城投解惑系列之十三：60万+笔成交数据，构建城投债久期情绪指数

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - After the implementation of reserve requirement ratio cuts and interest rate cuts, the short - end was priced first, and the interest - rate bond market entered a narrow - range oscillation. The spread advantage of credit bonds gradually emerged, and institutions allocated assets in the direction of high cost - effectiveness. Medium - and long - term urban investment bonds are cost - effective both horizontally and vertically, and the primary market provides a relatively stable supply [2][10]. - Based on over 600,000 brokerage transaction data since June 2024 and the entropy method, the urban investment bond duration sentiment index is constructed to indicate buying and selling points. This index can quantitatively describe the sentiment of extending the duration of urban investment bonds, is highly correlated with and has a certain leading effect on the duration sentiment of urban investment bonds, and can pass the Granger test [3]. - Currently, the urban investment bond duration sentiment index has returned to the strong range and continued to strengthen since May 12, 2025, and is not at an extreme level. The decline in medium - and long - term urban investment bond yields is relatively slow, still having cost - effectiveness. It is judged that the urban investment bond duration market is still in the momentum enhancement stage [4]. 3. Summary According to the Directory 3.1 From Pricing Loose Monetary Policy to Exploring Spreads, the Cost - Effectiveness of Medium - and Long - Term Urban Investment Bonds Increases - After the implementation of reserve requirement ratio cuts and interest rate cuts on May 7, 2025, the short - end was priced first, and the interest - rate bond market entered a narrow - range oscillation. The spread advantage of credit bonds gradually emerged, and the market started a credit spread compression market [10]. - Horizontally, as of May 23, 2025, the yields of most industry public offerings are low, while the yields of medium - and long - term urban investment bonds are still considerable. For example, the yields of AA+ urban investment bonds with a maturity of more than 5 years are mostly above 2.3% [13]. - Vertically, after the implementation of reserve requirement ratio cuts and interest rate cuts, the urban investment bond curve steepened, and the performance of bonds with a maturity of more than 3 years was relatively sluggish. The yield of 3 - 5 - year urban investment bonds is 2.43%, which is a convex point, higher than the 2.35% of bonds with a maturity of more than 5 years. Over half of the urban investment bonds with a yield of more than 2.2% have a remaining maturity of more than 3 years [16]. - The primary market provides a relatively stable supply for medium - and long - term urban investment bonds. Since 2025, the monthly issuance amount has mostly been around 200 billion yuan, accounting for about 40% [19]. 3.2 Constructing the Urban Investment Bond Duration Sentiment Index Based on Transaction Data and the Entropy Method - Due to the high yields of medium - and long - term urban investment bonds, investors are worried about liquidity. In 2024, the yields of medium - and long - term urban investment bonds experienced a "deep V" trend, and liquidity quickly dried up. Therefore, a relatively high - frequency indicator is needed to prompt inflection points [24]. - The construction steps of the urban investment bond duration sentiment index are as follows: use brokerage transaction data since June 2024 as the underlying data; construct daily - frequency quantitative indicators; build an evaluation system for measuring the strength of urban investment bond duration sentiment based on experience, including three dimensions of trading volume, transaction price, and supplementary indicators, with a total of 12 sub - items; use the entropy method to objectively evaluate the information content of each indicator, delete useless indicators, and set weights; calculate the sentiment index for each trading day since June 2024 and name it the "Huaxi Fixed - Income Urban Investment Bond Duration Sentiment Index"; conduct a Granger test to verify the effectiveness of the constructed index [27][28][43][44]. 3.3 Combining the Sentiment Index, the Momentum of the Current Urban Investment Bond Duration Market Increases - Qualitatively, the sentiment index has synchronization and leading effects. It is highly consistent with the yield trend of 10 - year urban investment bonds with an implied rating of AAA, and has given advance signals for two major adjustments since mid - 2024. When the sentiment index shows an inflection point or continues to weaken and hovers at a low level, the duration market may come to an end [46]. - Quantitatively, since June 2024, the median of the sentiment index has been around 2.9. If the sentiment index below 2.9 is defined as the weak range and above as the strong range, major adjustments basically correspond to the period when the sentiment index continues to weaken in the weak range. Currently, the sentiment index has returned to the strong range and continued to strengthen, and the urban investment bond duration market is still in the momentum enhancement stage [47].