固收策略报告：追涨性价比-20250505

Group 1: Market Overview - The bond market experienced unexpected volatility leading up to the May Day holiday, with the 10-year minus 1-year government bond yield spread narrowing to a new low of 16 basis points, and the 10-year government bond yield dropping to 1.62% [3][11] - The rapid decline in yields was driven by three catalysts: easing liquidity around the holiday, market anticipation of the April PMI readings, and active trading of 30-year government bonds [11][3] - The discussion among investors shifted from concerns about holding bonds over the holiday to whether to chase rising yields [11][3] Group 2: Credit Bond Market Analysis - The performance of credit bonds has been weaker compared to government bonds, with adjustments in credit bonds generally more pronounced than in interest rate bonds, raising questions about their value proposition [25][55] - Factors contributing to the cautious outlook on credit bonds include weak trading sentiment, insufficient duration chasing, low turnover rates, and a flattening yield curve [25][55][31] - The average yield on key credit bonds has shown a balanced contribution from coupon income and capital gains, but as absolute yields approach lower levels, coupon contributions are expected to decline [25][37] Group 3: Bank Subordinated Debt - Bank subordinated debt, often referred to as a "yield amplifier," has shown conservative market behavior, with yields on 4-year AAA- subordinated bonds dropping to 1.95% [4][49] - The lack of aggressive participation from institutional investors in the subordinated debt market has been noted, particularly as yields fell below 2.5% [4][49] - The correlation between insurance net purchases and subordinated debt performance has weakened, indicating a shift in investment strategies [52][49] Group 4: Investment Strategies - The report suggests that maintaining a larger allocation to short- to medium-term bonds is a relatively stable strategy, especially for accounts with unstable liabilities [55] - For accounts with stable liabilities, extending the duration of city investment bonds to 3-5 years is recommended to mitigate potential scarcity in credit bond issuance later in the year [55] - The overall strategy should focus on high liquidity assets to reduce exposure to liquidity risks, particularly in the context of a flattening yield curve [31][55]