流动性与机构行为跟踪：基金边际降久期

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This week (August 11 - 15), the capital interest rate increased, the average daily lending of large - scale banks rose month - on - month, and funds slightly reduced leverage. - The maturity of certificates of deposit (CDs) increased, and the maturity yields of most CDs with various tenors rose. - In the spot bond trading, the main buyers were money market funds, mainly increasing their holdings of CDs. Funds mainly net sold 7 - 10Y and 20 - 30Y interest - rate bonds, rural commercial banks increased their holdings of 7 - 10Y interest - rate bonds, insurance companies increased their holdings of ultra - long - term interest - rate bonds, and large - scale banks increased their purchases of 1 - 3Y interest - rate bonds. [5] 3. Summary by Directory 3.1 Monetary Capital - Open - market operations: A total of 1.1267 trillion yuan of reverse repurchases matured this week. The central bank cumulatively injected 711.8 billion yuan of reverse repurchases from Monday to Friday, and 50 billion yuan of outright reverse repurchases on Friday, with a net liquidity injection of 85.1 billion yuan for the whole week. [5][8] - Capital price: As of August 15, R001, R007, DR001, and DR007 were 1.44%, 1.49%, 1.4%, and 1.48% respectively, up 9.78BP, 3.2BP, 9.03BP, and 5.47BP from August 8, and were at the 19%, 8%, 17%, and 3% historical percentiles respectively. [5][11] - Large - scale bank lending: From August 11 to 15, the total lending scale of large - scale banks was 24.54 trillion yuan, with a daily maximum of 5 trillion yuan and an average daily lending of 4.9 trillion yuan, an increase of 140 billion yuan from the previous week's average. [5][14] - Pledged repurchase: The trading volume of pledged repurchase increased, with an average daily trading volume of 8.15 trillion yuan and a daily maximum of 8.36 trillion yuan, an increase of 0.52% from the previous week's average. The proportion of overnight repurchase transactions decreased, with an average daily proportion of 89.8%, a daily maximum of 90.6%, and a decrease of 0.05 percentage points from the previous week's average. As of August 15, it was at the 88.6% percentile. [5][16] 3.2 Certificates of Deposit and Bills - Issuance and financing: The issuance scale of CDs this week was basically the same as last week, but the net financing decreased. The total issuance was 774.73 billion yuan, a decrease of 300 million yuan from the previous week; the net financing was - 130.91 billion yuan, a decrease of 307.67 billion yuan from the previous week. [5][18] - Maturity scale: The maturity volume of CDs increased this week, with a total of 905.64 billion yuan, an increase of 307.37 billion yuan from the previous week. Next week (August 18 - 22), 794.72 billion yuan of CDs will mature. [18][23] - Maturity yield: As of August 15, the maturity yields of 1M, 3M, 6M, 9M, and 1Y CDs of AAA - rated commercial banks were 1.46%, 1.53%, 1.6%, 1.64%, and 1.64% respectively, up 1.1BP, - 0.5BP, 1.26BP, 1.76BP, and 2.25BP from August 8. [5][31] - Bill interest rate: As of August 15, the 3M direct - discount rate, 3M transfer - discount rate, 6M direct - discount rate, and 6M transfer - discount rate of national - owned stocks were 1.13%, 0.95%, 0.7%, and 0.63% respectively, down 11BP, 12BP, 7BP, and 7BP from August 8. [5][33] 3.3 Institutional Behavior Tracking - Leverage ratio: The inter - bank leverage ratio and the broad - based fund leverage ratio decreased slightly. As of August 15, the inter - bank total leverage ratio in the bond market decreased by 0.20 percentage points to 106.71% from August 8, at the 39.40% historical percentile since 2021. The bank, securities, insurance, and broad - based fund leverage ratios were 103.9%, 187.8%, 129.3%, and 104.9% respectively, with month - on - month changes of 0.26BP, - 10.62BP, 1.16BP, and - 0.19BP from August 8, and were at the 43%, 1%, 76%, and 20% historical percentiles respectively. [36][38] - Duration adjustment: Funds reduced duration, while rural commercial banks and insurance companies increased duration. As of August 15, the weighted average net - purchase duration (MA = 10) of funds was 0 years, a significant decrease from 4.23 years on August 8, at the 23% historical percentile; that of rural commercial banks was 3.26 years, turning positive from August 8, at the 82% historical percentile; that of insurance companies was 10.58 years, an increase from August 8, at the 77% historical percentile. [5][40]