Group 1: Report Core Questions - The report addresses the following core questions: the scale and maturity distribution of exchange-traded corporate bonds, the scale proportion and rating distribution of different types of bond-issuing entities, and the debt continuation pressure of low- and medium-rated bond-issuing entities and the arbitrage opportunities between the primary and secondary markets [3] Group 2: Event Review - As of March 25, 2025, there were over 18,000 outstanding exchange-traded corporate bonds (including only public and private corporate bonds), with a total scale of approximately 16.48 trillion yuan. About 3.53 trillion yuan of normally outstanding bonds will mature in 2026, of which about 1.26 trillion yuan will mature in the first half of the year, potentially putting pressure on relevant entities for debt rollover [4] Group 3: Investment Highlights - 1.26 trillion yuan of exchange-traded corporate bonds will mature in the first half of 2026. As of March 25, 2026, the total outstanding scale of exchange-traded corporate bonds is about 16.48 trillion yuan. After excluding some bonds in abnormal credit status such as material default, extension, or triggering cross-default protection, the remaining normally outstanding corporate bonds are about 15.86 trillion yuan. About 3.53 trillion yuan will mature in 2026, accounting for about 22.2% of the outstanding amount, and 1.26 trillion yuan will mature before the end of June 2026, accounting for about 8.0% of the outstanding amount [5] - Brokerage bonds and industrial bonds are mainly of medium- and high-grade, while urban investment bonds have relatively lower average quality. In terms of bond types, exchange-traded corporate bonds are mainly divided into three categories: urban investment, industrial, and brokerage bonds. Among the outstanding bonds, urban investment bonds have the highest proportion, with a total scale of 7.42 trillion yuan, accounting for 46.8%. Industrial bonds follow, with a total scale of 5.37 trillion yuan, accounting for 33.8%. Brokerage bonds have a total scale of 3.07 trillion yuan, accounting for 19.4%. In terms of ratings, the outstanding scales of ChinaBond implied AA+ and AA ratings are both over 3 trillion yuan, accounting for 21.3% and 21.6% respectively. AA(2) accounts for 17.8%, and AAA and AAA- account for 16.8% and 14.1% respectively [5] - Attention should be paid to the maturity pressure of low- and medium-rated entities. It is estimated that about 1.64 trillion yuan of low- and medium-rated (AA and below) corporate bonds will mature in 2026, of which 596.1 billion yuan will mature in the first half of the year, and there may be some short-term debt continuation pressure, mainly from urban investment entities. Specifically, from the perspective of the entity, among the low- and medium-rated corporate bonds maturing in the first half of the year, over 400 billion yuan are from urban investment entities, and the total maturity pressure of the top 15 is 42.2 billion yuan. For industrial entities, the total maturity pressure of the top 15 is 50.2 billion yuan. Among brokerage entities, the maturity pressure of low- and medium-rated bonds is relatively small, with only 6 entities and a total scale of 17.2 billion yuan [5] Group 4: Overall View - In general, April is the peak period of maturity pressure for the whole year, and attention should be paid to the debt continuation ability of entities, especially for low- and medium-rated entities. Market sentiment and capital constraints will be key factors affecting bond issuance. For investors, while paying attention to the credit risks implied in the debt continuation of low- and medium-rated entities, they can also pay attention to the arbitrage opportunities between the primary and secondary markets caused by the deviation of the primary issuance coupon rate [6]

Group 1 - The effectiveness of coupon strategies and the certainty of arbitrage space remain high, providing support for credit bond allocation [6][7] - The stability of the liability side and the effectiveness of coupon strategies contribute to the strong anti-drawdown characteristics of credit bonds [6] - The opening of amortized debt funds and the increase in allocation to credit bonds provide support for the demand for credit bonds in March [6][9] Group 2 - The credit bond market saw a net financing outflow for two consecutive weeks, with a total issuance of 917.9 billion yuan and a maturity of 1,757 billion yuan, resulting in a net financing of -839.1 billion yuan [11][12] - The issuance of short-term financing bonds, medium-term notes, and corporate bonds increased compared to the previous week, with AAA-rated issuers making up the largest proportion at 59.5% [11][12] - The secondary market showed increased trading volume, with a total transaction of 4,812 billion yuan, and the yield on medium-term notes slightly increased [14][15] Group 3 - There are opportunities to explore the yield spread of credit bond varieties, particularly in perpetual bonds, which have a higher yield spread compared to ordinary industrial bonds [7][10] - Recommended strategies for perpetual bonds include a coupon strategy for coal and steel industry entities with a remaining term of less than 2 years, and a duration strategy for public utilities and transportation central state-owned enterprises around 5 years [7][10]

1. Report Industry Investment Rating There is no information provided in the content about the report's industry investment rating. 2. Core Viewpoints of the Report - In February, the bond market may continue to fluctuate, and the coupon strategy may remain a relatively prudent choice. With low credit spreads and the need to control duration risk, investment strategies can focus on the refined exploration of variety spreads, increasing the allocation of low - credit - risk and high - absolute - return varieties [1][2] - Secondary perpetual bonds still have investment value, but their volatility may increase. It is recommended that trading desks control their positions according to their liability - side conditions and try reverse operations [4][5] 3. Summary by Relevant Catalog 3.1 Credit Bonds: Explore Variety Spreads, Pay Attention to Volatility Risks of Secondary Perpetual Bonds 3.1.1 Low Credit Spreads, Focus on Variety Spread Exploration - In January, the long - end interest rate showed a trend of "rapid rise → rapid fall → slow fall", credit bond yields declined, and credit spreads narrowed across the board. Medium - and low - rated bonds outperformed high - rated ones, and medium - and long - term varieties performed better [10][11] - In February, the bond market may continue to fluctuate. For accounts with unstable liability sides, it is not recommended to chase long - term credit. Focusing on medium - and short - term varieties may be relatively advantageous. After the spread compression in January, credit spreads are generally at a low level [14][15] - Investment strategies can focus on three aspects: exploring the spreads of perpetual varieties, seizing the allocation opportunities of brokerage bonds and brokerage sub - bonds, and grasping the "oversold" repair opportunities of science and technology innovation bond component bonds [18] 3.1.2 Secondary Perpetual Bonds Still Have Allocation Value, but Volatility May Increase - In January 2026, bank secondary perpetual bonds had a catch - up rally, with yields declining across the board and credit spreads narrowing, generally outperforming ordinary credit bonds. This rally was mainly driven by funds, while insurance's net buying volume gradually decreased [32][33] - 3 - 5 - year large - bank secondary perpetual bonds still have certain allocation value for accounts with stable liability sides. However, with the rapid entry of trading - desk funds such as funds and the reduction of insurance's buying volume, the volatility of secondary perpetual bonds may increase [39] 3.2 Urban Investment Bonds: Net Financing Increased Year - on - Year, Medium - and Long - Term Transaction Activity Rose - In January, the net financing of urban investment bonds was positive and increased year - on - year. The issuance proportion of medium - and long - term urban investment bonds increased, and the weighted average issuance interest rate decreased across the board [42] - The yields of urban investment bonds declined across the board in January, with medium - and long - term and low - grade varieties performing better. The trading sentiment of urban investment bonds improved, and the medium - and long - term transaction activity increased [48][54] 3.3 Industrial Bonds: Short - End Issuance Proportion Increased, Medium - and Long - Term Secondary Performance was Superior - In January, the issuance and net financing scale of industrial bonds increased year - on - year. The short - term issuance proportion of industrial bonds continued to rise, and the issuance interest rate generally declined [57] - The yields of industrial bonds declined across the board in January, with medium - and long - term varieties showing obvious repair. Most industries' public offering bond yields declined, and medium - and long - term varieties performed better [59][62] 3.4 Bank Secondary Perpetual Bonds: Transaction Sentiment Warmed Up, Medium - and Long - Term Varieties Significantly Repaired - In January 2026, there were no new bank secondary perpetual bond issuances, and the net financing was - 415 billion yuan, a year - on - year decrease of 36.1 billion yuan [65] - The yields of bank secondary perpetual bonds declined across the board in January, with medium - and long - term varieties significantly repaired. The trading sentiment of bank secondary perpetual bonds warmed up, and the transaction of city commercial bank secondary perpetual bonds spread to medium - and low - grade bonds [71][74]

Group 1 - The core view of the report indicates that the credit style simulated portfolio has mostly rebounded, while the interest rate style portfolio continues to decline, with specific strategies showing varying performance [3][15][18] - The weekly return of the credit style portfolio has seen a slight increase in certain strategies, such as the broker debt and secondary debt duration strategies, achieving returns of 0.05% and 0.04% respectively [3][15] - The report highlights that the secondary capital bond heavy strategy has stabilized, with an average weekly return of 0.01%, outperforming the corresponding interest rate style portfolio by approximately 19 basis points [3][18] Group 2 - In terms of return sources, the long-duration portfolio's coupon rates have generally rebounded, indicating the emergence of left-side opportunities, with annualized returns for urban investment and industrial long-duration strategies reaching 2.45% and 2.48% respectively [4][29] - The report notes that the secondary debt duration strategy has shown superior cumulative excess returns over the past four weeks, with returns of 8.1 basis points, outperforming other strategies [5][34] - The short-end configuration value has also increased, with the urban investment short-end sinking strategy recovering nearly 13 basis points from its lowest point in 2025 [4][29]

Group 1: Investment Ratings - No information provided on the report's industry investment rating Group 2: Core Views - As of December 12, controlling drawdown is the main strategic goal recently. In a market with slow rises and sharp falls in the past month, the focus is on drawdown control rather than achieving excess returns through duration + band operations [2][12] - Last week (December 8 - December 12), bond - type ETFs had a net inflow of 2.95 billion yuan, with credit - bond ETFs having a net inflow of 5.37 billion yuan, while interest - rate bond ETFs and convertible - bond ETFs had net outflows of 960 million yuan and 1.46 billion yuan respectively. Bond ETF net values are marginally recovering [3][16] - As of December 15, 2025, compared with the previous week, more than half of the non - financial and non - real - estate industrial bonds saw their yields rise, real - estate bond yields generally increased, and financial bond yields showed differentiation among bond types [4][18] - The trading preference for ultra - long - term credit bonds has not improved. The number of transactions of general credit bonds with a maturity of over 7 years remains at a low level, and the lack of spread protection space weakens investors' motivation [5][20] - In terms of the issuance pricing of local government bonds, the average issuance rate of 10 - year local bonds in the latest week was 2.05%, slightly up from the previous week. The average coupon rates of new 20 - year and 30 - year local bonds were above 2.45%, at a relatively high level within the year. The long - end spreads remain high [6][23] Group 3: Summary of Each Section Quantitative Credit Strategy - As of December 12, the cumulative excess returns of the short - end sinking strategy for urban investment bonds, the bullet strategy for commercial financial bonds, and the sinking strategy for securities firm bonds reached 5bp, 4.4bp, and 1.5bp respectively, while those of other medium - and long - term strategies were less than 5bp. The cumulative excess return of the urban investment dumbbell portfolio, which performed well in the previous two months, dropped to a low of - 25.7bp in the past four weeks. The sinking strategy of the financial bond heavy - position portfolio outperformed the corresponding duration strategy by more than 12bp in cumulative returns [2][12] ETF Strategy - Last week (December 8 - December 12), bond - type ETFs had a net inflow of 2.95 billion yuan. Credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs had net inflows of 5.37 billion yuan, net outflows of 960 million yuan, and net outflows of 1.46 billion yuan respectively. Compared with the previous week, their cumulative unit net value weekly growth rates were + 0.05%, + 0.08%, and + 0.20% respectively [3][16] Coupon Asset Heat Map - As of December 15, 2025, compared with the previous week, more than half of the non - financial and non - real - estate industrial bonds saw their yields rise. Except for private - placement bonds of private enterprises within 1 year, the yield adjustments of other varieties were less than 4BP. Real - estate bond yields generally increased, with the yields of non - perpetual bonds within 1 year rising by more than 5BP. Financial bond yields showed differentiation among bond types, with the yields of commercial financial bonds within 3 years mainly rising, bank sub - debt valuations generally recovering, and the performance of securities firm sub - debt being better than that of ordinary bonds [4][18] Ultra - long Credit Bond Tracking - The trading preference for ultra - long - term credit bonds has not improved. This week (December 8 - December 12, 2025), the number of transactions of general credit bonds with a maturity of over 7 years remained at a relatively low level of around 300. The spread between the most actively traded 7 - 10 - year industrial bonds and 20 - 30 - year treasury bonds is only 19.9bp, which further weakens investors' motivation [5][20] Local Government Bond Supply and Trading Tracking - In the latest week, the average issuance rate of 10 - year local bonds was 2.05%, slightly up from the previous week. The average coupon rates of new 20 - year and 30 - year local bonds were above 2.45%, at a relatively high level within the year. The long - end spreads of local government bonds remain high, with the average spread of bonds with a maturity of 10 years and above being higher than 20bp [6][23]

Group 1 - The simulated portfolio's returns have continued to rebound, with the exception of some secondary bond-heavy portfolios, while other credit style strategies have not outperformed their corresponding interest rate styles [3][17][22] - In the interest rate style portfolio, the secondary ultra-long and mixed barbell strategies showed significant rebounds, with weekly returns of 0.16% and 0.13% respectively [3][19] - In the credit style portfolio, the secondary ultra-long and mixed barbell strategies led with returns of 0.29% and 0.17% respectively [3][19] Group 2 - The average weekly return of the credit style time deposit heavy portfolio increased by 9.7 basis points to 0.06%, while the cumulative return since the fourth quarter has been lower than the corresponding interest rate style [3][22] - The city investment heavy portfolio's average return rose by 21 basis points to 0.07%, with bullet strategies achieving a return of 0.11%, outperforming short-end and barbell strategies [3][22] - The average return of the secondary capital bond heavy portfolio increased to 0.14%, with rebounds in secondary sinking and mixed barbell strategies at 0.15% and 0.17% respectively, but these rebounds were insufficient to offset previous losses [3][22] Group 3 - The credit style portfolio's coupon rates have shown signs of recovery, particularly in the bank subordinated bond heavy portfolio, which has a competitive yield in absolute terms [4][29] - The annualized yields for the secondary perpetual bond duration strategy are 2.19% and 2.23%, approximately 39 basis points away from the year's low [4][29] - The contribution from coupon income ranges from 20% to 90%, with most of the week's returns coming from capital gains [4][29] Group 4 - In the past four weeks, controlling drawdown has become the main strategy objective, with short-end sinking and commercial bank bond portfolios still showing positive cumulative excess returns [5][33] - The cumulative excess returns for city investment short-end sinking, commercial bank bullet, and broker bond sinking portfolios are 5 basis points, 4.4 basis points, and 1.5 basis points respectively, while other medium to long-term strategies have accumulated less than 5 basis points [5][33] - The city investment barbell strategy, which performed well in the previous two months, has seen its cumulative excess return drop to -25.7 basis points over the past four weeks [5][33] Group 5 - The trading direction for 4 to 5-year long-term credit bonds may show divergence, with some medium to long-term duration strategies lacking excess returns [6][36] - The short-end time deposit strategy's excess return turned negative this week, while the city investment sinking strategy showed a slight positive deviation from the benchmark [6][36] - The excess returns for ultra-long strategies have risen to their highest level since late October, with city investment, industry, and secondary ultra-long strategies recording 9.4 basis points, 11.1 basis points, and 29.7 basis points respectively [6][36]

Group 1 - The simulated portfolio's returns have declined this week, with credit style portfolios experiencing smaller drawdowns compared to interest rate style portfolios. The weekly returns for the industrial ultra-long and municipal short-end sinking strategies were -0.1% and -0.13% respectively [2][14] - In the credit style portfolio, the industrial ultra-long and broker debt sinking strategies were among the few that still had positive returns, recording 0.1% and 0.03% respectively [2][15] - The average weekly return for the credit style time deposit heavy combination fell to -0.01%, with a controllable decline compared to the previous week. The short-duration combinations demonstrated strong volatility resistance [2][17] Group 2 - The coupon income from municipal heavy strategies has dropped to a low point, making it difficult to cover weekly capital gains losses. Most municipal heavy combinations have seen their annualized coupon income fall below 1.9% [3][24] - The coupon contributions from the credit style combinations have generally turned negative, particularly for the municipal dumbbell and secondary debt duration strategies, which fell into the -35% to -30% range [3][24] Group 3 - In the past four weeks, broker debt strategies have gained favor, with cumulative excess returns for broker debt duration, municipal dumbbell, and broker debt sinking strategies at 18.5bp, 15.6bp, and 12.4bp respectively [4][28] - The broker debt duration strategy has achieved a cumulative return of 1.92% since the second quarter, ranking just below the municipal dumbbell strategy, which is around 1.98% [4][28] - Short-duration strategies have outperformed the mid-to-long-term benchmarks, with the municipal short-end sinking strategy exceeding the mid-to-long-term benchmark by the largest margin since May [4][30]

Group 1 - The report indicates a divergence in the performance of simulated portfolios, with most strategies experiencing a decline in returns, while some credit style portfolios saw a rebound [2][14][15] - In the interest rate style portfolios, the city investment ultra-long and city investment barbell strategies achieved returns of 0.22% and 0.17% respectively, while in the credit style portfolios, the city investment ultra-long and city investment barbell strategies had returns of 0.5% and 0.3% respectively [2][15] - The weekly average return of the city investment heavy bond portfolio increased to 0.2%, up by 9.1 basis points from the previous week, with the ultra-long city investment strategy showing significant recovery, achieving a weekly return of 0.5% [2][17] Group 2 - The report highlights that the cumulative excess returns of various credit strategies have shown divergence over the past four weeks, with the city investment barbell, duration, and short-end sinking strategies yielding cumulative excess returns of 23.1 basis points, 14.4 basis points, and -0.2 basis points respectively [4][31] - The financial bond strategies have not shown excess returns in the past month, with the secondary capital bond bullet-type and broker bond duration strategies both deviating negatively from the benchmark by over 10 basis points [4][31] - The ultra-long city investment strategy achieved an excess return of 18.7 basis points, while the industrial ultra-long and secondary ultra-long strategies underperformed their respective benchmarks [4][34]

Group 1: Credit Bond Strategy - The credit bond market is expected to continue in a volatile state, with a focus on interest rate strategies and band trading being more favorable than pure selection of varieties [5][38] - The strategy suggests focusing on short to medium-term credit bonds and high-grade long-term bonds to seek opportunities for interest rate compression [5][38] - The recommendation is to increase allocation in high-grade bonds from local government financing vehicles, real estate, and stable industries during market adjustments [5][38] Group 2: Local Government Financing Bonds - The transformation of local government financing vehicles is entering a complex phase, with potential pricing discrepancies as platforms adapt to new regulations [2][43] - The issuance of local government bonds is expected to remain low due to strict regulatory oversight and the ongoing transition of platforms [2][43] - Focus on short to medium-term bonds from regions with stable cash flows, particularly in Guangdong, Hubei, Jiangsu, and Henan, is recommended [2] Group 3: Financial Bonds and Varieties - High-grade perpetual bonds can be traded in response to interest rate fluctuations, but the trading space is limited and requires high trading standards [3][39] - The strategy includes focusing on high-grade bonds with a maturity of 3-5 years for stable institutions, while actively trading lower-grade bonds during market adjustments [3][39] - The expansion of TLAC non-capital instruments and their comparison with secondary capital bonds is highlighted as an area of interest [3][39] Group 4: Industrial Bonds - Industrial bonds have shown some recovery in profitability, but performance remains varied across sectors, with strong performance in automotive, machinery, and utilities, while real estate and construction sectors lag [4] - The recommendation is to focus on high-quality state-owned enterprises and stable private enterprises for medium-term investments [4] Group 5: Real Estate Bonds - The real estate sector is under pressure, with a recommendation to focus on high-grade bonds from state-owned enterprises while monitoring the recovery of the sector [4] - The potential for policy support in the real estate market could enhance recovery in core cities, but caution is advised for lower-tier cities [4] Group 6: Asset-Backed Securities (ABS) and Public REITs - The market for consumer finance ABS is expanding, with opportunities for variety exploration in a volatile market [3][39] - Public REITs are recommended to balance opportunities in both primary and secondary markets, focusing on stable projects [3][39]

Group 1: Quantitative Credit Strategy - The recent performance of perpetual bonds and broker bonds strategies has shown a high success rate as of May 9 [2] - Short-term strategies yielded limited excess returns, while mid to long-term strategies, excluding city investment duration and barbell strategies, showed positive excess returns [2][12] - Financial bonds and non-financial credit heavy strategies have widened the gap in cumulative excess returns over the past four weeks, particularly with increased yield elasticity in financial bond duration strategies [2][12] Group 2: Duration Tracking of Various Bonds - As of May 9, the weighted average transaction duration for city investment bonds and industrial bonds reached 2.09 years and 2.51 years respectively, both above the 90th percentile since March 2021 [3][15] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 4.19 years, 3.59 years, and 2.30 years respectively [3][15] - Other financial bonds such as securities company bonds and insurance company bonds have varying durations, with some at historically low levels and others at high levels [3][15] Group 3: Yield Heatmap of Credit Assets - As of May 12, the valuation yield and spread of private enterprise real estate bonds are higher than other types of bonds [4][17] - Non-financial, non-real estate industrial bonds saw a yield decline of around 10 basis points, particularly in the one-year category [4][18] - Financial bonds with high valuation yields include leasing company bonds and securities subordinate bonds, with significant yield declines noted in certain categories [4][18] Group 4: Long-term Credit Bond Insights - The market shows weak willingness to increase long-duration credit bonds, despite the approaching low yields of government bonds and short-term assets [5][20] - Transaction volumes for mainstream long-duration industrial bonds have increased but remain below levels seen in late March, indicating insufficient trading sentiment to support long-term bond markets [5][20] - The recent week saw a decline in the transaction share of long-term credit bonds, falling below 70% [5][20] Group 5: Local Government Bond Supply and Trading Insights - The average coupon rates for 10-year, 20-year, and 30-year local government bonds are 1.79%, 2.07%, and 2.05% respectively, with varying spreads [6][23] - The liquidity in the interbank market remains reasonably ample, with moderate issuance volumes of local bonds, leading to stable supply pressure [6][23] - Long-term spreads continue to widen, but adjustments have led to a more stable outlook [6][23]