二永债利差拆解和复盘启示

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Views of the Report - Factors influencing the spread of secondary and perpetual bonds (hereinafter referred to as "two - perpetual bonds") include interest rate fluctuations, market supply - demand, credit risk, and regulatory policy changes. In the past two years, the unexpected risks and non - redemption events of two - perpetual bonds have decreased, the credit environment has been relatively stable, and the impact of credit risk has significantly declined. After the contraction of urban investment bond supply in 2023, institutions such as funds and wealth management products quickly compressed the grade and term spreads of two - perpetual bonds to low levels. Therefore, subsequent pricing of two - perpetual bonds focuses more on interest rate fluctuations and market supply - demand changes. This year, affected by the tight - then - loose funds, rising - then - falling interest rates, and decreasing - then - increasing non - bank allocation demand, the spread of two - perpetual bonds has generally risen first and then fallen. Looking ahead, with interest rate fluctuations, deposit rate cuts, and incremental non - bank demand, there are still opportunities for the spread of two - perpetual bonds to narrow. It is recommended that institutions choose medium - to - short - duration sinking into city and rural commercial bank bonds for coupon income or medium - to - high - grade bonds with a duration of 3 - 5 years, operate with interest rate bands, and allocate when the spread is high [1]. Group 3: Summary According to the Table of Contents 3.1 Two - part Classification of Two - perpetual Bond Spreads - The spread of two - perpetual bonds can be decomposed into liquidity premium and credit risk premium. The liquidity premium reflects the liquidity compensation for the weaker secondary liquidity of credit bonds compared to interest - rate bonds, and the credit risk premium reflects the compensation for credit default risk. For two - perpetual bonds, due to special terms such as write - down, subordination, and redemption, and their repayment order being lower than that of general commercial financial bonds, there is also a variety premium, which is part of the credit risk premium. Institutional behavior also has an increasing impact on market valuation. Asset shortages intensify institutional exploration of two - perpetual bonds, reducing the liquidity premium, while redemption disturbances increase the adjustment pressure on two - perpetual bonds. In case of unexpected credit risk events, institutional risk - aversion also increases the credit risk premium of two - perpetual bonds [11]. - The liquidity premium is mainly affected by interest rate disturbances, market supply - demand, etc. Since 2021, with increased exploration of varieties, high - grade two - perpetual bonds have become credit products with good liquidity and are obvious amplifiers of interest rate fluctuations. The variety spread (liquidity premium) is significantly affected by interest rate fluctuations, and is also influenced by unexpected credit risk events, regulatory policies (such as the new capital regulations increasing the risk weight of two - perpetual bonds), and market supply - demand (asset shortages and institutional redemptions). In a strong market, the spread generally compresses; in a weak market, it widens. When interest rates fluctuate within a narrow range, whether two - perpetual bonds perform better than interest - rate bonds depends on factors such as the spread size and the strength of non - bank allocation demand [2][16]. - The credit risk premium is mainly affected by risk events, and market supply - demand also increases fluctuations. The grade spread (credit risk premium) is mainly affected by bank risk events and market supply - demand. The widening of the grade spread is often driven by bank risk events, such as non - redemptions of small and medium - sized banks. Since 2022, the number of non - redemptions has declined. The core of the two - perpetual bond sinking market lies in asset shortages, while short - term fluctuations are more affected by interest rate disturbances. However, the sinking strategy also has obvious valuation risks, and low - grade two - perpetual bonds often adjust more slowly and with a larger amplitude in market adjustments [25][32]. - The term spread is mainly affected by the money market, supply - demand, institutional behavior, and interest rate fluctuations. The short - end is more sensitive to the money market and market changes. When the market changes rapidly, the short - end moves first, causing the term spread to change passively in the opposite direction. The long - end is often the choice for institutions to extend the duration to seek returns after the market has been strong for a long time. Supply - demand and institutional behavior also play a role. When liquidity is loose and high - quality assets are scarce, institutions extend the duration to seek returns, and the medium - and long - term spreads are actively compressed. There is also a grade differentiation, where high - grade bonds have stronger liquidity, and their term spread fluctuations are more closely linked to interest rates, while low - grade bonds have more obvious liquidity stratification, with a larger spread compression amplitude during asset shortages but a slower recovery during adjustments [41][43]. 3.2 Changes in the Supply - Demand Relationship of Two - perpetual Bonds and Their Impact on Spreads - In terms of supply, the issuance of bank secondary capital bonds started in 2013, and the issuance of bank perpetual bonds started in 2019. Since 2020, banks' demand for capital replenishment through issuing two - perpetual bonds has significantly increased. In 2021, the net financing of two - perpetual bonds decreased as maturities increased. In 2022 and 2023, the net financing decreased due to the wealth management redemption wave. In 2024, the supply of two - perpetual bonds increased significantly, and the net financing of city and rural commercial bank two - perpetual bonds reached a record high. As of now in 2025, the issuance of bank two - perpetual bonds has slowed down, mainly related to the implementation of a 500 - billion - yuan capital injection for large - scale banks this year, which partially replaces the demand for two - perpetual bonds, and the general capital replenishment demand and unstable institutional allocation demand this year [53]. - In terms of demand, funds and wealth management products have been major players in the marginal pricing of two - perpetual bonds since 2021. For example, the redemption wave at the end of 2022 widened the spread significantly, while the under - allocation in 2023 - 2024 led to a comprehensive compression of variety, grade, and term spreads. Insurance is a long - term investor, increasing its holdings during market adjustments. Banks are mainly sellers in the secondary market, and rural commercial banks are the main force in increasing the allocation of secondary capital bonds [3][59]. 3.3 Historical Review of Two - perpetual Bond Spreads - 2019: In January - April, policy relaxation on insurance investment in secondary capital bonds narrowed the spread. In May - July, the takeover of Baoshang Bank widened the spread. In August - October, the spread narrowed as the impact of the Baoshang Bank event eased and interest rates fluctuated. In November - December, non - redemptions by some banks widened the spread. The term spread was affected by the Baoshang Bank event and non - redemption risks, and the grade spread was also affected by the event and non - redemptions [81][82]. - 2020: In January - February, the spread widened passively due to the epidemic and loose monetary policy. In March - April, non - redemptions and concerns about bank operations widened the spread. In May - July, the spread narrowed as the epidemic improved and interest rates rose. In August - October, the spread widened due to reduced demand and increased supply. In November - December, credit events such as the Yongmei default and the full write - down of Baoshang Bank's secondary capital bonds widened the spread significantly. The term spread first widened, then narrowed, and then fluctuated [93][94][97]. 3.4 Investment Recommendations - Affected by uncertainties such as tariff negotiations, interest - rate bonds may continue to fluctuate within a narrow range in the second quarter. In terms of supply, the supply may increase quarter - on - quarter in the second quarter due to increased maturities, but the net financing is unlikely to increase significantly throughout the year. On the demand side, since April, the scale of wealth management products and funds has increased. Coupled with the low credit supply in May and interest rate fluctuations, there is still demand for coupon income from two - perpetual bonds. The probability of unexpected defaults this year is low. In terms of valuation comparison, the adjusted short - end yield of two - perpetual bonds is better than that of corporate credit bonds, and the absolute price and relative spread of medium - to - high - grade 3 - 5 - year bonds are relatively high. Therefore, in a volatile market with slightly better credit demand than interest - rate demand, it is recommended that institutions choose medium - to - short - duration sinking into city and rural commercial bank bonds for coupon income or medium - to - high - grade bonds with a duration of 3 - 5 years, operate with interest rate bands, and allocate when the spread is high [5].