超长期限信用债投资指南-20240229-华安证券

华安研究•

拓展投资价值2证券研究报告 2超长期信用债，是什么？为什么？谁在买？跌幅大？抛不掉？无信用风险？对超长期信用债的三个误解策略横比，超长期信用债对比下沉债、中长债时移事异，极致平坦化的曲线难以套用历史经验总结归纳，超长期信用债策略赚什么钱？担什么风险？敬请参阅末页重要声明及评级说明华安证券研究所华安研究•

拓展投资价值证券研究报告 3超长期限信用债是什么？1448只超长期限信用债，目前存量520只我们将剩余期限在7年以上的信用债称为超长期限信用债，目前存量520只，其中公司债238只，中票160只，企业债114只，PPN8只；379只债项评级AAA、33只AA+。超长期限信用债结构（只）超长信用债存量超长信用债（剩余期限>7Y）发行方式公募 私募是否含权含权 不含权发行方式公募 私募是否含权含权 不含权企业债公司债中期票据定向工具66736331403259013415 284137 28592 22212 1企业债公司债中期票据定向工具11219616002420886 2888 15026 1347 1是否担保有担保 无担保利率类型固定利率

浮动利率

累进利率是否担保有担保 无担保利率类型固定利率

浮动利率

累进利率企业债公司债中期票据定向工具32687683733353085382 25284 1226 01 02921378812企业债公司债中期票据定向工具82925106209158328 0148 0134 01 08690267AAAAA+最新主体评级AA AA以下无评级AAAAA+最新主体评级AA AA以下无评级企业债公司债中期票据定向工具44235429431172915598 2428 63 12 018513企业债公司债中期票据定向工具9119515612022222 017 01 02 01413AAAAA+最新债项评级AA AA以下无评级AAAAA+最新债项评级AA AA以下无评级企业债公司债中期票据定向工具51332725001151415262 815 30 10 01634811企业债公司债中期票据定向工具9317211402110020 07 00 00 0049466超长期限信用债品种结构（含已到期）资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所华安研究•

拓展投资价值证券研究报告 4超长期限信用债，为什么备受关注？寻找收益，等级利差vs期限利差从利差分位数来看，超长信用债并没有性价比，市场对超长端的关注是建立在绝对收益视角的。供给增加，交易所企业债启航近期包括中国诚通在内的多家主体发行20Y期限信用债，引起市场关注。替代稀缺，非债券类固收产品萎缩，协定存款、非标产品收缩从去年年底的保险配债来看，导致配债力度加大的并非保费增长，而是到期资产在配置。分期限、分等级看信用债收益率和信用利差（Y、BP、%）隐含评级

债券期限

收益率分位数

收益率

隐含评级

债券期限

利差分位数资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所利差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华安研究•

拓展投资价值证券研究报告 5超长期限信用债，谁在配置？托管x现券数据双视角从托管企业债来看，广义基金是最大变量，券商和银行自营基本一致，保险相对最稳定。从现券交易超长期信用债来看，7-10买入主力是基金和保险，10-15主力是基金和券商自营，15-20主力是券商和保险。2021年-2023年超长中票、企业债现券净买入额（亿元）票据7-10Y202120222023202120222023平均平均平均机构类型中期票据中期票据中期票据企业债企业债企业债中期票据企业债全部基金公司及产品240.2314.8315.0459.1228.365.7990.0331.0941.39保险公司70.8262.5031.4023.1119.9418.4254.9120.4931.09农村金融机构6.234.355.010.5214.90(1.65)5.204.596.15其他产品类(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外资银行0.000.000.000.000.000.000.000.000.00理财类产品0.000.000.000.000.000.000.000.000.00货币市场基金0.000.000.000.000.000.000.000.000.00理财子公司及理财类产品(20.45)(24.64)(7.95)(7.95)1.91(4.40)(17.68)(3.48)(6.72)大型商业银行/政策性银行(23.54)(11.59)(8.87)(1.55)(2.56)(1.60)(14.67)(1.90)(8.29)城市商业银行(39.64)(3.78)(4.80)(13.67)(11.26)(12.47)(16.07)(12.47)(13.27)股份制商业银行(24.97)(10.11)(4.93)(22.42)(32.21)(14.97)(13.34)(23.20)(20.17)证券公司(96.36)(46.25)(44.94)(36.08)(31.58)(3.66)(62.52)(23.77)(32.59)10-15Y202120222023202120222023平均平均平均机构类型中期票据中期票据中期票据企业债企业债企业债中期票据企业债全部基金公司及产品78.4817.320.354.672.531.0632.052.7511.88证券公司(11.25)104.47(1.72)7.70(5.89)8.8830.503.5611.16外资银行0.000.000.000.000.000.000.000.000.00理财类产品0.000.000.000.000.000.000.000.000.00货币市场基金0.000.000.000.000.000.000.000.000.00城市商业银行(3.06)(2.10)0.00(0.76)0.000.00(1.72)(0.25)(0.57)大型商业银行/政策性银行(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)农村金融机构3.47(3.66)0.000.490.40(6.14)(0.06)(1.75)(1.93)股份制商业银行(8.67)(1.31)(0.21)(6.59)(3.86)(3.66)(3.40)(4.70)(3.64)理财子公司及理财类产品(8.78)(2.26)(1.11)(25.23)(7.96)(3.35)(4.05)(12.18)(5.12)保险公司(28.12)(28.73)1.44(4.86)0.59(0.12)(18.47)(1.46)(6.00)其他产品类(76.91)(70.70)2.5941.9814.113.63(48.34)19.91(10.20)15-20Y202120222023202120222023平均平均平均机构类型中期票据中期票据中期票据企业债企业债企业债中期企业债全部证券公司133.70365.3647.53(0.57)(4.88)(1.77)182.20(2.41)58.52保险公司28.56(11.39)54.201.991.541.7823.791.779.04农村金融机构0.937.071.450.000.00(0.31)3.15(0.10)0.95外资银行0.000.001.640.000.000.000.550.000.18理财类产品0.000.000.000.000.000.000.000.000.00货币市场基金0.000.000.000.000.000.000.000.000.00股份制商业银行(8.15)0.611.91(1.57)0.00(2.09)(1.88)(1.22)(1.32)基金公司及产品(54.78)(21.76)51.812.48(1.76)3.75(8.24)1.49(2.08)大型商业银行/政策性银行(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)城市商业银行(15.30)(5.97)(0.80)0.000.00(1.50)(7.36)(0.50)(2.95)其他产品类(38.77)(252.86)(152.52)4.593.141.37(148.05)3.03(47.85)理财子公司及理财类产品(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商业银行保险机构证券公司广义基金（右轴）2022年以来企业债分机构托管余额季度变化（亿元）资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所华安研究•

拓展投资价值证券研究报告 6超长期限信用债，谁在交易？现券数据看成交额，保险存在感并不强以买入+卖出作为交易额，看2022、2023年超长信用债的主要交易机构，券商自营、资管、基金、理财是主力，保险在二级市场鲜有操作。2022-2023年现券交易数据中的超长信用债成交额（亿元）7-10Y机构类型资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所10-15Y机构类型

2022

20232022

20231838 732709 5972546132919381135474167119149171130129652618297247433503447358314716920923125227226248331134363384149111822766343242376244484312129323143304011015证券公司其他产品类基金公司及产品理财子公司及理财类产品保险公司股份制商业银行城市商业银行农村金融机构大型商业银行/政策性银行其他外资银行理财类产品货币市场基金000200000000000200975544238100证券公司

1775 134其他产品类

489 41基金公司及产品

476 29270

理财子公司及理财类产品

401 18保险公司

129 16股份制商业银行

15

3城市商业银行

23

0农村金融机构

5

0其他

0

7大型商业银行/政策性银行

0

0外资银行

0

2理财类产品

0

0货币市场基金

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中期票据企业债合计2022

2023

平均中期票据 企业债2022

2023

2022

2023合计2022

2023

平均华安研究•

拓展投资价值7证券研究报告 7超长期信用债，是什么？为什么？谁在买？跌幅大？抛不掉？无信用风险？对超长期信用债的三个误解策略横比，超长期信用债对比下沉债、中长债时移事异，极致平坦化的曲线难以套用历史经验总结归纳，超长期信用债策略赚什么钱？担什么风险？敬请参阅末页重要声明及评级说明华安证券研究所华安研究•

拓展投资价值证券研究报告 8反直觉①——超长期限信用债，跌幅更大吗？2022年10-12月，短端回调快、跌幅大、“终点收益率更高”2022年10-12月，1Y-30Y企业债利差、利差日度环比（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累计46.1381.0074.6561.8962.9756.6350.8842.9337.2336.8026.8720.3115.80资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 9华安研究•

拓展投资价值反直觉②——超长期限信用债，熊市卖不掉吗？2021年债市行情（%）3.43.33.23.13.02.92.82.721-0121-0221-0321-0421-0521-0621-0721-0821-0921-1021-1121-12中债国债到期收益率:10年近似期限67及换手时间2近似期限0123452021年8-10月，分期限信用债换手时间中位数、成交结构（月、笔、%，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 总计 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及以上资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 10华安研究•

拓展投资价值反直觉③——超长期限信用债，能发出来的都没有信用风险吗？幸存者偏差理论上是最好的信评,但从后验结果来看，“能发出超长债”也不完全代表高枕无忧。全部城投债、超长期限城投债主体风险等级（家、%）主体数量主体占比风险等级全部城投超长债城投全部城投超长债城投暂无风险310328584.4%88.5%阶段一3722310.1%7.1%阶段二130103.5%3.1%阶段三6641.8%1.2%阶段四700.2%0.0%总计3678322--资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 11华安研究•

拓展投资价值刨根问底——超长期限信用债，是利率还是信用？估值与利率相关性——20Y信用债，90%的波动可以由利率债解释；1Y信用债只有79%可以用利率解释。利差标准差——20Y信用债，利差标准差仅8.41BP

；

1-3Y信用债标准差在14-18之间。净值标准差，考虑到久期对波动的放大效应，20Y国债的净值波动是1Y债券的8.5倍左右。各期限信用债的利率估值相关性、利差标准差、净值标准差（%、BP、Y）期限12345估值相关性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利差标准差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净值标准差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换算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资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所华安研究•

拓展投资价值12证券研究报告 12超长期信用债，是什么？为什么？谁在买？跌幅大？抛不掉？无信用风险？对超长期信用债的三个误解策略横比，超长期信用债对比下沉债、中长债时移事异，极致平坦化的曲线难以套用历史经验总结归纳，超长期信用债策略赚什么钱？担什么风险？敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 13华安研究•

拓展投资价值对比信用下沉，如何找到久期与下沉策略的Breakeven

Point？“超额票息-久期倍数x回调幅度”是对比超长债、短债性价比的简化指标①息差厚，利率牛，超长稳赢；②息差薄，利率牛，超长小盈；③息差薄，利率熊，超长大亏；④息差厚，利率熊，超长小亏。2018年1月-2024年2月，AA1Y和AAA10Y信用债收益率（%）103050709011013015017018-0119-0120-0121-0122-0123-0124-012.02.53.03.54.04.55.05.56.018-0119-0120-0121-0122-0123-0124-01中债企业债到期收益率(AAA):10年中债企业债到期收益率(AA):1年2018年1月-2024年2月，AA1Y和AAA10Y信用利差（BP）AAA10Y利差 AA1Y利差资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 14华安研究•

拓展投资价值对比中等期限，质变发生在3-4年，折中选择不一定是好选择寻找拉长久期的质变临界点:资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所流动性，3Y-4Y，一倍换手时间从14上升到20个月。偏离成交，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、短融低等级主体较多）。收益率和利差，忽略1Y短债，AAA跳升在4-5Y和10-15Y，AA+和AA的跳升主要发生在5-6Y和10-15Y。倍数回调断点，2-3Y大幅增加20BP，3-4Y继续增加10BP，5-9Y变化不大，10Y及以上变化较大，但也因其期限区隔较大。分等级、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华安研究•

拓展投资价值15证券研究报告 15超长期信用债，是什么？为什么？谁在买？跌幅大？抛不掉？无信用风险？对超长期信用债的三个误解策略横比，超长期信用债对比下沉债、中长债时移事异，极致平坦化的曲线难以套用历史经验总结归纳，超长期信用债策略赚什么钱？担什么风险？敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 16华安研究•

拓展投资价值时移事异，分析当下的超长期信用债性价比，需要回答新的问题利率趋势，未来将如何演绎？曲线形态，下一步如何变化？信用策略，是否还有替代选项？敬请参阅末页重要声明及评级说明华安证券研究所资料来源：Wind，华安证券研究所证券研究报告 17华安研究•

拓展投资价值利率走势——市场的脆弱性增强，但反转的发令枪并未打响债市机构的三个典型面相保险和大行——配置盘是影响市场中枢的力量。基金和理财——产品户是决定市场惯性的力量。农商行——交易盘是在配置盘缺位的行情中的主导者。2.40%之后，多头主力在切换12月-1月，保险与大行发力，“不配不行”是利率中枢下移的主动力。2月以来，基金和理财发力，“别人买了，我也买”

，

是利率接力下行的动力，

市场呈现出Autoregression的特点，买入就是买入的理由。资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 18华安研究•

拓展投资价值数据印证——市场主导权由大行、保险逐渐交棒给农商、基金资料来源：Wind，华安证券研究所敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 19华安研究•

拓展投资价值曲线形态——平坦化背后的宏观驱动力是什么？债务、货币、价格的互相影响——观察银行贷存差=贷款增速-存款增速还涉及到存款利率下调对存款搬家的影响、金融机构投债导致的派生下降等其他因素资料来源：Wind，华安证券研究所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银行贷存差刻画的金融机构报表趋势（PCT）银行贷存差（PCT）敬请参阅末页重要声明及评级说明华安证券研究所证券研究报告 20华安研究•

拓展投资价值贷存差收缩的直接影响——利率有何走势？2.02.53.03.54.04.5