固定收益周报：债底保护价值凸显-20250525

Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Report's Core View - In the context of asset allocation, April is expected to mark the peak of the debt growth rates of the government and the real - sector in the year, with the balance sheet shrinking resuming in May. Considering the trend of the stock - bond cost - performance favoring bonds during the balance - sheet shrinking cycle and the 10 - year bond yield rising above the lower limit (1.7%) of the predicted range, the trading value of bonds is emerging. The position of the convertible bond broad - based portfolio will remain at 70% next week, with an 8:2 ratio of low - price (pure - bond substitution) to double - low bonds, all allocated to value - type targets [4]. - High - rated convertible bonds are currently more cost - effective. The reasons include the scarcity of alternative high - quality assets, the continuous low valuation of high - rated convertible bonds, the un - recovered concerns about credit risks in the convertible bond market, the relatively good performance of the value sector after interest rate cuts, the central bank's support for the banking system, the high - rated convertible bonds being the core allocation of fixed - income + products, and the preference of social security and insurance funds for high - rated convertible bonds [6]. Group 3: Summary by Related Catalogs Stock and Bond, Convertible Bond Market Review - The equity market fluctuated and declined last week, with the performance of large and small - cap stocks diverging and hotspots rotating rapidly. Micro - cap stocks hit a record high at the beginning of the week, and merger - acquisition and ST stocks were strong. Funds may have temporarily supported low - level consumer stocks, with large - consumer sectors such as food, beauty, and pets strengthening at the beginning of the week due to economic data but leading the decline at the weekend. From the middle of the week, small and medium - cap stocks weakened, while heavy - weight stocks, especially banks and insurance, strengthened against the trend. Trump's "Most - Favored - Nation Drug Price" proposal led to the strong performance of innovative drugs throughout the week. The potential escalation of the Israel - Palestine conflict caused a significant increase in the gold price, breaking through $3345 per ounce at the highest, and precious - metal stocks led the gains. The Hong Kong stock market performed strongly, with overseas funds optimistic about the cost - performance of Chinese assets, especially Hong Kong stocks, and CATL rising 16% on its first listing day. The A - bond market fluctuated, affected by factors such as large banks' deposit - rate cuts, the implementation of the central bank's LPR cut, the intensive issuance of treasury bonds, and the weakening of the equity market. Overseas, the US stock, bond, and foreign - exchange markets suffered a triple - kill due to factors such as the downgrade of the US sovereign credit rating, Trump's fiscal - spending bill, and tariff - policy uncertainties. The US dollar index fell below 100 and oscillated narrowly at a low level, and the 30 - year US Treasury yield exceeded 5% [2]. - Convertible bonds performed significantly better than underlying stocks last week, supported by valuation. The median price of the entire convertible - bond market oscillated slightly around 120 yuan, and the conversion value declined slightly. The conversion premium rate closed at 31.2% (64% in historical percentile), the implied volatility remained stable at 26.4% (50% in historical percentile), and the median implied - volatility difference remained at - 19% (23% in historical percentile). Some industry convertible bonds saw an active increase in valuation, and even the convertible bonds rose while the underlying stocks fell, such as those in the banking, food, mining, pharmaceutical, and textile - clothing industries, mainly concentrated in low - price and inert convertible bonds, indicating that the market continues to value the bond - floor protection of convertible bonds rather than their elasticity. In terms of market sentiment, the average daily trading volume last week was 5.28 billion yuan, a 9% decline from the previous week. The trading of traditional speculative bonds such as newly - issued bonds, low - rated convertible bonds, and high - price - high - premium convertible bonds remained sluggish. Recently, the convertible - bond valuation has declined from a high level, opening up some space for bond selection. Although inert convertible bonds with valuations to be adjusted still account for the largest proportion overall, there are more double - low and equity - type convertible bonds with good elasticity in industries such as banking, electrical appliances, agriculture, non - ferrous metals, and automobiles [3]. Market Outlook and Strategy Recommendation - From the perspective of large - scale asset allocation, April is expected to mark the peak of the debt growth rates of the government and the real - sector in the year, and the balance sheet will shrink again in May. Considering that the stock - bond cost - performance trend favors bonds during the balance - sheet shrinking cycle and the 10 - year bond yield has risen above the lower limit (1.7%) of the predicted range, the trading value of bonds has begun to emerge. Next week, the position of the convertible - bond broad - based portfolio will remain at 70%, with an 8:2 ratio of low - price (pure - bond substitution) to double - low bonds, all allocated to value - type targets. The convertible - bond broad - based portfolio outperformed the CSI Convertible Bond Index by 0.04 percentage points last week. Since its establishment in July 2024, the convertible - bond broad - based portfolio has outperformed the CSI Convertible Bond Index by 16.16 percentage points in cumulative terms, with a maximum drawdown of 7.7% (compared to 7.5% for the CSI Convertible Bond Index during the same period) [4][5].