债券研究周报：年末债市还有哪些好策略？-20251222

Group 1 - The report analyzes the recent trends in the bond market, highlighting a general strategy of reducing duration and increasing leverage as year-end approaches [6][11] - As of December 19, the leverage ratio in the interbank bond market increased by 0.23 percentage points to 107.68%, indicating a notable rise in leverage [11][22] - The median duration of medium to long-term bond funds decreased to 2.68 years, down by 0.07 years compared to December 15 [11][38] Group 2 - The report suggests focusing on short to medium-term credit bonds due to a favorable funding environment and large banks purchasing short-term bonds [12] - There is a notable trend of non-bank institutions, such as asset management and trust companies, significantly buying 5-year subordinated bonds and perpetual bonds, indicating a compression opportunity in spreads [12][13] - Caution is advised regarding 30-year government bonds, as there has been significant selling pressure from joint-stock banks, and the report maintains a cautious stance on this segment [13] Group 3 - Key interest rates and spreads have shown changes, with the 1-year government bond yield decreasing by 3.25 basis points to 1.35% and the 10-year yield down by 1.80 basis points to 1.83% [14] - The report notes that the yield spread between the 30-year and 10-year government bonds decreased by 3.60 basis points to 39.44 basis points [14] - The report tracks the changes in government bond yield spreads, indicating fluctuations in the 3-year to 1-year and 5-year to 3-year spreads [16] Group 4 - The interbank pledged repo balance rose by 0.38 trillion yuan to 12.80 trillion yuan as of December 19 [19] - The average transaction amount for pledged repos from December 15 to 19 was 8.48 trillion yuan, with overnight transactions accounting for 90% of the total [26] - The report highlights the net funding outflow from banks, with a total net outflow of 5.09 trillion yuan as of December 19 [28] Group 5 - The median duration of interest rate bond funds was reported at 3.74 years, down by 0.03 years from December 15, while credit bond funds had a median duration of 2.43 years, also down by 0.09 years [43] - The report provides insights into the borrowing balance of 10-year government bonds, indicating fluctuations in borrowing activity [48]