债市晴雨表：基金久期拉升

Report Industry Investment Rating No relevant content provided. Core Viewpoints The report analyzes the bond market situation last week from multiple aspects, including bond market sentiment, institutional duration, leverage ratio, secondary trading, allocation power, primary subscription, and relative valuation [1]. Summary by Directory 1. Bond Market Sentiment - The bond market sentiment index was 113.7 last week, up 0.2 from the previous value; the bond market sentiment diffusion index was 52.3%, up 6.8 percentage points from the previous value [1]. 2. Institutional Duration Tracking - The fund duration was 2.30 years last Friday, up 0.08 years from the previous Friday; the rural commercial bank duration was 2.45 years, down 0.25 years from the previous Friday; the insurance duration was 6.78 years, down 0.03 years from the previous Friday [1]. 3. Leverage Ratio Tracking - The balance of pledged repurchase last week was 10.8 trillion yuan, up 0.3 trillion yuan from the previous value; the net lending balance of large - scale banks was 3.0 trillion yuan, up 0.1 trillion yuan from the previous value; the bond market leverage ratio was 103.4%, unchanged from the previous value [1]. 4. Secondary Trading Tracking - In terms of turnover rate last week, the turnover rate of 30Y treasury bonds was 2.6%, up 0.5 percentage points from the previous value; the turnover rate of 10Y treasury bonds was 0.8%, up 0.1 percentage points from the previous value; the turnover rate of 10Y China Development Bank bonds was 18.2%, down 5.0 percentage points from the previous value; the turnover rate of ultra - long - term credit bonds was 0.64%, up 0.29 percentage points from the previous value [1]. 5. Institutional Allocation Power Tracking - The newly issued share of bond funds last week was 9.3 billion yuan, down 1.6 billion yuan from the previous value; the stock market risk premium was 1.60%, down 0.07 percentage points from the previous value; the US dollar index was 99.6, up 0.4 from the previous value [2]. - The 6M bill transfer discount rate - 6M certificate of deposit rose 7.4bp to - 59.1bp, reflecting an increase in loan demand. The rural commercial bank bond allocation index was - 96.0%, down 114.0 percentage points from the previous value; the insurance bond allocation index was 50.3%, down 16.9 percentage points from the previous value; the money market fund bond allocation index was 76.0%, up 7.0 percentage points from the previous value; the insurance second - tier perpetual bond allocation index was 0.2%, up 12.5 percentage points from the previous value [3]. 6. Primary Subscription Tracking - The overall multiple of local bonds last week rose 2.9 times to 22.0 times, and the overall multiple of China Development Bank bonds was 2.8 times, unchanged from the previous value [3]. 7. Relative Valuation Tracking - Last week, the spread between 10 - year China Development Bank bonds and treasury bonds widened 0.2bp to 3.5bp, the spread between 30 - year and 10 - year treasury bonds narrowed 3.4bp to 22.9bp, the spread between old and new 10 - year China Development Bank bonds widened 1.2bp to 3.0bp, and the spread between 10 - year local bonds and treasury bonds narrowed 0.2bp to 23.6bp [3].