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S2周觀點：止盈未至，仍可看多靜態(tài)票息與綜合策略市場調(diào)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地產(chǎn)市場觀察其他數(shù)據(jù)跟蹤過去一周總結(jié)：債市收益率整體下行，信用表現(xiàn)優(yōu)于利率，城投表現(xiàn)優(yōu)于二永。周五DR007加權(quán)平均利率1.50%，資金利率低位運行。市場交易邏輯：1、資金面；2、海外不確定因素&關(guān)稅反復；核心觀點：資金面：短期關(guān)稅超預期影響未至，市場情緒的錨主要在于央行態(tài)度和資金面，9-12日共計凈回籠1402億元，資金面邊際收緊，但從近期央行MLF連續(xù)三個月加量續(xù)作+買斷式逆回購+凈投放等一系列呵護政策看，資金面整體寬松。以1年二永債與OMO利差低于20bp作為止盈信號，市場止盈未至，仍可看多，但鑒于收益率接近前低，或難以流暢下行，向下突破有賴于央行重啟買債、機構(gòu)足夠交易降息預期等增量信息，關(guān)注資金面，保持區(qū)間思維。對于短端品種，當前城投債與二級資本債信用利差均未觸及布林帶下界，距離止盈點位仍有空間，城投觸及下軌后反彈，當前二永性價比高于城投。從本周各策略配置方法收益測算來看，二永短久期下沉及高等級短久期策略表現(xiàn)最優(yōu)。機構(gòu)行為&異常成交：交易盤高于配置盤，信用債買入主力機構(gòu)仍為基金及理財，本周一至周四合計凈買入1029億元；國股行凈賣出1225億元。在成交偏離方面，整體市場情緒較好，以低估值成交為主。各版塊建議：1、低風險偏好：（1）關(guān)注短久期普信債與國股行二永債等品種，1-3Y銀行二級資本債與OMO利差較歷史低點為20-25bp；（2）從收益率曲線看，7Y國開債與15Y地方政府債存在凸點，具備一定騎乘收益。2、中等風險偏好：4Y城投及二永收益率曲線存在凸點，關(guān)注騎乘機會。（1）4Y渤海銀行永續(xù)債近期ofr收益率在2.5%左右，具備一定騎乘價值。（2）對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、高風險偏好：（1）5Y低等級城投與OMO利差較歷史低點為39bp，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)機會，本周珠江實業(yè)收益率下行幅度較大，建議關(guān)注。風險提示：相關(guān)期限收益率數(shù)據(jù)采用插值法擬合，與實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。

34資金利率維持低位宏觀數(shù)據(jù)略低于預期央行凈投放買斷式逆回購權(quán)益市場上漲預期鈍化收入預期↓、就業(yè)↓、房價↓、地價↓居民企業(yè)加杠桿意愿↓中長期資產(chǎn)荒↑人口↓、人口老齡化↑廣義政府債務增速↓貨幣政策定調(diào)：適度寬松經(jīng)濟發(fā)展模式：不再債務驅(qū)動存單到期規(guī)模高峰中美關(guān)系緩和社融增速維持高位2月調(diào)整的疤痕效應政府債集中發(fā)行超長期特別國債發(fā)行926新政后政策轉(zhuǎn)向持續(xù)？央行的長債風險提示、融出指導債券凈供給高于季節(jié)性美聯(lián)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，理財有季節(jié)性回表壓力，前期理財流入債市的動作可能會有減弱或暫停。央行操作動向：市場關(guān)注央行是否重啟國債購買以緩解季末流動性壓力。LPR報價：1年期和5年期LPR是否調(diào)整。2、關(guān)稅政策反復風險中美關(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)避險情緒，擾動長端利率。出口數(shù)據(jù)驗證：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”效應是否持續(xù)支撐基本面。3、基本面與政策博弈經(jīng)濟數(shù)據(jù)發(fā)布：5月規(guī)上工業(yè)增加值、社消零售額、固定資產(chǎn)投資等數(shù)據(jù)發(fā)布。財政政策節(jié)奏：超長期特別國債發(fā)行進度和地方政府債供給增加可能影響利率債供需。4、機構(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，中短端配置價值顯現(xiàn)，但利率債套息空間仍窄。5、海外因素美聯(lián)儲政策預期：海外正處在關(guān)稅驅(qū)動弱化，交易通脹階段。若美國通脹數(shù)據(jù)或聯(lián)儲表態(tài)變化，可能通過美債收益率傳導至國內(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)計時間截至2025年6月13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-3Y5Y1Y3Y5Y1Y3Y5Y7Y10Y30Y1Y10Y2023/12/294.22.023.072.082.292.402.532.562.834.793.882.402.912.422.642.782.652.853.003.172.752.943.052.803.033.263.144.815.942024/3/291.82.51.451.952.002.012.341.722.032.202.322.292.465.034.202.232.492.232.402.492.352.522.622.712.402.582.512.352.582.672.713.404.312024/6/282.172.231.541.801.982.102.212.435.094.361.962.271.972.062.152.012.132.232.332.012.162.162.032.192.282.262.613.242024/7/312024/8/52024/8/301.72.33.951.351.751.801.801.931.421.711.671.851.811.991.972.152.142.172.384.734.091.882.121.881.952.031.922.021.982.152.251.922.042.061.942.062.132.132.412.841.691.701.891.911.391.492.342.374.344.383.781.842.101.821.921.981.872.092.181.882.002.011.912.012.082.102.352.751.671.852.083.911.972.261.992.072.142.052.172.262.42.062.202.172.082.192.282.402.602.942024/9/243.851.871.961.421.521.751.942.072.193.883.741.912.211.911.982.072.012.092.182.292.052.142.102.052.142.202.392.723.172024/9/301.561.981.371.561.842.072.152.363.983.811.912.252.052.132.222.212.332.432.532.252.382.252.182.322.382.612.963.382024/10/311.701.891.431.581.792.032.152.344.274.281.932.271.942.152.272.092.262.372.512.132.332.452.112.302.442.773.013.742024/11/181.721.831.371.481.721.962.112.324.334.421.872.241.872.032.222.002.172.332.432.032.222.392.002.162.302.503.023.772024/11/291.641.821.371.411.661.882.022.204.304.181.801.991.821.942.121.952.082.192.321.972.132.241.982.052.232.352.813.672025/1/21.671.831.071.171.401.531.611.844.174.571.571.981.531.581.711.641.711.781.961.691.761.841.681.781.882.162.423.272025/1/242.02.102.901.341.341.471.591.661.894.174.631.742.071.811.751.821.841.851.881.991.861.901.931.871.881.952.332.453.172025/2/71.932.221.221.281.391.521.601.804.254.491.672.011.681.681.751.721.751.791.931.761.801.851.801.821.892.242.403.112025/2/281.52.132.141.461.521.601.691.721.914.084.241.992.322.001.961.922.082.062.082.232.102.122.172.042.092.162.482.603.152025/3/73.61.101.501.551.811.811.551.591.671.781.801.984.054.322.032.332.001.981.972.102.142.192.332.122.202.272.072.132.202.492.683.202025/3/141.811.831.561.621.641.771.832.044.094.311.962.251.951.971.992.042.122.192.332.082.172.272.052.142.252.462.683.262025/3/171.901.921.591.691.711.861.902.124.114.311.972.271.951.992.022.052.162.252.372.102.222.342.052.162.292.462.683.282025/3/251.912.201.541.631.681.791.822.034.094.311.902.191.901.931.941.982.042.102.252.002.072.181.972.042.162.332.593.222025/4/31.701.741.481.531.561.651.721.913.924.061.802.091.771.841.901.861.931.992.151.881.982.051.891.972.052.162.453.122025/4/301.801.841.461.481.521.581.621.823.854.171.741.991.741.801.851.791.881.952.111.801.942.011.831.932.032.102.453.062025/5/91.541.581.421.461.501.571.641.844.054.371.661.941.661.741.821.711.821.942.081.711.841.971.771.862.002.052.453.032025/5/16-1.641.631.451.511.581.631.681.884.134.431.681.961.681.761.821.741.841.982.161.741.902.021.721.862.002.002.443.042025/5/201.591.601.451.501.571.621.701.874.124.481.681.941.661.751.811.731.831.952.131.741.871.991.701.841.971.982.423.032025/5/231.41.591.631.451.501.571.611.721.894.154.511.701.941.681.741.791.731.831.942.121.751.871.991.711.831.931.982.372.982025/5/303.50.951.251.301.661.741.461.481.561.631.671.904.114.411.711.951.711.771.821.771.871.962.121.771.902.021.741.841.962.012.332.922025/6/61.531.551.411.441.551.591.651.884.144.511.681.921.691.751.831.741.841.942.111.751.882.001.741.851.952.002.322.872025/6/131.501.581.401.431.541.591.641.854.094.411.671.921.681.741.811.751.841.932.051.751.881.991.731.841.921.932.292.842024年初至今-40-50-70-50-70-70-52-149-68-86-86-95-91-98-7053-73-100-74-90-97-90-101-107-112-100-105-106-107-119-134-121-251-310過去一周變化-------33-1-10-1-1-3-5-10-1-1-1-2-110-1-600-1-2-1-3-7-3-2Ave-OMO利差------2341-8215273555--31613139464050597342546141526376113175OMO利差①060-140-140-140-14010180314192445--2752283441354453653548593344525389144Min(24年6月至今)OMO-------1415-43-33-1121030--7403821142128431826311828384065105利差②當前相較歷史低點①-------253433625161415--201225262021232522172328151614132439②8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算得出，統(tǒng)計時間截至2025年6月13日單位：%、bp日期政策利率（%）銀行普通債利差二級資本債利差永續(xù)債利差城投債利差OMO7D1Y3Y10Y 30Y 1Y3Y30Y 1YAAA3Y5Y1YAAA-3Y5Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y1.8233030304551526039434494246 3463923222251353556564151414087122 204AAA+超長債(

)10Y 30Y 10Y 15Y 20Y2.74 2.85 2.97 3.05 3.09 3.152.5 2.56 2.68 2.74 2.82 2.832.25 2.36 2.43 2.48 2.53 2.572712121232203234252556671.71313252729232312295232311121010272819181821292221203220194851575587281818293532316973972520192121343530303238333437383434724025272756454860505345431.52328393938394946404455224738424053353485國開債（

） 地方政府債（

）5Y 7Y 5Y 7Y2.2 2.34 2.49 2.49 2.68 2.68 2.29 2.57 2.64 2.641.84 2.17 2.27 2.27 2.44 2.41 1.98 2.21 2.34 2.341.69 1.94 2.03 2.03 2.2 2.29 1.66 1.95 2.15 2.151.65 1.84 1.9 1.9 2.08 2.22 1.56 1.82 2.01 2.01 2.13 2.27 2.29 2.32 2.38 2.411.59 1.8 1.89 1.89 2.05 2.19 1.53 1.81 1.94 1.94 2.1 2.24 2.25 2.28 2.34 2.371.71 1.87 1.97 1.97 2.12 2.26 1.61 1.85 2.01 2.01 2.16 2.27 2.43 2.48 2.52 2.531.66 1.79 1.86 1.86 2.04 2.15 1.59 1.79 1.89 1.89 2.03 2.16 2.31 2.35 2.42 2.451.65 1.88 1.95 1.95 2.16 2.25 1.56 1.8 1.96 1.96 2.2 2.32 2.50 2.53 2.61 2.631.71 1.86 1.88 1.88 2.16 2.22 1.56 1.82 2.02 2.02 2.22 2.32 2.51 2.57 2.60 2.601.65 1.82 1.87 2.11 2.17 2.38 1.54 1.72 1.93 2.14 2.27 2.40 2.38 2.43 2.47 2.501.60 1.73 1.77 1.77 2.01 2.10 1.51 1.66 1.87 1.87 2.04 2.20 2.31 2.34 2.41 2.462222213635353535354038327527174242423790333735383635351.431.471.461.621.60 1.90 1.27 1.381.78 2.021.26 1.41 1.44 1.63 1.66 1.95 1.24 1.39 1.58 1.70 1.82 2.11 2.01 2.11 2.15 2.251.48 1.54 1.53 1.69 1.69 1.97 1.37 1.47 1.58 1.73 1.83 2.06 2.01 2.04 2.08 2.191.59 1.71 1.97 2.012.03 2.15252121272929293030283333404039343593 13196 108 143106 114 186120 191108 190102 18391 16492 165213435343534373945323223394238424453363743454442434446283936353837542322252325414145474740414446465657364340518580798078771.68 1.72 1.72 1.85 1.74 2.04 1.50 1.61 1.76 1.86 1.98 2.18 2.20 2.20 2.21 2.261.68 1.76 1.74 1.92 1.80 2.09 1.60 1.70 1.76 1.90 2.00 2.21 2.27 2.27 2.27 2.301.68 1.71 1.72 1.96 1.85 2.17 1.62 1.76 1.89 1.98 2.08 2.29 2.32 2.32 2.32 2.351.70 1.76 1.77 2.02 1.94 2.24 1.65 1.83 1.94 2.00 2.11 2.30 2.36 2.36 2.36 2.381.64 1.74 1.73 1.93 1.85 2.17 1.65 1.83 1.94 2.00 2.06 2.29 2.26 2.28 2.31 2.352726251921363634303633326888929793851.591.671.621.811.742.031.591.691.841.921.972.172.162.162.24 2.2827263638293145443030304344181823304327301.4182827272928464418203838362538171716151535161619182120192321798286838176203234232324242322242325242322222424414037383941361441461541511481501481471421411371301272023/12/292024/3/292024/6/282024/7/312024/8/52024/8/302024/9/242024/9/302024/10/312024/11/182024/11/292025/1/22025/1/242025/2/72025/2/282025/3/72025/3/142025/3/172025/3/252025/4/32025/4/302025/5/92025/5/162025/5/202025/5/232025/5/302025/6/62025/6/131.57 1.63 1.58 1.75 1.66 2.00 1.58 1.62 1.66 1.77 1.88 2.09 2.15 2.18 2.20 2.221.47 1.58 1.56 1.72 1.66 2.02 1.54 1.62 1.65 1.73 1.86 2.08 2.13 2.13 2.18 2.191.51 1.61 1.62 1.78 1.71 2.06 1.50 1.58 1.68 1.76 1.90 2.13 2.18 2.18 2.19 2.231.50 1.61 1.62 1.77 1.70 2.05 1.51 1.56 1.67 1.73 1.88 2.12 2.15 2.16 2.17 2.211.52 1.62 1.61 1.77 1.70 2.07 1.49 1.58 1.66 1.75 1.87 2.11 2.13 2.13 2.16 2.181.53 1.63 1.62 1.78 1.71 2.08 1.51 1.55 1.64 1.77 1.90 2.13 2.13 2.14 2.20 2.211.51 1.60 1.59 1.75 1.70 2.06 1.53 1.61 1.66 1.75 1.87 2.11 2.12 2.13 2.17 2.201.50 1.60 1.61 1.75 1.70 2.02 1.52 1.59 1.69 1.73 1.84 2.07 2.08 2.10 2.11 2.17181818131415142125243333343533242424232424252628272527282839212423212424315654585048474849437072691242024年初至今變化（bp）-40-70-74-88-74-98-66-77-98-95-91-90-78-89-96-98-98-5-16-9-5-21-18-27-28-21-16-20-13-51 -177-222過去一周變化-00101-4-1-23-2-3-4-3-3-6-30-1-310-210-2-1-1-5-6-3-4Ave-OMO利差-4456597073974055687487105 110 112 116 12031384640495942546440516176112 175OMO利差①-102021353062121929334467687071772834413544533548593344525389144Min(24年6月至今)OMO利差②--24-9-6121040-26-1282028524751536538211421281826341828384065105當前相較歷史低點①-②- 34 29 27 23 20 23 38 31 21 13 16 15 22 19 18 12 25 26 20 21 23251723251516141324399日期銀行普通債利差分位數(shù)(%)二級資本債利差分位數(shù)(%)永續(xù)債利差分位數(shù)(%)城投債利差分位數(shù)(%)1YAAA3Y5Y1YAAA-3Y5Y1YAAA-3Y5Y1YAAA3Y5Y1YAA-3Y5Y94505667170332808994728944802041881524297183461532515251527433414321107761059900087949889951009737527510082821001001001001009595100909010095951009790100100951009710010098100100219510087879390919491969899100951001009587951002785707573607571775684677785986947537556528365526562606261133648324450627160675254565882897259587773474595926845488993738967848083877465676857446788626998626653795193716785898880848679828989929456918894575955524653073255196552322923475413679422158534012118605656182123642521291114114637387262635323636434239353533351927333501231282623323431353838000326294433075252524312843784537343134377102924263128272024/6/282024/7/312024/8/52024/8/302024/9/242024/9/302024/10/312024/11/292025/1/242025/2/72025/2/282025/3/72025/3/142025/3/172025/4/32025/4/302025/5/92025/5/162025/5/202025/5/232025/5/302025/6/62025/6/13161919183213252612272927318724231818282322019242024年6月至今變化（pct）-76-32-23-54826-21031-82-72-51-89-2624過去一周變化 0 -10 -12 8 -3 -17 4 -2 -14數(shù)據(jù)來源：Wind；注：統(tǒng)計自2024年6月初以來利差分位數(shù)，統(tǒng)計時間截至2025年6月13日-2-5-15-10-7-310數(shù)據(jù)來源：Qeubee；統(tǒng)計時間：2025年6月12日各版塊期限利差比較11數(shù)據(jù)來源：Wind；統(tǒng)計時間：2025年6月12日國債地方債二級資本債城投債國開債2024/9/2412數(shù)據(jù)來源：Wind；統(tǒng)計時間：2025年6月12日2025/6/122025/5/1213?

根據(jù)信用-國開構(gòu)建信用利差生成布林帶，針對上下軌的相對位置以及信用債與OMO利差進行擇時處理：1、配置信號：利差觸及布林帶上軌；2、絕對止盈信號：如果1年AAA-二永-OMO利差＜20bp；3、相對止盈信號：觸及下軌，選擇平配；歷史擇時超額：根據(jù)這一策略，去年630以來二級資本債和城投債歷史擇時超額為0.66%和0.83%。當前信號：尚未到絕對止盈，城投觸及下軌后反彈，當前二永性價比高于城投。圖：

3年AAA-二級資本債-國開債信用利差布林帶圖：

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)間收益對照組：持有不動累計收益（擇時）累計收益（不擇時）累計超額收益2024/6/32024/7/3持有二級債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-0.54-0.672.211.560.662025/2/252025/6/12持有二級債1.081.083.292.640.66始末策略區(qū)間收益對照組：持有不動累計收益（擇時）累計收益（不擇時）累計超額收益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-0.54-0.772.321.490.832025/2/282025/6/12持有城投債1.171.173.482.650.83數(shù)據(jù)來源：Wind；統(tǒng)計時間：2025年6月12日1.41.61.82.02.22.401020304050bp60

±

2stdAAA-

3Y二級資本債利差信用利差30日均值

止盈信號

推薦建倉點位 %3年AAA-二級資本債收益率，右 2.6二級資本債國開債二級資本債國開債OMO利率，右 建倉區(qū)間持有區(qū)間二級資本債建倉區(qū)間4/2-4/8利差觸及下界1.41.82.20102030405060%2.6bp70±

2std

推薦建倉點位止盈信號信用利差30日均值A(chǔ)A+3Y城投債利差3年AA+城投債收益率，右OMO利率，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0926二永債估值偏離成交上行5bp，領(lǐng)先中票收益率一個交易日1009二永債估值偏離成交下行5bp，領(lǐng)先一個交易日0102-0103二永債成交偏離幅度連續(xù)上行，領(lǐng)先三個交易日1.501.701.902.102.302.506050403020100-10-20-30-402024-08-012024-08-052024-08-072024-08-092024-08-132024-08-152024-08-192024-08-212024-08-232024-08-272024-08-292024-09-022024-09-042024-09-062024-09-102024-09-122024-09-142024-09-192024-09-232024-09-252024-09-272024-09-302024-10-092024-10-112024-10-142024-10-162024-10-182024-10-222024-10-242024-10-282024-10-302024-11-012024-11-052024-11-072024-11-112024-11-132024-11-152024-11-192024-11-212024-11-252024-11-272024-11-292024-12-032024-12-052024-12-092024-12-112024-12-132024-12-172024-12-192024-12-232024-12-252024-12-272024-12-312025-01-032025-01-072025-01-092025-01-132025-01-152025-01-172025-01-212025-01-232025-01-26%2.70bp3年AAA-二級債，右二永債估值偏離成交幅度大致領(lǐng)先信用債收益率1-3個交易日。復盤來看，去年630以來這一指標曾三次領(lǐng)先：去年9月26日，二永債偏離估值成交幅度相比9月25日提升接近5bp，隨即9月27日信用債出現(xiàn)較大調(diào)整；10月9日二永債偏離估值成交幅度相比10月8日下降5bp，次日信用債開啟修復行情；今年1月2日-1月3日二永債偏離成交幅度連續(xù)大幅上行，3個交易日后信用債市場出現(xiàn)由負carry主導的調(diào)整行情。圖：

各類信用債估值偏離成交幅度與信用債收益率走勢城投債成交偏離

產(chǎn)業(yè)債成交偏離

二永債成交偏離

3年AAA中票，右

3年AAA城投債，右0929OMO由1.7%降至1.5%14數(shù)據(jù)來源：Wind二永債偏離估值成交幅度或可視作收益率領(lǐng)先指標圖：

各類信用債估值偏離成交幅度與信用債收益率走勢1.501.601.701.801.902.002.102.20-30-25-20-15-10-50510152025-01-272025-02-062025-02-082025-02-112025-02-132025-02-172025-02-192025-02-212025-02-252025-02-272025-03-032025-03-052025-03-072025-03-112025-03-132025-03-172025-03-192025-03-212025-03-252025-03-272025-03-312025-04-022025-04-072025-04-092025-04-112025-04-152025-04-172025-04-212025-04-232025-04-252025-04-282025-04-302025-05-072025-05-092025-05-132025-05-152025-05-192025-05-212025-05-232025-05-272025-05-292025-06-032025-06-052025/6/92025/6/11%2.30bp20城投債成交偏離產(chǎn)業(yè)債成交偏離二永債成交偏離3年AAA中票，右3年AAA城投債，右3年AAA-二級債，右0508OMO由1.5%降至1.4%15數(shù)據(jù)來源：Wind圖：30年期國債期貨K線圖924后出現(xiàn)贖回壓力政策發(fā)力預期升溫交易貨幣寬松預期資金面緊平衡政策表述積極對等關(guān)稅超預期降息少+關(guān)稅緩和數(shù)據(jù)來源：Wind；數(shù)據(jù)統(tǒng)計截止日為2025/6/12圖：30分鐘K線圖走勢年初至今，K線呈上升收斂三角形態(tài)，整體仍處于多頭行情數(shù)據(jù)來源：Wind；數(shù)據(jù)統(tǒng)計截止日為2025/6/12圖：黃金分割線顯示當前或已到阻力位以4月以來的高低點來看，當前或已至黃金分割阻力位，后續(xù)關(guān)注能否有效突破120.54，若突破，則下一強阻力位或在121.13，對應年初以來上升三角形態(tài)的上軌。數(shù)據(jù)來源：Wind；數(shù)據(jù)統(tǒng)計截止日為2025/6/12日期國家操作內(nèi)容與降息幅度觸發(fā)因素2020/2/3中國7天逆回購中標利率為2.40%，較前值2.50%下降10bp為對沖公開市場逆回購到期和金融市場資金集中到期等因素的影響，維護公共衛(wèi)生事件防控特殊時期銀行體系流動性合理充裕2020/2/17中國開展中期借貸便利（MLF）操作2000億元，利率較上期下降10個基點為對沖央行逆回購到期等因素的影響，維護銀行體系流動性合理充裕2020/2/20中國1年期LPR下調(diào)10個基點，5年期以上LPR下調(diào)5個基點經(jīng)濟短期承壓，降低企業(yè)融資成本2020/3/3美國美聯(lián)儲大幅降息50個基點，將聯(lián)邦儲備基金利率目標區(qū)間降至1%-1.25%公共衛(wèi)生事件對經(jīng)濟構(gòu)成嚴重威脅，美股創(chuàng)2008年金融危機以來最大周跌幅2020/3/15美國美聯(lián)儲緊急降息100個基點至0%-0.25%，并啟動7000億美元量化寬松計劃公共衛(wèi)生事件在美國快速擴散，金融市場受到較大沖擊經(jīng)濟衰退風險加劇2020/3/30中國以利率招標方式開展了500億元7天期限逆回購操作，利率較上期下降20個基點加大逆周期調(diào)節(jié)力度，將銀行間利率調(diào)降傳導至實體經(jīng)濟，引導企業(yè)融資成本下降2020/4/15中國開展中期借貸便利(MLF)操作，操作金額為1000億元，利率為2.95%，較上期下降20BP加大逆周期調(diào)節(jié)力度，對沖經(jīng)濟下行壓力2020/4/20中國1年期LPR下調(diào)20個基點，5年期以上LPR下調(diào)10個基點公共衛(wèi)生事件對經(jīng)濟沖擊較大，1年LPR調(diào)降旨在支持中小企業(yè)復工復產(chǎn)；5年以上LPR調(diào)降意在支持房地產(chǎn)市場平穩(wěn)健康發(fā)展19數(shù)據(jù)來源：Wind，各典型策略：收益率測算2021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單位：bp信用策略配置倉位 流動性倉位票息收益本周資本利得收益綜合收益年初以來綜合收益近3個月綜合收益近6月綜合收益高等級短久期【1YAAA城投債*80%】3.90.44.35996112短久期下沉【1YAA-城投債*80%】4.3-3.60.783113125久期中性下沉【2YAA-城投債*80%】 3YAAA-銀行4.4-4.30.190146153城投小啞鈴【1YAA-城投債*40%】+【5YAAA城投債*40%】 二級資本債4.3-5.9-1.664153134拉久期下沉【3YAA-城投債*80%】 *20%4.8-6.8-2.0103172184高等級拉久期【5YAAA城投債*80%】4.3-8.3-4.044193143超長期城投【10YAAA城投債*80%】4.7-27.8-23.172224203高等級短久期【1YAAA產(chǎn)業(yè)債*80%】3.9-0.33.65998110短久期下沉【1YAA產(chǎn)業(yè)債*80%】4.10.44.571103119產(chǎn)業(yè)久期中性下沉【2YAA產(chǎn)業(yè)債*80%】 3YAAA-銀行4.2-0.14.172136134拉久期下沉【3YAA產(chǎn)業(yè)債*80%】 二級資本債4.3-3.50.763152128高等級拉久期【5YAAA產(chǎn)業(yè)債*80%】 *20%4.3-5.3-1.043203141超長期產(chǎn)業(yè)【10YAAA產(chǎn)業(yè)債*80%】4.6-13.6-9.066246182高等級短久期【1YAAA-二級資本債*50%】+【1YAAA-銀行永續(xù)債*50%】3.91.04.96386108短久期下沉【1YAA二級資本債*50%】+【1YAA銀行永續(xù)債*50%】4.01.05.07393117二永久期中性下沉【3YAA二級資本債*50%】+【3YAA銀行永續(xù)債*50%】 不設(shè)置4.3-0.24.169174147拉久期下沉【5YAA+二級資本債*50%】+【5YAA+銀行永續(xù)債*50%】4.4-2.81.67199166高等級拉久期【10YAAA-二級資本債*60%】+【5YAAA-銀行永續(xù)債*40%】4.5-12.2-7.7-18242180以2025/6/12收益率為基準計算持券1年的綜合收益，AAA-銀行永續(xù)債與AA+城投債性價比占優(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22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AAA11.730.981.731.731.731.731.731.7331.832.891.751.551.362.142.332.5251.934.721.681.300.922.442.823.20AA+11.780.981.781.781.781.781.781.7831.902.891.841.651.452.232.422.6252.014.711.801.421.042.562.943.32銀行二級債AAA-11.740.981.741.741.741.741.741.7431.832.891.711.511.322.092.292.4851.934.721.681.300.922.442.823.20AA+11.740.981.741.741.741.741.741.7431.852.891.751.561.362.142.332.5351.974.721.801.421.042.572.953.33銀行永續(xù)債AAA-11.740.981.741.741.741.741.741.7431.882.891.781.591.392.172.362.5651.994.711.791.411.032.552.933.32AA+11.750.981.751.751.751.751.751.7531.892.891.791.601.402.182.372.5752.034.711.911.531.152.673.053.43普通商金債AAA11.680.981.681.681.681.681.681.6831.742.901.581.381.191.972.162.3551.814.741.641.260.882.412.793.17AA+11.720.981.721.721.721.721.721.7231.802.891.701.511.322.092.292.4851.874.731.701.320.942.472.853.2323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(guān)鍵期限附近的活躍券，因此未計算綜合收益。）我們以津城建、鄂聯(lián)投、建發(fā)股份、冀中能源和河鋼集團活躍券作為樣本（根據(jù)1月經(jīng)紀商口徑成交筆數(shù)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(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MTN0070.62102480591.IB24津城建MTN0101.72102480810.IB24津城建MTN0112.75102482305.IB24津城建MTN0234.01163204.SH20津投064.73鄂聯(lián)投102381317.IB23鄂聯(lián)投MTN0020.99258005.SH25聯(lián)投021.79102581675.IB25鄂聯(lián)投MTN002A2.85102400819.IB24鄂聯(lián)投MTN0054.02102501267.IB25鄂聯(lián)投MTN001B4.78建發(fā)股份102100696.IB21建發(fā)地產(chǎn)MTN0020.84102480690.IB24建發(fā)地產(chǎn)MTN0021.73148234.SZ23建房F22.82冀中能源102383364.IB23冀中能源MTN012B0.51102400597.IB24冀中能源MTN002B1.60102581444.IB25冀中能源MTN003B2.84102400767.IB24冀中能源MTN009B3.96河鋼集團102381196.IB23河鋼集MTN0070.93102481549.IB24河鋼集MTN0051.85102580659.IB25河鋼集MTN0032.69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）11.810.621.811.811.811.811.811.8121.971.652.001.941.882.122.182.2532.182.592.362.202.032.692.863.0242.413.662.752.492.233.273.533.7952.494.252.442.071.713.173.543.90鄂聯(lián)投（城投）11.840.971.841.841.841.841.841.8422.131.732.322.222.132.512.612.7132.122.721.931.751.582.272.442.6242.243.702.312.031.762.853.123.3952.434.402.762.392.023.503.874.24建發(fā)股份（地產(chǎn)）12.230.832.232.232.232.232.232.2322.551.662.732.652.572.902.983.0632.742.632.902.732.563.233.393.56冀中能源（煤炭）12.040.502.042.042.042.042.042.0422.441.532.592.542.492.692.742.7932.842.633.313.163.013.623.773.9243.113.633.553.283.024.074.344.60河鋼集團（鋼鐵）11.890.921.891.891.891.891.891.8922.151.782.302.212.122.482.582.6732.262.562.272.091.912.622.802.98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(guān)鍵期限附近的活躍券，因此未計算綜合收益。）24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)紀商口徑成交筆數(shù)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(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010.862228038.IB22民生銀行永續(xù)債012.01232400014.IB24民生銀行二級資本債013.88232580006.IB25民生銀行二級資本債014.87渤海銀行2128001.IB21渤海銀行二級0.61222500006.IB25渤海銀行綠債012.72232400013.IB24渤海銀行二級資本債013.86242400026.IB24渤海銀行永續(xù)債014.27工商銀行2128021.IB21工商銀行永續(xù)債010.992228024.IB22工商銀行二級031.84232380036.IB23工行二級資本債02A3.22242480007.IB24工行永續(xù)債014.08232580001.IB25工行二級資本債01BC4.72浦發(fā)銀行2328007.IB23浦發(fā)銀行綠色金融債010.79212480008.IB24浦發(fā)銀行債021.792528007.IB25浦發(fā)銀行012.88232480052.IB24浦發(fā)銀行二級資本債01A4.182028035.IB20浦發(fā)銀行二級045.27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11.820.841.821.821.821.821.821.8222.041.862.152.061.982.322.402.4952.314.542.331.971.603.073.433.80渤海銀行11.840.601.841.841.841.841.841.8442.333.623.363.102.843.884.144.4152.483.952.662.301.933.383.744.11工商銀行11.740.971.741.741.741.741.741.7421.791.771.741.641.541.932.032.1331.842.991.761.581.412.122.292.4741.953.791.971.671.372.572.873.1751.924.441.451.070.692.202.582.96浦發(fā)銀行11.430.791.431.431.431.431.431.4321.721.741.861.791.712.022.102.1831.752.781.621.441.271.962.142.3141.923.902.141.861.582.692.973.2551.984.611.841.451.062.623.013.40信用債板塊與擇券觀察25數(shù)據(jù)來源：Wind；數(shù)據(jù)統(tǒng)計截止日為2025/6/12，注：收益率變化指周度變化，較上周四收盤變化板塊 主體名稱隱含評級存續(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6542.04-42.77-42.88-121.95-22.43-32.74-96821.96-22.31-82.62-89961.8602.