债券等待破局？有什么相对机会

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In the short - term, bond yields are likely to remain volatile until a breakthrough factor emerges. Without significant easing of funding rates or a continuous rise in risk appetite and fundamental data, there is neither a basis for a sharp decline nor a strong impetus for a sharp increase in bond yields [2][15][39]. - Short - term interest rates have limited downward space without further easing of funding rates. Certificates of deposit and short - term credit bonds have coupon value but limited downward space and are suitable for holding. Long - term interest rates may decline slightly along with short - term credit bonds if favorable factors for the bond market appear, but the space is limited, and the lower limit of the 10Y Treasury yield is around 1.6% [2][16][17]. - For credit bonds, the carry trade strategy at the 2 - 3Y short - end can continue. Whether to use 4 - 5Y perpetual bonds for trading depends on the easing of funding rates. For general credit bonds over 4 - 5Y and perpetual bonds over 5Y, they can be held for coupon income [17][41][96]. 3. Summary According to Relevant Catalogs 3.1 Bond Market Weekly Review - In the past week, the bond market was generally volatile, with long - term bonds performing slightly better than short - term bonds and credit bonds better than interest - rate bonds. Although short - term interest rates had limited downward space due to funding rates, the long - end and credit with relatively high yields declined slightly [30][33]. 3.2 Bond Market Weekly Viewpoint 3.2.1 Bond Market Waiting for a Breakthrough: What Are the Relative Opportunities? - Short - term interest rates are difficult to decline because there are few short - term positive factors after the double - rate cut and deposit rate reduction. Currently, DR007 is slightly below 1.6%, R007 fluctuates around 1.6%, short - term Treasuries are around 1.5%, short - term policy bank bonds are around 1.6%, 1Y CD rates are at 1.7%, and 2 - 3Y credit bond yields are slightly above 1.8% [16][40][95]. - Long - term interest rates are not cheaply priced. If there are favorable factors such as appropriate easing of funds or a decline in risk appetite, long - term bonds may decline slightly along with short - term credit bonds, but the space is limited [17][41][96]. - For investment portfolios, an offensive strategy can consider a bullet - shaped portfolio, while a conservative strategy can choose a coupon + small - scale long - term interest - rate trading portfolio. For bond selection, in the long - term interest - rate bond segment, 250210 and 2500002 are recommended for short - term trading, and some bonds with higher yields such as 240017 have odds but need to be observed [21][42][107]. 3.2.2 From the Comparison of Major Asset Classes, Bonds Have No Advantage - Horizontally, the relative cost - effectiveness of bond assets is not high. Bonds have high prices, low interest rates, and an overall expensive valuation level, with a relatively flat yield curve [55]. - Vertically, the inverse of the PE ratio of the CSI 300 minus the 10 - year Treasury yield is 6.25, at the 79% percentile of the past five years; the dividend yield of the CSI 300 divided by the 10 - year Treasury yield is 2.00, at the 96% percentile of the past five years. The stock market is still relatively cheap compared to the bond market [55][58]. 3.2.3 The Interest - Rate Forecast Model Suggests the Bond Market Is Slightly Bullish - According to the dynamic NS model, on May 23, the model predicts that the bond market will be slightly bullish. The 10 - year Treasury yield on May 23 was 1.72%, and it is predicted to remain around 1.70% in the next month. The model's historical accuracy in predicting the monthly change direction since 2010 is around 65% - 70%. It also suggests that the yield curve will steepen, and the 6 - 8Y policy bank bonds are slightly better than Treasuries [63]. 3.2.4 The Long - Short Ratio of Treasury Futures Is at a Low Level - The long - short ratio of Treasury futures has changed little recently and has been at a low level, indicating the possibility of a rebound in Treasury futures [69]. 3.3 Comparison of the Cost - Effectiveness of Interest - Rate Bond Selection 3.3.1 The Steepness of the Yield Curve Has Changed Little - In the past week, the short - end was volatile, and the long - end rose due to bond replacement, causing the yield curve to steepen slightly. The Treasury term spread (10 - 1Y) increased by 4BP to around 27BP [73]. 3.3.2 Bond Selection Recommendations - From the perspective of static curve and holding cost - effectiveness, for Treasuries, 9 - 10Y can be selected; for policy bank bonds, 9 - 10Y can be selected; for Agricultural Development Bank bonds, 9 - 10Y can be selected; and for Export - Import Bank bonds, 10Y can be selected [100]. - For 10 - year policy bank bonds, the spread between 250205 and 250210 is around 3BP. 250210 may become the main bond in the future, and short - term trading can consider both, while long - term holding is recommended for 250210. For 10 - year Treasuries, 250004 is expected to remain the main bond, and 250009 has a low chance of becoming the main bond. For 30 - year Treasuries, 2500002 may become the main bond in the future, and when the spread between new and old bonds widens, buying old bonds is more cost - effective [101][102][103]. 3.4 Analysis of Treasury Futures Prices and Strategies - Unilateral dimension: The 2509 contract is reasonably priced. The IRR level is still higher than the funding rate and CD rate but has declined. The short - selling power of futures may decrease, and there is a possibility of a rebound. Investors can choose the TL/TF2506 contract to bet on the rebound. The TS contract is expected to be weak, and its rebound depends on whether the funds are unexpectedly loose [28][53]. - Curve trading dimension: The steepness of the yield curve will not change significantly, and the space for curve trading is limited in the short term. Investors are advised to take profits in time [29][53]. - Alternative futures strategy: The "coupon" of the strategy of going long on 2Y credit and shorting TS2509 has dropped to around 2.2 - 2.3%, which still has holding value and is suitable for an absolute - return investment approach [29][54].