Report Information - Report Title: What are the Patterns in Credit Bond Transactions in the Past Year? — One of the Series on Analyzing Bonds through Volatility [1] - Analyst: Du Jian, CFA from Zheshang Fixed Income [1] - Date: June 27, 2025 [1] 1. Report Industry Investment Rating - Not provided in the given content 2. Report's Core View - The report analyzes the indicators for observing secondary - market credit bond transactions and the patterns in credit bond transactions over the past year, including increased preference for second - tier and perpetual (二永) bonds, reduced sustainability of the duration strategy, the potential of the deviation of 二永 bonds from valuation in trading as a leading indicator of yields, and increased selling pressure on long - duration credit bonds during adjustments [3][4] 3. Summary by Relevant Catalogs 3.1 Through which indicators to observe credit bond secondary transactions? - "Price" indicators: Broker transactions can collect a large amount of market trading information. After filtering out invalid quotes, they provide the best price to customers, reflecting comprehensive price information. Suitable for constructing price indicators such as trading deviation, trading yield, and high - valuation trading ratio [4][8] - "Volume" indicators: Traders use brokers to find prices and trading counterparts and then complete transactions on the China Foreign Exchange Trade System (CFETS) or exchange platforms. Platform transactions can fully reflect the specific scale of trading volume, suitable for constructing volume indicators such as trading duration and turnover rate [4][8] 3.2成交规律一：对二永债的偏好大幅提升 - Since July 2024, the trading activity of credit bonds has significantly increased compared to previous years, with the increase in trading volume mainly in 二永 bonds. The reasons are that 二永 bonds are interest - rate amplifiers, facilitating capital gain speculation in a strong downward - interest - rate market, and investors prefer 二永 bonds for their better liquidity during market adjustments. Investors' preference is mainly concentrated on state - owned and joint - stock bank 二永 bonds [12] 3.3成交规律二：久期策略持续性降低 - Since August 2024, long - duration credit bonds have shown a "fast - up - fast - down" pattern, with liquidity issues during corrections. They failed to provide stable excess returns as in 2023 - H1 2024. The trading duration centers of urban investment bonds, industrial bonds, and 二永 bonds have remained at 2.5 years, 3 years, and 3.5 years respectively [13] 3.4成交规律二：近期机构对于城投、产业拉久期诉求高于二永 - In recent duration strategies, the market has focused on extending the duration of medium - and high - grade urban investment and industrial bonds, while the trading duration of state - owned and joint - stock bank 二永 bonds has not significantly increased. This is because the trading duration of 二永 bonds is already high, and the market also wants to balance coupon income. Since March, the yield of short - duration credit bonds has dropped too fast, and since June, it has been difficult for institutions to obtain short - term bonds with a yield above 2%, leading to passive extension of duration to make up for the lack of coupon income [17][18][19] 3.5成交规律三：二永债偏离估值成交幅度或可视作收益率领先指标 - The trading deviation of 二永 bonds from valuation generally leads credit bond yields by 1 - 3 trading days. In the past year, this indicator led the turning points of credit bond yields on September 26, 2024, October 9, 2024, and January 2 - 3, 2025 [25] 3.6成交规律四：调整期间长久期信用债抛售压力加大 - Since 2024, long - duration credit bonds have seen their liquidity issues magnified during market adjustments, with a significantly higher trading deviation than short - duration credit bonds. In 2023, the trading deviation of 二永 bonds across all durations was around 1bp, and the average trading price of general credit bonds over 5 years was even 0.5bp lower than the valuation. In 2024, the high - valuation trading ratio of long - term bonds was higher than that of short - term bonds [29][31][37]