证券研究报告 | 固收专题报告 | | --- | hyzqdatemark 2025 年 11 月 27 日 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 张一帆 —中外市场概况、估值逻辑与未来展望 投资要点： 请务必仔细阅读正文之后的评级说明和重要声明 联系人 zhangyifan@huayuanstock.com 浮息债：利率波动下的防御之盾与价值之选 国内浮息债市场经历初步发展、规模扩张和调整转型三阶段。境内第一只浮息债由 中国进出口银行于 1995 年在全国银行间市场发行，标志着境内浮息债市场正式起 步，后续经历了三轮扩张。2025 年（截至 10 月 13 日）我国共计发行浮息债 103 只，规模 2935.7 亿元。截至 2025/10/13，浮息债存量规模为 6489.91 亿元(161 只)，占总债券余额的比重仅为 0.34%。分债券类型来看，政策银行债是我国浮息 债市场最大品种，规模占比达 81.13%；按基准利率类型来看，存量规模占比前三 为 DR007（50.32%）、1 年期 LPR（31.02%）及 5 年期 L ...

据摩根大通11月17日发布的全球市场策略报告，美国联邦预算赤字将在2026财年进一步恶化至1.955万亿美元，约占GDP的6.2%。更为严峻的是，受债务 到期量激增影响，美国财政部在2026至2030财年间将面临高达5.5万亿美元的融资缺口。 面对这一财政压力，摩根大通策略师预测，财政部现有的票据发行策略将难以为继，这迫使其必须调整债务管理模式。 据追风交易台，报告指出，虽然当前的附息国债拍卖日程尚能应对2026财年的需求，但从2027财年起，融资缺口将显著扩大。摩根大通预计，美国财政部 将从2026年11月开始启动一系列持续数个季度的发行规模增加计划。 值得注意的是，新增发行的重点将集中在收益率曲线的中前端，而20年期和30年期国债的拍卖规模预计将保持不变，以应对长端需求结构性疲软的现实。 在短期流动性方面，摩根大通预测2026年美国将净发行7700亿美元的国库券。与此同时，美联储在二级市场的操作将成为关键变量。随着美联储量化紧 缩、预计于2025年12月1日结束，该行计划通过二级市场购买约2820亿美元的国库券，并将抵押贷款支持证券的本金支付再投资于国债。这一举措虽然在 短期内缓解了私营部门的吸收压力，但 ...

Core Insights - Traders are facing unprecedented challenges in pricing inflation-linked securities due to the unavailability of Consumer Price Index (CPI) data amid the U.S. government shutdown, which may extend the data void [1] - The shutdown has prompted investors to activate "backup mechanisms" embedded in legal documents of inflation-linked bonds and derivatives, which have not been practically tested [1][2] - The differences in backup mechanisms for various inflation-linked securities, such as TIPS and inflation swaps, have led to significant market distortions [1][2] Group 1: Market Dynamics - The U.S. inflation-protected securities market, valued at $2 trillion, uses a different calculation method compared to the $5 trillion inflation swap market, leading to discrepancies in performance [1] - A TIPS maturing in January 2025 has shown stronger performance due to market expectations of higher returns, exacerbated by the ongoing government shutdown [1][4] - The longer the government shutdown persists, the more severe the distortions in the market for hedging inflation and measuring inflation expectations will become [1] Group 2: Backup Mechanisms - The backup calculation method for TIPS is defined by the U.S. Treasury, which will use the latest available 12 months of CPI changes to publish a synthetic value if October CPI data is missing [2] - For zero-coupon inflation swaps, the International Swaps and Derivatives Association (ISDA) specifies that the backup calculation will rely on October 2024 CPI data, compounded with the year-over-year increase until September 2025 [2] - The activation of backup mechanisms will have a unique impact on the interest and principal payments of TIPS due in January 2025, as these are calculated based on CPI values from October and November [2] Group 3: Performance Metrics - Calculations indicate that if both October and November CPI data are missing, the annualized breakeven rate for the January 2025 TIPS will reach 3.15%, while the same rate for inflation swaps will only be 1.76% [3] - There is a significant gap between the breakeven rates of TIPS and inflation swaps, highlighting the potential for relative value opportunities in the inflation market [4] - If the government shutdown extends for several more weeks, the strengthening trend of the January 2025 TIPS may continue [4]

Core Insights - The ongoing U.S. government shutdown is pushing the $2 trillion Treasury Inflation-Protected Securities (TIPS) market into unprecedented territory, as the inability to release October's inflation data directly impacts TIPS and inflation swap markets [1][2] - The reliance of TIPS on Consumer Price Index (CPI) data means that the absence of this data could lead to significant market disruptions, with potential activation of a "backup plan" for calculating inflation adjustments [2][3] Group 1: Market Impact - The inability to publish October's CPI data could trigger the use of an estimated CPI value based on the last 12 months' changes, which would not be retroactively adjusted even if actual data is released later [2][3] - Concerns over data quality are already affecting investor demand for TIPS, as investors doubt their ability to hedge against real inflation effectively [5][6] - Despite the uncertainty, the market remains relatively calm, with some analysts attributing the weak performance of TIPS to broader factors such as falling oil prices [7][8] Group 2: Investor Sentiment - The current situation is compared to the "debt ceiling crisis," indicating a critical moment for market participants to monitor [1][3] - Investors are currently not in a state of panic, as the outflow of funds from TIPS-related ETFs has not significantly impacted the overall size of these funds [7] - Experts suggest that as long as price data remains free from political manipulation, the overall market dynamics may not change drastically [8]

Core Viewpoint - The upcoming U.S. inflation data, particularly the September CPI, is critical as it may disrupt the prevailing market consensus on interest rate cuts, especially if the data shows unexpected increases in inflation [1][2][5]. Group 1: U.S. Treasury Market Dynamics - The U.S. Treasury market has seen a strong rally in October, with the 10-year Treasury yield dropping below 4% for the first time in six months, reaching a low of 3.9%, indicating a significant rebound in Treasury prices [1][3]. - The overall return of U.S. Treasuries in October is approximately 1.3%, potentially marking the best monthly performance since February, driven by safe-haven buying and expectations of Federal Reserve rate cuts [5][10]. - If the September CPI data exceeds market expectations, it could lead to a sharp increase in Treasury yields, negatively impacting both the stock and bond markets [3][10]. Group 2: Inflation Expectations and Market Reactions - Economists predict that the overall CPI will show a month-over-month increase of 0.4%, with core CPI expected to rise by 0.3%, leading to a year-over-year growth of 3.1%, the highest since May 2024 [8][9]. - There is a prevailing concern that higher-than-expected inflation data could undermine the market's confidence in future rate cuts, creating significant downward risks for recent gains in the stock and bond markets [2][14]. - Market participants are increasingly anxious about the quality of U.S. economic data, which could lead to skepticism regarding the reliability of inflation figures released during the government shutdown [10][14]. Group 3: Impact on Equity Markets - The 10-year Treasury yield serves as a critical benchmark for asset pricing, and a rise in yields due to higher inflation could lead to a significant downturn in global equity markets [3][4]. - The ongoing AI investment boom, driven by major tech companies, has contributed to the S&P 500 and MSCI global indices reaching new highs, but elevated Treasury yields could pressure valuations of risk assets, including tech stocks [4][5]. - If the 10-year Treasury yield remains below 4% and continues to decline, it could support a bullish trend in global equity markets, particularly benefiting technology stocks closely tied to AI [3][4].

Core Viewpoint - Dalio reinforces his bullish stance on gold, viewing it as the only asset that does not rely on counterparty credit, and as the most fundamental form of currency, while fiat currency is essentially debt [1][3][7] Group 1: Gold as a Core Asset - Gold is increasingly replacing U.S. Treasuries in investment portfolios, becoming a risk-free asset for investors [3][10] - Dalio suggests that investors should allocate up to 15% of their portfolios to gold, highlighting its effectiveness as a diversification tool [3][19] - The strategic value of gold is becoming more pronounced in the current financial environment [3][10] Group 2: Understanding Gold's Value - Dalio emphasizes the need to shift the mindset regarding gold, asserting that it should be viewed as money rather than merely a metal [6][7] - He argues that gold's value is intrinsic and does not depend on any counterparty's payment promise, unlike fiat currencies which are based on debt [7][13] - Historical trends show that debt-based currencies are losing value compared to gold, especially during financial crises [9][12] Group 3: Gold vs. Other Assets - Compared to other precious metals like silver and platinum, gold has a unique historical and cultural acceptance that makes it a superior store of value [15] - Inflation-protected securities (TIPS) are still government debt and may not provide the same safety as gold during significant debt crises [17] - While stocks, particularly in high-growth sectors like AI, offer high return potential, they also carry bubble risks, making gold a prudent diversification choice [17][18] Group 4: Tactical Allocation Strategy - Dalio advises a strategic asset allocation approach rather than tactical betting on gold prices, suggesting a 15% allocation for optimal risk-return balance [19][20] - He notes that the rise of gold ETFs has improved market liquidity but does not represent the primary driver of the current gold price increase [20] - If various investors allocate a suitable proportion of their assets to gold, the limited supply could lead to significantly higher gold prices [20]

Core Viewpoint - Ray Dalio, founder of Bridgewater Associates, has reinforced his bullish stance on gold, viewing it as a "timeless and universal" form of currency that is increasingly valuable in the current financial environment [3][10]. Group 1: Gold as a Core Asset - Dalio suggests that gold is replacing a portion of U.S. Treasury bonds in investment portfolios, particularly among central banks and large institutional investors [9]. - He advocates for a strategic allocation of up to 15% of investment portfolios to gold, emphasizing its role as an excellent diversification tool during market downturns [16][17]. - Dalio argues that gold's value does not depend on any counterparty's creditworthiness, making it a unique asset compared to traditional debt instruments [10]. Group 2: Historical Context and Value of Gold - Dalio highlights the historical cycles of "debt-gold-currency," where gold's value becomes prominent when debt cannot be repaid and fiat currencies are printed excessively [6]. - He notes that approximately 80% of global currencies have disappeared since 1750, with the remaining 20% experiencing significant devaluation, underscoring the risks associated with debt assets like U.S. Treasuries [9]. Group 3: Comparison with Other Assets - Dalio explains that while other precious metals like silver and platinum have inflation-hedging properties, they lack the historical and cultural acceptance that gold enjoys [12]. - He acknowledges that inflation-protected securities (TIPS) are undervalued but are still fundamentally government debt, making them vulnerable during debt crises [13][14]. - Although stocks, particularly in high-growth sectors like AI, offer high return potential, they also carry significant bubble risks, necessitating prudent diversification [15]. Group 4: Strategic Recommendations - Dalio recommends a strategic asset allocation approach rather than tactical bets, suggesting that investors should hold around 15% in gold for optimal risk-return balance [16][17]. - He proposes leveraging strategies or overlaying investments to maintain gold positions without sacrificing expected returns [18]. - The rise of gold ETFs has improved market liquidity, but their scale is still smaller than physical gold investments, which are not the primary driver of the current gold price increase [19].

Core Viewpoint - Ray Dalio, founder of Bridgewater Associates, emphasizes a bullish stance on gold, viewing it as a "universal currency" that is increasingly replacing U.S. Treasuries as a core asset in investment portfolios [3][11]. Group 1: Gold as a Core Asset - Dalio suggests that investors should allocate up to 15% of their portfolios to gold, highlighting its role as an excellent diversification tool during downturns in traditional assets [3][25]. - He argues that gold's value is intrinsic and does not rely on counterparty credit, making it a safer asset compared to debt instruments like U.S. Treasuries [14][12]. - Historical data indicates that approximately 80% of currencies have disappeared since 1750, underscoring the risks associated with debt assets [12][13]. Group 2: Comparison with Other Assets - Dalio explains that while silver and platinum have inflation-hedging properties, they lack the historical acceptance and stability of gold [17]. - He acknowledges that inflation-protected securities (TIPS) are government debt and thus tied to the issuing government's creditworthiness, which can be problematic during debt crises [18][19]. - Although stocks, particularly in high-growth sectors like AI, offer high return potential, they also carry significant bubble risks, necessitating careful diversification [21][22]. Group 3: Strategic Allocation Recommendations - Dalio recommends a strategic asset allocation approach, suggesting that a 15% gold position can optimize the risk-return profile of an investment portfolio [25][26]. - He notes that while gold may have lower long-term expected returns, it performs exceptionally well during market downturns [26]. - The rise of gold ETFs has improved market liquidity, but they are not the primary driver of the current gold price increase, which is more influenced by physical gold investments and central bank holdings [28].

Core Viewpoint - Ray Dalio, founder of Bridgewater Associates, reinforces his bullish stance on gold, viewing it as a "timeless and universal" form of currency that does not rely on counterparty credit, highlighting its strategic value in the current financial environment [1] Group 1: Gold as a Core Asset - Dalio suggests that gold is beginning to replace a portion of U.S. Treasuries in investment portfolios as a risk-free asset due to rising gold prices [1] - He recommends that investors allocate up to 15% of their portfolios to gold, emphasizing its effectiveness as a diversification tool during downturns in traditional investments [1][13] - Dalio's analysis indicates that gold's role in portfolios is becoming increasingly significant, especially among central banks and large institutional investors [7] Group 2: Understanding Gold's Value - Dalio argues that gold should be viewed as a fundamental form of currency rather than merely a metal, contrasting it with fiat currencies, which he sees as essentially debt [4] - He explains that throughout history, countries have experienced cycles of "debt-gold-currency," where gold's value becomes prominent when debt cannot be repaid [5] - Gold functions similarly to cash, allowing for direct settlement of transactions and debt repayment without creating new debt [6] Group 3: Gold vs. Other Assets - Dalio asserts that gold is becoming the second-largest currency, effectively replacing U.S. Treasuries in many investment portfolios [7] - He highlights that gold is less risky than sovereign debt, which can be subject to default or devaluation through inflation [8][9] - Compared to other precious metals like silver and platinum, gold holds a unique position due to its historical and cultural acceptance among global investors and central banks [10] Group 4: Tactical Allocation Strategy - Dalio emphasizes the importance of strategic asset allocation over tactical bets, suggesting that investors should hold approximately 15% in gold to optimize the risk-return profile of their portfolios [13] - He notes that while gold may have a lower expected long-term return, it performs exceptionally well during critical times [13] - The rise of gold ETFs has improved market liquidity, but the overall market size remains smaller than physical gold investments, which are not the primary driver of the current gold price increase [14]

Core Viewpoint - The article discusses the potential risks associated with a possible U.S. government shutdown, highlighting three main "invisible risks" that could impact economic growth, data release interruptions, and specific financial instruments [1][2]. Economic Impact - A comprehensive government shutdown could lead to approximately 800,000 federal employees being furloughed, resulting in a weekly reduction of about 0.2 percentage points in annualized real GDP growth [2][7]. - The previous shutdown in October 2013 caused a decline of $8 billion in actual federal consumption expenditures, which ultimately reduced the fourth-quarter GDP growth by 30 basis points (0.3%) [7]. Data Release Interruption - The shutdown may delay the release of critical economic data such as employment reports and the Consumer Price Index (CPI), creating a "data black hole" for the Federal Reserve and market participants [4][5]. - Historical data from the 2013 shutdown indicates that the employment and CPI data releases were significantly delayed, leading to a chaotic data release schedule [4][6]. Financial Instruments Impact - The delay in CPI data could affect inflation-protected securities (TIPS) and inflation swaps. If the September CPI report is not released on time, the U.S. Treasury will use a fallback index based on the most recent available changes to calculate TIPS payment obligations [10][11]. - For inflation swaps, if the final data is released more than five business days after the payment date, actual data will be used; otherwise, a similar fallback method will apply [11]. Absence of Default Risk - Unlike the 2013 crisis, the current budget impasse does not involve a debt ceiling issue, which significantly reduces the risk of a systemic financial crisis due to government default [3][9].