宏观深度报告：基于利差与换手率的信用策略实践--2025年度展望（四）：信用债

Group 1: Credit Strategy Overview - The credit strategy aims to enhance returns without increasing potential drawdown, focusing on the relationship between absolute credit spreads and turnover rates from 2017 to November 2024[1] - Key characteristics of the domestic bond market include "indirectness," "nationalization," "faith-based pricing," "long-term orientation," and "low interest rates"[1] - The "indirectness" feature indicates a shift from local government financing to central government financing, and from direct corporate bond issuance to indirect bank financing[1] Group 2: Market Trends and Characteristics - The "faith-based pricing" phenomenon has led to a significant increase in the S-T correlation coefficient for local state-owned enterprise bonds, now ranging from 0.7 to 0.8, indicating liquidity risk has replaced credit risk as the primary pricing factor for short-term bonds[2] - The "long-term orientation" and "low interest rate" trends have resulted in a notable decline in the valuation center of both primary and secondary credit bond markets, with the average issuance rate of ordinary credit bonds falling below the performance benchmark of newly issued open-ended fixed-income products[2] - As of November 15, 2024, the historical percentile of credit spreads for various bonds exceeds 0.8, indicating a relatively thick "safety cushion" for certain bonds[3] Group 3: Investment Recommendations - For trading portfolios, it is recommended to focus on non-guaranteed public local state-owned enterprise bonds with maturities of up to 2 years, and subordinated bonds from state-owned banks and major joint-stock banks with maturities of 1-4 years[2] - For allocation portfolios, emphasis should be placed on 2 to 5-year central enterprise industrial bonds, 4 to 5-year subordinated bonds from state-owned banks, and 3 to 5-year subordinated bonds from major joint-stock banks[3] - The report suggests that the pricing foundation for local state-owned enterprise bonds may weaken after the "one-package debt" policy expires, leading to potential revaluation risks for these bonds[3] Group 4: Risk Considerations - Risks include potential inaccuracies in classifying issuer attributes and industry categories, and the limitations of using turnover rates as a representative measure of liquidity risk[4] - The anticipated early repayment risk of credit bonds is a concern for the next two years, particularly as local governments may push for early repayment of certain bonds to clear hidden debts[4]