证 券 研 究 报 告 【债券月报】 利差压缩空间有限，以稳为主、逢高配置 ——3 月信用债策略月报 2）结合季节性规律及当前市场环境来看，今年 3 月债市定价影响因素或相对 偏利好，债市收益率或季节性缓慢下行，可把握高流动性交易品种的参与机会。 信用债方面，当前信用利差已处于低位，压缩动能相对有限，整体性价比偏低， 但进入二季度信用债配置力量通常季节性走强，当前信用利差大幅走阔的风险 亦相对可控，月内利差波动高点可择机配置。 信用债策略：信用利差压缩动能偏弱，波动高点可适当布局 1）3y 以内品种基金和理财的配置需求较高，利差或低位波动，可做杠杆套息 策略。收益率主要分布在 1.65%-2.05%区间，利差在 10-40BP 区间。预计利差 继续维持在偏低水平附近震荡，可适当下沉挖掘收益。 2）4-5y 品种利差压缩空间有限，当前性价比偏低，月内利差高点可适当布局。 当前 4-5y 品种信用利差进一步压缩空间较为有限。同时需要注意 5y 摊余债基 进入下半年开放规模将明显下降，5y 品种需求格局或有弱化，利差中枢或逐 渐有上行压力，年中时点可结合市场情绪变化做部分仓位止盈。 3）5y 以上品种从布局票息的角 ...

固定收益月报 超长债博弈空间有限，关注二永债相对价值 3 月信用月报 核心结论 年初以来，长端及超长端信用债整体表现较优。除年初配置盘进场、摊余债基 集中开放带来的信用债配置需求以外，交易盘的参与亦是推动信用利差快速收 窄的关键因素。据机构净买入数据，年初至今，其他资管机构为 7-10Y 信用债 最大买入机构，其次为保险（92.8 亿元）和基金（20.6 亿元）。 （1）今年保险机构对 7-10 年期信用债的净买入力度显著强于去年同期，除了 该品种配置价值显现之外（年初信用利差、期限利差处于近年高位），还与分红 险领跑保险"开门红"有关。 （2）基金于 2 月对 7-10Y 信用债转为净买入，或主要由于 1 月信用利差快速压 缩背景下，5Y 及以内利差进一步向下压缩的空间不足，而超长信用债性价比性 价比高，叠加节前最后一周信用债配置情绪较好，基金入场博弈超长端信用债的 交易性机会。 （3）此外，年初以来公募基金对 5Y 以内信用债的买入力量较强，远超季节性。 分期限来看，3-5Y 信用债为基金配置主力，净买入规模超 2000 亿元。摊余定 开债基集中开放为信用债带来增量配置需求，成为支撑本轮信用利差快速压缩的 ...

证券研究报告|固收研究报告 [Table_Date] 2026 年 03 月 01 日 [Table_Title] 3 月信用，先止盈后布局 [Table_Title2] 2026 信用月报之三 [Table_Summary] ► 3 月初适当止盈高弹性品种，等待月底布局时机 2 月利率小幅震荡下行。期间 10 年国债利率受到机构行为力量推动，一度突破 阻力位至 1.78%；但后续缺乏增量利多，叠加月末"沪七条"地产政策带来的 情绪扰动，长端利率重回 1.80%。信用债收益率普遍下行，信用利差走势分 化，长久期品种表现更好。 展望 3 月，债市多空因素交织，市场走势不确定性上升，叠加当前信用利差已 收窄至历史偏低区间，建议月初对高弹性品种适度止盈，等待 3 月底的布局时 机。3 月影响债市的不确定因素在于：一是伊朗局势升级，避险情绪可能带动 短期内利率下行；但战争引发的输入型通胀压力或导致国内通胀预期抬升，利 率也面临上行压力。二是两会召开在即，叠加 2月 26日"沪七条"楼市新政落 地，市场对稳增长政策力度与节奏的预期或有变化。 此外，关注科创债成分券的超跌修复机会。2 月科创债 ETF 规模小幅回落，成 ...

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 ...

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]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the primary market, the net supply of ordinary credit bonds increased compared to the previous period, while the net supply of bank perpetual and secondary capital bonds (two - tiered perpetual bonds, "二永债") turned negative due to no issuance this period [4]. - In the secondary market, yields mainly declined, and credit spreads mostly widened. 3 - year ordinary credit bonds, 5 - year financial bonds, and weak - quality urban investment bonds performed well. The turnover rate of ordinary credit bonds and bank perpetual bonds decreased, while that of bank secondary capital bonds increased [4]. - For credit strategies, it is advisable to moderately extend the duration to 3 - 5 years for carry trades, and also focus on short - to - medium - term coupon - bearing assets and the potential cost - effectiveness of ETF component bonds. For two - tiered perpetual bonds, it is recommended to be cautious and wait for opportunities for valuation recovery or increased supply [4]. 3. Summary by Related Catalogs 3.1 Primary Market 3.1.1 Ordinary Credit Bonds - Supply increased compared to the previous period, with the issuance amount reaching 357.3 billion yuan and net financing of 255.1 billion yuan. Both industrial and urban investment bonds saw an increase in issuance and net financing. The issuance of industrial bonds increased to 204.6 billion yuan, and net financing rose to 146.5 billion yuan. The issuance of urban investment bonds increased to 152.7 billion yuan, and net financing reached 108.6 billion yuan, the highest since 2024 [4]. - The weighted issuance term increased to 2.89 years (previously 2.76 years). The weighted issuance terms of urban investment bonds and industrial bonds also increased [15]. - The credit bond bid - cap minus the coupon rate rose from 0.37% to 0.43%, and the subscription multiple increased from 2.52 to 2.82, indicating increased subscription enthusiasm [21]. 3.1.2 Bank Two - Tiered Perpetual Bonds - There was no issuance of bank two - tiered perpetual bonds this period, and the net financing scale turned negative. Two secondary capital bonds matured, with net financing of - 7 billion yuan, and one perpetual bond matured, with net financing of - 10 billion yuan [4]. 3.2 Secondary Market 3.2.1 Overall Yield and Credit Spread - Yields mainly declined, with 3 - year ordinary credit bonds, 5 - year financial bonds, and weak - quality urban investment bonds performing better. For example, among 3 - year ordinary credit bonds, the AA - rated extendible industrial bonds had the largest decline of - 5.34BP [4]. - Credit spreads mostly widened, except for a small number of varieties such as 1 - year commercial financial bonds, some weak - quality urban investment bonds, and 10 - year two - tiered perpetual bonds, which saw a slight narrowing. The 5 - year AA - rated urban investment bonds performed best with a - 1.24BP change, while the 5 - year high - grade ordinary credit bonds had a relatively large widening [4]. 3.2.2 Urban Investment Bonds - Yields in various regions mostly declined, and credit spreads mostly widened. Weak - quality urban investment bonds performed better. For example, in Anhui, the yields of AA - rated and AA(2) - rated urban investment bonds decreased by - 1.76BP and - 6.33BP respectively in the past week [59]. - The turnover rate of urban investment bonds in different regions showed different trends, and the trading volume also varied [62][65]. 3.2.3 Industrial Bonds - Yields in various industries showed differentiation, and credit spreads generally widened. For example, in the steel industry, the AA - rated industrial bonds' yields decreased by - 2.30BP in the past week, while in the real estate industry, the AA - rated industrial bonds' yields increased by 4.80BP [68]. - The turnover rate and trading volume of industrial bonds in different industries also showed different characteristics [70][73]. 3.2.4 Financial Bonds - Yields mostly declined, credit spreads generally widened, and the performance of excess spreads was differentiated. For bank secondary capital bonds and perpetual bonds, yields of different ratings and bank types showed different degrees of decline, and credit spreads and excess spreads also changed accordingly [93]. 3.3 Stock Bond Distribution - Currently, most yields are distributed within 2.4%. The average yield distributions of industrial bonds in various industries and urban investment bonds in different regions are presented in detail in the report, with most yields concentrated in a relatively low range [105][106][108].

Group 1: Market Overview - In January, credit bond configuration sentiment was strong, leading to a significant compression of credit spreads, with 5-year credit spreads narrowing to the lowest point since 2025[12] - February's market outlook indicates a neutral to favorable pricing environment for bonds, with credit spreads expected to continue narrowing, particularly in the long-term credit segment[8] - The demand for credit bonds remains robust, especially for short-term products, driven by institutional investments and favorable monetary conditions[8] Group 2: Investment Strategies - For bonds with maturities of 5 years or less, focus on structural opportunities, particularly in the real estate sector, where sentiment is expected to improve[3] - Long-term credit bonds (over 5 years) are currently in a favorable positioning window, but investors should be cautious and take profits quickly as spreads compress[3] - Specific recommendations include targeting high liquidity bonds and those with favorable convexity, particularly in the 5.5-6 year and 7.5-8 year ranges[4] Group 3: Sector-Specific Insights - In the urban investment bond sector, low-grade bonds with maturities of 3 years or less still offer attractive yields, while medium to long-term bonds should focus on high-quality issuers[5] - The real estate bond market should concentrate on 1-2 year maturities, particularly for state-owned enterprises, as valuation recovery momentum is strong[5] - For coal bonds, short-term investments should be made cautiously, with a focus on high-rated issuers due to potential price fluctuations in the coal market[5]

Group 1 - The report highlights that the credit spread for bonds with maturities of 5 years or less is expected to compress further or maintain low volatility, with a focus on the influx of investment into long-duration credit bonds [2][3] - In January, the credit bond market showed strong sentiment, driven by the implementation of new fund fee regulations and strong institutional allocation, leading to a significant compression of credit spreads [12][15] - The report suggests that long-duration credit bonds are currently in a favorable positioning window, but trading should be executed with timely profit-taking [3][4] Group 2 - The strategy for credit bonds emphasizes identifying structural opportunities in the short to medium-term bonds while positioning for long-duration credits and ensuring timely exits [3][4] - The report indicates that the performance of credit bonds typically outperforms interest rate bonds, with credit spreads narrowing during February, influenced by seasonal factors and market dynamics [17][23] - The analysis of the secondary market shows a general decline in credit bond yields and a compression of credit spreads across various categories [8][15] Group 3 - The report discusses specific sector strategies, including opportunities in urban investment bonds, real estate bonds, coal bonds, and steel bonds, highlighting the importance of selecting high-quality issuers and considering market conditions [5][6] - It notes that the net financing of credit bonds has decreased year-on-year but increased month-on-month, with a rising proportion of long-duration issuances [9][22] - The report emphasizes the need for careful selection of bonds based on liquidity, convexity, and market conditions, particularly for long-duration credit bonds [4][5]

Group 1 - The net supply of ordinary credit bonds increased on a month-on-month basis, while there were no new issuances or maturities for perpetual bonds [3][5][6] - The total issuance and net financing of ordinary credit bonds for the period from January 26 to February 1, 2026, were 307.4 billion yuan and 183.6 billion yuan, respectively, compared to 328.8 billion yuan and 140.9 billion yuan in the previous period [3][5] - The issuance of industrial bonds decreased to 196.5 billion yuan, while the issuance of urban investment bonds slightly increased to 110.9 billion yuan, with net financing for urban investment bonds significantly rising to 64.3 billion yuan [3][5] Group 2 - In the secondary market, yields and credit spreads showed differentiation, with high-quality bonds performing better than perpetual bonds [3][5][6] - Most yields for high-quality bonds decreased, except for certain maturities, with the best performance seen in 5-year urban investment bonds, which saw a decline of 6.32 basis points [3][5] - The credit spreads for various categories varied, with short-term low-quality high-quality bonds showing better performance, particularly in the 3-year AA-rated medium-term notes and urban investment bonds [3][5][6] Group 3 - The overall pressure in the bond market for February is manageable, with limited room for compression in credit spreads, but the certainty of carry value in short- to medium-term credit bonds remains [3][5] - Recent positive performance in the bond market has been driven by allocation and a cooling equity market, with expectations for stable liquidity from the central bank [3][5] - The real estate sector may see a relaxation of financing restrictions, particularly with new loan support for major developers, which could benefit the valuation recovery of leading state-owned enterprises in the sector [3][5] Group 4 - The strategy suggests focusing on short- to medium-term coupon assets, with a recommendation to extend the duration of high-quality bonds to 3-5 years under the current market conditions [3][5] - There is a cautious outlook on perpetual bonds, with a recommendation to wait for better valuation opportunities as supply increases [3][5] - The demand for high-quality bonds is supported by the need for amortized bond funds, with expectations for a delayed start in related credit market activities [3][5]

2026 年 2 月份债券市场的整体看法是什么？ 2026 年 2 月份债券市场的整体策略是从配置布局转向为交易做准备。1 月份 债券市场在银行和资管类资金积极配置下，利率下行至阶段性高点，10 年期国 债收益率从 1.9%降至接近 1.8%。尽管调整幅度仅为 10 个 BP，但相较于过 去几个月的波动，这一波行情非常有效。 进入 2 月份，市场面临春节假期后的 不确定性，包括股票市场可能回暖、高频数据变化以及房地产数据等因素。建 议投资者在 2 月逐步为上半年的交易做准备，选择利差压缩空间较大的品种和 流动性好的资产，以便随时调整。 从定价维度来看，基本面条件较 1 月略好。 PMI 数据反映出春节前季节性回落，而二手房交易数据可能也会走弱。此外， 一季度信贷开门红效应虽存在，但若无超预期表现，对债市更有利。 资金面方 面，一月份资金条件对债市偏有利，包括银行负债稳定、央行投放积极。二月 份则预计资金条件中性稳健。春节前后 10 个工作日内，通常收益率小幅下行 5 目前是布局 5 年以上长期信用债的较好窗口期，信用利差和期限利差较 高，票息角度具性价比。优选成交活跃度高、主体评级较高的个券，如 7-10 年 ...