Group 1 - The report focuses on how to accurately and finely track the institutional trading behavior of perpetual bonds from the limited available data dimensions [1][10] - "Other" bonds mainly refer to commercial bank ordinary bonds, secondary capital bonds, and PPN, excluding other separately listed interbank bond types [1][10] - The trading data and transaction data roughly correspond to three categories: commercial bank bonds, perpetual bonds, and PPN [1][10] Group 2 - For bonds with a maturity of less than 5 years, over 85% are commercial bank bonds and PPN, with commercial bank bonds accounting for about 50% and PPN for about 35% [2][12] - The remaining portion includes a small amount of TLAC bonds and perpetual bonds [2][12] - For bonds with a maturity of more than 5 years, approximately 90% to 95% are secondary capital bonds and perpetual bonds, with a small amount of TLAC bonds and PPN [3][23] Group 3 - Bank perpetual bonds are primarily classified as "other" bonds with a maturity of over 30 years, showing a high correlation in scale and trend with the trading volume of bank perpetual bonds [4][26] - Secondary capital bonds are the main component of "other" bonds with maturities between 5 to 15 years, with a significant correlation observed in the 7-10 year and 10-15 year maturity segments [5][31] - The issuance period of secondary capital bonds is generally structured as 5+5 years or 10+5 years, leading to a fixed difference of 5 years between the exercise period and maturity period [5][40]

Report Industry Investment Rating - Not provided in the given content Core View - In May, the bond market showed differentiation. Interest rate bonds mostly had rising yields, while credit bonds generally had falling yields. There was no obvious α in the industry dimension of credit bonds, a significant negative α in 10 - year - plus treasury bonds, and a certain α in insurance company bonds. Among public bond funds, hybrid bond - type secondary funds had the leading average increase in May [1][2][10]. Summary by Relevant Catalogs 1. Each Variety Yield Panorama - In May, the bond market performance was differentiated. For interest rate bonds, the yields of treasury bonds and China Development Bank bonds increased by an average of 4BP, and the yields of local government bonds decreased by an average of 1BP. For credit bonds, almost all credit bond varieties had falling yields, with the 7 - year, AA + and below implicit - rated commercial bank ordinary bonds having the largest yield decline of 19BP on average [11]. - As of May 31, the historical percentile levels of interest rate bond yields were relatively high, especially for short - term varieties. Most interest rate bond varieties had a three - year historical percentile level of over 8%, and the 1 - year treasury bond had the highest three - year historical percentile of 20%. For credit bonds, low - grade long - term financial bond varieties had relatively high historical percentile levels of yields, with the 7 - year, 10 - year, and 5 - year AA - bank secondary capital bonds having the top three percentile levels of 18%, 17%, and 15% respectively [13]. 2. Industry Alpha Tracking - In the industry dimension, credit bonds in various industries generally rose in May, with an average net - price change of 0.14%. The increases in each industry were relatively balanced, and there was no obvious α. The mining and financial industries had relatively small increases of 0.09% and 0.07% respectively [17]. - In the real - estate bond sector, AAA - rated and public - enterprise real - estate bonds had obvious positive α in May. The average net - price increase of AAA real - estate bonds was 0.18%, significantly higher than other real - estate bond varieties. Public - enterprise bonds had an average increase of 1.38%, far higher than other enterprise - type real - estate bonds. The top - rising bond was Vanke Bond with a net - price increase of about 4%, while the top - falling bonds were 24 Lianfa MTN004 and 22 Longhu 03, with net - price decreases of 0.56% and 4.48% respectively [21]. - In the urban investment bond sector, all regional urban investment bonds had rising net prices in May, with an overall increase of 0.15%. Hebei and Tianjin had obvious positive α, with average increases of 0.23% and 0.22% respectively. Guangxi had the smallest increase of 0.06%. AA - urban investment bonds had negative α, with an average net - price decrease of 0.02% [28]. - In the financial bond sector, there was little difference in the net - price changes of financial bonds of various ratings and types in May, and no obvious α appeared. The top - rising bonds were 24 Yuandong IV, 24 Yuandong Leasing MTN005, and 25 Ganzhou Leasing 01, with net - price increases of 1.03%, 1.03%, and 0.84% respectively. The top - falling bonds were 21 Shenzhen Jushenghua 02 and 21 Shenzhen Jushenghua 01, with net - price decreases of 6.55% and 6.69% respectively [31]. 3. Term Alpha Tracking - In May, 10 - year - plus treasury bonds had a significant negative α. The change rate of 10 - year - plus treasury bonds in May was - 1.5%, significantly higher than other interest rate bond varieties. The reasons were that the yield increase of ultra - long - term interest rate bonds in May exceeded other term varieties, and the yield increase of ultra - long - term treasury bonds was significantly higher than that of local government bonds [37]. - Among long - term representative bonds, the ultra - long - term credit bond 23 Sanxia K2 led the increase in May, with a monthly increase of 0.49% [42]. 4. Sub - Alpha Tracking - In May, insurance company bonds had a certain α. The average increase of insurance company bonds in May was 0.1%, 0.03% higher than that of commercial bank ordinary bonds and sub - bonds. The α of insurance company bonds mainly came from the fact that the yield decline of insurance capital supplementary bonds within 7 years in May was greater than that of commercial bank bonds and sub - bonds, and the long - term bond scale of these three varieties was relatively small, so short - and medium - term interest rate fluctuations had a more significant impact on the overall price [44]. 5. May Public Bond Fund Ranking - In May, hybrid bond - type secondary funds led other types of public bond funds in average change rate. The average change rate of hybrid bond - type secondary funds was 0.41%, that of hybrid bond - type primary funds was 0.27%, that of short - term pure - bond funds was 0.18%, and that of medium - and long - term pure - bond funds was 0.12% [47].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Without considering coupon income, in the industry dimension, real estate bonds had a positive alpha with an average price change of 0.09%, leading other industry bonds in gains; transportation bonds had a negative alpha with an average price change of -0.01%, being the only industry bonds with a net price decline. In the term dimension, interest rate bonds with a maturity of over 10 years in March had a certain negative alpha. In the sub - category dimension, commercial bank ordinary bonds had an obvious alpha in March [1][2][11]. Summary by Directory 1. Overview of Yields of Various Bond Types - In March, the bond market showed a divergent trend, with the yields of short - and medium - term credit bonds declining significantly. For interest rate bonds, yields generally increased, with the average yield of treasury bonds rising by 9BP, that of China Development Bank bonds by 5BP, and that of local government bonds by 12BP. For credit bonds, the yields of all credit bond types with a maturity of 3 years or less declined, and the implied AA - rated 1 - year urban investment bonds had the largest decline in yield, with an average decline of 23BP [2][12]. - As of March 31, short - term interest rate bonds had relatively high historical yield percentile levels. Among them, the 1 - year treasury bonds and local government bonds had their three - year historical yield percentiles rising to 22% and 25% respectively. For credit bonds, low - grade long - term financial bonds had relatively high historical yield percentile levels, with the three - year historical yield percentiles of 7 - year AA - rated bank secondary capital bonds and bank perpetual bonds being 19% and 21% respectively [15]. 2. Industry Alpha Tracking - In the industry dimension, most industry credit bonds generally rose in March, with an average net price change of 0.04%. The real estate industry had a positive alpha, with an average bond price change of 0.09%, leading other industries in gains; the transportation industry had a negative alpha, with an average bond price change of -0.01%, being the only industry with a net price decline [2][18]. - In terms of real estate bonds, public enterprise bonds had an obvious negative alpha in March, with an average price change of -0.41% mainly due to the significant decline of several Vanke bonds. The top - gainers in March were 21 Longhu Expansion MTN001 (Project Income), 21 Vanke 04, and 24 Binjiang Real Estate MTN004, with net prices rising by 12%, 1.7%, and 1.5% respectively; the top - losers were H20 CIFI 2 and H21 CIFI 2, with net prices falling by 5.2% and 5.3% respectively [20]. - For urban investment bonds, those in Beijing and Tianjin had an obvious positive alpha in March, while those in Guangxi had a negative alpha. The average price changes of urban investment bonds in Beijing and Tianjin in March were both 0.11%, being the regions with the largest gains; the average price change of urban investment bonds in Guangxi in March was -0.08%, being the region with the largest decline. The overall price change of urban investment bonds in March was 0.03% [28]. - In terms of financial bonds, there was little difference in the net price changes of financial bonds of various ratings and types in March, and no obvious alpha was observed. The top - gainers were 24 Datong C2, 25 Donghai C1, and 25 Yixin Leasing PPN001, with net prices rising by 0.9%, 0.7%, and 0.6% respectively; the top - losers were 24 Kunpeng Investment MTN004B and 24 Kunpeng Investment MTN003, with net prices falling by 1.6% and 1.9% respectively [30]. 3. Term Alpha Tracking - Interest rate bonds with a maturity of over 10 years in March had a certain negative alpha. The price changes of treasury bonds, policy - financial bonds, and local government bonds with a maturity of over 10 years in March were -2.03%, -1.35%, and -1.1% respectively, significantly exceeding the decline of other term interest rate bond varieties. The reasons were that the yield increase of ultra - long - term bonds in March was significantly higher than that of short - term varieties, and the duration leverage of ultra - long - term bonds was relatively high, resulting in a more significant price decline due to the yield increase [2][36]. - Among the representative long - term bonds, the 23 Treasury Bond 07 had the largest decline in March, with a monthly decline of 2.64% [40]. 4. Sub - category Alpha Tracking - Commercial bank ordinary bonds had an obvious alpha in March. Data showed that commercial bank ordinary bonds rose by an average of 0.07% in March, while the average price changes of commercial bank sub - bonds and insurance company bonds were negative. The yields of commercial bank bonds and insurance company bonds in March showed obvious term characteristics, with the yields of short - and medium - term varieties declining and those of long - term varieties rising. Compared with other sub - bond varieties, commercial bank ordinary bonds had a relatively short duration, which was the main reason for their positive alpha in March [3][42]. 5. Ranking of Public Bond Funds in March - Short - term pure bond funds led other types of public bond funds in average price change in March. The average price change of short - term pure bond funds in March was 0.23%, that of medium - and long - term pure bond funds was 0.12%, that of hybrid bond - type secondary funds was 0.08%, and that of hybrid bond - type primary funds was 0.08% [3][47].