超長期限信用債投資指南-20240229-華安證券

華安研究?

拓展投資價(jià)值2證券研究報(bào)告 2超長期信用債，是什么？為什么？誰在買？跌幅大？拋不掉？無信用風(fēng)險(xiǎn)？對(duì)超長期信用債的三個(gè)誤解策略橫比，超長期信用債對(duì)比下沉債、中長債時(shí)移事異，極致平坦化的曲線難以套用歷史經(jīng)驗(yàn)總結(jié)歸納，超長期信用債策略賺什么錢？擔(dān)什么風(fēng)險(xiǎn)？敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所華安研究?

拓展投資價(jià)值證券研究報(bào)告 3超長期限信用債是什么？1448只超長期限信用債，目前存量520只我們將剩余期限在7年以上的信用債稱為超長期限信用債，目前存量520只，其中公司債238只，中票160只，企業(yè)債114只，PPN8只；379只債項(xiàng)評(píng)級(jí)AAA、33只AA+。超長期限信用債結(jié)構(gòu)（只）超長信用債存量超長信用債（剩余期限>7Y）發(fā)行方式公募 私募是否含權(quán)含權(quán) 不含權(quán)發(fā)行方式公募 私募是否含權(quán)含權(quán) 不含權(quán)企業(yè)債公司債中期票據(jù)定向工具66736331403259013415 284137 28592 22212 1企業(yè)債公司債中期票據(jù)定向工具11219616002420886 2888 15026 1347 1是否擔(dān)保有擔(dān)保 無擔(dān)保利率類型固定利率

浮動(dòng)利率

累進(jìn)利率是否擔(dān)保有擔(dān)保 無擔(dān)保利率類型固定利率

浮動(dòng)利率

累進(jìn)利率企業(yè)債公司債中期票據(jù)定向工具32687683733353085382 25284 1226 01 02921378812企業(yè)債公司債中期票據(jù)定向工具82925106209158328 0148 0134 01 08690267AAAAA+最新主體評(píng)級(jí)AA AA以下無評(píng)級(jí)AAAAA+最新主體評(píng)級(jí)AA AA以下無評(píng)級(jí)企業(yè)債公司債中期票據(jù)定向工具44235429431172915598 2428 63 12 018513企業(yè)債公司債中期票據(jù)定向工具9119515612022222 017 01 02 01413AAAAA+最新債項(xiàng)評(píng)級(jí)AA AA以下無評(píng)級(jí)AAAAA+最新債項(xiàng)評(píng)級(jí)AA AA以下無評(píng)級(jí)企業(yè)債公司債中期票據(jù)定向工具51332725001151415262 815 30 10 01634811企業(yè)債公司債中期票據(jù)定向工具9317211402110020 07 00 00 0049466超長期限信用債品種結(jié)構(gòu)（含已到期）資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所華安研究?

拓展投資價(jià)值證券研究報(bào)告 4超長期限信用債，為什么備受關(guān)注？尋找收益，等級(jí)利差vs期限利差從利差分位數(shù)來看，超長信用債并沒有性價(jià)比，市場對(duì)超長端的關(guān)注是建立在絕對(duì)收益視角的。供給增加，交易所企業(yè)債啟航近期包括中國誠通在內(nèi)的多家主體發(fā)行20Y期限信用債，引起市場關(guān)注。替代稀缺，非債券類固收產(chǎn)品萎縮，協(xié)定存款、非標(biāo)產(chǎn)品收縮從去年年底的保險(xiǎn)配債來看，導(dǎo)致配債力度加大的并非保費(fèi)增長，而是到期資產(chǎn)在配置。分期限、分等級(jí)看信用債收益率和信用利差（Y、BP、%）隱含評(píng)級(jí)

債券期限

收益率分位數(shù)

收益率

隱含評(píng)級(jí)

債券期限

利差分位數(shù)資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所利差3.551693.7420153.54016 5%10

5%92.02100%0%0%3.435490.240%3.435290.15983.412415

8%20

2%7 5%87.063.390487.02763.3872985%5%84.933.191654%66.5420153.179763.6103.0721189%95%58.223.071865%57.95983.0497%3.0315343%57.5155.8763.0293105%55.682.9664157%542.8575AAAAAAAAAAAAAAAAAAAA+AA+AAAAAA+AA+AA+203%54.254.152.841575%20152.83AA+AA+95%51.1750.682.807356%532.771210%50.6348.92102.7585%48.592.74971100%48.15982.738638%2.727213%42.9540.67762.72173%2.701440.1937.2452.67345313%16%32.8722.6491235%2.6254430.7229.69342.596467%9%22.5666105%30%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%0%2.5246727.1923.4820.721%2.485157%8%120%2.4671205%3%2.4312AAAAAAAAAAAAAAAA+AA+AA+AA+AA+AA+AA+AAAAAAAAAAAA+AAAAAAAAAAAAAAAAAAA+AAAAAAA+AAAAA+AAAAAAAAAA+AAA112%2.3305AA+AAAA+AAAAA+AA+AA+AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA988%8%19.2319.1418.4717.55華安研究?

拓展投資價(jià)值證券研究報(bào)告 5超長期限信用債，誰在配置？托管x現(xiàn)券數(shù)據(jù)雙視角從托管企業(yè)債來看，廣義基金是最大變量，券商和銀行自營基本一致，保險(xiǎn)相對(duì)最穩(wěn)定。從現(xiàn)券交易超長期信用債來看，7-10買入主力是基金和保險(xiǎn)，10-15主力是基金和券商自營，15-20主力是券商和保險(xiǎn)。2021年-2023年超長中票、企業(yè)債現(xiàn)券凈買入額（億元）票據(jù)7-10Y202120222023202120222023平均平均平均機(jī)構(gòu)類型中期票據(jù)中期票據(jù)中期票據(jù)企業(yè)債企業(yè)債企業(yè)債中期票據(jù)企業(yè)債全部基金公司及產(chǎn)品240.2314.8315.0459.1228.365.7990.0331.0941.39保險(xiǎn)公司70.8262.5031.4023.1119.9418.4254.9120.4931.09農(nóng)村金融機(jī)構(gòu)6.234.355.010.5214.90(1.65)5.204.596.15其他產(chǎn)品類(92.19)27.1322.4863.4212.8815.05(14.19)30.454.58其他10.250.00(2.46)1.220.00(0.65)2.600.190.65外資銀行0.000.000.000.000.000.000.000.000.00理財(cái)類產(chǎn)品0.000.000.000.000.000.000.000.000.00貨幣市場基金0.000.000.000.000.000.000.000.000.00理財(cái)子公司及理財(cái)類產(chǎn)品(20.45)(24.64)(7.95)(7.95)1.91(4.40)(17.68)(3.48)(6.72)大型商業(yè)銀行/政策性銀行(23.54)(11.59)(8.87)(1.55)(2.56)(1.60)(14.67)(1.90)(8.29)城市商業(yè)銀行(39.64)(3.78)(4.80)(13.67)(11.26)(12.47)(16.07)(12.47)(13.27)股份制商業(yè)銀行(24.97)(10.11)(4.93)(22.42)(32.21)(14.97)(13.34)(23.20)(20.17)證券公司(96.36)(46.25)(44.94)(36.08)(31.58)(3.66)(62.52)(23.77)(32.59)10-15Y202120222023202120222023平均平均平均機(jī)構(gòu)類型中期票據(jù)中期票據(jù)中期票據(jù)企業(yè)債企業(yè)債企業(yè)債中期票據(jù)企業(yè)債全部基金公司及產(chǎn)品78.4817.320.354.672.531.0632.052.7511.88證券公司(11.25)104.47(1.72)7.70(5.89)8.8830.503.5611.16外資銀行0.000.000.000.000.000.000.000.000.00理財(cái)類產(chǎn)品0.000.000.000.000.000.000.000.000.00貨幣市場基金0.000.000.000.000.000.000.000.000.00城市商業(yè)銀行(3.06)(2.10)0.00(0.76)0.000.00(1.72)(0.25)(0.57)大型商業(yè)銀行/政策性銀行(1.22)(0.42)0.00(4.00)0.00(0.08)(0.55)(1.36)(0.95)其他(13.03)0.00(1.32)(0.52)0.00(0.21)(4.78)(0.24)(1.66)農(nóng)村金融機(jī)構(gòu)3.47(3.66)0.000.490.40(6.14)(0.06)(1.75)(1.93)股份制商業(yè)銀行(8.67)(1.31)(0.21)(6.59)(3.86)(3.66)(3.40)(4.70)(3.64)理財(cái)子公司及理財(cái)類產(chǎn)品(8.78)(2.26)(1.11)(25.23)(7.96)(3.35)(4.05)(12.18)(5.12)保險(xiǎn)公司(28.12)(28.73)1.44(4.86)0.59(0.12)(18.47)(1.46)(6.00)其他產(chǎn)品類(76.91)(70.70)2.5941.9814.113.63(48.34)19.91(10.20)15-20Y202120222023202120222023平均平均平均機(jī)構(gòu)類型中期票據(jù)中期票據(jù)中期票據(jù)企業(yè)債企業(yè)債企業(yè)債中期企業(yè)債全部證券公司133.70365.3647.53(0.57)(4.88)(1.77)182.20(2.41)58.52保險(xiǎn)公司28.56(11.39)54.201.991.541.7823.791.779.04農(nóng)村金融機(jī)構(gòu)0.937.071.450.000.00(0.31)3.15(0.10)0.95外資銀行0.000.001.640.000.000.000.550.000.18理財(cái)類產(chǎn)品0.000.000.000.000.000.000.000.000.00貨幣市場基金0.000.000.000.000.000.000.000.000.00股份制商業(yè)銀行(8.15)0.611.91(1.57)0.00(2.09)(1.88)(1.22)(1.32)基金公司及產(chǎn)品(54.78)(21.76)51.812.48(1.76)3.75(8.24)1.49(2.08)大型商業(yè)銀行/政策性銀行(9.56)(5.01)0.000.000.000.00(4.86)0.00(2.43)其他(31.93)0.006.78(0.34)0.000.00(8.38)(0.11)(2.79)城市商業(yè)銀行(15.30)(5.97)(0.80)0.000.00(1.50)(7.36)(0.50)(2.95)其他產(chǎn)品類(38.77)(252.86)(152.52)4.593.141.37(148.05)3.03(47.85)理財(cái)子公司及理財(cái)類產(chǎn)品(453.12)(30.08)(12.04)0.331.96(1.22)(165.08)0.36(54.78)3002001000(100)(200)(300)(400)(500)(600)(700)(800)(200)(150)(100)(50)050100150200商業(yè)銀行保險(xiǎn)機(jī)構(gòu)證券公司廣義基金（右軸）2022年以來企業(yè)債分機(jī)構(gòu)托管余額季度變化（億元）資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所華安研究?

拓展投資價(jià)值證券研究報(bào)告 6超長期限信用債，誰在交易？現(xiàn)券數(shù)據(jù)看成交額，保險(xiǎn)存在感并不強(qiáng)以買入+賣出作為交易額，看2022、2023年超長信用債的主要交易機(jī)構(gòu)，券商自營、資管、基金、理財(cái)是主力，保險(xiǎn)在二級(jí)市場鮮有操作。2022-2023年現(xiàn)券交易數(shù)據(jù)中的超長信用債成交額（億元）7-10Y機(jī)構(gòu)類型資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所10-15Y機(jī)構(gòu)類型

2022

20232022

20231838 732709 5972546132919381135474167119149171130129652618297247433503447358314716920923125227226248331134363384149111822766343242376244484312129323143304011015證券公司其他產(chǎn)品類基金公司及產(chǎn)品理財(cái)子公司及理財(cái)類產(chǎn)品保險(xiǎn)公司股份制商業(yè)銀行城市商業(yè)銀行農(nóng)村金融機(jī)構(gòu)大型商業(yè)銀行/政策性銀行其他外資銀行理財(cái)類產(chǎn)品貨幣市場基金000200000000000200975544238100證券公司

1775 134其他產(chǎn)品類

489 41基金公司及產(chǎn)品

476 29270

理財(cái)子公司及理財(cái)類產(chǎn)品

401 18保險(xiǎn)公司

129 16股份制商業(yè)銀行

15

3城市商業(yè)銀行

23

0農(nóng)村金融機(jī)構(gòu)

5

0其他

0

7大型商業(yè)銀行/政策性銀行

0

0外資銀行

0

2理財(cái)類產(chǎn)品

0

0貨幣市場基金

0

0171685117740100000190 1945 32471 556 112 33432 528 61 29415 418 33 22614 136 314 19 70 23 012 5 122 0 95 0 50 0 20 0 00 0 0831311943100中期票據(jù)企業(yè)債合計(jì)2022

2023

平均中期票據(jù) 企業(yè)債2022

2023

2022

2023合計(jì)2022

2023

平均華安研究?

拓展投資價(jià)值7證券研究報(bào)告 7超長期信用債，是什么？為什么？誰在買？跌幅大？拋不掉？無信用風(fēng)險(xiǎn)？對(duì)超長期信用債的三個(gè)誤解策略橫比，超長期信用債對(duì)比下沉債、中長債時(shí)移事異，極致平坦化的曲線難以套用歷史經(jīng)驗(yàn)總結(jié)歸納，超長期信用債策略賺什么錢？擔(dān)什么風(fēng)險(xiǎn)？敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所華安研究?

拓展投資價(jià)值證券研究報(bào)告 8反直覺①——超長期限信用債，跌幅更大嗎？2022年10-12月，短端回調(diào)快、跌幅大、“終點(diǎn)收益率更高”2022年10-12月，1Y-30Y企業(yè)債利差、利差日度環(huán)比（BP）1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y30Y日期1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y30Y2022-10-2146.6137.8847.0259.0362.9763.1562.6668.7476.2686.5597.3496.7085.182022-10-241.230.79(0.07)0.53(0.99)0.490.990.990.990.990.991.061.132022-10-2447.8438.6746.9559.5661.9863.6463.6569.7377.2587.5498.3397.7686.312022-10-250.040.630.780.55(1.66)(1.27)(0.89)(1.06)(1.48)(1.49)(1.49)(1.22)(0.94)2022-10-2547.8839.3047.7360.1160.3262.3762.7668.6775.7786.0596.8496.5485.372022-10-26(1.97)0.331.683.033.581.852.172.361.952.432.431.730.922022-10-2645.9139.6349.4163.1463.9064.2264.9371.0377.7288.4899.2798.2786.292022-10-275.270.380.850.371.530.981.250.461.151.141.142.042.942022-10-2751.1840.0150.2663.5165.4365.2066.1871.4978.8789.62100.41100.3189.232022-10-280.530.900.47(0.04)3.052.182.052.052.003.013.013.343.672022-10-2851.7140.9150.7363.4768.4867.3868.2373.5480.8792.63103.42103.6592.902022-10-311.090.501.921.131.051.361.672.352.991.821.821.340.852022-10-3152.8041.4152.6564.6069.5368.7469.9075.8983.8694.45105.24104.9993.752022-11-01(2.47)(0.39)(2.54)(2.95)(1.95)(2.10)(1.85)(1.96)(2.13)(2.21)(2.20)(1.73)(1.25)2022-11-0150.3341.0250.1161.6567.5866.6468.0573.9381.7392.24103.04103.2692.502022-11-020.900.15(0.60)(1.17)(0.73)(2.70)(1.62)(1.54)(1.17)(1.13)(1.13)(0.51)0.122022-11-0251.2341.1749.5160.4866.8563.9466.4372.3980.5691.11101.91102.7592.622022-11-032.550.49(1.55)(0.58)1.20(0.10)0.160.250.38(0.56)(0.56)(0.95)(1.35)2022-11-0353.7841.6647.9659.9068.0563.8466.5972.6480.9490.55101.35101.8091.272022-11-040.020.07(0.21)(0.10)(0.38)(1.38)(1.15)(1.22)(2.34)(2.38)1.820.08(1.66)2022-11-0453.8041.7347.7559.8067.6762.4665.4471.4278.6088.17103.17101.8889.612022-11-072.04(1.02)(0.65)(0.56)(0.08)(0.53)(0.14)(0.16)(0.18)(0.19)(0.18)(0.37)(0.55)2022-11-0755.8440.7147.1059.2467.5961.9365.3071.2678.4287.98102.99101.5189.062022-11-08(0.74)1.200.121.412.421.731.421.662.012.152.151.601.042022-11-0855.1041.9147.2260.6570.0163.6666.7272.9280.4390.13105.14103.1190.102022-11-09(2.26)1.02(0.42)0.57(1.24)0.200.55(0.56)(0.79)(0.67)(0.67)(0.67)(0.66)2022-11-0952.8442.9346.8061.2268.7763.8667.2772.3679.6489.46104.47102.4489.442022-11-10(1.69)3.730.390.16(0.02)0.700.860.710.460.270.27(0.43)(0.36)2022-11-1051.1546.6647.1961.3868.7564.5668.1373.0780.1089.73104.74102.0189.082022-11-11(5.20)1.09(2.24)(1.39)(0.67)0.09(1.24)(1.09)(1.04)(0.96)(0.95)0.461.132022-11-1145.9547.7544.9559.9968.0864.6566.8971.9879.0688.77103.79102.4790.212022-11-143.992.535.436.292.300.100.460.55(2.27)(1.88)(6.01)(5.26)(6.00)2022-11-1449.9450.2850.3866.2870.3864.7567.3572.5376.7986.8997.7897.2184.212022-11-153.905.876.001.852.886.166.576.906.075.484.603.292.982022-11-1553.8456.1556.3868.1373.2670.9173.9279.4382.8692.37102.38100.5087.192022-11-165.506.105.955.150.493.401.171.261.381.431.69(0.20)(0.08)2022-11-1659.3462.2562.3373.2873.7574.3175.0980.6984.2493.80104.07100.3087.112022-11-179.117.298.895.715.644.205.293.741.192.762.262.992.122022-11-1768.4569.5471.2278.9979.3978.5180.3884.4385.4396.56106.33103.2989.232022-11-181.773.270.913.681.01(0.47)(0.51)0.840.49(1.24)(0.24)0.280.002022-11-1870.2272.8172.1382.6780.4078.0479.8785.2785.9295.32106.09103.5789.232022-11-211.340.514.693.523.440.590.750.740.710.640.600.871.232022-11-2171.5673.3276.8286.1983.8478.6380.6286.0186.6395.96106.69104.4490.462022-11-220.400.553.082.991.49(0.36)(0.41)(0.31)(0.42)(0.46)1.040.150.252022-11-2271.9673.8779.9089.1885.3378.2780.2185.7086.2195.50107.73104.5990.712022-11-233.463.543.524.133.654.534.213.593.092.744.012.482.222022-11-2375.4277.4183.4293.3188.9882.8084.4289.2989.3098.24111.74107.0792.932022-11-24(0.31)(3.18)(1.64)(1.56)(0.54)0.58(0.54)0.310.261.252.251.621.992022-11-2475.1174.2381.7891.7588.4483.3883.8889.6089.5699.49113.99108.6994.922022-11-25(1.16)(1.57)(4.51)(4.86)(4.42)(2.58)(3.25)(3.04)(2.51)(1.97)(4.21)(3.49)(3.51)2022-11-2573.9572.6677.2786.8984.0280.8080.6386.5687.0597.52109.78105.2091.412022-11-280.59(1.25)(0.30)(0.08)(3.32)(0.15)(0.02)(0.58)(0.78)(0.95)(1.11)(0.66)(0.75)2022-11-2874.5471.4176.9786.8180.7080.6580.6185.9886.2796.57108.67104.5490.662022-11-29(2.80)1.632.161.573.31(0.53)0.770.440.080.020.55(0.54)(1.24)2022-11-2971.7473.0479.1388.3884.0180.1281.3886.4286.3596.59109.22104.0089.422022-11-301.983.516.247.032.863.262.512.122.032.862.420.17(0.08)2022-11-3073.7276.5585.3795.4186.8783.3883.8988.5488.3899.45111.64104.1789.342022-12-01(0.09)5.867.586.116.643.382.872.202.631.621.693.992.972022-12-0173.6382.4192.95101.5293.5186.7686.7690.7491.01101.07113.33108.1692.312022-12-02(1.41)0.772.910.222.111.140.54(0.49)(0.66)0.240.25(0.46)(0.15)2022-12-0272.2283.1895.86101.7495.6287.9087.3090.2590.35101.31113.58107.7092.162022-12-051.103.422.730.490.580.18(0.04)(1.82)(2.10)(1.15)(2.26)(3.56)(1.01)2022-12-0573.3286.6098.59102.2396.2088.0887.2688.4388.25100.16111.32104.1491.152022-12-063.725.544.111.630.06(2.13)(1.79)(1.25)(1.28)2.27(1.23)0.15(0.39)2022-12-0677.0492.14102.70103.8696.2685.9585.4787.1886.97102.43110.09104.2990.762022-12-072.1710.929.818.2812.6415.3311.8211.4611.268.508.515.461.462022-12-0779.21103.06112.51112.14108.90101.2897.2998.6498.23110.93118.60109.7592.222022-12-083.964.261.972.843.071.51(0.68)(3.21)(1.39)(1.51)(1.51)(0.94)(0.36)2022-12-0883.17107.32114.48114.98111.97102.7996.6195.4396.84109.42117.09108.8191.862022-12-09(1.14)(0.06)1.840.18(3.11)(1.63)(0.10)0.181.271.311.311.120.932022-12-0982.03107.26116.32115.16108.86101.1696.5195.6198.11110.73118.40109.9392.792022-12-126.588.033.890.692.462.162.322.853.713.840.130.130.122022-12-1288.61115.29120.21115.85111.32103.3298.8398.46101.82114.57118.53110.0692.912022-12-1311.037.053.205.448.159.389.6610.1510.105.942.853.223.212022-12-1399.64122.34123.41121.29119.47112.70108.49108.61111.92120.51121.38113.2896.122022-12-141.814.394.563.785.775.073.712.953.202.982.982.752.762022-12-14101.45126.73127.97125.07125.24117.77112.20111.56115.12123.49124.36116.0398.882022-12-15(3.65)(3.74)(1.26)(1.42)(1.73)(1.55)(1.52)(0.76)(0.76)(0.74)(0.74)(0.61)(0.49)2022-12-1597.80122.99126.71123.65123.51116.22110.68110.80114.36122.75123.62115.4298.392022-12-16(1.36)(0.20)(1.43)(0.27)0.610.710.500.390.800.740.741.241.742022-12-1696.44122.79125.28123.38124.12116.93111.18111.19115.16123.49124.36116.66100.132022-12-19(1.86)(0.71)0.831.512.242.331.511.120.021.581.581.321.062022-12-1994.58122.08126.11124.89126.36119.26112.69112.31115.18125.07125.94117.98101.192022-12-20(1.84)(3.20)(4.44)(3.97)(0.42)0.520.85(0.64)(1.69)(1.72)(1.73)(0.97)(0.21)2022-12-2092.74118.88121.67120.92125.94119.78113.54111.67113.49123.35124.21117.01100.98累計(jì)46.1381.0074.6561.8962.9756.6350.8842.9337.2336.8026.8720.3115.80資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 9華安研究?

拓展投資價(jià)值反直覺②——超長期限信用債，熊市賣不掉嗎？2021年債市行情（%）3.43.33.23.13.02.92.82.721-0121-0221-0321-0421-0521-0621-0721-0821-0921-1021-1121-12中債國債到期收益率:10年近似期限67及換手時(shí)間2近似期限0123452021年8-10月，分期限信用債換手時(shí)間中位數(shù)、成交結(jié)構(gòu)（月、筆、%，注意存在幸存者偏差）0 1 2 3 4 515.3 12.7 12.7 14.0 24.8 20.3低估值成交 高估值成交 正常成交 總計(jì) 低估值成交占比 高估值成交288 377 3595 4260 7%360 638 9641 10639331 638 10181 11181 282 989125 762467及以上資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 10華安研究?

拓展投資價(jià)值反直覺③——超長期限信用債，能發(fā)出來的都沒有信用風(fēng)險(xiǎn)嗎？幸存者偏差理論上是最好的信評(píng),但從后驗(yàn)結(jié)果來看，“能發(fā)出超長債”也不完全代表高枕無憂。全部城投債、超長期限城投債主體風(fēng)險(xiǎn)等級(jí)（家、%）主體數(shù)量主體占比風(fēng)險(xiǎn)等級(jí)全部城投超長債城投全部城投超長債城投暫無風(fēng)險(xiǎn)310328584.4%88.5%階段一3722310.1%7.1%階段二130103.5%3.1%階段三6641.8%1.2%階段四700.2%0.0%總計(jì)3678322--資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 11華安研究?

拓展投資價(jià)值刨根問底——超長期限信用債，是利率還是信用？估值與利率相關(guān)性——20Y信用債，90%的波動(dòng)可以由利率債解釋；1Y信用債只有79%可以用利率解釋。利差標(biāo)準(zhǔn)差——20Y信用債，利差標(biāo)準(zhǔn)差僅8.41BP

；

1-3Y信用債標(biāo)準(zhǔn)差在14-18之間。凈值標(biāo)準(zhǔn)差，考慮到久期對(duì)波動(dòng)的放大效應(yīng)，20Y國債的凈值波動(dòng)是1Y債券的8.5倍左右。各期限信用債的利率估值相關(guān)性、利差標(biāo)準(zhǔn)差、凈值標(biāo)準(zhǔn)差（%、BP、Y）期限12345估值相關(guān)性67891015202018至今94%94%94%94%95%95%96%96%94%95%96%95%201891%93%91%94%95%96%96%96%95%94%96%96%201910%49%68%79%80%81%73%77%79%77%76%81%202098%97%96%93%90%93%94%91%92%91%94%95%202189%91%93%91%91%94%92%94%94%94%95%95%202295%84%80%77%71%69%70%73%70%69%70%80%202390%89%81%82%83%88%89%91%91%94%95%93%平均79%84%85%86%85%87%86%87%87%87%88%90%期限12345利差標(biāo)準(zhǔn)差67891015202018至今33.7835.8532.0931.3229.1430.5230.3530.6931.8130.1026.6928.12201832.5427.0032.5325.7621.5816.5015.4115.2315.7516.1110.3510.61201913.9712.3012.0712.7411.909.2410.327.997.747.686.105.37202011.1710.8813.2615.2416.0711.349.6110.2910.5310.478.618.7520219.4014.8816.1216.4313.569.218.518.518.238.229.387.92202213.9219.5519.2816.0016.8213.6412.6911.0411.3210.207.725.7020237.868.4911.1510.0811.9711.1310.159.619.6911.0613.0212.14平均14.8115.5217.4016.0415.3211.8411.1210.4510.5410.629.208.41期限12345凈值標(biāo)準(zhǔn)差67891015202018至今33.7870.3791.98116.33128.44161.45187.82218.07250.42261.91318.80422.37201832.5452.9993.2595.6695.1187.3295.34108.21123.97140.13123.60159.32201913.9724.1534.6047.3252.4448.8663.8656.8060.9166.8072.9180.59202011.1721.3538.0056.6170.8260.0059.4473.1582.8891.11102.88131.4120219.4029.2146.2161.0459.7848.7352.6760.4964.7971.51112.00118.91202213.9238.3855.2759.4274.1272.1778.5578.4989.0988.7792.2285.6720237.8616.6631.9637.4252.7458.8962.8368.2676.2696.26155.52182.38平均14.8130.4649.8859.5867.5062.6668.7874.2382.9892.43109.86126.38換算100%98%96%93%88%88%88%89%87%87%80%75%久期1.001.962.873.714.415.296.197.117.878.7011.9415.02資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所華安研究?

拓展投資價(jià)值12證券研究報(bào)告 12超長期信用債，是什么？為什么？誰在買？跌幅大？拋不掉？無信用風(fēng)險(xiǎn)？對(duì)超長期信用債的三個(gè)誤解策略橫比，超長期信用債對(duì)比下沉債、中長債時(shí)移事異，極致平坦化的曲線難以套用歷史經(jīng)驗(yàn)總結(jié)歸納，超長期信用債策略賺什么錢？擔(dān)什么風(fēng)險(xiǎn)？敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 13華安研究?

拓展投資價(jià)值對(duì)比信用下沉，如何找到久期與下沉策略的Breakeven

Point？“超額票息-久期倍數(shù)x回調(diào)幅度”是對(duì)比超長債、短債性價(jià)比的簡化指標(biāo)①息差厚，利率牛，超長穩(wěn)贏；②息差薄，利率牛，超長小盈；③息差薄，利率熊，超長大虧；④息差厚，利率熊，超長小虧。2018年1月-2024年2月，AA1Y和AAA10Y信用債收益率（%）103050709011013015017018-0119-0120-0121-0122-0123-0124-012.02.53.03.54.04.55.05.56.018-0119-0120-0121-0122-0123-0124-01中債企業(yè)債到期收益率(AAA):10年中債企業(yè)債到期收益率(AA):1年2018年1月-2024年2月，AA1Y和AAA10Y信用利差（BP）AAA10Y利差 AA1Y利差資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 14華安研究?

拓展投資價(jià)值對(duì)比中等期限，質(zhì)變發(fā)生在3-4年，折中選擇不一定是好選擇尋找拉長久期的質(zhì)變臨界點(diǎn):資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所流動(dòng)性，3Y-4Y，一倍換手時(shí)間從14上升到20個(gè)月。偏離成交，0-1Y，正常成交占比上升到90%，可能更多由于幸存者偏差（超短、短融低等級(jí)主體較多）。收益率和利差，忽略1Y短債，AAA跳升在4-5Y和10-15Y，AA+和AA的跳升主要發(fā)生在5-6Y和10-15Y。倍數(shù)回調(diào)斷點(diǎn)，2-3Y大幅增加20BP，3-4Y繼續(xù)增加10BP，5-9Y變化不大，10Y及以上變化較大，但也因其期限區(qū)隔較大。分等級(jí)、分期限收益率和信用利差（%、BP）AAA1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y收益率2.33052.46712.52462.59642.6732.72172.7272.73862.74972.752.832.8415AA+1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y收益率2.43122.56662.62542.70142.80733.02933.03153.0493.07183.0723.17973.1916AA1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y收益率2.4852.64912.7712.85752.96643.38723.39043.41243.43523.43543.54013.5516AAA1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y利差48.1530.7232.8729.6937.227.1920.7217.5518.4723.4819.2319.14AA+1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y利差58.2240.6742.9540.1950.6357.9551.1748.5950.6855.6854.254.15AA1Y2Y3Y4Y5Y6Y7Y8Y9Y10Y15Y20Y利差63.648.9257.5155.866.5493.7487.0684.9387.0292.0290.2490.15華安研究?

拓展投資價(jià)值15證券研究報(bào)告 15超長期信用債，是什么？為什么？誰在買？跌幅大？拋不掉？無信用風(fēng)險(xiǎn)？對(duì)超長期信用債的三個(gè)誤解策略橫比，超長期信用債對(duì)比下沉債、中長債時(shí)移事異，極致平坦化的曲線難以套用歷史經(jīng)驗(yàn)總結(jié)歸納，超長期信用債策略賺什么錢？擔(dān)什么風(fēng)險(xiǎn)？敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 16華安研究?

拓展投資價(jià)值時(shí)移事異，分析當(dāng)下的超長期信用債性價(jià)比，需要回答新的問題利率趨勢，未來將如何演繹？曲線形態(tài)，下一步如何變化？信用策略，是否還有替代選項(xiàng)？敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所資料來源：Wind，華安證券研究所證券研究報(bào)告 17華安研究?

拓展投資價(jià)值利率走勢——市場的脆弱性增強(qiáng)，但反轉(zhuǎn)的發(fā)令槍并未打響債市機(jī)構(gòu)的三個(gè)典型面相保險(xiǎn)和大行——配置盤是影響市場中樞的力量?；鸷屠碡?cái)——產(chǎn)品戶是決定市場慣性的力量。農(nóng)商行——交易盤是在配置盤缺位的行情中的主導(dǎo)者。2.40%之后，多頭主力在切換12月-1月，保險(xiǎn)與大行發(fā)力，“不配不行”是利率中樞下移的主動(dòng)力。2月以來，基金和理財(cái)發(fā)力，“別人買了，我也買”

，

是利率接力下行的動(dòng)力，

市場呈現(xiàn)出Autoregression的特點(diǎn)，買入就是買入的理由。資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 18華安研究?

拓展投資價(jià)值數(shù)據(jù)印證——市場主導(dǎo)權(quán)由大行、保險(xiǎn)逐漸交棒給農(nóng)商、基金資料來源：Wind，華安證券研究所敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 19華安研究?

拓展投資價(jià)值曲線形態(tài)——平坦化背后的宏觀驅(qū)動(dòng)力是什么？債務(wù)、貨幣、價(jià)格的互相影響——觀察銀行貸存差=貸款增速-存款增速還涉及到存款利率下調(diào)對(duì)存款搬家的影響、金融機(jī)構(gòu)投債導(dǎo)致的派生下降等其他因素資料來源：Wind，華安證券研究所7.06.05.04.03.02.01.00.0-1.0-2.0-3.010-0110-0711-0111-0712-0112-0713-0113-0714-0114-0715-0115-0716-0116-0717-0117-0718-0118-0719-0119-0720-0120-0721-0121-0722-0122-0723-0123-0724-01銀行貸存差刻畫的金融機(jī)構(gòu)報(bào)表趨勢（PCT）銀行貸存差（PCT）敬請(qǐng)參閱末頁重要聲明及評(píng)級(jí)說明華安證券研究所證券研究報(bào)告 20華安研究?

拓展投資價(jià)值貸存差收縮的直接影響——利率有何走勢？2.02.53.03.54.04.5