Report Information - Report Title: "Fixed Income Weekly: Have Large Banks Started Buying Long-Term Bonds? - Weekly Report on Bond Market Institutional Behavior (Week 1 of August)" [1] - Report Date: August 10, 2025 [2] - Chief Analyst: Yan Ziqi [3] - Analyst: Hong Ziyan [3] 1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Report Core View - The bond market ran smoothly this week, with the 10-year Treasury yield slightly dropping to 1.69%, the funding rate staying around 1.42%, and the 5-year AAA medium - short note yield dropping to 1.91% [3][11] - Large banks continued to buy short - term bonds, and although they bought some long - term bonds, the volume was less than 10 billion yuan, so it's hard to say they have started buying long - term bonds. However, they have bought long - term local government bonds in multiple weeks since June, which may be related to duration balance and return requirements [3][4][12] - Funds further increased their purchases of credit bonds and Tier 2 capital bonds. With the easing of the funding situation, the bond market leverage ratio climbed, and there is still an opportunity for credit spreads to compress [4][13] 3. Summary by Directory 3.1 This Week's Institutional Behavior Review - Yield Curve: Treasury yields declined overall, with the 1Y yield down 2bp, 3Y down 3bp, 5Y down about 3bp, 7Y down 1bp, 10Y down 2bp, 15Y flat, and 30Y up 1bp. For CDB bonds, short - term yields declined and long - term yields increased, with the 1Y yield changing less than 1bp, 3Y down 1bp, 5Y down 1bp, 7Y changing less than 1bp, 10Y up 2bp, 15Y up 2bp, and 30Y up 1bp [14] - Term Spread: Treasury interest spreads rose, and the spreads widened overall; CDB bond interest spreads were stable, and the middle - term spreads widened [15][16][17] 3.2 Bond Market Leverage and Funding Situation - Leverage Ratio: It dropped to 107.51%. From August 4th to August 8th, it first decreased and then increased during the week. As of August 8th, it was about 107.51%, down 0.07 pct from last Friday and up 0.24 pct from Monday [21] - Average Daily Turnover of Pledged Repurchase: The average daily turnover of pledged repurchase this week was 8.1 trillion yuan, with the average daily overnight proportion at 89.87%. The average overnight turnover was 7.3 trillion yuan, up 1.53 trillion yuan month - on - month, and the overnight trading proportion was up 3.10 pct [27][28] - Funding Situation: Bank lending showed a fluctuating upward trend. As of August 8th, large and policy banks' net lending was 5.22 trillion yuan; joint - stock and urban/rural commercial banks' average daily net borrowing was 0.57 trillion yuan, and the net borrowing on August 8th was 0.74 trillion yuan. The net lending of the banking system was 4.47 trillion yuan. DR007 fluctuated upward, and R007 fluctuated downward [31] 3.3 Duration of Medium - and Long - Term Bond Funds - Median Duration: The median duration of medium - and long - term bond funds decreased to 2.81 years (de - leveraged) and 3.12 years (leveraged). On August 8th, the de - leveraged median duration was 2.81 years, down 0.02 years from last Friday; the leveraged median duration was 3.12 years, down 0.06 years from last Friday [45] - Duration by Bond Fund Type: The median duration (leveraged) of interest - rate bond funds decreased to 3.92 years, up 0.04 years from last Friday; the median duration (leveraged) of credit bond funds decreased to 2.89 years, down 0.07 years from last Friday. The de - leveraged median duration of interest - rate bond funds was 3.44 years, down 0.03 years from last Friday; the de - leveraged median duration of credit bond funds was 2.65 years, down 0.04 years from last Friday [48] 3.4 Category Strategy Comparison - Sino - US Yield Spread: It generally narrowed, with the 1Y narrowing by 8bp, 2Y by 10bp, 3Y by 6bp, 5Y by 9bp, 7Y by 7bp, 10Y by 6bp, and 30Y by 3bp [54] - Implied Tax Rate: It generally widened. As of August 8th, the CDB - Treasury spread widened by 2bp for 1Y, 2bp for 3Y, 1bp for 5Y, about 1bp for 7Y, 3bp for 10Y, about 2bp for 15Y, and less than 1bp for 30Y [55] 3.5 Bond Lending Balance Changes - On August 8th, the lending concentration of the active 10 - year Treasury bond increased, while the lending concentration trends of the second - active 10 - year Treasury bond, active 10 - year CDB bond, second - active 10 - year CDB bond, and active 30 - year Treasury bond declined. All institutions showed a decline [59]
债市机构行为周报(8月第1周):大行买长债了吗?-20250810
Huaan Securities·2025-08-10 12:29