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 ...

固 定 收 益 华福证券 2026 年 02 月 24 日 春节假期综述：海外波动难撼债市修复趋势 团队成员 投资要点： 益 专 题 1 月中旬以来债券市场修复的重要因素在于大行对于长债的持续净买 入。从 1 月信贷收支表看，大行与中小行新增信贷均低于去年同期，但存 款增速均有所回升，且大行的升幅更大，在此背景下大行配置债券的规模 也明显上升，显示在央行流动性宽松、大行负债相对充裕、但信贷需求整 体偏弱的环境下，大行配置债券的意愿有所提升。但相较于往年银行一般 都在年初配置短债不同，今年大行在二级市场增持长债是非常罕见的现象， 这一方面说明市场前期担忧的利率风险指标问题并未对大行的实际投资带 来显著影响，另一方面可能也部分反映了央行态度的变化。 Q4 货政报告对稳增长的诉求增强，由于信贷需求偏弱，货币政策对宽 松副作用的担忧也明显减弱。尽管降准降息可能需要根据整体政策部署综 合，但在稳增长的基调下预计央行在降息前仍将维持宽松的流动性环境， 同时也有望加大对国债的买入力度以配合财政。我们原本预计，在 10 年期 国债收益率突破 1.8%后，大行对 7-10 年国债的净买入力度可能下降，甚至 阶段性的转为净卖出， ...

信用债周策略 20260224 信用债春节后的季节效应 glmszqdatemark 2016 年-2026 年信用债在春节前后的行情复盘：复盘过去 10 年（2016 年-2025 年）的市场数据，春节前后的信用债节后走势通常优于节前。具体来看，春节前 信用债市场可能收到资金面和临近假期交易情绪清淡的扰动。而在春节假期结束 后，随着节前取出的现金回流至银行体系，市场流动性通常会迎来阶段性的宽松。 近十年春节后季节效应的结论：复盘近 10 年历年春节后的行情，信用债市场的 胜率较高。近 10 年，不同品种春节后有 60%-70%的收益率下行概率。具体分品 种角度，若在春节前布局，二级资本债（71.43%）和 10Y 利率债（70.00%）是 收益率下行概率最高的品种。分期限和品种看，其中，3Y 信用债（70.48%）、 3YAAA 城投债（70.00%）和中短期票据（70.00%）表现最为突出。从收益率角 度看，信用债的收益率变化弹性更大。城投债的下行幅度平均是国债的 2.4 倍， 从 T+10 日的表现来看，"春节后做多"或是高胜率策略，且 3Y AAA 城投债 的收益弹性远高于 10Y 国债。 信用债春节 ...

1. Report Industry Investment Rating No information provided in the text. 2. Core View of the Report - The core contradiction in the bond market may be the diversion of funds from the bond market to the stock market. Attention should be paid to the carry and coupon value of credit bonds. The current bond market is a pessimistic expectation correction market dominated by allocation funds, and may enter a stage of narrowing spreads, but the overall space is still limited. The core contradiction order of the subsequent market is: asset allocation re - balance (stock market diversion) > monetary and fiscal coordination > expectation of price recovery [4]. - For credit bonds, under the support of loose liquidity, the carry strategy of short - and medium - term credit bonds has high certainty, and it is advisable to "increase positions on dips". Under the support of the demand of amortized bond funds, the carry can appropriately extend the duration to 3 - 5 - year medium - and high - grade general credit bonds. Considering that the current credit spreads are at relatively low historical levels, attention should be paid to the coupon value of some varieties and grade sinking. [4] - For secondary perpetual bonds, in the January market, the long - end spreads of secondary perpetual bonds were less compressed, and the catch - up was more obvious in this round of market. In the past two weeks, the allocation power of insurance institutions to secondary perpetual bonds has weakened and even turned into net selling. Considering the valuation and supply - demand changes, it is recommended to be cautious and wait for the opportunity of valuation recovery or supply increase. Also, attention should be paid to the potential participation opportunities of securities company bonds with increasing supply since the beginning of the year. [4] 3. Summary by Relevant Catalogs 3.1 Primary Market - **General Credit Bonds**: The net supply of general credit bonds decreased this period. The issuance of general credit bonds was 139 billion yuan, and the net financing was 36.3 billion yuan, compared with 358.7 billion yuan and 256.5 billion yuan in the previous period respectively. Among them, the issuance of industrial bonds decreased to 76.8 billion yuan, and the net financing decreased to 19.1 billion yuan; the issuance of urban investment bonds decreased to 62.2 billion yuan, and the net financing decreased significantly to 17.2 billion yuan. The weighted issuance term of general credit bonds was 2.65 years, a decrease from the previous period (2.91 years). The credit bond bid - upper limit - coupon rate decreased from 0.42% to 0.41%, and the credit bond subscription multiple increased from 2.67 to 2.85 [4][7][17][21]. - **Bank Secondary Perpetual Bonds**: There was no issuance of bank secondary perpetual bonds this period, and the net financing scale decreased. The net financing of secondary capital bonds was - 200 million yuan, and the net financing of perpetual bonds was - 3 billion yuan. This was the sixth consecutive week of no issuance this year [4][25]. 3.2 Secondary Market - **Yield and Credit Spread**: The yields of credit bonds generally declined, and most credit spreads narrowed. Among general credit bonds, except for the 1/3Y AA - grade, 7Y AA - grade medium - term notes, and 5Y AAA/AA - grade renewable urban investment bonds, the yields mostly declined. The 10Y high - grade urban investment bonds performed the best (the 10Y AAA - grade urban investment bonds decreased by 10.6BP). The yields of all terms and grades of secondary perpetual bonds declined, and the 7Y bank perpetual bonds performed the best (the yields of 7Y secondary perpetual bonds of all qualifications declined by more than 5BP). Most credit spreads narrowed, with the spreads of general credit bonds within 7 years changing mostly within about 2BP or less. The 10Y urban investment bonds/renewable urban investment bonds performed the best (the 10Y AAA - grade urban investment bonds/renewable urban investment bonds decreased by 8.8BP). Except for the slight widening of the credit spread of 3Y AA - grade bank perpetual bonds, the credit spreads of other terms and grades of secondary perpetual bonds all narrowed. The widening varieties were mainly concentrated in 5Y non - public general credit bonds and 1/3/5/7Y weak - quality medium - term notes [4]. - **Turnover Rate**: The turnover rates of general credit bonds and bank secondary perpetual bonds both decreased this week [52]. 3.3 Stock Bond Distribution - The current yields are mostly distributed within 2.4% [6]. - **Industry Bonds**: The average yields of various industries' public - offering industry bonds are presented in a table, showing the distribution by implicit rating and remaining maturity. Most industries' yields are within a relatively low range [106]. - **Urban Investment Bonds**: The average yields of public - offering urban investment bonds in various regions are presented in a table, showing the distribution by implicit rating and remaining maturity. The yields in most regions are within a relatively low range [108]. - **Small and Medium - Sized Bank Secondary Perpetual Bonds**: The average yields of small and medium - sized bank secondary perpetual bonds in various regions are presented in a table, showing the distribution by implicit rating and remaining maturity [110].

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - Recent bond market fluctuations have slowed, with credit bonds performing slightly better than interest rate bonds, mainly driven by institutional allocation behavior. Banks' asset allocation has shifted from "bond - loan resonance" to "bond - substitution for loan", and credit bonds have become a key focus. Insurance funds are increasing their allocation of medium - and long - term credit bonds due to the dominance of dividend - paying insurance during the "good start" period. The continuous net inflow of funds at the liability end of funds supports the market of credit bonds and Tier 2 capital bonds. It is suggested to focus on 5 - year AA - rated medium - and short - term notes, AAA - and AA + commercial bank perpetual bonds, and explore the structural opportunities of credit bonds [2]. 3. Summary by Relevant Catalog Bank Bond - Loan Allocation: From Resonance to Substitution - Since the beginning of the year, large - scale banks' bond purchases have significantly exceeded market expectations, leading to a decline in the yields of 10 - year and 30 - year Treasury bonds. By reviewing the data from 2023 - 2025, it is found that the substitution effect of bond investment for credit lending in 2025 was more significant than in previous years. The bond - loan allocation behavior of banks can be summarized into three combination models: "strong in both bonds and loans", "weak in both bonds and loans", and "one rising while the other falling". The increase in credit bond allocation by banks has become a key way to make up for the asset gap and rebalance risk and return, and has also stabilized the credit bond market [17][21]. Insurance "Good Start" Funds Drive Credit Bond Allocation - Based on the structural characteristics of insurance premium income in 2025, the incremental demand for insurance funds to allocate credit bonds may continue to increase in 2026, with the "good start" funds being the main driving force. In 2025, the insurance industry's original insurance premium income reached 6.12 trillion yuan, a year - on - year increase of 7.4%. In 2026, dividend - paying insurance products dominated the "good start" sales, which have higher requirements for investment returns and are expected to guide insurance funds to increase their allocation of credit bonds [25]. New Features of Insurance Allocation: The Development of Dividend - Paying Insurance Benefits Medium - and Long - Term Credit Bonds - At the beginning of 2026, insurance funds showed a clear maturity preference for credit bond allocation, with medium - and long - term credit bonds becoming the core of increased allocation. In the first two weeks of January, the net purchase of medium - and long - term credit bonds by insurance institutions accounted for 84% and 94% of the total net purchase of credit bonds. The planned annual increase in holdings of this type of bonds is 39%. This change is mainly driven by the transformation of the liability side. It is expected that the trend of increasing the allocation of medium - and long - term credit bonds by insurance in February 2026 will continue [30]. Tier 2 Capital Bonds: Funds and Insurance Show a Strong Allocation Pattern - Since the beginning of 2026, in the 6 - week period, the market for 3 - to 5 - year Tier 2 capital bonds has shown a pattern of "strong allocation by funds and insurance". Fund companies and products have maintained a high level of buying, with a cumulative net purchase of 759.85 billion yuan. Insurance funds have also strengthened their allocation, with a net purchase of 422.47 billion yuan. The demand for wealth - management products has been stable, with a net purchase of 40.45 billion yuan [37]. Which is Better: Urban Investment Bonds or Industrial Bonds? Based on Historical Price - Ratio Rules - The yields of urban investment bonds and industrial bonds of the same rating and maturity are not completely comparable. Referring to historical price - ratio rules, when the yield of AAA urban investment bonds is about 2bp higher than that of the same - maturity AAA industrial bonds, and when the yield of AA + urban investment bonds is about 2bp lower than that of the same - maturity AA + industrial bonds, it is a better allocation point. Industrial bonds show greater internal differentiation, while urban investment bonds have more convergent pricing. Different rating and maturity bonds have different allocation recommendations based on historical quantiles [40]. Variety Allocation Strategy: Explore Industrial Spreads and Focus on Interest Rate Defense - Considering the current spread quantiles, valuation levels, and market rotation rhythm, the recommended priority for next - week's credit bond allocation is: 5 - year AA - rated medium - and short - term notes > 5 - year AAA - commercial bank perpetual bonds > 5 - year AA + commercial bank perpetual bonds. The main reasons are that the 5 - year AA - rated medium - and short - term notes have obvious allocation value, the 5 - year China Development Bank bonds still have thick spread protection, and the 5 - year AAA - and AA + commercial bank perpetual bonds have room for performance due to the spread compression of medium - and long - term Tier 2 capital bonds [45].

Group 1 - The bond market in January was characterized by a correction of pessimistic expectations rather than a reinforcement of easing expectations, with banks and insurance companies increasing their allocation while brokers and funds sold off [9][10] - The bond market may enter a phase of compressed spreads, with various types of spreads being targeted for excess returns, as the market approaches critical points without clear negative signals [10][11] - The core factors driving the configuration-led market include the ability of funding costs and deposit rates to decrease further, and whether the 10-year government bond can break through key levels [10][11] Group 2 - The primary contradictions in the bond market include asset allocation rebalancing, capital outflow from the stock market, and expectations of rising prices, with the first two being the most critical [11][12] - The relationship between stocks and bonds in 2026 continues to reflect a rebalancing of asset allocation, with the stock market showing signs of strength but still needing to monitor capital flows into equities [14][15] - The insurance sector is shifting its liabilities towards dividend insurance, which may affect its preference for long-term bonds, while fixed-income funds are facing challenges in attracting new liabilities [14][17] Group 3 - The continuous decline in the scale of credit bond ETFs since the beginning of the year, with a drop of 101 billion to 514.2 billion, indicates a potential stabilization as selling pressure eases and valuation improves [21][22] - The strong performance of perpetual bonds in early January can be attributed to several factors, including easing valuation pressures and increased demand from insurance companies [24] - The current credit strategy suggests extending duration to 3-5 years for high-grade bonds, while focusing on specific sectors and grades that offer value [25] Group 4 - The core theme in the convertible bond market is pricing elasticity, with demand remaining high despite supply constraints due to maturing bonds and strong redemption expectations [26][29] - The strategy for convertible bonds emphasizes the importance of maintaining adequate positions to achieve relative returns, as low positions may hinder performance [27] - Excess returns in the convertible bond market are expected to come from elastic varieties, particularly those with low premium rates and smaller market caps [29]

固 定 收 益 华福证券 2026 年 02 月 09 日 节后债市或延续节前趋势 1.8%或由阻力变支撑 团队成员 投资要点： 固 定 上周利率债表现偏强。尽管周初 10 年国债新券短暂突破 1.8%后受止 盈情绪影响再度调整，但此后在大行的持续买入下，10 年国债也经受住了 风险偏好修复、地方债集中发行等因素的扰动，此后随着交易情绪回暖利 率再度走低，10 年期国债利率再度降至 1.8%附近，10 年政金债以及 30 年 国债的下行幅度更大。随着春节临近，也有部分投资者关注长假因素是否 会对市场趋势带来扰动。 收 益 专 题 从历史看，节后债市的表现一般都是节前趋势的延续。过去单数年份 利率容易在春节前后上行，但双数年份利率反而多在春节前后下行，唯一 的例外是 2022 年利率在节前回落、节后走高，但这一年的特殊性在于央行 在节前降息落地，节后利率在止盈情绪和对信贷的担忧下出现了上行。之 所以呈现出这样的状态，主要还是因为岁末年末市场往往都对市场的状态 进行了充分定价，市场结构会得到一定程度的出清，而年初货币政策的导 向往往也会根据新一年的目标进行调整，而这样的调整一般也不会因为春 节因素发生变化，后续的 ...

Core Viewpoint - The report from Huatai Fixed Income indicates that the bond market is likely to experience an upward trend before the Spring Festival due to a stable funding environment and a "hold bonds for coupon" mentality, while post-festival market performance is expected to be more differentiated [1] Group 1: Market Trends - The Spring Festival calendar effect suggests a higher probability of bond market gains before the festival, with limited increases in positions due to high institutional holdings [1] - The basic economic fundamentals are significantly influenced by base effects, with policy signals and technology narratives being key areas of focus [1] Group 2: Short-term Outlook - Short-term fluctuations in commodities and stock markets remain unsettled, with risk aversion combined with seasonal patterns of the Spring Festival leading to stable bond market performance before the festival [1] - Mid to short-duration coupon-bearing bonds are expected to outperform, although trading momentum is insufficient [1] Group 3: Post-Festival Expectations - The bond market's trajectory after the festival will depend on economic fundamentals, policy signals, and stock market performance, with a forecast of narrow fluctuations [1] - The attractiveness of the 10-year government bond at 1.8% is decreasing, but risks remain limited [1] Group 4: Investment Opportunities - There may be structural opportunities in ultra-long bonds, perpetual bonds, and mid to short-term varieties, while the experience of convertible bond investments is deteriorating, leading to smaller speculative opportunities [1]

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]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In Q4 2025, the fundraising scale of newly - issued bond funds declined, but the bond funds' performance was good, leading to an increase in the outstanding scale. The outstanding share of bond - type funds at the end of Q4 reached 9.31 trillion shares, an increase of nearly 200 billion shares compared to Q3 [3][20]. - For pure - bond funds, the heavy - position structure still focuses on interest - rate bonds, with credit bonds accounting for about 20%. In Q4, pure - bond funds mainly increased their positions in general credit bonds and Tier 2 capital and perpetual bonds, and significantly reduced their positions in general commercial financial bonds [4]. - For fixed - income + funds, interest - rate bonds are important underlying assets, accounting for 42% of the total market value of heavy - position bonds. The fixed - income + funds concentrated on policy - financial bonds and treasury bonds in terms of interest - rate bond positions, and preferred Tier 2 capital and perpetual bonds in terms of credit - bond positions [6]. 3. Summary According to the Table of Contents 3.1 Overview of Incremental Funds: Weak New - issue Performance, Growth in the Total Scale of Bond Funds - In Q4 2025, 101 new bond - type funds were issued, and the fundraising scale dropped to 58.6 billion yuan, showing a significant contraction compared with Q3 2025 and Q4 2024 [3][14]. - The bond - type fund index rose 0.51% quarter - on - quarter, and the long - term pure - bond funds outperformed short - term bond funds. The outstanding share of bond - type funds at the end of Q4 was 9.31 trillion shares, an increase of nearly 200 billion shares compared to Q3 [3][20]. 3.2 Heavy - position Bonds' Preference: Pure - bond Funds - The heavy - position structure of pure - bond funds still focused on interest - rate bonds in Q4 2025. The market value of heavy - position interest - rate bonds and credit bonds accounted for 71% and 20% of the total heavy - position market value respectively, with a marginal decline in heavy - position scale, decreasing by 5% and 3% quarter - on - quarter [4][25]. - In terms of varieties, pure - bond funds mainly increased their positions in general credit bonds and Tier 2 capital and perpetual bonds, and significantly reduced their positions in general commercial financial bonds. The heavy - position scale of general credit bonds and Tier 2 capital and perpetual bonds increased by 6.4 billion yuan and 5.4 billion yuan respectively, while the heavy - position scale of general commercial financial bonds decreased by over 30 billion yuan [4][28]. - **Urban investment bonds**: Pure - bond funds mainly increased their positions in urban investment bonds with an implicit rating of AA, with a quarter - on - quarter increase of 10.5 billion yuan. The proportion of holdings of varieties within 1 year remained stable at 43%. Zhejiang and Shandong were the provinces with the largest scale of urban investment bond allocation, and the increase in positions in Q4 was also mainly in these two provinces [4][35]. - **Industrial bonds**: The industries with the largest heavy - position scale of industrial bonds for pure - bond funds were public utilities and real estate. In Q4, pure - bond funds increased their positions in comprehensive, public utilities, and building decoration bonds. Due to the Vanke incident, pure - bond funds were relatively cautious about real - estate bonds. The heavy - position scale of industrial bonds was still concentrated within 3 years, with the proportion of holdings within 1 year dropping to 33%, and the proportion of holdings from 2 - 3 years increasing marginally [4][42]. - **Financial bonds**: The preference for Tier 2 capital and perpetual bonds by pure - bond funds recovered slightly in Q4. Pure - bond funds increased their positions in Tier 2 capital bonds by 7 billion yuan, continued to reduce their positions in bank perpetual bonds, and the heavy - position scale of Tier 2 capital and perpetual bonds accounted for 24% of credit bonds, with the proportion of Tier 2 capital and perpetual bonds of small and medium - sized banks decreasing [5][48]. 3.3 Heavy - position Bonds' Preference: Fixed - income + Funds - In Q4 2025, interest - rate bonds, credit bonds, and convertible bonds in the heavy - position assets of fixed - income + funds accounted for 42%, 28%, and 25% of the total market value of heavy - position bonds respectively. The growth rate of heavy - position interest - rate bonds slowed down from 34% in Q3 to 14%, but was still higher than that of credit bonds and convertible bonds [6][56]. - **Interest - rate bonds**: Fixed - income + funds concentrated on policy - financial bonds and treasury bonds. The heavy - position scale of policy - financial bonds reached 187.7 billion yuan, a quarter - on - quarter increase of 35.9 billion yuan, accounting for 61% of interest - rate bonds. The heavy - position scale of treasury bonds was 115.1 billion yuan, a quarter - on - quarter increase of 4.2 billion yuan, accounting for about 37% of interest - rate bonds. The main terms for treasury - bond allocation were within 3 years and over 7 years [6][59]. - **Credit bonds**: Fixed - income + funds preferred Tier 2 capital and perpetual bonds, which accounted for about half of the heavy - position scale of credit bonds. Compared with Q3, fixed - income + funds mainly increased their positions in Tier 2 capital and perpetual bonds and other financial bonds, and significantly reduced their positions in general credit bonds, especially urban investment bonds [7][66]. - Fixed - income + funds' preference for ultra - long - term credit bonds declined, with the heavy - position scale remaining at a low level of around 2.5 billion yuan in the past two quarters [7][70]. - For urban investment bonds, fixed - income + funds reduced their positions in urban investment bonds with implicit ratings of AA+ and AA, and the holding term was mainly within 3 years. The proportion of holdings of AA and below decreased to 57%. Zhejiang, Shandong, Jiangsu, and Sichuan were the provinces with the largest scale of urban investment bond allocation, and the scale of position reduction in Zhejiang, Shandong, and Xinjiang was relatively large [7][76]. - For industrial bonds, fixed - income + funds mainly allocated public - utility bonds, and their preference for medium - and long - term industrial bonds increased. The heavy - position scale of public - utility bonds was the largest, and the proportion of medium - and long - term holdings (4 - 5 years and over 5 years) increased, while the proportion of holdings within 2 years decreased [85]. - In Q4, fixed - income + funds repurchased Tier 2 capital and perpetual bonds, with a strengthened preference for 3 - 5 - year holdings. The proportion of Tier 2 capital and perpetual bonds of small and medium - sized banks in the total Tier 2 capital and perpetual bonds further dropped below 10%, and about half of the Tier 2 capital and perpetual bond holdings were concentrated in the 3 - 5 - year period [89].