2026年一季度债券行情回顾：收益率曲线陡峭化，信用利差普遍收窄

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - In Q1 2026, the bond market showed an oscillating trend driven by multiple factors such as the stock - bond seesaw, central bank operations, and geopolitics. The long - and short - end yields were significantly differentiated, with the yield curve becoming steeper. The credit bond yields fluctuated in the same direction as the treasury bond yields, and the yields of low - grade and medium - term credit bonds declined more significantly. The credit spreads of all grades generally narrowed, and the default risk decreased compared to previous years [8][36]. 3. Summary According to Relevant Catalogs 3.1 Valuation Curve: Yields First Declined and Then Rose - Most treasury bond yields of various tenors generally declined, while the yields of ultra - long - term treasury bonds increased. The yield curve showed a steepening feature. The credit bond yields also declined, with the yields of low - grade and medium - term credit bonds declining more significantly. The credit spreads of credit bonds of all tenors and ratings narrowed, and the narrowing amplitude of medium - and low - grade credit bonds was generally higher than that of high - grade ones [9]. - Specifically, as of March 27, 2026, the 1 - year treasury bond, 10 - year treasury bond, 10 - year policy - bank bond, and 30 - year treasury bond yields changed by -9BP, -3BP, -4BP, and 8BP respectively. The yields of 3 - year AAA, 3 - year AA+, 3 - year AA, and 3 - year AA - changed by -12BP, -16BP, -21BP, and -19BP respectively. The credit spreads of 3 - year AAA, 3 - year AA+, 3 - year AA, and 3 - year AA - narrowed by 6BP, 10BP, 15BP, and 13BP respectively [9]. 3.2 Treasury Bond Yields Oscillated and the Curve Became Steeper - The bond market in Q1 2026 presented an "oscillating and multi - factor intertwined" trend. The short - end yields were mainly affected by the loose capital market and oscillated downward, while the long - end yields were affected by equity fluctuations, risk - aversion sentiment, and inflation expectations and showed range - bound oscillations. The 1 - year and 10 - year treasury bond yields can be divided into five stages [10]. - Early January: After the New Year's Day holiday, the equity market soared, and bond market sentiment was under pressure. The 10 - year treasury bond yield rose above 1.90%, while the 1 - year treasury bond yield only rose slightly by about 2BP [11]. - From early January to before the Spring Festival: The regulatory authorities introduced equity "cooling" measures, and the central bank implemented a structural interest - rate cut. The bond market recovered, and the 10 - year treasury bond yield declined. The 1 - year treasury bond yield dropped below 1.25% under the expectation of loose liquidity [11]. - After the Spring Festival: The capital interest rate increased marginally, and the A - share market strengthened. The 10 - year treasury bond yield rose back above 1.80%, and the 1 - year treasury bond yield returned above 1.32% [11]. - From late February to early March: The military strike between Israel, the US, and Iran triggered risk - aversion sentiment, and the 10 - year treasury bond yield dropped below 1.78% [11]. - From early March to the end of March: The intensifying conflict between the US and Iran pushed up oil prices, and the long - end treasury bonds weakened under the expectation of imported inflation. The 10 - year treasury bond yield rose back to around 1.82%. The loose capital market drove the short - end yields to oscillate downward, and the yield curve became steeper [12]. 3.3 Credit Spreads: Credit Spreads of All Grades Generally Narrowed - In early January, affected by the soaring equity market and the pressure on bond market sentiment, the yields of credit bonds and treasury bonds rose simultaneously, but the increase in treasury bond yields was more obvious, leading to a rapid compression of credit spreads [15]. - From early January to the end of February, with the implementation of equity cooling measures and the central bank's structural interest - rate cut, the bond market recovered, and the decline in credit bond yields was greater than that of treasury bonds. The credit spreads of all grades narrowed slightly. At the end of February, affected by the increase in capital interest rates and the strengthening of the equity market, the spreads rebounded briefly [15]. - After early March, the intensifying US - Iran conflict pushed up oil prices and inflation expectations. The long - end treasury bond yields rose, the short - term bonds strengthened, and the yields of 3 - year - old credit bonds also declined. The credit spreads of 3 - year - old bonds of all grades fluctuated and narrowed with the market rhythm [15]. - Overall, in Q1 2026, the credit spreads of all grades generally showed a narrowing trend, with a brief rebound and then continued to narrow. The narrowing amplitude of short - end credit spreads was less than that of long - end spreads, and the narrowing amplitude of high - grade credit spreads was less than that of low - grade spreads [16]. 3.4 Risk of Implicit Rating Downgrade in the ChinaBond Market Increased - In Q1 2026, the amount of credit bonds with implicit rating downgrades in the ChinaBond market was 194 billion yuan, a significant increase compared with the same period last year. The total amount of credit bonds with implicit rating upgrades was 23.1 billion yuan, significantly lower than the same period last year [19]. - Among the above - mentioned upgraded and downgraded samples, the proportion of urban investment bonds in Q1 2026 was 29.3% and 0.5% respectively. Compared with the same period last year, the proportion of upgraded urban investment bonds increased, and the proportion of downgraded urban investment bonds decreased [19]. 3.5 Default: Default Risk Decreased and the Default Rate of Real - Estate Bonds Declined - In Q1 2026, there were no new first - time default issuers. According to the broad default standard, the default amount was 1.1 billion yuan, and the default rate was 0.002%. The annualized default rate decreased significantly compared with previous years [24]. - Structurally, the defaulting entities in Q1 2026 were still concentrated in real - estate bonds, and the defaulting real - estate enterprises were public enterprises. The default rate of real - estate bonds in Q1 was 0.1%, and the default scale and annualized default rate of real - estate bonds decreased significantly both quarter - on - quarter and year - on - year. The default rate of private enterprises in Q1 was 0%, and the annualized default rate continued to decline quarter - on - quarter [29]. 3.6 Recovery Rate Remained Low - In Q1 2026, the defaulted bonds recovered a principal of 1.07 billion yuan. The corresponding issuers included Sunac Real Estate, Greenland Holdings, and Country Garden, which self - compensated part of the interest or principal [32]. - From 2014 to the present, the defaulted bonds have paid a total principal of 144.7 billion yuan, and the payment rate of overdue principal is 13.7% [32]. 3.7 Summary - In Q1 2026, the bond market yields showed an oscillating trend of first declining and then rising, with significant differentiation between the long - and short - ends. The credit bond yields fluctuated in the same direction as the treasury bond yields, and the yields of low - grade and medium - and long - term credit bonds declined more significantly. The credit spreads of all grades generally narrowed, and the narrowing amplitude of medium - and low - grade credit spreads was higher than that of high - grade spreads, and the short - end narrowing amplitude was less than the long - end [36]. - The default risk further decreased compared with previous years, with no new first - time default issuers. The defaulting entities were still concentrated in real - estate bonds, and the default scale and annualized default rate of real - estate bonds decreased significantly both quarter - on - quarter and year - on - year. The amount of implicit rating downgrades in the ChinaBond market increased significantly year - on - year, and the amount of upgrades was significantly lower than the same period last year. The proportion of urban investment bonds in the upgraded samples increased, and the proportion in the downgraded samples decreased [37]. - In Q1 2026, the defaulted bonds recovered a principal of 1.07 billion yuan, and some issuers self - compensated part of the interest or principal. From 2014 to the present, the payment rate of overdue principal of defaulted bonds is 13.7% [37].