一、组合策略收益跟踪 本周模拟组合收益普遍修复，且利率风格组合绝对收益整体高于信用风格。利率风格组合中，产业超长型、二级债久 期策略周度收益靠前，读数分别为 0.17%、0.16%；信用风格组合中，产业超长型、永续债久期策略收益领先，读数 分别达到 0.2%、0.16%。 分重仓券种看，中长端二级资本债、超长产业债重仓组合表现占优。信用风格存单重仓组合周度收益均值上行 3.5bp 至 0.09%，绝对点位达到 8 月中旬以来最高，尽管假期前后修复不及对应利率风格组合，但三季度至今信用风格存单 策略跑赢后者超 70bp；城投重仓组合周度平均收益环比升至 0.1%，与存单策略相近，长久期城投债行情回暖，久期、 哑铃型策略收益较节前一周回升 10bp 以上，尤其是哑铃型组合结束了连续四周负收益的低迷态势；二级资本债重仓 组合收益均值同样小幅升高，此前跌幅逐次收窄的子弹型策略本周绝对收益达到 0.15%附近，且三季度累计回撤相对 小，兼具防御和博反弹优势，此外，二级债久期策略也不弱；超长债重仓策略收益回升近 25bp，其中，产业超长型策 略读数达到 0.2%的较高水平。 收益来源方面，二永债久期策略已具有相当的收益空 ...

债市修复短信用先受益 3Y 二级与 5Y 永续利率大幅回落 —— 信用利差周度跟踪 20251012 [[Table_R Table_Report eportTTime ime]] 2025 年 10 月 12 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 歌声ue 证券研究报告 债券研究 [Table_ReportType] 专题报告 [➢Table_Summary] 信用债跟随利率修复，短久期高等级品种率先受益。国庆假期前后（9 月 28 日至 10 月 11 日）债券市场整体修复，1Y 期国开债收益率下行 1BP，3Y、5Y、 7Y 和 10Y 期国开债收益率下行 4BP。信用债收益率跟随下行，短久期高等级 品种率先受益。1Y 期 AAA 级信用债收益率下行 8BP，AA+和 AA-级下行 6BP， AA 级下行 3BP；3Y 期 AAA 级信用债收益率下行 4BP，其余等级信用债收益率 下行 1-2BP；5Y 期 AAA 级信用债收益率下行 4BP，其余等级下行 0-1BP；7Y 期各等级信用债收益率下行 3-4BP，10Y 期 AAA 级信用债收益率下行 4 ...

债市多种叙事切换， "TACO"交易能否重现？ 证券研究报告/固收专题报告 2025 年 10 月 12 日 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 执业证书编号：S0740525070001 Email：yanly@zts.com.cn 执业证书编号：S0740524070004 Email：youyong@zts.com.cn Email：suht@zts.com.cn 2025-09-21 2025-09-14 通央企红利 ETF 投资价值分析》 2025-09-10 请务必阅读正文之后的重要声明部分 分析师：吕品 报告摘要 9 月机构行为模式：杀基金重仓债 分析师：严伶怡 伴随行情演绎，9 月各品种债券多数回调：1）利率债长端回调幅度大于短端，曲线走 陡，长端利差走阔，5Y-3Y 利差收窄。2）二永长端领跌，5-7Y 品种信用利差迅速走 阔。而这些期限、品种基本上是基金偏好的重仓券。从现券交易情况看，除短融外， 2024 年以来基金偏好净买入 7-10Y 利率债、20-30Y 国债、1-5Y 中票以及 7-10Y 二 永品种。 分析师：游勇 与 22 ...

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report The report presents a weekly data tracking of secondary - capital bonds from September 29, 2025, to October 10, 2025, covering primary - market issuance, secondary - market trading, and valuation deviation of individual bonds [1]. 3. Summary by Relevant Catalogs 3.1 Primary - Market Issuance - One new secondary - capital bond was issued in the inter - bank and exchange markets, with a scale of 1.2 billion yuan, a 10 - year term, the issuer being a local state - owned enterprise in Hebei Province with an AA+ credit rating [1]. 3.2 Secondary - Market Trading 3.2.1 Trading Volume - The total weekly trading volume of secondary - capital bonds was approximately 44.5 billion yuan, a decrease of 185.4 billion yuan from the previous week. The top three bonds in terms of trading volume were 22 Industrial and Commercial Bank of China Secondary Capital Bond 04A (1.808 billion yuan), 25 Agricultural Bank of China Secondary Capital Bond 03B(BC) (1.23 billion yuan), and 25 Bank of China Secondary Capital Bond 01BC (1.219 billion yuan) [2]. - By the issuer's region, the top three regions in terms of trading volume were Beijing (about 30 billion yuan), Shanghai (about 4.7 billion yuan), and Zhejiang (about 3.1 billion yuan) [2]. 3.2.2 Yield to Maturity - As of October 10, for 5 - year secondary - capital bonds, the yield - to - maturity changes of AAA -, AA+, and AA - rated bonds compared to the previous week were - 2.57BP, - 4.00BP, and - 2.00BP respectively; for 7 - year bonds, the changes were 0.18BP, 0.84BP, and 0.84BP respectively; for 10 - year bonds, the changes were 3.73BP, 3.74BP, and 3.74BP respectively [2]. 3.3 Valuation Deviation of Top 30 Individual Bonds - The overall valuation deviation of the weekly average trading price of secondary - capital bonds was not significant. The proportion of discount transactions was greater than that of premium transactions, and the discount amplitude was smaller than the premium amplitude. - Among the discount bonds, the top three with the highest discount rates were 24 Sichuan Bank Secondary Capital Bond (- 0.4401%), 23 Hankou Bank Secondary Capital Bond 02 (- 0.4225%), and 22 Ningbo Bank Secondary Capital Bond 01 (- 0.3864%). The implied ratings of ChinaBond were mainly AAA -, AA+, and AA, and the bonds were mostly from Beijing, Shanghai, and Zhejiang [3]. - Among the premium bonds, the top three with the highest premium rates were 24 Yangzhou Rural Commercial Bank Secondary Capital Bond 01 (0.5852%), 25 Mintai Commercial Bank Secondary Capital Bond 01 (0.5313%), and 25 Luzhou Bank Secondary Capital Bond 01 (0.5006%). The implied ratings of ChinaBond were mainly AAA -, AA+, and AA, and the bonds were mostly from Beijing, Zhejiang, and Tianjin [3].

Group 1 - The bond market sentiment is currently weak, with a poor profit effect, and significant downward movement in interest rates requires strong event-driven stimuli, such as large-scale bond purchases, central bank rate cuts, or significant declines in equity markets [1][8] - The 10-year government bond yield has been fluctuating around 1.8%, with potential for both upward and downward movement, but a rebound opportunity is more likely if the yield approaches 1.9% [1][8] - The report suggests maintaining a slightly lower duration in bond portfolios and focusing on a barbell structure due to the difficulty in significantly steepening the yield curve in a weak market environment [2][39] Group 2 - The report highlights the importance of selecting specific bonds, with a focus on the 30-year government bond 25T6, which is expected to become the next main bond due to its good liquidity and upcoming issuance [3][12] - The yield spread between 25T6 and 25T2 is currently around 10 basis points, with expectations that this spread will compress to about 6 basis points as 25T6 gains prominence [12] - The report also emphasizes the need to monitor the impact of new regulations on fund redemptions, which may lead to increased volatility in certain bond types [2][39] Group 3 - The report indicates that the current bond yield valuations are not expensive compared to other asset classes, but the profit effect from bonds remains weak, making them less attractive [27][28] - The 10-year government bond yield is projected to be around 1.93% in the coming month, reflecting a weak outlook based on the constructed interest rate prediction model [23][24] - The report notes that the yield curve is expected to remain relatively flat, with short-term government bonds showing more resilience compared to long-term bonds [38][39]

Group 1 - The core viewpoint of the report indicates that the simulated credit style portfolio yields have generally declined, while the losses in most interest rate style portfolios have narrowed [3][11] - The AA+ medium-short secondary bonds and interest rate bonds in the heavy positions have stabilized in yield compared to early this month [3][18] - The average weekly yield of the credit style portfolio has decreased by 7 basis points to -0.11%, which is less than the recovery seen last week, indicating a controlled overall decline [3][18] Group 2 - In terms of yield sources, most strategy combinations have seen an increase in coupon rates, with city investment and mixed bullet strategies rising by over 0.04 basis points [4][26] - The annualized coupon rates for medium-long strategies, including city investment duration, bullet, and perpetual bond duration combinations, have risen to over 2.16% [4][26] - The coupon contributions of the credit style portfolio have fallen into the range of -35% to 0%, indicating that coupon yields are unable to cover capital loss [4][26] Group 3 - Over the past four weeks, the cumulative excess losses and volatility of the perpetual bond duration strategy have both increased [5][30] - The cumulative excess yields for city investment short-end sinking, commercial bank bond bullet, and brokerage bond duration strategies are 21.3 basis points, 14.2 basis points, and -0.8 basis points respectively [5][30] - The short-duration deposit strategies have outperformed, with excess yields reaching the highest point since March [5][32]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - As of September 26, the weighted average trading durations of urban investment bonds and industrial bonds were 1.89 years and 2.16 years respectively. Among commercial bank bonds, the weighted average trading durations of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 4.39 years, 3.72 years, and 2.19 years respectively. The duration of bank perpetual bonds was 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 1.35 years, 1.85 years, 3.10 years, and 1.30 years respectively. The durations of securities company bonds and securities subordinated bonds shortened, and the securities company bonds were at a relatively low historical quantile [1][8]. - The coupon duration congestion index dropped significantly. After reaching its peak in March 2024, the index declined and is currently at the 25.9% level since March 2021 [11]. Summary by Directory 1. Full - variety Duration Overview - The weighted average trading durations of urban investment bonds, industrial bonds, secondary capital bonds, bank perpetual bonds, general commercial financial bonds, securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds were 1.89 years, 2.16 years, 4.39 years, 3.72 years, 2.19 years, 1.35 years, 1.85 years, 3.10 years, and 1.30 years respectively. Their corresponding historical quantiles since March 2021 were 78.7%, 75.3%, 97.0%, 65.5%, 71.9%, 8.0%, 23.4%, 60.0%, and 76.5% [10]. 2. Variety Microscope Urban Investment Bonds - The weighted average trading duration of urban investment bonds hovered around 1.89 years. The duration of Hebei provincial urban investment bonds extended to 6.37 years, while that of Beijing district - level urban investment bonds shortened to around 1.63 years. The historical quantiles of the durations of urban investment bonds in regions such as Henan prefecture - level cities and Jiangxi prefecture - level cities exceeded 90%, and the duration of Hebei provincial urban investment bonds approached the highest level since 2021 [2][15]. Industrial Bonds - The weighted average trading duration of industrial bonds slightly shortened compared to the previous week, generally staying around 2.16 years. The trading duration of the commercial retail industry extended to 2.09 years, while that of the basic chemical industry shortened to 1.19 years. The trading durations of industries such as food and beverage, coal, real estate, and building decoration were at relatively low historical quantiles, while the building materials industry was at a relatively high historical quantile [2][20]. Commercial Bank Bonds - The duration of general commercial financial bonds extended to 2.19 years, at the 71.9% historical quantile, lower than the same period last year. The duration of secondary capital bonds extended to 4.39 years, at the 97% historical quantile, higher than the same period last year. The duration of bank perpetual bonds shortened to 3.72 years, at the 65.5% historical quantile, higher than the same period last year [2][23]. Other Financial Bonds - In terms of the weighted average trading duration, insurance company bonds > securities subordinated bonds > securities company bonds > leasing company bonds, at the 60%, 23.4%, 8%, and 76.5% historical quantiles respectively. The durations of securities company bonds and securities subordinated bonds slightly shortened compared to the previous week [2][26].

I. Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. II. Core View of the Report The report provides a weekly data tracking of secondary capital bonds from September 22 to September 26, 2025, covering primary market issuance, secondary market trading, and valuation deviation of individual bonds [1][2][3]. III. Summary by Relevant Catalogs 1. Primary Market Issuance - There were no new issuances of secondary capital bonds in the inter - bank market and the exchange market during the week from September 22 to September 26, 2025 [1]. 2. Secondary Market Trading - **Trading Volume**: The total weekly trading volume of secondary capital bonds was approximately 229.9 billion yuan, an increase of 52.1 billion yuan compared to the previous week. The top three bonds in terms of trading volume were 25 Agricultural Bank of China Secondary Capital Bond 03B(BC) (54.049 billion yuan), 25 Agricultural Bank of China Secondary Capital Bond 03A(BC) (16.307 billion yuan), and 25 Industrial and Commercial Bank of China Secondary Capital Bond 01BC (7.88 billion yuan) [2]. - **Trading Volume by Region**: The top three regions in terms of trading volume were Beijing, Shanghai, and Fujian, with trading volumes of approximately 189 billion yuan, 12.7 billion yuan, and 7.9 billion yuan respectively [2]. - **Yield to Maturity**: As of September 26, the yield to maturity of 5Y secondary capital bonds with ratings of AAA -, AA +, and AA increased by 17.93BP, 17.31BP, and 16.31BP respectively compared to the previous week; for 7Y secondary capital bonds, the increases were 18.31BP, 18.26BP, and 18.26BP respectively; for 10Y secondary capital bonds, the increases were 16.19BP, 16.82BP, and 16.82BP respectively [2][10]. 3. Valuation Deviation of Top 30 Individual Bonds - **Overall Situation**: The overall valuation deviation of the weekly average trading price of secondary capital bonds was not significant during the week from September 22 to September 26, 2025. The proportion of discount transactions was less than that of premium transactions, and the discount range was smaller than the premium range [3]. - **Discount Bonds**: The top three bonds with the highest discount rates were 17 Fushun Bank Secondary (- 0.3988%), 21 Deqing Rural Commercial Bank Secondary (- 0.3851%), and 22 Yongcheng Rural Commercial Bank Secondary (- 0.3606%). The Zhongzheng implicit ratings were mainly AAA -, AA +, and AA, and the bonds were mostly distributed in Beijing, Shanghai, and Guangdong [3][12]. - **Premium Bonds**: The top three bonds with the highest premium rates were 24 China Construction Bank Secondary Capital Bond 02B (1.2298%), 24 Guangfa Bank Secondary Capital Bond 01 (0.8398%), and 23 China Construction Bank Secondary Capital Bond 02B (0.8050%). The Zhongzheng implicit ratings were mainly AAA -, AA +, and AA -, and the bonds were mostly distributed in Beijing, Shanghai, and Guangdong [3][13].

Group 1 - The report emphasizes the focus on short-term opportunities following the quarter-end, highlighting a tightening of liquidity and upward pressure on bond yields due to policy changes and seasonal factors [5][6][8] - The report notes that the market has largely priced in negative factors such as the new public fund fee regulations and the "anti-involution" policies, suggesting that the impact of these factors is diminishing [5][6] - It anticipates that after the digestion of these negative factors, bond yields may decline again due to expectations of policy rate cuts and a return to a more accommodative liquidity environment [5][6] Group 2 - The report tracks basic economic data, indicating that the overall economic conditions remain weak, which may lead to expectations of monetary policy easing following the upcoming Fourth Plenary Session in October [5][10] - It discusses the performance of various bond types, noting that the yields on 10-year government bonds have risen by 0.4 basis points, while yields on 3-5 year AAA municipal bonds have increased by 8-11 basis points [5][10] - The report highlights the behavior of institutional investors, noting a significant increase in net selling of credit bonds by funds in the latter half of the week, while insurance and wealth management products have increased their allocations [10][11] Group 3 - The report provides insights into the credit bond market, indicating that the yield spread between credit bonds and government bonds remains significant, with various credit types showing different levels of risk and return [15][16] - It suggests specific investment strategies based on risk preferences, recommending high-grade bank subordinated bonds for low-risk investors and exploring opportunities in long-term credit bonds for high-risk investors [5][10] - The report also mentions the potential impact of U.S. Federal Reserve policies, including a recent rate cut, which could influence domestic bond market dynamics [11]

1. Report Industry Investment Rating No relevant content provided in the given text. 2. Core Viewpoints of the Report - This round of bond market adjustment since July 7 lasted for two and a half months, similar to the adjustment period in the first quarter of this year. The main contradictions in the two adjustments were different, leading to significant differences in secondary - market performance [1][9]. - The first - quarter adjustment was mainly due to the unexpected convergence of the capital market, while the adjustment since July was due to the over - heating of the commodity and equity markets, which increased institutional risk appetite and suppressed the bond market through the "stock - bond seesaw" effect [1][13]. - Before all uncertainties are verified, credit bond investment is recommended to focus on coupon - bearing varieties within 3 years for defense, especially 1 - 3 - year AA and AA(2) urban investment bonds [3]. 3. Summary According to the Directory 3.1 City Investment Bonds: Net Financing Recovered, Long - End Yields Reached New Highs for the Year - From September 1 - 21, 2025, city investment bonds issued 349.9 billion yuan, matured 303.7 billion yuan, and had a net inflow of 46.3 billion yuan. The net financing scale in Jiangxi, Sichuan, and Hunan was relatively large, exceeding 8 billion yuan. The proportion of long - term issuance decreased, with the proportion of over 3 - year issuance dropping to 35% and over 5 - year dropping to 3% [29]. - Except for the short - end, the issuance interest rate increased. The weighted average issuance interest rates for less than 1 - year, 1 - 3 - year, 3 - 5 - year, and over 5 - year city investment bonds were 1.8%, 2.32%, 2.75%, and 2.77% respectively. Only the less than 1 - year rate decreased by 1bp compared to August, while the others increased [30]. - In the secondary market, the short - and medium - term bonds were more resistant to decline, and the long - end yields reached new highs for the year. The long - end adjustment was large, with the yields of AAA and AA + 7 - year and above bonds rising by more than 4bp, and the 10 - year AAA city investment bond yield reaching a new high of 2.44% [33]. 3.2 Industrial Bonds: Net Financing Decreased Year - on - Year, Buying Sentiment Warmed Up - From September 1 - 21, 2025, industrial bonds issued 376.2 billion yuan, a year - on - year decrease of 86.6 billion yuan, and had a net financing of 62 billion yuan, a year - on - year decrease of 51.6 billion yuan. The net financing scale of the comprehensive and construction decoration industries was over 20 billion yuan, and that of the non - bank finance industry was over 15 billion yuan [37]. - The issuance sentiment weakened. The proportion of full - field multiples above 3 times decreased from 18% to 17%, and the proportion of 2 - 3 times decreased from 36% to 28%. The proportion of short - duration variety issuance decreased [37]. - From the broker transactions, the buying sentiment of industrial bonds warmed up. The TKN proportion increased from 62% to 71% month - on - month, and the low - valuation proportion increased from 32% to 46% [40]. 3.3 Bank Capital Bonds: Yields Fluctuated Narrowly, Short - and Medium - Duration Bonds Performed Better - From September 15 - 19, 2025, Agricultural Bank of China issued 35 billion yuan of 5 + 5 - year secondary capital bonds and 25 billion yuan of 10 + 5 - year secondary capital bonds, with issuance interest rates of 2.18% and 2.50% respectively. China Everbright Bank issued 40 billion yuan of 5 + N - year perpetual bonds, with an issuance interest rate of 2.29% [44]. - In the secondary market, bank capital bond yields fluctuated narrowly, and short - and medium - duration bonds performed better. From September 15 - 19, the yields of 1 - 3Y varieties decreased by 0 - 4bp, while the 10Y large - bank secondary capital bonds and 5Y small - and medium - bank capital bonds were weaker, with yields rising by 2 - 4bp [44]. - From the broker transactions, the trading sentiment of bank capital bonds warmed up. The TKN proportion rose above 60%, and the low - valuation proportions of secondary capital bonds and perpetual bonds increased by 31pct and 27pct respectively [47].