信用债周策略 20260302 3 月信用债市场展望 glmszqdatemark 风险提示：政策不及预期；资金面超预期收紧；地缘政治风险。 [Table_Author] | 分析师 | 徐亮 | | --- | --- | | 执业证书： S0590525110037 | | | 邮箱： | xliang@glms.com.cn | | 分析师 | 梁克淳 | | 执业证书： S0590525110038 | | | 邮箱： | liangkechun@glms.com.cn | 相关研究 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 2026 年 03 月 02 日 2016 年-2026 年 3 月行情复盘：复盘过去 10 年（2016 年-2025 年）的 3 月 的收益率情况，利率和二级资本债的表现通常优于信用债。具体来看，10Y 和 30Y 国债在过去 10 年中有 9 年在 3 月都是上涨的（即收益率为负值），仅 2025 年 3 月出现明显下跌，平均变动为-0.05%~-0.06%。信用债中，5YAAA 级城投和 5YAAA 级的中短期票据表现好于三年的信用债， ...

Core Viewpoint - The credit bond market is expected to experience a "mixed and structurally differentiated" trend post-Chinese New Year, influenced by liquidity support and supply pressures [1] Group 1: Positive Factors Supporting the Credit Bond Market - Multiple analysts predict a favorable investment "window" for credit bonds after the Spring Festival, supported by liquidity, demand for allocation, and a positive policy environment [2] - Historical data from the past decade indicates that the credit bond market typically performs better after the Spring Festival compared to before [2] - Significant net purchases of credit bonds were reported in January, with funds from various institutions contributing to strong buying support [3] Group 2: Supply Pressures and Constraints - Despite positive factors, supply pressures and valuation constraints are expected to limit the upward potential of the credit bond market [4] - The issuance of local government bonds is projected to increase significantly, which may lead to liquidity diversion and upward pressure on yields [4] - High-rated credit spreads have compressed to historical lows, indicating limited further downward movement potential [5] Group 3: Investment Strategies and Recommendations - The credit bond market is likely to maintain a range-bound and structurally differentiated pattern, suggesting a focus on "yield supremacy, moderate duration extension, and selective sectors" for investment [6] - Analysts recommend prioritizing the allocation of short to medium-term AAA or AA+ rated bonds, particularly high-quality urban investment bonds [6] - A cautious approach is advised, emphasizing high-grade, short-duration, and high-liquidity bonds to mitigate risks [6][7]

Group 1 - The core view of the report indicates that the credit bond market typically performs better after the Spring Festival compared to before, with a historical probability of 60%-70% for yield declines in various bond types post-festival [1][21][22] - Specific bond types such as Tier 2 capital bonds (71.43%) and 10Y government bonds (70.00%) show the highest probability of yield decline if positioned before the Spring Festival [1][21] - The report highlights that the average yield decline of urban investment bonds is 2.4 times that of government bonds, suggesting a high elasticity in yield changes for credit bonds [1][21] Group 2 - The report notes that while there is a tendency for the credit bond market to follow pre-festival trends, there is still a 50% chance of trend reversals, particularly for 10Y government bonds, which have only a 28.57% probability of continuing the pre-festival trend [2][22] - The report identifies three main reasons for the seasonal effect: the rigid demand for bonds from institutions at the beginning of the year, the seasonal liquidity effects around the Spring Festival, and the data vacuum period for macroeconomic indicators [3][27][30][31] Group 3 - The report suggests a short-duration investment strategy focusing on cities with strong industrial bases and financial support, recommending bonds with maturities of 3-5 years to mitigate risks from potential interest rate fluctuations [4][36] - It emphasizes the importance of monitoring the issuance volume in the primary market, which typically decreases before the holiday, and anticipates a stable low yield spread in the coming months due to ongoing liquidity conditions [32][33]

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The recent adjustment in the bond market is likely to be more of a short - term phenomenon, mainly influenced by policy expectations, sentiment, and supply - demand factors in the short term. In the long run, the bond market logic will return to the fundamentals and the capital situation. - In 2026, the core operating range of the 10 - year Treasury bond yield may be between 1.7% - 1.9%, and it may maintain low - level fluctuations. Credit spreads may continue to narrow slightly, but the contraction amplitude may be limited [5][22][24]. 3. Summary by Directory Market Performance - **Interest - rate bonds**: Since November, the yield curve has become steeper, with the adjustment pressure concentrated on the long - end. The 10 - year and 30 - year Treasury bond yields have fluctuated upward, with the 30 - year yield rising more significantly. The 1 - year yield has been relatively stable. The amplitude of 1 - year, 10 - year, and 30 - year Treasury bonds since November has been 6bp, 8bp, and 14bp respectively, and the key term spreads have expanded [5][8]. - **Credit bonds**: The adjustment of credit bonds has been relatively lagging, and credit spreads have slightly widened passively. The credit bond yields first fluctuated upward, with medium - and high - grade yields rising more, and then all grades of yields declined to varying degrees. Credit bonds have recovered faster. As of December 22, the AA - grade bond yield has decreased by 9bp compared to early November, and the interest rates of higher - grade 3 - year medium - and short - term notes are similar to those at the beginning of November. Most credit spreads have widened passively, and they are still at historically low levels [5][11]. Adjustment Reasons - **Weak sentiment**: Before important policy meetings, the market entered an observation period, and there was uncertainty about policies such as next year's fiscal strength. The central bank's insufficient liquidity injection and the real - estate enterprise credit event also disturbed market sentiment [5][14]. - **Cautious institutional behavior**: Near the end of the year, under external constraints such as assessment pressure and regulatory policies, institutions' redemption and profit - taking intentions increased, and the willingness to buy was insufficient. The expectation of public - fund fee reform also led to bond - fund position adjustment and selling [5][16]. - **Supply - demand imbalance**: The supply of long - term bonds has increased while the demand has decreased. The supply of medium - and long - term Treasury bonds has increased, especially the supply of ultra - long - term Treasury bonds, while the ability of banks, insurance companies, and other institutions to absorb them is limited, and the demand from funds and other trading players has declined [5][18]. - **Insensitive to economic data**: The market has been insensitive to weak economic data, and the fundamentals have not dominated the recent interest - rate trend. The economic data has continued to show weak recovery, but the market has anticipated it in advance, and the inflation rebound has also suppressed sentiment [5][20]. Future Outlook - **Interest - rate bonds**: In 2026, the macro - policy will maintain a supportive tone of "loose money + loose finance". The weak economic recovery and abundant liquidity environment do not support a significant upward trend in bond yields. The 10 - year Treasury bond yield may operate in the range of 1.7% - 1.9%, but it may fluctuate due to challenges in demand and institutional behavior. Uncertain factors such as continued weakening of the fundamentals, intensified geopolitical evolution, and the implementation of fund - fee reform need to be vigilant [22][23][24]. - **Credit bonds**: Under the moderately loose monetary policy and the "asset shortage" situation, credit spreads may continue to narrow slightly, but considering that they are already at historically low levels, the contraction amplitude may be limited [25].

Group 1 - The report identifies two main consensus expectations for the bond market in 2026: a generally "bearish" outlook and a relative safety in short-term bonds under bearish conditions [1][6][9] - The bearish outlook is supported by three key points: alignment of interest rate trends with nominal growth, historical patterns of interest rate increases following bottoming out, and risks of supply-demand imbalances in long-term bonds [1][6][9] - The relative safety of short-term bonds is attributed to the central bank's ample liquidity and stable funding prices, as well as a steady expansion in wealth management products favoring short-term allocations [1][9] Group 2 - The report highlights the difficulty of simultaneously achieving both consensus expectations, noting that historical transitions between bull and bear markets typically involve significant widening of short-term spreads [2][11][13] - Current pricing structures show a divergence in spreads, with long-term spreads reflecting a "bearish" valuation while short-term spreads remain at "bullish" levels, indicating a contradiction in market risk pricing [16][20] - The report suggests that the market's strategy preferences are influenced by past performance, leading to a potential extreme valuation of short-term assets at the beginning of the next year [3][21][28] Group 3 - The report warns of the risk of "overextended odds" in short-term bonds, which could lead to a market correction if liquidity, regulatory, or credit risks arise [31][35] - Historical data indicates that current short-term credit spreads have room to widen, suggesting a potential risk if they approach historical extremes [31][35] - The report concludes that the observed patterns in early-year market behavior often replicate previous dominant strategies, which could compress short-term spreads further, but also highlights the historical tendency for short-term spreads to widen during market corrections [4][35]

1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - **Interest - rate bonds**: From November 7 to November 14, 2025, the central bank conducted a total of 126.37 billion yuan in reverse repurchase operations, with 85.09 billion yuan in reverse repurchases maturing, resulting in a net injection of 41.28 billion yuan. Bank - to - bank funding prices rose. During November 10 - 16, 2025, the primary issuance of interest - rate bonds was 72.6866 billion yuan, and the net financing amount was 39.0322 billion yuan. Most treasury bond yields declined, and the 10Y - 1Y term spread narrowed from 40.97BP to 40.36BP [1]. - **Credit bonds**: From November 10 to November 16, 2025, 935 credit bonds (including inter - bank certificates of deposit) were issued in the primary market, with a total issuance scale of 120.1412 billion yuan, a month - on - month increase of 16.8766 billion yuan; the net financing amount was 2.0711 billion yuan. Most credit bond yields declined [2]. - **Large - scale asset weekly observation**: From November 7 to November 14, 2025, most of the three major US stock indexes rose; European three major stock indexes increased; US bond yields went up; the US dollar index weakened, and non - US currencies were differentiated; crude oil and gold prices rose [3]. 3. Summary by Directory 3.1 Interest - rate Bonds 3.1.1 Liquidity Observation - From November 7 to November 14, 2025, the central bank's full - scale net injection was 41.28 billion yuan. Bank - to - bank funding prices rose, and most exchange - based funds also increased [15]. 3.1.2 Primary Market Issuance - From November 10 to November 16, 2025, the primary market issuance of interest - rate bonds was 72.6866 billion yuan, with a net financing amount of 39.0322 billion yuan. The issuance of local government bonds increased compared to the previous period [25]. 3.1.3 Secondary Market Trading - Most treasury bond and state - owned development bond yields declined, and the 10Y - 1Y term spreads of both narrowed [32]. 3.2 Credit Bonds 3.2.1 Primary Market Issuance - From November 10 to November 16, 2025, 935 credit bonds were newly issued in the primary market, with a total issuance scale of 120.1412 billion yuan, a month - on - month increase of 16.8766 billion yuan; the net financing amount was 2.0711 billion yuan. Asset - backed securities had the largest proportion in terms of the number of issuances, and financial bonds had the highest proportion in terms of issuance amount. Most of the issuances were AAA - rated, and the issuance was mainly for 3 - 5 - year terms. The financial industry had the largest number of issuances [43]. 3.2.2 Secondary Market Trading - Most credit bond yields declined. For urban investment bonds, the 1 - year AA - rated yield declined the most, and the 5 - year AAA - rated yield increased the most. For medium - and short - term notes, the 5 - year AA - rated yield declined the most, and the 10 - year AAA - rated yield increased the most [50]. 3.2.3 One - week Credit Default Event Review - From November 10 to November 16, 2025, the credit bonds of 3 enterprises defaulted [54]. 3.3 Large - scale Asset Weekly Observation 3.3.1 Most European and American Stock Indexes Rose - Most of the three major US stock indexes, European three major stock indexes, and most Asia - Pacific stock indexes rose [55]. 3.3.2 US Bond Yields Rose - From November 7 to November 14, 2025, US bond yields increased, and the 10Y - 1Y term spread changed to 44.00BP [58]. 3.3.3 The US Dollar Index Weakened, and Non - US Currencies Were Differentiated - The US dollar index declined by 0.26% weekly, and non - US currencies showed different trends [60]. 3.3.4 Crude Oil and Gold Prices Rose Weekly - From November 7 to November 14, 2025, gold and crude oil prices increased [66]. 3.4 Investment Recommendations - The macro - economic data in October verified the economic recovery path of "downplaying the aggregate and optimizing the structure". The bond market may remain volatile. Investors are advised to pay attention to the impact of the new fund regulations on the bond market. In the short term, institutional investors may reduce their allocation of pure bond funds and turn to bond ETFs or money market funds. In the long term, the new regulations are conducive to the stability of the liability side of bond funds. It is recommended to seize the band opportunities of interest - rate bonds, focus on high - rated and short - duration credit bonds, and pay attention to the Central Economic Work Conference in December [4].

Report Industry Investment Rating No relevant information provided. Core Viewpoints - Interest rate bonds: Treasury bond yields declined, and the term spread widened. From October 24 to October 31, 2025, the central bank conducted a total of 31,360.00 billion yuan in reverse repurchase operations, with 17,320.00 billion yuan in reverse repurchases maturing, resulting in a net injection of 14,040.00 billion yuan. Most inter - bank funding prices declined. During October 27 - November 02, 2025, the issuance of interest rate bonds was 4,126.82 billion yuan, with a total repayment of 926.90 billion yuan for matured bonds, and a net financing of 3,199.92 billion yuan. Treasury bond yields decreased, and the 10Y - 1Y term spread widened from 37.70BP to 41.28BP [1]. - Credit bonds: Credit bond yields to maturity declined. From October 27 to November 02, 2025, 827 new credit bonds were issued in the primary market, with a total issuance scale of 11,042.87 billion yuan, a decrease of 5,134.02 billion yuan compared to the previous period. The net financing was 1,379.86 billion yuan. The yields to maturity of urban investment bonds and medium - short - term notes decreased [2]. - Big - asset weekly observation: From October 24 to October 31, 2025, the three major US stock indexes rose, while most European stock indexes declined. US Treasury yields increased, the US dollar index strengthened, and non - US currencies weakened. Crude oil and gold prices declined during the week [3]. Summary by Directory 1. Interest Rate Bonds: Treasury Bond Yields Declined, and the Term Spread Widened 1.1 Liquidity Observation: Net Liquidity Injection, Most Funding Prices Declined - From October 24 to October 31, 2025, the central bank's net injection was 14,040.00 billion yuan. Most inter - bank funding prices declined, with DR001 down 0.37BP to 1.3184% and DR007 up 4.41BP to 1.4551%. Most exchange - traded funds also declined [15]. 1.2 Primary Market Issuance: Net Financing Increased, and Local Bond Issuance Rose - From October 27 to November 02, 2025, the primary - market issuance of interest rate bonds was 4,126.82 billion yuan, with a net financing of 3,199.92 billion yuan. There was no treasury bond issuance, policy - based financial bonds raised 1,420.00 billion yuan, and local government bond issuance increased, raising 2,706.82 billion yuan [25]. 1.3 Secondary Market Trading: Treasury Bond Yields Declined, and the Term Spread Widened - From October 24 to October 31, 2025, the yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year treasury bonds decreased by 8.90BP, 11.48BP, 5.12BP, 9.63BP, and 5.32BP respectively. The 10Y - 1Y term spread widened from 37.70BP to 41.28BP. The yields of China Development Bank bonds also declined, and the 10Y - 1Y term spread narrowed from 35.93BP to 33.84BP [33]. 2. Credit Bonds: Credit Bond Yields to Maturity Declined 2.1 Primary Market Issuance: Issuance Volume Decreased Month - on - Month - From October 27 to November 02, 2025, 827 new credit bonds were issued in the primary market, with a total issuance scale of 11,042.87 billion yuan, a decrease of 5,134.02 billion yuan compared to the previous period. The net financing was 1,379.86 billion yuan. Asset - backed securities had the largest number of issuances, and financial bonds had the highest issuance amount. Newly issued bonds were mainly AAA - rated, and the issuance was mainly in the 5 - 10 - year term. The construction industry had the largest number of issuances [42]. 2.2 Secondary Market Trading: Credit Bond Yields to Maturity Declined - From October 24 to October 31, 2025, the yields to maturity of urban investment bonds and medium - short - term notes declined. The 3 - year AA + and AA - rated urban investment bonds had the largest decline of 10.44BP, and the 5 - year AAA and AA - rated medium - short - term notes had the largest decline of 12.56BP [49]. 2.3 One - Week Credit Default Event Review - From October 27 to November 02, 2025, one enterprise's credit bond defaulted. Rongqiao Group Co., Ltd.'s bond "H0 Rongqiao F1" defaulted on October 31, 2025, with a remaining bond balance of 2.00 billion yuan [53]. 3. Big - Asset Weekly Observation 3.1 Differentiation of European and American Stock Indexes - From October 24 to October 31, 2025, the three major US stock indexes rose, with the Dow up 0.75%, the S&P 500 up 0.71%, and the Nasdaq up 2.24%. Most European stock indexes declined, with the German DAX down 1.16%, the French CAC40 down 1.27%, and the UK FTSE 100 up 0.74%. Most Asian - Pacific stock indexes rose [54]. 3.2 US Treasury Yields Increased - From October 24 to October 31, 2025, the yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year US Treasury bonds increased by 12.00BP, 11.00BP, 10.00BP, 10.00BP, and 9.00BP respectively [57]. 3.3 The US Dollar Index Strengthened, and Non - US Currencies Weakened - From October 24 to October 31, 2025, the US dollar index rose 0.80%. The British pound against the US dollar fell 1.22%, the euro against the US dollar fell 0.78%, the US dollar against the Japanese yen rose 0.74%, and the US dollar against the Chinese yuan fell 0.07% [59]. 3.4 Crude Oil and Gold Prices Declined During the Week - From October 24 to October 31, 2025, COMEX gold futures prices fell 2.64%, London spot gold prices fell 2.26%, WTI crude oil prices fell 0.85%, and Brent crude oil prices fell 1.32% [65]. 4. Investment Suggestions - Recently, the bond market has strengthened slightly driven by loose policies and risk - aversion sentiment. The central bank's resumption of open - market treasury bond trading on October 27 may stabilize market expectations, supplement liquidity, and optimize the yield curve, which may also catalyze the bullish sentiment in the bond market. With the implementation of new fund sales regulations, the short - term bond market volatility may intensify. It is recommended that investors conduct volatility operations on interest rate bonds to increase returns, the short - duration sinking strategy for urban investment bonds is still cost - effective, and convertible bonds investors can focus on high - elasticity individual bonds and low - premium - rate varieties [67].

Core Viewpoint - Since July, long-end interest rates have been fluctuating upwards, leading to structural resilience in credit bond yields and significant declines in certain varieties, particularly under the influence of macroeconomic narratives and regulatory factors [1][2] Group 1: Market Performance - The credit bond market has shown structural resilience and significant declines in specific varieties since the third quarter, with short-term credit bonds experiencing minimal yield increases, generally within 10 basis points [2] - Long-end credit bonds, particularly perpetual bonds, have seen yield increases of over 30 to 50 basis points, indicating a more pronounced decline compared to ordinary credit bonds [2] - Historical data suggests that credit bonds typically perform better in the fourth quarter, with overall yields generally declining, except for 2022 when policy shifts caused adjustments [2] Group 2: Investment Strategy - Analysts recommend focusing on short-term credit bonds, particularly those with maturities of 2 to 3 years, as they have shown better performance during market adjustments [5] - For 4 to 5-year bank perpetual bonds, the current yield spread has exceeded the annual high, indicating a favorable entry point for institutions [5] - The current credit spreads for ultra-long credit bonds are nearing two-year highs, and there is an increasing interest from market participants, suggesting potential investment opportunities [6]

Group 1: Credit Bond Yield Strategy - The credit bond yield strategy shows advantages as credit bonds have demonstrated strong anti-drawdown characteristics in the current adjustment market, with their adjustment pace and magnitude closely following government bonds [1][9] - The current market conditions suggest that credit bonds still possess certain yield value, warranting continued attention, although the protection space of credit spreads is insufficient [1][9] - Historical data indicates that September is typically a challenging month for the bond market, with a less than 15% probability of interest rates declining in September over the past seven years [1][16] Group 2: Market Dynamics and Fund Behavior - Credit bonds are expected to continue fluctuating weakly in September, but the adjustment magnitude is relatively controllable, as the net selling momentum of funds may weaken [2][20] - Funds significantly sold off credit bonds with maturities over five years in July and August, totaling over 370 billion yuan, leading to a noticeable reduction in long-term bond positions [2][20] - Despite the large net selling, credit bonds did not experience sustained negative feedback, indicating a potential stabilization in the market [2][20] Group 3: Investment Strategies - Investment strategies should focus on ordinary credit bond varieties, particularly those with good credit quality and larger outstanding amounts, such as 3Y/AAA+ and AAA bonds yielding around 1.88% and 1.90% respectively [3][23] - For urban investment bonds, the yields for bonds with maturities under 2 years have been compressed to historical low levels, suggesting a focus on high-quality issuers in favorable regions [3][23] - The report recommends prioritizing 4Y and 6Y perpetual bonds while avoiding lower-rated options, maintaining a focus on liquidity and flexibility in bond selection [3][23] Group 4: Policy Impact on Economic Growth - Recent policies aimed at boosting high-tech industries and expanding domestic demand are expected to stimulate economic growth, as indicated by rising manufacturing and service sector PMIs [4][27] - The manufacturing PMI rose to 49.4%, while the non-manufacturing PMI reached 50.3%, reflecting an overall improvement in economic conditions [4][27] - The service sector is showing significant recovery, with business activity indices indicating strong growth in capital market services and transportation sectors [4][28]

Group 1: Interest Rate Bonds - During the period from July 18 to July 25, 2025, the central bank conducted a total of 23,438.00 billion yuan in reverse repurchase operations, with 21,315.00 billion yuan maturing, resulting in a net injection of 2,123.00 billion yuan[2] - The overall interbank funding prices increased, with DR001 rising by 6.08 basis points to 1.5174% and DR007 increasing by 14.56 basis points to 1.6523%[2] - In the primary market, the issuance of interest rate bonds totaled 9,398.05 billion yuan, with total maturing bonds amounting to 7,306.36 billion yuan, resulting in a net financing amount of 2,091.69 billion yuan[2] - The yields on government bonds for various maturities increased: 1-year up by 3.45 basis points to 1.3835%, 3-year up by 7.34 basis points to 1.4777%, 5-year up by 7.92 basis points to 1.6048%, 7-year up by 7.31 basis points to 1.6926%, and 10-year up by 6.72 basis points to 1.7324%[2] - The 10Y-1Y yield spread widened from 31.62 basis points to 34.89 basis points[2] Group 2: Credit Bonds - From July 21 to July 27, 2025, a total of 956 credit bonds were newly issued (including interbank certificates of deposit), with an issuance scale of 12,074.83 billion yuan, a decrease of 1,330.33 billion yuan compared to the previous period[3] - The total repayment of credit bonds was 14,553.08 billion yuan, resulting in a net financing amount of -2,478.24 billion yuan[3] - Among the newly issued bonds, the AAA-rated bonds accounted for 5,334.28 billion yuan, representing 77.67% of the total issuance[3] - The yields on city investment bonds increased overall, with the 3-year AA-rated bonds experiencing the largest rise of 12.27 basis points[3] - The yields on medium-term notes also increased, with the 10-year AAA-rated bonds rising by 11.99 basis points[3]