- The quantitative credit strategy shows that the short-term sinking of urban investment bonds has defensive attributes, and the medium-to-long-term strategy provides protection space for the portfolio, resulting in excess returns of over 2bp last week. The short-term sinking strategy outperformed other strategies. Over the past four weeks, despite negative excess returns from financial debt-heavy portfolios last week, the broker-dealer bond strategy remained stable, with cumulative excess returns leading. The perpetual bond duration strategy lagged behind the short-term sinking strategy due to weekly drag[2][12][13] - The duration tracking of various bond types indicates that the transaction duration of urban investment bonds, industrial bonds, and secondary capital bonds is at historical highs. As of May 16, the weighted average transaction durations for urban investment bonds and industrial bonds were 2.21 years and 2.72 years, respectively, both at the 90th percentile level since March 2021. For commercial bank bonds, the weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds were 4.09 years, 3.52 years, and 2.21 years, respectively. Other financial bonds, such as securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds, had durations of 1.64 years, 2.33 years, 3.51 years, and 1.50 years, respectively[3][15][16] - The coupon asset heat map shows that as of May 19, the yields of non-financial, non-real estate industrial bonds and urban investment bonds generally declined compared to the previous week. Real estate bond yields also mainly declined, with public non-perpetual bonds of state-owned enterprises within 1 year and 1-2 years experiencing a drop of over 10bp. More than half of the financial bond yields declined, with leasing bonds performing better among financial bonds. Commercial bank bond yields showed differentiation across maturities, with yields of bonds within 1 year generally declining, while most bonds over 1 year experienced various adjustments. The yields of perpetual bonds within 3-5 years consistently declined[4][18][19][20] - The tracking of ultra-long credit bonds indicates that the long-term bond index turned downward. Due to continuous negative factors in the bond market, long-term interest rate bonds were the first to realize profits, with a decline of 0.97% for government bonds over 10 years. Ultra-long credit bonds followed the decline, but the drop was relatively mild, with the AA+ credit bond index over 10 years falling by 0.13%[5][22][23][24] - The supply and trading tracking of local government bonds shows a structural differentiation in the recent local bond market. The trading activity of short-to-medium-term bonds fluctuated significantly, with the turnover rate of bonds within 7 years decreasing week-on-week, possibly reflecting cautious short-term allocation. Bonds with maturities of 7-10 years remained stable due to interest rate fluctuations, while the activity of ultra-long-term bonds significantly improved. The weekly turnover rate of ultra-long-term bonds over 10 years returned to over 1%, with weekly transaction volume exceeding 350 billion yuan, indicating that institutional investors are increasing their allocation of long-duration assets, especially ultra-long-term local government bonds as duration management tools. The stepwise growth in transaction volume confirms the continuous improvement in market liquidity, but attention should be paid to potential market expectation differences behind turnover rate fluctuations[6][25][26][27] - Quantitative credit strategy, excess return values: urban investment short-term sinking strategy: 15bp, urban investment duration extension strategy: 10bp, urban investment barbell strategy: 5bp, secondary debt bullet strategy: -5bp, secondary debt sinking strategy: 0bp, secondary debt duration extension strategy: 5bp, commercial bank bond bullet strategy: -10bp, perpetual bond sinking strategy: 0bp, perpetual bond duration extension strategy: 5bp, broker-dealer bond sinking strategy: 20bp, broker-dealer bond duration extension strategy: 15bp[12][13] - Duration tracking, historical percentile values: urban investment bonds: 95.8%, industrial bonds: 93.9%, secondary capital bonds: 91.2%, perpetual bonds: 63.8%, general commercial bank bonds: 78.2%, securities company bonds: 49.5%, securities subordinated bonds: 58.7%, insurance company bonds: 78.4%, leasing company bonds: 93.5%[15][16] - Coupon asset heat map, weighted average yield values: urban investment bonds (private placement): 1 year: 2.01%, 1-2 years: 2.15%, 2-3 years: 2.40%, 3-5 years: 2.58%; urban investment bonds (public offering): 1 year: 1.91%, 1-2 years: 2.00%, 2-3 years: 2.20%, 3-5 years: 2.25%; non-financial, non-real estate industrial bonds (state-owned enterprises, private placement): 1 year: 2.31%, 1-2 years: 2.48%, 2-3 years: 2.69%, 3-5 years: 2.54%; non-financial, non-real estate industrial bonds (state-owned enterprises, public offering): 1 year: 1.86%, 1-2 years: 1.99%, 2-3 years: 2.14%, 3-5 years: 2.17%; non-financial, non-real estate industrial bonds (private enterprises, private placement): 1 year: 2.28%, 1-2 years: 3.95%, 2-3 years: 2.91%; non-financial, non-real estate industrial bonds (private enterprises, public offering): 1 year: 3.85%, 1-2 years: 2.46%, 2-3 years: 2.39%; real estate bonds (state-owned enterprises, private placement): 1 year: 2.22%, 1-2 years: 2.58%, 2-3 years: 2.47%, 3-5 years: 2.71%; real estate bonds (state-owned enterprises, public offering): 1 year: 1.83%, 1-2 years: 2.53%, 2-3 years: 2.48%, 3-5 years: 2.32%; leasing company bonds (private placement): 1 year: 2.25%, 1-2 years: 2.40%, 2-3 years: 2.48%; leasing company bonds (public offering): 1 year: 2.12%, 1-2 years: 2.29%, 2-3 years: 2.33%; commercial bank ordinary financial bonds (state-owned commercial banks): 1 year: 1.56%, 1-2 years: 1.65%, 2-3 years: 1.71%, 3-5 years: 1.79%; commercial bank ordinary financial bonds (joint-stock commercial banks): 1 year: 1.61%, 1-2 years: 1.71%, 2-3 years: 1.76%, 3-5 years: 1.84%; commercial bank ordinary financial bonds (city commercial banks): 1 year: 1.67%, 1-2 years: 1.76%, 2-3 years: 1.82%; commercial bank ordinary financial bonds (rural commercial banks): 1 year: 1.70%, 1-2 years: 1.77%, 2-3 years: 1.85%; bank capital supplement bonds (state-owned commercial banks): 1 year: 1.71%, 1-2 years: 1.78%, 2-3 years: 1.85%, 3-5 years: 1.96%; bank capital supplement bonds (joint-stock commercial banks): 1 year: 1.74%, 1-2 years: 1.84%, 2-3 years: 2.06%, 3-5 years: 2.11%; bank capital supplement bonds (city commercial banks): 1 year: 2.35%, 1-2 years: 2.13%, 2-3 years: 2.32%, 3-5 years: 2.34%; bank capital supplement bonds (rural commercial banks): 1 year: 1.87%, 1-2 years: 2.15%, 2-3 years: 2.39%, 3-5 years: 2.27%; securities company bonds (private placement): 1 year: 1.74%, 1-2 years: 1.85%, 2-3 years: 1.93%, 3-5 years: 2.07%; securities company bonds (public offering): 1 year: 1.65%, 1-2 years: 1.75%, 2-3 years: 1.85%, 3-5 years: 1.90%; securities company subordinated bonds (private placement): 1 year: 1.75%, 1-2 years: 1.83%, 2-3 years: 2.39%, 3-5 years: 2.52%; securities company subordinated bonds (public offering): 1 year: 1.74%, 1-2 years: 1.85%, 2-3 years: 2.00%, 3-5 years: 2.12%[18][19][20] - Ultra-long credit

Group 1: Quantitative Credit Strategy - The recent performance of perpetual bonds and broker bonds strategies has shown a high success rate as of May 9 [2] - Short-term strategies yielded limited excess returns, while mid to long-term strategies, excluding city investment duration and barbell strategies, showed positive excess returns [2][12] - Financial bonds and non-financial credit heavy strategies have widened the gap in cumulative excess returns over the past four weeks, particularly with increased yield elasticity in financial bond duration strategies [2][12] Group 2: Duration Tracking of Various Bonds - As of May 9, the weighted average transaction duration for city investment bonds and industrial bonds reached 2.09 years and 2.51 years respectively, both above the 90th percentile since March 2021 [3][15] - The weighted average transaction durations for secondary capital bonds, perpetual bonds, and general commercial bank bonds are 4.19 years, 3.59 years, and 2.30 years respectively [3][15] - Other financial bonds such as securities company bonds and insurance company bonds have varying durations, with some at historically low levels and others at high levels [3][15] Group 3: Yield Heatmap of Credit Assets - As of May 12, the valuation yield and spread of private enterprise real estate bonds are higher than other types of bonds [4][17] - Non-financial, non-real estate industrial bonds saw a yield decline of around 10 basis points, particularly in the one-year category [4][18] - Financial bonds with high valuation yields include leasing company bonds and securities subordinate bonds, with significant yield declines noted in certain categories [4][18] Group 4: Long-term Credit Bond Insights - The market shows weak willingness to increase long-duration credit bonds, despite the approaching low yields of government bonds and short-term assets [5][20] - Transaction volumes for mainstream long-duration industrial bonds have increased but remain below levels seen in late March, indicating insufficient trading sentiment to support long-term bond markets [5][20] - The recent week saw a decline in the transaction share of long-term credit bonds, falling below 70% [5][20] Group 5: Local Government Bond Supply and Trading Insights - The average coupon rates for 10-year, 20-year, and 30-year local government bonds are 1.79%, 2.07%, and 2.05% respectively, with varying spreads [6][23] - The liquidity in the interbank market remains reasonably ample, with moderate issuance volumes of local bonds, leading to stable supply pressure [6][23] - Long-term spreads continue to widen, but adjustments have led to a more stable outlook [6][23]