基金拉久期的背后：固定收益专题研究

1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints of the Report - Recent bond fund durations have increased. On November 7, the median duration (including leverage) of medium - and long - term bond funds rose by 0.14 years compared to November 3 [5][10]. - From a seasonal perspective, historical data shows that interest rates tend to decline from November to December. Current conditions are favorable for going long on the bond market, but the odds may be limited [5][10]. - Investors should pay attention to the issuance scale of the 30 - year ordinary treasury bonds to be issued in November and December. If the scale is around 300 billion yuan, the bond may not strengthen significantly; if it is around 700 billion yuan, it may strengthen [5][11]. 3. Summary by Relevant Catalog 3.1 This Week's Bond Market Review - Bond fund durations have increased. Funds have increased their purchases of credit bonds, bought 30 - year treasury bonds, sold 10 - year treasury bonds, and increased their allocations of 10 - year policy financial bonds and 20 - and 30 - year local government bonds. Big banks continue to buy short - term bonds, and securities firms have slightly net - sold [5][10]. - Conditions are favorable for going long on the bond market, but the odds may be limited. Attention should be paid to the issuance scale of 30 - year ordinary treasury bonds [5][10][11]. 3.2 Bond Yield Curve Tracking 3.2.1 Key Maturity Interest Rates and Spread Changes - As of November 7, compared with November 3, the 1 - year treasury bond yield rose 1.53bp to 1.40%, the 10 - year rose 1.98bp to 1.81%, and the 30 - year rose 2.05bp to 2.16%. The 30 - year - 10 - year treasury bond spread rose 0.07bp to 34.39bp, and the 10 - year CDB - 10 - year treasury bond spread rose 1.11bp to 13.47bp [12]. 3.2.2 Treasury Bond Maturity Spread Changes - As of November 7, compared with November 3, the 3 - year - 1 - year treasury bond spread rose 0.85bp to 4.04bp, the 5 - year - 3 - year spread fell 1.33bp to 14.24bp, the 7 - year - 5 - year spread rose 2.14bp to 12.65bp, the 10 - year - 7 - year spread fell 1.21bp to 10.04bp, the 20 - year - 10 - year spread rose 0.48bp to 33.42bp, and the 30 - year - 20 - year spread fell 0.41bp to 0.97bp [14]. 3.3 Bond Market Leverage and Funding Situation 3.3.1 Inter - bank Pledged Repurchase Balance - As of November 7, compared with November 3, the inter - bank pledged repurchase balance decreased by 0.48 trillion yuan to 11.61 trillion yuan [17]. 3.3.2 Inter - bank Bond Market Leverage Ratio Changes - As of November 7, compared with November 3, the inter - bank bond market leverage ratio decreased by 0.34 percentage points to 106.99% [18]. 3.3.3 Pledged Repurchase Turnover - From November 3 to November 7, the average pledged repurchase turnover was 7.97 trillion yuan, and the average overnight turnover was about 7.14 trillion yuan, with an average overnight turnover ratio of 89.59% [22][23]. 3.3.4 Inter - bank Funding Operation - From November 3 to November 7, bank fund lending and single - day fund supply first increased and then decreased. As of November 7, the net fund lending of large banks and policy banks was 4.44 trillion yuan, and the single - day fund supply was 3.90 trillion yuan. Regarding funding rates, DR001 was 1.3321%, DR007 was 1.4130%, R001 was 1.3916%, and R007 was 1.4677% [24][27]. 3.4 Medium - and Long - Term Bond Fund Durations 3.4.1 Median Bond Fund Duration - As of November 7, the median duration of medium - and long - term bond funds was 2.72 years (de - leveraged), up 0.05 years from November 3; the median duration (including leverage) was 2.87 years, up 0.14 years [39]. 3.4.2 Median Interest - Rate Bond Fund Duration - As of November 7, the median duration of interest - rate bond funds (including leverage) was 3.83 years, up 0.10 years from November 3; the median duration (de - leveraged) was 3.34 years, up 0.04 years. The median duration of credit bond funds (including leverage) was 2.62 years, up 0.10 years, and (de - leveraged) was 2.53 years, up 0.07 years [43]. 3.5 Bond Lending Balance Changes - As of November 6, compared with November 3, the borrowing volume of 10 - year CDB bonds fluctuated [46].