量化信用策略

• The quantitative credit strategy shows that the short-term sinking of urban investment bonds has defensive attributes, and the medium-to-long-term strategy provides protection space for the portfolio, resulting in excess returns of over 2bp last week. The short-term sinking strategy outperformed other strategies. Over the past four weeks, despite negative excess returns from financial debt-heavy portfolios last week, the broker-dealer bond strategy remained stable, with cumulative excess returns leading. The perpetual bond duration strategy lagged behind the short-term sinking strategy due to weekly drag[2][12][13] - The duration tracking of various bond types indicates that the transaction duration of urban investment bonds, industrial bonds, and secondary capital bonds is at historical highs. As of May 16, the weighted average transaction durations for urban investment bonds and industrial bonds were 2.21 years and 2.72 years, respectively, both at the 90th percentile level since March 2021. For commercial bank bonds, the weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds were 4.09 years, 3.52 years, and 2.21 years, respectively. Other financial bonds, such as securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds, had durations of 1.64 years, 2.33 years, 3.51 years, and 1.50 years, respectively[3][15][16] - The coupon asset heat map shows that as of May 19, the yields of non-financial, non-real estate industrial bonds and urban investment bonds generally declined compared to the previous week. Real estate bond yields also mainly declined, with public non-perpetual bonds of state-owned enterprises within 1 year and 1-2 years experiencing a drop of over 10bp. More than half of the financial bond yields declined, with leasing bonds performing better among financial bonds. Commercial bank bond yields showed differentiation across maturities, with yields of bonds within 1 year generally declining, while most bonds over 1 year experienced various adjustments. The yields of perpetual bonds within 3-5 years consistently declined[4][18][19][20] - The tracking of ultra-long credit bonds indicates that the long-term bond index turned downward. Due to continuous negative factors in the bond market, long-term interest rate bonds were the first to realize profits, with a decline of 0.97% for government bonds over 10 years. Ultra-long credit bonds followed the decline, but the drop was relatively mild, with the AA+ credit bond index over 10 years falling by 0.13%[5][22][23][24] - The supply and trading tracking of local government bonds shows a structural differentiation in the recent local bond market. The trading activity of short-to-medium-term bonds fluctuated significantly, with the turnover rate of bonds within 7 years decreasing week-on-week, possibly reflecting cautious short-term allocation. Bonds with maturities of 7-10 years remained stable due to interest rate fluctuations, while the activity of ultra-long-term bonds significantly improved. The weekly turnover rate of ultra-long-term bonds over 10 years returned to over 1%, with weekly transaction volume exceeding 350 billion yuan, indicating that institutional investors are increasing their allocation of long-duration assets, especially ultra-long-term local government bonds as duration management tools. The stepwise growth in transaction volume confirms the continuous improvement in market liquidity, but attention should be paid to potential market expectation differences behind turnover rate fluctuations[6][25][26][27] - Quantitative credit strategy, excess return values: urban investment short-term sinking strategy: 15bp, urban investment duration extension strategy: 10bp, urban investment barbell strategy: 5bp, secondary debt bullet strategy: -5bp, secondary debt sinking strategy: 0bp, secondary debt duration extension strategy: 5bp, commercial bank bond bullet strategy: -10bp, perpetual bond sinking strategy: 0bp, perpetual bond duration extension strategy: 5bp, broker-dealer bond sinking strategy: 20bp, broker-dealer bond duration extension strategy: 15bp[12][13] - Duration tracking, historical percentile values: urban investment bonds: 95.8%, industrial bonds: 93.9%, secondary capital bonds: 91.2%, perpetual bonds: 63.8%, general commercial bank bonds: 78.2%, securities company bonds: 49.5%, securities subordinated bonds: 58.7%, insurance company bonds: 78.4%, leasing company bonds: 93.5%[15][16] - Coupon asset heat map, weighted average yield values: urban investment bonds (private placement): 1 year: 2.01%, 1-2 years: 2.15%, 2-3 years: 2.40%, 3-5 years: 2.58%; urban investment bonds (public offering): 1 year: 1.91%, 1-2 years: 2.00%, 2-3 years: 2.20%, 3-5 years: 2.25%; non-financial, non-real estate industrial bonds (state-owned enterprises, private placement): 1 year: 2.31%, 1-2 years: 2.48%, 2-3 years: 2.69%, 3-5 years: 2.54%; non-financial, non-real estate industrial bonds (state-owned enterprises, public offering): 1 year: 1.86%, 1-2 years: 1.99%, 2-3 years: 2.14%, 3-5 years: 2.17%; non-financial, non-real estate industrial bonds (private enterprises, private placement): 1 year: 2.28%, 1-2 years: 3.95%, 2-3 years: 2.91%; non-financial, non-real estate industrial bonds (private enterprises, public offering): 1 year: 3.85%, 1-2 years: 2.46%, 2-3 years: 2.39%; real estate bonds (state-owned enterprises, private placement): 1 year: 2.22%, 1-2 years: 2.58%, 2-3 years: 2.47%, 3-5 years: 2.71%; real estate bonds (state-owned enterprises, public offering): 1 year: 1.83%, 1-2 years: 2.53%, 2-3 years: 2.48%, 3-5 years: 2.32%; leasing company bonds (private placement): 1 year: 2.25%, 1-2 years: 2.40%, 2-3 years: 2.48%; leasing company bonds (public offering): 1 year: 2.12%, 1-2 years: 2.29%, 2-3 years: 2.33%; commercial bank ordinary financial bonds (state-owned commercial banks): 1 year: 1.56%, 1-2 years: 1.65%, 2-3 years: 1.71%, 3-5 years: 1.79%; commercial bank ordinary financial bonds (joint-stock commercial banks): 1 year: 1.61%, 1-2 years: 1.71%, 2-3 years: 1.76%, 3-5 years: 1.84%; commercial bank ordinary financial bonds (city commercial banks): 1 year: 1.67%, 1-2 years: 1.76%, 2-3 years: 1.82%; commercial bank ordinary financial bonds (rural commercial banks): 1 year: 1.70%, 1-2 years: 1.77%, 2-3 years: 1.85%; bank capital supplement bonds (state-owned commercial banks): 1 year: 1.71%, 1-2 years: 1.78%, 2-3 years: 1.85%, 3-5 years: 1.96%; bank capital supplement bonds (joint-stock commercial banks): 1 year: 1.74%, 1-2 years: 1.84%, 2-3 years: 2.06%, 3-5 years: 2.11%; bank capital supplement bonds (city commercial banks): 1 year: 2.35%, 1-2 years: 2.13%, 2-3 years: 2.32%, 3-5 years: 2.34%; bank capital supplement bonds (rural commercial banks): 1 year: 1.87%, 1-2 years: 2.15%, 2-3 years: 2.39%, 3-5 years: 2.27%; securities company bonds (private placement): 1 year: 1.74%, 1-2 years: 1.85%, 2-3 years: 1.93%, 3-5 years: 2.07%; securities company bonds (public offering): 1 year: 1.65%, 1-2 years: 1.75%, 2-3 years: 1.85%, 3-5 years: 1.90%; securities company subordinated bonds (private placement): 1 year: 1.75%, 1-2 years: 1.83%, 2-3 years: 2.39%, 3-5 years: 2.52%; securities company subordinated bonds (public offering): 1 year: 1.74%, 1-2 years: 1.85%, 2-3 years: 2.00%, 3-5 years: 2.12%[18][19][20] - Ultra-long credit