债券研究周报：险资抢配30年国债-20251228

Report Information - Report Date: December 28, 2025 [1] - Analysts: Yan Ziqi, Hong Ziyan [2] - Report Title: Bond Research Weekly: Insurance Funds Rush to Allocate 30-Year Treasury Bonds [2] Report Core Issues - Recent bond market performance review [5] - Recent institutional behavior changes [5] - Outlook for the subsequent bond market [5] Investment Highlights - The recent bond market has been volatile, with the 10-year Treasury bond yield hovering around 1.83%. The loose funding situation is notable at the end of the year, with funding rates remaining low and interbank lending volume above 5 trillion yuan [6][11] - In the short term, the 30Y - 10Y term spread may stabilize. Insurance institutions have significantly increased their bond purchases in the secondary market in the past two weeks, becoming the largest buyers of 30-year Treasury bonds and stabilizing their performance [6][11] - This phenomenon may be related to the "Insurance Company Asset - Liability Management Measures (Draft for Comment)", and it is also possible that insurance institutions are optimizing liquidity indicators at the end of the year. Attention should be paid to whether they become net sellers after the New Year [6][11] - In terms of trading structure, large banks mainly bought 10-year and shorter Treasury bonds, joint-stock banks took profits, securities firms mainly bought 5 - 10Y Treasury bonds, and public funds preferred 10Y China Development Bank bonds without significantly chasing 30-year Treasury bonds at the end of the year [6][12] - As of December 26, the median duration of medium - and long - term bond funds (including leverage) was 2.67 years, showing no significant change from December 22 [6][12] Section Summaries 1. This Week's Bond Market Review - The bond market was volatile, with the 10-year Treasury bond yield around 1.83%. The funding situation was loose, with rates low and interbank lending volume above 5 trillion yuan [11] - Insurance institutions increased bond purchases, becoming the largest buyers of 30-year Treasury bonds, which may be due to regulatory requirements and year - end optimization of indicators [11] 2. Bond Yield Curve Tracking 2.1 Key Maturity Interest Rates and Spreads - As of December 26, compared with December 22, the 1Y Treasury yield dropped 6.75bp to 1.29%, the 10Y dropped 0.39bp to 1.84%, and the 30Y dropped 1.79bp to 2.22% [13] - The 30Y - 10Y spread decreased 1.40bp to 38.57bp, and the 10Y CDB - 10Y Treasury spread increased 0.34bp to 14.41bp [13] 2.2 Treasury Bond Term Spreads - As of December 26, compared with December 22, the 3Y - 1Y spread rose 3.51bp to 7.55bp, the 5Y - 3Y rose 1.89bp to 23.21bp, etc. [16] 3. Bond Market Leverage and Funding Situation 3.1 Interbank Pledged Repurchase Balance - As of December 26, the balance rose 0.22 trillion yuan to 12.96 trillion yuan compared with December 22 [19] 3.2 Interbank Bond Market Leverage Ratio - As of December 26, the ratio increased 0.15pct to 107.79% compared with December 22 [22] 3.3 Pledged Repurchase Turnover - From December 22 to 26, the average daily turnover was 8.49 trillion yuan, with overnight turnover averaging about 7.49 trillion yuan and an overnight turnover ratio of 88.28% [25][26] 3.4 Interbank Funding Situation - From December 22 to 26, bank lending increased. As of December 26, large and policy banks' net lending was 4.91 trillion yuan, and joint - stock, city, and rural commercial banks' net lending was 0.58 trillion yuan [28] - As of December 26, DR001 was 1.2556%, DR007 was 1.5237%, R001 was 1.3450%, and R007 was 1.5264% [28] 4. Medium - and Long - Term Bond Fund Durations 4.1 Median Duration of Bond Funds - As of December 26, the median duration of medium - and long - term bond funds was 2.59 years (de - leveraged) and 2.67 years (including leverage), showing no change from December 22 [40] 4.2 Median Duration of Interest - Rate Bond Funds - As of December 26, the median duration of interest - rate bond funds (including leverage) was 3.72 years, down 0.01 year from December 22, and that of credit bond funds was 2.41 years, down 0.01 year [43] 5. Bond Lending Balance Changes - As of December 26, compared with December 22, the borrowing volume of 10Y CDB bonds fluctuated [47]