债基久期

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银行负债情况点评:四大行一般存款压力有多大?
Hua Yuan Zheng Quan· 2025-06-22 06:06
Report Industry Investment Rating - The report does not explicitly mention the industry investment rating. Core Viewpoints - The general deposit growth rate of the Big Four banks has been persistently low, and they face significant pressure. The difference in deposit rates between large and small - medium - sized banks may lead to a continued low growth rate of the Big Four's general deposits. The Big Four rely more on inter - bank liabilities to support asset expansion [1]. - The central bank's easing in Q2 2025 has supported the Big Four to expand their bond investment scale and increase leverage in the bond market, which has pushed down bond yields and exacerbated the problem of yield inversion in bond investments by banks and insurance funds. Attention should be paid to regulatory attitudes towards the bond market and central bank's actions on the capital side [1]. - It is recommended to be bullish on long - term urban investment bonds and bank capital bonds with yields above 2%. The investment value of interest - rate bonds is relatively low, and the spread of low - rated credit bonds is expected to further compress. It is also suggested to continue to pay attention to Hong Kong - listed banks [1]. Summary by Related Content Big Four Banks' Deposit Situation - Since 2024, the general deposit growth rate of the Big Four banks has declined rapidly. In 2024, from March to June, it dropped from 10.2% to 4.4%. In May 2025, the general deposits of the Big Four decreased by 0.2 trillion yuan, while those of small - medium - sized banks increased by 0.42 trillion yuan. As of the end of May 2025, the general deposit growth rate of the Big Four was 5.8%, significantly lower than 9.4% of small - medium - sized banks [1]. - From January to May 2025, the Big Four's liability scale increased by 8.46 trillion yuan, with general deposits increasing by 3.11 trillion yuan, accounting for only 36.8% of the liability increment. In contrast, the proportion of general deposits in the liability increment of small - medium - sized banks reached 88.4% [1]. Asset Expansion and Investment of Banks - As of the end of May 2025, the credit growth rate of the Big Four was 9.5%, and the bond investment growth rate was as high as 17.8%. The credit growth rate of small - medium - sized banks was 5.8%, and the bond investment growth rate was 15.2%. The Big Four rely on inter - bank liabilities and borrowing from the central bank to support asset expansion [1]. Bond Market Situation - In Q2 2025, the central bank was extremely accommodative. Since early June, the DR001 rate has often been below 1.4%. This has led to a significant increase in bond market leverage and bond fund duration. On June 20, the average duration of medium - and long - term bond funds reached 5.0 years, and the 10Y and 30Y treasury bond yields declined [1]. - The trading volume of bond - pledged repurchase in the bond market has risen to near - historical extreme levels, and the bond market leverage has reached a historical high. The 10Y treasury bond yield is approaching a previous low [1]. Investment Recommendations - It is recommended to be bullish on long - term urban investment bonds and bank capital bonds with yields above 2%. The investment value of interest - rate bonds is relatively low, and among interest - rate bonds, local bonds have a higher cost - performance than treasury bonds. The spread of low - rated credit bonds is expected to further compress, and it is estimated that the yield of 5Y high - grade credit bonds may reach 1.8% in the future [1]. - It is also suggested to continue to pay attention to Hong Kong - listed banks, as low domestic interest rates may drive up the valuation of high - dividend - yield targets [1].
公募股基持仓&债基久期跟踪测算周报:股票加仓石油石化,债基久期小幅上升-20250615
SINOLINK SECURITIES· 2025-06-15 14:10
Report Summary 1. Report Industry Investment Rating - Not provided in the content. 2. Core Viewpoints - During the week of 2025/06/09 - 2025/06/13, the CSI 300 index declined by 0.25%. The overall estimated stock position of active stock and partial - stock hybrid funds increased by 0.16% to 84.90%. For bond funds, the median estimated duration of medium - and long - term pure bond funds, short - term pure bond funds, credit bond funds, and interest - rate bond funds all increased [4][7]. 3. Summary by Relevant Catalogs 3.1 Fund Stock Position Calculation - The overall estimated stock position of active stock and partial - stock hybrid funds showed an upward trend this week, reaching 84.90%, but was 3.32% lower than the quarterly report. Active stock funds' position decreased by 0.02% to 88.16%, while partial - stock hybrid funds' position increased by 0.21% to 84.14% [7]. - The overall increase or decrease in the estimated positions of active stock and partial - stock hybrid funds was mostly concentrated in the range of [0%, 1%) with 568 funds, followed by [-1%, 0%) with 215 funds. Funds with a scale of less than 20 billion and 50 - 80 billion slightly increased their positions, while other scale funds slightly reduced their positions [11]. - In terms of investment style, growth stocks accounted for a higher proportion in fund holdings. This week, value stocks had a slight increase in position, and growth stocks had a slight decrease. The proportion of small - cap stocks in fund holdings was relatively high. This week, large - cap stocks had a slight decrease, while mid - cap and small - cap stocks had a slight increase [15]. - The top 5 industries held by active stock and partial - stock hybrid funds this week were electronics (13.97%), power equipment (9.12%), pharmaceutical biology (6.89%), automobiles (6.52%), and machinery and equipment (5.75%). The top 3 industries for position increase were petroleum and petrochemicals (+0.28%), non - ferrous metals (+0.22%), and light manufacturing (+0.10%); the top 3 industries for position reduction were electronics (-0.21%), food and beverages (-0.15%), and machinery and equipment (-0.09%) [4][18]. 3.2 Bond Fund Duration Calculation - The yield to maturity of the 10 - year China Development Bank bond increased by 1bps this week. The median estimated duration of medium - and long - term pure bond funds increased by 0.37 to 3.35 years, reaching the 100.00% percentile in the past 5 years. The median estimated duration of short - term pure bond funds increased by 0.06 to 0.95 years [4][21]. - The median estimated duration of credit bond funds increased by 0.20 to 2.81 years, with 8% of funds being actively operated and 24% being conservatively operated. The median estimated duration of interest - rate bond funds increased by 0.61 to 5.12 years, with 55% of funds being actively operated and 5% being conservatively operated [4]. - The estimated duration of credit bond funds this week was concentrated in the range of [2.5, 3) with 156 funds, followed by [2, 2.5) with 147 funds. The estimated duration of interest - rate bond funds was concentrated in the range of [5,) with 192 funds, followed by [4.5, 5) with 48 funds [28]. - Among credit bond funds, 7.65% of funds had an actively operated duration, and 24.33% had a conservatively operated duration. Among interest - rate bond funds, 54.99% of funds had an actively operated duration, and 5.41% had a conservatively operated duration [29]. - The yield to maturity of the 1 - year China Development Bank bond decreased by 0bps this week. The median estimated duration of short - term pure bond funds increased by 0.06 to 0.95 years, reaching the 89.20% percentile in the past 5 years. The estimated duration of passive policy - bank bond funds increased by 0.48 to 3.75 years [32].
机构行为观察周报20250523:债基久期提升,信用债换手率上行-20250524
Shenwan Hongyuan Securities· 2025-05-24 15:06
Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints - Based on the calculation results of spot bond trading data, the central duration of all pure bond funds increased by 0.07 years to 3.15 years week-on-week this week [3]. - The median duration of medium - and long - term pure bond funds increased and the divergence decreased this week. The median 5DMA of all medium - and long - term pure bond funds reached 2.85 years, a week - on - week increase of 0.19 years, at the 99.3% quantile in the past three years, and the 5DMA of duration divergence was 0.48, a week - on - week decrease of 0.02, at the 57.4% quantile in the past three years [3]. - The median duration of short - term pure bond funds decreased and the divergence increased this week. The median 5DMA of all short - term bond funds reached 0.85 years, a week - on - week decrease of 0.08 years, at the 74.2% quantile in the past three years, and the 5DMA of duration divergence was 0.49, a week - on - week increase of 0.01, at the 74.4% quantile [3]. - The turnover rate of ultra - long - term interest rate bonds decreased and most of the turnover rates of credit bonds increased this week. As of May 23, 2025, the 10DMA of the turnover rate of treasury bonds with a term of over 10 years remained flat week - on - week at 2.40%, at the 80.7% quantile level in the past three years, while the turnover rates of most 3 - 5 - year credit bonds increased [3]. - The leverage ratio of the inter - bank bond market increased by 0.01 percentage points to 107.0% week - on - week this week. The leverage ratio of insurance companies increased by 0.20 percentage points to 125.6%, the leverage ratio of banks increased by 0.02 percentage points to 102.6%, the leverage ratio of securities companies decreased by 2.95 percentage points to 198.1%, and the leverage ratio of broad funds decreased by 0.12 percentage points to 111.8% [3]. - The scale of existing wealth management products in the whole market increased by 59.84 billion yuan week - on - week last week. The increase was in line with the seasonal level, and the net - breaking rate decreased slightly. The performance comparison benchmarks of newly issued wealth management products showed different trends for different terms [3]. Summary by Directory 1. This Week's Bond Fund Duration Central Point Increased - The central duration of all pure bond funds increased by 0.07 years to 3.15 years week - on - week this week [3][8]. - For medium - and long - term pure bond funds, the median duration of different types (interest - rate type, credit type, and all) showed different changes in terms of median and divergence, with most of the median durations increasing and the divergence showing different trends [3]. - For short - term pure bond funds, the median duration decreased and the divergence increased, with different trends for different types (interest - rate type and credit type) [3]. 2. This Week's Ultra - Long - Term Interest Rate Bond Turnover Rate Decreased, and Most Credit Bond Turnover Rates Increased - The turnover rates and their quantiles of different types of bonds (interest rate bonds, credit bonds, short - duration assets) for different terms are presented. For example, the 10 - year - plus treasury bond turnover rate 10DMA was 2.40% and remained flat week - on - week, at the 80.7% quantile in the past three years [3][22]. - The week - on - week changes in the turnover rates of different bonds are shown. Most 3 - 5 - year credit bond turnover rates increased [3][25]. - The turnover rates, their quantiles in the past three years, and the valuation spreads of local government bonds in different provinces and cities are provided. Sichuan, Shandong, and Anhui had relatively high local government bond turnover rates, and the 7 - 10 - year (inclusive) valuation spreads were 14.36bps, 15.03bps, and 15.37bps respectively [3][27]. 3. This Week's Allocation - Oriented Leverage Ratio Increased, and Trading - Oriented Leverage Ratio Decreased - The inter - bank bond market leverage ratio increased by 0.01 percentage points to 107.0% week - on - week. The leverage ratios of insurance companies, banks, securities companies, and broad funds changed differently, with insurance companies and banks increasing, and securities companies and broad funds decreasing [3][29]. 4. Last Week's Wealth Management Scale Increased, and the Net - Breaking Rate Decreased - The scale of existing wealth management products in the whole market increased by 59.84 billion yuan week - on - week last week, in line with the seasonal level. The net - breaking rate decreased to 0.89%, a week - on - week decrease of 0.11pcts [3]. - By term, the scale of wealth management products within 1 month (inclusive) increased significantly, the daily - open type decreased significantly, and the scales of other terms increased slightly. By investment nature, the scale of fixed - income wealth management products increased significantly, the cash - management type decreased significantly, and other investment types increased slightly [3]. - The performance comparison benchmarks of newly issued wealth management products for different terms showed different trends, with those within 1 month (inclusive) and 1 - 3 years (inclusive) increasing, those within 6 months - 1 year (inclusive) remaining flat, and others decreasing [3].