债券研究周报：银行资负承压，债市何处去-20250609

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Near the end of the quarter, there is a possibility that banks may sell bonds again to realize floating profits, but the scale will be lower than that in the first quarter, with a relatively limited impact. The bank's liability pressure may remain in a tight - balance state. For the bond market in June, the impact of banks selling bonds at the end of the quarter on medium - and long - term varieties is relatively limited, and the power to drive interest rates down is relatively weak. However, if long - term interest rates rise above 1.7%, it is an opportunity to layout at high levels. Short - term opportunities are more certain [2][16][28]. 3. Summary According to the Directory 3.1 Bank Asset - Liability Pressure and Bond Market Trends - Asset - side: Profit - taking Pressure: In March this year, due to the disappointment of easing expectations and the tightening of the capital market, banks sold a large number of old bonds to realize floating profits. In the second quarter, although there is a possibility of banks selling bonds again to realize floating profits, the scale will be lower than that in the first quarter, and the impact is relatively limited [14][16]. - Liability - side: Maintaining Tight Balance: In June, banks will face the dual pressure of the maturity peak of inter - bank certificates of deposit and the large - scale issuance of government bonds. However, it is expected that the central bank may relieve the bank's liability pressure by buying national bonds, and the liability pressure may remain in a tight - balance state [22][27]. - Impact on the Bond Market in June: For medium - and long - term varieties, the impact of banks selling bonds at the end of the quarter is relatively limited, and the power to drive interest rates down is relatively weak. But if long - term interest rates rise above 1.7%, it is an opportunity to layout at high levels. For short - term varieties, the opportunities are more certain [28]. 3.2 Institutional Bond Custody No specific content provided in the text for in - depth analysis. 3.3 Institutional Fund Tracking - Fund Price: This week, liquidity has relaxed. R007 closed at 1.55%, a decrease of 15BP from last week; DR007 closed at 1.53%, a decrease of 13BP from last week; the 6 - month national stock transfer discount rate closed at 1.14%, an increase of 3BP from last week [3][37]. - Financing Situation: This week, the balance of pledged reverse repurchase in the inter - bank market was 114,851.4 billion yuan, an increase of 6.1% from last week. From the perspective of broad - based asset management, fund companies and bank wealth management had net financings of 28.69 billion yuan and - 36.06 billion yuan respectively this week [40]. 3.4 Quantitative Tracking of Institutional Behavior - Measuring Fund Duration: This week, the measured durations of high - performing interest - rate bond funds and general interest - rate bond funds in the market were 6.81 and 5.36 respectively, an increase of 0.14 and 0.08 respectively from last week [48]. - "Asset Scarcity" Index: The "asset scarcity" index decreased slightly this week [4]. - Institutional Behavior Trading Signals: No specific data analysis content provided in the text. - Institutional Leverage: This week, the overall market leverage ratio was 107.2%, an increase of 0.4 percentage points from last week. In terms of broad - based asset management, the leverage ratios of insurance institutions, funds, and securities firms were 113.6%, 103.4%, and 196.6% respectively, with corresponding changes compared to last week [66]. - Bank Self - operated Comparison Table: The report provides a comparison table of bank self - operated investments, including nominal yields, tax costs, capital occupation costs, and returns after considering taxes and risk capital for different investment products [71]. 3.5 Asset Management Product Data Tracking - Funds: No specific data analysis content provided in the text. - Bank Wealth Management: This week, the proportion of non - performing wealth management products in the whole market increased compared with last week, and the proportion of all non - performing products was 2.0% [76]. 3.6 National Bond Futures Trend Tracking No specific content provided in the text for in - depth analysis. 3.7 General Asset Management Pattern No specific content provided in the text for in - depth analysis.