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 ...

本周模拟组合依旧呈负收益，中短端信用风格组合回撤幅度小于对应利率风格组合，长端组合则有较大跌幅。利率风 格组合中，存单下沉型、存单子弹型策略周度收益读数靠前，分别为-0.25%、-0.25%；信用风格组合中，存单下沉型、 存单子弹型策略回撤偏小，收益读数分别为-0.14%、-0.14%。 分重仓券种看，城投久期策略表现低迷，二级债重仓策略跌势放缓。信用风格存单重仓组合周度收益均值小幅回升至 -0.14%，高出对应利率风格组合收益均值 10.7bp，是 7 月下旬以来防御性最强的策略；城投重仓组合周度收益环比 下行 3.5bp 至-0.3%，本周收益率曲线明显走陡，城投久期、哑铃型组合跌幅均超过对应利率风格组合，从 6 月以来 累计收益看，短端下沉策略仍有 0.29%的收益，而其余策略收益基本被抹平；二级资本债重仓组合表现略有修复，较 上周平均收益上行 5.2bp，特别是二级债久期组合跌幅有所减小；超长债重仓策略收益继续下挫，其中，城投、二级 超长型组合 7 月下旬以来累计收益双双下破-1.6%。 收益来源方面，信用策略跌出一定票息空间，二级债久期策略票息距年内低点超过 20bp。主要策略组合票息止跌转 涨，其 ...

证券研究报告·固定收益·固收点评 本周（20250818-20250822）银行间市场及交易所市场无新发行二级资本 债。 截至 2025 年 8 月 22 日，二级资本债存量余额达 46,753.85 亿元，较上 周末（20250815）减少 30.0 亿元。 ◼ 二级市场成交情况： 本周（20250818-20250822）二级资本债周成交量合计约 2162 亿元，较 上周增加 545 亿元，成交量前三个券分别为 25 工行二级资本债 02BC （116.98 亿元）、25 工行二级资本债 01BC（110.37 亿元）和 25 中行二 级资本债 01BC（100.12 亿元）。 分发行主体地域来看，成交量前三为北京市、上海市和广东省，分别约 为 1733 亿元、153 亿元和 67 亿元。 固收点评 20250823 二级资本债周度数据跟踪 （20250818-20250822） [Table_Tag] [Table_Summary] 观点 ◼ 一级市场发行与存量情况： 从到期收益率角度来看，截至 8 月 22 日，5Y 二级资本债中评级 AAA-、 AA+、AA 级到期收益率较上周涨跌幅分别为：6.73 ...

证券研究报告|固收研究报告 [Table_Date] 2025 年 08 月 18 日 [Table_Title] 信用债哑铃策略 [Table_Title2] 信用周观察系列 [Table_Summary] 8月 11-15日，股市走强压制债市表现，普信债收益率全线上行，但信 用利差大多被动收窄。银行资本债表现弱于普信债，收益率上行 2- 10bp，信用利差大多走扩，与同期城投债相比，4-5Y大行资本债收益 率多上行 5-8bp。 目前信用债收益率、利差均处于历史低位，叠加债市不确定性较多、 波动加大，机构整体偏谨慎，尤其是对长久期信用债。一方面，7 月 中下旬以来基金对长久期信用债的需求偏弱，最近三周合计净卖出 47 亿元 5-10 年信用债。另一方面，5 年以上信用债二级成交占比也明显 下降，其中 5 年以上信用债成交占比从 7 月中旬 15.4%的偏高位置持 续降至 5.9%，而 1 年以内成交占比由 29.4%升至 36%。 在此背景下，信用债哑铃策略或占优，即同时持有票息较高、低波动 的防守型品种，以及流动性好的高波动博弈型品种。其中，防守型品 种首选 1-3 年中低等级城投债，由于票息较高，在债 ...

Group 1 - Credit bond yields have generally risen, with financial bond spreads widening more than non-financial credit bonds. The 5-year and 7-year spreads for lower-rated bonds narrowed significantly, by 4-8 basis points [2][10] - The 3-year financial bonds saw a notable widening in spreads, particularly for perpetual bonds, with 3-year spreads widening by 3-4 basis points [2][10] - The overall turnover rate of credit bonds decreased from 1.99% to 1.93%, indicating a decline in market activity. The weighted average transaction duration for all credit bonds fell from 3.1 years to 3.0 years [3][10] Group 2 - Institutional behavior shows an increased allocation to credit bonds by wealth management and insurance sectors, while funds have reduced their holdings in secondary capital bonds. Wealth management has focused on increasing positions in bonds with maturities of one year or less [4][10] - Market sentiment remains cautious, with a recommendation to prioritize defensive strategies. It is suggested to adopt a short-duration strategy to enhance returns while maintaining portfolio stability [5][10] Group 3 - The average yield for city investment bonds with an implied rating of AA- and above is 2.12%, with significant variations across provinces. High-yield city investment bonds are concentrated in longer-term bonds [13][17] - The average yield for industrial bonds with an implied rating of AA- and above is 1.90%, with the textile and social services sectors showing higher yields [17]

Group 1: Report's Investment Rating - No information provided on the report's industry investment rating Group 2: Core Views - This week, the simulated portfolio's returns turned negative, with the credit - style portfolio's retracement relatively controllable. Among the interest - rate style portfolios, the short - end sinking of urban investment bonds and the sinking strategy of certificates of deposit (CDs) had relatively high weekly return readings, both around - 0.41%. Among the credit - style portfolios, the short - end sinking of urban investment bonds and the sinking strategy of CDs had smaller retracements, with return readings of - 0.16% and - 0.16% respectively [2][15][16]. - Since July, the CD strategy has a higher odds. The average weekly return of the credit - style CD heavy - position portfolio dropped to - 0.17%, a decrease of about 24bp from last week. It is also one of the few strategies with positive cumulative returns in the past three weeks. The corresponding interest - rate style portfolio underperformed the defensive strategy again after two weeks [2][19]. - In terms of return sources, the coupon of the credit - style urban investment bond heavy - position strategy is approaching the annual low and can hardly withstand recent fluctuations. The coupon contributions of the credit - style portfolio this week generally fell within the range of - 25% to - 5%, and capital gains significantly dragged down the comprehensive return [3][27]. - In the past four weeks, except for the short - end sinking of urban investment bonds, the remaining mainstream strategies generally lacked excess returns. From the perspective of strategy terms, short - term strategies significantly outperformed. Short - term CD strategies outperformed the benchmark, and the excess return of urban investment sinking reached the highest since late June [4][31][33]. Group 3: Summary by Relevant Catalogs 1. Portfolio Strategy Return Tracking 1.1 Portfolio Weekly Return Overview - As of August 15, this year, the cumulative returns of the interest - rate style and credit - style portfolios have significantly lagged behind the same period in the past two years. Among the main credit - style portfolios, the cumulative comprehensive returns of the long - term industrial portfolio, the short - end sinking of urban investment bonds, and the duration portfolio led, reaching 1.48%, 1.39%, and 1.22% respectively. The cumulative returns of the credit - style portfolios all exceeded the corresponding interest - rate style portfolios, while the cumulative returns of the interest - rate style portfolios basically fell back to within 1% [10]. - The average weekly return of the credit - style CD heavy - position portfolio dropped to - 0.17%, a decrease of about 24bp from last week. The weekly return of the urban investment bond heavy - position portfolio decreased by 38.6bp to - 0.27% compared with the previous week. The weekly return of the secondary bond heavy - position portfolio decreased by more than 40bp, but its absolute return performance was slightly stronger than that of the interest - rate style portfolio. The average return of the long - term bond heavy - position strategy dropped to - 0.55%, a decrease of about 64bp compared with the previous week [2][19]. 1.2 Portfolio Weekly Return Sources - The coupons of the main strategy portfolios continued to decline. The coupons of the short - end sinking and dumbbell - shaped portfolios of urban investment bonds were around an annualized 1.92% and 1.97% respectively, less than 5bp away from the annual low. The coupon of the secondary bond duration portfolio was still 14bp away from the low point, and the coupon volatility remained high [3][27]. 2. Credit Strategy Excess Return Tracking - In the past four weeks, the cumulative excess returns of the short - end sinking of urban investment bonds, the bullet - shaped portfolio of commercial financial bonds, and the sinking strategy portfolio of secondary bonds reached 16.2bp, 0.9bp, and 0.6bp respectively, while the cumulative readings of the remaining strategy portfolios dropped to the negative range. This week's weak performance widened the gap between the cumulative returns of the heavy - position strategy of Tier 2 and perpetual bonds and the urban investment bond heavy - position strategy, with the cumulative excess return dropping to below - 22bp [4][31]. - From the perspective of strategy terms, short - term strategies significantly outperformed. Short - term CD strategies outperformed the benchmark, and the excess return of urban investment sinking reached the highest since late June. In the medium - and long - term, all strategies showed negative excess returns, except that the excess return of the short - end sinking of urban investment bonds reached 9.7bp. The negative deviations of Tier 2 capital bonds and the bullet - shaped portfolio of commercial financial bonds from the benchmark were within 2bp, also having a certain defensive property [4][33]. Appendix: Simulated Portfolio Allocation Method - The simulated portfolio has some limitations, including the distortion of the portfolio allocation method and errors in the return calculation method. The actual product's bond allocation in terms of grade and term distribution is more complex and may change strategies according to market conditions. The fixed bond ratio in the simulated portfolio may be distorted, and there are some assumptions and simplifications in the calculation method of coupon and capital gains [5][47]

1. Report Industry Investment Rating - No information provided. 2. Core Viewpoints of the Report - As of August 17, the weighted average trading terms of urban investment bonds and industrial bonds were 2.13 years and 2.63 years respectively. Among commercial bank bonds, the weighted average trading terms of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 4.59 years, 3.72 years, and 4.05 years respectively, with bank perpetual bonds at a relatively low historical level. Among other financial bonds, the durations of securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds were 1.53 years, 2.13 years, 3.22 years, and 1.20 years respectively, with securities company bonds and securities subordinated bonds at relatively low historical percentiles [2][9]. - The coupon duration congestion index slightly declined. After reaching its peak in March 2024, the index has been falling. This week, it decreased slightly compared to last week and is currently at the 12.20% level since March 2021 [11]. 3. Summary by Relevant Catalogs 3.1 All - Variety Term Overview - Urban investment bonds: The weighted average trading term hovered around 2.13 years. The duration of Sichuan provincial urban investment bonds extended to 5.36 years, while the trading duration of Guangdong district - county - level urban investment bonds shortened to around 1.50 years. The historical percentiles of the durations of urban investment bonds in regions such as Sichuan provincial, Jiangsu district - county - level, Chongqing district - county - level, and Fujian district - county - level have exceeded 90%, and the duration of Henan prefecture - level city urban investment bonds is approaching the highest level since 2021 [3][15]. - Industrial bonds: The weighted average trading term has slightly extended compared to last week, generally around 2.63 years. The trading duration of the pharmaceutical and biological industry shortened to 1.05 years, while that of the building materials industry extended to 2.49 years. The trading duration of the food materials industry is at a relatively low historical percentile, and industries such as public utilities and building materials are at historical percentiles above 90% [3][20]. - Commercial bank bonds: The duration of general commercial financial bonds extended to 4.05 years, at the 99.5% historical percentile, higher than the level of the same period last year. The duration of secondary capital bonds extended to 4.59 years, at the 99.1% historical percentile, lower than the level of the same period last year. The duration of bank perpetual bonds extended to 3.72 years, at the 66.3% historical percentile, higher than the level of the same period last year [3][22]. - Other financial bonds: In terms of the weighted average trading term, insurance company bonds > securities subordinated bonds > securities company bonds > leasing company bonds, at historical percentiles of 65.3%, 48%, 31%, and 67.6% respectively. The duration of insurance company bonds has slightly extended compared to last week, while the durations of the others have slightly shortened [3][25]. 3.2 Variety Microscope - Information in this part is mainly included in the "All - Variety Term Overview" above, with detailed data and analysis of different types of bonds such as urban investment bonds, industrial bonds, commercial bank bonds, and other financial bonds. For example, specific data on the durations and historical percentiles of bonds in different regions and industries are provided [3][15][20].

Report Industry Investment Rating No relevant content provided. Core Viewpoint of the Report The report presents a weekly data tracking analysis of secondary capital bonds from August 11 to August 15, 2025, covering primary market issuance and stock, secondary market trading, and valuation deviation of individual bonds [1]. Summary by Relevant Catalogs Primary Market Issuance and Stock Situation - This week, 1 new secondary capital bond was issued in the inter - bank and exchange markets, with a scale of 1.5 billion yuan, a maturity of 10 years, an issuer of private enterprise nature, a subject rating of AA+, and the issuer located in Zhejiang Province [1]. - As of August 15, 2025, the outstanding balance of secondary capital bonds reached 4,678.385 billion yuan, a decrease of 49.6 billion yuan from the previous weekend [1]. Secondary Market Trading Situation - This week, the total trading volume of secondary capital bonds was approximately 161.7 billion yuan, an increase of 1.1 billion yuan from last week. The top three bonds in terms of trading volume were 25 Bank of China Secondary Capital Bond 01BC (9.088 billion yuan), 25 Industrial and Commercial Bank of China Secondary Capital Bond 01BC (7.077 billion yuan), and 25 Industrial and Commercial Bank of China Secondary Capital Bond 02BC (6.736 billion yuan) [2]. - By the region of the issuer, the top three in trading volume were Beijing, Shanghai, and Fujian, with approximately 123 billion yuan, 11.8 billion yuan, and 7.2 billion yuan respectively [2]. - As of August 15, the changes in the yields to maturity of 5Y secondary capital bonds with ratings of AAA -, AA +, and AA compared to last week were 8.09BP, 8.29BP, and 5.29BP respectively; for 7Y secondary capital bonds, the changes were 9.16BP, 7.91BP, and 7.91BP respectively; for 10Y secondary capital bonds, the changes were all 7.95BP [2]. Situation of the Top 30 Individual Bonds in Valuation Deviation % - This week, the overall valuation deviation of the weekly average trading price of secondary capital bonds was not large. The proportion of discount transactions was less than that of premium transactions, and the discount range was greater than the premium range [3]. - Among the discount bonds, the top three in discount rate were 21 Jiutai Rural Commercial Bank Secondary (- 6.9278%), 23 Weifang Bank Secondary Capital Bond 01 (- 0.3655%), and 21 Bank of Ningbo Secondary 02 (- 0.1633%). The implicit ratings of ChinaBond were mainly AA +, AA -, and AA, and the bonds were mainly distributed in Beijing, Zhejiang, and Shandong [3]. - Among the premium bonds, the top four in premium rate were 22 Great Wall Huaxi Secondary Capital Bond 01 (0.9132%), 25 Chouzhou Commercial Bank Secondary Capital Bond 02 (0.6656%), 22 Industrial and Commercial Bank of China Secondary Capital Bond 03B (0.5505%), and 21 Industrial and Commercial Bank of China Secondary 03 (0.5251%). The implicit ratings of ChinaBond were mainly AAA -, AA +, and AA, and the bonds were mainly distributed in Beijing, Shanghai, and Guangdong [3].

Core Viewpoint - The banking industry in China has shown resilience and stability in the first half of the year, with key indicators such as non-performing loan ratio, provision coverage ratio, and capital adequacy ratio remaining stable and improving, indicating a strong capacity to resist risks and support the real economy [2][6]. Group 1: Banking Industry Performance - As of mid-year, total assets of banking financial institutions reached 467.3 trillion yuan, a year-on-year increase of 7.9%, with large commercial banks' total assets at 204.2 trillion yuan, growing by 10.4% [1]. - The non-performing loan balance for commercial banks was 3.4 trillion yuan, a decrease of 24 billion yuan from the previous quarter, with a non-performing loan ratio of 1.49%, down by 0.02 percentage points [7]. Group 2: Support for the Real Economy - The balance of inclusive micro-enterprise loans reached 36 trillion yuan, growing by 12.3% year-on-year, while inclusive agricultural loans amounted to 13.9 trillion yuan, increasing by 1.1 trillion yuan since the beginning of the year [3]. - Large commercial banks played a significant role in supporting the real economy, with their inclusive micro-enterprise loan balance exceeding 16 trillion yuan, accounting for a higher proportion of the total industry loans [4]. Group 3: Operational Efficiency and Cost Management - The banking sector has improved operational efficiency, with the cost-to-income ratio at 30.2%, a decrease of 5.3 percentage points from the previous year, and non-interest income ratio rising to 25.75%, an increase of 3.33 percentage points [5]. - The net interest margin remained stable at 1.42%, with a slight decrease of 0.01 percentage points from the first quarter [5]. Group 4: Risk Management and Capital Adequacy - The banking sector has increased provisions and improved asset disposal efforts, with new provisions totaling 1.1 trillion yuan, an increase of 579 billion yuan year-on-year, and non-performing asset disposals reaching 1.5 trillion yuan, up by 1.236 trillion yuan [7]. - Capital adequacy ratios showed improvement, with the overall capital adequacy ratio at 15.58%, up by 0.30 percentage points from the previous quarter [7].

Core Viewpoint - The banking industry shows a strong resilience and improved operational efficiency, with total assets increasing by nearly 8% year-on-year, indicating a stable and positive trend in the sector [1] Group 1: Asset Growth and Financial Stability - As of mid-2023, the total assets of banking financial institutions reached 467.3 trillion yuan, a year-on-year increase of 7.9%, with large commercial banks' assets growing by 10.4% to 204.2 trillion yuan [1] - The non-performing loan (NPL) ratio stands at 1.49%, a decrease of 0.02 percentage points from the previous quarter, reflecting overall stability in asset quality [5] Group 2: Support for the Real Economy - The balance of inclusive micro and small enterprise loans reached 36 trillion yuan, growing by 12.3% year-on-year, while inclusive agricultural loans increased by 1.1 trillion yuan to 13.9 trillion yuan [2] - Large commercial banks accounted for over 16 trillion yuan of the inclusive micro and small enterprise loans, with a year-on-year increase of 13.84%, leading the industry in loan growth [3] Group 3: Operational Efficiency and Cost Management - The cost-to-income ratio for commercial banks improved to 30.2%, a decrease of 5.3 percentage points compared to the previous year, indicating enhanced operational efficiency [4] - Non-interest income as a proportion of total income rose to 25.75%, an increase of 3.33 percentage points since the end of last year, showing a positive trend in diversifying income sources [4] Group 4: Credit Risk Management - The banking sector has proactively managed credit risks, with new provisions totaling 1.1 trillion yuan, an increase of 579 billion yuan year-on-year, and the disposal of non-performing assets reaching 1.5 trillion yuan, up by 1.236 trillion yuan [5] - Capital adequacy ratios improved, with the overall capital adequacy ratio at 15.58%, up 0.30 percentage points from the previous quarter [5] Group 5: Capital Expansion - The issuance of subordinated debt and perpetual bonds by commercial banks has exceeded 1 trillion yuan this year, indicating a strong push for external capital [6] - Major banks have issued total loss-absorbing capacity (TLAC) bonds to meet regulatory requirements, with total issuance amounts of 800 billion yuan for Bank of China and Agricultural Bank of China, and 700 billion yuan for Bank of Communications [6]