固定收益策略报告：超长端增量买盘何处寻

1.策略思考：超长端增量买盘何处寻？1.策略思考：超长端增量买盘何处寻？PMI1.701.703101.2bp，302.2030420-30Y5002024400图表1：今年以来交易盘对20-30Y国债买入量已经不小 图表2：今年以来交易盘对久资产买入规模不小0

基金对20-30Y国债老债累计买入量，亿元2021 2022 20232024 2025 2026

0week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21

基金对>10Y各类债券累计买入量，亿元2021 2022 20232024 2025 2026外交心iData据库 外交心iData据库与此同时，基金久期和市场综合情绪指标也在同步升温。截至上周五，基金久期已上行至3.0，于去3年85分附；绪标升至75位位相拥挤间。图表3：基金久期与分歧度入高久期+低分歧”状态 图表4：债市微观交易情绪标于70分位附近久期所处过去3久期所处过去3年分位值

高久期，低分歧20年Q23年Q324年Q3

90%

微观交易热力值 10Y国债利率,右轴序，%1.701.7225-0780%最新60%40%20%0%

22年Q4

25-01

低久期，高分歧19年Q421年Q426-0120年Q4

80%70%60%50%40%30%20%

1.741.761.781.801.821.841.861.881.900% 20% 40% 60% 80% 100% 120%分歧度所处过去3年分位值

26-01 26-02 26-03 26-04 26-05 26-0620-30Y8112025702021-2024图表5：保险今年以来大幅出长国债老债 图表6：保险对超长债买入与率本身关系0

保险对20-30Y国债老债累计买入量，亿元2021 2022 20232024 2025 2026

0

保险买入20-30Y国债老债规模，亿元30年利率，右轴，%

3.53.33.12.92.72.52.32.11.91.71.5week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week222022/01 2023/01 2024/01 2025/01 2026/01week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22外交心iData据库 外交心iData据库图表7：保险今年以来对各种度买入规模，亿 图表8：地方债利差还有吸力国债-新债国债-老债政策性金融债-新政策性金融债-老债中期票据 短期/超短期融券企业债 地方政府债同业存单资产支持证券其他500.0026-01-0326-01-1026-01-0326-01-1026-01-1726-01-2426-01-3126-02-0726-02-1426-02-2126-02-2826-03-0726-03-1426-03-2126-03-2826-04-0426-04-1126-04-1826-04-2526-05-0226-05-0926-05-1626-05-2326-05-30

0

地方债买入-国债买入（20-30Y），亿元30Y地方债利差，BP，右轴30252015105-2022/01 2023/01 2024/01 2025/01 2026/01外交心iData据库 外交心iData据库1-320-30Y500420-30Y图表9：大行今年以来参与长债的节奏 图表10：大行买入超长债行与30Y国债利率0week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22

大行对20-30Y国债老债累计买入量，亿元2021 2022 20232024 2025 2026

大行买入20-30Y国债老债，累计值，亿元30年利率，右轴，%

2.452.402.352.302.252.202.152.102026-012026-022026-032026-042026-05外交心iData据库 外交心iData据库图表11：中小行今年积极配国老债 图表12：中小行买入超长债为与30Y国债利率0

中小行对20-30Y国债老债累计买入量，亿元2021 2022 20232024 2025 2026

中小行买入20-30Y国债老债，累计值，亿元30年利率，右轴，%

2.452.402.352.302.252.202.15week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22-200.020026-012026-022026-032026-042026-05week0week1week2week3week4week5week6week7week8week9week10week11week12week13week14week15week16week17week18week19week20week21week22

2.10外交心iData据库 外交心iData据库20-30Y20-30Y1-34522110722150722629089682750003M3M3000714DR0011bp1.33，DR007DR0142bp、3bp1.36、1.35，714天金幅挂具到周走来，5末DR001收于1.33，6并未显下1.321.34DR0071.381.38DR0141.381.34多数限债益均幅上1期债益上行2bp至1.18期国收益率行1bp至1.72期利由55bp收至54bp此1015年国债2bp，7、、30债市震荡走弱。本周30Y国债收益率震荡在1.29-2.2区间，10Y国债收益率运行在能破1.7口周并多增消最的可能逆回6月1日5月1PI30Y.22.185，10Y1.70410Y30Y0.b1.4bp至1.7、2.96月2日20Y债益均平前的172.1周三6月3日，日行逆购操7202487后日市调整30Y债益上行0.9bp1.4bp至1.712.21，6月4日，情修30Y下行0.5bp1.4bp至1.712.19周（6月5日今日50003M30007Y10Y10Y30Y1.3bp至1.722.21。图表13：短端领跌，变化（右轴，BP） 2026/6/5 2026/5/292.30 42.101.90 21.701.50 01.301.10 -21Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y基金进入“高久期+低分歧”状态。6月1日至6月5日，公募基金久期中位值大幅回升0.083.00850.020.411图表14：公募基金久期大幅升年 图表15：中长期纯债基金久与歧度四象限4.0

120%

高久期，低分歧3.53.0

100%

年Q225-07

23年Q3 24年Q322年Q425-012.52.01.51.00.50.0

80%久期所处过去3久期所处过去3年分位值60%40%20%0%

低久期，高分歧19年Q421年Q426-01年Q416/1117/0517/1116/1117/0517/1118/0518/1119/0519/1120/0520/1121/0521/1122/0522/1123/0523/1124/0524/1125/0525/1126/05分歧度所处过去3年分位值本周（5月316月6日自占比5/10；较上周的变化有：建材综合指数、美元指数发出“利好”信号。.97.4为11.17.③BC7.156.96MM53.5前值-498，PMI-239-2.8MI167204.930.2165153995914，14.1图表16：利率同步指标变动，3370020141年期普通国债1500，203034085055中20Y超长特国的边际倍数由5月的1.18大幅上升至18.74.图表17：周内完成1Y、20Y超长特国、30Y超长特国发行2026年二季度关键期限国债实际发行规模与预测规模，亿预测 实际2026年2026年4月2026年5月2026年6月233储蓄5储蓄75130超长特国20超长特国50超长特国23储蓄5储蓄120超长特国71030超长特国5Y31030超长特国20超长特国13储蓄5储蓄107Y注资特国5330超长特国2（2026/5/30-2026/6/5，2026W22，下同）国债（2026/5/23-2026/5/29,2026W2121913091600259124912025本周净融资规模大幅上升4482亿。图表18：本周国债净融资规明上升 图表19：本周国债发行规模环均上升0

国债周度发行、净融资规模，亿W20W212026W22 W20W212025W2210Y发行 超长发行 特国发W20W212026W22 W20W212025W22

0

国债周度发行规模，亿2024 2025 2026656.722.622.822014104233760亿。融进方，年以国净资度39，上的35幅。图表20：今年以来特国发行显慢 图表21：本周国债净融资进环小幅上升4个百分点2024年、2025年、2026年同期国债发行及净融资规模，亿2026/1/12026/6/5 2025/1/12025/6/5 2024/1/12024/6/50

国债周度净融资进度，%2024 2025 2026合发行 到期 净资10Y发行超发行特国发行本周地方债发行规模回落。周度来看，本周地方债发行2010亿、较上周环比大幅回落21758152252885708460亿、1222025938图表22：本周各类地方债发规均下降 图表23：本周地方债发行规环、同比均明回落W52W52

各类地方债周度发行规模，亿W20W212026W22 W20W212025W22新增一般 新增专项 普通再融特殊再融资 合计发行 合计净融W20W212026W22 W20W212025W22

0

地方债合计周度发行规模，亿2024 2025 2026654.923.44分类别来看，仅普通再融资发行规模较去年同期上升7873亿，特殊再融资、新增专项、新增一般发行规模分别较去年同期下降1267亿、1454亿、167亿。图表24：今年以来仅普通再融资发行规模高于去年同期当年及往年同期累计发行/净融资规模，亿2026/1/12026/6/5 2025/1/12025/6/5 2024/1/12024/6/56000050000400003000020000100000合计发行

合计净融资

新增一般

新增专项

普通再融资 特再资注：除了净融资，其余全是发行口径3171431343030531519年，新增一般债发行期限则基本持平于10年。图表25：本周新增专项债发期大幅拉长至30年 图表26：本周地方债加权平发期限同环比均拉长各类地方债加权平均发行期限，年新增一般 新增专项 普通再融特殊再融资 合计W20W21W20W212026W22 W20W212025W22302520151050

地方债合计加权平均发行期限，年2024 2025 20262520151050651616行期限均小幅上升1年，新增一般、特殊再融资加权平均发行期限均持平去年同期。图表27：今年以来地方债加权平均发行期限持平于去年同期当年及往年同期累计加权平均发行期限，年2026/1/12026/6/5

2025/1/1

2024/1/12024/6/52520151050合计 新一般

新增专项

再融资

特殊再融资10Y301.0822此例低于去期的23；15、20年方债计行模1.29亿，今2633101.4发规的为29于年期24占5年及7地债计行1.0120图表28：今年仅10Y地方债发行规模较去年同期上升不同期限地方债发行规模（亿）及发行占比（%）合计 发行占比0

2026 2025 2026 2025 2026 2025 2026 2025 2026 20251Y/2Y/3Y 5Y/7Y 10Y 15Y/20Y 30Y2026 2025 2026 2025 2026 2025 2026 2025 2026 20251Y/2Y/3Y 5Y/7Y 10Y 15Y/20Y 30Ybp2b，1bp2bp。图表29：本周新增一般、普再资债发行利差走阔 图表30：本周地方债发行利环持平，同比走阔20(2)(4)(6)(8)

各类地方债加权平均发行利差，bpW20W212026W22 W20W212025