20231126-德邦证券-固定收益周报_当前债券组合的构建思路_18页_1mb

报告摘要

Current market conditions: Funds face significant pressure due to high government bond supply, with ~900 billion yuan net financing expected in December. The central bank may inject liquidity to stabilize funds, offering good opportunities in short end rates.
Interest rate outlook: Short-term rates have high potential returns. If the central bank implements further easing, medium-short end bonds may perform strongly; otherwise, rates could remain weak, affecting long-end bonds and providing a potential buying opportunity in Q1 2024.
Investment strategies: For low-duration portfolios, consider high-coupon short-term local government bonds (e.g., high-yield carry opportunities). For higher duration, combine local government bonds with medium-short end rates. Specific recommendations include holding new 4-5Y policy financial bonds like 230018IB and focusing on floating rate notes with implicit interest rate cuts.

Short end focus: Rates offer high payoff due to anticipated liquidity support. However, regulatory changes may alter bank preferences, impacting yields. Floating rate notes (挂钩LPR) are recommended, with examples like 220217IB and 230213IB, showing strong implicit cut expectations.
Medium-long end strategies: Long-end rates are influenced by curve flattening. Prioritize 10-year bonds with opportunities in 15-30Y segments. New issues like 230215IB may yield extra declines if liquidity improves, and old bonds like 220205IB offer carry advantages.
Credit and floating rate notes: Secondary capital bonds (1Y or 5Y) and perpetual bonds (1-2Y or 5Y) are suggested. Floating rate notes tied to DR007 provide short-term protection against tight funds.
Risk and context: Economic or policy surprises could alter market dynamics. The report emphasizes that while bonds lack current relative value, long-term opportunities may arise if the curve steepens.

Monitor central bank actions for easing and fund market liquidity. Focus on specific codes like 190205IB, 220208IB for short ends, and manage credit risks with careful selection of platforms.
Utilize mathematical models for rate predictions and consider currency comparisons to rank investments.