城投债系列专题报告：庖丁解牛，城投债收益再挖掘

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The logic of the shortage of urban investment bonds may continue due to factors such as the crowding - out effect of hidden debt replacement special bonds, the marginal tightening of review policies, concentrated maturities, and the significant lengthening of issuance terms [6]. - There are still opportunities to explore the spreads of urban investment bonds, but the risk of an upward trend in the risk - free interest rate in the future market should be vigilant [2]. - Suggestions for investment include short - end sinking strategies, 3 - 5Y term structure arbitrage opportunities, and paying attention to the catch - up opportunities and primary market bidding opportunities of urban investment bonds in regions with large maturity repayment pressures [1][2][3]. 3. Summary by Relevant Catalogs 3.1 Urban Investment Bond Asset Shortage Logic May Continue - Crowding - out effect of hidden debt replacement special bonds: In 2024, 2 trillion yuan of hidden debt replacement special bonds were issued, and as of April 11, 2025, 1.39 trillion yuan had been issued. The interest rate of replacement bonds decreased by more than 2.5 percentage points on average in 2024, and the interest reduction in 5 years is expected to exceed 200 billion yuan. The crowding - out effect may remain significant in Q2 2025 [7][11]. - Marginal tightening of review policies: Both the exchange and the trading - dealer association encourage real industries to enter the market and accelerate the clearance of weak qualifications. The revised "No. 3 Guideline" may send a signal of marginal relaxation in the determination of the issuer's nature, and the EBITDA covering the annual interest of interest - bearing liabilities may become an important review indicator. The requirement for a letter from the municipal government may hinder the primary issuance progress [12][13][14]. - Concentrated maturities of urban investment bonds: The maturity and put - back amounts of urban investment bonds in Q2 and Q3 2025 are expected to remain high. The maturity repayment pressure in some regions is large, which may lead to a stronger shortage of assets and bring primary market bidding opportunities [17][20]. - Significant lengthening of issuance terms and tight short - end supply: Since 2023, the preference of urban investment entities for issuance terms has significantly lengthened. The weighted average issuance term of urban investment bonds has increased from 2.39 years in early 2023 to 4.11 years in April 2025, which may exacerbate the shortage of short - end urban investment bonds [25]. 3.2 Is There Still Room for Returns on Urban Investment Bonds? - Four disturbing factors for the risk - free interest rate: Fundamentally, the economy in Q1 2025 continued the stabilization trend since Q4 2024, and there is a probability of reaching an agreement on the tariff issue. Politically, fiscal policy is expected to continue to exert force, and interest rate cuts have limited effect on boosting domestic demand. In terms of funds, the central bank's OMO operations have had a net withdrawal for three consecutive months, and the funds are generally tight. In terms of short - term market sentiment, the spread between 10Y CDB bonds and 10Y treasury bonds reflects over - heated trading sentiment in the interest - rate bond market, and the risk of an upward trend in the risk - free interest rate should be vigilant [29][31][33]. - How much room is there for the credit spread of urban investment bonds?: Since early April 2025, the credit spread of urban investment bonds has fluctuated narrowly between 35 - 40BP. As of April 18, 2025, the historical quantile of the credit spread between 5Y AAA urban investment bonds and 10Y treasury bonds since 2022 was 40.80%. There may still be room for further exploration [39]. 3.3 Investment Analysis Opinions - Short - end sinking strategy: Moderately sinking short - end urban investment bonds have a coupon advantage compared with 10Y treasury bonds. Considering the significant lengthening of the issuance terms of new urban investment bonds, the supply of short - end urban investment bonds may further shrink. AA - level and above entities, with a remaining term of less than 1Y, a current coupon rate of more than 3.5%, and a ChinaBond行权 valuation of more than 2.6% are screened for reference [40]. - 3 - 5Y term structure arbitrage opportunities: As of April 18, 2025, the 3 - 5Y urban investment credit spread was still inverted compared with the long - end spread, at the convex point of the term structure, and at a relatively high historical quantile. Institutions with stable liability ends can select high - quality urban investment entities in developed regions to lock in coupons and moderately sink to seek arbitrage opportunities [44]. - Catch - up opportunities and primary market bidding opportunities in regions with large maturity repayment pressures: In Q2 2025, attention should be paid to Shandong and Shaanxi regions, and in Q3 2025, attention should be paid to Sichuan, Hubei and other regions with large maturity amounts in the current quarter and large year - on - year increases [3].