Q3债券基金季报分析：债基规模回落，普遍降杠杆、缩久期、信用适度下沉

Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Bond fund scale declined significantly in Q3 2025, with a decrease in the proportion of interest - rate bonds and an increase in credit bonds. The scale of bond funds decreased by 0.25 trillion yuan to 10.56 trillion yuan, while the scale of stock - type funds increased by 1.03 trillion yuan to 5.26 trillion yuan [1][8][9]. - The key indicators of bond funds generally showed a reduction in leverage, a shortening of duration, and a moderate credit downgrade. The performance of bond funds, including average yield, risk - return ratio, and maximum drawdown, also deteriorated [3][4][46]. 3. Summary According to the Directory 3.1 Fund Scale: Bond Fund Scale Declined Significantly 3.1.1 Q3 Bond Fund Scale Converged Significantly. In Terms of Allocation, Interest - Rate Bonds Decreased and Credit Bonds Increased - The total scale of public funds in the market reached 35.4 trillion yuan in Q3 2025, with the proportion of bond funds decreasing by 2.56% (0.25 trillion yuan) to 10.56 trillion yuan. Only bond - type funds' scale decreased significantly, while other types of funds increased, especially stock - type funds [1][8][9]. - In Q3 2025, the new issuance scale of pure - bond funds was 214.12 million yuan (27 new issues), and the maturity scale was 251.82 million yuan (20 matured issues). It is estimated that about 3 pure - bond funds may mature in Q4 2025, with a scale of about 101.4 million yuan [1][13]. - In terms of bond allocation, pure - bond funds mainly held financial bonds, with a decrease in the proportion of interest - rate bonds (- 0.64%) and an increase in credit bonds (+ 1.08%). The market value of bond holdings in pure - bond funds accounted for 96.75% of the total fund value, a decrease of 0.9 percentage points compared with Q2 [1][16][18]. 3.1.2 The Total Scale of Three Types of Pure - Bond Funds Decreased by 0.75 Trillion Yuan, and the Bond Position Decreased by 0.7 - 2.3 Percentage Points - The scale of medium - and long - term pure - bond funds decreased by 0.55 trillion yuan (- 8.5%) to 5.91 trillion yuan, and the bond position decreased by 0.71 percentage points to 97.04%. The main bond types were financial bonds, medium - term notes, and corporate bonds [23][24]. - The scale of short - term pure - bond funds decreased by 0.2 trillion yuan (- 17.4%) to 0.95 trillion yuan, and the bond position decreased by 2.24 percentage points to 95.57%. The main bond types were financial bonds, medium - term notes, and short - term financing bills [31]. - The scale of mixed - type first - level bond funds decreased slightly by 0.003 trillion yuan (- 0.4%) to 0.85 trillion yuan, and the bond position decreased by 0.73 percentage points to 95.9%. The main bond types were financial bonds, medium - term notes, corporate bonds, and convertible bonds [38]. 3.2 Key Indicators of Bond Funds: Generally Reduced Leverage, Shortened Duration, and Moderate Credit Downgrade 3.2.1 Both Yield and Risk - Return Performance Declined, and the Maximum Drawdown Widened - The average quarterly yield of bond funds in Q3 was 0.52%, a decrease of 0.53 percentage points compared with the previous period. Among them, the yield of mixed - type first - level bond funds was 0.57%, better than the overall level [46][47]. - The maximum drawdown of bond funds in Q3 was - 0.54%, a widening of 0.38 percentage points compared with Q2. The maximum drawdown of short - term pure - bond funds widened by 0.06 percentage points to - 0.1%, with the smallest widening amplitude [46][50]. - The Sharpe ratio and Calmar ratio of bond funds in Q3 were - 0.01 and 8.03 respectively, showing a significant decline compared with the previous period. The short - term pure - bond funds performed relatively stably in terms of risk control [46][52]. 3.2.2 Leverage Ratio and Duration Both Declined, the Concentration of Top - Heavy Holdings Increased, and Credit Was Moderately Downgraded - The average leverage ratio of bond funds decreased to 114.53% (a decrease of 3.34 percentage points compared with the previous period). The leverage ratios of different types of pure - bond funds decreased by 2 - 5 percentage points to 111 - 117%, with short - term pure - bond funds having the largest decline [4][55][57]. - The average duration of bond funds decreased to 2.71 years (a decrease of 0.74 years compared with the previous period). The average duration of different types of pure - bond funds decreased by 0.2 - 1.3 years to 0.9 - 3 years, with mixed - type first - level bond funds having the largest decline [4][55][60]. - The concentration of top - heavy holdings of bond funds increased to 40.04% (an increase of 2.79 percentage points compared with the previous period). The concentration of top - heavy holdings of different types of pure - bond funds increased, with short - term pure - bond funds having the largest increase [4][55][63]. - Most pure - bond funds adopted a moderate credit - downgrading strategy. The proportion of AAA - rated bonds in medium - and long - term and short - term pure - bond funds decreased by 2.99 and 3.45 percentage points respectively to 93.43% and 92.32% [4][55][66].