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S2周觀點：不確定性大幅加劇的策略思考靜態票息與綜合策略市場調整與板塊輪動觀察信用債板塊與擇券觀察信用債市場熱度觀測超長期信用債品種觀察3過去一周總結：關稅擾動、擇機降準降息預期升溫以及權益市場底部反彈等因素交織，債市呈現倒N型走勢；利率優于信用，城投優于二永。1-5年國債下行7-9bp，1年存單與1-3年AAA城投債下行5bp以上，5年地方債亦有較好表現。各組合策略資本利得均略有浮盈，普信債與二永債拉久期策略占優。市場交易邏輯：1、關稅政策；2、寬松貨幣政策落地節奏后市策略：關稅事件型驅動下的市場呈現高波動格局，保持策略中性。當前仍可繼續關注進可攻、退可守的中短久期品種。地緣政治沖突升溫，國內逆周期政策有待加碼，后續債市方向不確定性較大，但就近期而言市場關注的主線仍是降準降息的節奏，4月是市場觀察降準落地的重要時間窗口。不過隨著貨幣寬松預期的逐步落地，機構止盈壓力也會加大，疊加未來有望出臺的逆周期政策以及風險偏好回升引發的股債蹺蹺板效應，債市或再次回歸此前高波動格局。我們認為此階段參與思路應當以保收益為主，建議維持短久期組合，防守或追漲皆有余地。市場流動性偏弱的環境之下，戰略性規避超長期信用債。近期超長債換手率持續走低，若市場調整，流動性溢價較高，賠率較低。機構行為&異常成交：本周交易型機構做多動能延續，周一至周四合計凈買入2032.09億元，尤其偏好7年以上的長久期品種；以理財及其他產品類為代表的配置盤則是推動短久期收益率壓縮的重要力量。在成交偏離方面，交易情緒整體較佳，持續以低估值成交為主。各版塊建議：1、低風險偏好：推薦關注大行存單、短久期普信債與二永債等品種，當前3年AA+城投債與7天OMO利率接近50bp，向下壓縮空間依舊充足，同時滿足機構對于扛跌性的訴求。2、中等風險偏好：（1）擇機增持5Y二永品種，當前歷史分位數水平較高，票息保護較足；4.5Y渤海銀行、民生銀行永續近期ofr收益率在2.4%-2.6%左右，未來向下的利差彈性很大。（2）對于有一定收益率曲線斜率的城投如津城建、河南航空港等，3年期債券在騎乘效應和利差保護下持有一年收益率顯著高于1年期，可重點關注。（3）目前地方債相對國債利差仍處于去年0630至今的高位，建議投資者關注流動性較優、騎乘收益可觀的5-7年地方債。3、高風險偏好:可考慮介入短久期地產債，后續關注土儲專項債發行、房企風險化解情況和銷售走勢。主體方面建議關注華發、建發等國企地產機會，此類主體能貢獻1年期2.5%-2.7%的票息收益率，可對抗近期負carry壓力。風險提示：相關期限收益率數據采用插值法擬合，與實際收益率水平可能存在偏差；樣本數據無法代表整體。4對等關稅超預期降準預期升溫資金價格較低機構配置力量和踏空情緒擾動短期信用風險難成擾動通脹偏弱收入預期↓、就業↓、房價↓、地價↓廣義地方政府債務增速↓居民企業加杠桿意愿↓中長期資產荒難解適度寬松貨幣政策定調人口↓、人口老齡化央行凈回籠權益市場邊際升溫機構提前交易降準降息預期財新PMI超預期新增專項債發行尚待提速，后續供給↑926新政后政策轉向持續？央行的長債風險提示仍長期制約經濟復蘇快？債券發行放量?通脹潛在回升？美聯儲降息預期弱，中美利差高短期（周度視角）利空債市長期（年度視角）利多債市靜態票息與綜合策略56數據來源：Wind、DM；注：統計時間截至2025年4月11日單位：%、bp日期政策利率定期存款回購利率國債美債存單商業銀行普通債商業銀行二級資本債商業銀行永續債（含權）城投債OMO7DMLF1YLPR5YDR007R007AAA1YAA-1Y1YAAA3Y5Y1YAAA-3Y 5Y7-10Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y1Y3Y5Y1Y3Y5Y7Y10Y30Y1Y10Y2023/12/292.023.072.082.292.402.532.562.834.793.882.402.912.422.642.782.652.853.003.172.752.943.052.803.033.263.144.815.942024/1/311.872.341.882.192.292.422.432.654.733.992.332.742.372.512.642.502.662.772.882.582.722.662.522.642.802.784.215.502024/2/292024/3/291.82.54.21.451.952.001.772.071.792.102.032.222.202.342.322.342.292.462.465.015.034.254.202.232.612.232.372.472.322.492.612.682.382.562.502.322.532.672.603.684.982.012.341.722.232.492.232.402.492.352.522.622.712.402.582.512.352.582.672.713.404.312024/4/302.112.001.691.982.152.282.302.545.254.692.102.392.152.312.342.222.392.492.622.242.442.372.212.402.572.523.193.982024/5/311.871.901.641.942.092.252.292.565.184.512.072.352.062.202.302.122.252.422.612.142.292.312.062.252.402.312.813.662024/6/282.172.231.541.801.982.102.212.435.094.361.962.271.972.062.152.012.132.232.332.012.162.162.032.192.282.262.613.242024/7/312024/8/52024/8/301.72.33.951.351.751.801.801.931.421.711.671.851.811.991.972.152.142.382.344.734.091.882.122.101.881.952.031.921.872.021.982.152.092.251.922.042.061.942.062.132.132.412.841.691.701.891.394.344.383.781.841.821.921.982.181.882.002.011.912.012.082.102.352.751.911.491.671.852.082.172.373.911.972.261.992.072.142.052.172.262.402.062.202.172.082.192.282.402.602.942024/9/243.851.871.961.421.521.751.942.072.193.883.741.912.211.911.982.072.012.092.182.292.052.142.102.052.142.202.392.723.172024/9/301.561.981.371.561.842.072.152.363.983.811.912.252.052.132.222.212.332.432.532.252.382.252.182.322.382.612.963.382024/10/311.701.891.431.581.792.032.152.344.274.281.932.271.942.152.272.092.262.372.512.132.332.452.112.302.442.773.013.742024/11/181.721.831.371.481.721.962.112.324.334.421.872.241.872.032.222.002.172.332.432.032.222.392.002.162.302.503.023.772024/11/291.641.821.371.411.661.882.022.204.304.181.801.991.821.942.121.952.082.192.321.972.132.241.982.052.232.352.813.672024/12/311.702.001.081.191.421.591.681.914.164.581.582.001.531.601.771.651.761.832.051.701.791.901.711.811.912.202.463.302025/1/21.671.831.071.171.401.531.611.844.174.571.571.981.531.581.711.641.711.781.961.691.761.841.681.781.882.162.423.272025/1/242.102.901.341.341.471.591.661.894.174.631.742.071.811.751.821.841.851.881.991.861.901.931.871.881.952.332.453.172025/2/71.932.221.221.281.391.521.601.804.254.491.672.011.681.681.751.721.751.791.931.761.801.851.801.821.892.242.403.112025/2/142025/2/211.52.03.61.101.501.551.941.942.032.031.381.371.481.601.651.824.234.234.474.471.812.111.801.771.791.861.841.881.981.891.891.951.851.891.942.252.443.061.481.481.601.701.721.911.962.271.941.901.872.032.002.002.122.052.052.101.962.002.042.392.533.122025/2/282.132.141.461.521.601.691.721.914.084.241.992.322.001.961.922.082.062.082.232.102.122.172.042.092.162.482.603.152025/3/71.811.811.551.591.671.781.801.984.054.322.032.332.001.981.972.102.142.192.332.122.202.272.072.132.202.492.683.202025/3/141.811.831.561.621.641.771.832.044.094.311.962.251.951.971.992.042.122.192.332.082.172.272.052.142.252.462.683.262025/3/211.771.821.561.641.701.811.852.074.044.251.932.221.911.931.952.002.052.112.282.022.112.221.982.082.212.362.613.222025/3/282.052.261.531.591.661.751.812.034.044.271.902.191.841.931.951.982.042.092.252.002.082.161.952.022.132.262.513.172025/4/31.701.741.481.531.561.651.721.913.924.061.802.091.771.841.901.861.931.992.151.881.982.051.891.972.052.162.453.122025/4/111.651.701.401.431.491.601.661.864.044.481.742.041.731.811.881.831.901.972.121.851.952.021.821.902.002.092.423.112024年初至今-30-50-60-35-45-45-37-137-68-86-91-93-90-96-8718-67-87-69-83-91-82-96-103-105-90-98-104-98-113-126-106-238-283過去一周變化-------4-4-9-9-7-5-6-41242-6-5-4-2-2-3-4-2-3-3-3-4-7-7-5-7-30Ave-OMO利差------1340-27592943534055668844605942587175141221OMO利差①050210-40051520-10-7-1101636--2454233138334047623545523240505992161Min(24年6月至今)OMO------631-43-33-10311347483821142128431926341828386692177利差②當前相較歷史低點①-------9-1133269752--17721231619191919172017141212-70-15②7數據來源：Wind、DM；注：信用利差由同期限信用債減國開債利率計算得出，統計時間截至2025年4月11日日期政策利率（%）國開債（

）地方政府債（

）AAA+超長債(

)銀行普通債利差二級資本債利差永續債利差城投債利差OMO7D1YAAA3Y5Y1YAAA-3Y5Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y1Y3Y5Y7Y10Y30Y1Y3Y5Y7Y10Y30Y10Y15Y20Y30Y2023/12/292.22.342.492.492.682.682.292.572.642.642.742.852.973.053.093.15233030304551525660394344942463462024/1/312.12.322.412.412.582.592.192.412.512.512.612.662.742.802.872.91261924244034364840423239681893092024/2/291.842.22.292.292.472.452.072.282.432.432.512.62.672.712.742.79391819194829335437483339761492692024/3/291.81.842.172.272.272.442.411.982.212.342.342.52.562.682.742.822.83392322225135355641514140871222042024/4/301.892.132.192.192.42.41.932.162.262.262.422.522.622.652.732.76261815153326303531322738631071792024/5/311.812.062.142.142.332.391.752.062.252.252.372.502.582.652.702.7325141616311928332225192750751522024/6/281.691.942.032.032.22.291.661.952.152.152.252.362.432.482.532.5727121212321920322234252556671222024/7/311.651.841.91.92.082.221.561.822.012.012.132.272.292.322.382.412311131327182527212923234857952024/8/51.591.81.891.892.052.191.531.811.941.942.12.242.252.282.342.372312101028182129203220195155872024/8/301.71.711.871.971.972.122.261.611.852.012.012.162.272.432.482.522.532820181834302935333732316973972024/9/241.661.791.861.862.042.151.591.791.891.892.032.162.312.352.422.4525192121353032383438343472931312024/9/301.651.881.951.952.162.251.561.81.961.962.22.322.502.532.612.63402527275645486050534543961081432024/10/311.711.861.881.882.162.221.561.822.022.022.222.322.512.572.602.602328393938394942464044551061141862024/11/181.651.821.872.112.172.381.541.721.932.142.272.402.382.432.472.50222236353547384053353443851201912024/11/291.601.731.771.772.012.101.511.661.871.872.042.202.312.342.412.46222135353535423640383245751081902024/12/311.201.431.461.691.732.001.211.401.621.721.852.162.072.152.192.273317314533375036435139451001031832025/1/21.261.411.441.631.661.951.241.391.581.701.822.112.012.112.152.25271727373034423540423744901021832025/1/241.481.541.531.691.691.971.371.471.581.731.832.062.012.042.082.1933212935303538354039344285911642025/2/71.431.471.461.621.601.901.271.381.591.711.782.021.972.012.032.1525212929283433333936354380921652025/2/142025/2/211.51.521.631.591.541.691.651.931.421.471.591.691.792.031.981.982.012.142.19281825342533373040323330314041727685841521491.691.631.781.732.021.521.551.701.761.872.092.082.092.093121234031374236462025/2/281.681.721.721.851.742.041.501.611.761.861.982.182.202.202.212.2632232139343742394535364479881442025/3/71.681.761.741.921.802.091.601.701.761.902.002.212.272.272.272.3032222342384544445338374680921462025/3/141.681.711.721.961.852.171.621.761.891.982.082.292.322.322.322.3527252836414740465637435478971542025/3/211.651.741.741.971.882.211.671.801.922.012.112.292.302.322.352.3826192135313737374833344771871482025/3/281.651.741.721.921.862.151.671.771.871.982.052.272.242.242.292.3319192333303735344430284161771452025/4/31.591.671.621.811.742.031.591.691.841.921.972.172.162.162.242.2818172827263829314430304456791502025/4/111.561.621.581.791.701.991.551.651.721.861.962.112.132.132.192.2218193027284030344427284253811542024年初至今變化（bp）-30-64-72-91-70-98-69-74-92-92-78-78-74-84-93-91-93-5-110-3-17-11-22-22-16-12-15-2-41-165-192過去一周變化--4-5-4-2-4-4-4-4-12-6-1-6-3-4-5-5032112120-3-2-1-324Ave-OMO利差-12127163540-1210262640518185919429435340556644605942587175141221OMO利差①-612829204951522364661636369722325353333453539493234485986159Min(24年6月至今)OMO利差②--24-9-6131645-26-118203261516165751222281728391830432031383964101當前相較歷史低點①-②-2921141544312614161401224-2113716561796123102022588數據來源：Wind；注：統計自2024年6月初以來利差分位數，統計時間截至2025年4月11日日期銀行普通債利差分位數(%)二級資本債利差分位數(%)永續債利差分位數(%)城投債利差分位數(%)1YAAA3Y5Y1YAAA-3Y5Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y94505667170332808994728944802041881524297183461532515251527433414321107761059900087949889959590959710097981009737527510082829590959095100100991008710010010010010010010010010010010010010010095219510087879390919491969895951002765857075736075717756846777854167929297857788697897986962475653758365607452626062611332595644575250627167655254565886405636334847603553354152554249645961896268424754618293897259897367587773959592684848454893858093898480838767684047574745446788627189847989926991986266555841436055585362693859834642473846444642463248313441326530576032241941652024/6/282024/7/312024/8/52024/8/302024/9/242024/9/302024/10/312024/11/292024/12/312025/1/242025/2/72025/2/142025/2/212025/2/282025/3/72025/3/142025/3/212025/3/282025/4/32025/4/11447467148376771047565556633552522363852582024年6月至今變化（pct）-87-415-582067-241956-83-61-17-67-658過去一周變化31565673151-13-8-10-3269數據來源：Qeubee；統計時間：2025年4月10日10臨近季末，資金面有所收緊臨近季末，資金面有所收緊；大行凈融出明顯增加，關注跨季后資金表現。凈融出方面，近期市場的主要融出方為國股大行、貨基、理財等；國股大行凈融出規模大幅走高，本周在3.0萬億元-3.6萬億元左右，周四明顯提升到了3.6萬億元，為2月至今的高點；貨基凈融出規模本周降至1.9萬億元左右，相比上周略有縮量。DR007與OMO7d的利差，由本周均值為46bp，相比上周走高7bp，主要由于本周臨近跨季；大行1Y存單與OMO7d的利差，本周下降6bp至40bp，處于65%分位數水平左右。注：統計時間截至2025年3月24日-10000010000200003000040000500006000070000圖：主要融出方凈融規模（億元）國股行 貨基 理財 其它0.50.70.91.11.31.51.71.92.52.42.32.22.121.91.81.71.61.5圖：DR007、大行1Y存單與政策利率利差（bp）DR007-周均 大行存單1Y-周均 OMO

7D-周均（右軸）數據來源：Wind，CFETS11數據來源：Wind，普益標準目前市場尚未出現負反饋的現象及特征，僅為一波持續調整的債市下跌行情。復盤2022年11月負反饋贖回潮期間，主要是≤1M、1M-3M期限理財產品被贖回較多，規模大幅下滑超35%。截止2025年2月23日，理財市場總規模為30.39萬億元，其中≤1M、1M-3M期限產品各占18%、9%，這兩類理財被贖回對于市場的影響更大。0520253035公共衛生事件影響階段性消除&地產支持16條政策地產新政，地方債發行放量央行“喊話”指導長債資金面持續收緊15股債雙殺，10固收+產品大跌6040200802001801601401200200400600800100012001400股債雙殺，固收+產品大跌防疫放開&地產支持16條政策央行“喊話”指導長債資金面持續

100收緊發債主體主動進行融資成本管理圖：

理財破凈率統計（%）圖：

信用債取消發行規模和數量統計信用債取消發行規模（億元） 信用債取消發行數量（只）-右軸每日開放型36≤1M181M-3M93M-6M106M-1Y111Y-3Y13＞3Y3未披露012數據來源：Wind，注：統計截至日期為3月6日，純債基金包括中長期純債型基金和短期純債型基金，合計數量為4334只復盤2024年9月底負反饋，9月24日當日有334只純債基單日凈值回撤超過10bp,凈值回撤→觸發贖回→拋售壓力→進一步回撤，9月底回撤風險在這一鏈條下持續放大。2月以來受資金面持續偏緊影響以及權益市場擾動，債市進入震蕩調整期。圖：單日凈值回撤超過-0.1%純債基金數量(只)5000100015002000250030002024-08-012024-08-192024-09-062024-09-242024-10-122024-10-302024-11-172024-12-052024-12-232025-01-102025-01-282025-02-152025-03-05資金面緊張疊加股債蹺蹺板沖擊資金面持續收緊政府債券發行提速疊加債基贖回央行、證監會等發布一攬子增量政策，

權益市場表現亮眼，

提振投資者風險偏好央行約談機構國債13數據來源：Wind；統計時間：2025年4月10日地方債二級資本債城投債國開債2024/9/2414數據來源：Wind；統計時間：2025年4月10日2025/3/102025/4/1015數據來源：iFinD注：所有策略均配置20%10Y國債和80%信用債組合信用策略配置方法本周資本利得（bp短久期下沉【1YAA-城投債*50%】

+

【1YAA二級資本債*20%】+【1YAA產業債*10%】5.13久期中性下沉【2YAA-城投債*50%】

+

【3YAA二級資本債*20%】+【2YAA產業債*10%】5.32拉久期下沉【3YAA-城投債*50%】

+

【5YAA+二級資本債*30%】4.63城投3.62高等級拉久期【5YAAA城投債*50%】+【5YAAA-二級資本債*30%】小啞鈴【1YAA-城投債*30%】+【5YAAA城投債*30%】+【3YAA二級資本債*20%】4.62超長期城投【10YAAA城投債*50%】+【10YAAA-二級資本債*30%】3.96短久期下沉【1YAA產業債*50%】+【1YAA二級資本債*20%】+【1YAA-城投債*10%】5.17久期中性下沉【2YAA產業債*50%】

+

【3YAA二級資本債*20%】+【2YAA-城投債*10%】4.37產業拉久期下沉【3YAA產業債*50%】

+

【5YAA+二級資本債*30%】4.08高等級拉久期【5YAAA產業債*50%】+【5YAAA-二級資本債*30%】4.54超長期產業【10YAAA產業債*50%】+【10YAAA-二級資本債*30%】6.00短久期下沉【1YAA二級資本債*50%】+【1YAA銀行永續債*20%】+【1YAA產業債*10%】3.42金融久期中性下沉【3YAA二級資本債*50%】+【3YAA銀行永續債*20%】+【2YAA+產業債*10%】3.86二永拉久期下沉【5YAA+二級資本債*50%】+【5YAA+銀行永續債*30%】3.36高等級拉久期【10YAAA-二級資本債*60%】+【5YAAA-銀行永續債*20%】3.95）以2025/4/10收益率為基準計算持券1年的綜合收益，AAA-銀行永續債與AA+城投債性價比占優。圖：

買入并持有1年后收益率不同變化幅度下的綜合收益情況16數據來源：Wind（注：綜合收益=期初估值收益率+持有期末修正久期*(-收益率曲線變化幅度)+持有期末修正久期*(持有期初估值收益-持有期末估值收益)

）品種等級期限（年）估值收益（%）修正久期收益率上行（bp）收益率下行（bp）102030102030城投債AAA11.840.981.841.841.841.841.841.8431.912.891.811.611.422.202.392.5952.024.711.851.471.092.612.993.38AA+11.890.981.891.891.891.891.891.8931.982.881.901.711.522.292.492.6852.124.702.111.721.342.873.253.63銀行二級債AAA-11.850.981.851.851.851.851.851.8531.902.891.751.551.362.142.332.5351.974.711.641.260.882.402.783.16AA+11.860.981.861.861.861.861.861.8631.952.881.861.671.482.252.452.6452.034.711.751.370.992.512.893.27銀行永續債AAA-11.870.981.871.871.871.871.871.8731.962.881.861.671.472.252.442.6452.024.711.661.280.902.422.803.18AA+11.880.981.881.881.881.881.881.8831.982.881.901.711.512.292.482.6852.104.701.931.551.172.693.073.45普通商金債AAA11.750.981.751.751.751.751.751.7531.822.891.621.431.242.012.212.4051.884.731.671.290.912.432.823.20AA+11.840.981.841.841.841.841.841.8431.902.891.711.511.322.092.292.4851.964.721.751.370.992.512.903.2817我們以津城建、首開股份、建發股份和冀中能源活躍券作為樣本（根據1月經紀商口徑成交筆數判斷是否活躍），計算了各期限債券持有1年后的綜合收益，綜合收益包括三部分：票息收益、騎乘收益和假設收益率曲線上行/下行的資本利得收益。城投債方面，津城建收益率曲線3-4年區間段較為陡峭，騎乘收益較高，投資者可重點關注；地產債方面，首開股份2年與3年左右債券騎乘收益可觀，能夠抵御收益率上行帶來的資本利得損失；煤炭債方面，冀中能源3-4年債券票息收益和騎乘收益較高，可予以一定關注。圖：

買入并持有1年后收益率不同變化幅度下的綜合收益情況數據來源：Wind（注：①為防止估值收益失真，選取主體在關鍵期限附近的活躍券作為計算標準；②綜合收益=期初估值收益率+期末修正久期*(-收益率曲線變化幅度)+持有期末修正久期*(持有期初估值收益-持有期末估值收益)；③個別主體缺乏在關鍵期限附近的活躍券，因此未計算綜合收益。）圖：

活躍樣本券選取情況主體活躍券代碼活躍券名稱剩余期限（年）津城建102480328.IB24津城建MTN0070.80102480591.IB24津城建MTN0101.89102480810.IB24津城建MTN0112.92102482305.IB24津城建MTN0234.19163204.SH20津投064.90首開股份137873.SH22首股050.57102103087.IB21首開MTN0051.63102401036.IB24首開MTN007B2.59建發股份102100696.IB21建發地產MTN0021.02102480690.IB24建發地產MTN0021.90148234.SZ23建房F22.99冀中能源102383364.IB23冀中能源MTN012B0.68102400597.IB24冀中能源MTN002B1.78102484875.IB24冀中能源MTN018B2.59102400767.IB24冀中能源MTN009B4.13主體期限（年）估值收益率（%）修正久期（年）收益率上行（bp）收益率下行（bp）102030102030津城建（城投）11.960.791.961.961.961.961.961.9622.121.822.162.092.012.322.402.4832.322.762.502.322.142.873.053.2342.623.823.182.902.633.734.014.2852.714.402.682.301.923.453.834.21首開股份（地產）12.360.562.362.362.362.362.362.3622.791.552.972.912.863.083.143.1933.022.423.233.082.923.543.703.85建發股份（地產）12.390.952.392.392.392.392.392.3922.651.822.802.712.612.993.093.1832.782.792.852.672.483.213.403.58冀中能源（煤炭）12.210.672.212.212.212.212.212.2122.551.692.712.642.572.842.912.9832.922.423.383.223.053.723.894.0643.393.654.284.043.804.775.015.25我們以民生銀行和渤海銀行活躍券作為樣本（根據1月經紀商口徑成交筆數判斷是否活躍），計算了部分期限（個別期限無活躍券）債券持有1年后的綜合收益，綜合收益包括三部分：票息收益、騎乘收益和假設收益率曲線上行/下行的資本利得收益，渤海銀行5年左右永續債在收益率上行10-30bp情況下均能實現2%以上綜合收益，具有一定性價比；民生銀行2年永續債在收益率曲線上行的情況下投資回報仍高于1年永續債。18圖：

買入并持有1年后收益率不同變化幅度下的綜合收益情況數據來源：Wind（注：①為防止估值收益失真，選取主體在關鍵期限附近的活躍券作為計算標準；②綜合收益=期初估值收益率+期末修正久期*(-收益率曲線變化幅度)+持有期末修正久期*(持有期初估值收益-持有期末估值收益)；③個別主體缺乏在關鍵期限附近的活躍券，因此未計算綜合收益。）圖：

活躍樣本券選取情況主體活躍券代碼活躍券名稱剩余期限民生銀行2128016.IB21民生銀行永續債011.032228038.IB22民生銀行永續債012IB24民生銀行永續債024.56渤海銀行2128001.IB21渤海銀行二級0.78232400013.IB24渤海銀行二級資本債014.03242400026.IB24渤海銀行永續債014.44主體期限（年）估值收益率（%）修正久期（年）收益率上行（bp）收益率下行（bp）102030102030民生銀行11.960.971.961.961.961.961.961.9622.132.022.192.092.002.382.482.5852.424.20渤海銀行12.010.772.012.012.012.012.012.0142.473.6852.684.113.062.692.333.804.174.53市場調整與板塊輪動觀察1920數據來源：Wind、浙商證券研究所2.702.602.502.402.302.202.102.001.901.801.70中債中短期票據到期收益率(AA+):3年圖：各券種收益率變動情況（%）中債城投債到期收益率(AA+):3年中債商業銀行無固定期限資本債(行權)收益率曲線(AA+):3年中債煤炭行業債券到期收益率曲線(AA+)

-

前20%:3年中債商業銀行二級資本債到期收益率(AA+):3年中債鋼鐵行業債券到期收益率曲線(AA+)-

前20%:3年中債房地產行業債券到期收益率曲線(AA+)-

前20%:3年品種/評級/久期250403-250410最大調整幅度（bp）1Y3Y5Y中短票AAA8.58.18.4AA+7.37.17.4城投AAA6.56.57.97.97.87.8AA+二級資本債AAA-6.36.37.47.47.57.5AA+永續債AAA-5.75.78.69.9AA+8.68.9鋼鐵AAA-7.78.08.2AA+7.26.97.2煤炭AAA8.58.18.4AA+7.35.75.8房地產AAA8.28.18.4AA+7.37.17.421數據來源：Wind，Qeubee；數據統計截止日為2025-4-10圖：9月底至今銀行二永債收益率（%）表：9月底至今銀行二永債收益率調整幅度（bp）1.601.802.002.202.402.602.80中債商業銀行二級資本債到期收益率(AA+):3年中債商業銀行二級資本債到期收益率(AA+):7年中債商業銀行無固定期限資本債(行權)收益率曲線(AA+):5年中債商業銀行二級資本債到期收益率(AA+):5年中債商業銀行無固定期限資本債(行權)收益率曲線(AA+):3年中債商業銀行無固定期限資本債(行權)收益率曲線(AA+):7年項目AA+

二級資本債 AA+

銀行永續債3Y 5Y 7Y 3Y 5Y 7Y46.6 46.041.044.447.340.1-31.6-27.5-22.2-26.2 -25.6-19.5-11.4-13.8 -13.1 -12.3-16.2 -15.7-16.2 -13.9-6.8-19.3-14.8-7.3-3.6 -4.0 -2.2 -2.7 -3.4 -3.0-20.5 -21.1 -23.1-20.4-23.1 -21.3-17.0 -13.9 -15.2 -15.3 -16.9-12.912.2 14.1 14.9 10.3 13.117.99.8 10.7 5.3 9.4 11.0 4.12.5 3.5 2.8 2.4 5.2 4.15.1 3.6 2.9 4.2 3.6 3.48.5 9.1 5.8 7.7 7.7 5.87.9 8.4 4.9 7.7 6.8 2.414.5 12.9 11.0 13.211.2 11.013.7 10.9 11.6 13.814.3 13.14.7 6.6 8.1 5.0 5.5 8.615.220.0 18.1 17.5 19.416.611.8 12.4 9.1 9.8 10.57.44.5 4.2 5.0 5.8 5.1 1.5240924-1009241009-1017241017-1030241030-1112241112-1118241118-1209241209-1227241230-250102250103-250110250113-250116250117-250124250126-250206250207-250213250213-250220250220-250227250227-250306250306-250313250313-250320250320-250327250327-250403250403-25041010.8 11.9 11.6 10.5 10.9 11.07.4 7.5 9.2 8.6 8.9 8.2信用債板塊與擇券觀察22板塊主體名稱級隱含評

存續債券

1Y期余額 收益率（億元） 0410收益率04101Y期 3Y期 3Y期收益率

收益率變變化（bp）化（bp）5Y期收益率04105Y期收益率變化（bp）城投云南投資AA(2)4642.01-72.69-42.96-3河南航空港AA(2)7032.09-72.52-42.89-5津城建AA10321.98-42.33-12.710鄂聯投AA5572.08-52.39-42.69-3吉林高速AA(2)4112.03-52.16-42.44-4青島城投AA+8851.90-72.06-62.31-4西安高新AA(2)6402.31-93.09-4--銀行民生銀行AAA-99911.90-2--2.420工商銀行AAA 24454 1.85-11.88-31.97-2渤海銀行AA+32691.87-1----成都農商AA+929------0410（bp）0410（bp）（bp）珠江實業AA 2112.32-53.34-53.81-4建發地產AA+ 2962.39-72.78-43.06-4首開股份AA 6422.49-63.22-1--保利置業AA+ 2162.14-72.58-4--珠海華發AA 3772.52-6----鐵建房地產AA+ 3952.14-7----節能集團AA+ 3591.98-82.13-6--東方資管AAA- 8332.07-12.11---遠東租賃AA 6842.23-17----宏橋新材料AA 1822.28-72.55-5--平安租賃AA+ 10662.06-92.74-6--海爾金盈AA 1162.10-6----華陽新材料AA 3212.06-52.21-52.570晉能煤業AA 8191.96-62.16-12.41-4晉能電力AA 5891.97-6--2.32-4陜煤化AA+ 10601.95-62.02-52.19-6兗礦能源AA+ 4751.94-71.94-52.04-5冀中能源AA 3392.41-73.06-5--河鋼集團AA+ 8882.07-92.33-42.54-首鋼集團AA+ 7101.90-72.06-52.10-山鋼集團AA 4482.27-6----板塊主體名稱隱含評級存續債券余額（億元）1Y期 1Y期 3Y期 3Y期收益

收益率

收益 收益率率 變化 率 變化5Y期收益率04105Y期收益率變化地產央企民企煤炭鋼鐵天津銀行 AA+ 1256 - - 2.17 -4 - -數據來源：Wind；數據統計截止日為2025/04/10，注：收益率變化指周度變化，較上周四收盤變化數據來源：Wind；數據統計截止日為2025/4/10圖：四家銀行4-5Y二永債收益率走勢圖（%）3.12.92.72.52.32.11.91.71.53.324渤海銀行永續債0124民生銀行永續債0119交通銀行二級0224工行永續債01數據來源：Wind；數據統計截止日為2025/4/10圖：30年期國債期貨K線圖資金面持續偏緊兩會期間1+:S&A

3-5Ybid/ofr26數據來源：Qeubee；統計時間：2025年4月10日1+:S&A

3-5Ybid/ofr227數據來源：Qeubee；統計時間：2025年4月10日2+:<2Y

AA+bid/ofr28數據來源：Qeubee；統計時間：2025年4月10日2+:<2Y

AA+bid/ofr229數據來源：Qeubee；統計時間：2025年4月10日3+:3-5Y

AA+bid/ofr30數據來源：Qeubee；統計時間：2025年4月10日3+:3-5Y

AA+bid/ofr231數據來源：Qeubee；統計時間：2025年4月10日4+:

>10Ybid/ofr32數據來源：Qeubee；統計時間：2025年4月10日4+:

>10Ybid/ofr233數據來源：Qeubee；統計時間：2025年4月10日信用債市場熱度&異常成交34整體TKN/GVN成交筆數&Bid/Ofr占比變化一覽010203040506070809005001000150020002500300035004000450050002024/1/22024/1/92024/1/162024/1/232024/1/302024/2/62024/2/222024/2/292024/3/72024/3/142024/3/212024/3/282024/4/82024/4/152024/4/222024/4/292024/5/92024/5/162024/5/232024/5/302024/6/62024/6/142024/6/212024/6/282024/7/52024/7/122024/7/192024/7/262024/8/22024/8/92024/8/162024/8/232024/8/302024/9/62024/9/132024/9/242024/9/302024/10/122024/10/182024/10/252024/11/12024/11/82024/11/152024/11/222024/11/292024/12/62024/12/132024/12/202024/12/272025/1/62025/1/132025/1/202025/1/262025/2/82025/2/142025/2/212025/2/282025/3/7tkn筆數gvn筆數bid占比（%，右軸）ofr占比（%，右軸）35數據來源：Qeubee；數據統計截止日為2025-3-11城投債TKN/GVN成交筆數&Bid/Ofr占比變化一覽01020304050607080901000200400600800100012001400160018002024/1/22024/1/92024/1/162024/1/232024/1/302024/2/62024/2/222024/2/292024/3/72024/3/142024/3/212024/3/282024/4/82024/4/152024/4/222024/4/292024/5/92024/5/162024/5/232024/5/302024/6/62024/6/142024/6/212024/6/282024/7/52024/7/122024/7/192024/7/262024/8/22024/8/92024/8/