债市晴雨表：基金久期回落

Report Industry Investment Rating No information provided regarding the report industry investment rating. Core Viewpoints The report presents a comprehensive analysis of the bond market, including various indicators such as sentiment, institutional duration, leverage ratio, secondary trading, institutional allocation power, primary subscription, and relative valuation. It shows that last week the bond market witnessed a decline in some sentiment and trading - related indicators, while there were changes in institutional duration and allocation power. For example, the bond market sentiment index and turnover rates of multiple bonds decreased, and the duration of some institutional investors changed, with improved institutional allocation power for some institutions [1][2][3]. Summary by Category 1. Bond Market Sentiment - The bond market sentiment index last week was 114.0, down 0.9 from the previous value, and the bond market sentiment diffusion index was 41.9%, down 10.4 percentage points from the previous value [1] 2. Institutional Duration - The fund duration on the last Friday was 2.26 years, down 0.02 years from the previous Friday; the rural commercial bank duration was 2.64 years, up 0.08 years; the insurance duration was 6.81 years, up 0.03 years [1] 3. Leverage Ratio - The balance of pledged - repo last week was 10.5 trillion yuan, down 0.2 trillion yuan from the previous value; the net lending balance of large banks was 2.8 trillion yuan, down 0.1 trillion yuan; the bond market leverage ratio was 103.4%, down 0.1 percentage point [1] 4. Secondary Trading - The turnover rate of 30Y Treasury bonds was 2.3%, down 0.4 percentage points; the 10Y Treasury bond turnover rate was 0.9%, down 1.1 percentage points; the 10Y China Development Bank bond turnover rate was 25.6%, down 3.3 percentage points; the ultra - long - term credit bond turnover rate was 0.39%, down 0.07 percentage points [1] 5. Institutional Allocation Power - The newly issued share of bond funds last week was 11.3 billion yuan, up 9 billion yuan from the previous value; the stock market risk premium was 1.72%, down 0.11 percentage points; the US dollar index was 99.6, down 2.4 [2] - The 6M bill rediscount rate minus 6M certificate of deposit was - 65.0bp, unchanged from the previous value; the rural commercial bank bond allocation index was 42.2%, up 95.3 percentage points; the insurance bond allocation index was 68.6%, up 21.3 percentage points; the money market fund bond allocation index was 37.4%, up 24.4 percentage points; the insurance second - tier perpetual bond allocation index was - 22.3%, up 0.9 percentage points [3] 6. Primary Subscription - The full - field multiple of Treasury bonds last week fell 0.8 times to 3.2 times, the full - field multiple of local bonds rose 4.7 times to 22.7 times, and the full - field multiple of China Development Bank bonds was 2.7 times, unchanged from the previous value [3] 7. Relative Valuation - The spread between 10 - year China Development Bank bonds and Treasury bonds narrowed 1.3bp to 3.4bp; the spread between 30 - year and 10 - year Treasury bonds widened 2.3bp to 22.5bp; the spread between 10 - year old and new China Development Bank bonds widened 2.3bp to 1.5bp; the spread between 10 - year local bonds and Treasury bonds widened 0.2bp to 26.6bp [3]