二、信用策略超额收益跟踪 近四周，行情从普信债向二永债轮动，二级债久期策略累计超额收益占优。具体来看，二级债久期、券商债下沉及永 续债久期组合的累计超额收益分别达到 8.1bp、4.6bp、3.9bp，其余策略累计收益与基准组合的距离也都在 8bp 以内。 近期市场偏好从普信债轮动至金融债，特别是二永债重仓组合累计超额明显超过城投债组合。 从策略期限来看，中长端城投久期策略超额收益回归正区间。短端方面，本周存单策略继续跑输基准，2025 年 9 月 至今存单下沉策略较子弹型策略胜率较高，城投下沉组合超额收益则回升至去年 11 月下旬以来最高；中长端方面， 除商金债子弹型、券商债久期策略外，其余组合超额收益均回正，值得关注的是，城投久期、哑铃型策略表现在过去 七周内首次超越基准，组合收益底部信号再现，而券商债下沉策略超额达到 9bp，接近去年最高点读数（约 11.5bp）； 超长端策略整体超额收益依旧处于负区间，城投、产业及二级超长型组合读数分别为-5.5bp、-8.9bp 和-9.2bp。 风险提示 一、组合策略收益跟踪 本周信用风格模拟组合收益多数回升，利率风格组合则持续下滑。利率风格组合中，二级债久期、城 ...

新华财经上海1月8日电（记者杨溢仁）步入2026年一季度，宏观经济弱复苏态势延续，货币政策宽松基 调未改，叠加机构行为变化与政策落地影响，信用债市场正迎来兼具机遇与挑战的投资窗口。 业内专家普遍认为，一季度的债市环境对信用债投资较为有利，但需聚焦结构性机会，同时警惕流动性 与监管变化等潜在风险。 宽松托底基本面供需格局料改善 在大部分业内人士看来，一季度信用债投资的核心支撑逻辑源于宽松的流动性环境与温和的基本面修复 节奏。 来自申万宏源的研究观点指出，一季度基本面修复节奏温和，资金面易松难紧，债券利率有望启动下行 行情，或现年内低点，这一环境对信用债投资仍然有利。 就流动性供给来看，跨年结束后机构负债压力边际减轻，且央行大概率会延续呵护资金面的态度，为信 用债市场提供稳定的资金支撑。 "2026年初，央行对流动性管理的态度预计较2025年初更为宽松，资金利率贴近利率走廊下沿运行的概 率较大，这将显著提升信用债套息策略的安全边际。"一位机构交易员向记者表示，"不仅如此，信用债 供需格局的阶段性缓和也将进一步优化投资环境。" 回顾历史，根据华西证券测算，2021年至2025年1月（除2023年受理财赎回影响外）信 ...

固收｜当资产荒遇上需求重塑——2026 年信用债年度策 略 20251210 Q&A 2026 年信用债市场的整体策略观点是什么？ 2026 年信用债市场将继续面临结构性资产荒的局面，但需求结构可能会因费 用新规的落地而发生重塑。预计不同品种的信用债将受到结构性影响。今年 （2025 年）一级市场净供给保持高位，科创债发行放量显著，民企净融资转 正，金融债净供给也维持高位。二级市场方面，信用利差收窄，中短端下沉策 略表现最佳。尽管出现了一些典型违约案例，如天安财险和万科展期事件，但 整体风险外溢可控。 对于明年的市场环境和品种选择有何判断？ 对于 2026 年的市场环境，我们对整体债券市场持中性偏空观点，预计利率中 枢将抬升。一季度可能是利率低点，十年国债收益率含税水平运行区间为 1.7%至 2.1%。在此背景下，信用债表现预计好于利率债。供需方面，城投债 摘要 2026 年债券市场展望中性偏空，预计利率中枢抬升，一季度或为利率 低点，十年国债收益率含税区间 1.7%-2.1%。信用债表现预计优于利 率债，需关注公募费率新规对信用债需求生态的影响。 产业债净供给预计保持高位，受益于企业盈利改善和资本开支需求， ...

银行二永债继续跑输普信债。12月1-5日，银行二永债收益率全线上行，信用利差也普遍走扩，中长端表现更弱，4年、10年二永债利差走扩4-9bp。与中 短票相比，银行二永债表现落后，相对利差多走扩，其中3-4年和10年二级资本债、3-4年AA及以上永续债和4-5年AA-永续债调整幅度更大，相对利差走 扩4-8bp。 二永债具有"利率波动放大器"属性，在利率债还没有明确方向，且基金销售费用新规尚未落地的背景下，估值波动风险仍然较大，交易盘依然建议谨慎参 与。不过，随着中长久期二永债收益率攀升至年内高点附近，性价比凸显，部分负债端稳定、追求绝对收益的账户依然可以考虑布局，持有体验要好于普 信债。假设持有3个月，收益率曲线不变的情形下，3-5年大行二永债的持有期收益率要高于普信债，尤其是3年品种，持有收益率要高10bp左右。即使后 续估值继续调整，3年大行二永债也能够承受20bp左右的利率上行风险。 来源：郁言债市 12月1-5日，资金面平稳，但央行买债不及预期，市场对进一步"宽货币"预期有所弱化，债市继续调整。信用债收益率上行，利差表现分化，高等级城投 债1年、10年表现偏弱，利差走扩3-5bp，30年利差被动收窄8 ...

Group 1: Central Bank Policy Rates and Market Rates - The relationship between central bank policy rates and market rates focuses on two dimensions: OMO leading to funding rates and short-term government bond rates, and OMO influencing funding rates, short-term rates, and ten-year government bond yields. Since May, the DR001 funding rate has returned to fluctuate near the policy rate, indicating a stable funding environment ahead [1][17][19] - The MLF policy rate's role has been gradually diminished, with OMO rate plus an average of 70 basis points becoming the new anchor for ten-year government bond yields. Currently, the spread between ten-year government bonds and OMO is stable at around 40 basis points, which is slightly low compared to historical levels [1][19][20] Group 2: Commercial Banks' Asset and Liability Rates - The efficiency of the transmission of policy rates to deposit and loan rates has varied, leading to a continuous compression of banks' net interest margins. The central bank is enhancing the linkage between asset and liability rates to stabilize bank margins, with expectations that the pressure on net interest margins will ease in the future [2][20][26] - The decline in deposit rates has been slower compared to loan rates, with the average loan rate dropping by 2.38 percentage points since August 2019, while the average deposit rate has only decreased by 0.25 percentage points for demand deposits [2][20][21] Group 3: Relationships Among Different Asset Yields - There exists a relative relationship among various asset yields, such as deposit rates, loan rates, bond yields, and stock dividend yields. The average personal housing loan interest rate is currently around 3.1%, while the adjusted yield on 30-year government bonds is higher by approximately 20 basis points, indicating a favorable comparison for bonds over loans [3][28][29] - The downward adjustment of loan rates may face constraints due to the existing yield relationships, as the loan rates have remained relatively stable despite reductions in LPR and deposit rates [3][29] Group 4: Term and Risk Rate Relationships - The current level of term spreads is low, with expectations that the spreads will widen due to regulatory attitudes, stable funding conditions, and nominal GDP recovery. The credit spreads for short-term bonds are at historical lows, while mid to long-term bonds show slightly better value but with higher volatility [4][41][42] - The pricing of different risk rates is fundamentally a matter of credit spreads, which are influenced by liquidity premiums and credit risk premiums. The current credit spreads for various ratings are at low levels, indicating potential opportunities for investment [4][44][45] Group 5: Implications for Monetary Policy and Market Dynamics - The central bank's focus on maintaining reasonable interest rate relationships is crucial for macroeconomic balance and resource allocation. The recent emphasis on these relationships may lead to a more systematic and refined approach to monitoring and managing market rates [10][59] - The dynamics of the bond market are currently influenced by concerns over potential fund redemptions and the impact of new public offering regulations, which may limit the market's ability to respond positively to favorable economic indicators [9][60][61]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The current bond market is in a pricing dilemma with long - term interest rates remaining flat, making band - trading difficult. Investors are turning to coupon assets. Seeking relatively cost - effective assets may be a better choice[1][10] - Focus on varieties and entities with large yield increases but slow repair processes during the July - November bond market adjustment - repair cycle, as they may experience a catch - up rally[2][10] 3. Summary by Relevant Catalogs 3.1 Credit Market Performance Analysis - From November 10 - 14, interest - rate bonds fluctuated narrowly, and the yield curve flattened. General credit bonds performed weakly with most credit spreads widening slightly. Bank secondary and perpetual (two - Yong) bonds had a catch - up rally, outperforming general credit bonds[9] - For general credit bonds, medium - to high - grade long - term varieties were severely affected and repaired slowly during the bond market adjustment. From July 7 to November 14, the yields of 7 - 15 - year AAA and AA+ urban investment bonds increased significantly by 25 - 40bp, and credit spreads widened by 6 - 10bp, with 30 - year spreads widening by 12 - 14bp[2][10] - Some private and perpetual bonds had weaker performance than ordinary bonds during the adjustment - repair cycle, with higher current variety spreads. There are opportunities to obtain higher coupons by sacrificing some liquidity[3][14] 3.2 Investment Opportunity Recommendations - For general credit bonds, pay attention to medium - to high - grade long - term varieties and some issuers of 2 - 3 - year or 3 - 5 - year credit bonds with large yield adjustments[2][12] - Focus on entities with excess returns in perpetual bonds. 37 entities were screened based on certain criteria such as implicit rating, bond stock, average yield, and variety spread[3][16] - Bank two - Yong bonds still have cost - effectiveness compared to general credit bonds. However, they face challenges due to the unimplemented new regulations on fund sales fees and are more suitable for accounts with relatively stable liability ends or those insensitive to drawdowns[3][18] - Three - year medium - to high - grade securities company subordinated bonds have a coupon advantage over the same - term and same - grade bank secondary capital bonds, suitable for accounts with low liquidity requirements[5][20] 3.3 Specific Bond Type Analysis 3.3.1 Urban Investment Bonds - From November 1 - 16, 2025, urban investment bond net financing was negative, and the outflow scale increased. The issuance rate dropped significantly to a historical low. In the secondary market, the 3 - 5 - year market cooled, and credit spreads widened slightly[26][27] 3.3.2 Industrial Bonds - In November, industrial bond issuance and net financing increased year - on - year. The 3 - 5 - year issuance proportion increased significantly, and the issuance rate declined across the board, with a larger decline in the 3 - 5 - year segment[34][35]

Group 1: Report Industry Investment Rating - Not mentioned in the report Group 2: Core Viewpoints of the Report - The concentrated opening of amortized fixed - term open - end bond funds may directly benefit general credit bonds, and the spread of general credit bonds may decline. After the opening of these funds drives up the price of general credit bonds, the medium - and long - term cost - performance of secondary perpetual bonds will be passively improved, attracting medium - and long - term allocation funds such as annuities and insurance companies, with the market of secondary perpetual bonds lagging behind that of general credit bonds [2][26][27]. - The concentrated opening of amortized fixed - term open - end bond funds may form a strong allocation demand for 3 - 5Y medium - and long - term credit bonds [20][30]. Group 3: Summary According to the Directory 1. Changes in the Holding Varieties of Amortized Fixed - Term Open - End Bond Funds - Since the beginning of 2024, the proportion of interest - rate bonds (especially policy - financial bonds) held by amortized fixed - term open - end bond funds has significantly decreased, while the proportion of general credit bonds has increased substantially. From 2024Q1 - 2025Q3, the proportion of financial bonds held decreased from 89% to 78% (the proportion of policy - financial bonds decreased from 73% to 61%), and the proportion of credit bonds increased from 2% to 14% [8]. - The proportion of medium - term notes held by amortized fixed - term open - end bond funds has steadily increased. From the perspectives of implicit rating and remaining term, the proportion of credit bonds with an implicit rating of AAA - and above and a remaining term of 3 - 5 years has significantly increased. The proportion of medium - term notes increased from 43% in 2024Q1 to 61% in 2025Q3, the proportion of high - grade bonds increased, and the proportion of credit bonds with a remaining term of 1 year or less decreased from 80% in 2024Q3 to 30% in 2025Q3, while the proportion of 3 - 5Y credit bonds increased to 42% in 2025Q3 [11]. 2. Impact of the Concentrated Opening of Amortized Fixed - Term Open - End Bond Funds - From 2025Q4 - 2026Q2, a round of opening days for amortized fixed - term open - end bond funds will be concentrated. Among the funds with a closed - end period of more than 1 year, 76 funds will open, with a total fund asset value of 7,433 billion yuan. In 2026Q1 and before, 53 funds with a closed - end period of more than 1 year will open [14][15]. - The concentrated opening of these funds may form a strong allocation demand for 3 - 5Y medium - and long - term credit bonds. After the opening days end and the funds enter the closed - end period to start building positions, they may have a relatively strong demand for such bonds [20]. - In terms of variety structure, the concentrated opening may directly benefit general credit bonds, and it is expected that general credit bonds may experience a good spread compression market. The medium - and long - term cost - performance of secondary perpetual bonds will be passively improved, attracting allocation funds [26][27]. - It is estimated that the opening of existing amortized fixed - term open - end bond funds will bring about 119.8 billion yuan of stable allocation funds to the credit bond market, and the funds entering the opening period before 2026Q2 are expected to bring about 51.8 billion yuan [29]. 3. Investment Suggestions - From 2025Q4 - 2026Q2, the concentrated opening of amortized fixed - term open - end bond funds may directly benefit credit bonds matching their closed - end periods, especially 3 - 5Y medium - and long - term credit bonds [30]. - The concentrated opening may directly benefit general credit bonds such as urban investment bonds and industrial bonds. High - grade (AAA - and above) medium - term notes are recommended as key trading targets in the future market [31][32].

Report Industry Investment Rating No information provided in the content. Core Viewpoints - Entering the fourth quarter of 2025, a new batch of fixed - open bond funds priced using the amortized cost method are entering a concentrated opening period. These products can provide stable and predictable returns, alleviating investors' concerns about the uncertainty of the bond market and attracting market attention [1][11]. - From 2025Q4 to 2026Q2, the fixed - open bond funds with a 3 - 5 - year closed - end period will enter a new opening peak. Attention should be paid to the allocation opportunities of 3 - 5y varieties, including high - grade general credit bonds and policy - financial bonds [5][32]. Summary by Directory 1. Historical Amortized Cost Method Bond Funds - **Open - period Peaks**: Since their establishment in 2019, amortized cost fixed - open bond funds have experienced multiple open - period peaks. The third peak is expected from 2025Q4 to 2026Q2. They were first issued in May 2019, with issuance peaks in Q4 2019 and Q3 2020, and previous open - period peaks in 2022Q4 - 2023Q1 and 2023Q4 [2][11]. - **Bond Allocation Structure**: Policy - financial bonds dominate the bond allocation of existing products, but their proportion has declined in recent years. As of Q3 2025, the proportion of policy - financial bond holdings has dropped from around 90% to around 75% [2][12]. - **Historical Performance**: When amortized cost method bond funds enter the intensive open - period, the heavy - position varieties corresponding to the product's closed - end period perform well. For example, when 3y and 7y funds were concentratedly established or reopened, the spreads of corresponding - term policy - financial bonds were significantly compressed [16]. 2. What's Different This Round? (1) Investor Perspective - **Bank Self - operation**: In the affiliated - party context, the scale of bank self - operation holding amortized cost fixed - open bond funds has remained stable at around 250 billion yuan in recent years, mainly holding products with a term of 3y and above, indicating a stable long - term allocation demand [3][17]. - **Bank Wealth Management**: In 2025, due to the rectification of the valuation - smoothing method through the trust mechanism, bank wealth management has significantly increased its holdings of amortized cost method bond funds. The scale has increased from 1.71 billion yuan in Q4 2024 to 9.3 billion yuan in Q3 2025, a nearly 5.4 - fold increase. Bank wealth management prefers medium - term credit bonds and short - term (3y and within) amortized cost method bond funds [20][23]. (2) Asset Perspective - **Shift in Bond Allocation Preference**: Since 2025, the bond allocation preference of amortized cost method bond funds entering the open - period has shifted from policy - financial bonds to credit bonds. Among the 36 funds that reopened in the first three quarters of 2025, most have changed their bond allocation from policy - financial bonds to general credit bonds, with only 3 still mainly investing in policy - financial bonds [4][26]. - **Reasons for the Shift**: Firstly, the participation of bank wealth management in the investor structure has increased, and they prefer credit bonds. Secondly, in a low - interest - rate environment, institutions pursue higher - coupon - return assets [26]. - **Grade and Term Distribution**: In terms of the top five holdings of these 36 funds, they are mainly AAA - grade high - grade bonds, followed by non - rated bonds. The term is generally in line with the closed - end period of the funds, and subsequent structural opportunities of corresponding varieties can be grasped according to the term distribution of maturing funds [27]. 3. Opportunities for 3 - 5y Varieties under the New Round of Amortized Cost Method Bond Fund Openings - **Open - period Characteristics**: From 2025Q4 to 2026Q2, fixed - open bond funds with a 3 - 5 - year closed - end period will enter a new open - period. The main term shows a switching characteristic of "3 - 5 years → 5 years → 3 years", and the 5 - year variety will reach a maturity peak for the first time since the concentrated establishment of products in 2020 [5][32]. - **Credit Bonds**: With the increasing trend of wealth - management funds, attention can be paid to the spread - compression opportunities of 3 - 5 - year high - grade general credit bonds. However, the credit spreads of 3 - 5y high - grade medium - and short - term notes have been compressed to a relatively low level since 2024, so it is advisable to wait for the implementation of the fund - fee new regulations before seizing allocation opportunities [5][33]. - **Policy - financial Bonds**: Due to the previous selling pressure of funds, the spread quantiles of 3 - 5y policy - financial bonds are at a high level since 2022. After the implementation of the fund - fee new regulations, it is a good allocation time. However, the insufficient incremental funds of new products flowing into policy - financial bonds may lead to a less - effective spread - compression market than before [6][35][37].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The bond market is in a volatile and weak - trending situation, with the long - end and short - end yields showing different trends. The long - end yields move up and down following multiple logics, while the short - end yields are at a low level and are weakly volatile. The central bank's bond - buying operation may open up the game space for long - term interest rates, but the "rush - ahead" market in the bond market from November to December this year may not necessarily reappear [1][5][6]. - The positioning of the central bank's national debt trading tool is becoming more diversified and three - dimensional, which is an important part of improving the micro - foundation of the bond market and enhancing pricing efficiency. The impact of the scale of bond - buying on liquidity is not the main factor, and the ultimate shape of the yield curve depends on the desired range, which is affected by market expectations, fundamental conditions, and institutional behavior [2][3][12]. 3. Summary by Relevant Catalogs 3.1 Market Review: Bond Market Continues to Seek Direction - This week, the bond market showed a volatile and weak - trending market under the rapid switching of multiple pricing logics. The long - end yields first declined and then rose following the logics of "central bank's bond - buying implementation - stock market strength suppressing - expectation fermentation of the new regulations on fund sales fees implementation", while the short - end yields were at a low level, and the central bank's bond - buying had limited boosting effect, showing a weak - trending volatility. On Friday, the short - end yields continued to correct due to slightly tight funds [1][8]. - At the beginning of the week, the market was mainly pricing around the central bank's restart of bond - buying in October. After the implementation of national debt trading on Tuesday afternoon, the long - end yields first rose and then strengthened. On Wednesday afternoon, the trading logic switched to the "stock - bond seesaw", and the bond market was suppressed by the strong stock market. On Friday, the expectation of the new regulations on fund sales fees implementation dominated the bond market, and the tightened funds also dragged down the market [8]. 3.2 This Week's Focus: How to Price the Yield Curve with the Central Bank's Resumption of Bond - Buying? - On October 27, the central bank mentioned resuming national debt trading, with new information including directly linking national debt trading to guiding the yield curve shape, affirming the current bond market operation, emphasizing two - way trading operations, and believing that national debt trading is beneficial to the reform and development of the bond market and the improvement of financial institutions' market - making and pricing capabilities [2][10]. - In October, the central bank net - bought 20 billion yuan of national debt. There is no need to over - focus on the relationship between the bond - buying scale in October and the operation time. The scale of bond - buying does not have a major impact on liquidity. National debt trading may open up the game space for long - term interest rates, and the market's pricing of the resumption of bond - buying may be nearing the end [3][12][14]. - The scale of bond - buying affects the market through expectations. A higher scale can boost market confidence, while a limited scale may be a short - term negative factor. The final shape of the yield curve depends on the desired range, which is affected by market expectations of interest rate trends, fundamental repair conditions, and institutional behavior [4][15][17]. 3.3 Next Week's Concern: Will There Be a "Rush - Ahead" Market at the End of the Year? - Near the end of the year, the market is turning its attention to the cross - year allocation market. The "rush - ahead" market at the end of last year was the main driving force for the rapid decline of bond market interest rates. However, this year, there are differences. The sustainability of the purchases by allocation - oriented investors such as rural commercial banks, large - scale banks, and insurance companies remains to be observed, and the increase in the purchase scale of wealth management products and funds is mainly driven by the expansion of the liability side, not by the rapid decline of bond market interest rates [5][19]. - It is believed that the "rush - ahead" market in the bond market from November to December this year may not necessarily reappear. The purchases by allocation - oriented investors may be restricted by floating losses and the high - base effect of last year's performance. Additionally, the imagination space for loose monetary policy has shrunk compared to the end of last year [5][22]. 3.4 Outlook for the Future - If the stock market strengthens and concerns about the new fund regulations ferment, it will still suppress the bond market. However, the wave - like recovery of the fundamentals and the central bank's resumption of bond - buying limit the upward adjustment momentum of interest rates. The cross - year allocation market remains to be confirmed, but the game space for long - term interest rates may be opened up. One can try to seize trading opportunities for long - term interest rates but should respond cautiously with a volatile mindset [6][23]. - In terms of spread trading, the current bond - swapping market has generally ended. The further compression space of the "China Development Bank Bond - National Debt" spread needs to be continuously observed based on the purchasing momentum of allocation - oriented investors. The "deposit transfer" may make the scale of wealth management products resilient, and the purchasing power of wealth management products may support medium - and short - term credit bonds. One can focus on medium - and short - duration bonds with coupon value [6][23][24].

Group 1 - The report highlights a divergence between credit rates and government bond yields, with credit spreads compressing due to stable funding and external factors such as tariff frictions and market dynamics [3][9]. - The net buying power for credit bonds, particularly "Puxin" bonds, remains strong, supporting the credit market's performance against interest rate movements [3][10]. - The report notes that the compression of credit spreads is more pronounced in "Puxin" bonds compared to perpetual bonds, with longer-term "Puxin" bonds and certain AA-rated city investment bonds leading the market [16][24]. Group 2 - The divergence in credit rates this year is attributed to the relatively poor liquidity of credit bonds and external supply-demand factors, such as the growth of credit bond ETFs, which have increased allocation demand [4][34]. - The report suggests that the current credit spread compression may have limited further upside, advising caution in trading strategies and recommending a focus on short credit positions [5][37]. - Specific investment opportunities include targeting bonds with yields above 2.0%, while maintaining a cautious stance on longer-duration perpetual bonds until new regulations are finalized [39][40].