（1）短信用，主要是短二永，在 6 月第一周跟随利率迅速下行后，当 周小幅回调。 （2）机构对低等级城投下沉品种参与情绪延续在高位，1 年内品种收 益率下行幅度在 5bp 以上；收益率持续低位的情况下，该类品种亦叠加部 分拉久期思路，对应 2-3 年左右债项的收益率下行幅度亦不低。 （3）下沉思路之外，中高等级信用债的久期进一步拉长，包括一定程 度上加大对 5 年期以上的超长信用品种的参与。 固定收益 | 固定收益定期 跨季抢跑再现？ 证券研究报告 信用策略周报 20250615 一、信用利差延续压缩行情 当周信用继续利差压缩行情，但表现依旧分化。 二、机构抢跑？ 当周包括公募基金、银行理财等在内的信用债主要买盘对信用债的净 买入力度明显增加，合计净买入规模创今年以来的新高； 其中又以公募基金、其他产品贡献绝对主力，银行理财、保险公司对 信用债的增持力量相对不强，对应其更多还是参与存单、地方债等品种。 这背后则反映了在利率或延续震荡市格局的背景下，机构对供需格局 较好的信用债预期相对乐观，尤其央行对资金和流动性较为呵护，提振市 场情绪。 三、追超长信用？ 5 月中旬以来，5 年期以上的超长信用债一级供给稍有起 ...

意料外的行情。 五一假期之前，10 年减 1 年国债期限利差悄然收窄至 16bp 的新低，10 年国债中债估值收益再度探至 1.62%低位，债 市讨论从持债过节是否安全，快速切换到是否追涨。收益快速下行催化剂有三：一是跨月节点，资金不紧反松；二是 市场提前定价 4 月 PMI 读数；三是 30 年国债切换活跃券，定价产生提振。考虑到交易量与行情的脱节，若是相对收 益考核账户还未能赚到这波行情，接下来将面临 4 月初一样的问题：如何执行追涨？ 如何看待追涨性价比？ 牛市行情间隔时间不长，期间信用债调整力度还普遍大于利率债，是不是可以认为跌出票息性价比，反而提升信用债 的参与价值？从以下五个方面来看，仍需留一份谨慎。第一，脆弱的交易情绪，一般信用债距离年内低点即便高于利 率债，也并未展现应有的抢配，甚至是收益下行力度都谈不上修复过去两周的下跌，流动性较好的 AAA 信用债表现亦 平淡。第二，追久期的力度不足。第三，换手率亦未反映一般信用债的配置热度，无论是 3 年内还是 3 年以上城投债， 换手率都在年内较低水平。第四，票息增强不如博资本利得，4 月以来，关键期限城投债和中票平均票息收益与资本 利得收益占比各半， ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints - In a high - volatility bond market environment, balancing offense and defense is a challenge for investors. Although credit bonds lack effective coupon protection and have lower liquidity, coupon - type assets still have value for increased holdings. By decomposing the comprehensive return of credit bonds into holding return and capital gain and conducting stress tests on individual bonds, investors can adjust their allocation strategies [2][10]. - The increase in bond market volatility places higher requirements on investors' liability - side management and trading timing capabilities [3][15]. Summary by Relevant Catalogs I. Individual Bond Stress Test Tool - **Bond Market Volatility Background**: Since last September, the bond market has experienced multiple fluctuations. After the "924" new policy impulse, it entered a cycle of redemptions and sharp declines. In November, with the release of loose capital signals, it entered a pre - emptive trading phase. After the New Year, the bond market was affected by factors such as tight capital in January, strong equity performance and improved economic fundamentals in February, and volatile equity trends and tariff factors in March. As of last Friday, the proportion of outstanding credit bonds with yields below 2.2% rose to 71%, and those below 2.0% reached 38%, leading to high volatility in the bond market [9]. - **Analysis of Credit Bonds**: Credit bonds currently lack effective coupon protection and have lower liquidity than interest - rate bonds. The window period for market trends is short under high volatility. To balance liquidity and return enhancement, coupon - type assets are still worth increasing. Decomposing the comprehensive return of credit bonds into holding return and capital gain can help judge entry and exit points [2][10]. - **Stress Test of Urban Investment Bonds**: In April, the absolute yield of urban investment bonds dropped to a low level. Assuming purchase at the current coupon rate and holding for two weeks or three months, in the two - week holding scenario, low - coupon urban investment bonds' comprehensive return can hardly withstand capital gain losses. In the three - month holding scenario, for a 50bp yield increase, the comprehensive return of 1 - year urban investment bonds is still positive; for a 20bp increase, some AA and AA(2) term varieties can also achieve coupon coverage of losses [2][10]. - **Stress Test of Bank Sub - debt**: The stress test results of bank sub - debt are less favorable. Whether holding for two weeks or three months, even when facing a 20bp yield increase, the comprehensive return of Tier 2 capital bonds and perpetual bank bonds is difficult to maintain in the positive range [3][13].