量化信用策略 截至 9 月 30 日，久期策略表现持续低迷。近四周，城投久期策略持续跑输基准，重仓 10 年 AA+城投债的哑铃型组合 累计超额收益降至-34bp 左右，节前一周基金对 5 年以上普信债卖盘收窄，但行情难言改善。二永债久期策略波动较 大，尽管 9 月逐次下跌后修复幅度大于普信债品种，其累计超额收益依旧收于-18bp、-30bp 的低位。相比之下，城投 短端下沉、商金债子弹型等策略组合超额收益相对靠前。 品种久期跟踪 主流品种久期防御特征明显。截至 9 月 30 日，城投债、产业债成交期限分别加权于 1.76 年、2.22 年，处于 2021 年 以来 65%-80%的分位区间，商业银行债中，二级资本债、银行永续债以及一般商金债加权平均成交期限分别为 3.67 年、 3.70 年、1.92 年，所处分位水平出现明显回落；从其余金融债来看，证券公司债、证券次级债、保险公司债、租赁公 司债久期分别为 1.51 年、1.73 年、4.11 年、1.23 年，除保险公司债之外，其余品种久期同样位于较低历史分位。 票息资产热度图谱 截至 2025 年 9 月 29 日，与前一周相比，非金融非地产类产业债收 ...

存量市场特征 超长信用债收益率中枢持续走高。本周（2025.9.29-2025.9.30，下同）债市情绪依旧偏弱，存量超长信用债利率中 枢进一步上行。与上周相比，2.6%-2.7%收益率的存量超长信用债只数增长至 248 只。 一级发行情况 国庆节前一周未有超长信用债发行。 二级成交表现 超长信用债指数跌幅大于其余主流债券品种。本周中短信用债、银行次级债等指数价格均有企稳迹象，但超长信用债 指数仍然领跌，10 年以上 AA+信用债指数环比下跌 0.24%。 超长信用债流动性承压。本周两个交易日内，7 年以上普信债成交笔数合计 62 笔，流动性弱化的趋势还在；长债定价 方面，最新一周超长信用债收益率与利差双升，10 年以上普信债成交收益上行幅度靠前，与 20-30 年国债价差走阔至 50bp 以上。 与二级市场表现对应，本周超长信用债交投情绪偏弱，10 年以上品种 TKN 占比读数处于低位，且高估值成交偏离幅度 远高于 10 年内长债。 投资者结构方面，基金抛售超长信用债行为还在继续，控久期风险和对品种流动性瑕疵的顾虑仍在影响交易盘配置行 为；保险、理财等机构承接力度有限，配置盘尚未形成有效支撑，短期难以逆转超 ...

存量市场特征 超长信用债收益率中枢持续走高。本周（2025.9.29-2025.9.30，下同）债市情绪依旧偏弱，存量超长信用债利率中 枢进一步上行。与上周相比，2.6%-2.7%收益率的存量超长信用债只数增长至 248 只。 一级发行情况 国庆节前一周未有超长信用债发行。 二级成交表现 超长信用债指数跌幅大于其余主流债券品种。本周中短信用债、银行次级债等指数价格均有企稳迹象，但超长信用债 指数仍然领跌，10 年以上 AA+信用债指数环比下跌 0.24%。 超长信用债流动性承压。本周两个交易日内，7 年以上普信债成交笔数合计 62 笔，流动性弱化的趋势还在；长债定价 方面，最新一周超长信用债收益率与利差双升，10 年以上普信债成交收益上行幅度靠前，与 20-30 年国债价差走阔至 50bp 以上。 与二级市场表现对应，本周超长信用债交投情绪偏弱，10 年以上品种 TKN 占比读数处于低位，且高估值成交偏离幅度 远高于 10 年内长债。 投资者结构方面，基金抛售超长信用债行为还在继续，控久期风险和对品种流动性瑕疵的顾虑仍在影响交易盘配置行 为；保险、理财等机构承接力度有限，配置盘尚未形成有效支撑，短期难以逆转超 ...

信用季度 | 利差难压，等待下行 证券研究报告 固收专题报告 / 2025.10.09 分析师 孙彬彬 SAC 证书编号：S0160525020001 sunbb@ctsec.com 分析师 孟万林 SAC 证书编号：S0160525030002 mengwl@ctsec.com 分析师 涂靖靖 SAC 证书编号：S0160525030001 tujj@ctsec.com 相关报告 1. 《假期高频 | 十一期间海内外有哪些变 化？ 》 2025-10-07 2. 《重视股性，兼顾结构机会——四季度 转债策略》 2025-10-06 3. 《利率 | 9 月宏观数据怎么看？》 2025-10-05 核心观点 ❖ 三季度债市主要受反内卷政策、股市及基金赎回新规等影响，持续上行。三 季度调整呈现出长端调整多、短端调整少，信用低等级调整少、高等级调整 略多，二永债调整多、普信债调整较少的特点。从投资回报来看，2 年及以 内信用债表现较好，3 年及以上投资回报多为负。 ❖ 还会延续跌势吗？ 三季度债市上行中，外部政策扰动较多，规上企业利润等数据也出现了一些 边际影响，目前利率或已经充分定价政策和基本面的扰动。整体来看 ...

Group 1 - The report highlights a recovery in the over-sold perpetual bonds (二永) after a significant reduction in holdings the previous week, with a slight easing of selling pressure observed [1][9][15] - The overall sentiment in the bond market is mixed, with short-term credit showing resilience, while long-term credit continues to decline, leading to a steepening of the yield curve [1][8][15] - The report notes that funds are in a process of reducing duration, particularly cautious towards long and ultra-long credit, with a cumulative reduction of over 50% in long credit since late July [1][15] Group 2 - Historical data indicates that in the last week before holidays, the scale of wealth management products typically declines significantly, with a drop of over 800 billion yuan noted since 2022, and over 900 billion yuan in 2024 due to equity market influences [2][23][32] - The report states that the credit spread has fluctuated around the holiday periods, with a tendency to compress in the first week after the holiday [2][32] Group 3 - The report recommends a focus on coupon strategies for credit bonds, suggesting that avoiding significant exposure to credit varieties is prudent due to potential market disturbances [3][38] - Specific recommendations include selecting short-term coupon assets, particularly those with yields above 2%, and considering trading opportunities in 3-4 year high-grade perpetual bonds, which currently yield 1-3 basis points higher than benchmark bonds [3][38] - Caution is advised for ultra-long credit, with suggestions to reduce holdings as the trading profit potential appears limited [3][38]

Report Industry Investment Rating No relevant information provided. Core Viewpoints The report analyzes the market conditions of ultra - long credit bonds from multiple aspects, including the adjustment of yields in the stock market, the increase in new bond supply in the primary market, and the decline in index prices and weak trading sentiment in the secondary market. It also points out that institutions should pay attention to market sentiment changes around the listing of the second batch of Sci - tech Innovation Bond ETFs when participating in the ultra - long credit bond market [2][3][4]. Summary by Directory 1. Stock Market Characteristics - Ultra - long credit bond yields continued to adjust. Due to the impact of new public fund regulations on the bond market this week, assets with insufficient safety margins, such as medium - and long - duration secondary bonds and general credit bonds over 7 years, faced significant adjustment pressure. The number of stock ultra - long credit bonds with a yield of 2.4% - 2.5% increased to 353 compared with last week [2][12]. 2. Primary Issuance Situation - The supply of new ultra - long credit bonds increased significantly. The total issuance scale of new ultra - long credit bonds this week was 40.19 billion, reaching the highest point this year, mainly affected by the large - scale issuance of ultra - long individual bonds by Everbright Group. Due to the overall pressure on the bond market, the market's sentiment towards primary - market allocation was cautious, and the coupon rates of new ultra - long credit bonds generally continued to rise. However, investors had a certain degree of recognition for the high - quality ultra - long new bonds of Everbright Group, as shown by the rebound in the subscription enthusiasm for new ultra - long industrial bonds in the latest week [3][21]. 3. Secondary Trading Performance - The price of the ultra - long credit bond index continued to fall. This week, the price index trends of various bonds continued to diverge. Medium - and short - duration credit bonds were more resilient, while long - duration varieties faced price pressure. The index of AA + credit bonds over 10 years decreased by 1.02% month - on - month [29]. - The trading sentiment of ultra - long credit bonds remained sluggish. This week, due to redemption pressure, the selling pressure of trading desks on ultra - long credit bonds intensified. Although the number of transactions of credit bonds over 7 years increased slightly, the average transaction yield increased significantly compared with last week. In terms of spreads, the spread between industrial bonds over 10 years and 20 - 30 - year treasury bonds widened to over 35bp [32]. - Correspondingly, the proportion of TKN of ultra - long credit bonds over 10 years was less than 50% this week, and the average discount of 20 - 30 - year urban investment individual bonds reached over 5BP, highlighting the heavy selling pressure from sellers [37]. - In terms of investor structure, due to concerns about the stability of the liability side, funds have been reducing their holdings of ultra - long credit bonds for five consecutive weeks. The net selling scale of ultra - long credit bond varieties in the latest week exceeded 3 billion, intensifying the market selling pressure. Institutions such as insurance and wealth management participated slightly during the adjustment, reflecting the allocation demand for high - coupon long - term bonds [43]. - From a more microscopic perspective, the spreads between active ultra - long credit bonds of each maturity and treasury bonds of similar maturities continued to widen this week. The spreads of varieties around 10 years have risen to over the 60th percentile since 2024. In the future, there are still liquidity flaws in ultra - long credit bonds. If institutions intend to participate, they need to avoid excessive selling and pay attention to the market sentiment changes around the listing of the second batch of Sci - tech Innovation Bond ETFs [46].

Summary of Key Points from Conference Call Records Industry Overview - The records focus on the Chinese credit market and its implications for the economy, particularly in relation to the banking sector and real estate market [1][2][3]. Core Insights and Arguments - **Declining Credit Demand**: China's credit demand has shifted from insufficient supply to low demand, with new loans expected to be less than 17 trillion yuan in 2025, down from 23 trillion yuan in 2022, indicating a decline in both credit growth and volume, posing challenges to economic growth [1][3]. - **Weak Personal Loans**: In August, personal loans increased by only 30.3 billion yuan, reflecting a continued downturn in the real estate market, with second-hand home prices in Beijing dropping nearly 10% over the past quarter [1][5]. - **Manufacturing Sector Struggles**: The manufacturing industry faces overcapacity, leading to weak credit demand from enterprises. The gap between corporate deposits and loans has widened to over 60 trillion yuan, indicating that state-owned enterprises are borrowing heavily while market-oriented firms show insufficient financing needs [1][6]. - **Banking Sector Manipulations**: Banks are manipulating credit data through bill discounting and short-term loans to meet scale assessments, but these measures do not fundamentally address the underlying issue of weak credit demand [1][7]. - **Deleveraging Trends**: There is a clear trend of households actively deleveraging, with increased savings and reduced borrowing. The ratio of personal loans to deposits has significantly decreased, indicating low consumer willingness to spend [1][8][10]. Additional Important Insights - **Future Loan Projections**: The anticipated decline in new loans and social financing growth rates, projected to fall from 9.0% to around 8.0% by year-end, reflects weak investment demand and ongoing challenges in the real estate and manufacturing sectors [3][10]. - **Investment Outlook**: The outlook for long-term bonds remains positive, with a target yield of around 1.75% for ten-year government bonds, suggesting potential value for investors [3][12][18]. - **Market Sentiment**: Institutional attitudes towards ultra-long credit bonds are cautious, with a noted decline in net purchases by insurance and wealth management sectors, although there is still a strategy to accumulate on dips [17][19]. - **Economic Predictions**: The overall trend for the bond market in 2025 is expected to be volatile, with no clear directional movement, necessitating a careful approach to investment strategies [20][21]. Conclusion - The records highlight significant challenges in the Chinese credit market, with declining demand impacting both personal and corporate borrowing. The banking sector's response through data manipulation and the ongoing trend of deleveraging among households are critical factors to monitor. The investment outlook for bonds remains cautiously optimistic, with specific strategies recommended for conservative investors.

Report Industry Investment Rating No information provided on the industry investment rating in the given report. Core Viewpoint The bond market sentiment remains in a wait - and - see period, and it is still recommended to participate in ultra - long credit bonds cautiously [5][42]. Summary by Directory 1. Super - long Credit Bond Trading Sentiment 1.1 Stock Market Characteristics - Ultra - long credit bond prices continued to decline this week. Although the bond market recovered during the week, the market sentiment towards ultra - long bonds remained cautious, and the yields of ultra - long credit bonds further increased. The number of outstanding ultra - long credit bonds with yields of 2.4% - 2.5% increased significantly compared with last week [2][12][13]. 1.2 Primary Issuance Situation - The supply of new ultra - long credit bonds maintained low growth. The total issuance scale of new ultra - long credit bonds this week was 6.25 billion, remaining at a low level. This might be because the issuance cost of long - term bonds was still relatively high, and bond - issuing entities were waiting for a better opportunity. Although the coupon rate of new ultra - long credit bonds decreased significantly in the latest week, the absolute value was still at a relatively high level within the year. Driven by the recovery sentiment and the reduction of available bond assets, the subscription enthusiasm for new ultra - long credit bonds rebounded this week [3][22]. 1.3 Secondary Transaction Performance - The index price of ultra - long credit bonds did not recover. In the first half of the week, the bond market showed a slight recovery, and the weekly change rate of the over - 10 - year treasury bond index returned to positive, but the index of ultra - long credit bonds continued to fall. The over - 10 - year AA+ credit bond index decreased by 0.43% month - on - month [29]. - The trading sentiment of ultra - long credit bonds was weak. The liquidity of ultra - long credit bonds further dried up this week. The number of transactions of the most active 7 - 10 - year industrial bonds dropped to 160, and the total number of transactions of over - 10 - year credit bonds was less than 30. In terms of transaction yields, the yield of over - 7 - year urban investment bonds recovered by more than 7bp, but the yield of ultra - long industrial bonds showed no obvious downward trend. The spread between 7 - 10 - year varieties and 20 - 30 - year treasury bonds widened to 24.6bp [30]. - Corresponding to the rational return of selling sentiment, the amplitude of high - valuation transactions of ultra - long credit bonds began to narrow this week, and urban investment bonds over 20 years old shifted to low - valuation transactions. In terms of buying sentiment, the proportion of TKN transactions of ultra - long credit bonds rebounded, but the reading of over - 10 - year bonds was still at a low point within the year [35]. - In terms of investor structure, the selling behavior of trading desks for ultra - long credit bonds continued. This week, funds still reduced their holdings of over - 7 - year credit bonds by 2 billion. For allocation desks such as insurance companies, although the承接 behavior continued, the intensity weakened. This week, the increase in holdings was concentrated in 7 - 10 - year varieties [40].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In a volatile bond market, it is more appropriate to adopt a defensive strategy, and participation in ultra - long - duration assets needs to wait for a recovery market [6]. 3. Summary by Directory 3.1 Super - long Credit Bonds Continue to Cool Down 3.1.1 Stock Market Characteristics This week (August 11 - 15, 2025), the market risk preference switched again, the bond market reversed, and super - long credit bonds were affected. Compared with last week, the yields of existing super - long credit bonds declined, and the number of super - long credit bonds with yields between 2.2% - 2.3% increased significantly [3][14]. 3.1.2 Primary Issuance Situation This week, the issuance scale of new super - long credit bonds totaled 15.97 billion yuan, with the supply basically flat compared to last week. The average issuance rate of new super - long urban investment bonds rose to 2.6%, while the coupon rate of new super - long industrial bonds hovered around 2.3%. In the current bond market environment with high volatility, the primary pricing of new super - long credit bonds deviates slightly from the cash bond market, which may be the reason for the continuous increase in the subscription enthusiasm for new bonds of this variety in the past two weeks [4][23]. 3.1.3 Secondary Trading Performance - **Index Performance**: There was another sharp decline in the bond market this week. The index of government bonds with a maturity of over 10 years dropped by 1.64%, and the index of AA + credit bonds with a maturity of over 10 years, although with a smaller decline than long - term interest - rate bonds, still had an absolute decline of over 0.5% [5][30]. - **Trading Sentiment**: The trading sentiment of super - long credit bonds was sluggish. The decline of super - long credit bonds was difficult to control, and the liquidity of this variety significantly weakened. The number of trading transactions of industrial bonds with a maturity of over 10 years dropped to less than 40 this week. The trading volume of the most active 7 - 10 - year industrial bonds also decreased by nearly half compared to mid - July. In terms of trading yields, the callback amplitude of the yields of 7 - 10 - year long - term credit bonds was greater than 6bp, while the increase in the yields of general credit bonds with a maturity of over 10 years was relatively low [5][32]. - **Valuation and Buying Sentiment**: This week, the high - valuation trading amplitude of super - long credit bonds widened significantly, approaching the level during the adjustment period in late July. In terms of buying sentiment, the proportion of TKN transactions of 7 - 10 - year credit bonds continued to decline to 67% [5][36]. - **Investor Structure**: Due to the impact on the liability side, funds reduced their holdings of credit bonds with a maturity of over 7 years by 2.19 billion yuan this week. Insurance companies continued to buy long - term bonds and increased their holdings of super - long credit bonds by over 4 billion yuan this week [5][41]. - **Credit Spread**: From a more microscopic perspective, the trends of the credit spreads between active super - long credit bonds of various maturities and government bonds of similar maturities showed slight differentiation this week. The credit spreads of active super - long credit bonds with a maturity of 15 years or less continued to widen, while the credit spreads of long - term credit bonds with a maturity of over 15 years significantly narrowed [6].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Considering that the absolute return of ultra - long credit bonds remains at a low level and the direction of the bond market is unclear, trading opportunities for this bond type still need to be awaited [5]. 3. Summary by Directory 3.1存量市场特征 - Ultra - long credit bond yields fluctuate within a narrow range. From August 4th to August 8th, 2025, information affecting bond pricing was still complex, and the bond market sentiment was cautious. Compared with the previous week, the yields of existing ultra - long credit bonds declined slightly, with the yield center maintaining between 2.1% and 2.3% [2][13]. 3.2一级发行情况 - The subscription sentiment for new ultra - long industrial bonds rebounded. The total issuance scale of new ultra - long credit bonds this week was 19.7 billion yuan. Although the supply increased to some extent, its proportion in the total issuance scale of credit bonds for the week continued to decline. The average issuance interest rate of new ultra - long industrial bonds continued to rise and has now reached over 2.3%. Due to the increase in the coupon rate of ultra - long industrial bonds and the low - level hovering of the initial - month capital interest rate, investors' participation in subscribing for ultra - long credit bonds strengthened [3]. 3.3二级成交表现 - The pricing of the ultra - long credit bond index was basically the same as last week. Against the backdrop of increased difficulty in bond market forecasting, the performance of ultra - long credit bonds was inferior to mainstream bond assets. This week, the index trends of treasury bonds over 10 years, medium - term notes from 3 - 5 years, and secondary bonds of national - owned and joint - stock banks from 3 - 5 years were all better than that of the ultra - long credit bond index [4]. - The number of ultra - long credit bond transactions decreased significantly. Since July, ultra - long credit bonds have lacked floating profits. In an unstable bond market, the drawback of difficult - to - control drawdowns led to a significant weakening of the trading demand for this bond type. The total number of transactions of urban investment bonds and industrial bonds with a term of 7 years and above decreased from 515 last week to 389 this week. In terms of transaction returns, the average transaction yield of the most active 7 - 10 - year industrial bonds marginally recovered, and the spread with 20 - 30 - year treasury bonds compressed to 22bp, but the yields of general credit bond varieties over 10 years were still rising [4]. - Correspondingly, the low - valuation transaction margin of ultra - long credit bonds narrowed significantly this week, and the trading form of some long - term bond varieties changed to high - valuation. In terms of buying sentiment, the proportion of TKN transactions of 7 - 10 - year credit bonds with good liquidity dropped below 70% [4]. - Regarding the investor structure, insurance companies' willingness to hold ultra - long credit bonds was strong. This week, insurance companies' net purchase of credit bonds over 7 years reached 4.55 billion yuan. Funds, which had significantly reduced their holdings of ultra - long credit bonds in the previous two weeks, increased their holdings of 7 - 20 - year varieties to some extent this week. It is possible that as the assessment time approaches, some fund investors are extending the duration to increase returns [4].