城投解惑系列之十六：城投期限利差新高，子弹策略占优

Group 1 - The core viewpoint of the report indicates that the yield spread of urban investment bonds has expanded to a high level, driven by liquidity constraints. Since July 2025, the yield on long-term urban investment bonds has risen significantly more than that of short-term bonds, leading to an increase in the yield spread from approximately 34 basis points at the beginning of July to 64 basis points by September 5, 2025, an expansion of 30 basis points [1][9][10] - The report highlights that the credit risk of urban investment bonds has not changed significantly, and the expansion of long-term yield spreads is more a compensation for declining liquidity. In August 2025, the number of transactions for urban investment bonds with a remaining maturity of over five years dropped by nearly 60% compared to July, reaching the lowest level since June 2024 [2][18][23] - The report notes that the current market sentiment towards extending duration is at a low point, with the duration sentiment index dropping from around 3.2 in July 2025 to approximately 1.2 recently, indicating a growing consensus of caution in the market [19][20] Group 2 - The report states that the yield curve of urban investment bonds has steepened since July 2025, with long-term yields rising significantly while short-term yields have remained relatively stable. This steepening of the yield curve suggests that bullet strategies will outperform barbell strategies in terms of returns [3][28][35] - It is emphasized that during periods of steep yield curves, bullet strategies have historically shown better performance in terms of returns and drawdowns. The report suggests that investors should consider 2-3 year bullet strategies as they are expected to outperform in the current market conditions [3][37][48] - The report provides specific recommendations for investors to focus on urban investment bonds with a maturity of 3 years to 1 year that exhibit a relatively steep yield curve, which can yield higher riding returns [3][29][35]