Group 1 - The domestic bond market is under pressure, with long-term bond yields rising, particularly the 10-year government bond yield approaching 1.84% [2][3] - Concerns about the redemption of "fixed income +" funds and the implementation of new public fund sales regulations are contributing to market anxiety [2][4] - The recent debt extension issues faced by Vanke have negatively impacted market sentiment, primarily affecting credit bonds but also influencing interest rate bonds due to redemption pressures [2][5] Group 2 - Analysts suggest that the bond market's incremental positive factors are limited, and the direction of monetary policy remains unclear, leading to weak overall market sentiment [4][6] - The People's Bank of China (PBOC) has been conducting net withdrawals in the open market, but overall liquidity remains ample, with a recent net injection of 564 billion yuan [4][5] - Expectations for interest rate cuts are diminishing, with analysts indicating that if the Federal Reserve cuts rates in December, it could provide more room for domestic rate cuts [6][7] Group 3 - The adjustment of banks' deposit structures, particularly the removal of 5-year fixed deposit products, may signal a shortening of the duration of bank liabilities, impacting their bond holding behavior [7][8] - The PBOC's emphasis on maintaining reasonable interest rate relationships is seen as a key reference for the trend of long-term bond yields [8]

股债跷跷板效应不存在了？ 近期，国内债市持续承压，长债利率接连上行。11月27日，国债期货收盘多数下跌，10年期国债收益率 在1.84%附近向上震荡。 综合机构观点，近期债市承压一方面是因为政策上降息预期降温，另一方面是市场对"固收+"基金赎 回、公募基金销售新规落地存在担忧。与此同时，万科债券展期风波给市场情绪带来冲击，主要利空信 用债，但赎回压力下利率债也会受到波及。 临近年末，机构对震荡市的判断更为明显，降准降息预期仍是主要干扰因素。受访人士认为，综合考虑 内外部环境和地方债供给情况，岁末年初降准降息仍有空间。 10年期国债收益率回升至1.84% 不同于三季度较为明显的股债跷跷板效应，近期即使股市出现连续下跌，债市依旧表现偏弱。以10年期 国债品种为例，进入11月以来，"25附息国债16"收益率从1.79%一路上行至1.84%左右；30年期国债活 跃券收益率则从2.14%来到2.2%附近。 对此，财通证券固收分析师孙彬彬认为，从宏观逻辑上，债市的增量利好有限、货币政策方向不明确， 而前期利率债补涨结束，主流券种收益率下行有阻力，债市情绪整体较弱。从机构行为角度，他认为一 方面是因为保险大量赎回"固收+" ...

Summary of Key Points from Conference Call Records Industry Overview - The focus is on the fixed income market, particularly interest rate bonds and credit bond allocation strategies [1][2][3]. Core Insights and Arguments - **Interest Rate Bonds Market**: The current market shows limited downward potential for interest rates, leading to a decrease in investor willingness to take long positions. The market is reacting less to positive factors [1][2]. - **Investment Strategy**: - For absolute return portfolios, a low duration defensive strategy is recommended, waiting for interest rate adjustments before considering new opportunities [1][3]. - For relative return portfolios, attention should be paid to the compression of spreads between government bonds and policy bank bonds [1][3]. - **Recommended Bonds**: - Long-term: 10-year policy bank bond 215 and 30-year government bonds are highlighted for their liquidity and potential capital gains [1][7]. - Short-term: 5-year policy bank bonds 208 and 203 are recommended, while avoiding certain convex positions due to low cost-effectiveness [1][8]. - **Hedging Strategy**: Utilizing government bond futures for hedging operations is advised, specifically buying policy bank bonds and hedging with 5-year or 10-year government bond futures to enhance cost-effectiveness [1][9]. Important but Overlooked Content - **Credit Bonds**: - Emphasis on focusing on economically strong provinces and cities for long-term credit bonds, while regions with insufficient growth momentum should prioritize bonds with maturities of three years or less [1][10][11]. - Specific attention to key industrial chains in provinces like Shandong and Sichuan, which are investing in renewable energy sectors such as photovoltaics and hydrogen energy [1][12][14]. - **Local Government Support**: The role of local governments in attracting investment and providing policy support is crucial for the development of local enterprises and industries [1][15]. - **Future Investment Opportunities**: Identifying investment opportunities based on local industrial development plans, particularly in emerging sectors like new energy and intelligent manufacturing, is essential for long-term growth [1][16][20]. Conclusion - The fixed income market is currently characterized by cautious investor sentiment due to limited interest rate movement. Strategic allocation in both long-term and short-term bonds, along with a focus on economically robust regions and sectors, is recommended for potential investment success.

证券研究报告 | 金融工程 2025 年 11 月 23 日 利率价量择时观点整体转为偏空 美债价量周期择时信号：看多 - 基于美国市场 10 年期国债 YTM 数据判断的多周期择时信号为： 长周期向上突破、中周期向下突破、短周期向下突破。综合来看， 当前合计下行突破 2 票、上行突破 1 票，最终信号的综合评分结 果为看多。 国内利率价量多周期择时策略表现 - 自 2024 年底以来，基于 5/10/30 年期国债 YTM 价量趋势的交易策 略年化收益率分别为 2.24%、2.69%、3.25%，最大回撤为 0.75%、 1.01%、1.78%，收益回撤比为 3.8、4.65、3.54，相对业绩基准的 超额收益率为 0.81%、1.39%、2.57%。2008 年以来，各策略逐年 绝对收益和超额收益大于 0 的概率均接近 100%。 风险提示：本报告基于对历史数据的分析，当市场环境变化时，存在失效 风险。 专题报告 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 梁雨辰 S1090523070008 liangyuchen2@cmschina.com.cn 敬请阅读 ...

18日，日本国内债券市场上，作为长期利率重要指标的10年期新发国债收益率上升至1.755%，为自2008年6月以 来的最高点。期限更长的30年期国债收益率甚至达到了历史最高水平。市场分析，原因之一是市场担忧"在高市早 苗政权之下日本财政状况将会恶化"，导致国债卖单增加。（总台报道员 杨红霞 柏春洋） 编辑/樊宏伟 △东京证券交易所（资料图） 日本东京股市两大股指18日继续下跌。日经225种股票平均价格指数报收于48702.98点，较前一交易日收盘价下跌 1620.93点，跌幅3.22%。 18日，东京证券交易所股票价格指数报收于3251.1点，较前一交易日收盘价下跌96.43点，跌幅2.88%。 ...

投机大拿注意到，上周四人民币对美元出现了较大幅度的升值，从7.12升至7.09左右，这一升值幅度已 经相当可观，从而引发了降息预期升温。此前，外管局一直强调要保持人民币汇率的相对稳定，但由于 市场预期美联储将进一步降息，未来人民币升值的压力相对较大，因此为了保证币值稳定，未来大概率 会有降息政策出台。 11月17日，和讯投顾投机大拿在今日市场分析中指出，上周五A股在2点之后出现了一波跳水，叠加周 末的各种消息频发，市场早盘出现了明显的恐慌情绪。 投机大拿认为，这种恐慌情绪本身是没必要的，分析原因，周五A股的跳水大致是从下午2点之后开始 的，而与此同时，可以看到30年期国债在这个时间节点出现了较大幅度的回升。债券价格上涨，而股票 下跌，这种现象并不罕见。很多投资者都知道，股债走势通常是相悖的，例如，在最近的三季度，股市 上涨的同时，债市是下跌的。 那么，债券为什么会在这一刻突然上涨呢？投机大拿表示，债券价格上涨的核心原因通常是降息预期。 债券，尤其是国债，其收益率与存款利率基本相当，因为它们的风险水平相近，收益差距也不会太大。 在这种情况下，降息预期很可能是推动债券价格上涨的主要因素。那么，接下来是否真的会降息 ...

Group 1: Sovereign Debt Market Overview - The sovereign debt market in 2025 has seen the highest yields for 30-year government bonds in Germany, France, and the Netherlands since the 2011 Eurozone crisis, with UK yields reaching the highest level since 1998 [1] - A new vicious cycle is emerging where concerns over sovereign debt are driving up yields, increasing borrowing costs for governments, and leading to larger fiscal deficits and more bond issuance [1] Group 2: Japan's Bond Market Dynamics - Japan's 30-year government bond yields have reached their highest level since issuance in 1999, rising nearly 100 basis points since the beginning of the year [2] - The volatility in Japan's bond market is attributed to the Bank of Japan's monetary policy adjustments, including the end of negative interest rates and a significant reduction in bond purchases [4][5] - Concerns over Japan's fiscal situation have intensified, with political instability further exacerbating market fears [6] Group 3: European Sovereign Debt Concerns - Germany's bond yields have surged due to increased defense spending and the loosening of fiscal constraints, while France faces political turmoil affecting its budget proposals [7][8] - The UK has seen its 30-year bond yields rise to 5.75%, the highest since 1998, driven by expectations of increased taxation and government spending to address fiscal challenges [8] Group 4: Global Interest Rate Trends - Despite entering a rate-cutting cycle, long-term sovereign bond yields continue to rise, indicating a market re-evaluation of sovereign creditworthiness [10] - The persistent high inflation in major economies, particularly the US, has led to a "Higher for Longer" narrative for long-term rates, impacting developed nations' bond yields [10][11] - Concerns over fiscal sustainability and political instability in Europe are contributing to upward pressure on long-term yields, particularly in the UK [11]

Market Performance - The majority of government bond futures closed lower, with the 30-year main contract up by 0.03%, the 10-year main contract unchanged, the 5-year main contract down by 0.01%, and the 2-year main contract down by 0.01% [1] - The yields on major interbank bonds mostly rose, with the 10-year China Development Bank bond "25国开15" yield increasing by 0.1 basis points to 1.8610%, while the 10-year government bond "25附息国债16" yield remained unchanged at 1.7900% [1] - The 30-year government bond "25超长特别国债06" yield rose by 0.1 basis points to 2.1410%, and the 1-year government bond "25附息国债13" yield increased by 1.5 basis points [1] Funding Conditions - The central bank announced a 117.5 billion yuan 7-day reverse repurchase operation on November 4, with a fixed rate of 1.40% and a bid amount of 117.5 billion yuan [2] - On the same day, 475.3 billion yuan of reverse repos matured, resulting in a net withdrawal of 357.8 billion yuan [2] - The interbank funding conditions remained stable and loose, with overnight repurchase rates for deposit institutions slightly rising and hovering around 1.31% [2] Operational Recommendations - In October, the central bank purchased 20 billion yuan in bonds, which was below expectations, leading to a neutral impact on the bond market [3] - The bond market may enter a waiting phase due to a short-term policy vacuum, with overall market sentiment improving and bond yield fluctuation ranges expected to decrease [3] - It is suggested that investors consider buying on dips and look for opportunities in positive spread strategies due to rising IRR [3]

Group 1 - The report discusses the emergence of active bond yield spreads, defined as the difference in yields between newly issued bonds (active bonds) and older bonds, primarily due to the liquidity premium associated with new bonds [7][18]. - It identifies three key patterns observed since 2016 regarding the trading volume and transaction amounts of 10-year government bonds and policy bank bonds, highlighting that the trading volume of new bonds is significantly higher than that of older bonds [7][18]. - The report notes that the trading volume of 30-year government bonds has increased significantly since 2024, indicating a growing institutional interest in ultra-long bonds [7][18]. Group 2 - The report analyzes the convergence patterns of active bond yield spreads, noting that after each switch of active bonds, the yield spread typically exhibits an inverted "V" shape, initially widening before gradually narrowing [27][31]. - It emphasizes that the speed and extent of convergence can vary under different market conditions, influenced by the behavior of trading and allocation participants [31][34]. - The report suggests that in a low-rate environment, allocation demand drives the market, leading to a "hold" mentality that increases prices and decreases yields on older bonds, potentially resulting in negative yield spreads [34][42]. Group 3 - The report proposes a trading strategy based on the active bond yield spread, recommending a "long old bonds, short new bonds" approach, while considering borrowing costs and potential returns during the convergence of yield spreads [45][49]. - It estimates that the borrowing cost for this strategy is approximately 40 basis points, and the active bond yield spread needs to be around 5 basis points to cover these costs [45][49]. - The report concludes that the active bond yield spread trading strategy remains profitable, with the maximum yield spread observed since 2023 being around 9.8 basis points [45][49].

Core Viewpoint - The Federal Reserve has cut the benchmark federal funds rate for the second time this year, but future rate cuts are uncertain as indicated by Fed Chair Jerome Powell's comments on differing views within the committee regarding December's meeting [2][3]. Group 1: Treasury Yields - The benchmark 10-year Treasury yield increased by 7 basis points to 4.053% [1] - The 2-year Treasury note yield rose by 9 basis points to 3.58% [1] - The 30-year bond yield climbed 5 basis points to 4.598% [1] Group 2: Federal Reserve's Rate Decisions - The Federal Reserve cut the benchmark federal funds rate by a quarter percentage point to a range of 3.75% to 4% [2] - The CME FedWatch Tool indicates a 70% probability of another interest rate cut at the December meeting [2] Group 3: Economic Outlook - The Federal Reserve slightly upgraded its economic outlook, noting moderate expansion in economic activity [3] - Job gains have slowed, and while the unemployment rate has increased slightly, it remains low [3] Group 4: Expert Opinions - Michael Pearce from Oxford Economists suggests the Fed may pause its rate-cutting cycle in the near term, anticipating a stabilization in labor market conditions [4] - The forecast includes three rate cuts at a quarterly pace in 2026 [4]