifting towards high liquidity products, which is likely to accelerate the growth of wealth management scales [6] - The report indicates a potential reduction in off-market fund transactions, with a shift towards on-market ETF trading or long-term holding of amortized cost bond funds [7] Summary by Sections Industry Trends - The industry has shown a significant increase in the proportion of public funds held in wealth management, reaching a historical high of 4.2% (1.38 trillion yuan) by the end of Q2 2025 [11][12] Regulatory Changes - The new regulations propose to lower the maximum subscription fees for equity, mixed, and bond funds to 0.8%, 0.5%, and 0.3% respectively, while also adjusting the redemption fees for short-term holdings [4][10] - The simplification of redemption fee tiers is expected to impact the willingness of investors to hold funds short-term, particularly affecting bond funds [5] Wealth Management Product Dynamics - Wealth management products with minimal holding periods are gaining popularity, indicating a strong preference for high liquidity among residents [6] - The report suggests that wealth management may reduce reliance on off-market fund transactions and focus more on ETF trading or direct investments [7] Investment Recommendations - The report recommends that wealth management subsidiaries with diverse product offerings and clear customer advantages, such as Industrial and Commercial Bank of China, Agricultural Bank of China, and others, are likely to benefit from the new regulations [8]