2025Q1债基降久期、降杠杆
Minsheng Securities·2025-04-25 12:03
- Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In Q1 2025, the bond market was volatile, with the short - end adjusting first under tight funding and then the long - end, resulting in a bear - flattening curve at the end of the quarter. Bond funds reduced duration and leverage. Looking ahead to Q2 2025, the fund liability side may enter a recovery phase, and scale is expected to rebound. There may be opportunities in short - term bonds if liquidity is abundant, and potential trading opportunities in the adjustment of ultra - long - term bonds. 5 - 10 - year varieties may have long - position opportunities [1][3][4][5] 3. Summary According to the Directory 3.1 2025Q1 Bond - type Fund Overview - Market Trends: In Q1 2025, the bond market was mainly traded around expectations of loose money, tight - balanced funding, the "stock - bond seesaw", and institutional behavior. In January, bond yields first declined and then rose; in February, there was an adjustment; in March, it first adjusted and then recovered [9][10]. - Fund Market Performance: The number of bond funds increased slightly, while the asset net value returned to the level before Q2 2024. The number of passive index - type funds increased by 4.14%. Short - term bond funds' scale decreased significantly, while mixed - type bond funds turned to positive growth [12]. - Asset Net Value Growth Rate: The quarter - on - quarter growth rates of medium - and long - term pure bonds, short - term pure bonds, mixed (primary), mixed (secondary), passive index, enhanced index, and convertible bond funds were - 4.9%, - 20%, + 4%, + 13%, - 7%, + 8%, + 4% respectively [14]. - Scale Distribution: 60% of bond funds had an asset net value of less than 2 billion yuan. The number of bond funds with a scale of less than 1 billion yuan increased, mainly medium - and long - term bond funds. The number of funds with a scale of over 5 billion yuan decreased significantly, especially those over 10 billion yuan [16]. - Holding Situation: Medium - and long - term pure bond funds mainly held policy - financial bonds, followed by non - policy - financial bonds and medium - term notes. Short - term bond funds held more medium - term notes and short - term financing bills. Different types of funds had different trends in holding various bonds [20][21]. - Duration and Leverage: Due to the tight - balanced funding and policy concerns about long - term bond risks, medium - and long - term and short - term bond funds reduced their average duration by 0.15 and 0.13 years respectively. Funds continued to reduce leverage due to the inverted repo rate and bond market rate [22] 3.2 2025Q1 Pure Bond Fund Holding Analysis 3.2.1 Pure Bond Fund Holding Overview - Medium - and Long - Term Pure Bond Funds: The holding structure changed little. The market value of medium - term notes, treasury bonds, and corporate bonds increased slightly, while the proportion of policy - financial bonds and certificates of deposit decreased. The current main holdings of policy - financial bonds, non - policy - financial bonds, and medium - term notes accounted for 30.9%, 15.4%, and 10.3% respectively [27]. - Short - Term Pure Bond Funds: The proportion of holding credit bonds increased slightly. The proportion of short - term financing bills increased significantly, while the proportion of financial bonds, medium - term notes, and certificates of deposit decreased [27]. - Scale and Holding Relationship: Larger medium - and long - term bond funds held a lower proportion of credit bonds and a higher proportion of policy - financial bonds. Short - term bond funds with an asset net value of over 300 million yuan held a higher proportion of policy - financial bonds and a lower proportion of credit bonds [29] 3.2.2 Top Five Holdings Analysis - Coupon Distribution: In medium - and long - term bond funds, the market value proportion of heavy - holding bonds with a coupon of 1 - 2% continued to increase, while the proportion of those with a coupon of over 3% decreased. In short - term bond funds, the proportion of heavy - holding bonds with a coupon of 1 - 2% was relatively high and increased significantly in the past two quarters [35]. - Bond Type and Market Value: Medium - and long - term bond funds still mainly held policy - financial bonds, with a slight decline in holding scale but a significant increase in the market value of non - policy - financial bonds, credit bonds, and local government bonds. Short - term bond funds also mainly held policy - financial bonds, with a decline in holding scale but a significant increase in the market value of credit bonds to a two - year high [40][42]. - Sub - categories of Bonds - Financial Bonds (Excluding Policy - Financial Bonds): Medium - and long - term bond funds mainly held commercial bank ordinary bonds, with a slight increase in the market value of ordinary and perpetual bonds. Short - term bond funds mainly held commercial bank perpetual and ordinary bonds, with a significant decline in holding scale [45]. - Urban Investment Bonds: Both medium - and long - term and short - term bond funds increased their holdings of Zhejiang urban investment bonds, showing a credit - sinking trend, mainly increasing their holdings of AA+ and below urban investment bonds [54][57]. - Industrial Bonds: The industry holdings of medium - and long - term and short - term bond funds were differentiated. Medium - and long - term bond funds continued to hold a large amount of non - bank finance but with a slight decline in scale. Short - term bond funds' heavy - holding industries changed greatly, with a decline in the market value of non - bank finance [61]