发布时间：2025-08-26 研究所 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 研究助理:谢鹏 SAC 登记编号:S1340124010004 Email:xiepeng@cnpsec.com 近期研究报告 《风险偏好如何定价？——流动性周 报 20250824》 - 2025.08.25 证券研究报告：固定收益报告 固收周报 长久期中低评级产业债流动性下降 ——流动性打分周报 20250825 ⚫ 核心解读 本周报以 qb 的债券资产流动性打分为基础，跟踪不同债券板块 个券的流动性得分情况。 城投债方面，分区域看，江苏高等级流动性债项数量有所增加， 四川、天津、重庆整体维持，山东有所减少。分期限看，1 年以内、 2-3 年期高等级流动性债项数量有所增加，1-2 年期整体维持，3-5 年 和 5 年期以上有所减少。从隐含评级看，隐含评级为 AA(2)的高等级 流动性债项数量有所增加，隐含评级为 AA+的高等级流动性债项数量 整体维持，隐含评级为 AAA、AA、AA-的高等级流动性债项数量有所减 少。 产业债方面，分行业看，公用 ...

固定收益 | 动态跟踪 补跌后骑乘空间增大，继续挖掘中短端城 投 信用债市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗误 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或请与您的投资代表联系。并请阅读本证券研究报告最后一页的免责申明。 ⚫ 上周短信用负面情绪集中释放，补跌后市场态度纠结，担忧之余也在考虑收益率逢 高增配。上周信用债估值全面调整且有明显补跌，尤其是周一短端信用跌幅较大， 看空情绪出现集中释放，后半周相对稳定，但信用利差走阔的幅度未得到修复。前 期基金赎回压力并未向上传导至银行理财，主因短信用估值相对偏稳、对理财产品 业绩影响有限，但在周一信用明显补跌后市场担忧情绪开始提升。但另一方面，市 场也在考虑在短端负面情绪集中释放后可以开始增配，理由有三：一是短信用依然 是确定性最强的品种，毕竟当前市场对待久期依然非常谨慎，关注度也主要在权益 类资产；二是配置需求仍在，如业绩较好的固收+基金规模有所扩大，纯债部分也多 配置短端信用品种；三是资金面宽松，税期扰动结束后资金整体平稳。 ⚫ 策略上，我 ...

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 ...

信用债周策略 20250824 当前怎么看待信用债 ETF 2025 年 08 月 24 日 ➢ 当前怎么看待信用债 ETF 科创债 ETF 上市以来大部分交易日的日度资金呈现净流入状态，而基准做市信 用债 ETF 的日度资金则大多为净流出状态。8 只基准做市信用债 ETF 于年初上 市，截至 7 月 23 日前整体申购情况较为稳定，每日基本都有资金净流入，自 7 月 23 日开始债市行情走弱，基准做市信用债 ETF 的资金连续出现三天大额净流 出，合计规模超 50 亿元，其中 7 月 24 日的单日净流出规模最大，为 25 亿元。 科创债 ETF 方面，上市当日市场资金大额流入，10 只科创债 ETF 的单日资金净 流入额在 474 亿元左右，上市两日资金净流入超 660 亿元，随后日度资金流入 势头明显放缓，申购情况趋于稳定。7 月 17 日以来至今，8 只基准做市信用债 ETF 的资金净流出规模为 77 亿元，而科创债 ETF 的资金净流入规模为 918 亿 元，可能存在基准做市信用债 ETF 的申购资金被分流到科创债 ETF 的情况。 2025 年以来的三轮调整中，大部分信用债 ETF 的赎回压力可控 ...

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation of 253 billion yuan at a fixed rate of 1.40% on August 21, with a total bid amount of 253 billion yuan and a successful bid amount of 253 billion yuan. The net injection for the day was calculated to be 124.3 billion yuan after accounting for 128.7 billion yuan of reverse repos maturing on the same day [1][2]. Group 2: Funding Conditions - The interbank market showed an overall easing of funding conditions, with a decline in overnight and 7-day repo weighted rates. The overnight rate was around 1.45%, while the latest overnight quotes for non-bank institutions were approximately 1.53%. The DR001 weighted rate decreased by about 1 basis point to 1.46%, and the DR007 weighted rate fell by over 5 basis points [3]. Group 3: Interbank Certificates of Deposit - The latest transaction for one-year interbank certificates of deposit was around 1.67%, showing little change from the previous day [9]. Group 4: Government Bond Futures - Most government bond futures closed higher, with the 30-year main contract rising by 0.34%, the 10-year main contract increasing by 0.06%, and the 5-year main contract also up by 0.06%. The 2-year main contract remained flat [13]. Group 5: Key News and Developments - The State Administration of Foreign Exchange decided to pilot green foreign debt business in 16 provinces and cities, encouraging non-financial enterprises to use cross-border financing for green or low-carbon transformation projects [14]. - The Ministry of Finance indicated that about 70% of existing PPP projects have entered the operational phase, suggesting that there is room for reasonable interest rate reductions and extensions for existing project loans [14]. - The Hainan Free Trade Port's cross-border asset management pilot has been launched, focusing on supporting foreign investors in investing in financial products issued by financial institutions in Hainan [14].

政府债周报 广义赤字边际提速 政府债净融资第 33 周（8/11-8/17）2009 亿，第 34 周（8/18-8/24）5607 亿。截至第 33 周（8/11-8/17）累计 9.8 万亿，超出去年同期 4.6 万亿。 国债净融资+新增地方债发行第 33 周（8/11-8/17）2640 亿，第 34 周 （8/18-8/24）6007 亿。截至第 33 周（8/11-8/17）广义赤字累计 8.0 万亿，进度 67.2%。 国债第 33 周（8/11-8/17）净融资 2146 亿，第 34 周（8/18-8/24）3519 亿。截至第 33 周（8/11-8/17）累计 4.6 万亿，进度 68.4%。 地方债净融资第 33 周（8/11-8/17）-137 亿，第 34 周（8/18-8/24）2088 亿。截至第 33 周（8/11-8/17）累计 5.2 万亿，超出去年同期 2.8 万亿。 新增一般债第 33 周（8/11-8/17）303 亿，第 34 周（8/18-8/24）95 亿。 截至第 33 周（8/11-8/17）累计 5759 亿，进度 72.0%。 新增专项债第 33 周（8 ...

城投债投资框架之四 短期定价的关键变量与高频数据 2025 年 08 月 21 日 ➢ 影响城投债定价策略的短期因素：从短期视角（期限 0-1 年）来看，城投平 台层级、融资能力、市场情绪、投资主体是主要考量因素。还有一些短期变量， 也会在较短时间内影响利率债与城投债的估值波动。例如，每年全国"两会"正 式公布的"赤字率"及"广义财政赤字"，当年的新增地方一般债、新增地方专 项债与超长期特别国债情况，都需要特别重视，其对城投平台所在区域的影响可 能会比较大。尤其是这些国债与地方债分配给各省市区县的额度，以及是否能够 用于置换地方各种类型债务，都可能会在短期影响城投债的定价策略。 ➢ 特定时间召开的会议或影响短期估值定价：每个月的国务院常务会议、每个 季度召开的中央政治局会议，特定时间召开的全国"两会"、党中央"全体会议"、 地方"两会"与中央经济工作会议，以及不定期召开的中央城市工作会议、中央 金融工作会议等，也可能会出台新的政策或方案，或对各省市区县的当前经济发 展情况与财政收入产生"边际变化影响"，从而最终影响地方政府在未来的工作 内容与行为方式，也需要高度重视。 ➢ 行政层级影响短期估值定价："城投平台 ...

Financing Overview - Government debt net financing for week 33 (8/11-8/17) was 200.9 billion, and for week 34 (8/18-8/24) it was 560.7 billion, totaling 980 billion by week 33, exceeding last year's 460 billion[1] - The cumulative general deficit reached 8.0 trillion, with a progress rate of 67.2% as of week 33[5] - National debt net financing for week 33 was 214.6 billion, and for week 34 it was 351.9 billion, with a cumulative total of 4.6 trillion, achieving 68.4% of the annual target[6] Local Government Debt - Local government debt net financing for week 33 was -13.7 billion, while week 34 saw 208.8 billion, with a cumulative total of 5.2 trillion, surpassing last year's 2.8 trillion[8] - New general bonds issued amounted to 30.3 billion in week 33 and 9.5 billion in week 34, with a cumulative total of 575.9 billion, achieving 72.0% of the annual target[8] Special Bonds and Other Debt - New special bonds issued in week 33 were 19.0 billion, and in week 34, they surged to 239.3 billion, with a cumulative total of 2.8 trillion, reaching 64.5% of the annual target[12] - Special refinancing bonds issued in week 33 were 1.2 billion, and in week 34, they increased to 24.5 billion, with a cumulative total of 1.9 trillion, achieving 94% of the issuance target[24] - City investment bonds saw net financing of -6.2 billion in week 33 and an estimated -23.5 billion in week 34, with a total balance of 10.2 trillion[29]

Overall Summary - **Report Period**: August 11 - August 17, 2025 [1][11] - **Investment Rating**: Not provided - **Core View**: The issuance guidance rates from the Dealer Association showed a differentiated trend, with high - grade rates rising and medium - low - grade rates falling. Credit bond issuance volume decreased, and net financing turned negative. Secondary - market trading volume declined, yields rose, and credit spreads showed mixed trends. Currently, the allocation cost - effectiveness is low. In the long run, yields are in a downward channel, but due to high prices, the allocation pace can be slowed. For relative returns, credit - sinking and duration - stretching are not cost - effective, and high - grade short - term bonds can be considered for defense [1][60] 1. Primary Market 1.1 Issuance and Maturity Scale - Total credit bonds issued 350 with an amount of 260.56 billion yuan, a 29.04% decrease from the previous period. Net financing was - 12.116 billion yuan, a decrease of 203.684 billion yuan [11] - Enterprise bonds had zero issuance with a net financing of - 16.575 billion yuan, a decrease of 11.059 billion yuan [11] - Corporate bonds issued 126 with an amount of 96.654 billion yuan, an 8.73% increase; net financing was 43.48 billion yuan, an increase of 10.703 billion yuan [11] - Medium - term notes issued 116 with an amount of 92.57 billion yuan, a 43.70% decrease; net financing was 20.422 billion yuan, a decrease of 92.531 billion yuan [11] - Short - term financing bills issued 91 with an amount of 61.219 billion yuan, a 39.28% decrease; net financing was - 52.858 billion yuan, a decrease of 104.478 billion yuan [11] - Private placement notes issued 17 with an amount of 9.613 billion yuan, a 22.10% decrease; net financing was - 6.585 billion yuan, a decrease of 6.319 billion yuan [11] 1.2 Issuance Interest Rates - The issuance guidance rates from the Dealer Association showed a high - grade up and medium - low - grade down trend, with a change range of - 3 BP to 2 BP [1][15] - For 1 - year terms, the rate change was between - 1 BP and 2 BP; for 3 - year terms, between - 2 BP and 2 BP; for 5 - year terms, between - 3 BP and 2 BP; for 7 - year terms, between - 3 BP and 2 BP [15] - For key AAA and AAA grades, the rate change was between 0 BP and 2 BP; for AA + grade, between - 1 BP and 1 BP; for AA grade, between - 3 BP and - 1 BP; for AA - grade, between - 3 BP and - 2 BP [15] 2. Secondary Market 2.1 Market Trading Volume - Total credit - bond trading volume was 775.373 billion yuan, a 7.29% decrease from the previous period [19] - Enterprise bonds, corporate bonds, and medium - term notes' trading volumes decreased, while short - term financing bills and private placement notes' trading volumes increased [1][19] 2.2 Credit Spreads - For medium - and short - term notes, most credit spreads narrowed, especially for 5 - year terms, except for the 3 - year AAA - grade spread which widened [22][25] - For enterprise bonds, most credit spreads narrowed, especially for 5 - year terms, except for the 3 - year AA + grade which remained unchanged [29] - For urban investment bonds, credit spreads showed a differentiated trend. 1 - year and 5 - year spreads generally narrowed, while 3 - year and 7 - year spreads generally widened [1][39] 2.3 Term Spreads and Rating Spreads - For AA + medium - and short - term notes, 3Y - 1Y, 5Y - 3Y, and 7Y - 3Y term spreads widened. Rating spreads for 3 - year medium - and short - term notes generally narrowed [47] - For AA + enterprise bonds, 3Y - 1Y and 7Y - 3Y term spreads widened, 5Y - 3Y narrowed. Rating spreads for 3 - year enterprise bonds had mixed trends [52] - For AA + urban investment bonds, 3Y - 1Y and 7Y - 3Y term spreads widened, 5Y - 3Y narrowed. Rating spreads for 3 - year urban investment bonds had mixed trends [53] 3. Credit Rating Adjustment and Default Bond Statistics 3.1 Credit Rating Adjustment - No company rating (including outlook) adjustments during the period [58] 3.2 Default and Extension Bonds - No credit - bond defaults or extensions during the period [59] 4. Investment Views Credit Bonds - From an absolute - return perspective, supply shortages and strong allocation demand support credit bonds. Although fluctuations are inevitable, yields are in a downward channel in the long run. Due to high prices, the allocation pace can be slowed, and bonds can be added during adjustments. Pay attention to interest - rate bond trends and coupon values. Consider bonds of relevant entities underperforming in the Sci - tech Innovation Bond ETF [1][60] - From a relative - return perspective, since rating spreads are at historical lows, credit - sinking and duration - stretching are not cost - effective. High - grade short - term bonds can be used for defense [1][60] Real Estate Bonds - With the real - estate market gradually stabilizing, high - risk - appetite funds can consider early layout, focusing on the balance between risk and return. Allocate to central and state - owned enterprises with stable historical valuations and high - quality private - enterprise bonds with strong guarantees. Long - term allocation can increase returns, and trading opportunities from undervalued real - estate bonds can be explored [2][62] Urban Investment Bonds - In the context of stable growth and prevention of systemic risks, the probability of urban investment bond defaults is low. They can still be a key allocation for credit bonds. The short - term credit risk is low, and the current strategy can be positive. However, during the process of local financing platform clearance and transformation, some urban investment bonds may face valuation fluctuations. Future opportunities in the reform and transformation of "entity - type" financing platforms can be monitored [2][62]