走在债市曲线之前系列报告（八）：透视券商自营债市策略

Group 1: Report Summary - The scale of securities firms' proprietary bond holdings has been growing, but their market share has slightly declined. The allocation structure has shifted from mainly credit bonds to a balance between interest - rate bonds and credit bonds, indicating an increased demand for capital gains [4][7]. - Securities firms' trading behavior is characterized by high - frequency, flexibility, and significant internal differentiation. Their duration shows an upward trend to increase returns [4][8]. - Through the win - rate model, securities firms show strong control ability over the holding cost of 10 - year treasury bonds but weak performance in taking profits. In the case of secondary capital bonds, both the profit - taking and holding - cost win - rates are better [4][9]. - Bond lending is an important strategy tool for securities firms, with multiple motives including financing, short - selling, interest - rate arbitrage, and settlement emergency, aiming to achieve leverage, directional, and arbitrage returns [4][10]. Group 2: Scale and Structure Evolution - The scale of securities firms' proprietary bond holdings has increased from 2.83 trillion yuan in March 2021 to 4.36 trillion yuan in September 2025, with an increase of over 50%. However, the market share has dropped to about 2.3% in September 2025 [7]. - The proportion of interest - rate bonds in the holdings has risen from 34% in March 2021 to 53% in September 2025, with treasury bonds being dominant, followed by local government bonds. This change is due to regulatory policies and the demand for capital gains [7][24]. Group 3: Trading Behavior - Securities firms mainly buy medium - to long - term and long - term interest - rate bonds. From January to October 2025, the purchase scale of treasury bonds reached 38.00 trillion yuan, with a prominent proportion of long - term varieties [8][43]. - The turnover rates of treasury bonds, policy - financial bonds, and inter - bank certificates of deposit are relatively high, generally ranging from 400% to 2000%, indicating their trading - oriented nature [8][49]. - The overall duration of securities firms' proprietary portfolios has increased from a low level in 2021 to about 3.5 years in 2024, showing an intention to increase returns by extending the duration [8][58]. - There is significant internal trading divergence among securities firms, with a convergence index close to zero and a dispersion index as high as nearly 100%, reflecting different risk preferences and flexible strategy exploration [8][67]. Group 4: Win - Rate Model - In the case of 10 - year treasury bonds, the holding - cost win - rate is relatively high. When the significant reduction standard is the 20% quantile, the win - rate is 41.98%. However, the profit - taking win - rate within 3 days before and after the reduction is only 8.64% [9][72]. - For 10 - year secondary capital bonds, both the profit - taking and holding - cost win - rates are better than those of treasury bonds. When the significant reduction standard is the 20% quantile, the profit - taking win - rate is 49.38% [9][79]. Group 5: Bond Lending - Securities firms mainly participate in bond - borrowing business. The main motives for borrowing are financing to increase leverage, short - selling for price - difference gains, interest - rate arbitrage for stable spreads, and emergency settlement to relieve pressure [92]. - As bond lenders, securities firms aim to obtain lending fees, but they sacrifice the flexibility of selling bonds during the lending period [86]. - The lending fee rate is affected by factors such as bond type, term, activity, and new - old bond differences [87].