证 券 研 究 报 告 收益率多上行但利差分化，5年以内普信相对抗跌 信用债市场周度跟踪（2026.2.23-2026.3.1） 证券分析师：黄伟平 A0230524110002 杨雪芳 A0230524120003 张晋源 A0230525040001 研究支持： 曹璇 A0230125070001 2026.3.1 主要内容 注：受春节假期影响，本期为2026.02.23-2026.03.01，上期为2026.02.09-2026.02.15 ，收益率和各类利差变动为2.27相对2.14的变动值。 www.swsresearch.com 证券研究报告 2 ◼ 一级市场：本期普通信用债净供给环比下降，二永债无新发行与到期。本期（2026.02.23-2026.03.01）普通信用债合计发行/净融资952亿元/-892亿元，上期 （2026.02.09-2026.02.15）分别为1390亿元/363亿元。其中，产业债发行环比下降至503亿元，净融资环比转负至-294亿元；城投债发行环比下降至449亿元，净融 资环比转负至-598亿元。本期银行二永债无发行/到期，上期（2026.02.09-2026.02.1 ...

新华财经上海2月25日电 随着2026年春节假期的落幕，债市逐步回归常态化交易，信用债作为固收市场 的核心配置品种，其布局逻辑成为机构关注焦点。 综合主要券商研判，春节后信用债市场大概率将呈现"多空交织、结构分化"的特征——既受益于流动性 呵护、配置资金入场等利好支撑，也面临供给压力、估值约束等利空扰动。 暖风频吹——多重利好构筑信用债友好环境 多位业内人士判断，春节后信用债市场将迎来阶段性友好的投资"窗口"，获得流动性、配置需求与政策 环境的三重支撑。 "复盘过去10年（2016年至2025年）的市场数据，春节后的信用债市场走势通常优于节前。"国联民生证 券研究所固收首席分析师徐亮称，"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。观察最近10年节前节后的R007走势，除2018年以外，春节以后的资金 面通常在阶段性转松后会维持在一个稳定的水平。" 来自申万宏源证券的研究观点亦指出，一季度基本面修复节奏温和，资金面易松难紧，在央行呵护态度 延续的大背景下，DR007有望平稳运行，显著提升套息策略的安全边际。 兴业证券固收首席分析师左大勇则表示，债基赎回费调整落地将缓 ...

Group 1 - The total scale of credit bond ETFs reached 516.7 billion yuan, with a daily increase of 2.93 billion yuan, including a rise of 30 million yuan for benchmark market-making ETFs and 150 million yuan for sci-tech bond ETFs [1] - The median weighted duration is 3.2 years, indicating the average time until the bonds in the ETF portfolio mature [1] - The overall transaction amount was 216.2 billion yuan, with an average single transaction amount of 6.47 million yuan, and a median turnover rate of 33.4% [1] Group 2 - As of February 11, 2026, the company bond ETF (511030) rose by 0.04%, marking its fourth consecutive increase, with the latest price at 107.07 yuan [4] - Over the past year, the company bond ETF has accumulated a total increase of 1.57% [4] - The latest scale of the company bond ETF reached 35.12 billion yuan, a new high in nearly a year, with the latest share count at 328 million, also a six-month high [4] Group 3 - The company bond ETF recorded a net inflow of 866 million yuan, with a total of 904 million yuan in net inflows over the last five trading days [4] - Leveraged funds have been consistently entering the market, with the company bond ETF receiving net purchases from leveraged funds for nine consecutive days, peaking at a net purchase of 19.14 million yuan in a single day [4] - The maximum drawdown for the company bond ETF this year is 0.03%, with a relative benchmark drawdown of 0.06% [4] Group 4 - The management fee for the company bond ETF is 0.15%, and the custody fee is 0.05% [5] - As of February 11, 2026, the tracking error for the company bond ETF this year is 0.006% [5] - The ETF closely tracks the China Bond - Medium to High Grade Corporate Bond Spread Factor Index, which reflects the trends in the RMB bond market [5]

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]

Group 1 - The total scale of credit bond ETFs is 513.8 billion yuan, with a daily increase of 600 million yuan, where the benchmark market-making ETF decreased by 280 million yuan and the Sci-Tech bond ETF increased by 550 million yuan [1] - The median weighted duration is 3.2 years, and the overall transaction amount is 121 billion yuan, with an average single transaction amount of 3.76 million yuan [1] - The median yield is 1.89%, and the median discount rate is -15.4 basis points, with the benchmark market-making at -13.7 basis points and the Sci-Tech bond at -16.8 basis points [1] Group 2 - As of February 10, 2026, the company bond ETF (511030) rose by 0.04%, achieving three consecutive increases, with the latest price at 107.03 yuan and a one-year cumulative increase of 1.51% [4] - The liquidity of the company bond ETF shows a turnover of 5.11% and a transaction volume of 1.748 billion yuan, with an average daily transaction of 2.977 billion yuan over the past week [4] - The latest scale of the company bond ETF reached 34.247 billion yuan, a new high in nearly a year, with the latest share count at 320 million, also a new high in six months [4] Group 3 - The company bond ETF has a management fee rate of 0.15% and a custody fee rate of 0.05% [5] - The tracking error of the company bond ETF for the year to date is 0.006%, closely tracking the China Bond - Medium to High Grade Corporate Bond Spread Factor Index [5] - The index is based on AAA-rated corporate bonds and is adjusted quarterly, providing a benchmark for investment performance in medium to high-grade corporate bonds [5]

Group 1: Credit Bond ETF Overview - The total scale of credit bond ETFs is 513.2 billion yuan, with a daily decrease of 1.06 billion yuan, including a decline of 0.06 billion yuan for benchmark market-making ETFs and 0.93 billion yuan for sci-tech bond ETFs [1] - The median weighted duration is 3.2 years, indicating the sensitivity of the bond prices to interest rate changes [1] - The median yield is 1.88%, with a median discount rate of -15.3 basis points, where benchmark market-making ETFs have a discount rate of -15.1 basis points and sci-tech bond ETFs have -17.5 basis points [1] Group 2: Company Bond ETF Performance - As of February 9, 2026, the company bond ETF (511030) increased by 0.03%, with the latest price at 106.98 yuan, and a one-year cumulative increase of 1.46% [3] - The liquidity of the company bond ETF shows an intraday turnover of 11.97% and a transaction volume of 4.093 billion yuan, indicating active market trading [3] - The latest scale of the company bond ETF reached 34.206 billion yuan, marking a one-year high, with a total inflow of 25.662 million yuan over the last 10 trading days [3] Group 3: Leverage and Tracking Accuracy - Leverage funds have been consistently investing in the company bond ETF, with net purchases for seven consecutive days, peaking at a single-day net purchase of 19.1374 million yuan, and the latest financing balance at 57.595 million yuan [3] - The maximum drawdown for the company bond ETF this year is 0.03%, with a relative benchmark drawdown of 0.03% [3] - The management fee rate for the company bond ETF is 0.15%, and the custody fee rate is 0.05%, with a tracking error of 0.006% for the year [3] Group 4: Index Tracking - The company bond ETF closely tracks the China Bond - Medium to High Grade Corporate Bond Spread Factor Index, which reflects the trends in the RMB bond market and is based on AAA-rated corporate bonds [4] - The index is divided into three groups based on implied ratings and is adjusted quarterly on the first working day of the interbank market [4]

Group 1: Market Trends - In early 2026, A-share ETF fund flows have changed, with continuous net outflows from broad-based products like CSI 300 and CSI 500, while high-growth sectors such as chemicals, communications, and non-ferrous metals have seen inflows [1] - The market is experiencing a strong rebound, with the Shanghai Composite Index rising by 1.41% to 4123.09 points, the Shenzhen Component Index up 2.17% to 14208.44 points, and the ChiNext Index increasing by 2.98% to 3332.77 points [1] Group 2: Fund News - On February 9, 2026, eight new funds were launched, primarily bond funds and funds of funds (FOF), with a fundraising target of 6 billion yuan for the CITIC Securities Dual Yield 3-Month Holding Period Bond A [2] - The number of new fund accounts opened in January reached 546,300, a significant increase of 168% compared to the same period in 2025, indicating a notable rise in investor enthusiasm [2] - Credit bond ETFs have faced a "tide of withdrawal," with a cumulative reduction of over 100 billion yuan in scale over five weeks, particularly affecting the Sci-Tech Innovation Bond ETF, which shrank by more than 70 billion yuan [2] Group 3: Fund Dividends - On February 9, 2026, several funds distributed dividends, with the highest payout being 0.1330 yuan per 10 fund shares for the China Europe National Index Free Cash Flow Index A fund [5] - Other notable dividend distributions include 0.1310 yuan for the China Europe National Index Free Cash Flow Index C fund and 0.0870 yuan for the Bosera Yukun 3-Month Fixed Open Bond fund [5]

Report Industry Investment Rating - Not provided in the report Core Viewpoints - Last week (2/2 - 2/6), bond - type ETFs had a net capital outflow of 4.1 billion yuan. Credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs had net outflows of 6.4 billion yuan, net inflows of 1.2 billion yuan, and net inflows of 1.1 billion yuan respectively. The weekly cumulative unit - net - value changes of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs compared to the previous week were +0.02%, +0.16%, and - 0.07% respectively [2][13]. - There were no newly issued bond ETFs last week [3][17]. - As of February 6, 2026, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 130.1 billion yuan, 369.5 billion yuan, and 76.9 billion yuan respectively, with credit - bond ETFs accounting for 64% of the total scale. Compared to the previous week, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs increased by 1.7 billion yuan, decreased by 5.3 billion yuan, and increased by 0.9 billion yuan respectively. Among credit - bond ETFs, the circulating market values of benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were 104.3 billion yuan and 278.2 billion yuan respectively, decreasing by 2.4 billion yuan and 7.9 billion yuan compared to the previous week [4][19][20]. - Last week, the cumulative unit net values of interest - rate bond ETFs and credit - bond ETFs closed at 1.19 and 1.03 respectively. The return rate of benchmark - market - making credit - bond ETFs since their establishment has been stable at around 1.47%, and the return rate of science - innovation bond ETFs since their establishment has marginally increased to 0.46% [5][27][29]. - Last week, the average premium/discount rates of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.14%, - 0.01%, and - 0.03% respectively. The average trading price of credit - bond ETFs was lower than the fund's unit net value, indicating low allocation sentiment. Specifically, the weekly average premium/discount rates of benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were - 0.19% and - 0.13% respectively [6][34]. - Last week, the turnover rates were in the order of interest - rate bond ETFs > credit - bond ETFs > convertible - bond ETFs. The weekly turnover rates of interest - rate bond ETFs and credit - bond ETFs improved, rising to 165% and 141% respectively, while the weekly turnover rate of convertible - bond ETFs marginally decreased to 138%. Specifically, products such as Huaxia Shanghai Stock Exchange Benchmark - Market - Making Treasury Bond ETF, Southern China Securities AAA Science and Technology Innovation Corporate Bond ETF, and Morgan Shanghai Stock Exchange AAA Science and Technology Innovation Corporate Bond ETF had relatively high turnover rates [7][39]. Summary by Directory 1. Issuance Progress Tracking - No new bond ETFs were issued last week [3][17] 2. Existing Product Tracking - As of February 6, 2026, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs were 130.1 billion yuan, 369.5 billion yuan, and 76.9 billion yuan respectively, with credit - bond ETFs accounting for 64% of the total scale. The top two in terms of circulating market value were Haifutong China Securities Short - Term Financing ETF and Bosera Convertible Bond ETF, with values of 68.1 billion yuan and 65.0 billion yuan respectively [4][19][20]. - Compared to the previous week, the circulating market values of interest - rate bond ETFs, credit - bond ETFs, and convertible - bond ETFs increased by 1.7 billion yuan, decreased by 5.3 billion yuan, and increased by 0.9 billion yuan respectively. The product with a significant increase in scale last week was Haifutong China Securities Short - Term Financing ETF, with a month - on - month increase of 3.3 billion yuan, followed by Penghyang China Bond - 30 - Year Treasury Bond ETF and Bosera Shanghai Stock Exchange 30 - Year Treasury Bond ETF [4][20]. - Among credit - bond ETFs, the circulating market values of benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were 104.3 billion yuan and 278.2 billion yuan respectively, decreasing by 2.4 billion yuan and 7.9 billion yuan compared to the previous week [4][24]. 3. ETF Performance Tracking - Based on the average trends of the cumulative unit net values of 16 interest - rate bond ETFs and 35 credit - bond ETFs, the cumulative unit net values of interest - rate bond ETFs and credit - bond ETFs closed at 1.19 and 1.03 respectively [27]. - The return rate of benchmark - market - making credit - bond ETFs since their establishment has been stable at around 1.47%, and the return rate of science - innovation bond ETFs since their establishment has marginally increased to 0.46% [29]. 4. Premium/Discount Rate Tracking - The premium/discount rate of ETFs measures the deviation between the secondary - market trading price of the fund and its unit net value. A high premium rate usually indicates that the market is optimistic about the fund or its underlying assets, while a high discount rate indicates pessimism or lack of interest [34]. - Last week, the average premium/discount rates of credit - bond ETFs, interest - rate bond ETFs, and convertible - bond ETFs were - 0.14%, - 0.01%, and - 0.03% respectively. The average trading price of credit - bond ETFs was lower than the fund's unit net value, indicating low allocation sentiment. Specifically, the weekly average premium/discount rates of benchmark - market - making credit - bond ETFs and science - innovation bond ETFs were - 0.19% and - 0.13% respectively [6][34]. 5. Turnover Rate Tracking - The weekly turnover rate of ETFs is calculated by dividing the weekly trading volume by the fund shares. Last week, the turnover rates were in the order of interest - rate bond ETFs > credit - bond ETFs > convertible - bond ETFs. The weekly turnover rates of interest - rate bond ETFs and credit - bond ETFs improved, rising to 165% and 141% respectively, while the weekly turnover rate of convertible - bond ETFs marginally decreased to 138% [7][39]. - Specifically, products such as Huaxia Shanghai Stock Exchange Benchmark - Market - Making Treasury Bond ETF, Southern China Securities AAA Science and Technology Innovation Corporate Bond ETF, and Morgan Shanghai Stock Exchange AAA Science and Technology Innovation Corporate Bond ETF had relatively high turnover rates [7][39].

Core Viewpoint - The credit bond ETF market has experienced a significant capital withdrawal since the beginning of 2026, with a total reduction of over 100 billion yuan in scale, primarily driven by the reversal of capital inflows from the end of last year [1][2][4]. Group 1: Market Trends - The scale of credit bond ETFs peaked at 615.2 billion yuan in mid-December 2025 but has since declined for five consecutive weeks, dropping to 514.2 billion yuan by February 6, 2026, a decrease of 1.01 billion yuan [2][4]. - In January 2026, the credit bond ETF scale fell by approximately 852 million yuan in the first three weeks, followed by a further decline of 89 million yuan in the last week of January and an additional 69 million yuan in the first week of February [2][4]. Group 2: Sector Analysis - The Sci-Tech Innovation Bond ETF has been the most affected, with a reduction of over 700 million yuan, including a drop of 688 million yuan in January alone [5][6]. - The leading product in the Sci-Tech Innovation Bond ETF, the Jiashi Sci-Tech Bond ETF, saw the largest weekly decline of 42 million yuan in early February, accounting for 53% of the total decline in that week [5]. Group 3: Valuation and Opportunities - The continuous decline in credit bond ETF scale has led to selling pressure on constituent bonds, resulting in a certain degree of "overselling" [7]. - The spread of constituent bonds has narrowed, with the median spread dropping from 8.63 basis points to 3.34 basis points, indicating a potential valuation recovery window [7][9]. - As liquidity impacts subside and market sentiment improves, there is an expectation for reduced net outflow pressure and potential opportunities in constituent bonds as their valuation attractiveness increases [6][9][10].

Group 1 - The overall performance of medium to long-term credit bonds in January 2026 was better than that of short-term credit bonds, with significant yield declines observed in 3-15 year medium-term notes [4] - The insurance sector continued to play a major role in the allocation of medium to long-term credit bonds, focusing on 3-5 year and over 7-year maturities [4] - Fund managers increased their allocation to 3-5 year credit bonds due to the impact of the amortized cost method and the concentration of bond funds [4] Group 2 - Credit bond ETFs saw a significant increase in scale, exceeding 100 billion yuan in December 2025, but experienced a notable contraction in January 2026 due to market adjustments [5] - The relative excess yield of component bonds over non-component bonds increased, providing investment opportunities for stable institutional investors [5][6] - The policy environment continues to support the long-term healthy development of the ETF market, with expectations for a compression of excess yields in component bonds [7]