信用策略备忘录：久期尴尬期

Group 1: Quantitative Credit Strategy - The mid-to-long-term bullet strategies generally show no excess returns, but perform better than the barbell configuration. Among mid-to-long-term strategies, city investment duration, secondary bond bullets, and secondary bond downgrades have positive excess returns within 4 basis points, while most other combinations show readings above -3 basis points, indicating no significant differentiation in strategy performance [1][11] - The city investment barbell strategy combination has accumulated excess returns in the past month, but has given back some of the previous gains last week. Additionally, the ongoing tariff negotiations and fluctuating market expectations suggest that duration strategies may still lack effectiveness [1][11] Group 2: Duration Tracking - As of April 18, city investment bonds, industrial bonds, leasing company bonds, and insurance company bonds have durations at historically high percentiles. The weighted average transaction durations for city investment bonds and industrial bonds are 1.95 years and 2.15 years, respectively, both remaining at high levels since March 2021 [2][14] - In the commercial bank bond category, the weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 3.69 years, 2.97 years, and 1.93 years, respectively. Among other financial bonds, securities company bonds and their subordinated bonds have durations of 1.26 years and 1.79 years, respectively, indicating lower historical percentiles, while insurance company bonds and leasing company bonds are at higher historical percentiles [2][14] Group 3: Yield Heatmap of Credit Assets - As of April 21, 2025, the valuation yields and spreads of private enterprise real estate bonds are generally higher than other varieties. Compared to last week, the yields of non-financial and non-real estate industrial bonds have adjusted, with 1-2 year private enterprise public non-perpetual varieties seeing yield increases exceeding 15 basis points [3][19] - In the real estate bond category, short-term varieties still see declining rates, while yields for bonds with maturities over one year have generally increased by less than 5 basis points. In financial bonds, most varieties show upward yield trends, particularly in general commercial bank bonds and secondary capital bonds, where yield increases are primarily found in maturities over two years, although the overall adjustment remains small, within 5 basis points [3][19] Group 4: Long-term Credit Bond Tracking - The long-term credit bond index has turned downward. Since late March, due to increased volatility in the equity market and tariff disturbances, the bond market has strengthened again. The cost-effectiveness of mid-to-short duration existing coupon assets has been rapidly weakened, prompting investors seeking excess returns to start buying long-term credit bonds [4][23] - However, since April, the performance of long-term credit bonds has not been as strong as expected. Recent trends indicate that the long-term credit bond index has struggled to outperform the 10-year government bond index, and even with last week's rebound, no significant gains have been observed [4][23][24] Group 5: Local Government Bond Supply and Trading Tracking - Since April, the turnover rate of local bonds has shown significant fluctuations, likely related to short-term changes in market liquidity and investor trading sentiment. The turnover rate for local bonds with maturities over 10 years is relatively high [5][27] - In the current environment of overall stable interest rates but divergent market expectations, investors have shown strong trading willingness for long-term local bonds. The trading volume of long-term bonds continues to expand, with the transaction volume of bonds over 10 years significantly exceeding that of bonds within 7 years, aligning with the preference of institutions like insurance for long-duration bonds [5][27]