作者：招商银行研究院 零售客群部 私人银行部 | | 本期要点摘要 | | --- | --- | | □ 顾 | 近１月 2025 年以来 | | 固收产品 | 含权债基>中长期债基>短债基金>高等级同 含权债基 > 高等级同业存单指基 > 短债基金 | | 收益回顾 | 业存单指基>现金管理 >中长期债基 > 现金管理 | | | 近一个月资金面先紧后松,中美经贸会议- 1月偏强震荡，2月-3月中旬债市大幅回 | | | 度抬升市场风险偏好,伊以冲突等事件带动 | | 债市回顾 | 调,4月初债市快速走强后转为偏强震荡,5 避险情绪回升,资金与情绪驱动债市先跌后 | | | 月下旬经历微幅回调，6月重回偏强运行。 | | | 活长。 | | | 1、5月理财产品存量规模进一步回升。 | | 行业事件 | 2、5 月 23 日，国家金融监督管理总局发布《银行保险机构资产管理产品信息披露管理办 | | 跟踪 | 法（征求意见稿）》，允许资产管理产品不披露业绩比较基准，披露则应明确业绩比较基准 | | | 的选择原因、测算依据或计算方法等信息。 | | 展望 | 短期(1个月维度) 中期(3-6个月维度) | ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The supply of urban investment bonds has seasonally weakened, and the market has entered a stock or even de - stock phase. Weak - qualified entities are accelerating their exit, increasing the scarcity of coupon assets. The secondary market trading activity has increased due to the "deposit relocation" [1][12][14]. 3. Summary According to Relevant Catalogs 2.1 Weak Entities Accelerate Exit, Coupon Scarcity Increases 2.1.1 Issuance and Repayment: Seasonal Weakening of Urban Investment Bond Supply - As of May 31, 2025, 3797 urban investment entities under the HA scope issued 280.2 billion yuan of bonds and repaid 351.5 billion yuan, with a net repayment of 71.3 billion yuan. The net repayment scale decreased by about 10.2 billion yuan month - on - month and increased by about 37.3 billion yuan year - on - year. The issuance scale was the lowest in the same period in the past three years. Since 2024, the cumulative net repayment has been 2.5 billion yuan. AA and below weak - qualified entities have cumulatively net - repaid 585.7 billion yuan, while AAA entities have net - borrowed 519 billion yuan [12][16]. - From an administrative perspective, all administrative - level entities were in a net - repayment state in May. The net - repayment amounts from high to low were prefecture - level cities (24.3 billion yuan), county - level regions (17.1 billion yuan), provincial - level (16.8 billion yuan), and park - level (13.1 billion yuan) [16]. - From a rating perspective, all rating entities were in a net - repayment state in May. The net - repayment amounts from high to low were AA (27.7 billion yuan), AAA (25.6 billion yuan), AA+ (15.8 billion yuan), below AA (140 million yuan), and unrated (90 million yuan) [17]. - From a variety perspective, the net financing amounts of various bond varieties from high to low were corporate bonds (11.4 billion yuan) and private placement bonds (6.6 billion yuan). The net - repayment amounts from high to low were SCP (44.2 billion yuan), enterprise bonds (21.4 billion yuan), MTN (10.2 billion yuan), CP (8.6 billion yuan), and PPN (4.9 billion yuan) [17]. - From a term perspective, only bonds with a term of over 3 years were in a net - borrowing state in May, with a net borrowing of 35.9 billion yuan. The net - repayment amounts of other term bonds from high to low were 2 - year (46.3 billion yuan), 6 - month to 1 - year (39 billion yuan), 3 - year (9.2 billion yuan), 6 - month and below (8.6 billion yuan), and 1 - year (4.2 billion yuan) [17]. - From a regional perspective, the provinces with the highest net financing in May were Shandong (7.3 billion yuan), Fujian (2.5 billion yuan), and Tibet (1 billion yuan). The provinces with the highest net - repayment were Jiangsu (18.2 billion yuan), Zhejiang (9.2 billion yuan), and Hubei (8.5 billion yuan) [18]. 2.1.2 Maturity Pressure: About 7.7 Trillion Yuan to Mature Before the End of 2026 - As of May 31, 2025, the maturity pressure of 3797 urban investment bonds under the HA scope before the end of 2026 is about 7.7 trillion yuan, with 3.4 trillion yuan in 2025 and 4.4 trillion yuan in 2026. By the end of 2025, the remaining maturity pressure is about 335.06 billion yuan (assuming 100% exercise of callable bonds), with maturity peaks in June (56.93 billion yuan), August (53.09 billion yuan), and September (57.12 billion yuan) [39]. - The top 5 provinces with the remaining maturity amounts by the end of 2025 are Jiangsu, Shandong, Zhejiang, Sichuan, and Hubei [40]. - The top 5 cities are Qingdao, Nanjing, Suzhou, Chengdu, and Nantong [41]. - The top 5 districts and counties are Jiangning District of Nanjing, Huangdao District (including the West Coast New Area) of Qingdao, Pudong New Area of Shanghai, Huangpu District of Guangzhou, and Wuzhong District of Suzhou [41]. - The top 5 parks are Xi'an High - tech Industrial Development Zone, Guangzhou Economic and Technological Development Zone, Suzhou High - tech Industrial Development Zone, Zhengzhou Airport Economy Comprehensive Experimental Zone, and Taizhou Medical High - tech Industrial Development Zone [41]. - The top 5 entities are Jiangsu Communications Holding Co., Ltd., Hunan Expressway Group Co., Ltd., Zhejiang Communications Investment Group Co., Ltd., Shandong Hi - Speed Group Co., Ltd., and Xi'an Hi - tech Holdings Co., Ltd. [41]. 2.1.3 Primary Subscription: Average of 3.00 Times, Continued High - Level Allocation Sentiment - As of May 31, 2025, among the urban investment bonds issued in the month, 103.3 billion yuan of bonds disclosed bidding data, with a cumulative bidding scale of 309.7 billion yuan and an average subscription multiple of 3.00 times, a decrease of 0.06 times month - on - month [44]. - In terms of administrative levels, the subscription sentiment of county - level and park - level entities significantly increased. The average subscription multiples of provincial, prefecture - level, county - level, and park - level entities were 1.99 times (a decrease of 0.26 times month - on - month), 3.16 times (a decrease of 0.23 times month - on - month), 4.09 times (an increase of 0.98 times month - on - month), and 3.47 times (an increase of 0.45 times month - on - month) respectively [46]. - In terms of bond ratings, investors favored the credit - sinking strategy. The average subscription multiples of AAA, AA+, AA, AA(2), and AA - were 1.26 times (a decrease of 0.36 times month - on - month), 2.94 times (a decrease of 0.08 times month - on - month), 4.24 times (an increase of 0.75 times month - on - month), 3.51 times (an increase of 0.27 times month - on - month), and 2.53 times (a decrease of 0.26 times month - on - month) respectively [46]. - In terms of bond terms, the sentiment for long - term bonds remained high. The average subscription multiples for bonds within 1 year, 1 - 2 years, 2 - 3 years, 3 - 5 years, and over 5 years were 2.14 times (a decrease of 0.4 times month - on - month), 3.57 times (an increase of 0.18 times month - on - month), 4.2 times (an increase of 1.19 times month - on - month), 3.27 times (a decrease of 0.15 times month - on - month), and 3.47 times (an increase of 0.4 times month - on - month) respectively [47]. 2.2 Deposit Relocation Triggers Credit Market, Trading Activity Increases 2.2.1 Valuation Spread: Yield Continues to Decline Driven by Demand - Side - In May 2025, due to the loose monetary policy, the central level of capital interest rates declined, and the coupon advantage of credit bonds became prominent. The reduction of bank deposit rates led to the "deposit relocation" effect, increasing the allocation demand for credit bonds by wealth management products. Urban investment bond yields showed a unilateral decline. However, at the end of the month, the bond market adjusted due to tariff policy fluctuations and institutional behavior changes [54]. - In the short - term, the spreads of each implied rating for short - term bonds have reached historical lows. The main capital gain space may lie in the compression of grade spreads and term spreads. For 1 - year bonds, the yields of AAA, AA+, AA, and AA(2) decreased by 9.1bp, 9.1bp, 9.1bp, and 10.1bp to 1.74%, 1.79%, 1.84%, and 1.89% respectively; for 3 - year bonds, they decreased by 9.0bp, 9.0bp, 14.0bp, and 16.0bp to 1.84%, 1.92%, 2.00%, and 2.11% respectively; for 5 - year bonds, they decreased by 7.5bp, 7.5bp, 12.5bp, and 13.5bp to 1.96%, 2.05%, 2.17%, and 2.37% respectively [55]. - Vertically, short - term spreads have reached new lows, while term spreads and grade spreads still have room for compression. As of May 31, the valuation yields of urban investment bonds with each implied rating from 1 - year to 5 - year have reached historical lows, and the three - year percentiles are all at extremely low levels of 5% and below. The credit spreads have also reached lows, with the three - year percentiles of 1 - year and 3 - year ratings below 10%. Only 5 - year bonds still have compression space [59]. 2.2.2 Secondary Trading: Increased Activity Month - on - Month, Medium - and Long - Term Bonds Lead the Gains - In May 2025, the sample trading records of urban investment bonds were about 16,000, with an average daily trading volume of about 841, a month - on - month increase of 1.1%. The average daily trading volume reached a new high this year. The taken trading volume was about 12,000, accounting for 76%, an increase of 3 percentage points from the previous month. The long - short ratio was 3.41, an increase of about 0.46 basis points from the previous month [63]. - In terms of bond ratings, the trading proportion of AAA - rated bonds was 9.7%, an increase of 0.4 percentage points month - on - month; AA+ was 21.5%, a decrease of 0.6 percentage points; AA was 23.7%, an increase of 2.2 percentage points; AA(2) was 35.8%, a slight decrease of 0.1 percentage point; AA - was 9.4%, a decrease of 1.8 percentage points. - In terms of terms, the trading proportion of bonds within 1 year was 31.2%, a significant decrease of 7.4 percentage points month - on - month; 1 - 3 years was 44.7%, an increase of 1.9 percentage points; 3 - 5 years was 21.0%, a significant increase of 4.9 percentage points; over 5 years was 3.3%, an increase of 0.7 percentage points [64].

Core Insights - The bond market in China has experienced increased volatility in 2023, contrasting with the previous years of consistent growth, making it challenging for fund managers to generate returns [1][2] - Many bond fund managers are now focusing on trading as a key method to achieve excess returns due to the diminishing effectiveness of credit downgrading strategies [1][2] - The need for enhanced trading capabilities and macroeconomic analysis has become critical for investment teams in response to the rapidly changing market environment [1][2] Market Environment - Over two-thirds of medium to long-term pure bond funds reported negative returns in the first quarter of 2023, highlighting the difficulties faced by fund managers [1] - The expectation of significant returns from interest rate declines has become unrealistic, prompting fund managers to adopt timing strategies for trading [1][2] Trading Strategies - Investment teams are focusing on improving trading success rates by developing comprehensive investment frameworks that consider various economic and market factors [2] - Quantitative strategies are increasingly being utilized to assist in trading decisions, with teams monitoring market bond durations to optimize investment accounts [2] - A shift towards scenario analysis and market expectation dynamics is being adopted to better navigate the uncertain bond market [2][3] Future Outlook - The bond market is expected to remain in a narrow fluctuation pattern due to ongoing uncertainties and the need for further policy adjustments [3][4] - The central bank's stance on interest rate curves is identified as a crucial factor influencing the bond market, necessitating close monitoring and timely strategy adjustments [4] - The investment approach is evolving from precise predictions to trend tracking and embracing limited rationality, recognizing the limitations of trading models [4]

2025 年 05 月 07 日 金 融 工 程 转债型产品领跑固收+，债基信用下沉策略操作分化 ——固收+及纯债基金月度跟踪（2025 年 5 月） 投资要点： 转债型产品领跑固收+基金 金 融 工 受到股市影响，股票型和混合型固收+今年以来净值波动较大，转 债型产品净值表现更加稳健，从区间收益来看，今年以来混合型和转 债型产品业绩表现优于股票型产品，4 月转债型固收+上涨 0.32%，优 于混合型和股票型。 固收+基金股票仓位有所上升 程 定 期 报 告 对比本月与上月的固收+风险因子暴露，我们发现固收+基金整体 在债券久期上变化较小，减轻了在信用策略上的使用。股票资产上， 固收+基金降降低了在市值风格上的暴露，股票仓位整体略有上升。可 转债资产上，固收+基金整体减少了对平价和风向标的风险暴露，增加 了评级风险暴露，仓位上整体有所下调。 固收+优选组合本月跑赢二级债基指数 我们在各项风格暴露均在市场平均水平上下一倍标准差的基金池 中，季频选择特质收益 Alpha 较高的十只基金等权配置，构建纯债基 金优选组合。从净值表现来看，纯债基金优选组合今年以来稳健跑赢 中长期纯债基金指数，从区间收益统计来看，4 月 ...