华福证券 2026 年 03 月 01 日 固 定 收 益 中高等级信用利差大致平稳，5Y 二级债利差走扩 —— 信用利差周度跟踪 20260228 投资要点： 中高等级信用利差大致平稳，1Y 和 5Y 中低评级信用利差收敛。本周 固 定 收 益 定 期 报 告 （2 月 24 日至 2 月 28 日）在止盈情绪影响下债券市场出现调整，但周六 调休日受美伊冲突爆发影响，利率有所回落，全周来看 3Y、5Y 和 10Y 期 国开债收益率分别上行 1BP、1BP 和 2BP，1Y 和 7Y 期持平。但周六避险 情绪的升温还尚未反映在信用债市场，中高等级信用债整体也有所调整， 1Y 期 AA+及以上等级信用债收益率持平，AA 下行 1BP，AA-下行 5BP； 3Y 期各等级收益率上行 1-2BP；5Y 期 AAA 收益率持平，AA+上行 2BP， 其余等级下行 3-5BP；7Y 期 AAA 收益率上行 1BP，AA+持平，AA 下行 1BP；10Y 期各等级收益率上行 4BP。中高等级利差大致平稳，长久期品种 有所回升，而 1Y 和 5Y 低评级信用利差收敛。1Y 期 AA+及以上等级信用 利差持平，AA 级收窄 ...

Group 1 - The credit bond carry strategy remains robust, but the safety cushion is narrowing, especially at the short end [9] - The current credit spread is at a relatively low level, suggesting attention to certain varieties and downgrading of coupon value [9] - The demand for amortized bond funds supports the logic that the public credit bond market has not yet significantly started but remains promising [9] Group 2 - The company bond ETF (511030) is experiencing a stalemate, with the latest quote at 106.94 yuan and a cumulative increase of 1.51% over the past year [3] - The trading volume of the company bond ETF is 8.85%, with a transaction value of 3.026 billion yuan, and an average daily transaction of 3.105 billion yuan over the past week [4] - The latest scale of the company bond ETF has reached 34.193 billion yuan, marking a new high in nearly a year [5] Group 3 - The company bond ETF has seen continuous net purchases of leveraged funds for five consecutive days, with the highest single-day net purchase reaching 19.1374 million yuan [5] - The maximum drawdown of the company bond ETF this year is 0.03%, with a recovery period of 7 days [5] - The management fee rate for the company bond ETF is 0.15%, and the custody fee rate is 0.05% [5] Group 4 - The tracking error of the company bond ETF this year is 0.006%, closely tracking the China Bond - High-Grade Corporate Bond Spread Factor Index [6] - The index serves as a performance benchmark for investing in high-grade corporate bonds, based on AAA-rated corporate bonds [6]

Group 1: Credit Strategy - The report emphasizes a focus on high convexity coupon products across different maturities, suggesting a strategic allocation from short to long durations [11][19] - The credit bond market has seen a general decline in yields, with a divergence in credit spreads, indicating a mixed performance among different bond types [11][6] - The current market conditions present an important window for coupon allocation, particularly in the 3.5-4y, 5.5-6y, and 7.5-8y segments [19][32] Group 2: Market Overview - The yield for 1-year short-term bonds is currently in the range of 1.70%-1.80%, which is approximately 7-9 basis points higher than similar maturity certificates of deposit, indicating a favorable comparison [25][30] - For 2-3 year bonds, the yields are between 1.80%-2.15%, with spreads expected to remain low, making them attractive for investment [26][30] - The 4-5 year bonds show high convexity, with a focus on the value of public bonds, as their spreads have widened slightly, improving their relative value [29][32] Group 3: Policy and Events - The National Development and Reform Commission has issued guidelines for government investment funds, marking a systematic approach to fund allocation and investment focus [4] - Regulatory bodies are facilitating loan extensions for real estate companies, which is expected to improve their cash flow and market expectations [4] - Vanke has proposed multiple debt restructuring plans, indicating proactive measures to reach consensus with creditors [4]

Core Viewpoint - The article discusses the investment strategy for bonds in the first quarter of 2026, focusing on the trade-off between duration opportunities and the stable value of coupon rates [2] Group 1: Duration Opportunities - The analysis highlights the potential for duration-based strategies to capitalize on interest rate movements, suggesting that investors may benefit from adjusting their portfolio duration in response to market conditions [2] - It emphasizes the importance of monitoring macroeconomic indicators that could influence interest rates, such as inflation and central bank policies [2] Group 2: Coupon Rate Stability - The article points out that coupon rates provide a reliable income stream, which can be particularly attractive in a volatile interest rate environment [2] - It suggests that maintaining a portion of the portfolio in high-quality bonds with stable coupon payments can mitigate risks associated with interest rate fluctuations [2]

Group 1 - The core view of the report indicates that the credit spread in 2025 has compressed significantly, particularly for lower-rated bonds, suggesting a trend towards "consolidation" in the credit bond market [2][3] - In 2025, the credit bond market outperformed government bonds, with a recorded return of 1.69% compared to 0.48% for government bonds, and the compression of credit spreads was most pronounced in lower-rated bonds [8][11] - The report anticipates that while the credit bond market does not have a bearish foundation for 2026, there may be risks of widening credit spreads, particularly as the supply of credit bonds may increase relative to government bonds [3][37] Group 2 - The analysis of market trends shows that the supply of credit bonds is weaker than that of government bonds, with demand remaining relatively stable, which has contributed to the compression of credit spreads [12][17] - Factors influencing demand include an expansion in bank credit and a decrease in funding rates, which may support the demand for credit bonds, particularly from non-bank investors [17][20] - The report highlights that the demand for credit bonds may weaken in 2026 due to regulatory changes and a potential decline in the attractiveness of credit bonds for wealth management products [41][44] Group 3 - The report suggests a focus on specific sectors for bond selection, recommending high-quality provincial AA-rated bonds, market-oriented entities, and those not on the withdrawal list for city investment bonds [4][60] - For financial bonds, the report advises attention to the value of older bonds and the structural opportunities arising from the consolidation of rural commercial banks, while avoiding bonds from smaller banks with low capital adequacy ratios [4][65] - In the industrial bond sector, the report recommends focusing on central enterprise bonds and high-quality regional state-owned enterprise bonds following risk shocks [4][69]

Group 1 - The report indicates that credit bond yields have adjusted significantly, with the adjustment magnitude exceeding that of interest rate bonds, leading to a widening of credit spreads. Notably, long-term credit bonds experienced a marked decline, with some mid-to-high grade 7-10 year bonds dropping over 10 basis points, while 3-5 year credit bonds also saw substantial declines [1][9]. - Recent buying behavior shows that funds, representing trading positions, have been net sellers, particularly of certain interest rate products, while wealth management and insurance sectors continue to buy on dips, focusing mainly on short-term bonds with maturities of three years or less [2][15]. - The static "downside protection" for various credit products has been calculated, showing that short-term bonds within one year have robust protection, generally exceeding 50 basis points. The downside protection for 2-3 year credit products has improved by 2-5 basis points since July 18, now ranging from 20-40 basis points [3][31]. Group 2 - As of August 22, 2025, certain AA and AA(2) credit bonds with maturities of two years or less have seen yields drop to over 1.9%, indicating a value in short-term coupons that also possess defensive attributes amid market volatility. The report suggests that the bond market may still be influenced by equity market fluctuations, necessitating careful liquidity management [4][34]. - The report highlights that the yield curve for 3-4 year perpetual bonds has become more attractive, with current valuations exceeding those of similarly rated short-term and urban investment bonds. It anticipates that the 1.8% resistance level in the bond market may be difficult to breach, suggesting higher trading value once interest rates stabilize [4][34].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The bond market has a low "profit - making effect", leading to the continuous withdrawal of trading funds. Despite marginal positive factors, the bond market continued to decline last week. The current situation is similar to the reversal in the bond market in the fourth quarter of last year [4][7]. - It is difficult to expect the bond market to rise again due to the end of the stock market rally. The triggers for the bond market to rise again are that loose liquidity becomes the dominant factor and the coupon value meets investors' psychological expectations [10]. - Although trading enthusiasm is cooling, the bond market still has two supporting factors: continued loose liquidity and rigid allocation demand. The overall outlook for the bond market in the second half of the year is not pessimistic, and short - term trading enthusiasm is hard to recover immediately [4][11][12]. Summary by Directory 1. Bond Market Weekly Viewpoint: The "Reverse Mirror" of the Bond Market in Q4 2024 - The bond market adjustment last week was mainly due to the low "profit - making effect", causing trading funds to withdraw. The current situation is similar to the change in the bond market sentiment in Q4 last year. The reversal last year was due to the central bank's actions and the economic "small spring". Currently, the bond market is also facing the consensus of low profit - making effect [4][7]. - It is difficult for the bond market to rise again because of the end of the stock market rally. The bond market's rise depends on loose liquidity and the coupon value reaching investors' expectations. The former requires central bank signals, and the latter needs sufficient withdrawal of trading funds and investors' confidence in limited bond market adjustment [10]. - There are two supporting factors for the bond market: continued loose liquidity and rigid allocation demand. The overall outlook for the bond market in the second half of the year is not pessimistic, but short - term trading is difficult, and medium - and short - term credit products still have allocation value [4][11][12]. 2. This Week's Focus in the Fixed - Income Market: Increasing Supply of Local Government Bonds 2.1 Domestic August LPR to be Announced - This week, China will announce the August LPR, the US will announce the July new - home starts, and the eurozone will announce the August consumer confidence index and PMI. The Fed Chairman will speak at the Jackson Hole Global Central Bank Annual Meeting on Friday [14]. 2.2 This Week's Increase in Interest - Bearing Bond Issuance - This week, it is expected to issue 931.2 billion yuan of interest - bearing bonds, a relatively high level compared to previous years. Among them, treasury bonds are expected to issue about 402 billion yuan, local government bonds 369.2 billion yuan, and policy - bank bonds about 160 billion yuan [16]. 3. Review and Outlook of Interest - Bearing Bonds: Improved Risk Appetite Puts Pressure on the Bond Market 3.1 Continued Net Withdrawal in Reverse Repurchase Operations - The central bank's open - market reverse repurchase operations continued to have a net withdrawal. The reverse repurchase scale reached 711.8 billion yuan, with a net withdrawal of 414.9 billion yuan. Tax - period funds saw a low - level increase in interest rates, with the repurchase volume rising and then falling, and the overnight and 7 - day DR and R rates changing compared to the previous week [22][23]. - The issuance of certificates of deposit remained at a relatively high level, with a net financing of - 131.1 billion yuan. The issuance by different types of banks and the proportion of different maturities changed, and the certificate of deposit rates mostly increased [28][29]. 3.2 Improved Market Risk Appetite - Last week, the resurgence of anti - involution policies led to a rapid rise in commodity prices and a stronger equity market, improving market risk appetite and putting pressure on the bond market. Despite poor financial and economic data, the positive impact was limited, and the redemption pressure on bond funds increased the bond market adjustment. On August 15, the yields of various - maturity treasury bonds mostly increased, with the 10 - year China Development Bank bond rising the most [38]. 4. High - Frequency Data: Most开工率 Declined - On the production side, most开工率 declined, such as blast furnace and semi - steel tire开工率, while the asphalt开工率 increased. The year - on - year decline in the average daily crude steel output in early August narrowed [47]. - On the demand side, the year - on - year growth rates of passenger car manufacturers' wholesale and retail sales diverged. The year - on - year growth rate of commercial housing transaction area remained negative. The export indices SCFI and CCFI decreased [47]. - On the price side, crude oil, copper, and aluminum prices declined, coal prices were divided, and in the middle - stream, building material prices mostly decreased. The output of rebar increased, and the inventory rose rapidly. Vegetable prices increased, while fruit and pork prices decreased [48].

Group 1 - The credit market has shown a general increase, with the yield curve steepening for perpetual bonds, as credit spreads have narrowed significantly due to a recovery in credit sentiment and favorable tax policies [1][2][4] - The yield on 3-year perpetual bonds has decreased by 3-4 basis points, while the long-end yields have seen limited increases, indicating a flattening of the curve [1][4] - Short-term bonds have outperformed long-term bonds, and lower-rated bonds have performed better than higher-rated ones during this period [1][2] Group 2 - The reintroduction of VAT on newly issued government and local bonds has provided a relative pricing advantage for credit bonds, leading to a noticeable increase in buying activity from public funds [2][14] - Despite a decrease in the scale of wealth management products, there has been a temporary increase in credit holdings due to the attractive pricing of credit bonds [2][25] Group 3 - Since July, there has been a slight increase in the supply of urban investment bonds, alongside stable issuance from state-owned and private enterprises, particularly in the technology sector [3][33] - As of August 10, 2025, the cumulative net financing for credit bonds has reached 1.556 trillion yuan, slightly above the level seen in the same period last year [3][34] Group 4 - Credit spreads have compressed significantly since the beginning of 2025, with short-term spreads compressing more than long-term ones, indicating a structural shift in the credit market [4][47] - The current yield levels for most credit varieties are below those at the beginning of the year, with the exception of some high-grade perpetual bonds [4][51] - Non-financial credit bonds are expected to benefit from a tax advantage of 3-15 basis points, with spreads for mid-to-high-grade 3-5 year credit varieties approaching last year's low points [4][53]