晨会纪要（2025/08/06） 编辑人 崔健 022-28451618 SAC NO：S1150511010016 cuijian@bhzq.com 渤海证券研究所晨会纪要（2025.08.06） 固定收益研究 震荡偏强趋势下，继续选择高等级拉久期——信用债 8 月投资策略展望 证 券 研 究 报 告 晨 会 纪 要 请务必阅读正文之后的声明 渤海证券股份有限公司具备证券投资咨询业务资格 1 of 4 1、核心观点 7 月各期限的发行指导利率全部下行，整体变化幅度为-20 BP 至-1 BP。7 月信用债发行规模环比小幅下降， 公司债、中期票据、定向工具发行金额环比减少，企业债、短期融资券发行金额环比增加；信用债净融资 额环比增加，中期票据净融资额减少，其余品种净融资额增加，企业债、定向工具净融资额为负，公司债、 中期票据、短期融资券净融资额为正。二级市场方面，7 月信用债成交规模环比增长，企业债、定向工具成 交金额减少，其余品种成交金额增加。收益率方面，7 月信用债收益率整体呈先下后上再下的波动态势，月 度均值较 6 月整体下行。信用利差方面，7 月信用利差走势与收益率趋同，整体呈先收窄后走阔再收窄趋势， ...

Group 1 - The core viewpoint of the report emphasizes that investment opportunities in the credit bond market for July are hidden in niche varieties, durations, and issuers [6][9]. - The report indicates that the short-end strategy remains stable, with high-grade bonds showing limited excess returns while low-grade bonds continue to be explored [6][9]. - The report notes that the market sentiment in the first week of July is positive, with mid-to-long-term spreads continuing to compress, indicating a market still seeking duration for yield [6][9]. Group 2 - The report highlights that the issuance of credit bonds has significantly decreased, but net financing has increased due to a faster reduction in repayment amounts [22][23]. - It mentions that the average coupon rates for newly issued AAA and AA+ bonds have shown a slight decline, while the issuance costs for mid-to-low grade bonds have increased [22][23]. - The report states that the valuation of credit bonds across various grades and maturities has declined, with mid-to-long-term yields decreasing more significantly than short-term yields [22][26]. Group 3 - The report suggests that the main strategy for urban investment bonds in July is to focus on short-end bonds within a 3-year duration, while extending duration to 5 years where possible [14][19]. - It indicates that the absolute yield gap has narrowed significantly, making further short-end exploration challenging, and emphasizes the need for a balanced approach in duration management [14][19]. - The report identifies specific regions such as Shandong, Sichuan, Tianjin, and Henan as areas for potential exploration in the short-end segment [14][19]. Group 4 - The report notes that credit spreads for urban investment bonds have generally narrowed by about 4 basis points across most provinces, with minimal differentiation between regions [29][30]. - It highlights that the credit spreads for various industries have also contracted by 3 to 4 basis points, indicating a consistent trend across sectors [29][30]. - The report points out that the real estate sector continues to experience significant valuation volatility, reflecting ongoing market challenges [29][30].

Fixed Income Research - The overall yield of credit bonds decreased in June, with most issuance rates down by -16 BP to 4 BP, and the issuance scale of credit bonds increased month-on-month [3] - The net financing amount of credit bonds increased, with corporate bonds, medium-term notes, and short-term financing bonds showing positive net financing, while enterprise bonds and targeted tools showed negative net financing [3] - The credit spread remained stable with a slight contraction in most categories, and the AAA-rated 3-year and 5-year bonds are still at a relatively high percentile, indicating potential for slight compression [3] - The report suggests a strategy of increasing allocation during market adjustments, focusing on the trend of interest rate bonds and the coupon value of individual bonds [3] Financial Engineering Research - All major indices in the A-share market rose last week, with the ChiNext Index showing the largest increase of 4.06%, while the Shanghai Composite Index had the smallest increase of 0.07% [5] - The margin balance in the Shanghai and Shenzhen markets increased to 1,848.694 billion yuan, with a notable increase in the financing balance [7] - Non-bank financial, electronics, and computer sectors saw significant net buying, while oil, food and beverage, and pharmaceutical sectors had less net buying [7] Industry Research - The central bank's proactive signals and easing Middle East tensions are positively impacting the metal industry [9] - Steel demand is expected to weaken due to weather factors, but the decline is anticipated to be limited, while raw material prices are decreasing [9] - Copper prices are supported by tight supply and low inventory, but trade uncertainties remain a concern [9] - The gold market may see reduced demand due to easing geopolitical tensions, with future price influences from economic data and geopolitical situations [10] - The rare earth market is at a cyclical low, but policies are optimizing supply, with new demand from humanoid robots and new energy sectors [10] Mechanical Equipment Industry - The mechanical equipment sector outperformed the broader market, with a 2.85% increase in the index compared to a 2.67% rise in the CSI 300 [13] - Excavator sales in May showed a slight year-on-year increase, but domestic sales declined, attributed to seasonal factors [13] - The successful hosting of the humanoid robot exhibition indicates a trend towards mass production, suggesting investment opportunities in this sector [14]

Summary of Conference Call on Long-term Credit Bonds Industry Overview - The focus is on the long-term credit bond market, particularly bonds with maturities of 7 to 10 years, as well as shorter-term bonds ranging from one to five years [1][2][3]. Key Points and Arguments 1. **Yield Spread Compression**: - One-year credit bond yield spreads have limited compression potential, making it difficult to enhance yields [1][2]. - Two to three-year bonds have similar yield spreads to one-year bonds, with further compression being challenging [2][3]. - Four to five-year bonds still have some compression potential, especially for lower-rated varieties, despite significant compression since early June [1][2]. 2. **Performance of Long-term Credit Bonds**: - Long-term credit bonds (7-10 years) have not seen significant yield spread compression this year, showing high coupon rates and active trading [1][2]. - The focus has shifted from industrial long-term credit bonds to urban investment bonds due to the former being fully traded [2][3]. 3. **Market Supply and Trading Volume**: - As of last week, the outstanding amount of long-term credit bonds (over 5 years) is approximately 2 trillion yuan, with 7-10 year bonds accounting for 1.2 to 1.3 trillion yuan [3][4]. - Trading volume for long-term bonds has significantly increased since mid-March 2025, matching last year's peak, although turnover rates have not reached last year's levels due to increased supply [8]. 4. **Investment Strategy Recommendations**: - Short-term bonds should be cautiously allocated due to low yield spreads and limited upside [5][6]. - Mid-term bonds (two to three years) can be cautiously selected, but further compression is difficult [5][6]. - Long-term bonds (four to five years) are recommended for focus due to their potential for yield compression and attractive coupon rates [5][6]. 5. **Risk Assessment**: - Current low coupon rates increase the pressure on accounts during adjustments, leading to a risk-reward imbalance [7]. - Long-term bonds face capital loss risks due to liquidity premiums, necessitating careful evaluation of participation value [6][11]. 6. **Market Dynamics**: - The distribution of long-term bond issuers has become more diversified, with central enterprises accounting for 30-40% of transactions last year, while urban investment bonds have decreased to less than 10% this year [9][10]. - Investors are more inclined to choose other issuers over urban investment bonds due to lower cost-effectiveness [10]. 7. **Potential for Future Participation**: - There remains a 30-50 basis point space for high-grade ten-year bonds, but investor participation has become more cautious, favoring local bonds over long-term credit bonds [11][12]. 8. **Short-term Holding Risks**: - Holding ten-year long-term bonds can withstand minor adjustments (approximately 3 basis points for one month, 5 basis points for two months), but the risk-reward ratio is unfavorable due to limited yield spread compression [12]. 9. **Strategies for Mid and Long-term Bonds**: - Short-term bonds are suitable for base allocations, while mid to long-term bonds should focus on liquid four to five-year varieties and issuers with potential for yield enhancement [13]. Additional Important Insights - The overall market environment and macroeconomic trends should be closely monitored to optimize investment strategies and achieve stable growth [6].

Report Industry Investment Rating - Not provided in the content Core Views of the Report - The trading volume and liquidity of ultra-long credit bonds have significantly increased in the past two weeks, approaching the historical high in July and August 2024. The market's pursuit of duration for returns is expected to continue this week. The ultra-long credit bond strategy has a certain probability of success but a low odds. Short-duration credit enhancement remains a highly certain strategy [5][8]. - The convertible bond market has a relatively cautious style. In an environment where the equity market is expected to fluctuate, the upward momentum of convertible bonds is limited. However, the current valuation of convertible bonds is not significantly overestimated, and there may be opportunities for capital inflow into high-quality, low-volatility individual bonds. The potential credit risk in June is coming to an end, and if unexpected events occur, the opportunities are considered greater than the risks [5][19]. Summary According to Relevant Catalogs 1 Credit Bond and Convertible Bond Views: How Long Can the Ultra-Long Credit Bond Market Last? - When short-term trading becomes crowded, the market starts to seek returns from duration. This phenomenon is expected to continue this week. The narrowing of short-term spreads has reached an extreme level, forcing liquidity to shift to longer-term bonds of medium-quality issuers. The expansion of fixed-income asset management products and the increasing insurance allocation willingness are expected to bring incremental funds, and the market's offensive on long-term credit bonds is unlikely to end soon [5][8]. - The ultra-long credit bond strategy has execution problems, such as the need for significant interest rate declines or spread compressions to achieve better returns and the lack of stable institutional investors, resulting in rapid loss of liquidity during market corrections. Short-duration credit enhancement is a more certain strategy, and if the liability side is stable, extending duration through secondary perpetual bonds is recommended rather than ultra-long credit bonds [5][13]. - The convertible bond market has a cautious style, with high-rated and low-priced convertible bonds performing better. The three characteristics of the convertible bond market in 2025 remain unchanged. In an environment where the equity market is expected to fluctuate, the upward momentum of convertible bonds is limited, but the long-term allocation logic remains valid, and there may be opportunities for high-quality, low-volatility individual bonds. The potential credit risk in June is ending, and if unexpected events occur, the opportunities are greater than the risks [5][19]. 2 Credit Bond Review: The Spread Compression Market is Becoming More Extreme 2.1 Negative Information Monitoring - There were no bond defaults or overdue payments during the week from June 16 to June 22, 2025. Several companies had their主体评级 or展望下调, and some overseas companies had their ratings downgraded. There were also several significant negative events, such as companies being issued warning letters by regulatory authorities and being listed as dishonest被执行人 [21][22][23]. 2.2 Primary Issuance: Net Financing Continues to Remain at the Billion-Level - From June 16 to June 22, 2025, the primary issuance of credit bonds reached 411.4 billion yuan, with a net financing of 105.4 billion yuan, maintaining a billion-level net financing for three consecutive weeks. Three credit bonds were canceled or postponed for issuance, with a total planned issuance scale of 3.6 billion yuan. The primary issuance costs of medium and high-grade bonds showed a differentiated trend last week [24]. 2.3 Secondary Trading: Liquidity Continues to Strengthen, and Urban Investment Slightly Outperforms Industry - The valuation of credit bonds declined across the board, and the risk-free interest rate curve flattened bullishly. Except for the passive widening of the spreads of low-grade long-term bonds, the spreads of other bonds narrowed or remained unchanged. The term spreads of each grade were mainly flat, but the 3Y - 5Y part of medium and low-grade bonds slightly underperformed. The long-term grade spreads were under pressure to widen. The credit spreads of urban investment bonds in most provinces narrowed by 1 - 3bp last week, with Qinghai having the largest narrowing of 4bp. The industry bonds slightly underperformed urban investment bonds, and the real estate industry's spreads continued to widen by 27bp. The liquidity of credit bonds continued to strengthen, with the turnover rate increasing by 0.27 percentage points to 2.31% [26][30][33]. 3 Convertible Bond Review: The Equity Market Pulled Back, and the Convertible Bond Index Slightly Declined 3.1 Overall Market Performance: The Stock Market Fluctuated and Closed Lower, with Banks and Communications Leading the Gains - From June 16 to June 20, 2025, the Shanghai Composite Index, Shenzhen Component Index, and other major indices mostly closed lower. Only the banking, communications, and electronics sectors rose, while the beauty care, textile and apparel, and pharmaceutical sectors had the largest declines. Most of the leading convertible bonds outperformed their underlying stocks, and the list of popular individual bonds changed little [36]. 3.2 Convertible Bonds Slightly Declined, and the Opportunities Outweighed the Risks - Last week, the convertible bonds slightly declined, with the average daily trading volume significantly decreasing to 61.305 billion yuan. The CSI Convertible Bond Index decreased by 0.17%, the parity center decreased by 1.6% to 94.5 yuan, and the conversion premium rate center increased by 2.2% to 28.7%. High-rated, low-priced, and low-premium convertible bonds performed better, while high-priced, low-rated, and small-cap convertible bonds underperformed. The view on convertible bonds has changed little. In an environment where the equity market is expected to fluctuate, the upward momentum of convertible bonds is limited, but the current valuation of convertible bonds is not significantly overestimated. The long-term allocation logic of the convertible bond market remains valid, and there may be opportunities for capital inflow into high-quality, low-volatility individual bonds. The potential credit risk in June is ending, and if unexpected events occur, the opportunities are greater than the risks [39].

Group 1 - The Tianhong Credit Bond ETF (159398) has shown active trading with a midday increase of 0.03% and a transaction volume exceeding 1.2 billion yuan, indicating strong market interest [1] - The Tianhong Credit Bond ETF has experienced a net inflow of over 100 million yuan in the previous trading day and has seen continuous net inflows for 11 consecutive trading days, accumulating over 1.76 billion yuan [1] - The Tianhong Credit Bond ETF was officially included in the repurchase pledge library on June 6, with a latest conversion rate of 0.6 [1] Group 2 - The Chinese bond market is becoming a key allocation direction for foreign public funds, driven by a weak macro environment and a moderately loose monetary policy [2] - The differentiation between credit bonds and interest rate bonds is increasing, with investors requiring higher precision in capturing opportunities and yield [2] - Bond assets are expected to provide strong risk mitigation in times of economic uncertainty, serving as a stabilizing force in equity market fluctuations [2] Group 3 - The supply side of credit bonds is characterized by a transition to a stock era for urban investment bonds, continued growth in industrial bond supply, and weaker supply from certain sectors [3] - Demand for credit bonds remains supported despite potential valuation volatility, with a focus on short to medium-term strategies in a fluctuating market [3] - The recommendation is to actively explore the value of medium to high-grade credit bonds with a focus on 4-5 year AA+ and above rated bonds [3]

Macro Outlook - The overall direction remains favorable, but the market should be viewed from the perspective of a high-volatility oscillating market throughout the year [4] Mid-Market Outlook - Supply-demand contradictions persist, with potential for short-term mismatches leading to phase-specific market opportunities. Credit bond supply remains weak, with city investment bonds entering a stock era and industrial bonds continuing to increase supply [4][11] - Demand for credit bonds is supported by a fluctuating market and expanding institutional liabilities, although valuation volatility may increase [4] Micro Outlook - Overall credit risk is manageable, but attention should be paid to localized risks [4] Market Outlook - In the second half of the year, the value of credit bond coupons is expected to be certain amid high volatility. The supply-demand contradiction remains, and while credit risk is generally controllable, valuation volatility may increase due to accelerated net value adjustments in wealth management products [4] Credit Strategy - A strategy focusing on mid-to-short-term bonds is preferred, with a recommendation to maintain duration but exercise restraint, especially after August. Opportunities may arise in 3-5 year high-grade credit bonds [4] City Investment Bonds - The process of debt resolution is entering a verification phase, with a focus on risk control. The expected acceleration in the clearance of hidden debts may lead to increased pressure on city investment platforms [6] - Investment strategies should focus on 3-year AA(2) rated bonds, considering regions with strong fiscal support and high land acquisition announcements [6] Industrial Bonds - The fundamentals of industrial bond issuers are under pressure, and caution is advised in selecting lower-rated bonds. Structural opportunities may exist in high-grade bonds and specific sectors [6] Bank Perpetual Bonds - The difficulty of trading in bank perpetual bonds is increasing, making it crucial to grasp market rhythms. The supply of these bonds is expected to remain weak, and trading strategies should focus on 4-5 year high-grade perpetual bonds [6] Market Review - From January to May 2025, the issuance of traditional credit bonds was 55,164 billion, with net financing of 7,623 billion, reflecting a year-on-year decline of 3.5% and 23.1% respectively [11] - The net financing of city investment bonds and industrial bonds both showed a year-on-year decline, indicating a trend of slight net outflow for city investment bonds and net inflow for industrial bonds [11] Secondary Market Review - Since the beginning of 2025, the credit bond yield has shown a downward trend, with the credit spread shifting from a "weak oscillation" to a "strong oscillation" [19][23] - The overall credit risk premium has narrowed, with lower-rated bonds performing better in terms of yield [30]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - In May, the credit bond market had an independent performance. By the end of the month, the valuation yields of urban investment bonds with implicit ratings from 1 - 5 years reached historical lows, and credit spreads also hit lows. Only the 5 - year variety still had compression space. At the end of the month, there was a slight bond - market shock, with a 2 - 3bp retracement in credit bond yields and spreads [1]. - Short - duration spreads hit new lows, while term spreads and grade spreads still have room. The yields of 1 - year varieties in May continued to decline, breaking the low in June 2024. There is still room for compression in grade spreads and term spreads [2]. - Currently, the coupon advantage of credit bonds remains, but the valuation fluctuation risk has started to increase. The main reasons for the stronger performance of credit bonds than interest - rate bonds in May were the decline in the central funds rate and the increased demand for credit bond allocation due to deposit transfer. However, overseas uncertainties and institutional behavior changes at the end of the month and quarter have a growing impact on the market [3]. - In the future, short - duration spreads of various implicit ratings have reached historical lows. Without new expectations, the probability of further decline in the short - term is low. The main capital gain space may come from the compression of grade spreads and term spreads. At the same time, the valuation fluctuation risk of credit bonds is accumulating, and medium - and long - term risks cannot be ignored [3][5]. - Strategically, investors are advised to adopt a duration strategy. Consider 3 - 4 - year credit bonds for riding returns, and also consider extending the duration of high - grade credit bonds to 6 - 7 years. The annualized riding return of AAA - grade bonds is about 2.6% [5]. Group 3: Summary by Related Catalogs Credit Bond Market Performance in May - The valuation yields of 1 - 5 - year urban investment bonds with various implicit ratings reached historical lows, and credit spreads also hit lows. Only the 5 - year variety still had compression space. At the end of the month, there was a slight bond - market shock, with a 2 - 3bp retracement in credit bond yields and spreads [1]. - The yields of 1 - year varieties in May continued to decline, breaking the low in June 2024. The 3 - year AA +, AA, and AA(2) implicit ratings had grade spreads of 7bp, 16bp, and 27bp compared to AAA, with 5 - 10bp compression space compared to historical lows. The historical quantiles of term spreads of 3 - year and 5 - year varieties compared to 1 - year varieties of the same rating were still in the 10% - 20% range [2]. Reasons for Market Performance and Future Outlook - The stronger performance of credit bonds than interest - rate bonds in May was due to the decline in the central funds rate and increased credit bond allocation demand from deposit transfer. But overseas uncertainties and institutional behavior changes at the end of the month and quarter had a growing impact. At the end of May, fund redemptions caused significant bond - market fluctuations [3]. - Short - duration spreads have reached historical lows. Without new expectations, the probability of further decline in the short - term is low. The main capital gain space may come from the compression of grade spreads and term spreads. The valuation fluctuation risk of credit bonds is accumulating, and medium - and long - term risks cannot be ignored [3][5]. Investment Strategy - Adopt a duration strategy. Consider 3 - 4 - year credit bonds for more riding returns. Also, consider extending the duration of high - grade credit bonds to 6 - 7 years. Based on the end - of - month yield curve, the annualized riding return of AAA - grade bonds is about 2.6% [5].