Group 1: Market Trends - The sudden rise in funding rates has created pressure on the bond market, leading to passive deleveraging and a historical high in the duration of negative carry[1][12][13][14] - The average capital gain loss for credit bonds within five years has reached 16%, indicating a "slow gain, fast loss" characteristic that affects demand for new funds[2][3][26][27] Group 2: Asset Performance - Interest rate bonds have shown greater stability compared to credit bonds, with the 10-year and above government bonds performing well despite funding pressures[2][4][20] - The cumulative capital gains for 30-year government bonds have reached 8.8%, with total returns exceeding 9% when considering coupon income[2][26] Group 3: Investment Strategies - The report suggests focusing on local government bonds with yields around 2.3% to 2.4% as suitable base assets, and on large bank subordinated bonds with yields between 1.8% and 1.9%[2][51] - Insurance companies have significantly increased their holdings in long-term credit bonds, indicating a strategic shift in asset allocation[2][42][47]
负carry的压力测试
国投证券·2025-01-20 01:00