信用周报20251210：连续调整后，二永的机会在哪儿？-20251210

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - Last week, interest rate bonds fluctuated slightly weaker, and credit bonds adjusted synchronously with interest rates but declined more significantly. This might be due to the continuous fermentation of the Vanke incident, causing the market's credit risk preference to turn cautious [2][10]. - After three weeks of phased adjustment, the "volatility amplifier" characteristic of Tier 2 and perpetual bonds reappeared, with a decline higher than that of general - credit bonds and interest - rate bonds of the same maturity. There is a certain opportunity for left - side participation [3][18]. - The selling pressure of ultra - long - term credit bonds was strong last week. The market became more cautious about duration at the end of the year. The Vanke incident made the market more risk - averse, and investment institutions' willingness to invest in real - estate and related sectors decreased [4][22]. - Currently, the coupon strategy is still the best. After the recent adjustment, about 28.7% of the 1 - 3 - year credit bonds with implied ratings of AA and AA(2) have yields between 2.2% - 2.6%, leaving some room for bond selection. It is still not advisable to pursue ultra - long - term credit bonds. For allocation portfolios with a more stable liability side, the Tier 2 and perpetual bonds of large state - owned banks with a maturity of 3 - 5 years can be considered for appropriate participation [5][34]. 3. Summary According to Relevant Catalogs 3.1 Bond Market Performance - Interest Rate and Credit Bond Yield Changes: From December 1 to December 5, 2025, the 1Y, 2Y, 3Y, 4Y, and 5Y Treasury bond yields changed by - 0.0BP, - 1.5BP, - 1.5BP, - 0.2BP, and + 1.4BP respectively, while the yields of the same - maturity AAA medium - term notes increased by 1.1BP, 2.6BP, 2.9BP, 2.6BP, and 3.7BP respectively, and AA + medium - term notes increased by 2.1BP, 3.6BP, 1.9BP, 3.6BP, and 4.7BP respectively [10]. - Ultra - long - term Credit Bond Performance: The decline of ultra - long - term credit bonds was higher than that of general - credit bonds and interest - rate bonds of the same maturity. The 7Y performance was generally better than that of the 10Y. The yields of 10Y AAA/AA + medium - term notes increased by 4.18BP, the yields of 10Y AAA/AA + urban investment bonds increased by 5.80BP and 7.79BP respectively, and the yield of 10Y AAA - bank Tier 2 capital bonds increased by 8.54BP, while the 10Y Treasury bond yield increased by 0.68BP [12]. 3.2 Yield Curve and Historical Quantiles - Yield Curve Steepness: The steepness of the 1 - 2 - year yield curve was the highest for all ratings, and the 2 - 3 - year steepness of low - grade bonds was also relatively high. For AA + medium - term notes, the slopes of the 1 - 2 - year, 2 - 3 - year, and 3 - 5 - year intervals were 0.1433, 0.0837, and 0.0748 respectively; for AA urban investment bonds, they were 0.1476, 0.1402, and 0.0864 respectively [13]. - Historical Quantiles: The protection cushion of 3 - 5Y general - credit bonds has increased, and they currently have a certain cost - effectiveness. From December 1 to December 5, 2025, the valuation yields to maturity of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA +, 3Y - AA +, 5Y - AA +, 1Y - AA, and 3Y - AA ChinaBond medium - and short - term notes were at the 27.27%, 39.87%, 43.38%, 23.34%, 35.74%, 38.84%, 20.04%, and 30.99% levels since 2024. The historical quantiles of their credit spreads were 7.85%, 19.21%, 22.31%, 7.02%, 12.80%, 14.04%, 6.81%, and 17.76% respectively [15]. 3.3 Tier 2 and Perpetual Bonds - Yield Changes: The yields of 1 - 5Y, 7Y, and 10Y AAA - bank Tier 2 capital bonds increased by 2.98BP, 3.18BP, 7.48BP, 7.65BP, 4.97BP, 6.64BP, and 8.54BP respectively. The part with a maturity of 4 years and above is still 45BP - 65BP away from the lowest yield point since 2025. Compared with the sharp decline at the end of July, the yield points of varieties with a maturity of over 2 years are higher than the previous round [18]. - Trading Activity: Last week, the long - and short - side forces in the market were relatively balanced, and the market fluctuated repeatedly. From December 1 to December 5, the proportion of low - valuation transactions of Tier 2 and perpetual bonds was 100.00%, 5.00%, 50.00%, 0.00%, and 100.00% respectively; the average transaction duration was 4.62 years, 1.29 years, 2.23 years, 0.68 years, and 6.14 years respectively. The amplitude of transactions below the valuation was generally low, within 2.5BP, and the amplitude of discount transactions was also mostly within 3BP [19]. 3.4 Ultra - long - term Credit Bond Transactions - Discount Transactions: From December 1 to December 5, the proportion of discount transactions of ultra - long - term credit bonds was 25.00%, 60.00%, 65.00%, 80.00%, and 57.50% respectively. About 30.5% of the discount transaction amplitudes were above 4BP, mainly individual bonds with credit flaws such as AVIC Industry - Finance, and there were also many discount transactions of Shenzhen Metro above 4BP [22]. - Transactions Below Valuation: The willingness to buy ultra - long - term credit bonds was not strong, and the focus of market trading was still on low - quality urban investment bonds. About 30% of the transactions below the valuation had an amplitude of 3BP or more, but the proportion of ultra - long - term credit bonds was not high. Transactions with an amplitude of 3BP or more were mainly 2 - 5Y AA(2) and AA - low - quality urban investment bonds [23][25]. 3.5 Institutional Behavior - General - credit Bonds: Public funds and wealth management products mainly increased their holdings of general - credit bonds in the short - and medium - term, mainly within 3 years. Last week, funds net - bought 59.40 billion yuan of credit bonds within 1 year and 53.40 billion yuan of 1 - 3Y credit bonds, and were in a state of net - selling for credit bonds over 7 years. Wealth management products mainly net - bought 90.99 billion yuan of credit bonds within 1 year and 26.79 billion yuan of 1 - 3Y credit bonds [27]. - Tier 2 and Perpetual Bonds: The selling pressure of public funds and insurance companies on Tier 2 and perpetual bonds has weakened, and the buying power of wealth management products is not strong. Other asset management products are the main force for increasing holdings. Last week, fund companies net - sold 93.9 billion yuan of Tier 2 and perpetual bonds, insurance companies net - sold 40.1 billion yuan, and bank wealth management products net - bought 36 billion yuan. Only other products net - bought 197.4 billion yuan [27].