本周模拟组合依旧呈负收益，中短端信用风格组合回撤幅度小于对应利率风格组合，长端组合则有较大跌幅。利率风 格组合中，存单下沉型、存单子弹型策略周度收益读数靠前，分别为-0.25%、-0.25%；信用风格组合中，存单下沉型、 存单子弹型策略回撤偏小，收益读数分别为-0.14%、-0.14%。 分重仓券种看，城投久期策略表现低迷，二级债重仓策略跌势放缓。信用风格存单重仓组合周度收益均值小幅回升至 -0.14%，高出对应利率风格组合收益均值 10.7bp，是 7 月下旬以来防御性最强的策略；城投重仓组合周度收益环比 下行 3.5bp 至-0.3%，本周收益率曲线明显走陡，城投久期、哑铃型组合跌幅均超过对应利率风格组合，从 6 月以来 累计收益看，短端下沉策略仍有 0.29%的收益，而其余策略收益基本被抹平；二级资本债重仓组合表现略有修复，较 上周平均收益上行 5.2bp，特别是二级债久期组合跌幅有所减小；超长债重仓策略收益继续下挫，其中，城投、二级 超长型组合 7 月下旬以来累计收益双双下破-1.6%。 收益来源方面，信用策略跌出一定票息空间，二级债久期策略票息距年内低点超过 20bp。主要策略组合票息止跌转 涨，其 ...

Group 1: Report's Investment Rating - No information provided on the report's industry investment rating Group 2: Core Views - This week, the simulated portfolio's returns turned negative, with the credit - style portfolio's retracement relatively controllable. Among the interest - rate style portfolios, the short - end sinking of urban investment bonds and the sinking strategy of certificates of deposit (CDs) had relatively high weekly return readings, both around - 0.41%. Among the credit - style portfolios, the short - end sinking of urban investment bonds and the sinking strategy of CDs had smaller retracements, with return readings of - 0.16% and - 0.16% respectively [2][15][16]. - Since July, the CD strategy has a higher odds. The average weekly return of the credit - style CD heavy - position portfolio dropped to - 0.17%, a decrease of about 24bp from last week. It is also one of the few strategies with positive cumulative returns in the past three weeks. The corresponding interest - rate style portfolio underperformed the defensive strategy again after two weeks [2][19]. - In terms of return sources, the coupon of the credit - style urban investment bond heavy - position strategy is approaching the annual low and can hardly withstand recent fluctuations. The coupon contributions of the credit - style portfolio this week generally fell within the range of - 25% to - 5%, and capital gains significantly dragged down the comprehensive return [3][27]. - In the past four weeks, except for the short - end sinking of urban investment bonds, the remaining mainstream strategies generally lacked excess returns. From the perspective of strategy terms, short - term strategies significantly outperformed. Short - term CD strategies outperformed the benchmark, and the excess return of urban investment sinking reached the highest since late June [4][31][33]. Group 3: Summary by Relevant Catalogs 1. Portfolio Strategy Return Tracking 1.1 Portfolio Weekly Return Overview - As of August 15, this year, the cumulative returns of the interest - rate style and credit - style portfolios have significantly lagged behind the same period in the past two years. Among the main credit - style portfolios, the cumulative comprehensive returns of the long - term industrial portfolio, the short - end sinking of urban investment bonds, and the duration portfolio led, reaching 1.48%, 1.39%, and 1.22% respectively. The cumulative returns of the credit - style portfolios all exceeded the corresponding interest - rate style portfolios, while the cumulative returns of the interest - rate style portfolios basically fell back to within 1% [10]. - The average weekly return of the credit - style CD heavy - position portfolio dropped to - 0.17%, a decrease of about 24bp from last week. The weekly return of the urban investment bond heavy - position portfolio decreased by 38.6bp to - 0.27% compared with the previous week. The weekly return of the secondary bond heavy - position portfolio decreased by more than 40bp, but its absolute return performance was slightly stronger than that of the interest - rate style portfolio. The average return of the long - term bond heavy - position strategy dropped to - 0.55%, a decrease of about 64bp compared with the previous week [2][19]. 1.2 Portfolio Weekly Return Sources - The coupons of the main strategy portfolios continued to decline. The coupons of the short - end sinking and dumbbell - shaped portfolios of urban investment bonds were around an annualized 1.92% and 1.97% respectively, less than 5bp away from the annual low. The coupon of the secondary bond duration portfolio was still 14bp away from the low point, and the coupon volatility remained high [3][27]. 2. Credit Strategy Excess Return Tracking - In the past four weeks, the cumulative excess returns of the short - end sinking of urban investment bonds, the bullet - shaped portfolio of commercial financial bonds, and the sinking strategy portfolio of secondary bonds reached 16.2bp, 0.9bp, and 0.6bp respectively, while the cumulative readings of the remaining strategy portfolios dropped to the negative range. This week's weak performance widened the gap between the cumulative returns of the heavy - position strategy of Tier 2 and perpetual bonds and the urban investment bond heavy - position strategy, with the cumulative excess return dropping to below - 22bp [4][31]. - From the perspective of strategy terms, short - term strategies significantly outperformed. Short - term CD strategies outperformed the benchmark, and the excess return of urban investment sinking reached the highest since late June. In the medium - and long - term, all strategies showed negative excess returns, except that the excess return of the short - end sinking of urban investment bonds reached 9.7bp. The negative deviations of Tier 2 capital bonds and the bullet - shaped portfolio of commercial financial bonds from the benchmark were within 2bp, also having a certain defensive property [4][33]. Appendix: Simulated Portfolio Allocation Method - The simulated portfolio has some limitations, including the distortion of the portfolio allocation method and errors in the return calculation method. The actual product's bond allocation in terms of grade and term distribution is more complex and may change strategies according to market conditions. The fixed bond ratio in the simulated portfolio may be distorted, and there are some assumptions and simplifications in the calculation method of coupon and capital gains [5][47]

Quantitative Credit Strategy - As of August 1, the secondary capital bond heavy strategy has rapidly recovered, with the weekly average yield of the credit style secondary bond heavy portfolio rising nearly 87 basis points, reaching the highest absolute return since April [2][12] - The secondary bond heavy and long-term industrial strategies showed significant recovery compared to other portfolios, with weekly returns of 0.31% and 0.51%, respectively, compensating for over 65% of the losses from the previous week [2][12] - Financial bond duration strategies generally outperformed, with secondary bonds, perpetual bonds, and brokerage bond duration portfolios beating the mid-to-long-term benchmark by approximately 9.2 basis points, 8.7 basis points, and 10.4 basis points, respectively [2][12] Duration Tracking of Varieties - The transaction duration of secondary capital bonds has risen to 4.8 years as of August 3, with urban investment bonds and industrial bonds weighted at 2.24 years and 3.03 years, respectively, both at over 90% historical percentile levels since March 2021 [3][14] - Among commercial bank bonds, the weighted average transaction durations for secondary capital bonds, bank perpetual bonds, and general commercial bank bonds are 4.79 years, 4.02 years, and 2.91 years, respectively, with bank perpetual bonds at a relatively low historical level [3][14] - For other financial bonds, the durations of securities company bonds, subordinated securities bonds, insurance company bonds, and leasing company bonds are 1.78 years, 2.37 years, 3.00 years, and 1.61 years, respectively, with securities company bonds and subordinated securities bonds at low historical percentiles [3][14] Yield Heat Map of Coupon Assets - As of August 4, the yields of non-financial and non-real estate industrial bonds have generally declined, with yields for 1-year and 2-3 year private enterprise public non-perpetual bonds down by 5.8 basis points and 6.7 basis points, respectively [4][19] - Real estate bonds also saw a decline in yields, with the yield drop for 3-year private enterprise public non-perpetual bonds exceeding 6 basis points [4][19] - In the financial bond sector, bank subordinated bonds are favored, particularly in the short end, with yields for 1-year shares and 1-2 year city commercial bank secondary capital bonds down by 11.5 basis points and 8.8 basis points, respectively [4][19] Long-term Credit Bond Insights - The issuance scale of long-term credit new bonds totaled 13.42 billion, with supply returning to a low level, possibly due to rising issuance costs, as long-term bond issuers await favorable issuance windows [5][21] - Correspondingly, the average issuance rate of long-term credit new bonds continued to rise, with the issuance rate of long-term urban investment bonds reaching over the 50th percentile for the first time in 24 years [5][21] Local Government Bond Supply and Trading Tracking - The average issuance rate of local bonds has marginally increased, with the yield spreads for 30-year, 20-year, and 10-year local bonds widening to 14 basis points, 12 basis points, and 11 basis points, respectively, compared to the same-term government bonds [6][22]

Group 1 - The simulated portfolio returns have turned upward, with credit style portfolios significantly outperforming interest rate style portfolios. The weekly returns for the industrial ultra-long and urban investment ultra-long strategies were 0.32% and 0.26% respectively [2][14][15] - The industrial ultra-long bond heavy strategy has maintained positive returns for nine consecutive weeks, with an average weekly return increase of 34.7 basis points since mid-May [2][18] - The urban investment heavy portfolio's weekly return increased by over 20 basis points, benefiting from strong performance at the ultra-long end, achieving a weekly return of 0.18% [2][18] Group 2 - The coupon income from various strategy portfolios has slightly rebounded, while volatility remains low compared to the past year. The coupon contribution for credit style portfolios generally fell within the 10% to 40% range [3][26] - The secondary bond bullet strategy's coupon increased by nearly 0.08 basis points compared to the previous week, although most secondary capital bond heavy portfolios remain below an annualized 1.9% [3][26] Group 3 - In the past four weeks, financial bond duration strategies have lagged behind downshift strategies, with cumulative excess returns for broker bonds downshift, urban investment duration, and bullet strategies falling to 2.7 basis points, 0.9 basis points, and -3.7 basis points respectively [4][31] - The excess returns are concentrated in the non-financial credit ultra-long end, with the ultra-long industrial strategy achieving excess returns of over 16 basis points for three consecutive weeks, outperforming urban investment ultra-long and secondary ultra-long strategies [4][34]

Group 1 - The simulated portfolio's returns have declined this week, with credit style portfolios experiencing smaller drawdowns compared to interest rate style portfolios. The weekly returns for the industrial ultra-long and municipal short-end sinking strategies were -0.1% and -0.13% respectively [2][14] - In the credit style portfolio, the industrial ultra-long and broker debt sinking strategies were among the few that still had positive returns, recording 0.1% and 0.03% respectively [2][15] - The average weekly return for the credit style time deposit heavy combination fell to -0.01%, with a controllable decline compared to the previous week. The short-duration combinations demonstrated strong volatility resistance [2][17] Group 2 - The coupon income from municipal heavy strategies has dropped to a low point, making it difficult to cover weekly capital gains losses. Most municipal heavy combinations have seen their annualized coupon income fall below 1.9% [3][24] - The coupon contributions from the credit style combinations have generally turned negative, particularly for the municipal dumbbell and secondary debt duration strategies, which fell into the -35% to -30% range [3][24] Group 3 - In the past four weeks, broker debt strategies have gained favor, with cumulative excess returns for broker debt duration, municipal dumbbell, and broker debt sinking strategies at 18.5bp, 15.6bp, and 12.4bp respectively [4][28] - The broker debt duration strategy has achieved a cumulative return of 1.92% since the second quarter, ranking just below the municipal dumbbell strategy, which is around 1.98% [4][28] - Short-duration strategies have outperformed the mid-to-long-term benchmarks, with the municipal short-end sinking strategy exceeding the mid-to-long-term benchmark by the largest margin since May [4][30]

Group 1: Portfolio Strategy Performance Tracking - The simulated portfolio returns have rebounded, with significant increases in credit positions. The industrial ultra-long and secondary ultra-long strategy combinations in the interest rate style portfolio both recorded returns around 0.15% [2][14] - In the credit style portfolio, the industrial ultra-long and secondary ultra-long strategy combinations achieved returns of 0.41% each, leading the performance [2][15] - The weekly average return of the credit style time deposit heavy combination rose to 0.14%, an increase of 9.3 basis points compared to the previous week, while the city investment heavy combination's average weekly return increased to 0.23%, up over 20 basis points from last week [2][18] Group 2: Sources of Returns - The interest income from various strategy combinations has slightly rebounded, with most strategies showing an increase in interest income. The city investment short-end sinking and secondary debt sinking strategies saw interest income increases of approximately 0.04 basis points [3][27] - The annualized interest income for most combinations remains below 2%, except for the city investment short-end sinking and barbell combinations, which are still above 1.95% [3][27] - The contribution of interest income in credit style combinations generally falls within the range of 10% to 25%, with capital gains being the primary source of returns, particularly for the city investment bullet-type and secondary debt duration combinations, where interest contributions dropped to around 13% [3][27] Group 3: Credit Strategy Excess Return Tracking - Over the past four weeks, the cumulative excess return difference between duration strategies and sinking strategies has widened. The cumulative excess returns for city investment barbell, city investment duration, and broker debt duration strategy combinations were 33.6 basis points, 7.4 basis points, and 5.8 basis points, respectively [4][31] - The excess returns for short-end strategies have decreased, with the time deposit strategy dropping to around -1.6 basis points, while the city investment sinking strategy slightly surpassed the benchmark [4][34] - The excess returns for ultra-long strategies have rebounded to levels seen in early June, with the secondary ultra-long strategy combination's excess return rising to over 17 basis points this week, contrasting with the negative readings from the previous three weeks [4][34]

Group 1 - The report indicates that the simulated portfolio performance remains mixed, with most strategies showing reduced returns except for some credit style portfolios. The city investment long-term and secondary long-term strategies achieved returns of 0.2% and 0.15% respectively [2][14] - In terms of heavy-weighted bond types, credit bond-heavy strategies generally outperformed interest rate bond-heavy portfolios. The average weekly return for credit style time deposit-heavy strategies decreased by 0.7 basis points, while the city investment heavy-weighted portfolio's average weekly return fell to 0.15%, a decline of 4.3 basis points from the previous week [2][18] - The cumulative investment returns for the city investment dumbbell strategy were -0.12% in Q1 and 1.85% in Q2 to date, indicating it is one of the more balanced strategies this year [2][18] Group 2 - The report highlights that the cumulative excess returns for duration strategies have outperformed sinking strategies over the past four weeks. The cumulative excess returns for the city investment dumbbell, broker debt duration, and city investment duration strategies were 45.7 basis points, 17.3 basis points, and 11.5 basis points respectively [4][30] - The report notes that the sinking strategies generally underperformed compared to duration strategies in the past month, with financial bond-heavy portfolios lacking aggressive attributes [4][30] - The report also states that the excess returns for short-end strategies are lacking, with the city investment sinking strategy's excess return significantly narrowing, and the time deposit strategy's return deviating from the benchmark by only 1 basis point [4][30]

Quantitative Models and Construction Methods 1. Model Name: Interest Rate Style Portfolio - **Model Construction Idea**: The portfolio is constructed by allocating 80% to interest rate bonds and 20% to credit bonds, with the interest rate bond portion using 10-year government bonds and the credit bond portion including 20% ultra-long bonds[13][19] - **Model Construction Process**: - **Bullet Strategy**: Allocates 1-year AAA interbank certificates of deposit (CDs), 3-year AA+ municipal bonds, and 3-year AAA- perpetual bonds[13] - **Duration Strategy**: Allocates 4-year AA+ municipal bonds and 4-year AAA- perpetual bonds[13] - **Ultra-long Strategy**: Allocates 10-year AA+ municipal bonds and 10-year AAA- subordinated bonds[13] - **Mixed Barbell Strategy**: Allocates 1-year AA+ municipal bonds and 10-year AA+ municipal bonds in a 1:1 ratio[13] - **Model Evaluation**: The interest rate style portfolios generally outperform their credit style counterparts in absolute returns, with cumulative returns around 1% year-to-date[10] 2. Model Name: Credit Style Portfolio - **Model Construction Idea**: The portfolio is constructed by allocating 20% to government bonds and 80% to credit bonds, with a focus on various credit strategies such as bullet, duration, and ultra-long strategies[13][19] - **Model Construction Process**: - **Bullet Strategy**: Allocates 1-year AAA interbank CDs and 3-year AA+ municipal bonds[13] - **Duration Strategy**: Allocates 4-year AA+ municipal bonds and 4-year AAA- perpetual bonds[13] - **Ultra-long Strategy**: Allocates 10-year AA+ municipal bonds and 10-year AAA- subordinated bonds[13] - **Mixed Barbell Strategy**: Allocates 1-year AA+ municipal bonds and 10-year AAA- subordinated bonds in a 1:1 ratio[13] - **Model Evaluation**: Credit style portfolios, such as the municipal bond short-end sinking strategy, achieved cumulative returns of 1.04%, ranking among the top performers[10] --- Model Backtesting Results 1. Interest Rate Style Portfolio - **Weekly Returns**: Ultra-long strategies (e.g., secondary ultra-long and industrial ultra-long) achieved weekly returns of 0.19%[2][16] - **Cumulative Returns**: Year-to-date cumulative returns for various strategies are approximately 1%[10] 2. Credit Style Portfolio - **Weekly Returns**: Secondary ultra-long and industrial ultra-long strategies achieved weekly returns of 0.23% and 0.21%, respectively[2][16] - **Cumulative Returns**: Municipal bond short-end sinking, duration, and bullet strategies achieved cumulative returns of 1.04%, 0.96%, and 0.89%, respectively[10] --- Quantitative Factors and Construction Methods 1. Factor Name: Coupon Contribution - **Factor Construction Idea**: Measures the contribution of coupon income to portfolio returns, focusing on stability and low volatility[3][28] - **Factor Construction Process**: - Calculate the initial yield-to-maturity (YTM) of bonds in the portfolio - Multiply the YTM by the holding period to estimate coupon income[13] - **Factor Evaluation**: Coupon contributions for most strategies are concentrated between 20% and 40%, with municipal bond short-end sinking and barbell strategies maintaining stable coupon yields around 0.039%[3][28] 2. Factor Name: Excess Return - **Factor Construction Idea**: Measures the return of a strategy relative to a benchmark, focusing on strategies that outperform consistently[4][33] - **Factor Construction Process**: - Benchmark portfolios are constructed with specific allocations (e.g., 20% government bonds, 64% 3-year AA+ municipal bonds, and 16% 10-year AA+ industrial bonds)[36][38] - Calculate the difference between the strategy's return and the benchmark return over a specified period[36][38] - **Factor Evaluation**: Municipal bond duration and barbell strategies achieved cumulative excess returns of 11.3bp and 10.8bp, respectively, over the past four weeks[4][33] --- Factor Backtesting Results 1. Coupon Contribution - **Municipal Bond Strategies**: Coupon yields for short-end sinking and barbell strategies remained stable at approximately 0.039%[3][28] - **Other Strategies**: Most strategies had annualized coupon yields below 2%[3][28] 2. Excess Return - **Short-term Strategies**: Interbank CD bullet strategies achieved excess returns of 1.9bp, the highest since April[36][38] - **Medium-to-Long-term Strategies**: Municipal bond duration and barbell strategies achieved cumulative excess returns of 11.3bp and 10.8bp, respectively[4][33] - **Ultra-long Strategies**: Industrial ultra-long and secondary ultra-long strategies outperformed benchmarks by approximately 15bp[4][36]

- 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]