信用策略备忘录：高波动率的信用策略要点

Group 1: Quantitative Credit Strategy - As of April 3, the interest rate style portfolio shows significant advantages, with the secondary capital bond heavy strategy experiencing a notable increase in returns, up by 26.4 basis points, marking it as the strategy with the largest gain [2][12] - The overall returns of various strategy combinations are approaching the levels seen at the beginning of the year, with absolute returns for duration and mixed barbell combinations close to 0.6% [2][12] Group 2: Duration Tracking - As of April 4, the weighted average transaction durations for urban investment bonds and industrial bonds are 2.12 years and 2.75 years respectively, both at high historical levels since March 2021 [3][14] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 3.82 years, 3.17 years, and 2.23 years respectively, indicating a varied duration landscape across different bond types [3][14] Group 3: Yield Heatmap of Coupon Assets - As of April 7, the valuation yields and spreads of private enterprise real estate bonds are generally higher than other types, with non-financial and non-real estate industrial bonds seeing yield declines of over 10 basis points across all maturities [4][18] - Financial bonds with higher valuation yields and spreads include leasing company bonds, capital supplement tools for rural commercial banks, and secondary bonds of securities companies, with an average yield increase of 17.4 basis points [4][18] Group 4: Long-term Credit Bond Activity - There has been an improvement in the trading activity of long-term credit bonds, with the number of transactions for bonds with maturities over 10 years exceeding 80 in late March [5][20] - Despite the increased activity in the 7-10 year segment, the number of transactions for bonds over 10 years has decreased, indicating ongoing investor concerns regarding potential drawdowns and liquidity issues [5][20] Group 5: Local Government Bond Supply and Trading - The local bond market has continued its downward trend since mid to late March, with the 10-year local bond yield dropping to 1.97%, maintaining a spread of 25.2 basis points over the same maturity government bonds, reflecting a high relative value [6][23] - The downward trend in yields across short, medium, and long-term maturities indicates sustained demand for local government bonds in a marginally relaxed funding environment [6][23]