> **来源：[研报客](https://pc.yanbaoke.cn)** # 债市震荡，以静制动 分析师 分析师 浙商固收 杜渐，CFA 浙商固收 杨语涵 dujian@stocke.com.cn yangyuhan@stocke.com.cn S1230523120005 S1230525040002 2026年1月23日 # 目录 CONTENTS ■ 周观点：债市震荡，以静制动 静态票息与综合策略 技术面择时信号 基本面数据跟踪 各典型策略：收益率测算 信用债板块与择券观察 信用债市场热度&机构交易 超长期信用债品种观察 地产市场观察 # 票息周观点：债市震荡，以静制动 过去一周总结：本周债市延续修复，信用表现优于利率。3-7Y国债收益率下行1-2bp，信用板块低等级城投表现最优，3-5年期AA-城投收益率下行4-6bp，3-5年期二永收益率下行1-4bp。本周DR007较上周上行5bp。 ■市场交易逻辑：1、地缘政治事件推升避险情绪；2、央行延续宽松表态；3、MLF大额净投放 核心观点： > 本周债市整体延续修复行情。地缘政治事件扰动催生的避险情绪为债市提供短期情绪支撑，央行持续释放宽松信号，“降准降息仍有空间”支撑市场预期，但10年期国债利率已接近市场共识的合意区间（ $1.8\% - 1.9\%$ ）下沿，叠加现有宽松预期已一定程度被市场定价，进一步下行空间受限。目前缺乏能够引领方向的突破性因素，多空力量在此位置趋于平衡，预计收益率将围绕当前水平展开新一轮区间震荡，波动收窄。结构上，利率债绝对收益率已处低位，资本利得空间受限，信用仍是收益主要来源，尤其机构配置行为对信用利差收窄形成持续支撑。一季度摊余成本法债基到期开放规模较大，这部分力量有望对3-5年信用形成支撑。同时，二永流动性较好、绝对收益水平仍具吸引力，预计将继续受到市场关注。 > 后市策略：以静制动，中性心态，重点关注一季度降准等潜在政策窗口带来的催化效应。布林带模型显示3年AA+城投债和3年AAA-二级债利差触及下轨，短期性价比有所下降，但距离绝对止盈点位仍有空间。前期推荐的3-5年期二永、城投品种仍具配置价值，利差虽有压缩但进一步收敛的可能性仍存，建议维持现有仓位，在赔率不具备吸引力情况下不盲目追涨。 # 分类投资建议： 1、低风险偏好：①2年地方政府债存在凸点；②3Y地方债与国债利差有11bp。 2、中等风险偏好：①4年城投债存在凸点，具备一定骑乘收益；②关注3-5年高等级二永债，期限利差仍有压缩空间；关注渤海银行4Y二级资本债机会；②微瑕疵策略下，鄂联投、河钢集团2Y债券综合收益具有吸引力；津城建收益率曲线3~4年区间段较为陡峭，骑乘收益较高； 3、高风险偏好：①7年高等级二级资本债，有33bp止盈空间；②超长信用债收益率仍处年内较高点，配置型机构可择机配置流动性相对较好的10Y个券。③当前弱资质信用债距离止盈点位较近，赔率不足，对于信用下沉策略需保持谨慎。 > 风险提示：财政货币政策或外部扰动超预期；样本数据无法代表整体；历史收益数据不代表未来。 # 市场交易逻辑 ■本周市场交易逻辑：1、地缘政治事件推升避险情绪；2、央行延续宽松表态；3、MLF大额净投放 数据来源：Wind、DM，浙商证券研究所 # 债市多空影响因素概览 长期（年度视角） # 近期债市关注因素 # 1、资金面 资金面：本周央行通过公开市场操作净投放1.13万亿元，DR007小幅抬升至 $1.49\%$ 。下周逆回购到期1.18万亿元。 央行操作动向：央行12月国债买卖净投放500亿元。 # 2、基本面与政策博弈 经济数据：1月27日公布12月工业企业利润；1月31日公布1月制造业PMI。 货币政策：央行宣布下调各类结构性货币政策工具利率0.25个百分点，各类再贷款一年期利率降至1.25%，其他期限档次利率同步调整。潘行长表态“降准降息仍有空间”。 财政政策节奏：本周政府债发行2316亿元，净融资额为2224亿元。 基金费率新规：公募基金费率新规落地，新规对于赎回费的规定较征求意见稿更为宽松。 # 3、机构行为 配置力量：本周基金、保险和理财对信用债保持净买入，其他表现为净卖出。 # 4、海外因素 地缘政治：美国试图获取格陵兰岛控制权，格陵兰岛争端成为国际地缘政治博弈焦点之一。 # 静态票息与综合策略 单位： $\%$ 、bp 各券种广谱利率图 <table><tr><td rowspan="2">日期</td><td colspan="3">政策利率</td><td rowspan="2" colspan="3">定期存款</td><td colspan="2">回购利率</td><td rowspan="2" colspan="6">国债</td><td colspan="2">美债</td><td colspan="2">存单</td><td colspan="4">商业银行二级资本债</td><td colspan="3">商业银行永续债(含权)</td><td colspan="4">城投债</td><td></td><td></td><td></td></tr><tr><td>OMO7D</td><td>MLF1Y</td><td>LPR5Y</td><td>DR007</td><td>R007</td><td>AAA1Y</td><td>AA-1Y</td><td>AAA-1Y</td><td>AAA-3Y</td><td>5Y</td><td>7Y</td><td>7Y</td><td>AAA-3Y</td><td>5Y</td><td>1Y</td><td>AAA3Y</td><td>5Y</td><td>1Y</td><td>AA-3Y</td><td>5Y</td><td></td><td></td><td></td></tr><tr><td>2023/12/29</td><td rowspan="3">1.8</td><td rowspan="3">2.5</td><td rowspan="3">4.2</td><td rowspan="3">1.45</td><td rowspan="3">1.95</td><td rowspan="3">2.00</td><td>2.02</td><td>3.07</td><td>2.08</td><td>2.29</td><td>2.40</td><td>2.53</td><td>2.56</td><td>2.83</td><td>4.79</td><td>3.88</td><td>2.40</td><td>2.91</td><td>2.65</td><td>2.85</td><td>3.00</td><td>3.10</td><td>2.75</td><td>2.94</td><td>3.05</td><td>2.80</td><td>3.03</td><td>3.26</td><td>3.14</td><td>4.81</td><td>5.94</td><td></td></tr><tr><td>2024/3/29</td><td>2.01</td><td>2.34</td><td>1.72</td><td>2.03</td><td>2.20</td><td>2.32</td><td>2.29</td><td>2.46</td><td>5.03</td><td>4.20</td><td>2.23</td><td>2.49</td><td>2.35</td><td>2.52</td><td>2.62</td><td>2.66</td><td>2.40</td><td>2.58</td><td>2.51</td><td>2.35</td><td>2.58</td><td>2.67</td><td>2.71</td><td>3.40</td><td>4.31</td><td></td></tr><tr><td>2024/6/28</td><td>2.17</td><td>2.23</td><td>1.54</td><td>1.80</td><td>1.98</td><td>2.10</td><td>2.21</td><td>2.43</td><td>5.09</td><td>4.36</td><td>1.96</td><td>2.27</td><td>2.01</td><td>2.13</td><td>2.23</td><td>2.30</td><td>2.01</td><td>2.16</td><td>2.16</td><td>2.03</td><td>2.19</td><td>2.28</td><td>2.26</td><td>2.61</td><td>3.24</td><td></td></tr><tr><td rowspan="2">2024/7/31</td><td rowspan="34">1.7</td><td rowspan="34">2.3</td><td rowspan="34">3.95</td><td rowspan="34">1.35</td><td rowspan="34">1.75</td><td rowspan="34">1.80</td><td>1.80</td><td>1.93</td><td>1.42</td><td>1.71</td><td>1.85</td><td>1.99</td><td>2.15</td><td>2.38</td><td>4.73</td><td>4.09</td><td>1.88</td><td>2.12</td><td>1.92</td><td>2.02</td><td>2.15</td><td>2.19</td><td>1.92</td><td>2.04</td><td>2.06</td><td>1.94</td><td>2.06</td><td>2.13</td><td>2.13</td><td>2.41</td><td>2.84</td><td></td></tr><tr><td>1.69</td><td>1.89</td><td>1.39</td><td>1.67</td><td>1.81</td><td>1.97</td><td>2.14</td><td>2.34</td><td>4.34</td><td>3.78</td><td>1.84</td><td>2.10</td><td>1.87</td><td>1.98</td><td>2.09</td><td>2.15</td><td>1.88</td><td>2.00</td><td>2.01</td><td>1.91</td><td>2.01</td><td>2.08</td><td>2.10</td><td>2.35</td><td>2.75</td><td></td></tr><tr><td>2024/8/30</td><td>1.70</td><td>1.91</td><td>1.49</td><td>1.67</td><td>1.85</td><td>2.08</td><td>2.17</td><td>2.37</td><td>4.38</td><td>3.91</td><td>1.97</td><td>2.26</td><td>2.05</td><td>2.17</td><td>2.26</td><td>2.38</td><td>2.06</td><td>2.20</td><td>2.17</td><td>2.08</td><td>2.19</td><td>2.28</td><td>2.40</td><td>2.60</td><td>2.94</td><td></td></tr><tr><td>2024/9/24</td><td>1.87</td><td>1.96</td><td>1.42</td><td>1.52</td><td>1.75</td><td>1.94</td><td>2.07</td><td>2.19</td><td>3.88</td><td>3.74</td><td>1.91</td><td>2.21</td><td>2.01</td><td>2.09</td><td>2.18</td><td>2.26</td><td>2.05</td><td>2.14</td><td>2.10</td><td>2.05</td><td>2.14</td><td>2.20</td><td>2.39</td><td>2.72</td><td>3.17</td><td></td></tr><tr><td>2024/9/30</td><td>1.56</td><td>1.98</td><td>1.37</td><td>1.56</td><td>1.84</td><td>2.07</td><td>2.15</td><td>2.36</td><td>3.98</td><td>3.81</td><td>1.91</td><td>2.25</td><td>2.21</td><td>2.33</td><td>2.43</td><td>2.49</td><td>2.25</td><td>2.38</td><td>2.25</td><td>2.18</td><td>2.32</td><td>2.38</td><td>2.61</td><td>2.96</td><td>3.38</td><td></td></tr><tr><td>2024/10/31</td><td>1.70</td><td>1.89</td><td>1.43</td><td>1.58</td><td>1.79</td><td>2.03</td><td>2.15</td><td>2.34</td><td>4.27</td><td>4.28</td><td>1.93</td><td>2.27</td><td>2.09</td><td>2.26</td><td>2.37</td><td>2.49</td><td>2.13</td><td>2.33</td><td>2.45</td><td>2.11</td><td>2.30</td><td>2.44</td><td>2.77</td><td>3.01</td><td>3.74</td><td></td></tr><tr><td>2024/11/18</td><td>1.72</td><td>1.83</td><td>1.37</td><td>1.48</td><td>1.72</td><td>1.96</td><td>2.11</td><td>2.32</td><td>4.33</td><td>4.42</td><td>1.87</td><td>2.24</td><td>2.00</td><td>2.17</td><td>2.33</td><td>2.43</td><td>2.03</td><td>2.22</td><td>2.39</td><td>2.00</td><td>2.16</td><td>2.30</td><td>2.50</td><td>3.02</td><td>3.77</td><td></td></tr><tr><td>2024/11/29</td><td>1.64</td><td>1.82</td><td>1.37</td><td>1.41</td><td>1.66</td><td>1.88</td><td>2.02</td><td>2.20</td><td>4.30</td><td>4.18</td><td>1.80</td><td>1.99</td><td>1.95</td><td>2.08</td><td>2.19</td><td>2.30</td><td>1.97</td><td>2.13</td><td>2.24</td><td>1.98</td><td>2.05</td><td>2.23</td><td>2.35</td><td>2.81</td><td>3.67</td><td></td></tr><tr><td>2025/1/2</td><td>1.67</td><td>1.83</td><td>1.07</td><td>1.17</td><td>1.40</td><td>1.53</td><td>1.61</td><td>1.84</td><td>4.17</td><td>4.57</td><td>1.57</td><td>1.98</td><td>1.64</td><td>1.71</td><td>1.78</td><td>1.93</td><td>1.69</td><td>1.76</td><td>1.84</td><td>1.68</td><td>1.78</td><td>1.88</td><td>2.16</td><td>2.42</td><td>3.27</td><td></td></tr><tr><td>2025/1/24</td><td>2.10</td><td>2.90</td><td>1.34</td><td>1.34</td><td>1.47</td><td>1.59</td><td>1.66</td><td>1.89</td><td>4.17</td><td>4.63</td><td>1.74</td><td>2.07</td><td>1.84</td><td>1.85</td><td>1.88</td><td>1.88</td><td>1.86</td><td>1.90</td><td>1.93</td><td>1.87</td><td>1.88</td><td>1.95</td><td>2.33</td><td>2.45</td><td>3.17</td><td></td></tr><tr><td>2025/2/7</td><td>1.93</td><td>2.22</td><td>1.22</td><td>1.28</td><td>1.39</td><td>1.52</td><td>1.60</td><td>1.80</td><td>4.25</td><td>4.49</td><td>1.67</td><td>2.01</td><td>1.72</td><td>1.75</td><td>1.79</td><td>1.79</td><td>1.76</td><td>1.80</td><td>1.85</td><td>1.80</td><td>1.82</td><td>1.89</td><td>2.24</td><td>2.40</td><td>3.11</td><td></td></tr><tr><td>2025/2/28</td><td>2.13</td><td>2.14</td><td>1.46</td><td>1.52</td><td>1.60</td><td>1.69</td><td>1.72</td><td>1.91</td><td>4.08</td><td>4.24</td><td>1.99</td><td>2.32</td><td>2.08</td><td>2.06</td><td>2.08</td><td>2.19</td><td>2.19</td><td>2.10</td><td>2.12</td><td>2.17</td><td>2.04</td><td>2.09</td><td>2.16</td><td>2.48</td><td>2.60</td><td>3.15</td></tr><tr><td>2025/3/7</td><td>1.81</td><td>1.81</td><td>1.55</td><td>1.59</td><td>1.67</td><td>1.78</td><td>1.80</td><td>1.98</td><td>4.05</td><td>4.32</td><td>2.03</td><td>2.33</td><td>2.10</td><td>2.14</td><td>2.19</td><td>2.32</td><td>2.12</td><td>2.20</td><td>2.27</td><td>2.07</td><td>2.13</td><td>2.20</td><td>2.49</td><td>2.68</td><td>3.20</td><td></td></tr><tr><td>2025/3/14</td><td>1.81</td><td>1.83</td><td>1.56</td><td>1.62</td><td>1.64</td><td>1.77</td><td>1.83</td><td>2.04</td><td>4.09</td><td>4.31</td><td>1.96</td><td>2.25</td><td>2.04</td><td>2.12</td><td>2.19</td><td>2.33</td><td>2.08</td><td>2.17</td><td>2.27</td><td>2.05</td><td>2.14</td><td>2.25</td><td>2.46</td><td>2.68</td><td>3.26</td><td></td></tr><tr><td>2025/3/17</td><td>1.90</td><td>1.92</td><td>1.59</td><td>1.69</td><td>1.71</td><td>1.86</td><td>1.90</td><td>2.12</td><td>4.11</td><td>4.31</td><td>1.97</td><td>2.27</td><td>2.05</td><td>2.16</td><td>2.25</td><td>2.36</td><td>2.10</td><td>2.22</td><td>2.34</td><td>2.05</td><td>2.16</td><td>2.29</td><td>2.46</td><td>2.68</td><td>3.28</td><td></td></tr><tr><td>2025/3/25</td><td>1.91</td><td>2.20</td><td>1.54</td><td>1.63</td><td>1.68</td><td>1.79</td><td>1.82</td><td>2.03</td><td>4.09</td><td>4.31</td><td>1.90</td><td>2.19</td><td>1.98</td><td>2.04</td><td>2.10</td><td>2.25</td><td>2.00</td><td>2.07</td><td>2.18</td><td>1.97</td><td>2.04</td><td>2.16</td><td>2.33</td><td>2.59</td><td>3.22</td><td></td></tr><tr><td>2025/4/3</td><td>1.70</td><td>1.74</td><td>1.48</td><td>1.53</td><td>1.56</td><td>1.65</td><td>1.72</td><td>1.91</td><td>3.92</td><td>4.06</td><td>1.80</td><td>2.09</td><td>1.86</td><td>1.93</td><td>1.99</td><td>2.14</td><td>1.88</td><td>1.98</td><td>2.05</td><td>1.89</td><td>1.97</td><td>2.05</td><td>2.16</td><td>2.45</td><td>3.12</td><td></td></tr><tr><td>2025/4/30</td><td>1.80</td><td>1.84</td><td>1.46</td><td>1.48</td><td>1.52</td><td>1.58</td><td>1.62</td><td>1.82</td><td>3.85</td><td>4.17</td><td>1.74</td><td>1.99</td><td>1.79</td><td>1.88</td><td>1.95</td><td>2.09</td><td>1.80</td><td>1.94</td><td>2.01</td><td>1.83</td><td>1.93</td><td>2.03</td><td>2.10</td><td>2.45</td><td>3.06</td><td></td></tr><tr><td>2025/5/9</td><td>1.54</td><td>1.58</td><td>1.42</td><td>1.46</td><td>1.50</td><td>1.57</td><td>1.64</td><td>1.84</td><td>4.05</td><td>4.37</td><td>1.66</td><td>1.94</td><td>1.71</td><td>1.82</td><td>1.94</td><td>2.06</td><td>1.71</td><td>1.84</td><td>1.97</td><td>1.77</td><td>1.86</td><td>2.00</td><td>2.05</td><td>2.45</td><td>3.03</td><td></td></tr><tr><td>2025/5/16</td><td>1.64</td><td>1.63</td><td>1.45</td><td>1.51</td><td>1.58</td><td>1.63</td><td>1.68</td><td>1.88</td><td>4.13</td><td>4.43</td><td>1.68</td><td>1.96</td><td>1.74</td><td>1.84</td><td>1.98</td><td>2.11</td><td>1.74</td><td>1.90</td><td>2.02</td><td>1.72</td><td>1.86</td><td>2.00</td><td>2.00</td><td>2.44</td><td>3.04</td><td></td></tr><tr><td>2025/5/20</td><td>1.59</td><td>1.60</td><td>1.45</td><td>1.50</td><td>1.57</td><td>1.62</td><td>1.70</td><td>1.87</td><td>4.12</td><td>4.48</td><td>1.68</td><td>1.94</td><td>1.73</td><td>1.83</td><td>1.95</td><td>2.10</td><td>1.74</td><td>1.87</td><td>1.99</td><td>1.70</td><td>1.84</td><td>1.97</td><td>1.98</td><td>2.42</td><td>3.03</td><td></td></tr><tr><td>2025/5/30</td><td>1.66</td><td>1.74</td><td>1.46</td><td>1.48</td><td>1.56</td><td>1.63</td><td>1.67</td><td>1.90</td><td>4.11</td><td>4.41</td><td>1.71</td><td>1.95</td><td>1.77</td><td>1.87</td><td>1.96</td><td>2.10</td><td>1.77</td><td>1.90</td><td>2.02</td><td>1.74</td><td>1.84</td><td>1.96</td><td>1.93</td><td>2.03</td><td>2.33</td><td></td></tr><tr><td>2025/6/27</td><td>1.70</td><td>1.92</td><td>1.35</td><td>1.39</td><td>1.51</td><td>1.60</td><td>1.65</td><td>1.85</td><td>3.97</td><td>4.29</td><td>1.64</td><td>1.88</td><td>1.74</td><td>1.84</td><td>1.91</td><td>2.02</td><td>1.74</td><td>1.86</td><td>1.96</td><td>1.73</td><td>1.85</td><td>1.91</td><td>1.95</td><td>2.26</td><td>2.81</td><td></td></tr><tr><td>2025/7/4</td><td>1.42</td><td>1.49</td><td>1.34</td><td>1.38</td><td>1.49</td><td>1.60</td><td>1.64</td><td>1.85</td><td>4.07</td><td>4.35</td><td>1.59</td><td>1.83</td><td>1.65</td><td>1.75</td><td>1.85</td><td>1.97</td><td>1.66</td><td>1.81</td><td>1.90</td><td>1.69</td><td>1.78</td><td>1.86</td><td>1.88</td><td>2.22</td><td>2.76</td><td></td></tr><tr><td>2025/7/29</td><td>1.56</td><td>1.61</td><td>1.41</td><td>1.48</td><td>1.61</td><td>1.71</td><td>1.75</td><td>2.00</td><td>4.07</td><td>4.34</td><td>1.68</td><td>1.92</td><td>1.74</td><td>1.92</td><td>2.02</td><td>2.14</td><td>1.76</td><td>1.96</td><td>2.08</td><td>1.73</td><td>1.90</td><td>2.00</td><td>1.96</td><td>2.33</td><td>2.84</td><td></td></tr><tr><td>2025/8/29</td><td>1.52</td><td>1.52</td><td>1.37</td><td>1.48</td><td>1.63</td><td>1.73</td><td>1.78</td><td>2.02</td><td>3.83</td><td>4.23</td><td>1.66</td><td>1.92</td><td>1.71</td><td>1.94</td><td>2.07</td><td>2.23</td><td>1.73</td><td>1.96</td><td>2.18</td><td>1.72</td><td>1.94</td><td>2.07</td><td>1.95</td><td>2.43</td><td>2.92</td><td></td></tr><tr><td>2025/9/10</td><td>1.48</td><td>1.50</td><td>1.42</td><td>1.50</td><td>1.65</td><td>1.78</td><td>1.82</td><td>2.09</td><td>3.66</td><td>4.04</td><td>1.68</td><td>1.92</td><td>1.75</td><td>2.02</td><td>2.16</td><td>2.33</td><td>1.76</td><td>2.04</td><td>2.30</td><td>1.71</td><td>1.98</td><td>2.05</td><td>1.99</td><td>2.43</td><td>2.92</td><td></td></tr><tr><td>2025/9/26</td><td>1.53</td><td>1.55</td><td>1.38</td><td>1.54</td><td>1.62</td><td>1.80</td><td>1.80</td><td>2.12</td><td>3.68</td><td>4.18</td><td>1.69</td><td>1.94</td><td>1.80</td><td>2.11</td><td>2.31</td><td>2.52</td><td>1.82</td><td>2.17</td><td>2.41</td><td>1.77</td><td>2.07</td><td>2.20</td><td>2.04</td><td>2.59</td><td>2.98</td><td></td></tr><tr><td>2025/10/31</td><td>1.50</td><td>1.59</td><td>1.38</td><td>1.41</td><td>1.56</td><td>1.68</td><td>1.79</td><td>2.15</td><td>3.70</td><td>4.08</td><td>1.64</td><td>1.89</td><td>1.68</td><td>1.92</td><td>2.16</td><td>2.35</td><td>1.70</td><td>1.97</td><td>2.19</td><td>1.69</td><td>1.89</td><td>2.05</td><td>1.86</td><td>2.44</td><td>2.85</td><td></td></tr><tr><td>2025/11/28</td><td>1.47</td><td>1.52</td><td>1.40</td><td>1.44</td><td>1.62</td><td>1.74</td><td>1.83</td><td>2.18</td><td>3.61</td><td>4.02</td><td>1.64</td><td>1.91</td><td>1.72</td><td>1.98</td><td>2.20</td><td>2.43</td><td>1.73</td><td>2.04</td><td>2.29</td><td>1.72</td><td>1.94</td><td>2.07</td><td>1.88</td><td>2.46</td><td>2.81</td><td></td></tr><tr><td>2025/12/26</td><td>1.52</td><td>1.53</td><td>1.29</td><td>1.36</td><td>1.59</td><td>1.70</td><td>1.84</td><td>2.22</td><td>3.49</td><td>4.14</td><td>1.64</td><td>1.88</td><td>1.75</td><td>2.00</td><td>2.22</td><td>2.43</td><td>1.78</td><td>2.04</td><td>2.26</td><td>1.72</td><td>1.86</td><td>2.02</td><td>1.92</td><td>2.42</td><td>2.94</td><td></td></tr><tr><td>2026/1/9</td><td>1.47</td><td>1.52</td><td>1.29</td><td>1.46</td><td>1.66</td><td>1.76</td><td>1.89</td><td>2.30</td><td>3.52</td><td>4.18</td><td>1.63</td><td>1.88</td><td>1.70</td><td>1.97</td><td>2.22</td><td>2.45</td><td>1.71</td><td>2.01</td><td>2.27</td><td>1.70</td><td>1.90</td><td>2.03</td><td>1.92</td><td>2.41</td><td>2.94</td><td></td></tr><tr><td>2026/1/16</td><td>1.44</td><td>1.51</td><td>1.24</td><td>1.43</td><td>1.61</td><td>1.72</td><td>1.84</td><td>2.30</td><td>3.55</td><td>4.24</td><td>1.63</td><td>1.87</td><td>1.70</td><td>1.92</td><td>2.17</td><td>2.34</td><td>1.70</td><td>1.97</td><td>2.22</td><td>1.71</td><td>1.89</td><td>2.00</td><td>1.91</td><td>2.38</td><td>2.95</td><td></td></tr><tr><td>2026/1/23</td><td>1.49</td><td>1.54</td><td>1.28</td><td>1.42</td><td>1.60</td><td>1.69</td><td>1.83</td><td>2.25</td><td>3.53</td><td>4.24</td><td>1.60</td><td>1.84</td><td>1.68</td><td>1.90</td><td>2.15</td><td>2.32</td><td>1.69</td><td>1.93</td><td>1.93</td><td>2.21</td><td>1.70</td><td>1.85</td><td>2.00</td><td>1.87</td><td>2.32</td><td>2.90</td></tr><tr><td colspan="32">2024年初至今修正久期</td><td></td></tr><tr><td colspan="32"></td><td></td></tr><tr><td colspan="32"></td><td></td></tr><tr><td colspan="33"></td></tr><tr><td colspan="32"></td><td></td></tr><tr><td colspan="32"></td><td></td></tr><tr><td colspan="31"></td><td></td><td></td></tr><tr><td colspan="31"></td><td></td><td></td></tr><tr><td colspan="30"></td><td></td><td></td><td></td></tr><tr><td colspan="30"></td><td></td><td></td><td></td></tr><tr><td colspan="30"></td><td></td><td></td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 数据来源：Wind、DM,浙商证券研究所；注：统计时间截至2026年1月23日,使用中债隐含评级, 10Y及30Y国债使用活跃券收益率，红字表示活跃券切换 国开&地方债&信用利差情况 <table><tr><td rowspan="2">日期</td><td>政策利率(%)</td><td colspan="6">国开债(%)</td><td colspan="6">地方政府债(%)</td><td colspan="5">AAA+超长债(%)</td><td colspan="3">二级资本债利差</td><td colspan="3">永续债利差</td><td colspan="6">城投债利差</td><td></td></tr><tr><td>OMO7D</td><td>1Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>30Y</td><td>1Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>30Y</td><td>10Y</td><td>15Y</td><td>20Y</td><td>30Y</td><td>AAA-3Y</td><td>3Y</td><td>5Y</td><td>AAA-3Y</td><td>5Y</td><td>1Y</td><td>3Y</td><td>5Y</td><td>1Y</td><td>AA-3Y</td><td>5Y</td><td></td><td></td><td></td></tr><tr><td>2023/12/29</td><td rowspan="3">1.8</td><td>2.20</td><td>2.34</td><td>2.49</td><td>2.49</td><td>2.68</td><td>2.68</td><td>2.29</td><td>2.57</td><td>2.64</td><td>2.64</td><td>2.74</td><td>2.85</td><td>2.97</td><td>3.05</td><td>3.09</td><td>3.15</td><td>30</td><td>45</td><td>51</td><td>52</td><td>56</td><td>60</td><td>39</td><td>43</td><td>44</td><td>94</td><td>246</td><td>346</td><td></td><td></td></tr><tr><td>2024/3/29</td><td>1.84</td><td>2.17</td><td>2.27</td><td>2.27</td><td>2.44</td><td>2.41</td><td>1.98</td><td>2.21</td><td>2.34</td><td>2.34</td><td>2.50</td><td>2.56</td><td>2.68</td><td>2.74</td><td>2.82</td><td>2.83</td><td>22</td><td>51</td><td>35</td><td>35</td><td>35</td><td>56</td><td>41</td><td>51</td><td>41</td><td>40</td><td>87</td><td>122</td><td>204</td><td></td></tr><tr><td>2024/6/28</td><td>1.69</td><td>1.94</td><td>2.03</td><td>2.03</td><td>2.20</td><td>2.29</td><td>1.66</td><td>1.95</td><td>2.15</td><td>2.15</td><td>2.25</td><td>2.36</td><td>2.43</td><td>2.48</td><td>2.53</td><td>2.57</td><td>12</td><td>32</td><td>19</td><td>20</td><td>32</td><td>22</td><td>34</td><td>25</td><td>25</td><td>56</td><td>67</td><td>122</td><td></td><td></td></tr><tr><td rowspan="2">2024/7/31</td><td rowspan="6">1.7</td><td>1.65</td><td>1.84</td><td>1.90</td><td>1.90</td><td>2.08</td><td>2.22</td><td>1.56</td><td>1.82</td><td>2.01</td><td>2.01</td><td>2.13</td><td>2.27</td><td>2.29</td><td>2.32</td><td>2.38</td><td>2.41</td><td>13</td><td>27</td><td>18</td><td>25</td><td>27</td><td>21</td><td>29</td><td>23</td><td>23</td><td>48</td><td>57</td><td>95</td><td></td><td></td></tr><tr><td rowspan="5">1.59</td><td>1.80</td><td>1.89</td><td>1.89</td><td>2.05</td><td>2.19</td><td>1.53</td><td>1.81</td><td>1.94</td><td>1.94</td><td>2.10</td><td>2.24</td><td>2.25</td><td>2.28</td><td>2.34</td><td>2.37</td><td>10</td><td>28</td><td>18</td><td>21</td><td>29</td><td>20</td><td>32</td><td>20</td><td>19</td><td>51</td><td>55</td><td>87</td><td></td><td></td></tr><tr><td>2024/8/5</td><td>1.71</td><td>1.87</td><td>1.97</td><td>1.97</td><td>2.12</td><td>2.26</td><td>1.61</td><td>1.85</td><td>2.01</td><td>2.01</td><td>2.16</td><td>2.27</td><td>2.43</td><td>2.48</td><td>2.52</td><td>18</td><td>34</td><td>30</td><td>29</td><td>35</td><td>33</td><td>37</td><td>32</td><td>31</td><td>69</td><td>73</td><td>97</td><td></td><td></td></tr><tr><td>2024/8/30</td><td>1.66</td><td>1.79</td><td>1.86</td><td>1.86</td><td>2.04</td><td>2.15</td><td>1.59</td><td>1.79</td><td>1.89</td><td>1.89</td><td>2.03</td><td>2.16</td><td>2.31</td><td>2.35</td><td>2.42</td><td>2.45</td><td>21</td><td>35</td><td>30</td><td>32</td><td>38</td><td>34</td><td>38</td><td>34</td><td>72</td><td>93</td><td>131</td><td></td><td></td></tr><tr><td>2024/9/24</td><td>1.65</td><td>1.88</td><td>1.95</td><td>1.95</td><td>2.16</td><td>2.25</td><td>1.56</td><td>1.80</td><td>1.96</td><td>1.96</td><td>2.20</td><td>2.32</td><td>2.50</td><td>2.53</td><td>2.61</td><td>2.63</td><td>27</td><td>56</td><td>45</td><td>48</td><td>60</td><td>50</td><td>53</td><td>45</td><td>43</td><td>96</td><td>108</td><td>143</td><td></td></tr><tr><td>2024/9/30</td><td>1.65</td><td>1.86</td><td>1.88</td><td>1.88</td><td>2.16</td><td>2.22</td><td>1.56</td><td>1.82</td><td>2.02</td><td>2.02</td><td>2.22</td><td>2.32</td><td>2.51</td><td>2.57</td><td>2.60</td><td>2.60</td><td>39</td><td>38</td><td>39</td><td>49</td><td>42</td><td>46</td><td>40</td><td>44</td><td>55</td><td>106</td><td>114</td><td>186</td><td></td></tr><tr><td rowspan="2">2024/10/31</td><td rowspan="30">1.5</td><td rowspan="30">1.71</td><td>1.86</td><td>1.88</td><td>1.88</td><td>2.16</td><td>2.22</td><td>1.56</td><td>1.82</td><td>2.02</td><td>2.02</td><td>2.22</td><td>2.32</td><td>2.51</td><td>2.57</td><td>2.60</td><td>2.60</td><td>39</td><td>38</td><td>39</td><td>49</td><td>42</td><td>46</td><td>40</td><td>44</td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td>1.65</td><td>1.82</td><td>1.87</td><td>2.11</td><td>2.17</td><td>2.38</td><td>1.54</td><td>1.72</td><td>1.93</td><td>2.14</td><td>2.27</td><td>2.40</td><td>2.38</td><td>2.43</td><td>2.47</td><td>2.50</td><td>35</td><td>35</td><td>47</td><td>38</td><td>40</td><td>53</td><td>35</td><td>34</td><td>43</td><td>85</td><td>120</td><td>191</td><td></td></tr><tr><td>2024/11/29</td><td>1.60</td><td>1.73</td><td>1.77</td><td>1.77</td><td>2.01</td><td>2.10</td><td>1.51</td><td>1.66</td><td>1.87</td><td>1.87</td><td>2.04</td><td>2.20</td><td>2.31</td><td>2.34</td><td>2.41</td><td>2.46</td><td>35</td><td>35</td><td>35</td><td>42</td><td>36</td><td>40</td><td>38</td><td>32</td><td>45</td><td>75</td><td>108</td><td>190</td><td></td></tr><tr><td>2025/1/2</td><td>1.26</td><td>1.41</td><td>1.44</td><td>1.63</td><td>1.66</td><td>1.95</td><td>1.24</td><td>1.39</td><td>1.58</td><td>1.70</td><td>1.82</td><td>2.11</td><td>2.01</td><td>2.11</td><td>2.15</td><td>2.25</td><td>37</td><td>30</td><td>34</td><td>42</td><td>35</td><td>40</td><td>42</td><td>37</td><td>44</td><td>90</td><td>102</td><td>183</td><td></td></tr><tr><td>2025/1/24</td><td>1.48</td><td>1.54</td><td>1.53</td><td>1.69</td><td>1.69</td><td>1.97</td><td>1.37</td><td>1.47</td><td>1.58</td><td>1.73</td><td>1.83</td><td>2.06</td><td>2.01</td><td>2.04</td><td>2.08</td><td>2.19</td><td>35</td><td>30</td><td>35</td><td>38</td><td>35</td><td>40</td><td>39</td><td>34</td><td>42</td><td>85</td><td>91</td><td>164</td><td></td></tr><tr><td>2025/2/7</td><td>1.43</td><td>1.47</td><td>1.46</td><td>1.62</td><td>1.60</td><td>1.90</td><td>1.27</td><td>1.38</td><td>1.59</td><td>1.71</td><td>1.78</td><td>2.02</td><td>1.97</td><td>2.01</td><td>2.03</td><td>2.15</td><td>29</td><td>28</td><td>34</td><td>33</td><td>33</td><td>39</td><td>36</td><td>35</td><td>43</td><td>80</td><td>92</td><td>165</td><td></td></tr><tr><td>2025/2/28</td><td>1.68</td><td>1.72</td><td>1.72</td><td>1.85</td><td>1.74</td><td>2.04</td><td>1.50</td><td>1.61</td><td>1.76</td><td>1.86</td><td>1.98</td><td>2.18</td><td>2.20</td><td>2.20</td><td>2.21</td><td>2.26</td><td>39</td><td>34</td><td>37</td><td>42</td><td>39</td><td>45</td><td>35</td><td>36</td><td>44</td><td>79</td><td>88</td><td>144</td><td></td></tr><tr><td>2025/3/7</td><td>1.68</td><td>1.76</td><td>1.74</td><td>1.92</td><td>1.80</td><td>2.09</td><td>1.60</td><td>1.70</td><td>1.76</td><td>1.90</td><td>2.00</td><td>2.21</td><td>2.27</td><td>2.27</td><td>2.27</td><td>2.30</td><td>42</td><td>38</td><td>45</td><td>44</td><td>44</td><td>53</td><td>38</td><td>37</td><td>46</td><td>80</td><td>92</td><td>146</td><td></td></tr><tr><td>2025/3/14</td><td>1.68</td><td>1.71</td><td>1.72</td><td>1.96</td><td>1.85</td><td>2.17</td><td>1.62</td><td>1.76</td><td>1.89</td><td>1.98</td><td>2.08</td><td>2.29</td><td>2.32</td><td>2.32</td><td>2.32</td><td>2.35</td><td>36</td><td>41</td><td>47</td><td>40</td><td>46</td><td>56</td><td>37</td><td>43</td><td>54</td><td>78</td><td>97</td><td>154</td><td></td></tr><tr><td>2025/3/17</td><td>1.70</td><td>1.76</td><td>1.77</td><td>2.02</td><td>1.94</td><td>2.24</td><td>1.65</td><td>1.83</td><td>1.94</td><td>2.00</td><td>2.11</td><td>2.30</td><td>2.36</td><td>2.36</td><td>2.36</td><td>2.38</td><td>36</td><td>41</td><td>47</td><td>41</td><td>46</td><td>57</td><td>36</td><td>40</td><td>51</td><td>77</td><td>93</td><td>151</td><td></td></tr><tr><td>2025/3/25</td><td>1.64</td><td>1.74</td><td>1.73</td><td>1.93</td><td>1.85</td><td>2.17</td><td>1.65</td><td>1.83</td><td>1.94</td><td>2.00</td><td>2.06</td><td>2.29</td><td>2.26</td><td>2.28</td><td>2.31</td><td>2.35</td><td>34</td><td>30</td><td>36</td><td>36</td><td>33</td><td>45</td><td>32</td><td>30</td><td>43</td><td>68</td><td>85</td><td>148</td><td></td></tr><tr><td>2025/4/3</td><td>1.59</td><td>1.67</td><td>1.62</td><td>1.81</td><td>1.74</td><td>2.03</td><td>1.59</td><td>1.69</td><td>1.84</td><td>1.92</td><td>1.97</td><td>2.17</td><td>2.16</td><td>2.16</td><td>2.24</td><td>2.28</td><td>27</td><td>26</td><td>38</td><td>29</td><td>31</td><td>44</td><td>30</td><td>30</td><td>44</td><td>56</td><td>79</td><td>150</td><td></td></tr><tr><td>2025/4/30</td><td>1.57</td><td>1.63</td><td>1.58</td><td>1.75</td><td>1.66</td><td>2.00</td><td>1.58</td><td>1.62</td><td>1.66</td><td>1.77</td><td>1.88</td><td>2.09</td><td>2.15</td><td>2.18</td><td>2.20</td><td>2.22</td><td>23</td><td>25</td><td>38</td><td>23</td><td>30</td><td>43</td><td>27</td><td>30</td><td>46</td><td>54</td><td>82</td><td>148</td><td></td></tr><tr><td>2025/5/9</td><td>1.47</td><td>1.58</td><td>1.56</td><td>1.72</td><td>1.66</td><td>2.02</td><td>1.54</td><td>1.62</td><td>1.65</td><td>1.73</td><td>1.86</td><td>2.08</td><td>2.13</td><td>2.13</td><td>2.18</td><td>2.19</td><td>24</td><td>24</td><td>38</td><td>24</td><td>26</td><td>41</td><td>29</td><td>28</td><td>44</td><td>58</td><td>86</td><td>147</td><td></td></tr><tr><td>2025/5/16</td><td>1.51</td><td>1.61</td><td>1.62</td><td>1.78</td><td>1.71</td><td>2.06</td><td>1.50</td><td>1.58</td><td>1.68</td><td>1.76</td><td>1.90</td><td>2.13</td><td>2.18</td><td>2.18</td><td>2.19</td><td>2.23</td><td>24</td><td>23</td><td>36</td><td>24</td><td>28</td><td>40</td><td>21</td><td>25</td><td>38</td><td>50</td><td>83</td><td>142</td><td></td></tr><tr><td>2025/5/20</td><td>1.50</td><td>1.61</td><td>1.62</td><td>1.77</td><td>1.70</td><td>2.05</td><td>1.51</td><td>1.56</td><td>1.67</td><td>1.73</td><td>1.88</td><td>2.12</td><td>2.15</td><td>2.16</td><td>2.17</td><td>2.21</td><td>23</td><td>22</td><td>33</td><td>24</td><td>27</td><td>37</td><td>20</td><td>23</td><td>35</td><td>48</td><td>81</td><td>141</td><td></td></tr><tr><td>2025/5/30</td><td>1.53</td><td>1.63</td><td>1.62</td><td>1.78</td><td>1.71</td><td>2.08</td><td>1.51</td><td>1.55</td><td>1.64</td><td>1.77</td><td>1.90</td><td>2.13</td><td>2.13</td><td>2.14</td><td>2.20</td><td>2.21</td><td>24</td><td>24</td><td>34</td><td>24</td><td>27</td><td>39</td><td>21</td><td>21</td><td>34</td><td>48</td><td>70</td><td>130</td><td></td></tr><tr><td>2025/6/27</td><td>1.48</td><td>1.58</td><td>1.57</td><td>1.74</td><td>1.68</td><td>2.03</td><td>1.49</td><td>1.57</td><td>1.67</td><td>1.70</td><td>1.80</td><td>2.05</td><td>2.07</td><td>2.07</td><td>2.07</td><td>2.12</td><td>26</td><td>26</td><td>34</td><td>26</td><td>29</td><td>39</td><td>26</td><td>27</td><td>34</td><td>47</td><td>69</td><td>124</td><td></td></tr><tr><td>2025/7/4</td><td>1.45</td><td>1.56</td><td>1.56</td><td>1.71</td><td>1.69</td><td>2.03</td><td>1.48</td><td>1.53</td><td>1.61</td><td>1.71</td><td>1.77</td><td>2.02</td><td>2.03</td><td>2.06</td><td>2.06</td><td>2.09</td><td>20</td><td>19</td><td>28</td><td>21</td><td>25</td><td>33</td><td>24</td><td>22</td><td>30</td><td>43</td><td>67</td><td>119</td><td></td></tr><tr><td>2025/7/29</td><td>1.52</td><td>1.68</td><td>1.71</td><td>1.84</td><td>1.82</td><td>2.10</td><td>1.46</td><td>1.57</td><td>1.67</td><td>1.75</td><td>1.83</td><td>2.10</td><td>2.18</td><td>2.18</td><td>2.18</td><td>2.20</td><td>22</td><td>24</td><td>31</td><td>24</td><td>28</td><td>37</td><td>21</td><td>22</td><td>29</td><td>45</td><td>66</td><td>112</td><td></td></tr><tr><td>2025/8/29</td><td>1.53</td><td>1.69</td><td>1.77</td><td>1.90</td><td>1.88</td><td>2.20</td><td>1.49</td><td>1.58</td><td>1.75</td><td>1.91</td><td>1.96</td><td>2.31</td><td>2.25</td><td>2.26</td><td>2.27</td><td>2.33</td><td>18</td><td>25</td><td>30</td><td>20</td><td>27</td><td>41</td><td>18</td><td>24</td><td>30</td><td>41</td><td>74</td><td>115</td><td></td></tr><tr><td>2025/9/10</td><td>1.58</td><td>1.75</td><td>1.84</td><td>1.95</td><td>2.01</td><td>2.28</td><td>1.54</td><td>1.60</td><td>1.85</td><td>1.99</td><td>2.01</td><td>2.33</td><td>2.34</td><td>2.34</td><td>2.36</td><td>2.41</td><td>16</td><td>27</td><td>32</td><td>18</td><td>29</td><td>46</td><td>13</td><td>23</td><td>22</td><td>41</td><td>68</td><td>108</td><td></td></tr><tr><td>2025/9/26</td><td>1.62</td><td>1.80</td><td>1.82</td><td>1.97</td><td>2.04</td><td>2.34</td><td>1.49</td><td>1.63</td><td>1.85</td><td>1.99</td><td>2.10</td><td>2.40</td><td>2.44</td><td>2.49</td><td>2.51</td><td>2.55</td><td>18</td><td>31</td><td>49</td><td>20</td><td>37</td><td>60</td><td>14</td><td>27</td><td>39</td><td>42</td><td>79</td><td>116</td><td></td></tr><tr><td>2025/10/30</td><td>1.60</td><td>1.72</td><td>1.76</td><td>1.92</td><td>1.96</td><td>2.33</td><td>1.46</td><td>1.59</td><td>1.73</td><td>1.90</td><td>2.00</td><td>2.39</td><td>2.28</td><td>2.38</td><td>2.41</td><td>2.47</td><td>9</td><td>20</td><td>40</td><td>10</td><td>25</td><td>43</td><td>9</td><td>17</td><td>28</td><td>26</td><td>72</td><td>109</td><td></td></tr><tr><td>2025/11/20</td><td>1.62</td><td>1.77</td><td>1.77</td><td>1.90</td><td>1.94</td><td>2.30</td><td>1.47</td><td>1.60</td><td>1.71</td><td>1.83</td><td>1.99</td><td>2.35</td><td>2.29</td><td>2.39</td><td>2.42</td><td>2.48</td><td>8</td><td>20</td><td>39</td><td>8</td><td>25</td><td>46</td><td>7</td><td>17</td><td>23</td><td>23</td><td>68</td><td>101</td><td></td></tr><tr><td>2025/11/27</td><td>1.63</td><td>1.73</td><td>1.81</td><td>1.94</td><td>2.00</td><td>2.34</td><td>1.46</td><td>1.60</td><td>1.74</td><td>1.82</td><td>2.04</td><td>2.38</td><td>2.36</td><td>2.43</td><td>2.45</td><td>2.51</td><td>9</td><td>27</td><td>40</td><td>10</td><td>32</td><td>50</td><td>9</td><td>22</td><td>26</td><td>25</td><td>73</td><td>100</td><td></td></tr><tr><td>2025/12/26</td><td>1.53</td><td>1.67</td><td>1.78</td><td>1.94</td><td>1.98</td><td>2.39</td><td>1.41</td><td>1.58</td><td>1.67</td><td>1.82</td><td>2.04</td><td>2.38</td><td>2.36</td><td>2.44</td><td>2.47</td><td>2.55</td><td>23</td><td>32</td><td>44</td><td>25</td><td>37</td><td>48</td><td>19</td><td>19</td><td>24</td><td>40</td><td>74</td><td>115</td><td></td></tr><tr><td>2026/1/9</td><td>1.58</td><td>1.73</td><td>1.85</td><td>1.98</td><td>2.03</td><td>2.45</td><td>1.40</td><td>1.65</td><td>1.75</td><td>1.86</td><td>2.11</td><td>2.48</td><td>2.37</td><td>2.47</td><td>2.49</td><td>2.57</td><td>13</td><td>25</td><td>37</td><td>13</td><td>29</td><td>42</td><td>12</td><td>17</td><td>18</td><td>34</td><td>69</td><td>109</td><td></td></tr><tr><td>2026/1/16</td><td>1.59</td><td>1.71</td><td>1.82</td><td>1.95</td><td>2.02</td><td>2.45</td><td>1.32</td><td>1.59</td><td>1.74</td><td>1.82</td><td>2.06</td><td>2.48</td><td>2.34</td><td>2.45</td><td>2.49</td><td>2.56</td><td>10</td><td>21</td><td>35</td><td>11</td><td>26</td><td>41</td><td>11</td><td>18</td><td>18</td><td>31</td><td>67</td><td>113</td><td></td></tr><tr><td>2026/1/23</td><td>1.58</td><td>1.70</td><td>1.79</td><td>1.92</td><td>1.97</td><td>2.42</td><td>1.30</td><td>1.53</td><td>1.73</td><td>1.81</td><td>2.04</td><td>2.43</td><td>2.32</td><td>2.40</td><td>2.46</td><td>2.54</td><td>10</td><td>20</td><td>35</td><td>11</td><td>23</td><td>42</td><td>12</td><td>15</td><td>20</td><td>30</td><td>62</td><td>111</td><td></td></tr></table> 数据来源：Wind、DM,浙商证券研究所；注：信用利差由同期限信用债减国开债利率计算得出,统计时间截至2026年1月23日 信用-国开：利差分位数情况 <table><tr><td rowspan="3">日期</td><td colspan="3">银行普通债利差分位数(%)</td><td colspan="3">二级资本债利差分位数(%)</td><td colspan="3">永续债利差分位数(%)</td><td colspan="6">城投债利差分位数(%)</td></tr><tr><td colspan="3">AAA</td><td colspan="3">AAA-</td><td colspan="3">AAA-</td><td colspan="3">AAA</td><td colspan="3">AA-</td></tr><tr><td>1Y</td><td>3Y</td><td>5Y</td><td>1Y</td><td>3Y</td><td>5Y</td><td>1Y</td><td>3Y</td><td>5Y</td><td>1Y</td><td>3Y</td><td>5Y</td><td>1Y</td><td>3Y</td><td>5Y</td></tr><tr><td>2024/6/28</td><td>94</td><td>50</td><td>56</td><td>67</td><td>17</td><td>0</td><td>33</td><td>28</td><td>0</td><td>89</td><td>94</td><td>72</td><td>89</td><td>44</td><td>0</td></tr><tr><td>2024/7/31</td><td>51</td><td>51</td><td>80</td><td>20</td><td>41</td><td>88</td><td>15</td><td>24</td><td>29</td><td>71</td><td>83</td><td>46</td><td>15</td><td>32</td><td>0</td></tr><tr><td>2024/8/5</td><td>52</td><td>52</td><td>7</td><td>43</td><td>34</td><td>14</td><td>32</td><td>11</td><td>0</td><td>77</td><td>61</td><td>0</td><td>59</td><td>9</td><td>0</td></tr><tr><td>2024/8/30</td><td>87</td><td>94</td><td>98</td><td>89</td><td>95</td><td>95</td><td>90</td><td>95</td><td>97</td><td>100</td><td>97</td><td>98</td><td>100</td><td>97</td><td>37</td></tr><tr><td>2024/9/24</td><td>52</td><td>75</td><td>100</td><td>82</td><td>82</td><td>95</td><td>90</td><td>95</td><td>90</td><td>95</td><td>100</td><td>100</td><td>99</td><td>100</td><td>87</td></tr><tr><td>2024/9/30</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>100</td><td>95</td></tr><tr><td>2024/10/31</td><td>21</td><td>95</td><td>100</td><td>87</td><td>87</td><td>93</td><td>90</td><td>91</td><td>94</td><td>91</td><td>96</td><td>98</td><td>95</td><td>95</td><td>100</td></tr><tr><td>2024/11/29</td><td>27</td><td>65</td><td>85</td><td>70</td><td>75</td><td>73</td><td>60</td><td>75</td><td>71</td><td>77</td><td>56</td><td>84</td><td>67</td><td>77</td><td>85</td></tr><tr><td>2025/1/24</td><td>98</td><td>62</td><td>62</td><td>69</td><td>47</td><td>53</td><td>75</td><td>56</td><td>52</td><td>83</td><td>65</td><td>60</td><td>74</td><td>52</td><td>56</td></tr><tr><td>2025/2/7</td><td>52</td><td>60</td><td>61</td><td>13</td><td>36</td><td>48</td><td>32</td><td>44</td><td>50</td><td>62</td><td>71</td><td>67</td><td>65</td><td>54</td><td>58</td></tr><tr><td>2025/2/28</td><td>95</td><td>82</td><td>45</td><td>89</td><td>72</td><td>59</td><td>89</td><td>73</td><td>67</td><td>58</td><td>77</td><td>73</td><td>67</td><td>47</td><td>45</td></tr><tr><td>2025/3/7</td><td>92</td><td>68</td><td>48</td><td>93</td><td>85</td><td>80</td><td>93</td><td>89</td><td>84</td><td>80</td><td>83</td><td>87</td><td>68</td><td>57</td><td>44</td></tr><tr><td>2025/3/14</td><td>67</td><td>88</td><td>62</td><td>71</td><td>89</td><td>84</td><td>79</td><td>89</td><td>92</td><td>69</td><td>91</td><td>98</td><td>62</td><td>66</td><td>55</td></tr><tr><td>2025/3/17</td><td>53</td><td>79</td><td>51</td><td>67</td><td>88</td><td>86</td><td>82</td><td>89</td><td>94</td><td>56</td><td>88</td><td>94</td><td>57</td><td>59</td><td>52</td></tr><tr><td>2025/4/3</td><td>4</td><td>32</td><td>65</td><td>4</td><td>30</td><td>60</td><td>7</td><td>32</td><td>55</td><td>19</td><td>41</td><td>65</td><td>25</td><td>36</td><td>52</td></tr><tr><td>2025/4/30</td><td>11</td><td>29</td><td>58</td><td>0</td><td>21</td><td>56</td><td>0</td><td>23</td><td>47</td><td>5</td><td>36</td><td>79</td><td>21</td><td>36</td><td>42</td></tr><tr><td>2025/5/9</td><td>14</td><td>21</td><td>53</td><td>1</td><td>18</td><td>56</td><td>1</td><td>18</td><td>37</td><td>21</td><td>23</td><td>64</td><td>29</td><td>43</td><td>35</td></tr><tr><td>2025/5/16</td><td>11</td><td>26</td><td>35</td><td>3</td><td>25</td><td>46</td><td>2</td><td>28</td><td>38</td><td>0</td><td>24</td><td>37</td><td>7</td><td>42</td><td>35</td></tr><tr><td>2025/5/20</td><td>3</td><td>26</td><td>32</td><td>3</td><td>25</td><td>33</td><td>3</td><td>26</td><td>32</td><td>0</td><td>23</td><td>34</td><td>3</td><td>39</td><td>33</td></tr><tr><td>2025/5/30</td><td>16</td><td>26</td><td>35</td><td>7</td><td>31</td><td>38</td><td>7</td><td>27</td><td>38</td><td>3</td><td>18</td><td>34</td><td>7</td><td>24</td><td>28</td></tr><tr><td>2025/6/27</td><td>26</td><td>34</td><td>41</td><td>20</td><td>42</td><td>46</td><td>16</td><td>33</td><td>43</td><td>12</td><td>33</td><td>34</td><td>6</td><td>24</td><td>25</td></tr><tr><td>2025/7/4</td><td>2</td><td>6</td><td>22</td><td>0</td><td>12</td><td>17</td><td>0</td><td>17</td><td>17</td><td>13</td><td>18</td><td>18</td><td>1</td><td>17</td><td>21</td></tr><tr><td>2025/7/11</td><td>0</td><td>16</td><td>16</td><td>0</td><td>18</td><td>17</td><td>0</td><td>19</td><td>17</td><td>2</td><td>14</td><td>16</td><td>0</td><td>14</td><td>18</td></tr><tr><td>2025/7/18</td><td>1</td><td>1</td><td>18</td><td>0</td><td>10</td><td>18</td><td>0</td><td>15</td><td>17</td><td>2</td><td>1</td><td>17</td><td>0</td><td>18</td><td>18</td></tr><tr><td>2025/7/25</td><td>9</td><td>12</td><td>16</td><td>6</td><td>37</td><td>27</td><td>11</td><td>37</td><td>33</td><td>10</td><td>13</td><td>21</td><td>11</td><td>20</td><td>16</td></tr><tr><td>2025/7/29</td><td>20</td><td>14</td><td>16</td><td>9</td><td>34</td><td>27</td><td>19</td><td>34</td><td>28</td><td>8</td><td>24</td><td>20</td><td>10</td><td>21</td><td>18</td></tr><tr><td>2025/8/29</td><td>2</td><td>25</td><td>10</td><td>6</td><td>38</td><td>26</td><td>8</td><td>28</td><td>54</td><td>7</td><td>34</td><td>26</td><td>7</td><td>39</td><td>25</td></tr><tr><td>2025/9/10</td><td>5</td><td>12</td><td>0</td><td>5</td><td>51</td><td>35</td><td>5</td><td>43</td><td>75</td><td>0</td><td>27</td><td>4</td><td>8</td><td>26</td><td>12</td></tr><tr><td>2025/9/26</td><td>3</td><td>3</td><td>34</td><td>11</td><td>70</td><td>96</td><td>14</td><td>73</td><td>98</td><td>4</td><td>44</td><td>53</td><td>13</td><td>50</td><td>30</td></tr><tr><td>2025/10/30</td><td>2</td><td>18</td><td>25</td><td>1</td><td>11</td><td>73</td><td>3</td><td>15</td><td>55</td><td>2</td><td>1</td><td>20</td><td>1</td><td>35</td><td>13</td></tr><tr><td>2025/11/27</td><td>3</td><td>30</td><td>1</td><td>8</td><td>52</td><td>75</td><td>6</td><td>57</td><td>80</td><td>4</td><td>31</td><td>21</td><td>4</td><td>40</td><td>7</td></tr><tr><td>2025/12/25</td><td>21</td><td>48</td><td>5</td><td>37</td><td>76</td><td>83</td><td>41</td><td>80</td><td>73</td><td>31</td><td>16</td><td>11</td><td>18</td><td>42</td><td>33</td></tr><tr><td>2026/1/8</td><td>16</td><td>28</td><td>1</td><td>12</td><td>46</td><td>53</td><td>11</td><td>46</td><td>45</td><td>12</td><td>5</td><td>1</td><td>12</td><td>28</td><td>20</td></tr><tr><td>2026/1/15</td><td>11</td><td>14</td><td>1</td><td>10</td><td>21</td><td>33</td><td>10</td><td>22</td><td>33</td><td>10</td><td>9</td><td>1</td><td>10</td><td>23</td><td>25</td></tr><tr><td>2026/1/23</td><td>10</td><td>6</td><td>2</td><td>11</td><td>13</td><td>46</td><td>11</td><td>10</td><td>48</td><td>15</td><td>0</td><td>7</td><td>8</td><td>11</td><td>26</td></tr><tr><td>2024年6月至今(pct)</td><td>-84</td><td>-44</td><td>-53</td><td>-55</td><td>-4</td><td>46</td><td>-22</td><td>-18</td><td>48</td><td>-74</td><td>-94</td><td>-65</td><td>-80</td><td>-34</td><td>26</td></tr><tr><td>过去一周变化</td><td>-1</td><td>-8</td><td>2</td><td>1</td><td>-8</td><td>12</td><td>1</td><td>-12</td><td>16</td><td>5</td><td>-9</td><td>7</td><td>-2</td><td>-13</td><td>0</td></tr></table> 数据来源：Wind,浙商证券研究所；注：统计自2024年6月末以来利差分位数,统计时间截至2026年1月23日 # 各券种比价情况 单位：bp 数据来源：Wind，浙商证券研究所；注：统计时间截至2026年1月22日 # 各品种利差走势一览 银行二级资本债-国开 <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA-</td><td>9.09</td><td>8.60</td><td>19.81</td><td>35.41</td><td>39.09</td><td>44.59</td><td>27.02</td></tr><tr><td>AA+</td><td>9.64</td><td>10.64</td><td>20.40</td><td>40.01</td><td>40.98</td><td>50.57</td><td>30.11</td></tr><tr><td>AA</td><td>14.64</td><td>16.65</td><td>28.40</td><td>55.01</td><td>58.98</td><td>68.57</td><td>48.11</td></tr><tr><td>AA-</td><td>28.64</td><td>31.65</td><td>45.40</td><td>87.01</td><td>93.98</td><td>103...</td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 类型 全选 一年历史分位(%) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA-</td><td>11</td><td>0</td><td>9</td><td>45</td><td>65</td><td>53</td><td>60</td></tr><tr><td>AA+</td><td>5</td><td>0</td><td>1</td><td>33</td><td>63</td><td>60</td><td>59</td></tr><tr><td>AA</td><td>8</td><td>0</td><td>4</td><td>26</td><td>43</td><td>42</td><td>30</td></tr><tr><td>AA-</td><td>11</td><td>0</td><td>0</td><td>22</td><td>42</td><td>41</td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 一月变动(bp) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA-</td><td>-10</td><td>-14</td><td>-11</td><td>-7</td><td>-9</td><td>-10</td><td>-6</td></tr><tr><td>AA+</td><td>-10</td><td>-13</td><td>-12</td><td>-7</td><td>-10</td><td>-12</td><td>-9</td></tr><tr><td>AA</td><td>-10</td><td>-12</td><td>-12</td><td>-8</td><td>-9</td><td>-11</td><td>-9</td></tr><tr><td>AA-</td><td>-8</td><td>-10</td><td>-9</td><td>-7</td><td>-9</td><td>-11</td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 银行永续债-国开 <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA-</td><td>9.89</td><td>12.61</td><td>23.35</td><td>41.61</td><td>45.64</td><td>52.54</td><td></td></tr><tr><td>AA+</td><td>12.89</td><td>16.61</td><td>27.35</td><td>49.61</td><td>53.64</td><td>60.54</td><td></td></tr><tr><td>AA</td><td>16.89</td><td>21.61</td><td>32.35</td><td>63.61</td><td>69.64</td><td>76.54</td><td></td></tr><tr><td>AA-</td><td>28.89</td><td>34.61</td><td>55.35</td><td>98.61</td><td>109...</td><td>117...</td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 类型 全选 年历史分位(%) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA-</td><td>11</td><td>0</td><td>4</td><td>44</td><td>64</td><td>52</td><td></td></tr><tr><td>AA+</td><td>12</td><td>0</td><td>11</td><td>53</td><td>65</td><td>55</td><td></td></tr><tr><td>AA</td><td>9</td><td>0</td><td>0</td><td>38</td><td>46</td><td>37</td><td></td></tr><tr><td>AA-</td><td>0</td><td>0</td><td>0</td><td>9</td><td>2</td><td>9</td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 一月变动(bp) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA-</td><td>-10</td><td>-11</td><td>-13</td><td>-7</td><td>-8</td><td>-11</td><td></td></tr><tr><td>AA+</td><td>-10</td><td>-10</td><td>-13</td><td>-6</td><td>-8</td><td>-11</td><td></td></tr><tr><td>AA</td><td>-10</td><td>-9</td><td>-13</td><td>-6</td><td>-6</td><td>-11</td><td></td></tr><tr><td>AA-</td><td>-14</td><td>-16</td><td>-13</td><td>-8</td><td>-7</td><td>-11</td><td></td></tr><tr><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr></table> 城投债-国开 <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA</td><td>9.80</td><td>11.39</td><td>15.49</td><td>19.62</td><td>28.76</td><td>40.66</td><td>22.33</td></tr><tr><td>AA+</td><td>14.79</td><td>16.83</td><td>20.48</td><td>26.97</td><td>43.62</td><td>55.21</td><td>37.83</td></tr><tr><td>AA</td><td>18.59</td><td>22.23</td><td>29.88</td><td>49.17</td><td>65.62</td><td>76.71</td><td>59.83</td></tr><tr><td>AA(2)</td><td>23.19</td><td>27.85</td><td>39.88</td><td>72.07</td><td>107....</td><td>122....</td><td>105....</td></tr><tr><td>AA-</td><td>29.39</td><td>47.35</td><td>62.88</td><td>111....</td><td>177....</td><td>194....</td><td>178....</td></tr></table> 类型 全选 年历史分位(%) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA</td><td>13</td><td>1</td><td>0</td><td>7</td><td>26</td><td>28</td><td>21</td></tr><tr><td>AA+</td><td>14</td><td>1</td><td>3</td><td>3</td><td>47</td><td>38</td><td>21</td></tr><tr><td>AA</td><td>13</td><td>1</td><td>6</td><td>23</td><td>70</td><td>32</td><td>11</td></tr><tr><td>AA(2)</td><td>14</td><td>1</td><td>9</td><td>43</td><td>60</td><td>37</td><td>22</td></tr><tr><td>AA-</td><td>13</td><td>3</td><td>3</td><td>23</td><td>49</td><td>30</td><td>18</td></tr></table> 一月变动(bp) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA</td><td>-6</td><td>-9</td><td>-4</td><td>-6</td><td>-4</td><td>-7</td><td>-2</td></tr><tr><td>AA+</td><td>-5</td><td>-9</td><td>-5</td><td>-8</td><td>-1</td><td>-6</td><td>+1</td></tr><tr><td>AA</td><td>-6</td><td>-10</td><td>-5</td><td>-2</td><td>+1</td><td>-5</td><td>+2</td></tr><tr><td>AA(2)</td><td>-4</td><td>-10</td><td>-13</td><td>+2</td><td>+1</td><td>-2</td><td>+6</td></tr><tr><td>AA-</td><td>-4</td><td>-16</td><td>-13</td><td>+1</td><td>+1</td><td>-2</td><td>+6</td></tr></table> 中短期票据-国开 <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA +</td><td>6.09</td><td>9.54</td><td>14.56</td><td>17.05</td><td>20.87</td><td>33.06</td><td>13.91</td></tr><tr><td>AAA</td><td>8.15</td><td>10.07</td><td>15.21</td><td>17.27</td><td>25.77</td><td>34.72</td><td>15.42</td></tr><tr><td>AAA-</td><td>10.15</td><td>12.07</td><td>17.21</td><td>22.27</td><td>30.77</td><td>44.72</td><td>25.42</td></tr><tr><td>AA +</td><td>13.15</td><td>16.07</td><td>23.21</td><td>29.27</td><td>42.77</td><td>58.72</td><td>43.42</td></tr><tr><td>AA</td><td>20.15</td><td>24.07</td><td>38.21</td><td>52.27</td><td>64.77</td><td>84.72</td><td></td></tr><tr><td>AA-</td><td>52.15</td><td>66.07</td><td>88.21</td><td>115....</td><td></td><td></td><td></td></tr></table> 类型 全选 一年历史分位(%) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA+</td><td>9</td><td>0</td><td>12</td><td>3</td><td>19</td><td>11</td><td>4</td></tr><tr><td>AAA</td><td>5</td><td>0</td><td>6</td><td>2</td><td>36</td><td>5</td><td>2</td></tr><tr><td>AAA-</td><td>3</td><td>0</td><td>2</td><td>2</td><td>23</td><td>19</td><td>1</td></tr><tr><td>AA+</td><td>5</td><td>0</td><td>8</td><td>5</td><td>41</td><td>21</td><td>1</td></tr><tr><td>AA</td><td>15</td><td>1</td><td>18</td><td>16</td><td>28</td><td>37</td><td></td></tr><tr><td>AA-</td><td>1</td><td>0</td><td>0</td><td>9</td><td></td><td></td><td></td></tr></table> 一月变动(bp) <table><tr><td></td><td>1Y</td><td>2Y</td><td>3Y</td><td>5Y</td><td>7Y</td><td>10Y</td><td>15Y</td></tr><tr><td>AAA +</td><td>-5</td><td>-9</td><td>-5</td><td>-4</td><td>-2</td><td>-8</td><td>-3</td></tr><tr><td>AAA</td><td>-5</td><td>-9</td><td>-5</td><td>-7</td><td>-1</td><td>-13</td><td>-6</td></tr><tr><td>AAA-</td><td>-6</td><td>-10</td><td>-6</td><td>-7</td><td>-2</td><td>-9</td><td>-5</td></tr><tr><td>AA +</td><td>-6</td><td>-9</td><td>-4</td><td>-9</td><td>+1</td><td>-5</td><td>-3</td></tr><tr><td>AA</td><td>-2</td><td>-10</td><td>-3</td><td>-1</td><td>+1</td><td>-2</td><td></td></tr><tr><td>AA-</td><td>-2</td><td>-11</td><td>-6</td><td>-2</td><td></td><td></td><td></td></tr></table> # 各版块期限利差比较 数据来源：Wind，浙商证券研究所；统计时间：2026年1月22日 # 国债&二永债收益率期限结构 图：国债收益率期限结构 图：二永债收益率期限结构 数据来源：Wind，浙商证券研究所；统计时间：2026年1月22日 # 技术择时信号 # 布林带择时：买卖点择时信号（以3年二永债和城投债为例） ■根据信用-国开构建信用利差生成布林带，针对上下轨的相对位置以及信用债与OMO利差进行择时处理：1、配置信号：利差触及布林带上轨；2、绝对止盈信号：如果1年AAA-二永-OMO利差<20bp；3、相对止盈信号：触及下轨，选择平配； 历史择时超额：根据这一策略，去年630以来二级资本债和城投债历史择时超额为 $0.66\%$ 和 $0.83\%$ 。 当前信号：3年AA+城投债和3年AAA-二级债利差触及下轨，可继续持有。 图：3年AAA-二级资本债-国开债信用利差布林带 <table><tr><td colspan="2">始末</td><td>策略</td><td>累计收益 (择时)</td><td>累计收益 (不择时)</td><td>累计超额收益</td></tr><tr><td>2024/6/3</td><td>2024/7/3</td><td>持有二级资本债</td><td>0.54</td><td>0.54</td><td>0.00</td></tr><tr><td>2024/7/4</td><td>2024/9/27</td><td>持有国开债</td><td>1.22</td><td>0.69</td><td>0.53</td></tr><tr><td>2024/9/29</td><td>2025/1/9</td><td>持有二级资本债</td><td>2.75</td><td>2.23</td><td>0.53</td></tr><tr><td>2025/1/10</td><td>2025/2/24</td><td>持有国开债</td><td>2.