固收-金融数据背后，降息预期和机构行为的长期变化 20251116 摘要 摊余成本法基金增配普信和商金，占比超七成，政金债配置比例显著下 降至 13.7%，主要因短端利率较低，机构寻求更高收益资产。 预计至 2026 年底，摊余成本法基金剩余到期规模达 7,444 亿元，对普 信和商金的增量资金需求预计分别为 2002 亿和 1,362 亿，市场需求显 著增加。 机构偏好高等级央国企产业债及头部城商行金融债，如诚通、国新、平 安银行等，信用风险较低，主要关注估值波动。 社融信贷增速放缓，直接融资占比提升，央行强调结构优化而非快速刺 激，中长期或打开利率震荡区间下限，短期不利于降息预期。 央行或更关注政府杠杆和国债发行成本，债市赔率预期转为风险可控， 旨在理顺利率比价关系，避免金融机构内卷式竞争。 信贷增速放缓可能导致银行资产负债表收缩，但历史数据显示，银行扩 张速度放缓时期，10 年期国债与 1 年期国债及 1 年存单利差有所回升， 预计 2026 年 1-2 季度存单利率可能降至 1.5%。 转债市场面临供需压力，新增供给相对较小，但正股表现强势及资金流 入形成正循环，估值难以长期压缩，整体下行空间有限，上 ...

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core View of the Report - Last week, interest - rate bonds fluctuated weakly, while credit bonds showed a differentiated trend. High - grade credit bonds also weakened but with smaller declines, and medium - and low - grade short - duration bonds weakened, yet the yields of 3 - 5Y bonds continued to decline. The trading sentiment in the bond market cooled down, and the bond market became weaker as the equity market strengthened in the second half of the week. The market for ultra - long - term credit bonds also weakened, with only the yields of ultra - long - term urban investment bonds with the weakest liquidity recovering inversely [2][10]. - The "volatility amplifier" characteristic of secondary - tier perpetual bonds reappeared, with a larger decline than that of general credit bonds and interest - rate bonds of the same term. 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 [3][16]. - Public funds have shown a significant trend of chasing long - duration bonds 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 long - duration bonds may continue in the short term, influenced by the concentrated opening of amortized - cost - method funds and the improved performance of credit ETF products [3][4][29]. - The strategy still recommends selecting bonds from weakly - qualified urban investment bonds with a 3 - 5Y term. For trading positions, it is not recommended to chase ultra - long - term credit bonds in band operations. However, there is a small window period for band operations of secondary - tier perpetual bonds recently, as the adjustment range of secondary - tier perpetual bonds was relatively large last week, and the yields of medium - and high - grade 4 - 5Y bonds are currently in a relatively safe range after adding points [5][38]. 3. Summary According to Relevant Catalogs 3.1 Fund's Two Marginal Changes in Chasing Long - Duration Bonds - **Bond Market Performance**: From November 3 to November 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 - and short - term notes of the same term increased by 1.2BP, 2.3BP, decreased by 0.5BP, increased by 1.6BP, and 0.2BP respectively. The yields of AA + medium - and short - term notes increased by 1.2BP, 0.3BP, decreased by 0.5BP, 2.4BP, and 2.8BP respectively. The yields of ultra - long - term credit bonds also weakened, except for the inverse recovery of the yields of ultra - long - term urban investment bonds with the weakest liquidity [10][11]. - **Curve Shape**: The steepness of the 1 - 2Y and 2 - 3Y segments of all grades 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. 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 are 0.0909, 0.1109, and 0.0605 respectively; those of AA urban investment bonds are 0.1231, 0.1236, and 0.0953 respectively [12]. - **Institutional Behavior**: Public funds have shown a significant trend of chasing long - duration bonds 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. The buying intensity of wealth management products for credit bonds slowed down last week, mainly net - buying 25.66 billion yuan of 1 - 3Y credit bonds. Insurance companies' buying intensity for general credit bonds has been relatively stable in the past two weeks, net - buying 32.65 billion yuan of 1 - 3Y credit bonds and 26.56 billion yuan of 3 - 5Y credit bonds [3][29]. - **Reasons for Chasing Long - Duration Bonds**: Firstly, affected by the concentrated opening of amortized - cost - method funds, the demand for credit - bond allocation of such funds has increased significantly this year. The scale of funds expected to open in the fourth quarter is large, and the proportion of products with a long - term closed - end period is high, which may support the 3 - 5Y credit - bond market. Secondly, the market of credit ETF products has improved recently, with the net - worth performance improving and the trading duration lengthening, which may also drive public funds to chase long - duration bonds [4][32][33]. 3.2 Secondary - Tier Perpetual Bonds - **Yield Changes**: The "volatility amplifier" characteristic of secondary - tier perpetual bonds reappeared, with a larger decline than that of general credit bonds and interest - rate bonds of the same term. 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 yields of the part above 4Y are still 30BP - 50BP away from the lowest point since 2025, and the adjustment range is higher than that of the sharp decline at the end of July [3][16]. - **Trading Activity**: In the first half of the week, the buying power was strong, but it weakened significantly in the second half of the week. From November 3 to November 7, the proportion of transactions below the valuation of secondary - tier perpetual bonds was 100.00%, 100.00%, 100.00%, 2.50%, and 12.50% respectively; the average trading duration was 6.95 years, 6.67 years, 6.51 years, 0.91 years, and 0.85 years respectively. The amplitude of transactions below the valuation was generally low last week [18]. 3.3 Ultra - Long - Term Credit Bonds - **Trading Volume and Price**: The selling volume of ultra - long - term credit bonds increased in the second half of last week, and the focus of discounted transactions was on weakly - qualified urban investment bonds. From November 3 to November 7, the proportion of discounted transactions of ultra - long - term credit bonds was 5.00%, 2.50%, 5.00%, 85.00%, and 35.00% respectively. The discount amplitude was generally within 4BP, and about 15% of the discount amplitude was above 4BP, mainly from weakly - qualified urban investment bonds [23]. - **Trading Activity Below Valuation**: The trading activity of ultra - long - term credit bonds below the valuation decreased marginally. From November 3 to November 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 an amplitude of 4BP or more, mainly from 2 - 5Y AA(2) and AA weakly - qualified urban investment bonds, whose liquidity has improved recently [25][27].