固收专题： 短端信用债的确定性或更强 2025 年 08 月 26 日 ➢ 债市对基本面钝化，震荡期把握阶段性机会比博弈单边趋势更重要。近期债 市频繁调整，整体走势震荡偏弱，7 月信贷负增长、经济数据也显示需求进一步 放缓、资金面整体宽松等利好并未债市形成实质性利好，再加上权益赚钱效应维 持较强的状态，债市对基本面信息钝化，近期主要是风险偏好主导交易情绪。如 果债市再度遇到负反馈、资金持续流出等情况，不排除之后存在冲高的可能性， 因此当前信用债的整体思路建议以防守为主，将久期控制在较低水平，即使后市 依然维持高位偏弱震荡，中短期限的信用债防御性也相对更好。 ➢ 低利率大环境下，信用债收益率的调整规律发生转变，相较于长端品种，短 端收益率抗跌属性凸显。随着债市持续低位震荡，市场情绪偏谨慎，一旦有利空 因素出现，投资者更倾向于卖出长债调整仓位，通过压降久期保持流动性。以今 年 7 月以来的信用债变动情况来看，1 年期和 3 年期 AAA-中短票分别上行 3BP 和 11BP，但 10 年期和 15 年期 AAA-中短票则分别上行 14BP 和 16BP，尤其 是 3 年期及以内的信用债"抗跌性"更强。 ➢ 中短久 ...

证券研究报告 固收 第二批科创债 ETF 上报，关注指数成 份券机会 2025 年 8 月 25 日│中国内地 信用周报 信用热点：第二批科创债 ETF 上报，关注指数成份券机会 8 月 20 日第二批 14 只科创债 ETF 集中上报，首批科创债从申报到上市用 时 1 个月，第二批科创债 ETF 也有望较快落地。科创债 ETF 上市以来规模 快速增长、流动性表现较好，已成为信用债 ETF 的第二大品种。受股市走 强、债市偏弱影响，科创债 ETF 净值经历两轮调整。考虑到政策支持+科创 债供给增长+科创债 ETF 质押回购业务落地，科创债 ETF 未来发展可期。 若第二批科创债 ETF 落地，科创债指数成份券流动性有望进一步提升，收 益率仍有下行空间，但短期幅度或有限，且面临股市、政策、重要事件等扰 动较多，建议关注 1-3 年中高等级科创债指数成份券的调整后增配机会。 市场回顾：股强债弱持续，信用债收益率全面上行 SAC No. S0570523080005 SFC No. BTF199 华泰研究 朱沁宜 研究员 zhuqinyi@htsc.com +(86) 10 6321 1166 仇文竹* 研究员 S ...

固定收益 | 固定收益定期 把握调整后的信用票息 证券研究报告 信用策略周报 20250824 一、信用调整了多少？ 本周（8/18-8/24），信用债收益率跟随利率债调整，且调整幅度多高 于利率，信用利差有所走阔： 超长信用本周跌幅较为明显，部分中高等级 7-10 年期普信品种跌幅逾 10bp，7-10 年期二级资本债跌幅弱于普信； 3-5 年信用品种跌幅亦不低，且城投债>二永债>中短票； 2 年期及以内的短端品种当周跌幅相对不深，部分信用利差小幅收窄。 二、信用，谁在买？谁在卖？ 近期，从主要买盘行为看，整体呈现如下特征： 基金为代表的交易盘整体净卖出，尤其是对二永等类利率品种； 理财、保险等配置盘继续逢调整买入，但整体集中在 3 年期以内的中 短端债项。 三、调整后的信用"扛跌性"如何？ 计算按当前收益率持有各品种三个月的静态"扛跌性"： 1 年内的短端品种票息保护较为充足，多在 50+bp； 4-5 年期信用品种目前"扛跌性"约在 10-20bp，虽然对应品种期间 跌幅较深，但由于当前该期限段收益率曲线整体相对平缓，故相较于 7 月 18 日的"扛跌性"变动不大； 5 年期以上的超长信用债整体"扛跌性 ...

Group 1 - The overall credit bond yields have followed the adjustment of interest rate bonds, with credit spreads showing mixed changes. Specifically, the decline in the 3-5 year high-grade perpetual bonds was the most significant, reaching 6-11 basis points, while the longer-term bonds also experienced notable declines [1][11] - City investment bonds saw a greater decline compared to medium-short bonds, with the 7-year ultra-long city investment bonds experiencing the largest drop of around 8 basis points [1][11] - The credit spread for medium-short bonds, especially those with maturities of 4 years and above, was generally weaker than that of the same maturity national development bonds, leading to a passive narrowing of credit spreads during the week [1][11] Group 2 - Since July, the trading volume of public credit bonds has been continuously shrinking, and the duration has also decreased from its high levels. The long-term credit bonds (over 5 years) have shown relative resilience due to buying from insurance and wealth management products, while the buying power from funds has decreased significantly [2][16] - The valuation of ETF constituent bonds has generally followed the market adjustment, but the decline in valuation for constituent bonds was structurally lower than that of non-constituent bonds of similar maturity [3][24] - The long-end constituent bonds, especially ultra-long bonds, were more resilient during the week, with most individual bonds experiencing smaller valuation declines compared to non-constituent bonds [3][44] Group 3 - Since May, the trading duration of perpetual bonds has been continuously extended, with both the trading volume and proportion of bonds with maturities over 5 years reaching year-to-date highs. This indicates a shift from trading to allocation among major participating institutions [4][46] - The supply of perpetual bonds, including TLAC bonds, has significantly increased during this period, and the buying power from public funds has been higher than selling power, particularly for long-end perpetual bonds [4][47] Group 4 - As of August 15, 2025, some AA and AA(2) credit bonds with maturities within 2 years have seen yields drop to over 1.9%, indicating the value of short-term bonds. These bonds also possess defensive attributes amid market volatility, as the bond market will continue to be influenced by equity market fluctuations [5][60] - The 3-4 year perpetual bonds have emerged as a cost-effective option, with their yield curve steepening and current valuations being higher than those of similarly rated medium-short bonds and city investment bonds, offering better trading value and liquidity [5][60]

Group 1 - The credit market has shown a general increase, with the yield curve steepening for perpetual bonds, as credit spreads have narrowed significantly due to a recovery in credit sentiment and favorable tax policies [1][2][4] - The yield on 3-year perpetual bonds has decreased by 3-4 basis points, while the long-end yields have seen limited increases, indicating a flattening of the curve [1][4] - Short-term bonds have outperformed long-term bonds, and lower-rated bonds have performed better than higher-rated ones during this period [1][2] Group 2 - The reintroduction of VAT on newly issued government and local bonds has provided a relative pricing advantage for credit bonds, leading to a noticeable increase in buying activity from public funds [2][14] - Despite a decrease in the scale of wealth management products, there has been a temporary increase in credit holdings due to the attractive pricing of credit bonds [2][25] Group 3 - Since July, there has been a slight increase in the supply of urban investment bonds, alongside stable issuance from state-owned and private enterprises, particularly in the technology sector [3][33] - As of August 10, 2025, the cumulative net financing for credit bonds has reached 1.556 trillion yuan, slightly above the level seen in the same period last year [3][34] Group 4 - Credit spreads have compressed significantly since the beginning of 2025, with short-term spreads compressing more than long-term ones, indicating a structural shift in the credit market [4][47] - The current yield levels for most credit varieties are below those at the beginning of the year, with the exception of some high-grade perpetual bonds [4][51] - Non-financial credit bonds are expected to benefit from a tax advantage of 3-15 basis points, with spreads for mid-to-high-grade 3-5 year credit varieties approaching last year's low points [4][53]

Group 1 - The report indicates that August marks the second phase of the "three-step" strategy for the bond market, with a focus on timely adjustments and profit-taking opportunities [6][5][4] - The fundamental outlook for August suggests a verification period for policy effects, with new policy financial tools expected to boost credit and investment recovery [15][16][17] - The "anti-involution" narrative is expected to influence pricing and production, although short-term trends remain uncertain [21][22][25] Group 2 - Liquidity conditions are expected to remain supportive, with the central bank's actions likely to mitigate potential funding disruptions during the high payment month of August [31][32][38] - Historical data shows that August typically experiences significant government bond issuance, which may lead to increased net financing [40][41] - The supply-demand structure in the bond market is under pressure due to increased supply and limited demand from institutions [2][3][4] Group 3 - The report highlights the importance of monitoring external factors, such as trade negotiations and tariff policies, which may impact market sentiment and bond performance [25][26][27] - The anticipated issuance of new policy financial tools is expected to accelerate investment demand, particularly in infrastructure projects [16][17][19] - The report emphasizes the need for flexible trading strategies, particularly in response to key events and market sentiment shifts [6][5][4]

Group 1 - The report highlights a market correction in the bond market, with credit products showing varying degrees of resilience. The "see-saw" effect between stocks and bonds continues, leading to a decline in the bond market and some profit-taking, particularly in perpetual bonds [2][9]. - Credit products generally follow interest rate adjustments, but their decline is less pronounced than that of interest rates. The credit spread has narrowed passively, with perpetual bonds experiencing a greater decline compared to other credit types [2][9]. - The report notes that the yield on short-term credit products fluctuated, with a passive widening of credit spreads by approximately 5 basis points over the week [2][9]. Group 2 - During the bond market adjustment period, trading volumes for credit bonds have decreased, particularly for perpetual bonds. However, insurance and other institutional investors have shown a notable increase in their holdings of high-quality credit bonds [3][16]. - The report suggests that the market may not need to worry excessively about the current credit market conditions, as the marginal impact of the stock-bond see-saw effect is expected to diminish. The report anticipates a potential re-entry point for investors as the credit spreads adjust [4][27]. - The report recommends focusing on 2-year duration assets for portfolio allocation, as well as considering mid-to-high grade 5-year perpetual bonds, which have seen a decline in yields above 1.9%, indicating potential buying interest [4][29][34].

Group 1 - The report indicates that the stock market's strength has led to short-term adjustment pressure on the bond market, resulting in a passive narrowing of credit spreads, particularly in short-duration bonds, with 1-year credit spreads across various ratings narrowing by 5-7 basis points [1][4] - The report highlights that the overall turnover rate of credit bonds has decreased from 2.36% to 2.21%, reflecting a reduction in market trading activity, with the weighted average transaction duration slightly increasing from 2.8 years to 2.9 years [2] - Fund managers are maintaining an allocation to credit bonds, although the intensity has weakened, with a shift towards shorter-duration bonds, while insurance companies have increased their net purchases of long-duration credit bonds [3] Group 2 - The report suggests that despite the stock market's upward pressure on the bond market, there remains a potential for short-term volatility, and it recommends a strategy of selectively increasing positions during adjustments rather than aggressively chasing gains [4] - The report notes that the average yield of credit bonds has generally increased, with the 3-year and 5-year credit bonds showing significant upward movement, particularly in lower-rated municipal bonds [10][17] - The report identifies specific sectors such as steel and coal that may benefit from the "anti-involution" policy, indicating potential opportunities in industry bonds [4]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market has been in a volatile and weakening pattern this week (7/7 - 7/11), with the stock - bond "seesaw" effect being the main trigger for market adjustments, along with tightened regulatory expectations and a convergent capital market in the second half of the week [1][6]. - In the past two weeks, the bond market has been in a volatile pattern. Although the market remains in a long - term mindset, the "fear of high prices" has not been alleviated. The trading logic mainly revolves around the capital market and the stock market, and the market is waiting for new signals [2][15]. - Looking ahead, factors such as the stock - bond linkage effect, the stability of capital interest rates, next week's economic and financial data, the July Politburo meeting, and the supply - demand game in the bond market are worthy of attention. In the third quarter, the bond market is still in a favorable environment, with long - term interest rates expected to fluctuate narrowly around 1.65%, and there is no need to overly worry about credit risks [3][28][29]. 3. Summary by Relevant Catalogs 3.1 Bond Market Volatility and Weakening - This week, the bond market was under pressure. The stock - bond "seesaw" was the main adjustment logic, and regulatory expectations and capital convergence also suppressed the market. From Monday to Friday, bond yields showed different changes, with short - term adjustments being more significant, and the yield curve flattened slightly. Most yields of certificates of deposit (CDs) also increased [1][6]. 3.2 Capital Interest Rates - This week, the capital market was first loose and then tight, with capital interest rates rising moderately. After the cross - quarter period, the capital interest rate center entered a downward channel, and DR001 still ran below the policy interest rate. The average weekly values of DR001, R001, DR007, and R007 changed compared to the previous week, and the capital stratification remained at a low level, although overnight capital stratification increased in the second half of the week [8][10]. 3.3 Profit - Taking or Re - Layout Opportunity - In the past two weeks, the bond market has shown different trends. Last week, it was volatile and relatively strong, while this week it was volatile and weak due to the shift of the capital market to a neutral state and the rise of the stock market, leading to some short - term profit - taking [15]. - There are several characteristics: 1) When the capital interest rate "stepped down", the market did not follow. Except for the 50 - year Treasury bond, other long - term bond yields were mostly in a sideways state, and the spreads between 10 - year and 30 - year Treasury bonds and DR007 reached relatively high levels since the second quarter [16]. 2) The volatility of credit - type assets was greater than that of interest - rate bonds. Last week, different assets compressed spreads, but this week they entered an adjustment phase, with Tier 2 and perpetual bonds having a greater adjustment amplitude [21]. 3) Behind the "V" - shaped trend of credit - type assets, the trading desks mainly composed of funds shifted from increasing allocations to taking profits. Last week, funds bought credit and Tier 2 and perpetual bonds, but this week, their buying power weakened, and they started to reduce holdings in the second half of the week [22]. - The bond market's volatile pattern is due to the balance of long and short forces. The fundamental structural repair supports the bond market, while the monetary policy is in a dynamic balance between "moderate" and "loose". Although there are expectations for overall easing policies in the second half of the year, the probability of short - term implementation is relatively low [26]. 3.4 Factors to Watch in the Future - Stock - bond linkage effect: If the stock market is supported by factors such as tariff game mitigation, policy strengthening, or fundamental improvement, it will affect the bond market through changes in institutional liability and allocation power, increasing market volatility [3][28]. - Capital interest rates: Whether capital interest rates can remain at a low level needs to be observed. Next week, there will be more "variables" in the capital market, and how the central bank responds to various factors will be an important determinant of the stability of capital interest rates [3][28]. - Economic and financial data and the July Politburo meeting: Next week's economic and financial data and the July Politburo meeting may release incremental signals, which are important windows for macro - policy adjustment [29]. - Supply - demand game in the bond market: In the third quarter, there may be a surge in government bond supply, which may disrupt the bond market, but considering the current coordination between monetary and fiscal policies, there may be no need for excessive concern. The allocation situation of configuration desks such as bank self - operations and insurance companies also needs attention [3][28][29]. 3.5 Next Week's Focus - Next week, a series of economic and financial data from China, Germany, the EU, the US, the UK, and Japan will be released, including import and export amounts, social financing scale, GDP, CPI, and PPI, which are worthy of attention [31].

Group 1 - The report indicates that the domestic economy is showing signs of weakness in export support, with June's port container throughput growth slowing to 2.2% compared to 6.5% in April and May, suggesting a potential decline in production support from exports [15][20] - The report highlights that the political bureau meeting in July is expected to accelerate the implementation of existing policies, with a focus on consumption and investment, while the GDP growth rate for the second quarter is projected to be around 5.2% [20][22] - External uncertainties are noted, particularly regarding trade negotiations with the U.S., which may lead to increased market volatility and affect risk appetite [23][24] Group 2 - The liquidity analysis shows that the central bank's actions have kept funding prices relatively stable, with a significant amount of maturing certificates of deposit in June, leading to a net financing of -575.1 billion [25][28] - The report suggests that while there may be limited room for significant liquidity easing in July, there is potential for seasonal recovery in funding conditions, with DR007 expected to stabilize around 1.5% [31] - Institutional behavior indicates strong supply and demand dynamics, with local government bond financing expected to increase significantly in July, potentially reaching between 1.5 to 1.7 trillion [4][11]