信用利差周度跟踪20260320：利率曲线延续陡峭化，中短端弱资质利差压缩-20260321

Report Industry Investment Rating No information provided in the report. Core Viewpoint The interest rate curve continues to steepen, with the spreads of short - and medium - term low - quality bonds compressing. The spreads of most urban investment bonds decline slightly, the spreads of industrial bonds generally decline slightly, but the spreads of mixed - ownership real estate bonds rebound. The yields of secondary and perpetual bonds decline across the board, and the spreads of 10Y bonds converge significantly. The excess spreads of 3Y industrial perpetual bonds converge, while the excess spreads of urban investment bonds widen [3][4][5]. Summary by Directory 1. Interest rate curve continues to steepen, short - and medium - term low - quality spreads compress - From March 16th to March 20th, short - and medium - term interest - rate bonds generally oscillated downward, long - term bonds remained weak, and the interest rate curve further steepened. The yields of 1Y, 3Y, 5Y, and 7Y China Development Bank bonds decreased by 2BP, while the yield of 10Y bonds increased by 1BP [10]. - Credit bonds also showed the characteristics of strong short - end and weak long - end. The yields of AA and above - grade 1Y credit bonds decreased by 2 - 3BP, and the yield of AA - grade bonds decreased by 5BP; the yields of AA+ and above - grade 3Y credit bonds decreased by 2BP, and the yields of AA and below - grade bonds decreased by 4BP; the yields of all grades of 5Y bonds remained flat; the yields of AA+ and above - grade 7Y bonds decreased by 1BP, and the AA - grade yield remained flat; the yields of all grades of 10Y bonds increased by 1BP [10]. - The spreads of short - and medium - duration low - quality varieties compressed. The spread of 1Y AAA - grade bonds remained flat, the spreads of AA+ and AA grades converged by 1BP, and the AA - grade spread compressed by 3BP; the spreads of AA+ and above - grade 3Y bonds remained flat, and the spreads of AA and AA - grades converged by 2BP; the spreads of all grades of 5Y bonds widened by 2BP; the spreads of all grades of 7Y bonds widened by 1 - 2BP; the spreads of 10Y bonds widened by 1BP [10]. 2. The spreads of most urban investment bonds decline slightly by 1BP - The spreads of external - rated AAA, AA+, and AA urban investment platforms generally decreased by 1BP compared with last week. In different regions, most spreads decreased by 0 - 1BP. Among AAA platforms, Inner Mongolia's spread decreased by 3BP; among AA+ platforms, Hainan's spread remained flat, Inner Mongolia's spread increased by 1BP, Tianjin, Gansu, and Ningxia's spreads decreased by 2BP, and Yunnan's spread decreased by 4BP; among AA platforms, the spreads of Shanghai and Shaanxi decreased by 2 - 3BP [15]. - In terms of administrative levels, the spreads of provincial, municipal, and district - county platforms generally decreased by 1BP. Specifically, among provincial platforms, Shandong's spread decreased by 2BP, and Inner Mongolia's spread decreased by 4BP; among municipal platforms, the spreads of Shaanxi, Ningxia, and Yunnan decreased by 2 - 3BP; among district - county platforms, Guizhou's spread decreased by 3BP [19]. 3. The spreads of industrial bonds generally decline slightly, and the spreads of mixed - ownership real estate bonds rebound - This week, the spreads of industrial bonds generally declined slightly, while the spreads of mixed - ownership real estate bonds rebounded. The spreads of central and state - owned enterprise real estate bonds converged by 1BP, the spreads of private real estate bonds converged by 2BP, and the spreads of mixed - ownership real estate bonds widened by 20BP. The spreads of Longhu converged by 2BP, Midea Real Estate converged by 3BP, Vanke's spread widened by 221BP, Huafa's spread widened by 9BP, and Poly's spread converged by 1BP [25]. - The spreads of AA+ - grade coal bonds converged by 4BP, and the spreads of other grades converged by 1BP; the spreads of AAA - grade steel bonds converged by 1BP, and the spreads of AA+ - grade steel bonds converged by 4BP; the spreads of AAA and AA+ - grade chemical bonds both converged by 1BP. The spreads of Shaanxi Coal and HBIS converged by 1BP, and the spread of Jinneng Coal Industry converged by 2BP [25]. 4. The yields of secondary and perpetual bonds decline across the board, and the spreads of 10Y bonds converge significantly - The yields of secondary and perpetual bonds declined across the board, and the spreads of 10Y bonds converged significantly. Specifically, the yields of all grades of 1Y secondary capital bonds decreased by 1 - 2BP, and the spreads widened by 0 - 1BP; the yields of all grades of perpetual bonds decreased by 2BP, and the spreads remained flat. The yields of all grades of 3Y secondary and perpetual bonds decreased by 3BP, and the spreads converged by 1BP; the yields of all grades of 5Y secondary capital bonds and AAA - grade perpetual bonds decreased by 1 - 2BP, and the spreads widened by 1 - 2BP, while the yields of AA+ and AA - grade perpetual bonds decreased by 3 - 4BP, and the spreads converged by 1 - 2BP; the yields of all grades of 10Y secondary and perpetual bonds decreased by 2 - 3BP, and the spreads converged by 2 - 3BP [32]. 5. The excess spreads of 3Y industrial perpetual bonds converge, and the excess spreads of urban investment bonds widen - This week, the excess spreads of 3Y industrial AAA - grade perpetual bonds converged by 1.01BP to 8.96BP, reaching the 10.86% quantile since 2015. The excess spreads of 5Y industrial perpetual bonds remained the same as last week at 13.20BP, reaching the 33.02% quantile since 2015. The excess spreads of 3Y urban investment AAA - grade perpetual bonds widened by 1.00BP to 7.06BP, reaching the 15.92% quantile; the excess spreads of 5Y urban investment perpetual bonds widened by 0.56BP to 10.64BP, reaching the 18.71% quantile [35]. 6. Credit spread database compilation instructions - The overall market credit spreads, commercial bank secondary and perpetual spreads, and urban investment/industrial perpetual bond credit spreads are calculated based on ChinaBond medium - and short - term notes and ChinaBond perpetual bonds data, with historical quantiles starting from the beginning of 2015. The credit spreads related to urban investment and industrial bonds are sorted and counted by Huafu Securities Research Institute, with historical quantiles starting from the beginning of 2015 [37]. - The credit spreads of industrial and urban investment individual bonds = the ChinaBond valuation (exercise) of individual bonds - the yield to maturity of the same - term China Development Bank bonds (calculated by linear interpolation method), and finally the credit spreads of the industry or regional urban investment are obtained by the arithmetic average method. The excess spreads of bank secondary capital bonds/perpetual bonds = the credit spreads of bank secondary capital bonds/perpetual bonds - the credit spreads of bank ordinary bonds of the same grade and term. The excess spreads of industrial/urban investment perpetual bonds = the credit spreads of industrial/urban investment perpetual bonds - the credit spreads of medium - and short - term notes of the same grade and term [39]. - Sample screening criteria: Both industrial and urban investment bonds select medium - term notes and public - offering corporate bonds as samples, and exclude guaranteed bonds and perpetual bonds. If the remaining term of an individual bond is less than 0.5 years or more than 5 years, it will be excluded from the statistical sample. Industrial and urban investment bonds are all externally - rated by the issuer, while commercial banks use ChinaBond implicit bond ratings [39].