债市机构行为周报（6月第2周）：大行买短债的三个细节-20250608

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the bond market had little overall fluctuation. After large - scale banks started buying short - term bonds and the central bank announced the outright reverse repurchase in June, the bond market sentiment heated up, and the yield curve steepened. The 1Y Treasury yield dropped about 5bp to 1.41%, and the 10Y Treasury yield dropped 2bp to 1.65% [2][11]. - There are three details worthy of attention in this week's institutional behavior and capital situation: large - scale banks' bond purchases are not concentrated on the short - end; there is a structural differentiation in banks' capital lending; short - term certificates of deposit may be more cost - effective [2][12]. - The short - term market may be more driven by sentiment. Three variables need to be concerned about in the future: the sustainability of large - scale banks' bond purchases, the capital market fluctuations in June under the lending stratification, and the benefits to certificates of deposit from increased institutional behavior [4][14]. 3. Summary According to the Directory 3.1 This Week's Institutional Behavior Review: Three Details of Large - Scale Banks Buying Short - Term Bonds 3.1.1 Yield Curve - Treasury and China Development Bank (CDB) bond yields generally declined. For Treasury bonds, the 1Y yield dropped 5bp, the 3Y yield dropped 4bp, the 5Y yield dropped 2bp, the 7Y yield dropped 3bp, the 10Y yield dropped 2bp, the 15Y yield dropped 2bp, and the 30Y yield dropped 2bp. For CDB bonds, the 1Y yield dropped 3bp, the 3Y yield dropped 3bp, the 5Y yield dropped 3bp, the 7Y yield dropped 2bp, the 10Y yield dropped 1bp, the 15Y yield dropped 1bp, and the 30Y yield dropped 2bp [14][15]. 3.1.2 Term Spread - For Treasury bonds, the spread trend was differentiated, with the short - term spread narrowing and the long - term spread widening. For CDB bonds, the spread inversion eased, and the medium - term spread widened. The long - and medium - term spreads between Treasury and CDB bonds widened [18][19]. 3.2 Bond Market Leverage and Capital Situation 3.2.1 Leverage Ratio - From June 3 to June 6, 2025, the leverage ratio fluctuated and rose. As of June 6, the leverage ratio was about 107.14%, up 0.36pct from last Friday and down 0.02pct from this Tuesday [22]. 3.2.2 Average Daily Turnover of Pledged Repurchase - The average daily turnover of pledged repurchase increased compared with last week. From June 3 to June 6, the average daily turnover of pledged repurchase was about 7.5 trillion yuan, up 1.0 trillion yuan from last week. The average overnight turnover accounted for 87.48%, up 3.61pct [29][30]. 3.2.3 Capital Situation - From June 3 to June 6, the capital lending of banks first rose and then fell. The net lending of large - scale and policy banks was 4.25 trillion yuan on June 6. The main capital borrowers were funds, and the lending of money market funds fluctuated and declined. DR007 fluctuated and declined, and R007 continued to decline [34]. 3.3 Duration of Medium - and Long - Term Bond Funds 3.3.1 Median Duration Dropped to 2.76 Years - This week (June 3 - June 6), the median duration of medium - and long - term bond funds was 2.76 years (de - leveraged) and 2.96 years (leveraged). On June 6, the median duration (de - leveraged) was 2.76 years, down 0.01 years from last Friday [45]. 3.3.2 Duration of Interest - Rate Bond Funds Dropped to 3.67 Years - The median duration (leveraged) of interest - rate bond funds dropped to 3.67 years, down 0.16 years from last Friday; the median duration (leveraged) of credit - bond funds rose to 2.71 years, down 0.02 years from last Friday [48]. 3.4 Comparison of Category Strategies 3.4.1 Sino - US Yield Spread - The overall inversion of the Sino - US Treasury yield spread deepened. The 1Y spread inversion deepened 8bp, the 2Y spread inversion deepened 17bp, the 3Y and 5Y spread inversions deepened 19bp, the 7Y spread inversion deepened 16bp, the 10Y spread inversion deepened 12bp, and the 30Y spread inversion deepened 7bp [54]. 3.4.2 Implied Tax Rate - As of June 6, the 1Y and 3Y spreads between CDB and Treasury bonds widened, the 5Y and 15Y spreads narrowed, and the 7Y spread widened, while the 10Y and 30Y spreads changed less than 1bp [55]. 3.5 Changes in Bond Lending Balance - On June 6, the lending concentration of the active 10Y Treasury and 10Y CDB bonds increased, while that of the less - active 10Y Treasury, less - active 10Y CDB, and active 30Y Treasury bonds decreased. Among institutions, only the lending balance of small - and medium - sized banks decreased, while the others increased [56].