证 券 研 究 报 告 定价锚回归，及锋而试的顺风期 ——2025年下半年债市展望 证券分析师： 黄伟平 A0230524110002 栾强 A0230524110003 张杰 A0230524050002 徐亚 A0230524060002 杨雪芳 A0230524120003 张晋源 A0230525040001 研究支持： 王哲一 A0230123100001 2025.06.09 主要内容 ◼ 引言：与2024年的单边牛市不同，2025年债券已经进入"低利率+利利差+高波动"的状态。告别单边牛市思维，展望下半年，债 券市场可能出现2个特征：1）定价锚回归：从政策利率看资金，资金定价债券；2）6-8月份可能是个不错的及锋而试的顺风期。 ◼ 2025年债券市场运行新特征：1）央行政策利率成为资金市场底部，宏观审慎管理下资金利率曾一度呈现加息效果。2）短债表现较 弱、受资金影响较大，长债波动放大把握难度较高。3）基本面整体平稳，但关税脉冲影响较大，股债市场受短期风险偏好影响较大。 ◼ 外需预期有反复，但债市主要定价内需而非外需。 ✓ 特里芬难题的核心在于，美元信用全球性和贸易逆差长期并存。关税只是表象，更为 ...

1. Report Industry Investment Rating The provided content does not mention the report industry investment rating. 2. Core Viewpoints of the Report - For investment - grade bonds, understand various spreads in terms of liquidity premium, and in a bond bull market, seize the opportunity to intervene when negative events cause the variety premium to rise. For high - yield bonds, the proportion of credit risk premium factors increases, and low - quality varieties should focus on the macro - credit environment and local credit environment. - When comparing AAA - and AA+ rated commercial bank secondary capital bonds and perpetual bonds, it is recommended to give priority to perpetual bonds due to their higher yields and better liquidity. For AA - rated bonds, when the spread between the two is high, consider intervening in perpetual bonds [103][105]. 3. Summary According to the Table of Contents 3.1 Commercial Bank Secondary Capital Bonds and Perpetual Bonds: Basic Introduction - **Definition of Secondary Capital Bonds**: Issued by commercial banks, with the repayment order of principal and interest payment after depositors and general creditors, and before equity capital, other Tier - 1 capital instruments, and hybrid capital bonds, following relevant regulations [4]. - **Important Terms**: Include subordination clause, write - down clause, and call option. The call option can be exercised at least 5 years after issuance, subject to regulatory approval and prior notice [5][7]. - **Main Features**: The amount that can be included in Tier - 2 capital decreases year - by - year in the last five years before maturity. The common term is N + 5, with 5 + 5 being the most common (86%). Since 2018, 40.8 billion yuan of secondary capital bonds have not been redeemed, accounting for 1.8% of callable bonds [9]. 3.2 Basic Overview of China's Commercial Bank Secondary Capital Bonds - **Issuance Volume and Maturity Distribution**: From 2013 to 2024, a total of 6.27 trillion yuan of commercial bank secondary capital bonds were issued, with an average annual issuance of 522.5 billion yuan. The average annual net financing in the past five years was 411 billion yuan. The maturities are concentrated in 5 + 5 (84%) and 10 + 5 (14%) [11]. - **Issuer Distribution**: By type, large commercial banks account for 58% of the issuance, followed by joint - stock banks (22%), city commercial banks (15%), rural commercial banks (4.9%), foreign - funded banks (0.2%), and private banks (0.1%). The top 20 issuers account for 82.9% of the issuance, the top 10 account for 71.3%, and the top 4 account for 49.4%. Industrial and Commercial Bank of China has the largest issuance (14.3%), followed by Bank of China (12.7%) [17]. - **Rating Distribution**: In terms of issuer ratings, AAA - rated issuances account for 93.7%, AA+ for 3.9%, AA for 1.3%, AA - for 0.7%, and others for 0.5%. In terms of bond ratings, AAA - rated issuances account for 82.4%, AA+ for 8.5%, AA for 5.3%, AA - for 2.2%, and others for 1.6%. 10% of issuers have the same bond rating and issuer rating, while for others, the bond rating is lower than the issuer rating [24]. - **Trading Volume**: The liquidity of commercial bank secondary capital bonds is increasing. In 2024, the annual trading volume was 8.028 trillion yuan, and the turnover rate was as high as 198%. The top 20 issuers in trading volume accounted for 89.1%, the top 10 accounted for 75.9%, and the top 4 accounted for 52.3% [25]. - **Latest Stock Situation**: As of the end of April 2025, there were 508 secondary capital bonds in the market, with a balance of 4.2448 trillion yuan and an average scale of 8.4 billion yuan. There were 249 issuers, among which large commercial banks accounted for 58%, joint - stock banks 23%, city commercial banks 14%, and rural commercial banks 5%. The average term was 3.04 years, with 16.7% having a term of 2 - 3 years and 16.7% having a term of 1 - 2 years [28]. - **Investors**: Commercial banks, commercial bank wealth management products, and other non - legal person products are the main investors. At the end of 2020, according to China Central Depository & Clearing Co., Ltd., commercial banks accounted for 30.6%, commercial bank wealth management products 26.3%, other non - legal person products 34.5%, insurance institutions 4.7%, policy banks 2.4%, and overseas institutions 0.8%. As of the first quarter of 2025, public funds held 200.1 billion yuan of commercial bank secondary capital bonds (with an average term of 2.45 years), and the credit quality of the issuers held by public funds was weaker than the market average [39][40]. 3.3 Basic Overview of China's Commercial Bank Perpetual Bonds - **Issuance Volume and Stock Distribution**: Since 2019, a total of 3.22 trillion yuan of commercial bank perpetual bonds have been issued, with an average annual issuance of 510 billion yuan. The term is 5 + N. As of April 30, 2025, there were 240 commercial bank perpetual bonds in the market, with a balance of 2.4605 trillion yuan [43]. - **Issuer Distribution**: Compared with secondary capital bonds, the issuers of perpetual bonds are more concentrated in companies with better credit quality, and the number of rural commercial bank issuers has significantly decreased. The top 20 issuers account for 88.8% of the issuance, the top 10 account for 71.5%, and the top 5 account for 51.9%. Agricultural Bank of China has the largest issuance (16.8%), followed by Bank of China (10.3%) [48]. - **Rating Distribution**: In terms of issuer ratings, AAA - rated issuances account for 96.3%, AA+ for 3.1%, and AA for 0.6%. In terms of bond ratings, AAA - rated issuances account for 88.9%, AA+ for 6.9%, AA for 3.5%, AA - for 0.6%, and A+ for 0.1%. 35% of issuers have the same bond rating and issuer rating, while for others, the bond rating is lower than the issuer rating [58]. - **Trading Volume**: The liquidity of commercial bank perpetual bonds is good, and the turnover rate is increasing. In 2024, the annual trading volume was 6.298 trillion yuan, and the turnover rate was as high as 253%. The top 20 issuers in trading volume accounted for 86.9%, the top 10 accounted for 69%, and the top 5 accounted for 44.5% [59]. - **Issuers' Implied Ratings in the ChinaBond Market**: In the latest ChinaBond market implied rating distribution, there are 6 AAA - issuers (2.4%), 15 AA+ issuers (6.0%), and 32 AA issuers (12.9%). Among the AA+ issuers in the ChinaBond implied rating, there are 9 joint - stock commercial banks, 5 city commercial banks, and 1 rural commercial bank [64]. 3.4 Yield Fluctuation Rules of Commercial Bank Secondary Capital Bonds and Perpetual Bonds - **Commercial Bank Secondary Capital Bonds**: The yield of commercial bank secondary capital bonds fluctuates cyclically, similar to the national debt cycle. As of April 30, 2025, the average yields to maturity of 5 - year AAA -, AA+, and AA commercial bank secondary capital bonds were 3.44%, 3.54%, and 3.85% respectively, and the lowest yields appeared on January 3, 2025. The spreads between different ratings also fluctuate cyclically [72]. - **Commercial Bank Secondary Capital Bonds vs. Commercial Bank Ordinary Bonds**: From 2019 to the present, the average spreads of 5 - year AAA -, AA+, and AA bonds were 37BP, 42BP, and 63BP respectively, and the current spreads are at historical lows. The spread trend is positively correlated with that of commercial bank ordinary bonds. Events such as the write - down of Baoshang Bank's secondary capital bonds and changes in valuation methods have affected the spread [73][78]. - **Commercial Bank Secondary Capital Bonds vs. Non - financial Corporate Credit Bonds**: The yield trends of secondary capital bonds, medium - term notes, and urban investment bonds are very similar, and the absolute levels of yields are also relatively close. Currently, the yields of various grades of commercial bank secondary capital bonds are slightly lower than those of medium - term notes [82]. - **Commercial Bank Perpetual Bonds vs. Secondary Capital Bonds**: Since August 2021, the average spreads between perpetual bonds and secondary capital bonds for AAA - have been 12BP, AA+ 11BP, AA 24BP, and AA - 48BP. The spreads between AAA - and AA+ are relatively stable, while those between AA and AA - fluctuate greatly [89]. 3.5 Investment Outlook - **Differentiate between Investment - grade and High - yield Bonds**: For investment - grade bonds, understand spreads based on liquidity premium and seize opportunities in a bond bull market. For high - yield bonds, focus on credit risk premium. - **Comparison between Commercial Bank Secondary Capital Bonds and Perpetual Bonds**: For AAA - and AA+ bonds, prefer perpetual bonds. For AA - rated bonds, consider perpetual bonds when the spread is high [103][105].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Since 2021, the bond market yield has entered a downward cycle, influenced by the shift of monetary credit from supply - constraint to demand - constraint, the change of economic endogenous momentum, and insufficient effective demand [4][134][137] - The U.S. may shift from "loose fiscal + tight monetary" to "tight fiscal + tight monetary" during the debt - reduction process, and the Fed's rate - cut may require a significant weakening of the labor market [2][97] - China's current economic situation shows weak domestic demand and declining external demand. Policy elasticity may lie in the consumption sector, and monetary policy will gradually ease to cooperate with fiscal policy [3][131] - In Q2 2025, "macro - prudential" supervision may give way to loose trading, and the bond market curve may change from flat to bull - steep [4] 3. Summary According to the Table of Contents 3.1 1月至今债市走势分析及其宏观逻辑 - **Monthly Trends** - In January 2025, to stabilize the exchange rate and the central bank suspended buying treasury bonds, resulting in tight funds, short - term bond corrections, and long - term bond fluctuations [1][51] - In February, tight funds spread to banks, weakening easing expectations, and both short - and long - term bonds accelerated their corrections [2][51] - In March, the funds returned to equilibrium. In the first half of the month, the bond market self - adjusted due to the revision of easing expectations, and in the second half, long - term bonds gradually recovered [51] - In April, due to increased external uncertainties, long - term bonds fell to a low level and then fluctuated narrowly [2] - **Interest Rate Curve** - From January to April 2025, the interest rate curve changed from "bear - flat" to "bear - steep" and then to "bull - flat." The flat curve reflected pessimistic expectations of liquidity and fundamentals, which cannot coexist for a long time [22] - **Credit Spreads** - In 2025, the credit spread of medium - term notes showed an obvious compression trend, while that of commercial bank secondary capital bonds fluctuated [27] - **Duration Strategy** - In February - March 2025, the duration strategy underperformed, but in April, the long - duration strategy became dominant again [31] - **Market Logic** - Fundamentally, the economy was booming in Q1 2025, but external changes disturbed expectations. In terms of funds, from January to February, tight funds led to bond market corrections; from March to April, the central bank's attitude became more favorable, and the bond market strengthened. Institutionally, in January - February, institutions reduced duration and leverage; in March - April, the long - duration strategy was preferred, and institutions bet on long - term bond capital gains [51] 3.2 "对等关税"背后的"特里芬难题"与潜在冲击 - **Triffin Dilemma** - The Triffin Dilemma refers to the coexistence of the global credit of the US dollar and long - term trade deficits. The long - term trade deficit may lead to the hollowing - out of the manufacturing industry and debt inflation in the US [54][56] - **First Impact of the Triffin Dilemma** - The Bretton Woods system basically collapsed in the 1970s due to the continuous expansion of US demand and the rapid shrinkage of US gold reserves [61] - **Consequences of the Triffin Dilemma** - The global credit of the US dollar may lead to a high - valued dollar, which is negative for US manufacturing exports. The critical point of the Triffin Dilemma is the continuous expansion of the deficit, which may trigger credit risks for reserve assets [65][70] - **"海湖庄园协议"** - The core of the "Mar - a - Lago Agreement" is to reduce debt and revitalize the industrial system through measures such as replacing foreign - held US bonds with ultra - long - term zero - coupon bonds and asking countries to cooperate in depressing the dollar exchange rate [71][75] - **US Fiscal - Monetary Policy Shift** - The US may shift from "loose fiscal + loose monetary" to "tight fiscal + loose monetary" to break the negative feedback loop of "fiscal expansion - increased interest payments - passive fiscal expansion" [79][84] - **US Economic Situation** - Currently, a US recession is not the baseline scenario. The US economy has not significantly slowed down, and the employment market remains resilient. However, if labor - market "hard data" weakens significantly, recession trading may resume [90][93] - **Potential Impact of "Reciprocal Tariffs"** - "Reciprocal tariffs" may lead to a decline in global trade volume and a decrease in the potential economic growth rate [94][96] 3.3 Policy Hedging and Domestic Demand Stimulation: Focus on One's Own Affairs - **Political Bureau Meeting** - The April 2025 Political Bureau Meeting mainly implemented established policies, with highlights possibly in structural monetary policy tools [100] - **Three - Horse Carriage** - **Investment**: Weak investment is due to the downward real - estate cycle, limited infrastructure investment space under local debt regulations, and insufficient effective demand restricting manufacturing expansion [3][110] - **Export**: The export structure is being improved. Non - US economies contribute significantly to export growth but with high volatility, and high - tech products are not the main support for exports [3][116] - **Consumption**: Constrained by weak income expectations and falling housing prices, consumption has room for improvement compared to developed economies, and top - level meetings have increased their emphasis on it [3][119][121] - **Monetary Policy** - With the issuance of special treasury bonds, monetary policy is gradually easing to cooperate with fiscal policy. In May, as a credit - off month, weak credit demand may lead to spontaneous easing [122][130] 3.4 Nested in the Macro - Prudential Interest Rate Downward Cycle - **Macro - background of the Interest Rate Downward Cycle** - Since 2021, the bond market yield has been in a downward cycle, driven by the shift of monetary credit from supply - constraint to demand - constraint, the change of economic endogenous momentum, and insufficient effective demand [4][134][137] - **Macro - Prudential Assessment** - The bond market is expanding, mainly driven by interest - rate bonds, and investors face more interest - rate risks. Current regulatory assessments focus more on credit expansion, lacking constraints on interest - rate and duration risks. Asset management product scale is increasing, and fixed - income asset allocation is strong. Banks and insurance institutions face the pressure of inverted liability costs and asset returns. Monetary easing is necessary but needs to balance internal and external factors and risks [4][142][155] - **Q2 Market Outlook** - In Q2, "macro - prudential" supervision may give way to loose trading. Monetary - fiscal cooperation may be prioritized to boost domestic demand and hedge external risks. The liquidity in Q2 is expected to be loose, and the bond - curve shape may change from flat to bull - steep [4]

Report Title - "The Divergence of Long - Short Term Spreads - Credit Spread Weekly Report (5/4)" [1][6] Report Industry Investment Rating - Not provided in the given content Core Viewpoints - From April 27th to April 30th, most bond yields declined. For 0.5 - 1Y industrial bonds, commercial bank second - tier capital bonds, securities company subordinated bonds, and securities company perpetual bonds, most yields dropped by over 2bp; for 0.5 - 1Y urban investment bonds and commercial financial bonds, most yields decreased by over 1bp; for 2Y industrial bonds and commercial financial bonds, most yields declined by over 1bp; the 2Y securities company subordinated bond yield rose by over 2bp; and the 3 - 5Y commercial financial bond yield dropped by over 2bp. Regarding credit spreads, the 0.5Y industrial bonds and commercial bank second - tier capital bond credit spreads mostly narrowed by over 5bp; the 1Y commercial bank second - tier capital bond credit spread narrowed by over 3bp; the 2Y securities company subordinated bonds and securities company perpetual bond credit spreads widened by over 3bp; and the 5Y urban investment bonds and industrial bond credit spreads mostly widened by over 2bp [2][6] Summary by Relevant Catalogs Yield and Spread Overview Yield and Spread of Each Maturity - Treasury bond yields at 0.5Y, 1Y, 2Y, 3Y, and 5Y were 1.47%, 1.46%, 1.45%, 1.48%, and 1.52% respectively, with weekly changes of - 3.5bp, 0.9bp, - 2.2bp, - 2.5bp, and - 2.2bp. Their historical quantiles were 11.9%, 13.2%, 8.7%, 6.2%, and 3.9% respectively. Similar data for other bond types such as national development bonds, local government bonds, etc., are also presented in detail [14] Credit Spread and Its Changes for Each Maturity - The 0.5Y, 1Y, 2Y, 3Y, and 5Y credit spreads of local government bonds were -, 12.01bp, 13.93bp, 14.34bp, and 14.37bp respectively, with weekly changes of -, 0.1bp, 0.2bp, - 1.5bp, and - 2.8bp. Their historical quantiles were -, 44.9%, 43.7%, 45.1%, and 38.6% respectively. Similar data for other bond types are also provided [16] Credit Bond Yields and Spreads by Category (Hermite Algorithm) Urban Investment Bonds by Region - In terms of yields, from April 27th to April 30th, most provincial urban investment bond yields declined. For example, the 5Y Guizhou urban investment bond yield dropped by about 35bp. In terms of credit spreads, the 0.5 - 1Y urban investment bond credit spreads mostly narrowed; the 2Y urban investment bond credit spreads mostly widened; the 3 - 5Y urban investment bond credit spreads showed differentiation, with the 3 - 5Y Guizhou urban investment bond credit spreads narrowing significantly [7] Industrial Bonds by Industry - From April 27th to April 30th, industrial bond yields generally declined. The 0.5 - 1Y industrial bond credit spreads generally narrowed, the 2 - 3Y industrial bond credit spreads showed differentiation, and the 5Y industrial bond credit spreads generally widened [7] Financial Bonds by Subject - From April 27th to April 30th, financial bond yields generally declined, with the 5Y city commercial bank second - tier capital bond yield dropping by about 55bp. The 0.5 - 1Y financial bond credit spreads generally narrowed, and the 2 - 5Y financial bond credit spreads showed differentiation [7] Credit Bond Yields and Spreads by Category (Balance Average Algorithm) Urban Investment Bonds by Region - Based on the balance average algorithm, from April 27th to April 30th, the 5Y Yunnan urban investment bond could target a return of over 3.2%, and the 5Y Qinghai urban investment bond could target a return of 3.0% or more. The 5Y Yunnan urban investment bond credit spread was significantly higher than that of medium - and short - term bonds, with high riding returns [8] Real Estate Private Enterprise Bonds - From April 27th to April 30th, the yields of real estate private enterprise bonds at all maturities were higher than those of other bond types, and the 0.5 - 1Y real estate private enterprise bond yields dropped by over 17bp [8] Financial Bonds - From April 27th to April 30th, the financial bond credit spreads generally narrowed, and the 3 - 5Y private securities company subordinated bonds could target a return of 4.7% or more [8]