固收指数月报 | 6月高收益债券市场波动加剧；美债收益率曲线或抬高对冲成本

Core Insights - Bloomberg is the first global index provider to include Chinese bonds in mainstream global indices, offering a unique perspective on the Chinese bond market [1] - The Bloomberg China Aggregate Index recorded a return of -0.01% in May, with a year-to-date return of 0.41% [3][5] - The Chinese government bonds and policy bank bonds index saw a return of -0.14% in May, with a year-to-date return of 0.28% in local currency [3][5] Index Performance - The China Aggregate Index (I08271CN) had a 1-day return of 0.06%, a month-to-date return of -0.01%, and a year-to-date return of 0.41% [5] - The China Treasury and Policy Banks Index (I32561CN) recorded a 1-day return of 0.10%, a month-to-date return of -0.14%, and a year-to-date return of 0.28% [5] - The China Corporate Index (I08275CN) achieved a year-to-date return of 0.76% [5] Market Trends - The Asian emerging market high-yield dollar bond index spread narrowed by nearly 130 basis points from the April peak of 5.63%, leading to a 1.42% increase in the index for May [9] - The yield curve of U.S. Treasuries is experiencing a "bull steepening," which may increase the hedging costs for RMB southbound investors in the dollar bond market [9] - Despite rising hedging costs in 2025, dollar bonds still offer a yield advantage of 44.5 basis points compared to the domestic market priced in RMB [9]