报告导读： 久期波动对二永债的影响或大于尾部信用问题。 2026 年银行次级债市场和策略展望： ① 一级发行：大行供给量预计维持平稳，小行净发行难快速收缩。 预计 2026 年国有大行发行银行二永债 9000 亿元 +2500 亿元 TLAC 债。中小行方面预 计 2026 年中小行发行 6000-7000 亿元银行次级债。 ② 二级策略：我们认为 2026 年银行二永债投资时宜更关注负债端的"稳"，次关注信用端的"赎"，短久期利差空间相对有限，长久期利差充足但负债端不稳 的问题可能持续扰动： 可考虑 1-3 年位置尚有一定骑乘空间，适当关注 2-3 年期二级资本债以及 1-2 年银行永续债的下沉机会。长端方面，我们预期 2026 年债市整体处于逆风期，且存在潜在事件冲击的情况下，银行二永债的波动以及交易难度预计将有所上升，同时来自配置端的支持力度也可能边际减 弱。从配置角度观察，当前债券的高利差使其配置性价比相对占优，但从交易角度而言，在逆风环境中对交易时机和波段把握的要求显著提高，其投资机会或 更多出现在因市场情绪冲击导致的超跌调整之后。 2025 年银行次级债一二级市场回顾：发行稳定，利差分化。一级市场 ...

重"稳"轻"赎"，配短博长 [Table_Authors] 唐元懋(分析师) 2026 年银行二永债年度策略 本报告导读： 久期波动对二永债的影响或大于尾部信用问题。 投资要点： 债券研究 /[Table_Date] 2025.12.26 | | 0755-23976753 | | --- | --- | | | tangyuanmao@gtht.com | | 登记编号 | S0880524040002 | | | 汤志宇(分析师) | | | 021-38031036 | | | tangzhiyu@gtht.com | | 登记编号 | S0880525070031 | [Table_Report] 相关报告 因时制宜：周期转换中的转债因子轮动 2025.12.06 定量拆解：债基跨年行情的几个关键点 2025.12.05 2026 年货币政策展望：目标函数和宽松模式重构 2025.12.05 优化债券择时系统的稳定性：多模型聚合策略 2025.12.03 因势而动，精耕个券 2025.11.28 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 债 券 研 究 专 题 研 究 [Table_S ...

Group 1 - The simulated portfolio's returns have continued to rebound, with the exception of some secondary bond-heavy portfolios, while other credit style strategies have not outperformed their corresponding interest rate styles [3][17][22] - In the interest rate style portfolio, the secondary ultra-long and mixed barbell strategies showed significant rebounds, with weekly returns of 0.16% and 0.13% respectively [3][19] - In the credit style portfolio, the secondary ultra-long and mixed barbell strategies led with returns of 0.29% and 0.17% respectively [3][19] Group 2 - The average weekly return of the credit style time deposit heavy portfolio increased by 9.7 basis points to 0.06%, while the cumulative return since the fourth quarter has been lower than the corresponding interest rate style [3][22] - The city investment heavy portfolio's average return rose by 21 basis points to 0.07%, with bullet strategies achieving a return of 0.11%, outperforming short-end and barbell strategies [3][22] - The average return of the secondary capital bond heavy portfolio increased to 0.14%, with rebounds in secondary sinking and mixed barbell strategies at 0.15% and 0.17% respectively, but these rebounds were insufficient to offset previous losses [3][22] Group 3 - The credit style portfolio's coupon rates have shown signs of recovery, particularly in the bank subordinated bond heavy portfolio, which has a competitive yield in absolute terms [4][29] - The annualized yields for the secondary perpetual bond duration strategy are 2.19% and 2.23%, approximately 39 basis points away from the year's low [4][29] - The contribution from coupon income ranges from 20% to 90%, with most of the week's returns coming from capital gains [4][29] Group 4 - In the past four weeks, controlling drawdown has become the main strategy objective, with short-end sinking and commercial bank bond portfolios still showing positive cumulative excess returns [5][33] - The cumulative excess returns for city investment short-end sinking, commercial bank bullet, and broker bond sinking portfolios are 5 basis points, 4.4 basis points, and 1.5 basis points respectively, while other medium to long-term strategies have accumulated less than 5 basis points [5][33] - The city investment barbell strategy, which performed well in the previous two months, has seen its cumulative excess return drop to -25.7 basis points over the past four weeks [5][33] Group 5 - The trading direction for 4 to 5-year long-term credit bonds may show divergence, with some medium to long-term duration strategies lacking excess returns [6][36] - The short-end time deposit strategy's excess return turned negative this week, while the city investment sinking strategy showed a slight positive deviation from the benchmark [6][36] - The excess returns for ultra-long strategies have risen to their highest level since late October, with city investment, industry, and secondary ultra-long strategies recording 9.4 basis points, 11.1 basis points, and 29.7 basis points respectively [6][36]

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， ...

Group 1 - The simulated portfolio returns have rebounded this week, with most credit style portfolios outperforming interest rate style portfolios. The weekly returns for secondary ultra-long and city investment ultra-long strategies were 0.34% and 0.28% respectively, while credit style portfolios saw returns of 0.65% and 0.41% for the same strategies [2][14][15] - The recovery in returns has shifted from interest rate and medium-long duration strategies to ultra-long bond strategies. The average weekly return for credit style time deposit heavy portfolios increased by 3.6 basis points to 0.12%, the highest since August, while city investment heavy portfolios rose to 0.22%, an increase of approximately 12.1 basis points [2][16] - The average return for secondary capital bond heavy portfolios increased by nearly 20 basis points, with the secondary bond duration and mixed duration strategies showing weekly returns nearly equal to the ultra-long strategy. The secondary bond bullet strategy has shown a faster recovery, with cumulative negative returns since the third quarter narrowing to -0.36% [2][16] Group 2 - In terms of return sources, the coupon income from various strategy portfolios has declined, while the contribution from capital gains has increased. Among mainstream strategies, the coupon income for secondary bond bullet and duration strategies fell by more than 0.04 basis points, while city investment bonds and bank perpetual bonds maintained annualized coupon rates around 2.24% and 2.26% respectively [3][25] - The capital gains contribution for credit style portfolios accounted for most of the returns this week, with coupon contributions falling within the range of 5% to 30%, further compressing and increasing concentration compared to the previous week [3][25] Group 3 - Over the past four weeks, medium-long duration secondary perpetual strategies have shown cumulative returns at the forefront. The cumulative excess returns for perpetual bond duration, secondary bond bullet, and secondary bond duration strategies were 13 basis points, 11.2 basis points, and 11.1 basis points respectively [4][29] - The medium-long duration secondary perpetual bond strategy has rebounded significantly, but its volatility exceeds that of the downshift strategies. The cumulative return for the secondary bond downshift strategy reached 9.2 basis points, demonstrating both low volatility and strong recovery advantages [4][29] - From a strategy duration perspective, medium-long duration secondary perpetual bonds and ultra-long strategies exhibit stronger offensive attributes. The short-end time deposit strategy's excess returns have dropped to the lowest in three months, lacking aggressiveness in a bond bull market [4][32]

Report Industry Investment Rating No relevant content provided. Core View of the Report - After the bond market correction, seize the credit coupon allocation opportunities, and the strategy of "short - to medium - term coupon + moderate credit spread widening" has high certainty. The coupon income - to - risk ratio of short - to medium - term (within 3 years) credit bonds has significantly improved, while long - term (over 5 years) credit bonds face triple pressures and weak trading opportunities [1][4][30]. Summary by Directory 1. Urban Investment Bonds: There is Still a Large Space for Coupon Asset Mining - As of September 11, 2025, the scale of outstanding urban investment bonds was about 15.48 trillion yuan, with public urban investment bonds accounting for 53%. The scale of urban investment bonds with a valuation above 2.3% was 4.42 trillion yuan, accounting for 28.54% of the total [4][8]. - In public urban investment bonds, provinces like Qinghai, Guizhou, Liaoning, Yunnan, and Shaanxi have high weighted average valuation yields. In private urban investment bonds, Guizhou, Qinghai, and Yunnan have weighted average valuation yields above 2.9% [8][9]. - Based on the distribution of public urban investment bonds with a valuation above 2.3%, different regions are divided into four categories according to the proportion of high - valuation bonds. From the perspective of the coupon strategy, different regions are recommended for different durations [10][11][12]. 2. Financial Bonds: Focus on Bank Subordinated Bonds and Insurance Perpetual Bonds - As of September 11, 2025, the scale of outstanding financial bonds was about 15.18 trillion yuan. The scale of financial bonds with a valuation above 2.3% was 1.68 trillion yuan, accounting for 11% of the total [4][18]. - Bank subordinated bonds and insurance perpetual bonds are recommended. High - valuation bonds in bank secondary capital bonds are concentrated in 3 - 5 - year AA+/AA/AA - and over - 5 - year AAA/AAA - varieties; in bank perpetual bonds, they are concentrated in 3 - 5 - year AA+/AA and within - 5 - year AA - varieties; in insurance perpetual bonds, they are concentrated in 3 - 5 - year AA+/AA varieties [18][19]. 3. Industrial Bonds: The Utilities and Transportation Sectors Can Try Longer Durations - As of September 11, 2025, the scale of outstanding non - default industrial bonds was about 13.99 trillion yuan. The scale of industrial bonds with a valuation above 2.3% was 2.85 trillion yuan, accounting for 20.36% of the total [4][22]. - Industries such as transportation, utilities, non - bank finance, comprehensive, real estate, and building decoration have a bond stock scale of over one trillion yuan. Real estate and non - bank finance industries have relatively high average valuation yields. In terms of liquidity, industries such as commerce and retail, transportation, coal, and utilities are more active [22]. - Real estate has the highest proportion and largest absolute scale of high - valuation bonds, mainly concentrated in within - 3 - year AA/AA(2) varieties. Long - term (over 7 years) high - valuation industrial bonds are mainly concentrated in AAA+/AAA/AAA - grades, with more stocks in industries such as comprehensive, utilities, and transportation [22]. 4. Credit Bond Selection Strategy: Focus on the Value of Short - to Medium - Term Coupons after the Correction - After the market correction, the yield of some credit bonds has fallen to a more attractive range. The coupon income - to - risk ratio of short - to medium - term (within 3 years) varieties has significantly improved, and the "short - to medium - term coupon + moderate credit spread widening" strategy has high certainty [30]. - Long - term (over 5 years) credit bonds face triple pressures of "low trading volume, weak liquidity, and concentrated disturbing factors", and the market sentiment is cautious. Some credit bonds with a remaining term of 1 - 3 years/3 - 5 years and a valuation greater than 2.3% are selected for investors' reference [30][31].

意料外的行情。 五一假期之前，10 年减 1 年国债期限利差悄然收窄至 16bp 的新低，10 年国债中债估值收益再度探至 1.62%低位，债 市讨论从持债过节是否安全，快速切换到是否追涨。收益快速下行催化剂有三：一是跨月节点，资金不紧反松；二是 市场提前定价 4 月 PMI 读数；三是 30 年国债切换活跃券，定价产生提振。考虑到交易量与行情的脱节，若是相对收 益考核账户还未能赚到这波行情，接下来将面临 4 月初一样的问题：如何执行追涨？ 如何看待追涨性价比？ 牛市行情间隔时间不长，期间信用债调整力度还普遍大于利率债，是不是可以认为跌出票息性价比，反而提升信用债 的参与价值？从以下五个方面来看，仍需留一份谨慎。第一，脆弱的交易情绪，一般信用债距离年内低点即便高于利 率债，也并未展现应有的抢配，甚至是收益下行力度都谈不上修复过去两周的下跌，流动性较好的 AAA 信用债表现亦 平淡。第二，追久期的力度不足。第三，换手率亦未反映一般信用债的配置热度，无论是 3 年内还是 3 年以上城投债， 换手率都在年内较低水平。第四，票息增强不如博资本利得，4 月以来，关键期限城投债和中票平均票息收益与资本 利得收益占比各半， ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints - In a high - volatility bond market environment, balancing offense and defense is a challenge for investors. Although credit bonds lack effective coupon protection and have lower liquidity, coupon - type assets still have value for increased holdings. By decomposing the comprehensive return of credit bonds into holding return and capital gain and conducting stress tests on individual bonds, investors can adjust their allocation strategies [2][10]. - The increase in bond market volatility places higher requirements on investors' liability - side management and trading timing capabilities [3][15]. Summary by Relevant Catalogs I. Individual Bond Stress Test Tool - **Bond Market Volatility Background**: Since last September, the bond market has experienced multiple fluctuations. After the "924" new policy impulse, it entered a cycle of redemptions and sharp declines. In November, with the release of loose capital signals, it entered a pre - emptive trading phase. After the New Year, the bond market was affected by factors such as tight capital in January, strong equity performance and improved economic fundamentals in February, and volatile equity trends and tariff factors in March. As of last Friday, the proportion of outstanding credit bonds with yields below 2.2% rose to 71%, and those below 2.0% reached 38%, leading to high volatility in the bond market [9]. - **Analysis of Credit Bonds**: Credit bonds currently lack effective coupon protection and have lower liquidity than interest - rate bonds. The window period for market trends is short under high volatility. To balance liquidity and return enhancement, coupon - type assets are still worth increasing. Decomposing the comprehensive return of credit bonds into holding return and capital gain can help judge entry and exit points [2][10]. - **Stress Test of Urban Investment Bonds**: In April, the absolute yield of urban investment bonds dropped to a low level. Assuming purchase at the current coupon rate and holding for two weeks or three months, in the two - week holding scenario, low - coupon urban investment bonds' comprehensive return can hardly withstand capital gain losses. In the three - month holding scenario, for a 50bp yield increase, the comprehensive return of 1 - year urban investment bonds is still positive; for a 20bp increase, some AA and AA(2) term varieties can also achieve coupon coverage of losses [2][10]. - **Stress Test of Bank Sub - debt**: The stress test results of bank sub - debt are less favorable. Whether holding for two weeks or three months, even when facing a 20bp yield increase, the comprehensive return of Tier 2 capital bonds and perpetual bank bonds is difficult to maintain in the positive range [3][13].