债券研究周报：机构行为每周跟踪-20250707

Report Overview - Report Date: July 7, 2025 - Report Type: Bond Research Weekly Report - Analysts: Jin Yi, Liu Chang 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Report's Core View The report focuses on the weekly tracking of institutional behavior in the bond market. After the cross - quarter period from June 30 to July 4, 2025, liquidity loosened. It analyzes various aspects such as institutional bond custody, capital tracking, quantitative behavior tracking, and asset management product data [2][16]. 3. Summary by Directory 3.1 Institutional Bond Custody - The report presents figures on the bond custody of generalized funds, insurance institutions, securities companies, and commercial banks, but no specific analysis of the data is provided [12][14]. 3.2 Institutional Capital Tracking 3.2.1 Capital Price - After the cross - quarter period, liquidity loosened. R007 closed at 1.49%, a decrease of 43BP from last week; DR007 closed at 1.42%, a decrease of 27BP from last week; the 6 - month national and stock transfer discount rate closed at 0.99%, a decrease of 21BP from last week [2][16]. 3.2.2 Financing Situation - The balance of inter - bank pledged repurchase this week was 128,403.2 billion yuan, a 1.2% increase from last week. From the perspective of generalized asset management, fund companies and bank wealth management had net financing of 22.28 billion yuan and - 57.26 billion yuan respectively this week [20]. 3.3 Institutional Behavior Quantitative Tracking 3.3.1 Measuring Fund Duration - The measured durations of high - performing interest - rate bond funds and general interest - rate bond funds in the market this week were 6.92 and 5.41 respectively, an increase of 0.02 and 0.18 from last week [29]. 3.3.2 "Asset Scarcity" Index - The "asset scarcity" index decreased slightly this week, but no specific data is provided in the text [3]. 3.3.3 Institutional Behavior Trading Signals - Secondary Capital Bonds: Multiple signals such as turnover rate, long - short difference, and momentum are provided, with gray areas indicating bullish signals [38][40]. - Ultra - long Treasury Bonds: Similar trading signals are provided, including turnover rate, long - short difference, and momentum [41][42]. - 10 - year Local Bonds: Long - short difference and momentum signals are provided [45][46]. 3.3.4 All about Institutional Leverage - The overall market leverage ratio this week was 108.0%, an increase of 0.1 percentage points from last week. Among generalized asset management, the leverage ratios of insurance institutions, funds, and securities firms were 114.9% (a decrease of 3.8 percentage points from last week), 105.5% (a decrease of 0.4 percentage points from last week), and 213.8% (an increase of 1.1 percentage points from last week) respectively [47]. 3.3.5 Bank Self - operation Comparison Table - The table shows the nominal yield, tax cost, value - added tax, income tax, after - tax income, capital occupation cost, risk weight, capital adequacy ratio, capital profit margin, and the final income considering tax and risk capital of various investment products such as general loans, 10 - year treasury bonds, and 10 - year national development bonds [51]. 3.4 Asset Management Product Data Tracking 3.4.1 Funds - Figures on the weekly establishment scale of various types of funds and the 2025 fund yield distribution (annualized) are presented, but no specific analysis is provided [53]. 3.4.2 Bank Wealth Management - The proportion of non - performing wealth management products in the entire market decreased this week, with the overall non - performing rate at 1.5% [54]. 3.5 Treasury Bond Futures Trend Tracking - Figures on the inter - period spread trend and the basis level of the next - quarter T contract are presented, but no specific analysis is provided [61]. 3.6 Generalized Asset Management Pattern - Figures on the scale change of generalized asset management, the scale of public funds, and the change in the remaining scale of bank wealth management are presented, but no specific analysis is provided [65][68].