证 券 研 究 报 告 【债券月报】 利差压缩空间有限，以稳为主、逢高配置 ——3 月信用债策略月报 2）结合季节性规律及当前市场环境来看，今年 3 月债市定价影响因素或相对 偏利好，债市收益率或季节性缓慢下行，可把握高流动性交易品种的参与机会。 信用债方面，当前信用利差已处于低位，压缩动能相对有限，整体性价比偏低， 但进入二季度信用债配置力量通常季节性走强，当前信用利差大幅走阔的风险 亦相对可控，月内利差波动高点可择机配置。 信用债策略：信用利差压缩动能偏弱，波动高点可适当布局 1）3y 以内品种基金和理财的配置需求较高，利差或低位波动，可做杠杆套息 策略。收益率主要分布在 1.65%-2.05%区间，利差在 10-40BP 区间。预计利差 继续维持在偏低水平附近震荡，可适当下沉挖掘收益。 2）4-5y 品种利差压缩空间有限，当前性价比偏低，月内利差高点可适当布局。 当前 4-5y 品种信用利差进一步压缩空间较为有限。同时需要注意 5y 摊余债基 进入下半年开放规模将明显下降，5y 品种需求格局或有弱化，利差中枢或逐 渐有上行压力，年中时点可结合市场情绪变化做部分仓位止盈。 3）5y 以上品种从布局票息的角 ...

固定收益月报 超长债博弈空间有限，关注二永债相对价值 3 月信用月报 核心结论 年初以来，长端及超长端信用债整体表现较优。除年初配置盘进场、摊余债基 集中开放带来的信用债配置需求以外，交易盘的参与亦是推动信用利差快速收 窄的关键因素。据机构净买入数据，年初至今，其他资管机构为 7-10Y 信用债 最大买入机构，其次为保险（92.8 亿元）和基金（20.6 亿元）。 （1）今年保险机构对 7-10 年期信用债的净买入力度显著强于去年同期，除了 该品种配置价值显现之外（年初信用利差、期限利差处于近年高位），还与分红 险领跑保险"开门红"有关。 （2）基金于 2 月对 7-10Y 信用债转为净买入，或主要由于 1 月信用利差快速压 缩背景下，5Y 及以内利差进一步向下压缩的空间不足，而超长信用债性价比性 价比高，叠加节前最后一周信用债配置情绪较好，基金入场博弈超长端信用债的 交易性机会。 （3）此外，年初以来公募基金对 5Y 以内信用债的买入力量较强，远超季节性。 分期限来看，3-5Y 信用债为基金配置主力，净买入规模超 2000 亿元。摊余定 开债基集中开放为信用债带来增量配置需求，成为支撑本轮信用利差快速压缩的 ...

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Viewpoints of the Report - The bond market showed narrow fluctuations from February 2nd to February 6th, with the ultra-long end rising slightly and breaking the situation. The market is in a repeated game near key points, and the follow - up needs to focus on policy signals and the defense and offense of key points [1] Group 3: Summary by Related Catalogs 1. Capital Market - The capital market was generally balanced and loose. From February 2nd to February 6th, DR007 traded in the range of 1.26 - 1.59%, and the capital price declined slightly. The central bank had a net withdrawal of 656 billion yuan in total [1] 2. Primary Market - The demand was high, and the bidding sentiment for treasury bonds and China Development Bank bonds was good. From February 2nd to February 6th, the cumulative issuance of interest - rate bonds was 1.1607 trillion yuan, and the average daily issuance was at a relatively high level [1] 3. Secondary Market - The bond market fluctuated narrowly, with the short - end falling slightly, the long - end basically flat, and the ultra - long end rising slightly. The yield of the active 10 - year treasury bond 250022 decreased by 0.25bp in total during the week [1] 4. Term Spread - The yield curve showed a reverse trend, and the 10Y - 1Y term spread of treasury bonds narrowed. From February 2nd to February 6th, the 10Y - 1Y spread of treasury bonds decreased by 2.18bp to 49bp, and the 10Y - 1Y spread of China Development Bank bonds decreased by 0.88bp to 39bp [1]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The current 10Y - 1Y and 30Y - 10Y spreads are continuously widening, reaching a ten - year high. The report analyzes the driving mechanisms and characteristics of these two key spreads, revealing the differences in dominant forces and structural change trends of different term spreads [1]. - In 2026, the steepening of the yield curve will continue, and the 10Y - 1Y and 30Y - 10Y spreads will generally widen marginally. The 10Y - 1Y spread will be steepened by monetary easing and may widen, while the 30Y - 10Y spread will be repaired by supply and rise in an oscillatory manner [3][4]. 3. Summary According to the Directory 3.1 10Y - 1Y Spread: Short - end Dominant, Long - end Amplifying - **Driving Factors: Policy Anchor, Growth Expectation, and Supply - demand Structure** - The 10Y - 1Y spread reflects the relative changes among short - term policy interest rates, medium - and long - term growth and inflation, and bond supply - demand structure. Short - term interest rates are more sensitive to monetary policy and the money market, while long - term interest rates reflect future growth trends, inflation expectations, and economic cycle changes. Bond supply - demand structure differences and investor behavior also affect the spread [9]. - **Pricing Logic: A Stable Negative Dynamic Equilibrium Relationship between 1Y and 10Y - 1Y** - Short - term interest rates determine the core direction of the 10Y - 1Y spread. After removing the influence of interest rate central migration, the 1 - year Treasury yield and the spread show a clear negative correlation. Long - term interest rates have a limited and unstable impact on the 10Y - 1Y spread [10][13]. - **Periodic Deviation: Structural Disturbance under Short - end Dominance** - The short - term interest rate and the 10Y - 1Y spread generally show a strong negative correlation, but there are also periodic changes in their correlation during the interest rate central switching stage. The 1 - year yield dominates the spread direction, and the negative correlation between the spread and the 1 - year yield may deviate or weaken in the short term. The correlation between the spread and the 10 - year Treasury yield is weak [17]. 3.2 30Y - 10Y Spread: The Dominance Shifting to the Ultra - long End, Spread Repricing - **Driving Factors of the 30Y - 10Y Spread: Differentiation in Supply - demand, Expectation, and Term Sensitivity** - The 30Y - 10Y spread reflects the differences in supply - demand structure, long - term expectations, and policy sensitivity between long - term and medium - long - term Treasuries. Its core drivers include supply - demand structure differences, differences in long - term economic growth and inflation expectations, and the impact of policy uncertainty and term sensitivity differences [25]. - **Core Pricing Logic: The Ultra - long End is Becoming the Dominant Force of the Spread** - The correlation between the 10 - year Treasury yield and the 30Y - 10Y spread is generally weak. The 30 - year Treasury yield has a more stable positive linkage with the spread, indicating that the ultra - long - end interest rate is playing an increasingly prominent role in driving the 30Y - 10Y spread [26][27]. - **Stage Switching: Multiple Combination Forms of Interest Rate Central Changes** - The pricing center of the 30Y - 10Y spread is gradually shifting to the ultra - long end. In different macro - economic and policy environments, the spread may show multiple combination forms, and the mid - term trend shows that the ultra - long end is gradually becoming the core anchor of spread pricing [34][43]. 3.3 Outlook: The Steepening of the Curve Continues, and the Double Spreads Widen - **10Y - 1Y Spread: Steepened by Easing, May Widen** - In the first half of 2026, the 10Y - 1Y spread may widen. The strengthening of the interest rate cut expectation will lower the short - term interest rate, and the front - loaded fiscal policy will increase the supply pressure, with the long - term pressure being higher [44][45]. - **30Y - 10Y Spread: Repaired by Supply, Rise in an Oscillatory Manner** - In 2026, the supply premium will replace the liquidity premium as the dominant factor of the 30Y - 10Y spread. In the first half of 2026, the 30Y - 10Y spread will remain high and oscillate, and the center may widen further [46].

避险资产不避险，债市风景独好？ 证券研究报告/固收专题报告 2026 年 02 月 04 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 分析师：严伶怡 近期债市市场走势偏修复，但开年以来各类品种表现背离，盘下来基本只有超长债表 现较差。从开年以来 10 年以内债券、二永的表现来看，债市可以说并非熊市，属于 迟到的配置行情。1 月 30 年国债虽然较去年底上行 2BP，最高上行 7BP，但 10 年及 以内国债、中短信用债表现稳定，基本没有下跌；二永表现更为优异，主要源于分红 险和固收+的配置需求，3 年、5 年 AAA-二级资本债，3 年、5 年 AA+银行永续债较 年底分别下行 5.8BP、9.0BP、 9.8BP、9.6BP。 从 30 年国债的角度上，在经历了去年 12 月和今年开年大幅调整后，很多投资人"受 伤"后参与力度减弱，因此没怎么跟随 10 年内修复，导致期限利差被动走阔。 多资产市场超高波动，但跟以往相比，对债券市场的影响比较小。无论是商品市场的 "滞涨"交易，还是权益市场科技方向的"风险偏好"交易，对债市并未造成显著下 跌的影响 ...

Group 1 - The net financing amount of credit bonds is at a historically high level, indicating that the logic of asset scarcity has dissipated [1] - In January, the issuance scale of credit bonds increased month-on-month, with the exception of medium-term notes, which saw a decrease in issuance amount [11] - The overall trend in credit bond yields remains low, with most varieties showing a month-on-month decline in average yields [59] Group 2 - The real estate market is transitioning from a phase of large-scale expansion to one focused on quality improvement, supported by ongoing policy optimization [60][61] - The recovery in real estate sales is expected to significantly impact bond valuations, with a focus on companies showing strong performance in new financing and sales recovery [61] - Investment strategies should prioritize high-quality state-owned enterprises and well-secured private enterprise bonds, while also considering opportunities in undervalued real estate bonds [61] Group 3 - The likelihood of default on urban investment bonds is low, making them a key focus for credit bond allocation [3] - The reform and transformation of financing platforms are accelerating under strict regulations, presenting opportunities for "entity-type" financing platforms [3] - Investment strategies should favor mid-to-short-term credit bonds while maintaining a cautious approach to trading strategies [3]

Group 1: Market Overview - In January, credit bond configuration sentiment was strong, leading to a significant compression of credit spreads, with 5-year credit spreads narrowing to the lowest point since 2025[12] - February's market outlook indicates a neutral to favorable pricing environment for bonds, with credit spreads expected to continue narrowing, particularly in the long-term credit segment[8] - The demand for credit bonds remains robust, especially for short-term products, driven by institutional investments and favorable monetary conditions[8] Group 2: Investment Strategies - For bonds with maturities of 5 years or less, focus on structural opportunities, particularly in the real estate sector, where sentiment is expected to improve[3] - Long-term credit bonds (over 5 years) are currently in a favorable positioning window, but investors should be cautious and take profits quickly as spreads compress[3] - Specific recommendations include targeting high liquidity bonds and those with favorable convexity, particularly in the 5.5-6 year and 7.5-8 year ranges[4] Group 3: Sector-Specific Insights - In the urban investment bond sector, low-grade bonds with maturities of 3 years or less still offer attractive yields, while medium to long-term bonds should focus on high-quality issuers[5] - The real estate bond market should concentrate on 1-2 year maturities, particularly for state-owned enterprises, as valuation recovery momentum is strong[5] - For coal bonds, short-term investments should be made cautiously, with a focus on high-rated issuers due to potential price fluctuations in the coal market[5]

Group 1 - The report highlights that the credit spread for bonds with maturities of 5 years or less is expected to compress further or maintain low volatility, with a focus on the influx of investment into long-duration credit bonds [2][3] - In January, the credit bond market showed strong sentiment, driven by the implementation of new fund fee regulations and strong institutional allocation, leading to a significant compression of credit spreads [12][15] - The report suggests that long-duration credit bonds are currently in a favorable positioning window, but trading should be executed with timely profit-taking [3][4] Group 2 - The strategy for credit bonds emphasizes identifying structural opportunities in the short to medium-term bonds while positioning for long-duration credits and ensuring timely exits [3][4] - The report indicates that the performance of credit bonds typically outperforms interest rate bonds, with credit spreads narrowing during February, influenced by seasonal factors and market dynamics [17][23] - The analysis of the secondary market shows a general decline in credit bond yields and a compression of credit spreads across various categories [8][15] Group 3 - The report discusses specific sector strategies, including opportunities in urban investment bonds, real estate bonds, coal bonds, and steel bonds, highlighting the importance of selecting high-quality issuers and considering market conditions [5][6] - It notes that the net financing of credit bonds has decreased year-on-year but increased month-on-month, with a rising proportion of long-duration issuances [9][22] - The report emphasizes the need for careful selection of bonds based on liquidity, convexity, and market conditions, particularly for long-duration credit bonds [4][5]

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - Since Q4 last year, there have been strong concerns about the supply of ultra - long bonds in the market. In January this year, the issuance scale of ultra - long government bonds increased significantly year - on - year, with the increment mainly from new special bonds, indicating a decent demand for capital for major project construction at the beginning of the year. The central bank's relatively active liquidity injection and banks' increased purchases at the ultra - long end have alleviated market concerns to some extent [3]. - From the perspective of achieving the annual economic target, the annual fiscal increment may exceed market expectations, and fiscal policies may be supplemented in the second half of the year. It is estimated that the net financing of government bonds in 2026 will be 15.1 trillion yuan, and the issuance of ultra - long government bonds will be 7.12 trillion yuan, a year - on - year increase of 0.7 trillion yuan. For Q1, the issuance of ultra - long government bonds is expected to be 2.24 trillion yuan, a year - on - year increase of 416.7 billion yuan, with certain supply pressure in February and March [3]. - Insurance is likely to have a good start, with an expected annual premium growth of 6.6% and the growth rate of the balance of funds utilization remaining at around 15%. It is estimated that in 2026, the proportion of ultra - long bonds allocated by insurance in the annual issuance of ultra - long bonds will drop to about 31%, and the proportion in its own bond investment will remain basically flat at about 71%, corresponding to an investment scale of about 2.2 trillion yuan, basically the same as in 2025 [3]. - It is estimated that the investment scale of commercial banks in ultra - long bonds in 2026 will be about 4.82 trillion yuan, accounting for about 67.7% of the annual issuance of ultra - long bonds, a year - on - year increase of 0.66 trillion yuan [3]. - For trading institutions, based on a neutral judgment of the interest rate trend, the investment scale of funds and securities firms in ultra - long bonds may be higher than that in 2025 but lower than that in 2024, totaling about 10 billion yuan [3]. - The 30 - 10 - year term spread in 2025 mainly widened due to the contraction of trading desks' demand for ultra - long bonds and frictions in the trading process, rather than being mainly determined by primary supply [3]. 3. Summary According to the Directory 3.1 How is the supply of ultra - long government bonds this year calculated according to the upper limit? - It is estimated that the net financing of government bonds in 2026 will be 15.1 trillion yuan, including 7.143 trillion yuan for treasury bonds and 7.938 trillion yuan for local bonds. In terms of issuance, the issuance of general treasury bonds will be 14.1377 trillion yuan, special treasury bonds 2 trillion yuan, new general bonds 80 billion yuan, new special bonds 550 billion yuan, special refinancing bonds 200 billion yuan, and ordinary refinancing bonds 325.8 billion yuan [7]. - The issuance of ultra - long government bonds in 2026 is expected to be 7.12 trillion yuan, a year - on - year increase of 0.7 trillion yuan. Among them, the issuance of ultra - long treasury bonds will be 1.74 trillion yuan, a year - on - year increase of 225 billion yuan, and the issuance of ultra - long local bonds will be 5.38 trillion yuan, a year - on - year increase of 475 billion yuan [8]. - For Q1, the issuance of ultra - long government bonds is expected to be 2.24 trillion yuan, a year - on - year increase of 416.7 billion yuan. The issuance of ultra - long treasury bonds in Q1 is usually low because special treasury bonds need to be approved by the Two Sessions and are expected to start issuing at the end of April. The planned issuance of local bonds in Q1 is about 2.38 trillion yuan, with a relatively high refinancing ratio, and the issuance of replacement bonds is expected to be in the front, making room for new bonds for construction projects later. The issuance progress of new special bonds is expected to be faster than last year [9][10]. 3.2 How is the demand for ultra - long bonds? 3.2.1 Insurance - In 2025, the premium income of insurance companies from January to November was 5.76 trillion yuan, a year - on - year increase of 7.56%. Property insurance increased by 2.48% year - on - year, with auto insurance as the main source of income, accounting for over 52% and highly correlated with the growth rate of vehicle ownership. Personal insurance increased by 9.2% year - on - year, with life insurance accounting for about 77% and growing by 11.47%, mainly driven by the popularity of savings - type insurance products [12][13]. - In 2026, the probability of a "good start" for premium income is high. Favorable factors include high - interest fixed - deposit maturities, the correlation between the stock market's good start in January and premium income growth, and a low base in 2025. Unfavorable factors include pressure on traditional life insurance and the over - consumption of demand due to previous "panic - buying" promotions. It is expected that the annual premium income will achieve stable growth, with property insurance growing by about 2% and personal insurance by about 8%, and the overall insurance premium income increasing by about 6.6% [14][15]. - At the end of Q3 2025, the balance of insurance funds utilization was 37.46 trillion yuan, a year - on - year increase of 16.5%. In 2026, it is expected that the year - on - year growth rate of the balance of insurance funds utilization will decline slightly to 15%. The proportion of bank deposits is expected to drop to 7%, the proportion of stock investment to rise to 11.5%, the proportion of fund investment to rise to 6%, the proportion of long - term equity investment to be stable at 8%, and the proportion of other investments to drop to 16%. The proportion of bonds will remain stable at 51.5%, with a net increment of about 3.1 trillion yuan [20][21]. - From 2022 - 2025, the net purchases of ultra - long bonds by insurance institutions in the secondary market were 0.48, 0.73, 1.71, and 2.28 trillion yuan respectively, accounting for 13.62%, 20.7%, 31.3%, and 35.5% of the annual issuance of ultra - long bonds, and 48%, 41%, 67%, and 72% of the annual bond investment respectively. In 2026, it is expected that the proportion of ultra - long bonds in the annual issuance of ultra - long bonds will drop from 35.5% in 2025 to about 31%, and the proportion in its own bond investment will drop slightly from 72% in 2025 to 71%, corresponding to an investment scale of about 2.2 trillion yuan [25][26]. 3.2.2 Banks - In 2025, the proportion of banks' bond allocation increased significantly. The government bond custody volume of commercial banks was 63.85 trillion yuan, accounting for 67.17% of the outstanding government bonds. The incremental custody of government bonds by commercial banks in 2025 was 10.8 trillion yuan, accounting for 78% of the net financing of government bonds in 2025 [29]. - It is estimated that in 2026, the passive allocation scale of commercial banks for government bonds will be 10.56 trillion yuan, and the scale of bond purchases will be 17.56 trillion yuan. The scale of ultra - long bonds that commercial banks need to undertake may be 4.48 trillion yuan. It is also expected that the excess allocation scale of commercial banks for ultra - long bonds in 2026 will increase slightly to 0.34 trillion yuan compared with last year. Overall, the scale of commercial banks' allocation of ultra - long bonds in 2026 is estimated to be about 4.82 trillion yuan [30][32]. - After the implementation of the redemption new rules at the beginning of this year, part of the banks' entrusted - out investment has been transferred back to self - operated allocation. The probability of using this part of the funds to increase the allocation of ultra - long bonds is not high due to certain indicator pressures [33]. 3.2.3 Trading Institutions - In 2025, securities firms mainly increased their allocation of treasury bonds, reduced their allocation of local bonds, and shortened the duration of government bonds. The investment scale of securities firms in ultra - long bonds decreased by 1.493 billion yuan. In 2026, it is expected that the investment scale of securities firms in ultra - long bonds will be basically the same as in 2025 [40][41]. - At the end of 2025, non - monetary funds held 12.51 trillion yuan in bond investments. In 2025, funds only net - bought 5.82 billion yuan of ultra - long interest - rate bonds. In 2026, due to the implementation of the fund sales new rules and concerns about the cancellation of tax exemption, the liability side of bond - type funds is unstable. It is expected that the investment scale of funds in ultra - long bonds will be higher than that in 2025 but lower than that in 2024, about 10 billion yuan [41][42]. 3.3 Does the 30 - 10 - year term spread depend on primary supply? - The widening of the 30y - 10y treasury bond spread in 2025 mainly occurred in the second half of the year, mainly due to the significant improvement in the stock market sentiment, the fund sales new rules, and the interest - rate adjustment, which led to the selling of ultra - long bonds by trading - like desks. If primary supply were the decisive factor, the spread should have widened in Q2 2025 [45]. - The widening of the 30y - 10y local bond spread also shows that primary supply is not the main influencing factor, as the power of allocation desks is sufficient to hedge the selling pressure [45]. - For the secondary interest - rate trend, the willingness of trading desks to increase holdings and short - term frictions seem to be more crucial [48].

固定收益周报 成交金额继续增长，收益率整体保持下行 ――信用债周报 分析师：李济安 SAC NO：S1150522060001 2026 年 1 月 27 日 核心观点： 本期（1 月 19 日至 1 月 25 日）交易商协会公布的发行指导利率多数上 行，整体变化幅度为-2 BP 至 6 BP。本期信用债发行规模环比增长，企业债 发行金额较上期持平，公司债、中期票据、短期融资券发行金额增加，定向 工具发行金额减少；信用债净融资额环比增加，各品种净融资额增加，企业 债、定向工具净融资额为负，公司债、中期票据、短期融资券净融资额为正。 二级市场方面，本期信用债成交金额继续环比增长，中期票据、定向工具成 交金额减少，其余品种成交金额增加。收益率方面，本期信用债收益率多数 下行。信用利差方面，本期中短期票据信用利差整体收窄；企业债 7 年期信 用利差收窄，其余期限多数走阔；城投债 3 年期信用利差收窄，长期限多数 走阔。分位数来看，多数品种利差均处于历史低位，7 年期品种分位数相对 较高。绝对收益角度来看，供给不足和相对旺盛的配置需求将推动信用债延 续修复行情，尽管多空因素影响下震荡调整难以避免，但总体而言，信用债 ...