债市机构行为周报（5月第2周）：双降之后，谁在买入短债？-20250511

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints of the Report - After the double - rate cut, the short - end of the bond market declined by 5bp. The mid - short end of the bond market showed a significant decline, with the 1Y Treasury bond yield dropping to 1.40%. The long - end was volatile, and the yield curve steepened slightly. The focus in the future may be on the buying power of large banks and the amount of funds lent out [2][11]. - Small and medium - sized banks + foreign capital, money market funds, and mutual funds were the main driving forces for the decline in the yields of Treasury bonds, China Development Bank bonds, credit bonds, and certificates of deposit this week [3][11]. - The bond market leverage ratio continued to fluctuate at a low level, rising to 106.70% overall. However, mutual funds increased leverage, and the long - and medium - term bond fund duration decreased overall. Currently, non - bank institutions may prefer leverage strategies and maintain a neutral attitude towards duration [3][12]. 3. Summary by Relevant Catalogs 3.1 This Week's Institutional Behavior Review - In terms of interest - rate bonds, rural commercial banks and foreign capital were the main driving forces for short - term Treasury bonds, with a net purchase of over 10 billion yuan of Treasury bonds under 1Y this week. Rural commercial banks adopted a barbell - shaped allocation. Money market funds were the main force for increasing the allocation of policy - financial bonds, and insurance institutions continued to increase their allocation of local bonds in the secondary market [2][11]. - In terms of credit bonds and certificates of deposit, non - bank institutions bought a large number of certificates of deposit in the secondary market, with 8 out of 12 types of institutions having net purchases. Mutual funds increased their allocation of 1 - 3Y medium - term notes and increased their buying of Tier 2 capital bonds, with the buying volume of other types of bonds approaching 50 billion yuan this week [3][11]. 3.2 Bond Market Yield Curve and Term Spread 3.2.1 Yield Curve - Treasury bond yields generally declined. The 1Y yield decreased by 4bp, the 3Y by 1bp, the 5Y by 2bp, the 7Y by 1bp, while the 10Y, 15Y, and 30Y yields increased by 1bp, 1bp, and 2bp respectively. In terms of quantiles, the 1Y dropped to the 10% quantile, the 3Y remained at the 6% quantile, etc. [13]. - China Development Bank bond yields also generally declined. The 1Y yield decreased by 9bp, the 3Y by 5bp, the 5Y by 2bp, the 7Y by 3bp, while the 10Y, 15Y, and 30Y yields increased by 1bp, 1bp, and 2bp respectively. In terms of quantiles, the 1Y dropped to the 5% quantile, the 3Y to the 3% quantile, etc. [13]. 3.2.2 Term Spread - For Treasury bonds, the interest - rate spread showed a differentiated trend, and the term spread widened overall. The 1Y - DR001 spread inverted more deeply by 3bp, while the 1Y - DR007 spread inverted less deeply by 13bp. Other term spreads also had different changes in widening or narrowing [15]. - For China Development Bank bonds, the interest - rate spread inversion eased, and the term spread widened overall. The 1Y - DR001 spread inverted less deeply by 20bp, and the 1Y - DR007 spread inverted less deeply by 17bp. Other term spreads also had corresponding changes [16]. 3.3 Bond Market Leverage and Funding Situation 3.3.1 Leverage Ratio - From May 6th to May 9th, 2025, the leverage ratio first increased and then decreased during the week. As of May 9th, the leverage ratio was about 106.70%, up 0.03pct from last Friday and down 0.13pct from Monday [19]. 3.3.2 Average Daily Turnover of Pledged Repurchase - The average daily turnover of pledged repurchase increased compared with last week. From May 6th to May 9th, the average daily turnover of pledged repurchase was about 6.8 trillion yuan, an increase of 2.1 trillion yuan compared with last week. The average overnight proportion was 85.79% [26][27]. 3.3.3 Funding Situation - From May 6th to May 9th, the lending of bank - based funds continued to increase. The net lending of large banks and policy banks on May 9th was 3.26 trillion yuan, and the average daily net lending of joint - stock banks and rural commercial banks was 0.02 trillion yuan, with a net lending of 0.09 trillion yuan on May 9th. The main fund borrowers were mutual funds, and the lending of money market funds continued to decline [31]. - DR007 and R007 continued to decline. As of May 9th, R007 was 1.58%, down 0.26pct from last Friday; DR007 was 1.54%, down 0.26pct from last Friday; the spread between R007 and DR007 was 3.96bp. 1YFR007 and 5YFR007 also continued to decline [31][32]. 3.4 Duration of Long - and Medium - Term Bond Funds - The median duration of long - and medium - term bond funds decreased to 2.74 years (de - leveraged) and 2.99 years (leveraged). On May 9th, the median duration (de - leveraged) was 2.74 years, down 0.06 years from last Friday; the median duration (leveraged) was 2.99 years, down 0.1 years from last Friday [41][43]. - In terms of different types of bond funds, the median duration of interest - rate bond funds (leveraged) increased to 3.78 years, up 0.03 years from last Friday; the median duration of credit bond funds (leveraged) decreased to 2.67 years, down 0.12 years from last Friday. The median duration of interest - rate bond funds (de - leveraged) was 3.36 years, down 0.01 years from last Friday; the median duration of credit bond funds (de - leveraged) was 2.57 years, down 0.05 years from last Friday [48]. 3.5 Comparison of Category Strategies - Sino - US yield spread: The overall inversion deepened. The 1Y spread inverted more deeply by 24bp, the 2Y by 30bp, the 3Y by 28bp, the 5Y by 30bp, the 7Y by 26bp, the 10Y by 19bp, and the 30Y by 15bp [52]. - Implied tax rate: It narrowed overall. As of May 9th, the spread between China Development Bank bonds and Treasury bonds narrowed by 5bp for 1Y, 4bp for 3Y, less than 1bp for 5Y, 2bp for 7Y, and 1bp for 10Y [53]. 3.6 Changes in Bond Lending Balance - On May 9th, the concentration trend of lending of active 10Y Treasury bonds increased, while the concentration trends of lending of less - active 10Y Treasury bonds, active 10Y China Development Bank bonds, less - active 10Y China Development Bank bonds, and active 30Y Treasury bonds decreased [54].