证券研究报告 | 朝闻国盛 gszqdatemark 2026 02 26 年 月 日 朝闻国盛 作者 | 分析师 | 沈芷琦 | | | | --- | --- | --- | --- | | 执业证书编号：S0680521120005 | | | | | 邮箱：shenzhiqi@gszq.com | | | | | 行业表现前五名 | | | | | 行业 | 1 月 | 3 月 | 1 年 | | 综合 | 13.9% | 31.2% | 85.6% | | 建筑材料 | 11.9% | 30.1% | 55.3% | | 石油石化 | 7.3% | 28.2% | 42.4% | | 煤炭 | 6.1% | 8.8% | 22.5% | | 通信 | 4.3% | 23.5% | 75.6% | | 行业表现后五名 | | | | | 行业 | 1 月 | 3 月 | 1 年 | | 商贸零售 | -5.4% | 2.7% | 10.8% | | 计算机 | -3.5% | 5.5% | 3.4% | | 医药生物 | -3.3% | -0.4% | 13.7% | | 传媒 | -2.2% | 8 ...

Group 1 - The bond market is experiencing a bullish trend, with the 10-year government bond yield fluctuating around 1.8% after a decline to this level on January 28. Recent movements indicate a gradual decrease in yields for long-term government bonds and government-backed securities [7][11][39] - Investors are advised to focus on three key questions regarding the potential for further yield declines: the extent of the rebound in yields, the possibility of further declines in the 10-year government bond yield, and the outlook for perpetual bonds [7][11][39] - The current spread between the 30-year and 10-year government bonds is approximately 42-43 basis points, with expectations that the 30-year yield could decline to around 2.2% if the 10-year yield remains stable at 1.8% [7][11][39] Group 2 - The report suggests that the 10-year government bond yield may face strong resistance at the 1.8% level, requiring significant positive stimuli to break below this threshold. Factors to monitor include potential interest rate cuts by the central bank and economic pressures affecting risk assets [12][41] - The sentiment around perpetual bonds has improved, with yields declining due to increased liquidity and positive market sentiment. However, the absolute returns on these bonds are currently limited [12][41] - The report outlines five strategies for bond selection, including focusing on high-frequency trading opportunities, long-term government bonds, and specific government-backed securities based on yield spreads [16][39] Group 3 - The bond market's overall sentiment remains strong, with a lack of significant negative factors currently impacting trading opportunities. The recent decline in overnight funding rates has further bolstered investor optimism [19][30] - The report indicates that the valuation of bonds is relatively attractive compared to other asset classes, with the current yield levels not appearing overly high [30][31] - The analysis of institutional holding costs shows that the average cost for funds holding 10-year government bonds is around 1.83%, indicating slight profitability for these institutions [22][30]

Group 1 - The report highlights the significant growth in the issuance of technology innovation bonds (科创债) following the announcement by the People's Bank of China in March 2025, with AAA-rated bonds seeing issuance rise from 20.3 billion yuan in March to 98.8 billion yuan in July 2025, and peaking at 119 billion yuan in November 2025 [4][7] - The average yield for 1-year AA-rated technology innovation bonds was 1.94% in 2025, while the 5-year AA-rated bonds had an average yield of 2.42%, with a peak yield spread of 61 basis points observed on October 10 [12][14] - The report notes that the secondary market saw a significant increase in trading volume for AA-rated technology innovation bonds, with monthly trading volume rising from 33.9 billion yuan in March to 61.3 billion yuan in July 2025 [10][12] Group 2 - The report indicates that multiple technology innovation bond ETFs were launched starting in July 2025, with the highest annualized return of 3.1% recorded by the Invesco CSI AAA Technology Innovation Corporate Bond ETF [23][24] - The report provides a detailed performance analysis of 24 technology innovation bond ETFs, showing that the average annualized return can be enhanced by 58 basis points using a 2-year riding strategy [60][63] - The report identifies that the Invesco CSI AAA Technology Innovation Corporate Bond ETF and the Fortune CSI AAA Technology Innovation Corporate Bond ETF are among the top performers, while other ETFs can benefit from a riding strategy to manage volatility and drawdown [27][63] Group 3 - The report discusses the construction of a portfolio consisting of 72% AAA-rated and 28% AA-rated technology innovation bonds, which is adjusted bi-weekly, showing that the 1-3 year bonds have the highest Sharpe ratio of 2 [30][31] - The report emphasizes that the riding strategy across different durations (2, 5, and 7 years) yields higher Sharpe ratios, with the 2-year riding strategy achieving a Sharpe ratio of 1.92 and an annualized return of 2.6% [38][39] - The report concludes that the 1-3 year technology innovation bond ETFs performed relatively well, while the longer 10-year bonds showed less favorable returns [46][48]

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - In 2025, the bond market showed a pattern of "fast bull, slow bear, mainly oscillating", with the 10 - year Treasury bond yield fluctuating between 1.6% - 1.9%. The yield curve changed from bull - steep to bear - flat and then to bear - steep [2][9]. - In 2026, the yield curve is likely to maintain a relatively steep shape, with the short - end being prone to decline and the long - end difficult to fall. The probability of the curve remaining oscillating or slightly bull - steep is higher [3]. - In 2026, the riding strategy is a better choice than simply relying on duration extension. The 5 - year to 4 - year Treasury bond riding strategy is optimal on the current yield curve, with relatively controllable risks [4]. 3. Summary According to the Directory 3.1 1.行情回顾：债市“快牛慢熊”，曲线从牛陡走向熊陡 - In 2025, the bond market experienced a "fast bull, slow bear" and entered an oscillating market. The 10 - year Treasury bond yield oscillated between 1.6% - 1.9%. The short - term bond interest rate first rose and then fell during the year, and the yield curve changed from bull - steep to bear - flat and then to bear - steep [9]. - In Q1, long - term interest rates dropped significantly, short - term interest rates rebounded sharply, and the curve changed from bull - steep to bear - flat; in Q2, the bond market entered a sideways consolidation, and the curve remained relatively flat; in Q3, long - term bond yields rose significantly, short - term fluctuations were limited, and the curve changed from bear - flat to bear - steep; in Q4, the "bear - steep" of the curve was further strengthened [11]. 3.2 2.行情展望：排除长端大幅上行风险，曲线陡峭化或延续 3.2.1 2.1 曲线形态：短端易落长端难下，收益率曲线或延续陡峭 - After the bear - steep, there are three typical trends: bear - flat, bull - steep, and oscillation. In 2026, the curve is most likely to remain steep or slightly bull - steep, with a high probability of a structural differentiation pattern of "short - end decline, long - end oscillation" [14][15]. 3.2.2 2.2 四个约束：限制长端收益率大幅上行的因素 - ROIC: The central decline of ROIC in recent years restricts the significant upward movement of long - term Treasury bond yields [16][18]. - Long - term loan interest rate and long - term Treasury bond interest rate: The long - term loan interest rate is still falling, and the long - term Treasury bond yield is difficult to rise significantly [19]. - Stock - bond ratio: The current stock - bond ratio is in a neutral range, and if the bond yield rises significantly, it will enter the allocation value range [21]. - Asset - liability ratio: The spread between the liability costs of banks and insurance and the Treasury bond yields has been significantly eased, and the stabilizing effect of the allocation disk may suppress the significant upward movement of yields [23]. 3.3 3.利率策略：做陡曲线，骑乘策略或是最佳选择 3.3.1 3.1 策略选择：曲线偏陡背景下，骑乘优于单纯久期博弈 - In 2026, it is difficult to simply rely on duration extension to bet on interest rate decline. The riding strategy can obtain certain returns from the curve shape and is more suitable for the market characteristics of "low interest rate, low volatility, and dominated by curve structural changes" [25][28]. 3.3.2 3.2 策略思路：在陡峭曲线下，选择1年持有期的曲线凸点 - In the riding strategy, the 5 - year Treasury bond riding to the 4 - year is the optimal convex point on the current yield curve, which can obtain relatively certain structural returns while controlling risks [30][32]. 3.3.3 3.3 策略模拟：不同情景下骑乘目标收益测算与风险衡量 - Under the static curve assumption, the one - year target return of the 5 - year to 4 - year riding strategy is about 2.01%; under the bull - steep assumption, it can be increased to about 2.20%. The 5 - year riding strategy has a relatively thick risk cushion, and the risk is relatively controllable [34][35].

Group 1 - The report suggests that investors should focus on three key issues regarding the current bond market, particularly the strong exit sentiment after the 30-year interest rate recovery, which has risen from approximately 2.13% to 2.28%, with a correction of over 8 basis points from its peak [6][10][39] - It raises the question of whether the 10-year interest rate may experience a decline after the significant widening of the 30-10Y spread, predicting a potential rise to 1.9% or higher in the next 1-2 months due to low expectations for short-term easing and lower-than-expected allocation power [11][40] - The report recommends focusing on short-term opportunities, particularly in the 2-year and under credit bonds, 3-4 year perpetual bonds, and 5-year government bonds, given the current low funding rates and the potential for increased preference for short-term credits and mid-term government bonds [12][40][41] Group 2 - The bond market has shown a slight rebound recently, attributed to the significant adjustments in the long-term bonds and expectations of monetary easing following important meetings [19] - The report indicates that the current yield curve is not steep, with the 10-1Y spread maintaining around 45 basis points, and suggests that the long-end rates will continue to influence curve movements, although significant steepening is unlikely [41][37] - It highlights that the valuation of bonds is relatively low compared to equities, with the current 10-year government bond yield being at a lower percentile compared to historical data, indicating that bonds are not overvalued [28][31][39]

Core Insights - Duration risk is a key consideration in bond investment, measuring sensitivity to interest rate changes, with short-term bonds generally offering lower volatility and more stable performance compared to long-term bonds [1] Group 1: Performance of Short-Term Bonds - Short-term bonds are more likely to benefit from a rate-cutting cycle due to their yields being closer to short-term or risk-free rates, as evidenced by the superior performance of the Asian short-term bond index over long-term bonds during the past year of rate cuts [3] - The defensive attributes of short-term bonds are highlighted during periods of market volatility, as they tend to show greater resilience when investor confidence in long-term credit issuers is challenged [3] - The current macroeconomic environment in Asia supports credit performance, with low inflation levels allowing for greater flexibility in monetary policy [4] Group 2: Credit Fundamentals and Market Dynamics - The credit fundamentals of major Asian sovereign and investment-grade corporate issuers have been improving, with a positive trend in rating upgrades versus downgrades since 2022 [4] - The supply risk faced by investors in the Asian dollar bond market has decreased due to a suppression of new issuances, while demand for high-quality bonds remains strong, providing solid technical support for the bond market [4] - Asian short-term bonds are positioned favorably due to improved fundamentals, strong technicals, and attractive yield levels, with 2-year and 3-year U.S. Treasury yields remaining high [4] Group 3: Riding Strategy for Enhanced Returns - The riding strategy can enhance returns by purchasing longer-duration bonds and selling them before maturity, capitalizing on the downward trend of yields as the bond approaches maturity [6] - An example illustrates that a 4-year bond yielding 4.8% can be sold after one year as a 3-year bond, potentially resulting in a total return of around 5.6% due to capital appreciation from yield decline [6][7] - This strategy emphasizes the importance of analyzing specific yield curves and actively considering slope opportunities, allowing investors to achieve higher returns without additional credit risk [7][8] Group 4: Conclusion on Short-Term Bonds - Short-term bonds are less affected by long-term interest rates and macroeconomic uncertainties, making them an ideal opportunity for strong and stable returns in the context of high yield levels and healthy credit fundamentals in the Asian credit market [8]

Group 1: Report Overview - The report is a fixed - income research report released on September 3, 2025, written by analysts Liang Weichao and Li Shukai [1][2][6] Group 2: August Credit Bond Market Review - In August, the credit bond market was mainly in adjustment, with overall larger declines than interest rates, showing differentiation in duration and variety liquidity. The market can be divided into two stages: a sharp decline from late July to early August followed by a recovery, but continuous adjustment from the second week of August due to the stock - bond seesaw effect [2][11] - Ultra - long - term credit bonds performed the weakest in August, with most declines exceeding those of the same - term interest - rate bonds. Among them, ultra - long secondary and perpetual bonds with better liquidity had the lowest declines, while ultra - long urban investment bonds with the worst liquidity had larger declines [2][12] - From the perspective of curve shape, the steepness of the 1 - 2 - year and 2 - 3 - year periods for all ratings is high. After the major adjustment in August, the yield curve is steeper, with room to flatten the curve. For example, for AA+ medium - term notes, the slopes of the 1 - 2 - year, 2 - 3 - year, and 3 - 5 - year intervals are 0.1302, 0.099, and 0.0900 respectively; for AA urban investment bonds, they are 0.1497, 0.1313, and 0.1205 respectively [3][15] - The performance of different credit strategies in August varied. Only the short - duration weak - asset sinking strategy was relatively successful, while the ultra - long - term credit strategy performed the worst [14] - The secondary and perpetual bond market also weakened in August, but the decline was not significantly higher than that of general credit bonds, and the characteristic of being a volatility amplifier was not prominent. The 2 - 4 - year part of the curve is steeper, and the yields of 4 - year and above parts have exceeded the previous high in late July [3][20][21] Group 3: Institutional Behavior in August - In August, the overall buying of credit bonds by major buyers was weaker than last year. Bank wealth management and insurance had relatively larger allocation efforts. Bank wealth management and other products had a net secondary purchase of about 180 billion yuan of credit bonds, and insurance had a net purchase of 56.2 billion yuan. Public funds were net sellers [4][23] Group 4: Credit Bond ETF Performance in August - Since August, credit bond ETF products have not performed well, with weak scale growth and net - value performance. The second batch of science and technology innovation ETFs may bring marginal benefits to the market [4][25] Group 5: Outlook for September - In September, credit bonds have certain investment value after continuous market adjustments. The sinking strategy has opened up bond - selection space, with about 43% of public credit bonds having a valuation above 2.0%. Representative issuers include Xi'an High - tech, Tianjin Urban Construction, and Hebei Iron and Steel Group [4][26] - From the riding strategy perspective, 2 - 3 - year general credit bonds and 3 - 4 - year secondary and perpetual bonds have good opportunities. For the ultra - long - term strategy, caution is still recommended as the ultra - long - term bonds have had high declines since August and it is hard to say they have stabilized. Allocation investors with matched liability ends can consider entering the market, while it is not a good time for trading investors due to high liquidity risks [4][26]

Market Overview - The bond market experienced fluctuations and a pullback on August 28, with government bond futures closing lower across the board, particularly in the long-end segment [1][2] - The interbank bond yield rose by approximately 2 basis points, indicating a shift in market sentiment [1][2] Bond Yield Movements - The 30-year government bond yield increased by 2.1 basis points to 2.015%, while the 10-year government bond yield rose by 2 basis points to 1.875% [2] - The 10-year government bond with interest saw a yield increase of 1.25 basis points to 1.7775% [2] Market Activity - The China Securities Convertible Bond Index rose by 0.19%, with a trading volume of 110.826 billion yuan [2] - Notable gainers in the convertible bond market included Chongda Convertible Bond and Weida Convertible Bond, with increases of 12.03% and 11.29% respectively [2] International Bond Market - In North America, U.S. Treasury yields fell across the board, with the 2-year yield dropping by 6.19 basis points to 3.611% [3] - In Asia, Japanese bond yields mostly declined, with the 10-year yield down by 0.9 basis points to 1.619% [3] - In the Eurozone, the 10-year French bond yield rose by 2 basis points to 3.516%, while the 10-year German bond yield fell by 2.3 basis points to 2.698% [3] Primary Market Results - The China Development Bank's 3-year and 7-year financial bonds had winning yields of 1.6355% and 1.8209%, respectively, with bid-to-cover ratios of 2.87 and 4.28 [4] - Inner Mongolia's local bonds showed strong demand, with bid-to-cover ratios exceeding 23 times for both 10-year and 15-year bonds [4] Liquidity and Funding - The People's Bank of China conducted a reverse repurchase operation of 416.1 billion yuan at a rate of 1.40%, resulting in a net injection of 163.1 billion yuan for the day [5] - Short-term Shibor rates increased, with the overnight rate rising by 0.1 basis points to 1.316% [5] Institutional Insights - CITIC Securities noted that the bond market is experiencing a bear steepening phase, driven by market sentiment rather than economic fundamentals [7] - Longjiang Fixed Income highlighted the diversification of funding sources in the convertible bond market, with banks and insurance funds playing a significant role [7] - Guosheng Fixed Income pointed out that recent market adjustments have made short-term brokerage subordinated bonds more attractive, suggesting a focus on investment value in this segment [7]

Group 1 - The report indicates a significant adjustment in the bond market, with credit bonds experiencing a larger decline compared to interest rate bonds, particularly in the period from July 18 to July 25, where 3Y and above interest rate bonds rose by 7-9 basis points, while credit bonds fell by 8-12 basis points [1][8][11] - The primary reasons for the market decline include a rebound in equity and commodity prices, a tightening of the funding environment, and increased redemption pressure [1][11][21] - Following the market adjustment, the report suggests that the credit market may enter a slow recovery phase, with the "stock-bond seesaw" effect being a short-term disturbance rather than a long-term trend [2][21][25] Group 2 - The report highlights a seasonal characteristic in credit bond net financing, with supply expected to rise from June to August, followed by a decline in September as corporate financing needs weaken [3][25][26] - It notes that the recent adjustments in the credit bond ETF market have led to a slowdown in growth, with some ETFs experiencing a slight contraction in scale [2][15][19] - The report emphasizes that the current credit market is relatively weak, with significant volatility and limited space for narrowing credit spreads, particularly in the short to medium term [3][27]

Group 1 - The report highlights that the bond market is currently experiencing fluctuations, with interest rates on government bonds mostly declining, particularly in the short end, while the long end, especially the 30-year government bonds, is under adjustment pressure [1][9] - The launch of the Sci-Tech Innovation Bond ETF has led to a significant increase in trading demand for credit bonds, particularly for the related component bonds, resulting in a decrease in credit bond yields and credit spreads [1][9] - The report notes that the average valuation yield of high-grade short-end component bonds is lower than that of 1-year AAA time deposits by 3-5 basis points, indicating limited trading space and potential risks of negative carry [4][35] Group 2 - The report indicates that the secondary capital bonds with a 5-year yield of 1.9% have regained value for funds, with funds being the main buyers of these bonds, particularly in the long end [2][11] - The component bonds have shown significant trading activity, with some experiencing an "over-increase" of more than 20 basis points, while perpetual bonds, especially those with subordinate attributes, have seen limited increases, mostly within 5 basis points [3][33] - The report suggests that in the context of crowded trading in component bonds, there may be opportunities to select non-component bonds from the same issuers, which could have price differences of up to 20 basis points compared to component bonds [4][35] Group 3 - The report emphasizes that the recent surge in the scale of the Sci-Tech Innovation Bond ETF, which increased by nearly 600 billion yuan in the week following its launch, has catalyzed a rush for component bonds [3][18] - The trading volume of component bonds has been notably higher than that of benchmark market-making component bonds and non-component bonds, indicating a strong market interest [22][29] - The report also highlights that the average valuation and credit spreads of component bonds are generally lower than those of non-component bonds, with significant differences observed in the long end compared to the short end [29][33] Group 4 - The report suggests that for other credit varieties, assets with a maturity of around 2 years may still be selected, as the funding environment remains favorable for the bond market [5][44] - It notes that the yield of short-term perpetual bonds has declined, and the yield curve has steepened, opening up space for riding strategies [5][44]