杠杆上行，大行保险买长 ——流动性与机构行为跟踪 Email：yanly@zts.com.cn Email：suht@zts.com.cn 相关报告 证券研究报告/固收定期报告 2025 年 12 月 22 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 执业证书编号：S0740525070001 1、《大行增仓，基金久期回升》 2025-12-15 2、《大行买短，农商接长》2025-12-08 3、《基金、券商共振抛券》2025-12-01 报告摘要 分析师：严伶怡 本周（12.15-12.19）关注要点：本周资金利率分化，大行融出日均环比增加，基金小 幅加杠杆；存单到期增加，存单到期收益率曲线下移；现券成交来看，买盘主力来自 大行，增持 3Y 以内和 5-10Y 利率债为主，基金净买入规模减少，主要增持短端信用， 大保险继续增配 20-30Y 超长利率债，农商行抛利率债为主。 货币资金面 同业存单与票据 请务必阅读正文之后的重要声明部分 联系人：苏鸿婷 本周（12.15-12.19，下同）共有 6685 亿元逆回购到期。周一至周五央行分别投放逆 ...

Core Viewpoint - The recent downturn in the bond market has led to a significant decline in the net value of many bond funds, highlighting the risks associated with bond investments despite their classification as fixed-income assets [3]. Group 1: Types of Bonds - Bonds can be categorized into interest rate bonds, credit bonds, and convertible bonds based on the issuer [3]. - Interest rate bonds, issued by government entities, have lower default risk and primarily generate income through interest payments [3]. - Credit bonds, issued by non-government entities, carry higher risk due to their dependence on both market interest rates and the issuer's creditworthiness [3]. - Convertible bonds can be converted into stocks, combining characteristics of both debt and equity [3]. Group 2: Identifying Bond Funds - Investors can determine the composition of their bond funds by reviewing the fund's name, contract, prospectus, and periodic reports [4]. - Not all bond funds exclusively invest in bonds; some may include stocks, convertible bonds, and other equity-like assets, as long as at least 80% of the assets are in bonds [7]. - To identify pure bond funds, investors should focus on the investment scope, product name, and performance benchmarks [9]. Group 3: Investment Strategies - For those interested in "fixed income plus" products, it is essential to understand the additional strategies and investment scopes beyond bonds [11]. - Common strategies include combining fixed income with stocks, convertible bonds, or derivatives, each with varying risk and return profiles [11][12]. Group 4: Duration and Risk Assessment - Duration is a key metric for assessing bond risk and sensitivity to interest rate changes; shorter durations indicate lower risk [14]. - Investors can evaluate the duration of bond funds through periodic reports that disclose the duration of major holdings [15]. Group 5: Market Risks - Common risks in the bond market include liquidity risk and credit risk, which can significantly impact fund performance [17]. - Liquidity risk arises when investors struggle to sell bonds at reasonable prices, especially during market volatility [17]. - Credit risk pertains to the likelihood of default, with higher-rated bonds generally being more reliable [21]. Group 6: Evaluating Credit Risk - Investors can assess the credit risk of bond funds by analyzing the credit ratings of the bonds held within the fund [21][23]. - A higher proportion of lower-rated bonds indicates a greater credit risk exposure for the fund [23].

Core Viewpoint - The article discusses the current challenges in the bond market, highlighting that while bonds are considered fixed-income assets, their returns are not guaranteed and can fluctuate significantly, leading to potential losses for bond funds [3]. Group 1: Types of Bonds - Bonds can be categorized into interest rate bonds, credit bonds, and convertible bonds based on the issuer [5]. - Interest rate bonds are issued by government entities and have lower default risk, primarily influenced by market interest rates [5]. - Credit bonds are issued by non-government entities and carry higher credit risk, with returns affected by both market rates and the issuer's creditworthiness [5]. - Convertible bonds can be converted into stocks and have characteristics of both debt and equity [5]. Group 2: Understanding Bond Funds - Investors should review fund names, contracts, and periodic reports to understand the underlying assets of bond funds [6]. - Some bond funds may invest in equities, convertible bonds, and warrants, not just bonds, so investors should verify the investment scope [9]. - For those interested in fixed income plus products, additional strategies and investment ranges should be considered, including equity and convertible bond combinations [12]. Group 3: Duration and Risk Assessment - Duration is a key metric for bond investors, indicating the time required to recover principal and interest, with shorter durations generally indicating lower interest rate sensitivity [15][16]. - Investors should assess the duration of the bond fund's portfolio to gauge interest rate risk [15]. - Common risks in the bond market include liquidity risk and credit risk, which can impact fund performance [18][21]. Group 4: Liquidity and Credit Risk - Liquidity risk refers to the ability to sell bonds at reasonable prices; poor liquidity can lead to significant losses during market volatility [18][19]. - Credit risk is associated with the likelihood of default, with higher-rated bonds generally being more reliable [21][22]. - Investors should analyze the credit quality of the bonds within a fund to evaluate potential risks [22].

基金、券商共振抛券 ——流动性与机构行为跟踪 证券研究报告/固收定期报告 2025 年 12 月 01 日 分析师：吕品 执业证书编号：S0740525060003 Email：lvpin@zts.com.cn 执业证书编号：S0740525070001 Email：yanly@zts.com.cn Email：suht@zts.com.cn 2025-11-24 2、《债基久期再回落》2025-11-20 3 、 《 震 荡 行 情 下 的 机 构 行 为 》 2025-11-16 分析师：严伶怡 本周（11.24-11.28）关注要点：本周资金利率分化，大行融出日均环比增加，基金小 幅降杠杆；存单到期减少，存单到期收益率曲线走陡；现券成交来看，买盘主力来自 大行，增持 1-3Y 利率债为主，基金、券商是主要抛盘，其中基金主要卖出 7-10Y 和 20-30Y 利率债，保险继续增配 20-30Y 超长利率债。 货币资金面 同业存单与票据 机构行为跟踪 请务必阅读正文之后的重要声明部分 报告摘要 联系人：苏鸿婷 相关报告 1、《资金波动，大行融出下行》 本周（11.24-11.28，下同）共有 16760 亿 ...

Group 1: Market Dynamics - Since October, the main pricing themes in the bond market have been influenced by the fluctuating U.S.-China relations, particularly regarding tariffs, with the U.S. showing a tendency to extend tariff delays[2] - The recent discussions around public fund redemption fees have intensified, with potential adjustments to the proposed regulations, although no official confirmation has been made yet[2] - The People's Bank of China (PBOC) may not restart bond purchases if the liquidity remains ample, as indicated by the recent behavior of major banks shifting their focus back to shorter-term bonds[2] Group 2: Government Debt Supply - The Ministry of Finance has approved an additional 500 billion yuan in local government bond quotas for Q4, which is expected to have a limited impact on the market due to historical precedents[3] - The net supply of government bonds for October to December is projected to be 10,200 billion, 10,900 billion, and 4,500 billion yuan respectively, indicating a significant reduction in pressure compared to the previous quarter[3] - Concerns about a substantial decline in fiscal stimulus have been alleviated with the approval of the bond quota, reducing fears of liquidity withdrawal by the central bank[3] Group 3: Investment Strategies - Various negative factors have been released continuously, suggesting limited upward movement in yields, with the duration of medium to long-term bond funds decreasing to 3.39 years, close to the low point observed in March[4] - Investors are advised to consider increasing duration positions cautiously, with recommendations to buy during market corrections to mitigate the risk of being trapped in rising markets[4] - For those seeking lower volatility, 10-year government bonds are recommended, while those looking for higher returns may consider 10-year policy bank bonds and 30-year government bonds, which have shown greater yield spread expansion[4]

Core Viewpoint - The upcoming cycle of interest rate cuts is expected to correct mispricing in securities, particularly benefiting those with high visibility and certainty of cash flows, while those with low certainty may remain mispriced [1][2]. Group 1: Discounting and Cash Flow Visibility - The article discusses the application of discounting math to both bonds and equities, highlighting that securities with high visibility of cash flows are better positioned as interest rates decrease [2]. - Bonds have perfect visibility of cash flows, allowing precise discounting calculations, while equities exhibit more complexity due to varying cash flow visibility [3][9]. - Value stocks, characterized by lower duration due to high earnings relative to price, should theoretically outperform growth stocks during rate hikes, but this has not been observed in practice [10][11]. Group 2: Mispricing Observations - Despite the expectation that growth stocks would suffer more during rate hikes due to their higher duration, they have outperformed value stocks, indicating a significant mispricing in the market [11][13]. - The observed phenomenon shows that value stocks with visible cash flows were more punished during interest rate increases, contrary to mathematical expectations [22]. - REITs and utilities, which have high cash flow visibility and shorter durations, were expected to be more resilient but also faced mispricing during the rate hike cycle [23][24]. Group 3: Future Expectations and Sector Performance - As interest rates are anticipated to decrease, sectors with high cash flow visibility, such as REITs and utilities, are expected to benefit significantly from the rate cuts [26][28]. - The long-duration sectors are projected to be the biggest beneficiaries of rate cuts, with specific subsectors like triple net, retail, and industrial REITs expected to outperform due to their long rental contracts [32]. - The current valuation and fundamental strength in these subsectors support the expectation of outperformance during the upcoming rate cut cycle [33].

Core Viewpoint - The bond market has experienced an upward fluctuation in interest rates since July, with the current yield spread between long-term bonds and government bonds widening to levels seen before 2024, indicating a shift in investor sentiment towards a preference for absolute yields rather than duration [1][2][3] Group 1: Market Trends - The yield spread between 30-year government bonds and 10-year government bonds has widened to 32 basis points, while the spread between 10-year policy bank bonds and government bonds is at 16 basis points, reflecting a significant change in market dynamics [1] - The bond market is likely to maintain a weak oscillating pattern, with trading strategies shifting from duration-based bets on interest rate cuts to a focus on absolute returns and coupon logic [2] - The liquidity premium for long-duration, high-liquidity bonds may shrink, necessitating higher absolute yields to attract investors [2] Group 2: Monetary Policy Impact - The central bank's monetary policy is currently more supportive of short- to medium-term bonds, with limited impact on long-term bonds, as evidenced by recent operations in the open market [3] - The central bank's actions, including a net increase of 300 billion yuan in reverse repos in September, indicate a focus on maintaining stable liquidity in the banking system [3] - The widening of yield spreads for long-term bonds suggests a gradual clearing of pricing bubbles related to duration and elasticity, with potential structural opportunities emerging in shorter-term bonds [3]

Report Summary 1. Report Industry Investment Rating The document does not provide the industry investment rating. 2. Core Viewpoints - This week (9.8 - 9.12), the capital interest rate increased, the average daily lending of large - scale banks decreased, and funds reduced leverage. - The maturity of certificates of deposit increased, and the yields to maturity of certificates of deposit at various tenors rose. - In the spot bond trading, the main buyers were large - scale banks, with a significant increase in net buying compared to last week, mainly increasing holdings of 1 - 5Y interest - rate bonds. Insurance companies increased their allocation of 20 - 30Y interest - rate bonds, rural commercial banks increased holdings of 7 - 10Y bonds, securities firms reduced their interest - rate bond holdings, and funds were the main sellers, mainly reducing holdings of 7 - 10Y interest - rate bonds. [4] 3. Summary by Directory 3.1 Monetary Fundamentals - **Open Market Operations**: There were 1.0684 trillion yuan of reverse repurchases maturing this week. The central bank conducted reverse repurchase operations of 191.5 billion, 247 billion, 304 billion, 292 billion, and 230 billion yuan from Monday to Friday, with a total investment of 1.2645 trillion yuan and a net liquidity injection of 196.1 billion yuan for the whole week. Next Monday, 600 billion yuan of outright reverse repurchases will be invested. [7] - **Funding Rates**: As of September 12, R001, R007, DR001, and DR007 were 1.4%, 1.47%, 1.36%, and 1.46% respectively, changing by 3.7BP, 0.85BP, 4.83BP, and 2.03BP compared to September 5, and were at the 17%, 7%, 15%, and 3% historical percentiles respectively. [10] - **Large - scale Bank Lending**: From September 8 to September 12, the total lending scale of large - scale banks was 20.31 trillion yuan, with a maximum daily lending scale of 4.2 trillion yuan and an average daily lending scale of 4.1 trillion yuan, a decrease of 0.1 trillion yuan compared to the previous week's average. [13] - **Pledged Repurchase Transactions**: The trading volume of pledged repurchases increased, with an average daily trading volume of 7.49 trillion yuan and a maximum daily trading volume of 7.64 trillion yuan, a 2.46% increase compared to the previous week's average. The proportion of overnight repurchase transactions increased, with an average daily proportion of 88.4% and a maximum daily proportion of 89.1%, an increase of 0.08 percentage points compared to the previous week's average, and was at the 86.7% percentile as of September 12. [15] 3.2 Certificates of Deposit and Bills - **Issuance and Financing of Certificates of Deposit**: The issuance scale of inter - bank certificates of deposit increased this week, and the net financing turned negative. The total issuance was 782.06 billion yuan, an increase of 200.36 billion yuan compared to the previous week; the total maturity was 1252.02 billion yuan, an increase of 921.97 billion yuan compared to the previous week. The net financing was - 469.96 billion yuan, a decrease of 721.41 billion yuan compared to the previous week. [17] - **Issuance by Bank Type**: This week, the issuance scales of inter - bank certificates of deposit by state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 239.28 billion, 243.47 billion, 241.39 billion, and 38.11 billion yuan respectively, changing by 80.94 billion, 79.24 billion, 19.62 billion, and 2.97 billion yuan compared to the previous week. [17] - **Issuance by Tenor**: The issuance scales of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit were 68.6 billion, 262.94 billion, 230.26 billion, 100.51 billion, and 119.75 billion yuan respectively, changing by 50.79 billion, 31.44 billion, 96.37 billion, - 14.46 billion, and 36.22 billion yuan compared to the previous week. The 3M certificates of deposit accounted for the highest proportion of the total issuance of certificates of deposit by different types of banks, at 33.62%, mainly due to more issuances by state - owned banks; the 6M tenor accounted for 29.04%, mainly due to more issuances by joint - stock banks. [17][18] - **Yields to Maturity of Certificates of Deposit**: As of September 12, the yields to maturity of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit of AAA - rated commercial banks were 1.55%, 1.56%, 1.64%, 1.67%, and 1.67% respectively, changing by 10.6BP, 1BP, 0.95BP, 0.55BP, and 0.5BP compared to September 5. [30] - **Bill Rates**: As of September 12, the 3M direct discount rate of national - owned and joint - stock banks, 3M transfer discount rate of national - owned and joint - stock banks, 6M direct discount rate of national - owned and joint - stock banks, and 6M transfer discount rate of national - owned and joint - stock banks were 1.27%, 1.15%, 0.83%, and 0.79% respectively, changing by 1BP, - 3BP, 5BP, and 6BP compared to September 5. [32] 3.3 Institutional Behavior Tracking - **Inter - bank Leverage Ratio**: As of September 12, the total inter - bank leverage ratio in the bond market decreased by 0.05 percentage points to 106.51% compared to September 5, at the 34.5% historical percentile since 2021. [35] - **Leverage Ratios of Different Institutions**: As of September 12, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.5%, 187.9%, 130.6%, and 104.5% respectively, changing by 0.02BP, - 0.33BP, 2.51BP, and - 0.41BP compared to September 5, and were at the 27%, 1%, 83%, and 8% historical percentiles respectively. [37] - **Duration Adjustment**: As of September 12, the weighted average duration of net purchases by funds (MA = 10) was - 3.00 years, turning negative from 3.42 years on September 5 and at the 4% historical percentile; the weighted average duration of net purchases by wealth management products (MA = 10) was 1.28 years, an increase compared to September 5 and at the 63% historical percentile; the weighted average duration of net purchases by rural commercial banks (MA = 10) was 1.78 years, an increase compared to September 5 and at the 63% historical percentile; the weighted average duration of net purchases by insurance companies (MA = 10) was 13.17 years, an increase compared to September 5 and at the 93% historical percentile. [39]

Market Overview - The bond market continued to fluctuate last week (2025.08.25-2025.08.29), with a warming market sentiment. The 1-year government bond yield decreased by 0.09 basis points to 1.37%, while the 10-year government bond yield increased by 5.61 basis points to 1.84%. Credit bonds showed overall recovery, with divergent trends in term spreads and credit spreads [3][9]. - U.S. Treasury yields also declined last week, with the 1-year yield falling to 3.83%, the 2-year yield to 3.59%, and the 10-year yield to 4.23%. This was influenced by concerns over the independence of the Federal Reserve following the firing of a board member and strong demand for 2-year Treasury bonds [3][9]. REITs Market - The REITs market experienced a recovery, with the CSI REITs total return index rising by 1.06% over the week. The sectors that rebounded the most were affordable rental housing and consumer infrastructure, while transportation and energy sectors showed smaller fluctuations, indicating defensive attributes [3][10]. Public Fund Market Dynamics - The approval process for "rights-containing" mixed funds and secondary bond funds has accelerated. Recent regulatory updates indicate a focus on supporting the development of various fund types while prioritizing equity funds [4][11]. Fund Index Performance Tracking - The Money Enhanced Index rose by 0.03% last week, with a cumulative return of 3.99% since inception. Short-term bond fund selections fell by 0.03%, with a cumulative return of 4.15%. Mid to long-term bond fund selections increased by 0.07%, with a cumulative return of 6.21% [5][12][13]. - Low volatility fixed income + fund selections rose by 0.20%, with a cumulative return of 3.72%. Medium volatility fixed income + fund selections increased by 0.53%, with a cumulative return of 4.79%. High volatility fixed income + fund selections rose by 0.23%, with a cumulative return of 6.29% [6][12][13]. - Convertible bond fund selections fell by 1.28%, but have a cumulative return of 18.45%. QDII bond fund selections rose by 0.20%, with a cumulative return of 9.13% [6][12][13].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This week (August 11 - 15), the capital interest rate increased, the average daily lending of large - scale banks rose month - on - month, and funds slightly reduced leverage. - The maturity of certificates of deposit (CDs) increased, and the maturity yields of most CDs with various tenors rose. - In the spot bond trading, the main buyers were money market funds, mainly increasing their holdings of CDs. Funds mainly net sold 7 - 10Y and 20 - 30Y interest - rate bonds, rural commercial banks increased their holdings of 7 - 10Y interest - rate bonds, insurance companies increased their holdings of ultra - long - term interest - rate bonds, and large - scale banks increased their purchases of 1 - 3Y interest - rate bonds. [5] 3. Summary by Directory 3.1 Monetary Capital - **Open - market operations**: A total of 1.1267 trillion yuan of reverse repurchases matured this week. The central bank cumulatively injected 711.8 billion yuan of reverse repurchases from Monday to Friday, and 50 billion yuan of outright reverse repurchases on Friday, with a net liquidity injection of 85.1 billion yuan for the whole week. [5][8] - **Capital price**: As of August 15, R001, R007, DR001, and DR007 were 1.44%, 1.49%, 1.4%, and 1.48% respectively, up 9.78BP, 3.2BP, 9.03BP, and 5.47BP from August 8, and were at the 19%, 8%, 17%, and 3% historical percentiles respectively. [5][11] - **Large - scale bank lending**: From August 11 to 15, the total lending scale of large - scale banks was 24.54 trillion yuan, with a daily maximum of 5 trillion yuan and an average daily lending of 4.9 trillion yuan, an increase of 140 billion yuan from the previous week's average. [5][14] - **Pledged repurchase**: The trading volume of pledged repurchase increased, with an average daily trading volume of 8.15 trillion yuan and a daily maximum of 8.36 trillion yuan, an increase of 0.52% from the previous week's average. The proportion of overnight repurchase transactions decreased, with an average daily proportion of 89.8%, a daily maximum of 90.6%, and a decrease of 0.05 percentage points from the previous week's average. As of August 15, it was at the 88.6% percentile. [5][16] 3.2 Certificates of Deposit and Bills - **Issuance and financing**: The issuance scale of CDs this week was basically the same as last week, but the net financing decreased. The total issuance was 774.73 billion yuan, a decrease of 300 million yuan from the previous week; the net financing was - 130.91 billion yuan, a decrease of 307.67 billion yuan from the previous week. [5][18] - **Maturity scale**: The maturity volume of CDs increased this week, with a total of 905.64 billion yuan, an increase of 307.37 billion yuan from the previous week. Next week (August 18 - 22), 794.72 billion yuan of CDs will mature. [18][23] - **Maturity yield**: As of August 15, the maturity yields of 1M, 3M, 6M, 9M, and 1Y CDs of AAA - rated commercial banks were 1.46%, 1.53%, 1.6%, 1.64%, and 1.64% respectively, up 1.1BP, - 0.5BP, 1.26BP, 1.76BP, and 2.25BP from August 8. [5][31] - **Bill interest rate**: As of August 15, the 3M direct - discount rate, 3M transfer - discount rate, 6M direct - discount rate, and 6M transfer - discount rate of national - owned stocks were 1.13%, 0.95%, 0.7%, and 0.63% respectively, down 11BP, 12BP, 7BP, and 7BP from August 8. [5][33] 3.3 Institutional Behavior Tracking - **Leverage ratio**: The inter - bank leverage ratio and the broad - based fund leverage ratio decreased slightly. As of August 15, the inter - bank total leverage ratio in the bond market decreased by 0.20 percentage points to 106.71% from August 8, at the 39.40% historical percentile since 2021. The bank, securities, insurance, and broad - based fund leverage ratios were 103.9%, 187.8%, 129.3%, and 104.9% respectively, with month - on - month changes of 0.26BP, - 10.62BP, 1.16BP, and - 0.19BP from August 8, and were at the 43%, 1%, 76%, and 20% historical percentiles respectively. [36][38] - **Duration adjustment**: Funds reduced duration, while rural commercial banks and insurance companies increased duration. As of August 15, the weighted average net - purchase duration (MA = 10) of funds was 0 years, a significant decrease from 4.23 years on August 8, at the 23% historical percentile; that of rural commercial banks was 3.26 years, turning positive from August 8, at the 82% historical percentile; that of insurance companies was 10.58 years, an increase from August 8, at the 77% historical percentile. [5][40]