二永價(jià)值好于城投

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S2周觀點(diǎn)：二永價(jià)值好于城投靜態(tài)票息與綜合策略市場調(diào)整與板塊輪動(dòng)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地產(chǎn)市場觀察其他數(shù)據(jù)跟蹤3過去一周總結(jié)：利率中短端表現(xiàn)優(yōu)于長端，信用5Y低等級(jí)城投表現(xiàn)最優(yōu)，高等級(jí)二永表現(xiàn)優(yōu)于城投。高等級(jí)二永下行1-3bp，高等級(jí)城投調(diào)整0-1bp，5Y低等級(jí)城投下行5bp。周五DR007加權(quán)平均利率1.53%，資金利率低位運(yùn)行。市場交易邏輯：1、海外不確定因素&關(guān)稅反復(fù)；2、央行買斷式逆回購核心觀點(diǎn)：資金面：央行首次打破月末發(fā)布買斷式逆回購公告慣例，于月初6月6日開展10000億元買斷式逆回購操作，預(yù)計(jì)政策“熨平波動(dòng)、合理充裕”的思路維持，流動(dòng)性有望維持均衡充裕狀態(tài)。海外因素反復(fù)多變，窄幅震蕩格局難破，市場目前看不到明顯的趨勢性機(jī)會(huì)，但央行政策呵護(hù)有力，中短端漲勢不減。短端震蕩偏多，長端受風(fēng)險(xiǎn)偏好影響更大，海外不確定因素掣肘長端利率。對(duì)于短端品種，當(dāng)前城投債與二級(jí)資本債信用利差均未觸及布林帶下界，距離止盈點(diǎn)位仍有空間。兩者相較，二永價(jià)值好于城投，與OMO利差較歷史低點(diǎn)空間更足；存單即將迎來到期高峰，根據(jù)歷史經(jīng)驗(yàn)，存單收益率高于10Y國債之際，具備均值回歸動(dòng)力，可積極關(guān)注存單。機(jī)構(gòu)行為&異常成交：交易盤高于配置盤，信用債買入主力機(jī)構(gòu)仍為基金及理財(cái)，本周二至周四合計(jì)凈買入286億元，但力度較上周下降；國股行凈賣出405億元。在成交偏離方面，整體以低估值成交為主。各版塊建議：1、低風(fēng)險(xiǎn)偏好：（1）關(guān)注短久期普信債與國股行二永債等品種，1-3Y銀行普通債與OMO利差較歷史低點(diǎn)為25-30bp；（2）從收益率曲線看，7Y國開債與15Y地方政府債存在凸點(diǎn)，具備一定騎乘收益。2、中等風(fēng)險(xiǎn)偏好：4Y城投及二永收益率曲線存在凸點(diǎn)，關(guān)注騎乘機(jī)會(huì)。（1）4Y渤海銀行永續(xù)債近期ofr收益率在2.5%左右，具備一定騎乘價(jià)值。（2）對(duì)于有一定收益率曲線斜率的城投如津城建等，3-4年區(qū)間段較為陡峭，騎乘收益較高；鄂聯(lián)投2年債券也有一定吸引力。3、高風(fēng)險(xiǎn)偏好：（1）5Y低等級(jí)城投與OMO利差較歷史低點(diǎn)為41bp，近幾周收益率持續(xù)下行。（2）地產(chǎn)挖掘，可考慮介入短久期國企地產(chǎn)債，主體方面建議關(guān)注華發(fā)、建發(fā)等國企地產(chǎn)機(jī)會(huì)，本周珠江實(shí)業(yè)收益率下行幅度較大，建議關(guān)注。風(fēng)險(xiǎn)提示：相關(guān)期限收益率數(shù)據(jù)采用插值法擬合，與實(shí)際收益率水平可能存在偏差；樣本數(shù)據(jù)無法代表整體；歷史收益數(shù)據(jù)不代表未來。4買斷式逆回購規(guī)模&時(shí)點(diǎn)超預(yù)期資金利率維持低位LPR及存款利率調(diào)降經(jīng)濟(jì)數(shù)據(jù)弱預(yù)期權(quán)益市場上漲預(yù)期鈍化收入預(yù)期↓、就業(yè)↓、房價(jià)↓、地價(jià)↓居民企業(yè)加杠桿意愿↓中長期資產(chǎn)荒↑人口↓、人口老齡化↑廣義政府債務(wù)增速↓貨幣政策定調(diào)：適度寬松經(jīng)濟(jì)發(fā)展模式：不再債務(wù)驅(qū)動(dòng)存單到期規(guī)模高峰中美關(guān)系緩和2月調(diào)整的疤痕效應(yīng)政府債集中發(fā)行央行凈回籠超長期特別國債發(fā)行926新政后政策轉(zhuǎn)向持續(xù)？央行的長債風(fēng)險(xiǎn)提示、融出指導(dǎo)債券凈供給高于季節(jié)性美聯(lián)儲(chǔ)降息預(yù)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51、資金面與季末壓力同業(yè)存單到期高峰：6月第二周起連續(xù)三周同業(yè)存單到期規(guī)模超1萬億元，疊加新增負(fù)債需求，可能推升存單利率。季末資金回表壓力：6月處于季末，理財(cái)有季節(jié)性回表壓力，前期理財(cái)流入債市的動(dòng)作可能會(huì)有減弱或暫停。央行操作動(dòng)向：市場關(guān)注央行是否重啟國債購買以緩解季末流動(dòng)性壓力。2、關(guān)稅政策反復(fù)風(fēng)險(xiǎn)中美關(guān)稅豁免期臨近結(jié)束：若90天暫緩期（截至8月初）后關(guān)稅重新加征，可能引發(fā)避險(xiǎn)情緒，擾動(dòng)長端利率。出口數(shù)據(jù)驗(yàn)證：5月制造業(yè)PMI新出口訂單回升至47.5%，需觀察6月“搶出口”效應(yīng)是否持續(xù)支撐基本面。3、基本面與政策博弈經(jīng)濟(jì)數(shù)據(jù)發(fā)布：5月社融、信貸數(shù)據(jù)公布，若超預(yù)期或引發(fā)利率上行壓力。財(cái)政政策節(jié)奏：超長期特別國債發(fā)行進(jìn)度和地方政府債供給增加可能影響利率債供需。4、機(jī)構(gòu)行為與技術(shù)面銀行OCI賬戶賣壓：季末銀行可能兌現(xiàn)債券浮盈，但二季度市場表現(xiàn)較好，拋售壓力或弱于一季度。信用利差壓縮：5月信用債利差收窄6-15bp，中短端配置價(jià)值顯現(xiàn)，但利率債套息空間仍窄。5、海外因素美聯(lián)儲(chǔ)政策預(yù)期：海外正處在關(guān)稅驅(qū)動(dòng)弱化，交易通脹階段。若美國通脹數(shù)據(jù)或聯(lián)儲(chǔ)表態(tài)變化，可能通過美債收益率傳導(dǎo)至國內(nèi)債市。靜態(tài)票息與綜合策略67數(shù)據(jù)來源：Wind、DM；注：統(tǒng)計(jì)時(shí)間截至2025年6月6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(yè)銀行普通債商業(yè)銀行二級(jí)資本債商業(yè)銀行永續(xù)債（含權(quán)）城投債OMO7DMLF1YLPR5YDR007R007AAA1YAA-1Y1YAAA3Y5Y1YAAA-3Y 5Y7-10Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y1Y3Y5Y1Y3Y5Y7Y10Y30Y1Y10Y2023/12/294.22.023.072.082.292.402.532.562.834.793.882.402.912.422.642.782.652.853.003.172.752.943.052.803.033.263.144.815.942024/3/291.82.51.451.952.002.012.341.722.032.202.322.292.465.034.202.232.492.232.402.492.352.522.622.712.402.582.512.352.582.672.713.404.312024/6/282.172.231.541.801.982.102.212.435.094.361.962.271.972.062.152.012.132.232.332.012.162.162.032.192.282.262.613.242024/7/312024/8/52024/8/301.72.33.951.351.751.801.801.931.421.711.671.851.811.991.972.152.142.172.382.342.374.734.091.882.121.881.952.031.922.022.152.251.922.042.061.942.062.132.132.102.412.841.691.701.891.911.394.344.383.781.842.101.821.921.981.871.982.092.181.882.002.011.912.012.082.352.751.491.671.852.083.911.972.261.992.072.142.052.172.262.42.062.202.172.082.192.282.402.602.942024/9/243.851.871.961.421.521.751.942.072.193.883.741.912.211.911.982.072.012.092.182.292.052.142.102.052.142.202.392.723.172024/9/301.561.981.371.561.842.072.152.363.983.811.912.252.052.132.222.212.332.432.532.252.382.252.182.322.382.612.963.382024/10/311.701.891.431.581.792.032.152.344.274.281.932.271.942.152.272.092.262.372.512.132.332.452.112.302.442.773.013.742024/11/181.721.831.371.481.721.962.112.324.334.421.872.241.872.032.222.002.172.332.432.032.222.392.002.162.302.503.023.772024/11/291.641.821.371.411.661.882.022.204.304.181.801.991.821.942.121.952.082.192.321.972.132.241.982.052.232.352.813.672025/1/21.671.831.071.171.401.531.611.844.174.571.571.981.531.581.711.641.711.781.961.691.761.841.681.781.882.162.423.272025/1/242.02.102.901.341.341.471.591.661.894.174.631.742.071.811.751.821.841.851.881.991.861.901.931.871.881.952.332.453.172025/2/71.932.221.221.281.391.521.601.804.254.491.672.011.681.681.751.721.751.791.931.761.801.851.801.821.892.242.403.112025/2/281.52.132.141.461.521.601.691.721.914.084.241.992.322.001.961.922.082.062.082.232.102.122.172.042.092.162.482.603.152025/3/73.61.101.501.551.811.811.551.591.671.781.801.984.054.322.032.332.001.981.972.102.142.192.332.122.202.272.072.132.202.492.683.202025/3/141.811.831.561.621.641.771.832.044.094.311.962.251.951.971.992.042.122.192.332.082.172.272.052.142.252.462.683.262025/3/171.901.921.591.691.711.861.902.124.114.311.972.271.951.992.022.052.162.252.372.102.222.342.052.162.292.462.683.282025/3/251.912.201.541.631.681.791.822.034.094.311.902.191.901.931.941.982.042.102.252.002.072.181.972.042.162.332.593.222025/4/31.701.741.481.531.561.651.721.913.924.061.802.091.771.841.901.861.931.992.151.881.982.051.891.972.052.162.453.122025/4/301.801.841.461.481.521.581.621.823.854.171.741.991.741.801.851.791.881.952.111.801.942.011.831.932.032.102.453.062025/5/91.541.581.421.461.501.571.641.844.054.371.661.941.661.741.821.711.821.942.081.711.841.971.771.862.002.052.453.032025/5/16-1.641.631.451.511.581.631.681.884.134.431.681.961.681.761.821.741.841.982.161.741.902.021.721.862.002.002.443.042025/5/202025/5/232025/5/301.43.50.951.251.301.591.591.601.631.451.451.461.501.501.481.571.571.561.621.701.874.124.154.114.481.681.701.711.941.941.951.661.751.811.731.831.951.941.962.132.122.121.741.751.771.871.871.991.992.021.701.711.741.841.831.841.971.981.982.012.423.032.981.611.631.721.891.904.511.681.711.741.771.791.821.731.771.831.871.931.962.371.661.741.674.411.902.332.922025/6/61.531.551.411.441.551.591.651.884.144.511.681.921.691.751.831.741.841.942.111.751.882.001.741.851.952.002.322.872024年初至今-40-50-70-50-70-70-49-152-67-85-85-94-90-95-6563-72-99-74-88-96-91-101-106-106-101-106-105-106-118-131-114-248-307過去一周變化-------13-19-5-4-2-3-2-2310-3-3-2-20-3-3-2-1-2-2-2010-2-1-5Ave-OMO利差------2442-8215283555--31613239464050597343556142536377113176OMO利差①060-140-140-140-14013151415192548--2852293543344454713548603445556092147Min(24年6月至-------1415-43-33-1121030--7403821142128431826311828384065105今)OMO利差②當(dāng)前相較歷史低點(diǎn)------280443725171517--211226272120232628172329161717202741①-②8數(shù)據(jù)來源：Wind、DM；注：信用利差由同期限信用債減國開債利率計(jì)算得出，統(tǒng)計(jì)時(shí)間截至2025年6月6日單位：%、bp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(jí)資本債利差永續(xù)債利差城投債利差OMO7D1YAAA3Y5Y1YAAA-3Y5Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y1Y3Y5Y7Y10Y30Y1Y3Y5Y7Y10Y30Y10Y15Y20Y30Y2023/12/292.22.342.492.492.682.682.292.572.642.642.742.852.973.053.093.15233030304551525660394344942463462024/3/291.81.842.172.272.272.442.411.982.212.342.342.52.562.682.742.822.83392322225135355641514140871222042024/6/281.691.942.032.032.22.291.661.952.152.152.252.362.432.482.532.5727121212321920322234252556671222024/7/311.651.841.91.92.082.221.561.822.012.012.132.272.292.322.382.412311131327182527212923234857952024/8/51.591.81.891.892.052.191.531.811.941.942.12.242.252.282.342.372312101028182129203220195155872024/8/301.71.711.871.971.972.122.261.611.852.012.012.162.272.432.482.522.532820181834302935333732316973972024/9/241.661.791.861.862.042.151.591.791.891.892.032.162.312.352.422.4525192121353032383438343472931312024/9/301.651.881.951.952.162.251.561.81.961.962.22.322.502.532.612.63402527275645486050534543961081432024/10/311.711.861.881.882.162.221.561.822.022.022.222.322.512.572.602.602328393938394942464044551061141862024/11/181.651.821.872.112.172.381.541.721.932.142.272.402.382.432.472.50222236353547384053353443851201912024/11/291.601.731.771.772.012.101.511.661.871.872.042.202.312.342.412.46222135353535423640383245751081902025/1/21.261.411.441.631.661.951.241.391.581.701.822.112.012.112.152.25271727373034423540423744901021832025/1/241.481.541.531.691.691.971.371.471.581.731.832.062.012.042.082.1933212935303538354039344285911642025/2/71.431.471.461.621.601.901.271.381.591.711.782.021.972.012.032.1525212929283433333936354380921652025/2/281.51.681.721.721.851.742.041.501.611.761.861.982.182.202.202.212.2632232139343742394535364479881442025/3/71.681.761.741.921.802.091.601.701.761.902.002.212.272.272.272.3032222342384544445338374680921462025/3/141.681.711.721.961.852.171.621.761.891.982.082.292.322.322.322.3527252836414740465637435478971542025/3/171.701.761.772.021.942.241.651.831.942.002.112.302.362.362.362.3826232536414741465736405177931512025/3/251.641.741.731.931.852.171.651.831.942.002.062.292.262.282.312.3525192134303636334532304368851482025/4/31.591.671.621.811.742.031.591.691.841.921.972.172.162.162.242.2818172827263829314430304456791502025/4/301.571.631.581.751.662.001.581.621.661.771.882.092.152.182.202.2218172723253823304327304654821482025/5/91.471.581.561.721.662.021.541.621.651.731.862.082.132.132.182.1918162724243824264129284458861472025/5/161.511.611.621.781.712.061.501.581.681.761.902.132.182.182.192.2318152024233624284021253850831422025/5/202025/5/231.41.501.521.611.621.621.611.771.771.701.702.052.071.511.491.561.581.671.661.731.751.881.872.122.112.152.132.162.132.172.162.212.18161615191823222222333324232725373820192321354847817614113713322025/5/301.531.631.621.781.712.081.511.551.641.771.902.132.132.142.202.2118142024243424273921213448701302025/6/61.511.601.591.751.702.061.531.611.661.751.872.112.122.132.172.2018152323243524284124243649721272024年初至今變化（bp）-40-70-74-90-74-98-62-76-96-98-89-87-74-85-92-92-95-5-15-7-7-21-16-28-28-19-15-19-8-45-174-219過去一周變化--3-3-3-2-1-2262-2-3-2-1-1-3-1113-1-1101133211-3Ave-OMO利差-455760717598415669768810611111411812231394640505942546541526277113176OMO利差①-112019353066132126354771727377802935433444543548603445556092147Min(24年6月至今)OMO利差②--24-9-6121040-26-1282028524751536538211421281826341828384065105當(dāng)前相較歷史低點(diǎn)①-②-343025231926393318151919252224152627212023261723261617172027419數(shù)據(jù)來源：Wind；注：統(tǒng)計(jì)自2024年6月初以來利差分位數(shù)，統(tǒng)計(jì)時(shí)間截至2025年6月6日銀行普通債利差分位數(shù)(%)二級(jí)資本債利差分位數(shù)(%)永續(xù)債利差分位數(shù)(%)城投債利差分位數(shù)(%)日期AAAAAA-AAA-AAAAA-1Y3Y5Y1Y3Y5Y1Y3Y5Y1Y3Y5Y1Y3Y5Y2024/6/281001001001001001001001001001001001001001001002024/7/31526183356510026394865834895702024/8/5546246254235419073500621502024/8/308491988993938993961009698100100512024/9/24436710077779387938793100100981001002024/9/301001001001001001001001001001001001001001001002024/10/31169410085859288899389959894941002024/11/292458826571685371667349816174832025/1/249757576641487251468161547146502025/2/74855571229422937445767636149532025/2/289480398869558770635475706342412025/3/79165439283789288827881856552402025/3/1464875868888277 88916590985963512025/3/1750774663878580 88945186935355472025/3/255032374039504037572431553333432025/4/34256242456726511436621830482025/4/301129580215602347536792136422025/5/914225411957119382025652944362025/5/16112029319422223301832537312025/5/2032026319284202601829134302025/5/2351522019301182901326023292025/5/30162130825337223341329519272025/6/6202340523399244172332922272024年6月末至今變化（pct）-80-77-60-95-77-61-91-76-60-93-77-68-91-79-73過去一周變化4210-3-36227410332010數(shù)據(jù)來源：Qeubee；統(tǒng)計(jì)時(shí)間：2025年6月5日各版塊期限利差比較11數(shù)據(jù)來源：Wind；統(tǒng)計(jì)時(shí)間：2025年6月5日國債地方債二級(jí)資本債城投債國開債2024/9/2412數(shù)據(jù)來源：Wind；統(tǒng)計(jì)時(shí)間：2025年6月5日2025/6/52025/5/613?

根據(jù)信用-國開構(gòu)建信用利差生成布林帶，針對(duì)上下軌的相對(duì)位置以及信用債與OMO利差進(jìn)行擇時(shí)處理：1、建倉區(qū)間：利差觸及布林帶上軌；2、絕對(duì)止盈：如果1年AAA-二永-OMO利差＜20bp；3、相對(duì)止盈：觸及下軌，選擇平配不必增倉；圖：

3年AAA-二級(jí)資本債-國開債信用利差布林帶歷史擇時(shí)超額：根據(jù)這一策略，去年630以來二級(jí)資本債和城投債歷史擇時(shí)超額為0.66%和0.83%。當(dāng)前信號(hào)：尚未到絕對(duì)止盈，城投觸及下軌后反彈，當(dāng)前二永性價(jià)比高于城投。圖：

3年AA+城投債布林帶-國開債信用利差布林帶始末策略區(qū)間收益對(duì)照組：持有不動(dòng)累計(jì)收益（擇時(shí)）累計(jì)收益（不擇時(shí)）累計(jì)超額收益2024/6/32024/7/3持有二級(jí)債0.540.540.540.540.002024/7/42024/9/27持有國開債0.680.151.220.690.532024/9/292025/1/9持有二級(jí)債1.531.532.752.230.532025/1/102025/2/24持有國開債-0.54-0.672.211.560.662025/2/252025/6/5持有二級(jí)債0.940.943.152.500.66始末策略區(qū)間收益對(duì)照組：持有不動(dòng)累計(jì)收益（擇時(shí)）累計(jì)收益（不擇時(shí)）累計(jì)超額收益2024/6/32024/7/3持有城投債0.370.370.370.370.002024/7/42024/9/30持有國開債0.48-0.130.850.250.602024/10/82025/1/9持有城投債2.012.012.862.260.602025/1/102025/2/27持有國開債-0.54-0.772.321.490.832025/2/282025/6/5持有城投債1.041.043.362.530.8301020304050%2.52.42.32.22.12.01.91.81.71.61.5bp60

±

2std

止盈信號(hào)推薦建倉點(diǎn)位AAA-

3Y二級(jí)資本債利差信用利差30日均值3年AAA-二級(jí)資本債收益率，右二級(jí)資本債國開債二級(jí)資本債國開債建倉區(qū)間持有區(qū)間二級(jí)資本債建倉區(qū)間4/2-4/8利差觸及下界1.522.50102030405060%3bp70

±

2std推薦建倉點(diǎn)位

止盈信號(hào)信用利差30日均值

AA+3Y城投債利差3年AA+城投債收益率，右城投債國開債城投債國開債城投債建倉區(qū)間持有區(qū)間建倉區(qū)間3/31-4/1、4/8-4/9利差觸及下界數(shù)據(jù)來源：Wind；統(tǒng)計(jì)時(shí)間：2025年6月5日數(shù)據(jù)來源：Wind；數(shù)據(jù)統(tǒng)計(jì)截止日為2025/6/5圖：30年期國債期貨K線圖924后出現(xiàn)贖回壓力政策發(fā)力預(yù)期升溫交易貨幣寬松預(yù)期資金面緊平衡政策表述積極對(duì)等關(guān)稅超預(yù)期降息少+關(guān)稅緩和2023/2/12023/3/222023/5/32023/7/262024/9/182024/11/72024/12/185.65.45.25.04.84.64.44.24.02023-012023-022023-032023-042023-052023-062023-072023-082023-092023-102023-112023-122024-012024-022024-032024-042024-052024-062024-072024-082024-092024-102024-112024-122025-012025-022025-032025-04（%）美國:聯(lián)邦基金目標(biāo)利率2023/6/152023/8/152024/7/252024/9/252.92.72.52.32.11.91.71.52023-012023-022023-032023-042023-052023-062023-072023-082023-092023-102023-112023-122024-012024-022024-032024-042024-052024-062024-072024-082024-092024-102024-112024-122025-012025-02（%）MLF利率：1年15數(shù)據(jù)來源：Wind；注：藍(lán)色表示降息，紅色表示加息，藍(lán)色深淺表示加息/降息幅度；統(tǒng)計(jì)頻率為月度各典型策略：收益率測算16票息收益

資本利得收

綜合收益益高等級(jí)短久期【1YAAA城投債*80%】3.90.44.35784131短久期下沉【1YAA-城投債*80%】4.3-1.23.178100147城投久期中性下沉小啞鈴【2YAA-城投債*80%】【1YAA-城投債*40%】+【5YAAA城投債*40%】3YAAA-銀行二級(jí)資本4.44.3-1.9-1.12.53.28457123119200183拉久期下沉【3YAA-城投債*80%】債*20%4.8-1.03.895130241高等級(jí)拉久期【5YAAA城投債*80%】4.3-1.03.336138219超長期城投【10YAAA城投債*80%】4.7-9.0-4.34494299高等級(jí)短久期【1YAAA產(chǎn)業(yè)債*80%】3.91.35.35788129短久期下沉【1YAA產(chǎn)業(yè)債*80%】4.10.34.46894138高等級(jí)拉久期【5YAAA產(chǎn)業(yè)債*80%】債*20%4.3-5.1-0.831127213超長期產(chǎn)業(yè)【10YAAA產(chǎn)業(yè)債*80%】4.6-5.5-0.946101270高等級(jí)短久期【1YAAA-二級(jí)資本債*50%】+【1YAAA-銀行永續(xù)債*50%】3.90.24.05778115短久期下沉【1YAA二級(jí)資本債*50%】+【1YAA銀行永續(xù)債*50%】4.00.34.36885123二永久期中性下沉【3YAA二級(jí)資本債*50%】+【3YAA銀行永續(xù)債*50%】不設(shè)置4.3-3.70.652120172拉久期下沉【5YAA+二級(jí)資本債*50%】+【5YAA+銀行永續(xù)債*50%】4.4-2.61.7-14111206高等級(jí)拉久期【10YAAA-二級(jí)資本債*60%】+【5YAAA-銀行永續(xù)債*40%4.5-4.20.3-49118241信用策略配置倉位流動(dòng)性倉位本周年初以來綜合收益單位：bp近3個(gè)月 近6月綜合收益

綜合收益產(chǎn)業(yè)3YAAA-銀行二級(jí)資本久期中性下沉【2YAA產(chǎn)業(yè)債*80%】4.2-2.51.766拉久期下沉【3YAA產(chǎn)業(yè)債*80%】4.3-1.92.45110911116016117數(shù)據(jù)來源：iFinD；票息以2024年6月28日的配置的中債估值收益率做測算以2025/6/5收益率為基準(zhǔn)計(jì)算持券1年的綜合收益，AAA-銀行永續(xù)債與AA+城投債性價(jià)比占優(yōu)。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18數(shù)據(jù)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(jí)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AAA11.750.981.751.751.751.751.751.7531.862.891.781.581.392.162.362.5551.964.721.701.310.932.462.843.22AA+11.800.981.801.801.801.801.801.8031.932.891.881.691.492.272.462.6652.044.701.791.411.032.552.933.31銀行二級(jí)債AAA-11.770.981.771.771.771.771.771.7731.872.891.751.561.362.142.332.5351.964.721.661.280.892.422.803.18AA+11.770.981.771.771.771.771.771.7731.892.891.771.581.382.162.362.5551.994.711.711.330.952.472.853.23銀行永續(xù)債AAA-11.780.981.781.781.781.781.781.7831.902.891.771.581.382.162.352.5552.024.711.771.391.012.532.923.30AA+11.790.981.791.791.791.791.791.7931.932.881.841.651.452.232.422.6252.074.701.901.521.142.663.043.42普通商金債AAA11.720.981.721.721.721.721.721.7231.782.891.631.441.242.022.222.4151.844.731.651.270.892.422.803.18AA+11.750.981.751.751.751.751.751.7531.832.891.711.521.322.102.292.4951.894.731.701.320.942.472.853.2319數(shù)據(jù)來源：Wind（注：①為防止估值收益失真，選取主體在關(guān)鍵期限附近的活躍券作為計(jì)算標(biāo)準(zhǔn)；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(gè)別主體缺乏在關(guān)鍵期限附近的活躍券，因此未計(jì)算綜合收益。）我們以津城建、鄂聯(lián)投、建發(fā)股份、冀中能源和河鋼集團(tuán)活躍券作為樣本（根據(jù)1月經(jīng)紀(jì)商口徑成交筆數(shù)判斷是否活躍），計(jì)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(shè)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(qū)間段較為陡峭，騎乘收益較高，投資者可重點(diǎn)關(guān)注；鄂聯(lián)投2年債券也有一定吸引力。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(guān)注；鋼鐵債方面，可關(guān)注河鋼集團(tuán)2年期債券。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 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MTN0070.64102480591.IB24津城建MTN0101.73102480810.IB24津城建MTN0112.76102482305.IB24津城建MTN0234.03163204.SH20津投064.75鄂聯(lián)投102381317.IB23鄂聯(lián)投MTN0021.01258005.SH25聯(lián)投021.81102581675.IB25鄂聯(lián)投MTN002A2.87102400819.IB24鄂聯(lián)投MTN0054.04102501267.IB25鄂聯(lián)投MTN001B4.80建發(fā)股份102100696.IB21建發(fā)地產(chǎn)MTN0020.86102480690.IB24建發(fā)地產(chǎn)MTN0021.75148234.SZ23建房F22.84冀中能源102383364.IB23冀中能源MTN012B0.53102400597.IB24冀中能源MTN002B1.62102581444.IB25冀中能源MTN003B2.84102400767.IB24冀中能源MTN009B3.98河鋼集團(tuán)102381196.IB23河鋼集MTN0070.95102481549.IB24河鋼集MTN0051.87102580659.IB25河鋼集MTN0032.71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）11.810.641.811.811.811.811.811.8121.961.671.991.931.872.122.192.2532.202.612.432.262.092.762.933.1042.473.682.912.652.393.433.703.9652.564.262.522.151.783.253.623.99鄂聯(lián)投（城投）11.850.951.851.851.851.851.851.8522.221.742.472.372.282.662.752.8532.192.741.981.811.642.332.512.6842.333.712.412.141.862.963.233.5152.504.412.772.392.023.513.884.25建發(fā)股份（地產(chǎn)）12.240.852.242.242.242.242.242.2422.561.682.752.672.582.923.003.0932.812.643.062.902.733.403.573.73冀中能源（煤炭）12.060.522.062.062.062.062.062.0622.461.542.612.562.512.722.772.8232.872.653.363.213.053.673.833.9843.133.653.553.283.024.084.344.61河鋼集團(tuán)（鋼鐵）11.900.941.901.901.901.901.901.9022.171.802.332.242.142.522.612.7132.282.582.292.111.932.652.833.01數(shù)據(jù)來源：Wind（注：①為防止估值收益失真，選取主體在關(guān)鍵期限附近的活躍券作為計(jì)算標(biāo)準(zhǔn)；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(gè)別主體缺乏在關(guān)鍵期限附近的活躍券，因此未計(jì)算綜合收益。）20我們以民生銀行、渤海銀行、工商銀行和浦發(fā)銀行活躍券作為樣本（根據(jù)1月經(jīng)紀(jì)商口徑成交筆數(shù)判斷是否活躍），計(jì)算了部分期限（個(gè)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(shè)收益率曲線上行/下行的資本利得收益：渤海銀行4年二級(jí)資本債騎乘收益可觀；民生銀行2年永續(xù)債在收益率曲線上行的情況下投資回報(bào)仍高于1年永續(xù)債。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 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）民生銀行2128016.IB21民生銀行永續(xù)債010.882228038.IB22民生銀行永續(xù)債012.03232400014.IB24民生銀行二級(jí)資本債013.90232580006.IB25民生銀行二級(jí)資本債014.89渤海銀行2128001.IB21渤海銀行二級(jí)0.62222500006.IB25渤海銀行綠債012.73232400013.IB24渤海銀行二級(jí)資本債013.88242400026.IB24渤海銀行永續(xù)債014.29工商銀行2128021.IB21工商銀行永續(xù)債011.012228024.IB22工商銀行二級(jí)031.86232380036.IB23工行二級(jí)資本債02A3.24242480007.IB24工行永續(xù)債014.10232580001.IB25工行二級(jí)資本債01BC4.74浦發(fā)銀行2328007.IB23浦發(fā)銀行綠色金融債010.81212480008.IB24浦發(fā)銀行債021.812528007.IB25浦發(fā)銀行012.90232480052.IB24浦發(fā)銀行二級(jí)資本債01A4.202028035.IB20浦發(fā)銀行二級(jí)045.28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11.860.861.861.861.861.861.861.8622.081.882.192.102.012.362.452.5352.344.562.271.901.533.003.373.73渤海銀行11.880.621.881.881.881.881.881.8842.373.643.423.162.903.954.214.4852.543.962.802.432.073.523.894.25工商銀行11.780.951.781.781.781.781.781.7821.821.791.771.681.581.962.062.1631.883.011.811.631.462.172.352.5341.993.802.021.721.422.622.923.2251.964.461.461.080.702.222.602.98浦發(fā)銀行11.470.811.471.471.471.471.471.4721.761.761.911.831.752.072.152.2431.792.791.661.491.312.012.192.3641.983.912.231.951.672.783.063.3452.014.621.751.360.972.532.933.32信用債板塊與擇券觀察21數(shù)據(jù)來源：Wind；數(shù)據(jù)統(tǒng)計(jì)截止日為2025/6/5，注：收益率變化指周度變化，較上周四收盤變化板塊 主體名稱隱含評(píng)級(jí)存續(xù)債券 1Y期余額

收益率（億元） 06053Y期收益率06055Y期收益率0605珠江實(shí)業(yè)AA2012.15（bp）03.12（bp）-12-（bp）-首開股份AA6512.39-23.22-2--建發(fā)地產(chǎn)AA+2982.2912.83-23.01-2保利置業(yè)AA+2162.0402.47-2--珠海華發(fā)AA3772.42-1----鐵建房地產(chǎn)AA+3952.0202.58-2--節(jié)能集團(tuán)AA+3991.87-12.00-22.17-4東方資管AAA-8821.93-32.02-42.25-4遠(yuǎn)東租賃AA6712.10-2----宏橋新材料AA2022.0902.51-23.49-7平安租賃AA+11411.92-42.50-6--海爾金盈AA1161.9502.37-2--冀中能源AA3572.36-12.91-7--華陽新材料AA3211.97-12.19-22.64-2晉能電力AA5991.87-12.16-42.33-2陜煤化AA+9801.85-11.97-32.15-3兗礦能源AA+4801.86-11.87-21.99-6晉能煤業(yè)AA8241.8702.1202.36-1河鋼集團(tuán)AA+9231.9502.30-22.49-4首鋼集團(tuán)AA+7201.8101.98-32.05-5山鋼集團(tuán)AA4452.0002.34-3--1Y期收益率變化3Y期收益率變化5Y期收益率變化地產(chǎn)央企民企煤炭鋼鐵板塊 主體名稱隱含評(píng)級(jí)存續(xù)債 1Y期券余額

收益率（億元） 06051Y期收益率變化（bp）3Y期收益率06053Y期收益率變化（bp）5Y期收益率06055Y期收益率變化（bp）城投西安高新AA(2) 6442.0802.81-33.00-9云南投資AA(2) 4641.9702.46-62.83-4河南航空港AA(2) 6821.9922.39-22.70-3津城建AA9961.86-12.2212.56-4鄂聯(lián)投AA5591.8802.27-12.53-4吉林高速AA(2) 3911.910-- 2.33-4青島城投 AA+8311.810202.250渤海銀行 AA+ 34991.77-31.88-12.550民生銀行AAA-11312 1.81-31.77-22.34-4銀行 成都農(nóng)商 AA+9781.83-12.07-4--工商銀行 AAA 26850 1.69-41.80-21.98-2天津銀行AA+ 1311-- 2.09-2--數(shù)據(jù)來源：Wind，Qeubee；數(shù)據(jù)統(tǒng)計(jì)截止日為2025/6/5圖：9月底至今銀行二永債收益率（%）表：24年9月底至今銀行二永債收益率調(diào)整幅度（bp）3Y5Y7Y3Y5Y7Y240924-100946.646.041.044.447.340.1241009-1017-31.6-27.5-22.2-26.2-25.6-19.5241017-1030-16.2-15.7-11.4-13.8-13.1-12.3241030-1112-16.2-13.9-6.8-19.3-14.8-7.3241112-1118-3.6-4.0-2.2-2.7-3.4-3.0241118-1209-20.5-21.1-23.1-20.4-23.1-21.3241209-1227-17.0-13.9-15.2-15.3-16.9-12.9241230-25010212.214.114.910.313.117.9250103-2501109.810.75.39.411.04.1250113-2501162.53.52.82.45.24.1250117-2501245.13.62.94.23.63.4250126-2502068.59.15.87.77.75.8250207-2502137.98.44.97.76.82.4250213-25022014.512.911.013.211.211.0250220-25022713.710.911.613.814.313.1250227-2503064.76.68.15.05.58.6250306-25031315.220.018.117.519.416.6250313-25032011.812.49.19.810.57.4250320-2503274.54.25.05.85.11.5250327-25040310.811.911.610.510.911.0250403-2504107.47.59.28.68.98.2250410-2504172.01.42.81.62.83.0250417-2504245.14.43.12.84.74.1250425-2505089.38.76.79.111.09.1250508-2505154.94.62.65.05.82.3250515-2505224.66.82.13.22.72.5250522-2505296.64.04.56.13.93.5250529-2506051.63.42.01.82.73.923項(xiàng)目AA+

二級(jí)資本債 AA+

銀行永續(xù)債1.601.802.002.202.402.602.802024-09-182024-09-252024-10-022024-10-092024-10-162024-10-232024-10-302024-11-062024-11-132024-11-202024-11-272024-12-042024-12-112024-12-182024-12-252025-01-012025-01-082025-01-152025-01-222025-01-292025-02-052025-02-122025-02-192025-02-262025-03-052025-03-122025-03-192025-03-262025-04-022025-04-092025-04-162025-04-232025-04-302025-05-072025-05-142025-05-212025-05-282025-06-04中債商業(yè)銀行二級(jí)資本債到期收益率(AA+):3年中債商業(yè)銀行二級(jí)資本債到期收益率(AA+):7年中債商業(yè)銀行無固定期限資本債(行權(quán))收益率曲線(AA+):5年中債商業(yè)銀行二級(jí)資本債到期收益率(AA+):5年中債商業(yè)銀行無固定期限資本債(行權(quán))收益率曲線(AA+):3年中債商業(yè)銀行無固定期限資本債(