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 ...

证券研究报告 债券研究 [Table_ReportType] 专题报告 | ] [Table_A 李一爽 uthor固定收益首席分析师 | | --- | | 执业编号：S1500520050002 | | 联系电话：+86 18817583889 | | 邮 箱： liyishuang@cindasc.com | 朱金保 固定收益分析师 执业编号：S1500524080002 联系电话：+86 15850662789 联系电话：+86 15850662789 邮 箱： zhujinbao@cindasc.com 流动性收紧叠加情绪冲击 信用利差全面走高 —— 信用利差周度跟踪 20250823 [[Table_R Table_Report eportTTime ime]] 2025 年 8 月 23 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 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦B 座 邮编：100031 3流动性收紧叠加情绪冲击 信用利差全面走高 [Table_Repo ...

Core Viewpoint - The banking industry in China has shown resilience and stability in the first half of the year, with key indicators such as non-performing loan ratio, provision coverage ratio, and capital adequacy ratio remaining stable and improving, indicating a strong capacity to resist risks and support the real economy [2][6]. Group 1: Banking Industry Performance - As of mid-year, total assets of banking financial institutions reached 467.3 trillion yuan, a year-on-year increase of 7.9%, with large commercial banks' total assets at 204.2 trillion yuan, growing by 10.4% [1]. - The non-performing loan balance for commercial banks was 3.4 trillion yuan, a decrease of 24 billion yuan from the previous quarter, with a non-performing loan ratio of 1.49%, down by 0.02 percentage points [7]. Group 2: Support for the Real Economy - The balance of inclusive micro-enterprise loans reached 36 trillion yuan, growing by 12.3% year-on-year, while inclusive agricultural loans amounted to 13.9 trillion yuan, increasing by 1.1 trillion yuan since the beginning of the year [3]. - Large commercial banks played a significant role in supporting the real economy, with their inclusive micro-enterprise loan balance exceeding 16 trillion yuan, accounting for a higher proportion of the total industry loans [4]. Group 3: Operational Efficiency and Cost Management - The banking sector has improved operational efficiency, with the cost-to-income ratio at 30.2%, a decrease of 5.3 percentage points from the previous year, and non-interest income ratio rising to 25.75%, an increase of 3.33 percentage points [5]. - The net interest margin remained stable at 1.42%, with a slight decrease of 0.01 percentage points from the first quarter [5]. Group 4: Risk Management and Capital Adequacy - The banking sector has increased provisions and improved asset disposal efforts, with new provisions totaling 1.1 trillion yuan, an increase of 579 billion yuan year-on-year, and non-performing asset disposals reaching 1.5 trillion yuan, up by 1.236 trillion yuan [7]. - Capital adequacy ratios showed improvement, with the overall capital adequacy ratio at 15.58%, up by 0.30 percentage points from the previous quarter [7].

Core Viewpoint - The banking industry shows a strong resilience and improved operational efficiency, with total assets increasing by nearly 8% year-on-year, indicating a stable and positive trend in the sector [1] Group 1: Asset Growth and Financial Stability - As of mid-2023, the total assets of banking financial institutions reached 467.3 trillion yuan, a year-on-year increase of 7.9%, with large commercial banks' assets growing by 10.4% to 204.2 trillion yuan [1] - The non-performing loan (NPL) ratio stands at 1.49%, a decrease of 0.02 percentage points from the previous quarter, reflecting overall stability in asset quality [5] Group 2: Support for the Real Economy - The balance of inclusive micro and small enterprise loans reached 36 trillion yuan, growing by 12.3% year-on-year, while inclusive agricultural loans increased by 1.1 trillion yuan to 13.9 trillion yuan [2] - Large commercial banks accounted for over 16 trillion yuan of the inclusive micro and small enterprise loans, with a year-on-year increase of 13.84%, leading the industry in loan growth [3] Group 3: Operational Efficiency and Cost Management - The cost-to-income ratio for commercial banks improved to 30.2%, a decrease of 5.3 percentage points compared to the previous year, indicating enhanced operational efficiency [4] - Non-interest income as a proportion of total income rose to 25.75%, an increase of 3.33 percentage points since the end of last year, showing a positive trend in diversifying income sources [4] Group 4: Credit Risk Management - The banking sector has proactively managed credit risks, with new provisions totaling 1.1 trillion yuan, an increase of 579 billion yuan year-on-year, and the disposal of non-performing assets reaching 1.5 trillion yuan, up by 1.236 trillion yuan [5] - Capital adequacy ratios improved, with the overall capital adequacy ratio at 15.58%, up 0.30 percentage points from the previous quarter [5] Group 5: Capital Expansion - The issuance of subordinated debt and perpetual bonds by commercial banks has exceeded 1 trillion yuan this year, indicating a strong push for external capital [6] - Major banks have issued total loss-absorbing capacity (TLAC) bonds to meet regulatory requirements, with total issuance amounts of 800 billion yuan for Bank of China and Agricultural Bank of China, and 700 billion yuan for Bank of Communications [6]

Core Insights - The banking industry in China has shown resilience and stability in the first half of the year, with total assets reaching 467.3 trillion yuan, a year-on-year increase of 7.9% [1] - Major commercial banks have played a significant role in supporting the real economy, with inclusive small and micro enterprise loans growing by 12.3% year-on-year [2] - The overall asset quality of commercial banks remains stable, with non-performing loan (NPL) ratios decreasing slightly [4] Group 1: Banking Industry Performance - As of mid-year, total assets of banking financial institutions reached 467.3 trillion yuan, with large commercial banks accounting for 204.2 trillion yuan, reflecting a growth of 10.4% [1] - The non-performing loan balance stood at 3.4 trillion yuan, with an NPL ratio of 1.49%, showing a slight decrease from the previous quarter [4] - Capital adequacy ratios improved, with the overall capital adequacy ratio at 15.58%, up 0.30 percentage points from the previous quarter [4] Group 2: Support for the Real Economy - Inclusive small and micro enterprise loans reached 36 trillion yuan, marking a 12.3% increase year-on-year, with large commercial banks holding over 16 trillion yuan of this total [2] - Agricultural loans also saw growth, with a balance of 13.9 trillion yuan, increasing by 1.1 trillion yuan since the beginning of the year [2] Group 3: Operational Efficiency and Profitability - The cost-to-income ratio for commercial banks improved to 30.2%, a decrease of 5.3 percentage points from the previous year [3] - Non-interest income as a percentage of total income rose to 25.75%, an increase of 3.33 percentage points since the end of last year [3] - The net interest margin remained stable at 1.42%, with a slight decrease of 0.01 percentage points from the first quarter [3] Group 4: Capital and Risk Management - The banking sector has been actively expanding its capital base, with over 1 trillion yuan raised through subordinated debt and perpetual bonds this year [5] - Major banks have issued total loss-absorbing capacity (TLAC) bonds to meet regulatory requirements, with issuance amounts of 800 billion yuan for Bank of China and Agricultural Bank of China, and 700 billion yuan for Bank of Communications [5]

Group 1 - In July, China's social financing scale increased by 1.16 trillion yuan, down from 4.20 trillion yuan in the previous month [1] - The new loans to the real economy in July were negative at -0.43 trillion yuan, compared to 2.36 trillion yuan previously [1] - For the first seven months of 2025, the total social financing scale increased to 23.99 trillion yuan, up from 22.83 trillion yuan in the same period last year [1] Group 2 - The personal consumption loan market is seeing increased demand, with banks offering loans at a minimum interest rate of 3%, and rates for quality clients expected to drop to the "2" range following the implementation of a new subsidy policy [2] - Major state-owned banks and several joint-stock banks are participating in the consumption loan subsidy program, with some banks planning to implement these measures by September 1 [2] Group 3 - The Shanghai Composite Index reached a four-year high of 3682 points, while long-term government bond yields experienced significant volatility, with the 30-year bond yield touching 1.99% [3] - The bond market is undergoing adjustments, with the 10-year government bond yield rising approximately 12 basis points since its low point [3] Group 4 - The Financial Times cautioned against overemphasizing monthly credit data fluctuations, suggesting that such data may not accurately reflect the economic activity or the financial support for the real economy [4] - Financial institutions are encouraged to adapt their strategies to the changing economic landscape, focusing on effective credit demand in emerging sectors [4] Group 5 - Longfor Group announced the early redemption of 2 billion yuan of its medium-term notes, with a coupon rate of 3.00% [5] Group 6 - Road King Infrastructure Limited has suspended all offshore debt payments due to insufficient consent from bondholders for proposed amendments [6][7] Group 7 - The issuance of perpetual bonds by banks has exceeded 1 trillion yuan this year, driven by the need for capital replenishment amid economic pressures [8] Group 8 - Gold prices have recently declined, falling below the $3400 mark, influenced by the easing of tariff concerns [9] - The gold price fluctuated around $3365 after a brief recovery [9] Group 9 - Thirteen wealth management companies reported mixed performance in their asset management business, with some experiencing significant growth while others saw declines [10] Group 10 - Geely's financing leasing company reported a net loss of 157 million yuan in the first half of 2025, with a significant increase in credit impairment losses [11] Group 11 - The U.S. Treasury Secretary indicated a high likelihood of a 50 basis point rate cut by the Federal Reserve in September, citing weak employment data [12] Group 12 - The cost of default insurance for euro-denominated junk bonds has dropped to its lowest level in over three years, reflecting increased investor interest in risk assets [13][14]

Report Industry Investment Rating No relevant information provided Core View of the Report - Price growth remains weak, and the policy bottom - support effect is emerging. The price recovery in July shows the characteristics of "consumption stronger than production, and policy - driven repair". The marginal improvement in price data in July, with CPI turning positive month - on - month and the narrowing of PPI decline, is closely related to the intensive implementation of "anti - involution" policies and the continuous efforts of domestic demand expansion policies since July [2][9][86]. - The continuous rise of core CPI inflation may indicate that the domestic demand expansion policy's bottom - support effect on domestic demand is gradually emerging, while the narrowing of PPI decline may rely more on the policy's regulation of the supply - side competition order, and the impact of the substantial expansion of the demand side needs continuous observation [2][10][86]. Summary by Relevant Catalogs 1. Macro - level News - In July, CPI was flat year - on - year, mainly affected by low food prices. Core CPI excluding food and energy prices was up 0.8% year - on - year, with the increase expanding for three consecutive months. CPI was up 0.4% month - on - month, higher than the seasonal level by 0.1 pct, mainly driven by the rise in service and industrial consumer goods prices [12]. - In July, PPI was down 3.6% year - on - year, the same as last month. PPI was down 0.2% month - on - month, with the decline narrowing by 0.2 pct compared to last month, the first narrowing of the month - on - month decline since March. The price recovery of production materials mainly occurred in July [15]. - In the first seven months of 2025, China's total value of goods trade imports and exports was 25.7 trillion yuan, up 3.5% year - on - year. Exports were 15.3 trillion yuan, up 7.3% year - on - year; imports were 10.39 trillion yuan, down 1.6% year - on - year, with the decline narrowing by 1.1 pct compared to the first six months. In July, the total value of goods trade imports and exports was 3.9 trillion yuan, up 6.7% year - on - year. Exports were 2.3 trillion yuan, up 8% year - on - year; imports were 1.6 trillion yuan, up 4.8% year - on - year [17]. 2. Meso - level High - frequency Data 2.1 Consumption - As of July 31, the average daily retail volume of passenger car manufacturers was 9.7 million vehicles, down 0.8% year - on - year, and the average daily wholesale volume was 17.2 million vehicles, up 1.3% year - on - year. As of August 8, the total box office revenue of national movies in the past 7 days was 168,932,800 yuan, up 98.5% year - on - year [20]. - As of August 1, the total retail volume of three major household appliances was 1.739 million units, down 3.7% year - on - year, and the total retail sales were 4.05 billion yuan, up 2.7% year - on - year [22]. 2.2 Transportation - As of August 3, the port's container throughput was 5.68 million twenty - foot equivalent units, down 7.0% year - on - year. As of August 7, the average subway passenger volume in first - tier cities in the past 7 days was 3,934,400 person - times, down 1.3% year - on - year [25]. - As of August 3, the postal express pick - up volume was 3.6 billion pieces, up 14.6% year - on - year. The railway freight volume was 77.694 million tons, up 6.5% year - on - year, and the highway truck traffic volume was 5.2593 million vehicles, up 2.8% year - on - year [27][31]. 2.3 Industrial Operating Rates - As of August 6, the blast furnace operating rate of major steel enterprises was 77.5%, up 3.4 pct year - on - year. As of August 7, the average asphalt operating rate was 25.0%, up 2.0 pct year - on - year [34]. - As of August 7, the soda ash operating rate was 85.2%, down 4.8 pct year - on - year, and the PVC operating rate was 75.5%, up 0.1 pct year - on - year. As of August 8, the average PX operating rate was 82.0%, and the average PTA operating rate was 76.8% [37]. 2.4 Real Estate - As of August 7, the total commercial housing transaction area in 30 large and medium - sized cities in the past 7 days was 1.392 million square meters, down 17.8% year - on - year. The total number of commercial housing transactions was 15,625 units, down 15.5% year - on - year [41][43]. 2.5 Prices - As of August 8, the average wholesale price of pork was 20.4 yuan/kg, down 21.2% year - on - year and 0.8% compared to four weeks ago; the average wholesale price of vegetables was 4.6 yuan/kg, down 16.9% year - on - year and up 4.1% compared to four weeks ago; the average wholesale price of six key fruits was 7.0 yuan/kg, down 4.3% year - on - year and 4.5% compared to four weeks ago [48]. - As of August 8, the average price of thermal coal at northern ports was 665 yuan/ton, down 21.7% year - on - year and up 7.8% compared to four weeks ago; the average spot price of WTI crude oil was 65.4 US dollars/barrel, down 11.9% year - on - year and 3.3% compared to four weeks ago; the average spot price of rebar was 3,328.1 yuan/ton, up 4.23% year - on - year and 6.5% compared to four weeks ago [51]. - As of August 8, the average spot price of iron ore was 786.5 yuan/ton, down 0.9% year - on - year and up 5.7% compared to four weeks ago; the average spot price of glass was 15.2 yuan/square meter, down 11.9% year - on - year and up 8.2% compared to four weeks ago [56]. 3. Bond and Foreign Exchange Markets - On August 8, overnight Shibor was 1.31%, up 0.04 BP from August 4. R001 was 1.34%, down 0.99 BP from August 4; R007 was 1.45%, down 2.17 BP from August 4. DR001 was 1.31%, down 0.30 BP from August 4; DR007 was 1.43%, down 2.67 BP from August 4. IBO001 was 1.35%, up 0.17 BP from August 4; IBO007 was 1.50%, up 0.78 BP from August 4 [62]. - Most government bond yields declined. On August 8, the yields of 1 - year/5 - year/10 - year/30 - year government bonds were 1.35%/1.54%/1.69%/1.96% respectively, down 2.0 BP/2.4 BP/1.9 BP/up 0.9 BP compared to August 1. The yields of 1 - year/5 - year/10 - year/30 - year China Development Bank bonds were 1.50%/1.66%/1.78%/2.05% respectively, up 0.0 BP/down 0.6 BP/up 1.6 BP/up 0.2 BP compared to August 1 [66]. - On August 8, the yields of 1 - year/5 - year/10 - year local government bonds were 1.38%/1.66%/1.82% respectively, down 0.3 BP/up 0.4 BP/up 0.2 BP compared to August 1. The yields of AAA 1 - month/1 - year and AA+ 1 - month/1 - year inter - bank certificates of deposit were 1.46%/1.62%/1.48%/1.66% respectively, down 1.3 BP from August 1 [72]. - As of August 8, 2025, the yields of 10 - year government bonds in the US, Japan, the UK, and Germany were 4.3%, 1.5%, 4.6%, and 2.7% respectively, up 4 BP/down 7 BP/up 6 BP/down 6 BP compared to August 1. The central parity rate and spot exchange rate of the US dollar against the RMB were 7.14/7.18 respectively, down 114/280 pips from August 1 [77][80]. 4. Institutional Behavior - Since the beginning of 2025, the duration of interest - rate bond medium - and long - term pure bond funds has shown a trend of first decline and then rise, and has been declining in the past two weeks. On August 8, the estimated average duration was about 5.2 years, down about 0.12 years from August 1 [83]. - Since the beginning of 2025, the duration of credit - bond medium - and long - term pure bond funds has shown a volatile trend. In the past three weeks, the duration has risen rapidly and then fluctuated. On August 8, the estimated median duration was about 2.7 years, and the estimated average duration was about 2.6 years, down about 0.03 years from August 1 [84]. 5. Investment Recommendations - Going long in the bond market is currently the path of least resistance. In August, the yield of 10Y government bonds may gradually return to around 1.65%, and the yield of 5Y national - joint - stock secondary bonds may fall below 1.9%. With the cooling of anti - involution, weak price growth, the stock market entering a volatile phase, and the possible decline in social financing growth rate, there are few negative factors for the bond market currently [11][88]. - The tax new regulations have relatively increased the scarcity of government bonds and old financial bonds, which may prompt banks' proprietary trading to scramble for government bonds and old financial bonds. The relatively low spread between newly - issued government bonds and existing bonds may temporarily push down yields. Currently, there is a phased overall bullish view on the bond market, bullish on long - duration sinking urban investment and capital bonds, bullish on urban investment dim sum bonds and US dollar bonds, strongly recommending perpetual bonds of Minsheng Bank, Bohai Bank, and Hengfeng Bank, and paying attention to capital bond opportunities of Tianjin Bank, Beibu Gulf Bank, and China Property Insurance [11][88].

Report Summary 1. Core View The report analyzes the valuation price deviations of different types of bonds, including AA-rated urban investment bonds, the top 50 individual bonds with the largest net price declines, the top 50 individual bonds with the largest net price increases, and the top 50 Tier 2 and perpetual bonds with the largest net price increases. It identifies the bonds with the most significant valuation price deviations in each category [2]. 2. Summary by Category 2.1 Discounted AA Urban Investment Bonds - "25 Xiaogao 01" has the largest valuation price deviation among AA urban investment bonds with a deviation of -0.35% and a remaining term of 4.85 years [2][4]. 2.2 Top 50 Individual Bonds with the Largest Net Price Declines - "24 Linfen 03" has the largest valuation price deviation among the top 50 individual bonds with a net price decline, with a deviation of -0.46% and a remaining term of 3.98 years [2][5]. 2.3 Top 50 Individual Bonds with the Largest Net Price Increases - "22 Vanke 06" has the largest valuation price deviation among the top 50 individual bonds with a net price increase, with a deviation of 0.37% and a remaining term of 1.92 years [2][8]. 2.4 Top 50 Tier 2 and Perpetual Bonds with the Largest Net Price Increases - "25 Minsheng Bank Perpetual Bond 01" has the largest valuation price deviation among the top 50 Tier 2 and perpetual bonds with a net price increase, with a deviation of 0.16% and a remaining term of 4.88 years [2][12].

新华财经北京8月7日电（王菁）两周前，农业银行一笔600亿元二级资本债完成发行，掀开了银行业资 本补充潮的冰山一角。截至8月5日，银行年内已累计发行67只"二永债"（二级资本债和永续债合称）， 规模突破1万亿元，创下历史同期新高。 其中，近三分之一为二级资本债，单是二季度发行量就达2901亿元，同比增速1.59%。这场悄然而至的 资本补充密集操作，正在悄然优化银行业的资产负债表。 在此背景下，今年6月以来，兰州银行、西安银行、浙江稠州商业银行等十余家银行相继获批发行资本 工具，总额度逾200亿元，且获得"两年内自主择机发行"的灵活窗口。据券商统计数据，上半年中小银 行"二永债"发行规模为1545.6亿元，同比大涨50%，其中城商行占比高达95.8%。 资本结构性隐忧不容忽视银行谋求从输血到造血之变 然而资本债的"特效药"属性，难掩其内在局限，因此银行还需要多元化融资工具协调发力。根据监管规 则，二级资本债发行满5年后可计入资本的比例逐年递减，从100%降至20%，若未及时赎回则效力锐 减。 今年二季度，某农商行资本充足率跌至9.5%附近，成为年内首家放弃赎回的银行，暴露出边缘机构的 脆弱性。联合资信银行业分析 ...

Core Insights - The issuance of "perpetual bonds" (referred to as "二永债") by domestic banks has accelerated significantly this year, with a total issuance exceeding 1 trillion yuan as of August 5, driven by low interest rates, tight credit supply, and growing capital demands [2][3][4] Group 1: Issuance Overview - A total of 67 "二永债" have been issued this year, with a cumulative scale surpassing 1 trillion yuan [3] - Major contributors to the issuance include state-owned banks and joint-stock banks, with the former issuing 16 bonds totaling 595 billion yuan and the latter 9 bonds totaling 267 billion yuan [3] - Smaller banks, including city commercial banks and rural commercial banks, have also increased their issuance, with 42 bonds totaling approximately 179.96 billion yuan [3] Group 2: Factors Driving Issuance - The acceleration in "二永债" issuance is attributed to several favorable factors, including the need for banks to supplement capital due to expanding business and increasing risk-weighted assets [4] - Low bond market interest rates have significantly reduced the cost of issuing bonds for banks [4] - The tightening supply of traditional credit bonds has increased the demand for high-rated financial bonds like "二永债" [4] Group 3: Characteristics of "二永债" - "二永债" includes both secondary capital bonds and perpetual bonds, which serve similar functions in capital supplementation [6] - Secondary capital bonds have a fixed term, while perpetual bonds do not have a maturity date, allowing banks to redeem them at their discretion after a certain period [6] - Both types of bonds have embedded write-down or conversion clauses that can enhance capital buffers in times of risk [6] Group 4: Challenges and Limitations - Despite the active issuance, "二永债" has structural limitations in addressing core Tier 1 capital shortages, as the proportion of secondary capital bonds that can be counted towards capital decreases over time [8] - Some banks, like Nanchang Rural Commercial Bank, have faced challenges in redeeming their bonds, reflecting the increasing difficulty in capital supplementation [8][9] - The reliance on "二永债" by smaller banks has grown due to constraints in internal capital accumulation and limited access to equity financing [7][10] Group 5: Policy Recommendations - To address the capital supplementation challenges faced by smaller banks, it is recommended to diversify the supply of capital tools and ease the issuance thresholds for preferred shares and convertible bonds [10] - Enhancing the market environment for capital tools and simplifying the listing approval process for quality smaller banks could encourage more capital market financing [10] - Implementing differentiated support policies tailored to specific banks could help establish robust capital buffers and sustainable development mechanisms [10]