证 券 研 究 报 告 【债券周报】 当前或为储备票息资产的较好窗口 ——信用周报 20251123 ❖ 信用债市场复盘 1、本周信用债收益率窄幅震荡，信用利差走势分化。本周中日摩擦有所升温 叠加美股高位回调，权益风险偏好减弱，但债市缺乏交易主线，股债跷跷板效 应不明显，债市震荡偏弱。 2、本周信用债 ETF 成分券估值波动较大，超额利差明显上行，出现超跌。信 用债 ETF 成分券超额利差自 6 月初开始快速下行，7 月下旬压缩至低位后窄 幅震荡，本周信用债 ETF 成分券超额利差上行。究其原因，一方面，信用债 整体表现偏弱，成分券流动性较好，出现超跌；另一方面，7 月以来成分券超 额利差在-10BP 左右低位震荡，前期第二批科创债 ETF 上市完成后短期增量 资金有限，估值出现回归。 ❖ 后市展望：11 月底至 12 月初将进入年末配置行情，重点关注机构配置行为变 化，考虑到明年债市或仍将窄幅震荡，当前或为储备票息资产的较好窗口，3y 以内品种利差已压缩至 2024 年最低点以下，性价比较低，或可适当拉长久期 博取收益。此外，市场对基金费率新规最终版本讨论较多，关注后续落地情况。 ❖ 信用策略：4-5y 品 ...

Report Industry Investment Rating No relevant content provided. Core View of the Report On September 2, the overall liquidity remained balanced and loose; the bond market oscillated within a narrow range; the main indices of the convertible bond market declined collectively, and most convertible bond issues fell; yields on US Treasuries of various maturities generally rose, and yields on 10-year government bonds of major European economies generally increased [1]. Summary by Related Catalogs 1. Bond Market News (1) Domestic News - The "Declaration of the Council of Heads of Member States of the Shanghai Cooperation Organization on Further Strengthening Scientific and Technological Innovation Cooperation" was released, with member states planning to strengthen cooperation in areas such as policy communication, AI research, and resource integration [3]. - The Ministry of Finance and the State Tax Administration issued a notice on tax policies for the operation and management of state-owned equity and cash proceeds transferred to enrich the social security fund, exempting VAT on certain income [4]. - The central bank announced liquidity injection data for August, with net MLF injection of 300 billion yuan, net PSL withdrawal of 160.8 billion yuan, and net open - market repurchase injection of 300 billion yuan [4]. - The National Inter - bank Funding Center and the Shanghai Clearing House optimized the general repurchase trading and clearing mechanism in the inter - bank bond market, expanding the scope of eligible collateral [5]. (2) International News - The US ISM Manufacturing PMI in August was 48.7, contracting for the sixth consecutive month. New orders expanded, while output declined, and employment remained weak [6]. (3) Commodities - International crude oil and natural gas prices rose. WTI October crude futures rose 2.47% to $65.59/barrel, Brent November crude futures rose 1.45% to $69.14/barrel, COMEX December gold futures rose 2.42% to $3601/ounce, and NYMEX natural gas prices rose 0.27% to $2.990/ounce [7]. 2. Liquidity (1) Open Market Operations On September 2, the central bank conducted 255.7 billion yuan of 7 - day reverse repurchase operations at a fixed rate. With 405.8 billion yuan of reverse repurchases maturing, the net withdrawal of funds was 150.1 billion yuan [9]. (2) Funding Rates Despite two consecutive days of net withdrawal by the central bank, the overall liquidity remained balanced and loose. DR001 rose 0.19bp to 1.314%, and DR007 fell 0.79bp to 1.438% [10]. 3. Bond Market Dynamics (1) Interest - Rate Bonds - Yields on 10 - year Treasury bond active issue 250011 fell 0.10bp to 1.7675%, and yields on 10 - year CDB bond active issue 250215 fell 0.25bp to 1.8675% [13]. - There were no Treasury or CDB bond issuances on that day [14]. (2) Credit Bonds - Three industrial bonds and one urban investment bond had trading price deviations of over 10%. "H1 碧地 02" fell over 80%, "H1 碧地 01" fell over 75%, "H1 龙控 01" fell over 34%, and "20 永兴债 01" fell over 19% [15][16]. - Multiple credit events occurred, including debt restructuring of Kaisa Group, legal disputes of Rongqiao Group, cancellation of bond issuances by some companies, rating adjustments of some companies, and bankruptcy reorganization of some subsidiaries [18]. 4. Equity and Convertible Bond Market (1) Equity and Convertible Bond Indices - The three major A - share indices fell, with the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index down 0.45%, 2.14%, and 2.85% respectively, and the total trading volume was 2.91 trillion yuan. Most Shenwan primary industries declined [19]. - The main convertible bond indices fell collectively. The CSI Convertible Bond Index, Shanghai Convertible Bond Index, and Shenzhen Convertible Bond Index fell 0.88%, 0.71%, and 1.14% respectively. The trading volume of the convertible bond market was 105.714 billion yuan, an increase of 14.611 billion yuan from the previous trading day [19]. (2) Convertible Bond Tracking - Some convertible bonds announced changes in conversion prices, including Huayang Convertible Bond's downward adjustment, Baichang Convertible Bond's decision not to adjust, and Zhekuang Convertible Bond's expected trigger of downward adjustment conditions. Some convertible bonds were expected to trigger early redemption conditions [23]. 5. Overseas Bond Market (1) US Bond Market - Yields on US Treasuries of various maturities generally rose, with the 2 - year yield up 7bp to 3.69% and the 10 - year yield up 5bp to 4.28%. The yield spread between 2 - year and 10 - year US Treasuries narrowed by 2bp to 62bp, and the spread between 5 - year and 30 - year US Treasuries narrowed by 2bp to 123bp. The 10 - year TIPS break - even inflation rate remained unchanged at 2.41% [24][25][26]. (2) European Bond Market - Yields on 10 - year government bonds of major European economies generally rose, with Germany's up 4bp to 2.79%, France's up 5bp, Italy's up 7bp, Spain's up 5bp, and the UK's up 4bp [27]. (3) Daily Price Changes of Chinese - Issued US Dollar Bonds - Some Chinese - issued US dollar bonds had price increases, such as those of the Chinese government, Sunac China, and Country Garden. Some had price decreases, such as those of Agile Group, Lenovo Group, and Pinduoduo [29].

Group 1: Report's Industry Investment Rating - No industry investment rating is provided in the report. Group 2: Report's Core Viewpoints - The narrow - range oscillation of the bond market may continue, with the 10 - year Treasury bond yield likely to fluctuate within the 1.6% - 1.7% range. Short - term bonds may offer better value due to the central bank's clear stance on maintaining liquidity [1][10]. - The US labor market is cooling, inflation pressure is mild, and the Fed is less likely to cut interest rates in the short term. However, if subsequent economic data weakens, the period from July to September may see a policy shift [17][19][26]. Group 3: Summary According to the Directory 1. One - Week Views - **Q1**: The 10 - year Treasury bond active - bond yield dropped from 1.6525% last Friday to 1.642% this week. Various economic data and policy events influenced the yield's daily fluctuations. The bond market showed desensitization to May's fundamental data, and the 10 - year Treasury bond yield is expected to continue narrow - range fluctuations [8][9][10]. - **Q2**: Geopolitical changes in the Middle East have increased global stagflation risks and pushed up the US bond yield curve. The US labor market is cooling, inflation pressure is mild, and the Fed is expected to hold off on short - term interest rate cuts, but a policy shift may occur from July to September if economic data deteriorates [16][17][26]. 2. Domestic and Overseas Data Aggregation 2.1 Liquidity Tracking - Data on open - market operations from April 7 - 11, 2025, showed a net injection of - 6717 billion yuan. Interest rates in the money market and the issuance of interest - rate bonds in the past two weeks are also presented [31]. 2.2 Domestic and Overseas Macroeconomic Data Tracking - The total transaction area of commercial housing declined. Steel prices generally decreased, and LME non - ferrous metal futures official prices showed mixed movements. Prices of coking coal, thermal coal, vegetables, and international crude oil are also tracked [48][49][60]. 3. One - Week Review of Local Government Bonds 3.1 Primary Market Issuance Overview - In the primary market this week, 39 local government bonds were issued, with a total issuance amount of 107.786 billion yuan, a repayment amount of 150.798 billion yuan, and a net financing of - 43.012 billion yuan. The main issuers were Yunnan, Henan, and Liaoning. Shandong and Henan issued special refinancing bonds for replacing hidden debts [62][65][66]. 3.2 Secondary Market Overview - The stock of local government bonds this week was 51.05 trillion yuan, with a trading volume of 58.8789 billion yuan and a turnover rate of 1.15%. Tianjin, Jiangsu, and Guangdong were the most active trading provinces, and the 10Y, 30Y, and 20Y bonds were the most actively traded [77]. 3.3 This Month's Local Government Bond Issuance Plan - The issuance plan for local government bonds from June 16 - 20, 2025, involves multiple provinces and municipalities [83]. 4. One - Week Review of the Credit Bond Market 4.1 Primary Market Issuance Overview - A total of 380 credit bonds were issued in the primary market this week, with a total issuance amount of 314.099 billion yuan, a total repayment amount of 214.461 billion yuan, and a net financing of 99.638 billion yuan. The net financing decreased by 24.943 billion yuan compared to last week. The net financing of urban investment bonds was - 10.99 billion yuan, while that of industrial bonds was 100.737 billion yuan [84][85]. 4.2 Issuance Interest Rates - The actual issuance interest rates of various bond types this week showed different changes, with short - term financing bills increasing by 9.31bp, medium - term notes increasing by 14.98bp, enterprise bonds increasing by 0.13bp, and corporate bonds decreasing by 18.65bp [97]. 4.3 Secondary Market Transaction Overview - The total trading volume of credit bonds this week was 619.479 billion yuan, with different trading volumes for different bond types and ratings [99]. 4.4 Maturity Yields - The maturity yields of national development bonds showed mixed movements, while the yields of short - term financing bills, medium - term notes, enterprise bonds, and urban investment bonds generally declined [99][100][102]. 4.5 Credit Spreads - The credit spreads of short - term financing bills, medium - term notes, enterprise bonds, and urban investment bonds generally narrowed [104][107][110]. 4.6 Grade Spreads - The grade spreads of short - term financing bills, medium - term notes, and urban investment bonds generally narrowed, while those of enterprise bonds showed a differentiated trend [117][118][123]. 4.7 Trading Activity - The top five most actively traded bonds for each bond type are listed, and the industrial sector had the largest weekly trading volume of credit bonds [128][129]. 4.8 Changes in Subject Ratings - There were no upward or downward adjustments to the issuer's subject ratings or outlooks this week [130].