信用策略备忘录：逼仄行情备忘录

Investment Rating for the Reported Industry - There is no information provided about the industry investment rating in the given content. Core Viewpoints of the Report - As of July 4, the heavy - position strategy for secondary capital bonds has significantly recovered, with the weekly returns of the bullet - type and industrial ultra - long - term strategies for secondary bonds approaching their highest levels in the past three months[2][12]. - The average return of the heavy - position strategy for ultra - long - term bonds has rebounded by about 38bp, and the cumulative returns of the industrial and secondary ultra - long - term strategies in the second quarter were lower than that of the urban investment ultra - long - term strategy, but this week's returns are almost at the highest level in the past three months[2][12]. - The duration of general commercial financial bonds has rapidly lengthened from 2.1 years last week to 3.3 years this week, approaching the historical high[3][14]. - As of July 7, 2025, compared with last week, the yields of non - financial and non - real - estate industrial bonds have all declined, with short - term varieties experiencing a larger decline in returns. Real - estate bond yields also mainly declined, especially private - enterprise bonds within 2 years[4][18]. - The activity of ultra - long - term credit bonds has basically remained stable, with high trading enthusiasm this week. The weekly trading volume of industrial bonds with a term of 7 years and above is basically the same as last week, and the weekly trading volume of urban investment bonds with a term of 7 - 10 years has returned to over 100 transactions[5][22]. - In July, the supply rhythm of local government bonds in each province has accelerated. For example, the planned issuance scale of Hunan and Sichuan is over 10 billion. Local government bonds have high coupon rates and long - term configuration value in the current low - interest - rate environment[6][25]. Summary by Relevant Catalogs Quantified Credit Strategy - As of July 4, the heavy - position strategy for secondary capital bonds has significantly recovered, with the average return of the credit - style secondary capital bond heavy - position portfolio rising by 28bp to around 0.27%. The ultra - long - term strategy's excess return has rebounded to the level in early June, and the duration strategy has rotated from urban investment bonds to industrial and secondary bonds[2][12]. Variety Duration Tracking - As of July 4, the weighted average trading terms of urban investment bonds and industrial bonds are 2.27 years and 3.27 years respectively, both at over 90% quantile levels since March 2021. Among commercial bank bonds, the weighted average trading terms of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds are 4.28 years, 3.73 years, and 3.27 years respectively. Among other financial bonds, the durations of securities company bonds, securities sub - bonds, insurance company bonds, and leasing company bonds are 1.52 years, 1.69 years, 3.33 years, and 1.37 years respectively[3][14]. Coupon Asset Heat Map - As of July 7, 2025, compared with last week, the yields of non - financial and non - real - estate industrial bonds have declined, with short - term private - enterprise non - perpetual bonds showing significant declines (19.6BP for 1 - 2 - year public bonds and 14.2BP for private bonds within 1 year). Real - estate bond yields also declined, and private - enterprise bonds within 2 years were more popular. Among financial bonds, the yield decline of commercial financial bonds was within 8BP, and 1 - 2 - year varieties performed better. Short - duration bank sub - bonds had a strong performance, with the yield of 1 - year joint - stock bank's perpetual and secondary bonds declining by nearly 13BP[4][18]. Ultra - long - term Credit Bond Micro - tracking - The activity of ultra - long - term credit bonds has basically remained stable. The weekly trading volume of industrial bonds with a term of 7 years and above is basically the same as last week, and the weekly trading volume of urban investment bonds with a term of 7 - 10 years has returned to over 100 transactions. The spread between the weekly average trading return of industrial bonds with a term of 7 years and above and the 20 - 30 - year treasury bonds has narrowed to about 25BP, lower than the lowest value in the long - bond market at the beginning of this year[5][22]. Local Government Bond Supply and Trading Tracking - In July, the supply rhythm of local government bonds in each province has accelerated. Hunan and Sichuan plan to issue over 10 billion each. Many provinces have issued new special bonds to support infrastructure, land storage, and payment of corporate accounts payable. The accelerated supply of local government bonds echoes the policy of front - loading fiscal efforts, fulfilling the dual tasks of stabilizing growth and debt reduction, and highlighting the high - coupon and long - duration configuration value in the current low - interest - rate environment[6][25].