摘要 根据 Wind 数据，折价成交个券中，"24 诚通控股 MTN010B"债券估值价格偏离幅度较大。净价上涨成交个券中，"京 资 K10"估值价格偏离程度靠前。净价上涨成交二永债中，"25 平安银行永续债 01BC"估值价格偏离幅度较大；净价 上涨成交商金债中，"25 张家港农商科创债 01"估值价格偏离幅度靠前。成交收益率高于 5%的个券中，交运债排名靠 前。 信用债估值收益变动主要分布在[-5,5]区间。非金信用债成交期限主要分布在 2 至 3 年，其中 0.5 年内品种折价成交 占比最高；二永债成交期限主要分布在 4 至 5 年，其中 1 至 3 年品种折价成交占比最高。分行业看，轻工制造行业的 债券平均估值价格偏离最大。 风险提示 统计数据偏差或遗漏，高估值个券出现信用风险 敬请参阅最后一页特别声明 1 扫码获取更多服务 固定收益动态(动态) 图表1：折价成交跟踪 | | | | | 大幅折价个券成交跟踪 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 剩余期限 | 估值价格 ...

研究中心宏观团队 2025/12/23 | 全 球 资 产 市 场 表 现 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债 | | | | | | | | | | 美国 | | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 最新 | 4.165 | 4.535 | 3.611 | 2.897 | 3.598 | 3.332 | 0.307 | 3.482 | | 日本 | | 巴西 | 中国 | 韩国 | 澳大利亚 | 新西兰 | | | | 最新 | 2.077 | 6.184 | 1.835 | - | 4.794 | 4.475 | | | | 主要经济体2年期国债 | | | | | | | | | | 美国 | | 英国 | 德国 | 日本 | 意大利 | 中国（1Y收益 率） | 韩国 | 澳大利亚 | | 最新 | 3.508 | 3.736 | 2.147 | 1.113 | 2.262 | 1.356 | - | 4.075 | | ...

收益率涨跌互现、3Y大多下行，信用利差除10Y银行二级资本债外整体走阔。具体来看，收益率方面，3Y表现最好，收益率整体下行（AA+/AA-银行二级 资本债均为-4.27BP；各等级城投债均为-3.96BP），其次长端10Y表现相对较好，除AAA级中票（+0.90BP）外均下行（AAA-级二级资本债为-3.67BP）， 5Y中低资质普信债表现最差（AA-级城投债为+3.90BP；AA+级中票为+3.06BP）。 信用利差方面，除10Y银行二级资本债小幅收窄（AAA-级为-1.42BP；AA+/AA/AA-级均为-0.32BP）外全面走阔，5Y普信债整体表现最弱（AA+级中票为 +6.10BP；AA-级城投债为+6.94BP），其次为1Y银行二永债（AA+/AA/AA-级银行永续债均为+4.76BP，AA-级银行二级资本债为+4.59BP）。本周普信债、 银行二永债换手率均下降。 机构人士指出，年末债市震荡加大背景下，建议把握中短端信用债套息价值的确定性，万科展期舆情扰动下把握下沉尺度。 信用债ETF日度跟踪显示总规模5282亿元，单日上升79.7亿元，其中基准做市ETF上升19.2亿元、科创债ETF上升62.0 ...

摘要 折价幅度靠前 50 只 AA 城投债（主体评级）中，"20 天台债"估值价格偏离程度最大。净价跌幅靠前 50 只个券中， "20 天台债"估值价格偏离幅度最大。净价上涨幅度靠前 50 只个券中，"22 万科 02"估值价格偏离幅度最大。净价 上涨幅度靠前 50 只二永债中，"25 农行二级资本债 04B(BC)"估值价格偏离程度最大。 风险提示 统计数据偏差或遗漏，高估值个券出现信用风险 敬请参阅最后一页特别声明 1 扫码获取更多服务 固定收益动态(动态) 图表1：折价幅度靠前 50 只 AA 城投债（主体评级） | 债券名称 | 剩余期限 | 估值价格 | 估值净价 | 估值收益率 | 当日估值 | 票面利率 | 隐含 | 主体 | 成交日期 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | (年) | 偏离(%) | (元) | 偏离(bp) | 收益(%) | (%) | 评级 | 评级 | | | 20 天台债 | 2.00 | -33.42 | 39.95 | 34.99 | 1.98 | 4.80 | AA ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Among the bonds with discounted transactions, "24 Guoyuan 01" had a relatively large deviation in bond valuation price. Among the bonds with rising net prices, "22 Vanke 02" ranked high in terms of valuation price deviation. Among the Tier 2 and perpetual bonds with rising net prices, "25 Agricultural Bank of China Tier 2 Capital Bond 01A(BC)" had a relatively large deviation in valuation price. Among the commercial financial bonds with rising net prices, "25 China Everbright Bank Bond 02" ranked high in terms of valuation price deviation. Among the individual bonds with a transaction yield higher than 5%, real estate bonds ranked high [2]. - The changes in credit bond valuation yields were mainly distributed in the [-5,0) interval. The transaction terms of non - financial credit bonds were mainly distributed between 2 and 3 years, with the 1 - 1.5 - year - term varieties having the highest proportion of discounted transactions. The transaction terms of Tier 2 and perpetual bonds were mainly distributed between 4 and 5 years, with the varieties within 1 year having the highest proportion of discounted transactions. By industry, real estate industry bonds had the largest average deviation in valuation prices [2]. 3. Summaries Based on Relevant Catalogs 3.1 Discounted Transaction Tracking - Bonds such as "24 Guoyuan 01", "Jian Guan VY02", and "24 China Construction MTN002" had significant valuation price deviations in discounted transactions. The industries involved included urban investment, transportation, and building decoration. The transaction scales ranged from several million yuan to tens of millions of yuan [4]. 3.2 Tracking of Bonds with Rising Net Prices - Bonds like "22 Vanke 02", "22 Vanke 04", and "22 Vanke 06" had large positive deviations in valuation prices. The industries mainly included real estate, non - bank finance, and urban investment. The transaction scales varied from tens of thousands of yuan to hundreds of millions of yuan [5]. 3.3 Tracking of Tier 2 and Perpetual Bond Transactions - Bonds such as "25 Agricultural Bank of China Tier 2 Capital Bond 01A(BC)", "25 Industrial and Commercial Bank of China Tier 2 Capital Bond 03BC", and "25 Agricultural Bank of China Tier 2 Capital Bond 02A(BC)" had certain valuation price deviations. Banks involved included state - owned banks, joint - stock banks, and city commercial banks. The transaction scales were relatively large, reaching tens of millions of yuan to billions of yuan [6]. 3.4 Tracking of Commercial Financial Bond Transactions - Bonds like "25 China Everbright Bank Bond 02", "24 China Construction Bank Bond 01B", and "25 Jiangsu Bank Bond 02BC" had valuation price deviations. Banks included joint - stock banks, state - owned banks, and city commercial banks. The transaction scales ranged from several million yuan to hundreds of millions of yuan [7]. 3.5 Tracking of Bonds with a Transaction Yield Higher than 5% - Bonds such as "22 Vanke 02", "22 Vanke 04", and "24 Chanrong 06" had a transaction yield higher than 5%. The industries mainly included real estate and non - bank finance. The transaction scales were relatively small, mostly in the range of tens of thousands to hundreds of thousands of yuan [8]. 3.6 Distribution of Credit Bond Transaction Valuation Deviations on the Day - The changes in credit bond valuation yields were mainly distributed in the [-5,0) interval [2]. 3.7 Distribution of Non - Financial Credit Bond Transaction Terms on the Day - The transaction terms of non - financial credit bonds were mainly distributed between 2 and 3 years, with the 1 - 1.5 - year - term varieties having the highest proportion of discounted transactions [2]. 3.8 Distribution of Tier 2 and Perpetual Bond Transaction Terms on the Day - The transaction terms of Tier 2 and perpetual bonds were mainly distributed between 4 and 5 years, with the varieties within 1 year having the highest proportion of discounted transactions [2]. 3.9 Discounted Transaction Proportions and Transaction Scales of Non - Financial Credit Bonds in Each Industry - The real estate industry had the largest average deviation in non - financial credit bond valuation prices [2].

Group 1: Primary Market - In the week from December 8 to December 12, 2025, a total of 369 credit bonds were issued, with a total issuance scale of 459.51 billion, representing a week-on-week increase of 35.34% [4] - Among the issued bonds, industrial bonds accounted for 174 issues with a scale of 186.50 billion, up 62.28% week-on-week, making up 40.59% of the total issuance [4] - City investment bonds totaled 149 issues with a scale of 88.81 billion, down 7.82% week-on-week, representing 19.33% of the total [4] - Financial bonds had 46 issues with a scale of 184.20 billion, up 43.60% week-on-week, comprising 40.09% of the total [4] - The average issuance term for credit bonds was 2.80 years, with industrial bonds averaging 2.36 years, city investment bonds 3.34 years, and financial bonds 2.48 years [4] - The overall average coupon rate for credit bonds was 2.24%, with industrial bonds at 2.19%, city investment bonds at 2.39%, and financial bonds at 1.96% [4] - Four credit bonds were canceled during the week [4] Group 2: Secondary Market - In terms of credit spreads, the largest increase for AAA-rated industries was in agriculture, forestry, animal husbandry, and fishery, which rose by 3.1 basis points, while the largest decrease was in pharmaceuticals and biology, down 4.2 basis points [5] - For AA+ rated industries, the largest increase was in electrical equipment, up 2.7 basis points, and the largest decrease was in building materials, down 12.7 basis points [5] - The largest increase in AA-rated industries was in machinery equipment, up 4.9 basis points, while the largest decrease was in public utilities, down 2.8 basis points [5] - For city investment bonds, the largest increase in AAA-rated credit spreads was in Yunnan, up 4.7 basis points, and the largest decrease was in Guangdong, down 3.7 basis points [5] - The largest increase in AA+ rated credit spreads was in Beijing, up 13 basis points, while the largest decrease was in Shaanxi, down 4.8 basis points [5] - The largest increase in AA-rated credit spreads was in Yunnan, up 4.9 basis points, and the largest decrease was in Shaanxi, down 9.8 basis points [5] Group 3: Trading Volume - The total trading volume of credit bonds was 1625.43 billion, reflecting a week-on-week increase of 36.58% [6] - The top three categories by trading volume were commercial bank bonds, corporate bonds, and medium-term notes [6] - Commercial bank bonds had a trading volume of 628.04 billion, up 60.23% week-on-week, accounting for 38.64% of the total trading volume [6] - Corporate bonds had a trading volume of 402.76 billion, up 10.55% week-on-week, making up 24.78% of the total [6] - Medium-term notes had a trading volume of 294.03 billion, up 23.12% week-on-week, representing 18.09% of the total [6]

摘要 折价幅度靠前 AA 城投债（主体评级）中，"25 高密 01"估值价格偏离程度最大。净价跌幅靠前 50 只个券中，"24 国 开投 MTN002"估值价格偏离幅度最大。净价上涨幅度靠前 50 只个券中，"23 万科 MTN002"估值价格偏离幅度最大。 净价上涨幅度靠前 50 只二永债中，"25 农行二级资本债 01B(BC)"估值价格偏离程度最大。 风险提示 统计数据偏差或遗漏，高估值个券出现信用风险 敬请参阅最后一页特别声明 1 固定收益动态(动态) 图表1：折价幅度靠前 AA 城投债（主体评级） | | 剩余期限 | 估值价格 | 估值净价 | 估值收益率 | 当日估值 | 票面利率 | 隐含 | 主体 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 债券名称 | (年) | 偏离(%) | (元) | 偏离(bp) | 收益(%) | (%) | 评级 | 评级 | 成交日期 | | 25 高密 01 | 4.27 | -0.28 | 105.07 | 7.22 | 3.93 | 5.25 | AA- | A ...

Report Summary 1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - Among the bonds with discounted transactions, "24 Zhonghua MTN004" had a relatively large deviation in valuation price; among the bonds with rising net prices, "25 ABC Tier 2 Capital Bond 01B(BC)" had a relatively large deviation in valuation price; among the second-tier perpetual bonds with rising net prices, "25 ABC Tier 2 Capital Bond 01B(BC)" had a relatively large deviation in valuation price; among the commercial financial bonds with rising net prices, "25 ABC TLAC Non-capital Bond 02C(BC)" had a relatively large deviation in valuation price. Real estate bonds ranked high among the bonds with a transaction yield higher than 5% [2]. - The changes in credit bond valuation yields were mainly distributed in the [-5,0) range. The transaction terms of non-financial credit bonds were mainly distributed between 2 and 3 years, with the highest proportion of discounted transactions in the 4 - 5 year variety; the transaction terms of second-tier perpetual bonds were mainly distributed between 4 and 5 years, with the highest proportion of discounted transactions in the within-1-year variety. In terms of industries, the bonds in the national defense and military industry had the largest average deviation in valuation price [2]. 3. Summary According to Relevant Catalogs 3.1 Discounted Transaction Tracking - The report tracked the discounted transactions of multiple bonds, including "24 Zhonghua MTN004" with a residual term of 28.65 years, a valuation price deviation of -0.34%, and a transaction volume of 18.58 million yuan; "24 Chanrong 08" with a residual term of 3.35 years, a valuation price deviation of -0.30%, and a transaction volume of 3.29 million yuan, etc. [4]. 3.2 Tracking of Bonds with Rising Net Prices - The report tracked the transactions of bonds with rising net prices, such as "25 ABC Tier 2 Capital Bond 01B(BC)" with a residual term of 9.53 years, a valuation price deviation of 0.29%, and a transaction volume of 539.4 million yuan; "25 ABC Tier 2 Capital Bond 02B(BC)" with a residual term of 9.63 years, a valuation price deviation of 0.27%, and a transaction volume of 916.26 million yuan [5]. 3.3 Tracking of Second-tier Perpetual Bond Transactions - The report tracked the transactions of second-tier perpetual bonds, including those of state-owned banks, joint-stock banks, and city commercial banks. For example, "25 ABC Tier 2 Capital Bond 01B(BC)" of state-owned banks had a residual term of 9.53 years, a valuation price deviation of 0.29%, and a transaction volume of 539.4 million yuan; "21 Industrial Bank Tier 2 03" of joint-stock banks had a residual term of 5.96 years, a valuation price deviation of 0.12%, and a transaction volume of 108.07 million yuan [7]. 3.4 Tracking of Commercial Financial Bond Transactions - The report tracked the transactions of commercial financial bonds, such as "25 ABC TLAC Non-capital Bond 02C(BC)" with a residual term of 9.66 years, a valuation price deviation of 0.17%, and a transaction volume of 48.68 million yuan; "25 Nanjing Bank Bond 01BC" with a residual term of 2.78 years, a valuation price deviation of 0.06%, and a transaction volume of 250.01 million yuan [8]. 3.5 Tracking of Bonds with a Transaction Yield Higher than 5% - The report tracked the bonds with a transaction yield higher than 5%, mainly including real estate and non-financial bonds. For example, "21 Vanke 02" in the real estate industry had a residual term of 0.12 years, a valuation price deviation of 22.72%, and a transaction volume of 25.76 million yuan; "23 Chanrong 04" in the non-financial industry had a residual term of 0.20 years, a valuation price deviation of -0.01%, and a transaction volume of 10.16 million yuan [9]. 3.6 Distribution of Credit Bond Transaction Valuation Deviations - The changes in credit bond valuation yields were mainly distributed in the [-5,0) range [2]. 3.7 Distribution of Non-financial Credit Bond Transaction Terms - The transaction terms of non-financial credit bonds were mainly distributed between 2 and 3 years, with the highest proportion of discounted transactions in the 4 - 5 year variety [2]. 3.8 Distribution of Second-tier Perpetual Bond Transaction Terms - The transaction terms of second-tier perpetual bonds were mainly distributed between 4 and 5 years, with the highest proportion of discounted transactions in the within-1-year variety [2]. 3.9 Proportion of Discounted Transactions and Transaction Volume of Non-financial Credit Bonds in Each Industry - The bonds in the national defense and military industry had the largest average deviation in valuation price [2].

证券研究报告|固收点评报告 [Table_Date] 2025 年 12 月 8 日 [Table_Title] 信用债 ETF 规模升至 5000 亿+ 截至 12 月 5 日，信用债 ETF 最新规模为 5022 亿元，相较 11 月 28 日小幅增长 26 亿元。其中，嘉实科创债 ETF 规模增长 31 亿元至 240 亿元，贡献最大，增幅 15%，是目前科创债 ETF 存量规模最高的产品。景顺科创 债 ETF 增幅最大（28%），规模增至 36 亿元。其他信用债 ETF 产品规模变动幅度均较小。 观察 PCF 持仓券加权久期，24 只科创债 ETF 久期中位数为 3.5 年。多数信用债 ETF 久期继续小幅下降， 仅有少数产品拉升久期，其中易方达科创债 ETF 最近一周久期增长 0.3 年至 3.3 年，增幅最大，不过该产品久期 在科创债 ETF 中仍处偏低水平。基准做市信用债 ETF 久期基本持平前一周，依然在 2.8 年-3.9 年之间，周变动 不超过 0.05 年。 本周科创债 ETF 成分券成交笔数/信用债成交笔数为 6%，较前一周小幅上升，不过依然是 10 月以来的低位 状态，买入力量仍有限 ...

Core Viewpoint - The article discusses the current market conditions influenced by monetary policy, U.S.-China relations, and bond market performance, highlighting a cautious yet slightly optimistic sentiment in the financial markets. Group 1: Market Conditions - The funding environment is balanced and slightly loose, with the central bank conducting 3,021 billion yuan in 7-day reverse repos and 10,000 billion yuan in MLF operations, resulting in a net withdrawal of 54 billion yuan today [3][5]. - The overnight funding rates are stable, with DR001 around 1.32% and DR007 at approximately 1.45% [3]. Group 2: Bond Market Performance - The 10-year government bond yield opened slightly higher at 1.815% and reached 1.817% during the day, reflecting cautious sentiment in the bond market [5]. - The trading volume for the 10-year government bonds has been low, with only a few hundred transactions, indicating a lack of market activity as the year-end approaches [6]. Group 3: Interest Rate Trends - The interest rates for various maturities have shown slight increases, with the 1-year rate at 1.4040% and the 10-year rate at 1.8195%, indicating a general upward trend in yields [8]. - The market is reacting to the anticipation of a potential interest rate cut by the Federal Reserve in December, which has further influenced risk appetite [5].