债券研究周报：年底债市机构行为格局之变-20251130

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The bond market had a slight correction in the latest week. From November 24th to 28th, the yield of the 10-year Treasury bond rose from 1.82% to 1.84%. There is a potential negative change in the institutional behavior pattern of the bond market at the end of the year, i.e., the willingness of rural commercial banks to buy bonds during corrections has decreased, which may amplify market fluctuations if there is a correction in the future [7][12]. - Rural commercial banks have been net buyers in the secondary market this year, with a cumulative net purchase of over 1 trillion yuan of 10Y Treasury bonds, 30Y Treasury bonds, and 10Y China Development Bank bonds as of November 28th, about twice that of previous years. They may have a lower allocation willingness due to their own duration assessment and other indicators [7][12]. - In the latest week, funds significantly net sold Treasury bonds and policy financial bonds, while the allocation of rural commercial banks to 10-year Treasury bonds was less than that of joint-stock banks. Other institutions may partially replace rural commercial banks in "undertaking" bonds, which may cause the interest rate to rise excessively during corrections. However, the market after the correction may still be a good buying point [7][13]. - The capital market was relatively stable this week. The duration of bond funds decreased overall, and large banks continued to buy medium- and short-term bonds [7][13]. 3. Summary by Relevant Catalogs 3.1 This Week's Bond Market Review - The bond market corrected this week. From November 24th to 28th, the yield of the 10-year Treasury bond rose from 1.82% to 1.84%. Rural commercial banks' willingness to buy bonds during corrections has decreased, which may amplify market fluctuations [7][12]. - Rural commercial banks have bought more and sold less this year. The bond market has mostly been in a state of shock and correction, and interest rate declines have been rapid, so they have had few opportunities to take profits. As of November 28th, their cumulative net purchase this year exceeded 1 trillion yuan, about twice that of previous years [7][12]. - Funds significantly net sold Treasury bonds and policy financial bonds this week, while rural commercial banks' allocation of 10-year Treasury bonds was less than that of joint-stock banks. The market after the correction may still be a good buying point. The capital market was stable, the duration of bond funds decreased, and large banks continued to buy medium- and short-term bonds [7][13]. 3.2 Bond Yield Curve Tracking 3.2.1 Key Maturity Interest Rates and Spread Changes - As of November 28th, compared with November 24th, the 1-year Treasury bond yield decreased by 0.17bp to 1.40%; the 10-year Treasury bond yield rose by 2.02bp to 1.84%; the 30-year Treasury bond yield rose by 2.65bp to 2.19%. - The spread between the 30-year and 10-year Treasury bonds rose by 0.63bp to 34.39bp, and the spread between the 10-year China Development Bank bond and the 10-year Treasury bond rose by 0.94bp to 13.28bp [15]. 3.2.2 Treasury Bond Term Spread Changes - As of November 28th, compared with November 24th, the 3Y - 1Y Treasury bond spread rose by 0.20bp to 3.34bp; the 5Y - 3Y Treasury bond spread rose by 2.36bp to 18.32bp; the 7Y - 5Y Treasury bond spread rose by 1.92bp to 12.49bp; the 10Y - 7Y Treasury bond spread decreased by 2.29bp to 9.80bp; the 20Y - 10Y Treasury bond spread rose by 1.48bp to 35.38bp; the 30Y - 20Y Treasury bond spread decreased by 0.85bp to -0.99bp [16]. 3.3 Bond Market Leverage and Capital Market 3.3.1 Balance of Interbank Pledged Repurchase - As of November 28th, compared with November 24th, the balance of interbank pledged repurchase decreased by 0.31 trillion yuan to 11.05 trillion yuan [19]. 3.3.2 Changes in Interbank Bond Market Leverage Ratio - As of November 28th, compared with November 24th, the interbank bond market leverage ratio decreased by 0.20pct to 106.58% [20]. 3.3.3 Pledged Repurchase Turnover - From November 24th to November 28th, the average daily turnover of pledged repurchase was 7.09 trillion yuan. The average daily overnight turnover was about 6.13 trillion yuan, and the average overnight turnover ratio was 86.66% [22][23]. 3.3.4 Operation of the Interbank Capital Market - From November 24th to November 28th, bank capital lending first increased and then decreased. As of November 28th, the net capital lending of large banks and policy banks was 4.40 trillion yuan, the net capital borrowing of joint-stock banks and urban and rural commercial banks was 0.63 trillion yuan, and the net capital lending of the banking system was 3.77 trillion yuan [28]. - Bank single-day capital lending first increased and then decreased. As of November 28th, the single-day capital lending of large banks and policy banks was 3.38 trillion yuan, and that of small and medium-sized banks was -0.67 trillion yuan [28]. - As of November 28th, DR001 was 1.3033%, DR007 was 1.4668%, R001 was 1.4252%, and R007 was 1.5222% [28]. 3.4 Duration of Medium- and Long-Term Bond Funds 3.4.1 Median Duration of Bond Funds - As of November 28th, the median duration of medium- and long-term bond funds (deleveraged) was 2.75 years, a decrease of 0.01 years compared with November 24th; the median duration (including leverage) was 2.93 years, a decrease of 0.03 years compared with November 24th [37]. 3.4.2 Median Duration of Interest Rate Bond Funds - As of November 28th, the median duration of interest rate bond funds (including leverage) was 3.89 years, a decrease of 0.02 years compared with November 24th; the median duration of credit bond funds (including leverage) was 2.72 years, a decrease of 0.01 years compared with November 24th. The median duration of interest rate bond funds (deleveraged) was 3.38 years, unchanged from November 24th; the median duration of credit bond funds (including leverage) was 2.51 years, unchanged from November 24th [41]. 3.5 Changes in Bond Lending Balance - As of November 28th, compared with November 24th, the borrowing volume of 10-year China Development Bank bonds showed fluctuations [45].