证券研究报告 固收点评报告 hyzqdatemark 2025 年 10 月 11 日 10 月，信用策略如何布局？ ——信用策略系列报告 投资要点： 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 赵孟田 SAC：S1350525070004 zhaomengtian@huayuanstock.com 拉长时间维度到 2025Q3，短端下沉策略仍然是相对占优的策略选择。2025Q3，10Y 国 债收益率从季度初的 1.64%调整至 9/30 的 1.86%（以中债国债到期收益率曲线列示的数据为 准），不同期限不同券种的信用债收益率在 2025Q3 也都跟随利率出现不同程度调整，持续的 下跌行情使得市场情绪趋向谨慎。2025Q3，不同券种的短端下沉策略组合均有正收益，3Y AAA-产业债子弹型策略也录得正收益，除此以外的其他策略对组合收益均有负向贡献，其中 城投债哑铃型、二级债哑铃型、银行永续债哑铃型和拉久期策略的亏损均达到了 1%以上。值 得注意的是，无论何种策略，在 9 月份或是三季度所能够获得的资本利得均为负值，在票息 保护本就相对较弱 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - As of September 26, the weighted average trading durations of urban investment bonds and industrial bonds were 1.89 years and 2.16 years respectively. Among commercial bank bonds, the weighted average trading durations of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 4.39 years, 3.72 years, and 2.19 years respectively. The duration of bank perpetual bonds was at a relatively low historical level. Among other financial bonds, the durations of securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds were 1.35 years, 1.85 years, 3.10 years, and 1.30 years respectively. The durations of securities company bonds and securities subordinated bonds shortened, and the securities company bonds were at a relatively low historical quantile [1][8]. - The coupon duration congestion index dropped significantly. After reaching its peak in March 2024, the index declined and is currently at the 25.9% level since March 2021 [11]. Summary by Directory 1. Full - variety Duration Overview - The weighted average trading durations of urban investment bonds, industrial bonds, secondary capital bonds, bank perpetual bonds, general commercial financial bonds, securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds were 1.89 years, 2.16 years, 4.39 years, 3.72 years, 2.19 years, 1.35 years, 1.85 years, 3.10 years, and 1.30 years respectively. Their corresponding historical quantiles since March 2021 were 78.7%, 75.3%, 97.0%, 65.5%, 71.9%, 8.0%, 23.4%, 60.0%, and 76.5% [10]. 2. Variety Microscope Urban Investment Bonds - The weighted average trading duration of urban investment bonds hovered around 1.89 years. The duration of Hebei provincial urban investment bonds extended to 6.37 years, while that of Beijing district - level urban investment bonds shortened to around 1.63 years. The historical quantiles of the durations of urban investment bonds in regions such as Henan prefecture - level cities and Jiangxi prefecture - level cities exceeded 90%, and the duration of Hebei provincial urban investment bonds approached the highest level since 2021 [2][15]. Industrial Bonds - The weighted average trading duration of industrial bonds slightly shortened compared to the previous week, generally staying around 2.16 years. The trading duration of the commercial retail industry extended to 2.09 years, while that of the basic chemical industry shortened to 1.19 years. The trading durations of industries such as food and beverage, coal, real estate, and building decoration were at relatively low historical quantiles, while the building materials industry was at a relatively high historical quantile [2][20]. Commercial Bank Bonds - The duration of general commercial financial bonds extended to 2.19 years, at the 71.9% historical quantile, lower than the same period last year. The duration of secondary capital bonds extended to 4.39 years, at the 97% historical quantile, higher than the same period last year. The duration of bank perpetual bonds shortened to 3.72 years, at the 65.5% historical quantile, higher than the same period last year [2][23]. Other Financial Bonds - In terms of the weighted average trading duration, insurance company bonds > securities subordinated bonds > securities company bonds > leasing company bonds, at the 60%, 23.4%, 8%, and 76.5% historical quantiles respectively. The durations of securities company bonds and securities subordinated bonds slightly shortened compared to the previous week [2][26].

1. Report Industry Investment Rating No relevant content provided in the given text. 2. Core Viewpoints of the Report - This round of bond market adjustment since July 7 lasted for two and a half months, similar to the adjustment period in the first quarter of this year. The main contradictions in the two adjustments were different, leading to significant differences in secondary - market performance [1][9]. - The first - quarter adjustment was mainly due to the unexpected convergence of the capital market, while the adjustment since July was due to the over - heating of the commodity and equity markets, which increased institutional risk appetite and suppressed the bond market through the "stock - bond seesaw" effect [1][13]. - Before all uncertainties are verified, credit bond investment is recommended to focus on coupon - bearing varieties within 3 years for defense, especially 1 - 3 - year AA and AA(2) urban investment bonds [3]. 3. Summary According to the Directory 3.1 City Investment Bonds: Net Financing Recovered, Long - End Yields Reached New Highs for the Year - From September 1 - 21, 2025, city investment bonds issued 349.9 billion yuan, matured 303.7 billion yuan, and had a net inflow of 46.3 billion yuan. The net financing scale in Jiangxi, Sichuan, and Hunan was relatively large, exceeding 8 billion yuan. The proportion of long - term issuance decreased, with the proportion of over 3 - year issuance dropping to 35% and over 5 - year dropping to 3% [29]. - Except for the short - end, the issuance interest rate increased. The weighted average issuance interest rates for less than 1 - year, 1 - 3 - year, 3 - 5 - year, and over 5 - year city investment bonds were 1.8%, 2.32%, 2.75%, and 2.77% respectively. Only the less than 1 - year rate decreased by 1bp compared to August, while the others increased [30]. - In the secondary market, the short - and medium - term bonds were more resistant to decline, and the long - end yields reached new highs for the year. The long - end adjustment was large, with the yields of AAA and AA + 7 - year and above bonds rising by more than 4bp, and the 10 - year AAA city investment bond yield reaching a new high of 2.44% [33]. 3.2 Industrial Bonds: Net Financing Decreased Year - on - Year, Buying Sentiment Warmed Up - From September 1 - 21, 2025, industrial bonds issued 376.2 billion yuan, a year - on - year decrease of 86.6 billion yuan, and had a net financing of 62 billion yuan, a year - on - year decrease of 51.6 billion yuan. The net financing scale of the comprehensive and construction decoration industries was over 20 billion yuan, and that of the non - bank finance industry was over 15 billion yuan [37]. - The issuance sentiment weakened. The proportion of full - field multiples above 3 times decreased from 18% to 17%, and the proportion of 2 - 3 times decreased from 36% to 28%. The proportion of short - duration variety issuance decreased [37]. - From the broker transactions, the buying sentiment of industrial bonds warmed up. The TKN proportion increased from 62% to 71% month - on - month, and the low - valuation proportion increased from 32% to 46% [40]. 3.3 Bank Capital Bonds: Yields Fluctuated Narrowly, Short - and Medium - Duration Bonds Performed Better - From September 15 - 19, 2025, Agricultural Bank of China issued 35 billion yuan of 5 + 5 - year secondary capital bonds and 25 billion yuan of 10 + 5 - year secondary capital bonds, with issuance interest rates of 2.18% and 2.50% respectively. China Everbright Bank issued 40 billion yuan of 5 + N - year perpetual bonds, with an issuance interest rate of 2.29% [44]. - In the secondary market, bank capital bond yields fluctuated narrowly, and short - and medium - duration bonds performed better. From September 15 - 19, the yields of 1 - 3Y varieties decreased by 0 - 4bp, while the 10Y large - bank secondary capital bonds and 5Y small - and medium - bank capital bonds were weaker, with yields rising by 2 - 4bp [44]. - From the broker transactions, the trading sentiment of bank capital bonds warmed up. The TKN proportion rose above 60%, and the low - valuation proportions of secondary capital bonds and perpetual bonds increased by 31pct and 27pct respectively [47].

Group 1 - The report focuses on observing the trading sentiment of the "Er Yong" bonds, the divergence among major trading parties, and the potential trading space to provide reference for investors [2][14]. - The main trading parties for "Er Yong" bonds are securities companies and fund companies, with securities companies leading the trading activity [3][17][18]. - Fund companies exhibit a "buy high, sell low" characteristic in their trading behavior, while banks and insurance companies tend to have a stronger allocation attribute [3][19][21]. Group 2 - The trading heat of "Er Yong" bonds is measured by turnover rate and changes in turnover rate, with 2023 showing a range of 0.40%-1.60% and a central tendency around 0.50%-1.10% [5][43]. - The institutional divergence is calculated based on the absolute and relative strength of buy and sell orders, with values often exceeding 20% since July 2025, indicating increased difficulty in trading [6][54][58]. - The trading space is assessed by comparing the current credit spreads of "Er Yong" bonds to historical levels and similar-rated bonds, identifying potential recovery opportunities [7][62][63]. Group 3 - The "Er Yong" trading timing map combines indicators of trading heat, institutional divergence, and weighted transaction duration to observe trading signals [8][68]. - Currently, the trading heat for secondary capital bonds is low, with a dominant selling force, and while credit spreads have widened slightly, they remain at historically low levels, indicating unclear trading signals but potential recovery opportunities [8][69].

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]

Core Viewpoint - The insurance industry is increasingly favoring high-dividend stocks as a key investment strategy, with significant growth in stock allocations and a notable shift in investment preferences towards equities over bonds [1][5][6]. Group 1: Investment Trends - As of June 2025, the stock investment scale of China Insurance has increased by 60.7% compared to the beginning of the year, outperforming the CSI 300 Dividend Index by 7.8 percentage points [1]. - By the end of Q2 2025, the total stock investment balance of property and life insurance companies reached 3.07 trillion yuan, a 26.3% increase from the end of 2024 [2]. - The proportion of stock investments in property insurance companies rose from 7.21% at the end of 2024 to 8.33% by Q2 2025, while life insurance companies saw an increase from 7.57% to 8.81% [1][2]. Group 2: Asset Allocation Strategy - The insurance sector is adopting a "barbell" strategy, balancing fixed income and equity investments to mitigate duration mismatch risks and enhance portfolio yield [3]. - The preference for stocks is driven by a low interest rate environment and a policy framework encouraging long-term investments, leading to a sustained demand for equity assets [5][6]. Group 3: Market Activity - In 2025, insurance capital has been a major source of incremental funds in the stock market, injecting over 600 billion yuan in the first half of the year [2]. - Insurance companies have engaged in 30 equity stakes this year, with a focus on banks and other sectors, indicating a resurgence in "stake acquisition" activities [4]. Group 4: Future Outlook - Insurance institutions expect to maintain their asset allocation ratios from early 2025, with a slight increase in stock and bond investments anticipated [5]. - The sectors expected to perform well include pharmaceuticals, electronics, banking, and defense, with a focus on high-dividend and innovative assets [6][7].

Core Viewpoint - The insurance asset management industry in China shows a stable outlook for the second half of 2025, with expectations of moderate economic growth and a preference for equities in investment strategies [1][2]. Economic Outlook - Most insurance institutions expect the macroeconomic environment to maintain stable growth, with GDP growth projected between 4.5% and 5.5%, CPI growth between 0% and 0.5%, and PPI growth between -3.5% and -2.0% [1]. - The RMB exchange rate is anticipated to appreciate steadily, with key areas of focus including exports, consumption, fiscal policy, and real estate investment [1]. Monetary and Fiscal Policy - Insurance institutions predict a moderately accommodative monetary policy in the second half of the year, with expectations for timely reserve requirement ratio and interest rate cuts to maintain ample liquidity [1]. - Fiscal policy is expected to be more proactive, leaning towards expansion to boost domestic demand and consumption, potentially through the issuance of ultra-long special bonds [1]. Asset Allocation Preferences - Equities are the preferred investment asset for insurance institutions in the second half of the year, followed by bonds and securities investment funds [1]. - Most institutions expect their asset allocation ratios to remain consistent with early 2025, with some considering slight increases in equity and bond investments [1]. Bond Market Outlook - A neutral to optimistic outlook is held for the bond market, with expectations for 10-year government bond yields to range between 1.4% and 1.6%, and medium to high-grade credit bond yields between 1.5% and 2.0% [2]. - There is a favorable view on ultra-long special bonds, perpetual bonds, convertible bonds, and credit bonds with maturities over 10 years, influenced by economic fundamentals, monetary policy easing, and market liquidity [2]. A-Share Market Outlook - A generally optimistic view is held for the A-share market, with expectations for the Shanghai Composite Index to likely remain between 3200 and 3800 points [2]. - Insurance institutions are particularly optimistic about stocks related to the CSI 300 index, focusing on sectors such as pharmaceuticals, electronics, banking, computing, telecommunications, and national defense [2]. Overseas Investment Preferences - Hong Kong stocks are favored for investment in the second half of the year, with 40% of insurance institutions also showing interest in bond and gold investments [3].

Group 1 - The report indicates that credit bond yields have adjusted significantly, with the adjustment magnitude exceeding that of interest rate bonds, leading to a widening of credit spreads. Notably, long-term credit bonds experienced a marked decline, with some mid-to-high grade 7-10 year bonds dropping over 10 basis points, while 3-5 year credit bonds also saw substantial declines [1][9]. - Recent buying behavior shows that funds, representing trading positions, have been net sellers, particularly of certain interest rate products, while wealth management and insurance sectors continue to buy on dips, focusing mainly on short-term bonds with maturities of three years or less [2][15]. - The static "downside protection" for various credit products has been calculated, showing that short-term bonds within one year have robust protection, generally exceeding 50 basis points. The downside protection for 2-3 year credit products has improved by 2-5 basis points since July 18, now ranging from 20-40 basis points [3][31]. Group 2 - As of August 22, 2025, certain AA and AA(2) credit bonds with maturities of two years or less have seen yields drop to over 1.9%, indicating a value in short-term coupons that also possess defensive attributes amid market volatility. The report suggests that the bond market may still be influenced by equity market fluctuations, necessitating careful liquidity management [4][34]. - The report highlights that the yield curve for 3-4 year perpetual bonds has become more attractive, with current valuations exceeding those of similarly rated short-term and urban investment bonds. It anticipates that the 1.8% resistance level in the bond market may be difficult to breach, suggesting higher trading value once interest rates stabilize [4][34].

Group 1: Insurance Asset Management Survey Results - The China Insurance Asset Management Association released the investor confidence survey results for the second half of 2025, covering macro environment, market judgment, allocation plans, and return expectations with participation from 122 insurance institutions [1] - Stocks are the preferred investment asset for insurance institutions in the second half of 2025, followed by bonds and securities investment funds, with most institutions expecting asset allocation ratios to remain consistent with early 2025 [1] - A majority of insurance institutions hold a neutral to optimistic view on the bond market, anticipating 10-year government bond yields to range between 1.4% and 1.6%, and high-grade credit bond yields between 1.5% and 2.0% [1] Group 2: A-share Market Outlook - Most insurance institutions are optimistic about the A-share market for the second half of 2025, predicting the Shanghai Composite Index to likely remain between 3200 and 3800 points [2] - Insurance institutions favor stocks related to the CSI 300 index, particularly in sectors such as pharmaceuticals, electronics, banking, computing, telecommunications, and national defense [2] - Key investment areas include artificial intelligence, dividend assets, new productivity, high dividend yields, and innovative pharmaceuticals, with corporate earnings growth seen as a major factor influencing the A-share market [2]

Group 1 - The core investment preference for insurance institutions in the second half of 2025 is stocks, followed by bonds and securities investment funds [1][4] - Most insurance institutions expect their asset allocation ratios to remain consistent with early 2025, with some potentially increasing stock and bond investments slightly [1][4] Group 2 - The survey covered macro environment, market judgment, allocation plans, and return expectations, involving 122 insurance institutions, including 36 asset management firms and 86 insurance companies [4] - Insurance institutions anticipate a moderately loose monetary policy in the second half of the year, focusing on timely reserve requirement ratio and interest rate cuts, and maintaining ample liquidity [4] - Fiscal policy is expected to be more proactive, leaning towards expansion to boost domestic demand and consumption, potentially increasing the issuance of ultra-long special bonds [4] Group 3 - Most insurance institutions hold an optimistic view on the A-share market, predicting the Shanghai Composite Index to likely remain between 3200 and 3800 points [4] - The sectors favored by insurance institutions include pharmaceuticals, electronics, banking, computers, telecommunications, and national defense, with a focus on artificial intelligence, dividend assets, new productivity, high dividend yields, and innovative pharmaceuticals [4] - Corporate profit growth is seen as the main factor influencing the A-share market in the second half of the year [4] Group 4 - For the bond market, most insurance institutions maintain a neutral to slightly optimistic outlook, expecting the 10-year government bond yield to range between 1.4% and 1.6%, and high-grade credit bond yields between 1.5% and 2.0% [4] - The preferred bond types include ultra-long special bonds, perpetual bonds, convertible bonds, and credit bonds with maturities over 10 years [4] - Key factors affecting the bond market include the economic fundamentals, the degree of monetary policy easing, and market liquidity [4]