固收专题报告：信用调整中，机构如何交易？

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The current adjustment started with the commodity price increase in early July, lasted for a short period, and gradually stabilized at the end of the month. Credit bond yields rose following interest rates, and most credit spreads widened [2]. - In the short - term, the adjustment has stabilized, and funds, which were significantly affected, have gradually resumed allocating various bonds. In August, credit bonds are expected to face the impact of wealth management redemptions at the end of the quarter, but the impact is expected to be limited. Credit spreads are expected to fluctuate narrowly [4]. Summary by Relevant Catalogs 1. How was the trading of credit bonds during this adjustment? - Recent anti - involution policies affected commodity prices, impacting market inflation expectations and causing significant adjustments in the bond market. Credit bond yields rose with interest rates, especially for Tier 2 and perpetual bonds, with yields on those over 3Y rising by over 14bp. Credit spreads showed a differentiated trend, with spreads on Tier 2 and perpetual bonds and short - term non - financial credit bonds widening significantly, while spreads on medium - to long - term notes, corporate bonds, and urban investment bonds tightened due to poor liquidity [8]. - From secondary trading, different institutions showed significant differentiation. State - owned large - scale banks were net buyers, increasing their allocation of 1 - 5Y credit bonds, with a cumulative net purchase of 192.62 billion yuan. Joint - stock banks and city commercial banks were major sellers, possibly related to primary - market bond acquisition and secondary - market disposal. Securities firms were consistent sellers, with large - scale net selling before and during the adjustment. Funds reacted slowly, starting disposal in the middle and late stages of the adjustment and mainly focusing on long - term bonds while still buying credit bonds within 1Y. Insurance, wealth management, and other product categories were major buyers, with insurance mainly buying 7 - 10Y ultra - long credit bonds and wealth management and other product categories buying relatively short - term credit bonds [4][13]. 2. How did the overall asset allocations of various institutions change? 2.1 Banks: Large - scale banks significantly increased their allocation of treasury bonds, and rural financial institutions showed obvious portfolio rebalancing - Large - scale banks significantly allocated treasury bonds and inter - bank certificates of deposit (ICDs) and sold policy - bank bonds later, with a clear shortening of duration, net selling treasury bonds over 10Y and significantly allocating 1 - 3Y bonds [4][38]. - Rural financial institutions showed obvious portfolio rebalancing, selling large - scale 1Y - within ICDs and allocating 7 - 10Y policy - bank bonds, possibly to increase returns through capital gains in a context of "asset shortage" [4][41]. 2.2 Securities firms: Significantly sold treasury bonds and ICDs - Securities firms significantly sold treasury bonds and ICDs, with cumulative sales of 104.862 billion yuan and 47.32 billion yuan respectively from July 18 to July 29, and also disposed of over 10 billion yuan of 3 - 5Y credit bonds [44]. 2.3 Insurance: Obvious duration extension, large - scale inflow into local government bonds - Insurance institutions significantly allocated local government bonds, especially those with a 20 - 30 - year long - term duration, and also had a relatively large purchase of ICDs. From July 18 to July 29, the cumulative purchases of local government bonds and ICDs were 68.129 billion yuan and 48.947 billion yuan respectively [47]. 2.4 Funds: Major sellers in the market, comprehensively reduced their holdings of interest - rate bonds and credit bonds - Funds were under greater pressure, comprehensively and significantly reducing their holdings of local government bonds, treasury bonds, policy - bank bonds, and credit bonds during the adjustment, and shortening the duration. They increased their purchases of 1Y - within treasury bonds and policy - bank bonds while reducing their holdings of over 5Y ultra - long - term bonds [4][50]. 2.5 Wealth management and other product categories: Major buyers of short - term bonds - Wealth management and other product categories significantly allocated ICDs, with cumulative net purchases of 76.709 billion yuan and 106.756 billion yuan respectively. Wealth management also made small - scale allocations to policy - bank bonds and credit bonds. They maintained high liquidity [53]. 3. Summary - The adjustment started in early July and stabilized at the end of the month. Credit bond yields rose with interest rates, and most credit spreads widened. Different institutions showed significant differentiation in secondary - market trading and overall asset allocation [59][60]. - The adjustment has stabilized in the short - term, and funds have gradually resumed allocating bonds. In August, credit bonds may face the impact of wealth management redemptions, but the impact is expected to be limited, and credit spreads are expected to fluctuate narrowly [4][61].