2025Q3城投债策略：短端做底仓+挖掘收益率曲线“凸点”

Group 1 - The core strategy for Q3 focuses on building a short-end position while exploring the "convex points" of the yield curve, emphasizing the need to maintain duration and avoid overly short positions [7][11] - The report highlights that the short-end strategy is the most certain, but it lacks significant yield enhancement potential, necessitating a continued extension of duration to contribute to returns [11][12] - The performance of credit bonds in Q2 was influenced by unstable funding conditions, with a shift to a more optimistic sentiment in May and June, leading to a rapid compression of liquidity premiums in ultra-long credit bonds [7][11] Group 2 - For bonds with maturities within 3 years, it is recommended to focus on areas with good liquidity, as high-yield issuers are scarce and low-rated municipal bonds are already undervalued [12][14] - The report suggests that the yield curve steepens beyond 3 years, indicating opportunities to extend duration in the 3-5 year segment, particularly in regions with acceptable liquidity [7][12] - The supply-demand dynamics support the continued exploration of niche products, with perpetual bonds in the 4-5 year range being a good choice for enhancing portfolio yields [7][12] Group 3 - The Q2 review indicates a shift in market sentiment from cautious to optimistic, with a decrease in the issuance of municipal bonds and a monthly net financing scale of approximately 500 billion yuan [7][8] - The report notes that the trading environment for short-end bonds has become crowded, with the market increasingly seeking returns from liquidity [7][8] - Credit risk perceptions have lightened, with a decrease in new public sentiment points related to credit risk in Q2, suggesting a stable risk environment [7][8]