——央行报表及债券托管量观察：曲线陡峭化下的机构行为特征

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The report analyzes the bond market in November 2025 based on the central bank's balance sheet and bond custody data, presenting the latest ideas of the central bank's monetary policy and the new dynamics of institutional investors' bond - market investment strategies, and predicting short - term investment opportunities and risks in the bond market [9]. - In the cross - year allocation window, some trading opportunities can be appropriately participated in, and when the 10y Treasury bond approaches 1.85%, it has a safety margin and can also be appropriately allocated. For 30y bonds, small - band operations can be carried out when the 30 - 10y spread is above 40bp, and larger positions require the start of a decline in the 10y Treasury bond yield or an improvement in the supply - demand structure of ultra - long bonds. The cross - year funds are expected to remain loose, and the coupon - holding strategy can be continued, with different strategies for different types of investors [10][8] 3. Summary According to the Directory 3.1 11 - month Central Bank Balance Sheet and Custody Volume Interpretation 3.1.1 November 2025 Central Bank Balance Sheet Change Interpretation - In November 2025, the central bank's balance sheet size increased from 47.06 trillion yuan to 47.30 trillion yuan. The main increase items on the asset side were "claims on other depository corporations", and on the liability side, they were "currency issue" and "deposits of other depository corporations", while the main decrease item was "deposits of financial corporations not included in reserve money" [15]. - On the asset side, near the end of the year, the central bank "withdrew short - term funds and released long - term funds", and the increment of "claims on other depository corporations" rebounded. The central bank increased its net purchase of Treasury bonds, and its Treasury bond holdings increased slightly after considering the maturity of the month. - On the liability side, due to the strong demand for cash by residents and enterprises at the end of the year, the "currency issue" and "deposits of other depository corporations" of the central bank increased seasonally [27] 3.1.2 Impact of the Central Bank's Operations on Custody Volume in November 2025 - In November 2025, the central bank carried out 150 billion yuan of outright reverse repurchase operations and a net purchase of 5 billion yuan of Treasury bonds, with a total net investment of 54.88 billion yuan through innovative tools. The single - month increase in the "ChinaBond - Other" (central bank) account was 59.07 billion yuan, which was relatively close to the net investment scale of innovative tools. The main incremental bond types were Treasury bonds and local government bonds [31][32] 3.2 Leverage Ratio: Driven by the Carry Trade Space, the Institutional Leverage Level Continued to Rise - In November, with the central bank's increased volume of outright reverse repurchases and MLF and the help of fiscal expenditures, the capital market was generally stable. The carry - trade strategy of institutions was dominant, the average monthly trading volume of the whole - market pledged repurchase increased from 7.3 trillion yuan in October to 7.5 trillion yuan in November, and further rose to 8.3 trillion yuan since December. The average leverage ratio of bond funds increased from 116.9% in October to 117% in November, and further to 118.7% since December [34] 3.3 By Institution: The Power of Allocation - Oriented Investors Remained, Funds Reduced Duration, and Wealth Management Reserves Coupon - Bearing Assets 3.3.1 Reasons for the Widening of the 30 - 10y Spread - In the long - run, the imbalance in the supply - demand structure of ultra - long bonds may affect the spread center, including the continuous lengthening of government bond issuance terms and the weakening of the allocation demand for ultra - long bonds. However, in the short - term, the direct reason for the widening of the 30 - 10y spread was the large - scale selling by trading - oriented investors such as funds and securities companies [43][46] 3.3.2 Banks: Large - Scale Banks' Short - Term Bond Buying Continued to Increase, and Rural Commercial Banks' Sentiment towards Allocating Certificates of Deposit Improved - Large - scale banks: In November, the single - month bond investment volume increased significantly. In the primary market, the demand for underwriting government bonds increased, and in the secondary market, the net buying of short - term bonds was strengthened. Due to the pressure of duration indicators, the continuous buying of short - term bonds by large - scale banks led to a continuous widening of the 10 - 3y Treasury bond term spread [55][58] - Rural commercial banks: The sentiment towards allocating bonds improved, and they turned to net buyers of certificates of deposit. In November, the net selling scale decreased significantly, and they increased their positions in some bonds during the bond - market adjustment. Since December, with the rising spread between certificates of deposit and Treasury bonds, rural commercial banks turned to net buyers of certificates of deposit [61] 3.3.3 Insurance: During the Bond - Market Adjustment, Insurance Increased Positions at High Yields, Mainly Increasing Positions in Exchange - Traded Local Government Bonds - In November, as the bond - market yield fluctuated upward, insurance companies increased their positions at high yields, mainly increasing their positions in exchange - traded local government bonds. The total monthly bond - allocation increment in the inter - bank and exchange markets increased, and the net buying scale also rose [70] 3.3.4 General Funds: Driven by the Defensive Mentality, Funds Reduced Duration and Sold Ultra - Long Bonds, and Wealth Management Reserves Coupon - Bearing Assets in Advance - Funds: In November, the redemption pressure of funds reappeared, and the scale of bond funds was under pressure. Driven by the defensive mentality, they reduced duration and sold ultra - long bonds, with the net buying scale significantly weaker than the seasonal level. Since mid - December, the sentiment towards allocating bonds has improved [81] - Bank wealth management: Supported by the transfer of deposits, the scale of bank wealth management increased, and the main allocation varieties switched from certificates of deposit to short - term credit bonds, preparing coupon - bearing assets for the next year in advance [84] 3.3.5 Foreign Capital: The Comprehensive Return on Investing in Certificates of Deposit Remained at a Low Level, and the Net Outflow of Foreign Capital Accelerated - In November 2025, the comprehensive return on foreign capital's investment in certificates of deposit remained at a low level, and the net outflow scale increased, mainly reducing positions in certificates of deposit and Treasury bonds [93] 3.4 By Bond Type: The Main Support for the Increment of the Bond - Market Custody Volume was Government Bonds - In November, the increment of the bond - market custody volume increased to 1.4798 trillion yuan, and government bonds were the main support, with the increments of Treasury bonds and local government bonds being 645.7 billion yuan and 590.2 billion yuan respectively [95] - Interest - rate bonds: The net financing scale increased. The net financing scale of interest - rate bonds increased from 623 billion yuan to 1495.1 billion yuan, with the net financing scale of Treasury bonds, local government bonds, and policy - bank bonds all rising [102] - Certificates of deposit: The maturity pressure increased, and the net financing of certificates of deposit decreased significantly. In November, the maturity scale of certificates of deposit increased significantly, the issuance scale decreased, and the net financing scale dropped from 796.9 billion yuan to - 511.2 billion yuan [105]