信用：短端难空长端高估

目录利差还有没有压降空间？ 3信用利差什么时候上行？ 6如何选择资产？ 8技术策略跟踪与投资建议 9风险提示 图表目录图1：本周债市益率化 3图2：本周债市用利变动 3图3：资金利率 3图4：AA(2)城投债收益走势 3图5：信用债收率变（2026/4/10vs4图6：信用利差动（2026/4/10vs4图7：近2年信用债收率和信用利差分位数 4图8：银行二级本债去2年信用利差计 5图9：存单与资金利率价 5图10：中票与存单比价 5图存单与资金利比价 6图12：信用债期限利差利率债期限利差走势 6图13：信用利差走势 7图14：2010年以来信债主要调整统计 7图15：中票与长利率债价 8图16：中票收益率下至2.20%附近 8图17：静态持有3个月，投资回报 8图18：静态持有3个月，曲线上移10bp，投资回报 8图19：静态持有3个月，曲线上移20bp，投资回报 9图20：静态持有6个月，曲线上移20bp，投资回报 9图21：5年二债与中票比价 9图22：二债与中票比价落 9图23：超长信用债日度易量 10图24：不同机构对超长用债的周度净买入亿） 10图25：收益率突破下轨（%） 图26：收益率突破下轨（%） 利差还有没有压降空间？34单位：bp收益率变动银行二级债(AAA-)1.5银行二级债(AA+)银行二级债(AA)银行二级债(AA银行永续债银行永银行图1：本周债市益率化 图单位：bp收益率变动银行二级债(AAA-)1.5银行二级债(AA+)银行二级债(AA)银行二级债(AA银行永续债银行永银行1Y2Y3Y1Y2Y3Y4Y5Y7Y10Y20Y国债1.80.8-0.1-0.7-5国开债1.61.0-0.8-3.4财政部-地方债-1.0-1.00.52.0-2.0-2中短期票据(AAA)-2.5-2.3-2.6-2.5-2.6-1.5中短期票据(AA+)中短期票据(AA)-2.5-3.3-3.1-3.5-3.6-1.5-2.3-2.6-3.5-4.6-中短期票据(AA-)2.5-2.3-3.6-2.5城投债(AAA)-2.4-2.1-1.7-2.城投债(AA+)-2.4-3.3-1.7城投债(AA)-2.4-3.1-1城投债(AA(2))-2.4-1.1城投债(AA-)-3.0-单位：bp利差变动(vs国开)1Y2Y3Y4Y5Y7Y10Y20Y30Y财政部-地方-1.6-0.5-4.0-1.11.0-1.21.63.7-4.1-3.8-5.6-4.1-3.7-0.7-0.5中短期票据-4.1-4.8-6.1-5.1-4.7-1.7-1.5中短期票据(AA)-3.1-3.8-5.6-5.1-5.7-1.7-1.5中短期票据(AA-)0.9-3.8-6.6-4.1-5.7城投债(AAA)-4.0-3.6-4.7-4.1-2.0-3.8-0.4城投债(AA+)-4.0-4.8-4.7-5.1-2.0-2.8-0.4城投债(AA)-4.0-4.6-4.7-4.1-1.0-2.80.6城投债(AA(2))-4.0-2.6-5.7-8.1-6.0-2.80.6城投债(AA-)-4.6-1.6-2.7-6.1-4.0银行二级债(AAA-)-0.1-0.7-2.1-2.6-3.3-3.6-2.3银行二级债(AA+)-0.2-0.7-1.9-1.9-4.3-3.0-1.5银行二级债(AA)-0.2-0.7-2.9-1.9-5.3-4.0-2.5银行二级债(AA-)-0.2-0.7-2.9-3.9-7.3-4.0-2.5银行永续债(AAA-)0.3-0.7-1.9-3.5-3.2-3.6-2.3银行永续债(AA+)0.3-0.7-1.9-3.5-3.2-3.6-2.3银行永续债(AA)-0.7-0.7-2.9-4.5-4.2-4.6-2.3银行永续债(AA-)-0.7-1.7-2.9-6.5-4.2-4.6-2.3东券 东券图3：资金利率 图4：AA(2)城投债收益走势 东券 东券利差还有没有压降的空间？我们将当前的收益率与信用利差与2025年11月的低点进行比较。比较可以发现，205.025.1的水平。515~20bp图5：信用债收率变（2026/4/10vs图6：信用利差动（2026/4/10vs单位：bp财政部-地方债中短期票据中短期票据(AA+)中短期票据(AA)

利差变动(vs国开)1Y 2Y 3Y 4Y 5Y 7Y 10Y20Y0.5 -2.5 -3.8 -1.81.8 2.1-1.22.8 -3.1 -0.2 -1.6 -2.74.8-90.8 -3.1 -1.7 -1.6 -0.8 2.82.8 -5.1-1.22.4-0.8中短期票据(AA-)-5.2-12.1-10.2-13.6-11.8城投债(AAA)2.5-4.0-1.9-3.5城投债(AA+)2.0-4.7-0.9-0.城投债(AA)1.9-6.5-3.9城投债(AA(2))2.1-5.6-6城投债(AA-)-4.1-6.6银行二级债(AAA-)4.0-银行二级债(AA+)3.7银行二级债(AA)银行二级债(AA-)银行永续债(A银行永续债银行永银东券 东券50%2年的最低点20%20%10%~30%品种收益率分位数1Y 2Y 3Y5Y证券公司普通债0.2%0.2%品种收益率分位数1Y 2Y 3Y5Y证券公司普通债0.2%0.2%0.2%-0.0%0.0% 0.0%-0.8%0.0% 0.0%-5.8%3.6% 5.0%-证券公司次级债-0.2%0.2%--0.6% 0.4%--0.8%0.0%--3.8%1.4%-消费金融ABS0.2%0.2%0.2%0.2%0.0%0.0%0.0%0.0%1.0%0.0%0.0%0.0%2.2%0.2% 0.2%0.0%企业资产ABS%0.0%0.4%0.0%0.0%0.0%1.4%1.4%1.0%0.0%3.2%8.4%2.6%0.0%AAAAA+AAAA-AAAAA+AAAA-AAAAA+AAAA-AAAAA+AAAA-短融中票0.2%0.0%0.4%0.8%0.8%0.0%0.0%0.0%1.0%0.0%0.0%0.0%1.0%0.4%0.0%0.0%企业债0.0%0.0%0.0%0.0%1.0%0.0%0.0%0.0%1.2%0.6%0.0%0.0%0.8%1.2%0.0%0.0%城投债0.0%0.0%0.0%0.0%0.2%0.2%0.2%0.4%0.4%0.0%0.2%0.6%1.2%1.4%2.2%0.0%商业银行普通债0.8%0.8%0.8%0.8%1.2%0.6%0.6%0.6%1.8%0.6%0.6%0.6%0.0%0.0%0.0%0.0%二级资本债0.8%0.8%0.8%0.8%1.4%1.2%1.0%0.8%6.4%3.2%0.8%0.8%28.0%22.8%5.6%0.0%银行永续债0.8%0.8%0.8%0.8%0.8%1.4%0.8%0.6%3.2%5.0%0.8%0.8%23.8%21.2%9.0%0.4%个人住房ABS---- --1.8%- --4.0%-- -次级可续期产业债-0.0% 0.0%--0.0% 0.0%--0.0% 0.0%--25.2%8.2%非公开发行城投债0.0%0.0% 0.0%0.0%0.2%0.2%0.6%0.0%4.8%0.4%0.0%0.0%16.4%4.0%0.2%0.0%可续期产业债0.2%0.2% 0.2%-0.0%0.0% 0.0%-1.6%0.0% 0.0%-4.8%3.6%0.0% -保险公司资本补充债-0.0% 0.0%0.0%-0.6% 0.6%0.6%-0.6% 0.6%0.6%-22.8%14.4%11.6%品种 信用利差分位数1Y2Y3Y5YAAAAA+AAAA-AAAAA+AAAA-AAAAA+AAAA-AAAAA+AAAA-短融中票16.2%9.4%9.0%10.0%0.8%0.4%0.2%0.2%0.2%0.2%4.2%1.8%1.0%2.0%14.6%0.6%企业债16.6%8.2%4.2%0.2%5.0%0.2%0.2%0.2%9.8%9.2%0.6%0.2%2.0%0.2%13.2%0.2%城投债11.2%7.8%5.2%1.2%0.4%0.2%0.2%0.4%0.4%0.2%0.4%3.0%2.2%0.8%18.2%3.8%商业银行普通债23.0%22.8%17.8%13.6%1.0%0.8%0.6%0.6%0.2%0.2%0.4%0.4%0.4%0.0%0.0%0.2%二级资本债6%0.8%8.0%8.0%8.8%4.4%24.8%16.2%14.2%16.2%38.4%29.8%16.2%15.6%银行永续债6%5.8%5.2%5.2%5.0%2.4%13.2%20.0%17.0%7.2%22.4%28.4%15.0%9.4%证券公司普通债13.4%9.8%5.2%-1.2%0.2% 0.2%-2.0%4.8%9.4%-4.6%11.4%17.8%-证券公司次级债-6.0%5.8%--0.4%2.2%--4.0%7.0%--10.8%12.0%-消费金融ABS20.0%20.2%20.2%13.4%0.2%0.2%0.2%0.2%0.2%0.2%0.2%0.2%1.4%1.0% 1.0%0.6%企业资产ABS20.0%18.0%17.0%2.4%0.2%2.6%0.2%0.2%6.0%12.6%3.6%0.2%3.4%4.4%6.6%0.2%个人住房ABS22.8%-------2.2%---2.8%---次级可续期产业债-8%15%--0%0%--5%7%--38%17%非公开发行城投债12%0%0%30%17%10%2%37%20%15%4%可续期产业债12%0%-4%1%4%-8%13%6%-保险公司资本补充债-0%0%0%-1%1%1%-3%3%9%-30%26%18%，东北证券23Y-6bp3Y5Y15bp10bp空间。图8：银行二级资本债过去2年信用利差统计单位：BP1Y3Y5Y等级AAAAA+AAAA-AAAAA+AAAA-AAAAA+2026-04-1012.713.418.423.421.322.128.147.133.最小值7.58.513.020.715.918.623.71/4分位数15.016.420.835.221.423.8中位数26.126.732.246.124.83/4分位数33.434.539.7最大值56.157.3现值-最小值5.2现值分，东北证券是不是当前信用利差相比历史仍不是最低，就仍有压降空间？我们进一步从由短及长的信用定价进行分析。2025410日，存单与DR001AAA中票与R001、DR00126.4bp32.0bp较有限。图9：存单与资金利率价 图10：中票与存单比价 东券 东券图存单与资金利比价 图12：信用债期限利差利率债期限利差走势 东券 东券信用利差什么时候上行？2005202021020227~10月，20247~8月，202572025历史上，信用利差走低之后，利差为何上行？202023LPR15MLF20206~82永煤事件冲击2022年7月，在全国疫情反复、资产荒持续演绎的情况下，信用利差下行阶段性低832024年6月，在化债政策、资产荒行情推动下，信用利差下行至阶段性低点，并在682824202577月上旬反内卷政策、82025202510图13：信用利差走势，东北证券20102025（）2~3图14：2010年以来信用债主要调整统计发生日期信用利差低点信用利差高点变化幅度（BP）区间交易日（天）主要原因2025.11公募基金赎回新规相关消息，权益市场回暖2025.7~2025.97月反内卷，8月股市超预期，9月公募赎回新规2024/8/20-2024/10/80.29%0.84%5531理财预防性赎回，924政策股市大涨2022/11/10-2022/12/230.54%1.66%11232疫情防控优化、地产支持政策出台、理财赎回踩踏2020/11/10-2020/11/240.66%0.96%3011永煤超预期违约2020/03/09-2020/04/070.64%1.31%6721新冠疫情发生、美元流动性危机2018/04/27-2018/06/120.94%1.40%4631资管新规正式落地2017/04/131.22%4522银监会“三三四十”整治活动2016/11/091.01%5130“特朗普交易”行情、货币基金赎回潮、国海证券萝卜章事件2014/12/08-2014/12/241.14%2.14%9913中证登黑天鹅事件2013/11/01-2013/11/291.38%1.92%5421资金面持续紧张2011/07/01-2011/09/365云投集团重组事件东券 ：2025年次幅度速相较，单一素发表中有统计利高点幅；格中以3年AA城债信利进统。如何选择资产？10AAA（3b024年7图15：中票与长利率债价 图16：中票收益率下至2.20%附近东券 东券10bp464+2图17：静态持有3个月，投资回报 图静态持有3个月曲线上移投资回报关键年期1Y2Y3Y关键年期1Y2Y3Y4Y5Y7Y10Y15Y30Y国债0.32%0.30.46%0.49%0.52%0.55%0.61%国开债0.47%0.46%0.54%0.49%中短期票据(AA0.48%0.48%0.59%中短期票据(AA+)0.67%中短期票据(AA)0.49%0.57%0.65%0.64%0.78%0.72%中短期票据(AA-)0.62%0.60%0.77%0.80%0.89%城投债(AAA)0.46%0.47%0.49%0.70%0.63%城投债(AA+)0.78%0.71%城投债(AA)0.64%0.66%0.82%0.77%城投债(AA(2))0.71%0.72%城投债(AA-)0.63%0.63%0.97%银行二级资本债(AAA-)银行二级资本债(AA+)银行二级资本债(AA)0.68%0.67%银行二级资本债(AA-)0.57%0.63%0.75%0.67%银行永续(AAA-)0.44银行永续(AA+)银行永续(AA)0.51%0.57%0.67%0.66%0.65%0.79%银行永续(AA-)关键年期1Y2Y3Y4Y5Y7Y10Y15Y30Y国债0.20%0.09%0.10%-0.11%-0.09%-0.34%-0.39%-0.56%-0.51%-1.50%0.27%0.14%0.11%0.05%0.07%-0.27%中短期票据(AA+)0.11%0.10%-0.18%-0.12%中短期票据(AA)0.30%0.29%0.19%0.16%中短期票据(AA-)0.55%0.43%0.50%0.45%0.45%城投债(AAA)0.13%0.10%0.07%-0.23%-0.15%城投债(AA+)0.18%0.08%0.16%城投债(AA)0.28%0.21%0.21%-0.08%城投债(AA(2))0.36%0.27%城投债(AA-)0.34%0.46%0.37%0.41%0.52%银行二级资本债(AAA-)-0.19%-0.21%-0.14%银行二级资本债(AA+)银行二级资本债(AA)0.34%0.34%0.27%0.32%银行二级资本债(AA-)0.35%0.39%0.37%0.40%0.23%银行永续(AAA-)0.32%-0.01%-0.15%-0.13%银行永续(AA+)银行永续(AA)0.21%-0.06%银行永续(AA-)东券 东券图静态持有3个月曲线上移投资回报 图静态持有6个月曲线上移投资回报关键年期1Y2Y3Y4Y5Y7Y10Y15Y30Y国债0.52%0.45%0.22%0.22%-0.19%-0.08%-0.64%-0.73%-1.07%-0.97%-2.93%国开债0.63%0.57%0.33%0.26%中短期票据(AAA)0.14%-0.50%中短期票据(AA+)0.26%-0.33%-0.21%中短期票据(AA)0.74%0.66%0.63%0.61%0.41%0.35%中短期票据(AA-)0.98%1.03%0.92%0.94%城投债(AAA)0.31%0.25%0.19%-0.42%-0.26%0.41%0.21%0.35%0.60%0.46%0.44%-0.11%城投债(AA(2))0.75%0.57%城投债(AA-)0.73%0.94%0.76%0.84%1.07%银行二级资本债(AAA-)-0.33%-0.39%-0.24%银行二级资本债(AA+)银行二级资本债(AA)0.57%0.68%银行二级资本债(AA-)0.82%0.77%0.82%0.48%银行永续(AAA-)-0.26%-0.21%银行永续(AA+)银行永续(AA)0.45%-0.08%银行永续(AA-)0.90%0.80%0.74%东券 东券技术策略跟踪与投资建议技术策略1：二永债与普信债比价跟踪当周5yAAA-二债与5yAAA中票比价周中一度达到15.2bp17.4bp，20251013bp图21：5年二债与中票比价 图22：二债与中票比价落 东券 东券技术策略2：超长信用债策略跟踪近期市场交易情绪变化并不明显，但从收益率走势来看，目前10年AAA和AA+收益率走势均突破2倍标准差下轨线，建议谨慎看待。图23：超长信用债日度交易量交易量（亿元）中票交易量（亿元）中票(AAA):10年160

2.72.6140 2.5120 2.4100 2.380 2.260 2.140 2.020 1.90 1.8，东北证券图24：不同机构对超长信用债的周度净买入（亿元）7.791.841.757.791.841.756.661.97-0.99.06-1904-1204-0614202618.250.11-2.1425.92.59-40.27-1.27-2704-0503-3013202614.63-0.91-0.6433.62.77003-2312202626.93-0.132.5611.33.12003-1611202630.750.37-21.4624.69.32-7-4.68.35-2203-1503-0910202632.84-2.490.6213.541.16-3.87.76-4103-0803-029202634.30-0.10-10.177.300.24-10.89.93-2103-0102-238202631.270345.12.49.43-4-4.5302-1502-09620268.93-6.3515.57.24-52.56.16-2802-0802-025202621.37-12.3216.329.55-1-1.97.4584202627.080.6511.3714.550.73-2.48.9213202632.77-1.81-14.9311.59.84-1-0.14.67-2501-1801-12220268-1.07-21.1310.29.44-41.32.10-3101-1101-041202622.87-0.61-1.36-5.098.53-1-0.513.2212-3112-2953202514.691.371.441.94.91-0-5.0612-2812-2252202515.90-11.73-17.3314.540.82-0.89-1.3812-2112-155120254.700.17-4.0816.420.911-0.24.93-2712-1412-085020253.87-4.54-19.7231.60.50-31.3912-0712-0149202522.612.69-30.9019.58.49-9-0.31-4.2011-3011-2448202521.191.01-5.3923.60.32-4-4.41.66-3111-2311-1747202512.940.84-13.4723.16.70-8-2.9111-1611-1046202524.76-2.917439.12.98.08-90.54-1.90-5411-0911-0345202523.52-1.5613.1118.113.031-8.57.63-5711-0210-2744202519.714.72-7.8115.59.64-1-5.39-25.1510-2610-20432025-13.496.75-14.9222.77.16-4.864-1.8810-1910-134220251.461.89-5.303.21.25-21.00-0.0110-1210-06412025-3.512.22-4.519.70.68-2-4.293.08107.059.38-31.1121.61.94-5-0.9109-2809-223920256.554.86-29.3822.04.46-6-0.993.3809-2109-15382025-1.056-39.3220.31.70-2.8243.2809-1409-083720253.998.92-3.555.20.51-4-1.6809-0709-013620253.463-21.1526.21.18-7-4.6908-3108-2535202518.102.54-38.237.973.99-80.9408-2408-183420258.360.34-28.509.0335.95-12.78-6.0108-1708-1133202513.634.756.773.2546.67-3-5.24-26.4608-1008-0432202510.466.65-36.673253.4.091-3.88.96-4308-0307-2831202520.