统计及分析月报：中债指数-20260206

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - In 2025, the bond market continued to develop steadily and healthily. The ChinaBond New Composite Index had an annual holding return of 1.81%, a price return of -1.16%, and an annual total return of 0.65%. Interest rate bonds showed a pattern where the longer the duration, the more negative the price return and the lower the total return. Credit bonds were also affected by rising interest rates, but due to their shorter duration, the price decline was smaller than that of interest rate bonds, and the total return was relatively better. The overall credit spread of the credit bond market further converged throughout the year, and the spread return contribution of credit bond indices was positive, partially offsetting the price decline caused by rising interest rates. Some theme and strategy indices performed well [6]. - In December 2025, the overall wealth index of the domestic RMB bond market showed mixed performance, and the net - price index declined. Long - term interest rate bond yields rose, while short - term interest rate bond yields slightly declined. Short - term interest rate bond indices and floating - rate bond indices performed well. The yields of credit bonds of various grades were differentiated, and the overall wealth index return of the credit bond market was positive. The spreads between various industries and treasury bonds fluctuated slightly. Except for the real estate industry, the wealth index returns of other industries increased [10]. 3. Summary According to the Table of Contents 3.1 Bond Market Dynamics and ChinaBond Index Trends - 2025 Bond Market Review - The ChinaBond New Composite Index had an annual total return of 0.65%. Interest rate bonds had higher holding returns for long - end bonds but lower price returns, with a negative correlation between duration and price return. Credit bonds, affected by interest rate fluctuations, had relatively better total returns due to shorter durations. The ChinaBond Short - term Commercial Paper AAA Index had an annual return of 1.82%. The overall credit spread of the credit bond market converged, and the spread return contribution was positive. Some theme and strategy indices, such as the ChinaBond Investment - Preferred Green Bond Index and the ChinaBond Credit Bond Value Factor Selected Strategy Index, performed well [6]. - The table shows the year - to - date, 1 - year rolling, and 3 - year rolling (annualized) returns of various bond indices, including comprehensive, interest rate, credit, theme, and strategy indices [7]. - The table also presents the index total return, holding return, price return, and other performance attribution factors for different bond indices in 2025 [8]. - December 2025 Bond Market Review - The overall wealth index of the domestic RMB bond market showed mixed performance, and the net - price index declined. Long - term interest rate bond yields rose, while short - term interest rate bond yields slightly declined. Short - term interest rate bond indices and floating - rate bond indices performed well. The yields of credit bonds of various grades were differentiated, and the overall wealth index return of the credit bond market was positive. The spreads between various industries and treasury bonds fluctuated slightly. Except for the real estate industry, the wealth index returns of other industries increased [10]. - The market activity of the domestic RMB bond market increased, with the monthly standard deviation of the daily return of the ChinaBond New Composite Wealth Index rising to about 0.057%, an increase of 0.021 percentage points from the previous month. The market trading volume increased to about 26.57 trillion yuan [13]. - The overall wealth index of the Chinese green bond market slightly rose, with the ChinaBond High - grade Green Corporate Credit - type Bond Index having a wealth index return of 0.16%. The scale of the green bond market remained stable, with the market value of "green - oriented" bonds reaching 6.64 trillion yuan, a 0.90% increase from the previous month [16]. 3.2 This Month's Interest Rate Bond Market Review - At the end of the month, long - term treasury bond yields rose, while short - term treasury bond yields slightly declined. The term spread of treasury bonds and the spread between policy - bank bonds and treasury bonds slightly widened [19]. - The ChinaBond Total Index wealth index fell by 0.19%. Short - term treasury bond indices performed slightly better. Except for the maturity segment of over 10 years, the ChinaBond Investment - Preferred Treasury Bond Index performed slightly better than the ChinaBond Investment - Preferred Policy - bank Financial Bond Index in other maturity segments [25]. - In the interest rate bond indices, short - term interest rate bonds and floating - rate bond indices performed well. The table shows the top and bottom 5 interest rate bond indices in terms of monthly return [28][29]. 3.3 This Month's Credit Bond Market Review - The yields of credit bonds fluctuated, and the overall wealth index return of the credit bond market was positive. The ChinaBond Credit Bond Total Index wealth index slightly rose by 0.13% [31]. - The spreads of high - grade credit bonds were slightly differentiated. Taking 3 - year credit bonds as an example, the spreads of AAA and AAA - credit bonds slightly narrowed, while the spreads of AA + and AA - grade credit bonds widened. The spreads between the ChinaBond enterprise bond yield curves of AAA, AAA -, AA +, and AA grades and treasury bonds were at the 39%, 41%, 45%, and 52% percentiles of the past 3 years, respectively [34]. - The spreads between various industries and treasury bonds fluctuated slightly. Except for the real estate industry, the wealth index returns of other industries increased. The ChinaBond Steel Industry Credit Bond Index had a return of about 0.21%, performing the best [39]. - The returns of credit bond indices were slightly differentiated, and the ChinaBond Commercial Bank Perpetual Capital Bond Index performed well. The table shows the top and bottom 5 credit bond indices in terms of monthly return [41][42]. - There were no new default issuers this month. The table shows the statistics of default events from 2015 to 2025 [43]. 3.4 Appendix: Correlation of Returns of Major Bond Types - The table shows the correlation coefficients of the daily wealth index returns of various bond indices in the past 3 months as of December 31, 2025 [44]. 3.5 Awards - The company won multiple awards, including the "Best Fixed - Income Index Provider" from The Asset for six consecutive years (2020 - 2025), the "Best ETF Index Provider" from The Asset in 2025, etc. [47]