2026年信用债机构行为变化与展望：谁在稳定信用利差：信用债机构行为分析框架

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The behavior of institutional investors has become a core variable influencing the short - to medium - term trends and operation rhythm of the credit bond market. The steepening of the yield curve, prominent structural market conditions, and intensified differentiation of credit spreads may be the core characteristics of the market [1][7]. - In 2026, the short - to medium - term trends and operation rhythm of the credit bond market will still be dominated by institutional behavior. The marginal behavioral changes of funds, wealth management, and insurance, the three core institutional investors, will reshape the market pattern in terms of term structure, spread trends, and variety differentiation [3][7][51]. 3. Summary According to the Table of Contents 3.1 Fund: Significant Behavioral Elasticity Driven by Liabilities, Further Deepening of Instrumental and Structural Features in 2026 3.1.1 Core Bond Allocation Features: Dominated by Liabilities, Focus on Duration and Leverage - The redemption pressure on the liability side directly determines the asset - side allocation, leading to pro - cyclical trading behavior. A positive feedback loop exists between fund net value and investor redemptions. In a rising bond market, funds increase leverage and duration to allocate more credit bonds; in a falling market, forced selling occurs due to redemption pressure [11]. - The leverage ratio is subject to regulatory constraints, and duration adjustment is highly correlated with market conditions and liability - side pressure. The regulatory upper limits for the leverage ratio of open - end and closed - end bond funds are 140% and 200% respectively. Duration adjustment varies with market conditions and the stability of the liability side [11][12]. - Policy changes and concentrated product maturities in 2025 directly triggered significant fluctuations in fund bond allocation behavior. After the release of the fund fee regulations in September 2025, funds sold off bonds in advance. In November, the net purchase of credit bonds increased due to the maturity of amortized cost - method bond funds [12]. 3.1.2 Instrumental Trend Prominent in 2026, Sustained Structural Impact - Under the new fee regulations, product substitution effects are evident. Short - term trading becomes more instrumental, and medium - to long - term allocation focuses on performance. Bond ETFs and inter - bank certificate of deposit funds have replaced traditional short - term bond funds, increasing short - term credit bond trading activity and volatility. Medium - to long - term pure bond funds focus on duration timing and variety selection [15]. - The opening rhythm of amortized cost - method bond funds in 2026 remains a key variable, driving the structural market of credit bonds. Concentrated openings will lead to increased demand for 3 - 5 - year high - grade ordinary credit bonds, while dispersed openings will have a milder impact. The concentrated maturity periods in 2026 are March, May, June, and July [17]. - Pay attention to potential policy benefits for credit bond and sci - tech innovation bond ETFs. Scale expansion will drive the valuation repair and liquidity improvement of constituent bonds. As of March 24, 2026, the scale of 24 sci - tech innovation bond ETFs decreased by 8.91 billion yuan compared to the end of 2025, but the relative value of constituent bonds is prominent [20][23]. 3.2 Wealth Management: Challenges of Full Net - Value Transformation 3.2.1 Core Bond Allocation Features: Focus on Allocation, Weakened Trading, and Significant Seasonal Bond Allocation Patterns - Wealth management's bond allocation strategy is mainly hold - to - maturity, with weakened trading attributes. The allocation willingness is positively correlated with credit spreads. After the net - value transformation in 2022, wealth management shifted from trading to hold - to - maturity due to investors' low tolerance for net - value fluctuations. The bond - buying and - selling rhythm is affected by bank's seasonal balance - sheet returns, liability - side stability, and primary - market bond issuance [26][28]. - Seasonal bond allocation patterns are clear, and there are opportunities for short - term spread compression in specific windows. At the beginning of each quarter (April, July, October), there are usually opportunities to compress the credit spreads of short - term high - grade credit bonds such as 1 - year AAA inter - bank certificates of deposit and 2 - year - or - less AAA bonds [29]. 3.2.2 In 2026, Stabilizing Net Value is the Core, and the Direction of Fund Flows is Key - Under full net - value transformation, the function of wealth management as a stabilizer in the bond market is weakened, and low - volatility and high - liquidity assets are preferred. In a rising bond market, wealth management will moderately increase credit bond allocation without excessive leverage and duration extension; in a falling market, it will shorten duration and increase low - volatility asset holdings. This will intensify the term differentiation in the credit bond market [30]. - The peak of high - interest deposit repricing maturity will affect the demand structure of credit bonds. If funds flow into wealth management after high - interest deposits mature, it will support short - term high - grade credit bonds; if funds flow into the equity market, it may cause short - term disturbances in the bond market [34]. 3.3 Insurance: Stock - Bond Rebalancing in 2026 3.3.1 Core Bond Allocation Features: Liability - Driven Long - Term Allocation, Bond Allocation Rhythm Affected by Multiple Factors - Insurance funds have long - term liabilities with rigid costs, and premium income shows seasonal characteristics with a slowdown in growth. Insurance funds need to allocate long - term assets to match asset - liability duration. Premium income is concentrated in January, and the proportion of dividend - paying insurance may increase [39]. - The bond allocation rhythm is driven by multiple factors, with a significant characteristic of timing allocation at interest - rate peaks. Insurance funds prefer to participate in primary - market bond subscriptions, especially for long - term local government bonds and credit bonds. They also consider deposit yields and market interest rates when allocating bonds [40]. - Asset - side allocation is diversified, with local government bonds as the core allocation. After the contraction of non - standard assets, insurance funds are actively seeking alternative assets such as ultra - long - term interest - rate bonds, local government bonds, fixed - income plus products, and overseas fixed - income assets. Insurance funds have significant pricing power for long - term credit bonds [44]. 3.3.2 Stock - Bond Rebalancing + New Accounting Standards in 2026, More Cautious Allocation Style - In a low - interest - rate environment, stock - bond rebalancing is initiated, increasing the proportion of equity asset allocation and restricting the incremental allocation of pure bonds. This may weaken the承接 force for long - term credit bonds, widen the spreads of long - term credit bonds, and intensify term differentiation in the credit bond market [47][49]. - After non - listed insurance companies fully implement the new accounting standards in 2026, the preference for Tier 2 and perpetual bonds may further shrink, and credit risk appetite will be more cautious. This will intensify the grade spread differentiation and liquidity stratification in the credit bond market [50]. 3.4 Outlook on the Core Trends of the Credit Bond Market with Institutional Behavior Reshaping the Landscape - The credit bond yield curve will continue to steepen, and the ability to absorb long - term bonds may be limited. Wealth management focuses on short - term high - grade low - volatility assets, funds focus on short - to medium - term trading, and insurance may reduce long - term bond positions, leading to a steeper yield curve and potential widening of long - term credit spreads [51]. - Product innovation and maturity rhythms will drive a structural market, which will be the mainstream feature in 2026. The maturity rhythm of amortized cost - method bond funds will determine the phased allocation opportunities for 3 - 5 - year high - grade ordinary credit bonds, and the scale expansion of credit bond and sci - tech innovation bond ETFs will drive the valuation repair of constituent bonds [51][52]. - Changes in insurance allocation preferences may put continuous pressure on Tier 2 and perpetual bonds and low - to medium - grade credit bonds. The new accounting standards will affect the preference for Tier 2 and perpetual bonds, and the credit risk appetite of insurance will be more cautious, intensifying the grade spread differentiation [52].