Grasp the coupon opportunity from the perspective of holding period return

⊙ contributing writer Canglo ⊙ Canglo after entering May, with the gradual stabilization and slight fall of the yield of policy-related financial debt, the medium-term bills with adjustment in the early stage also showed signs of warming up. Taking AAA as an example, the 2, 3, 4 and 5-year yields fell by more than 10BP from the end of April.　　From a variety of perspectives, the current high class (AAA grade) is still not attractive, but from the perspective of the holding period return, some of the lower-level coupons are worth exploring. First of all, judging from the implied rate of the triple-A vote relative to the national debt, the current 3-year and 5-year implied tax rates are 40.44% and 35.9% respectively, were 5.5 and 5.8% higher than the historical average, but there is still a great distance from the highest level of history; from the rate difference between AAA grade and middle ticket relative to national debt, the 3-year and 5-year period are 115 and 113BP respectively, the former is lower than the historical average of 15BP, the latter is only higher than the historical average 5.58BP.　　Thus, although the relative value of the 3-year and 5-year midterm votes has been raised earlier, the attractiveness is limited. Secondly, the implied interest rate protection from the low grade varieties, the 2, 3, 5-year period of the ticket aa+ level relative to the AAA level of interest only accounts for unsecured enterprise debt 43%-72%,aa-level relative to the AAA level spreads only accounts for unsecured enterprise debt 52%-63%, Because the spreads between different credit grades are mainly composed of liquidity premium and risk premium, and the middle ticket AA grade and aa+ class compared to AAA level of liquidity than unsecured enterprise debt (aa+ level and the following varieties of the scale in the vote accounted for only 8%, in the unsecured enterprise debt accounted for more than 50%),　　Should have a higher liquidity premium, so the low margin implied that its risk premium relative to the unsecured enterprise debt is obviously underestimated, the security margin is lower, in the future with the medium and low class varieties of expansion, the gap between the difference in the spread of the possibility of further increase. Third, from the banking and insurance institutions, the application of capital requirements, the current 3-year triple-A-vote yield of 2.8514%, only the bank's comprehensive capital cost (about 2.5%) high 35.14BP, taking into account the bank's investment in the votes need to occupy 50%-100% risk weights and capital, Current premium levels are limited in attractiveness. In the 5-year midterm, the current yield is 3.7144%, and the preferential loan rate of 30% is still near 30BP, so the distribution of the ticket is less attractive than the loan income.　　For the insurance institution, the current 3-year triple-A-grade middle-class ticket yield is below the 3-year fixed deposit rate (3.3%), although the yield of the 5-year AAA grade is higher than the 5-year fixed deposit rate (3.6%), the allocation value is stronger than that in the earlier period, but it has no absolute advantage compared with the secured separation debt, the corporate bond and the city investment debt. Finally, from the perspective of the holding period return, the mainstream of the main varieties of AAA holding 1-year rate of return is generally lower than the one-year fixed interest rates, but the aa+ level and below the lower-level coupon opportunities deserve attention. Take 09 Yong Coal MTN1 For example, 3-year 09 Yong Coal MTN1, the mainBoth the body rating and the bond rating are AA, the current yield is 4.2331%, with a similar rating of 2-year variety 931 MTN2 (the main rating and bond rating are aa-) current yield is 3.1%.　　As a reference to the 2-year yield, assuming that 1 years later, the yield rose by 100BP, (that is, 1 years after the remaining period of 2 years of the 09 permanent coal MTN1 yield of 4.1%), the annual holding period of return of up to 4.4762%. According to the same idea, 5-year 09 Nan Ai set MTN2, the main rating and bond ratings are aa+, the current yield is 4.0172%, holding a 2-year annualized return of 2.5938% (with the same rating of 09 Lu ' an MTN1 for 3-year reference coupons, assuming 2 years after the increase in the yield of 200BP,　　To 5.085%). Compared with the above varieties, the 2-5-year principal rating and the bond rating of AAA were generally low for 1 years (assuming that the yield on the reference coupon was up by 100BP after 1 years): The 5-year 09-state MTN1, with a current yield of 3.69%, and a 1-year return of 1.2312% ( With a rating of 08 CLP MTN2 as a 4-year yield reference coupon, current yield is 3.3837%), 4-year 08 CLP MTN2, the current yield is 3.3837%, holding 1-year return of 2.0495% (with the same rating of 09 Sino-Foreign Transport MTN1 for 3-year yield reference coupons, The current yield is 2.837%), 3-year 95 mine MTN1, the current yield is 2.8788%, holding 1-year return of 2.2236% (with the same rating 85 mine MTN1 for 2-year yield reference coupons, the current yield is 2.2344%).