证券研究报告 | 债券点评报告 2025 年 08 月 09 日 【相对估值】上周 10 年国开和国债利差扩大 2.0bp 至 8.3bp，30 年期和 10 年 期国债利差扩大 1.4bp 至 25.7bp，10 年国开老券与新券利差收窄 0.9bp 至 1.2bp。10 年地方与国债利差扩大 2.1bp 至 12.5bp。 风险提示：经济超预期回升，货币政策收紧超预期，通胀超预期回升 张伟 S1090524030002 zhangwei36@cmschina.com.cn 王星缘 S1090525070009 wangxingyuan1@cmschina.com.c n 基金久期基本持平——债市晴雨表 【债市情绪】上周债市情绪指数为 114.8，较前值回升 0.1；债市情绪扩散指数 50.1%，较前值回升 1.3 个百分点。 【机构久期】上周五基金久期为 2.21 年，较前一周五回升 0.01 年；农商行久期 为 3.12 年，较前一周五回升 0.02 年；保险久期为 6.93 年，较前一周五回落 0.01 年。 【杠杆率】上周质押式回购余额为 11.9 万亿元，较前值回升 0.5 万亿元；大行 净融出余 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoint The report analyzes the bond market situation last week through multiple indicators, including bond market sentiment, institutional duration, leverage ratio, secondary trading, allocation power, primary subscription, and relative valuation, presenting the changes and trends of each indicator. Summary by Directory 1. Bond Market Sentiment - The bond market sentiment index last week was 115.8, down 0.1 from the previous value; the bond market sentiment diffusion index was 49.0%, down 6.8 percentage points from the previous value [1]. 2. Institutional Duration Tracking - Last Friday, the fund duration was 2.17 years, up 0.02 years from the previous Friday; the rural commercial bank duration was 2.85 years, down 0.01 years from the previous Friday; the insurance duration was 6.79 years, down 0.01 years from the previous Friday [1]. 3. Leverage Ratio Tracking - The balance of pledged repurchase last week was 11.3 trillion yuan, up 0.3 trillion yuan from the previous value; the net lending balance of large banks was 4.1 trillion yuan, up 0.3 trillion yuan from the previous value; the bond market leverage ratio was 103.5%, up 0.1 percentage points from the previous value [1]. 4. Secondary Trading Tracking - In terms of turnover rate last week, the 30Y Treasury bond turnover rate was 1.7%, down 0.2 percentage points from the previous value; the 10Y Treasury bond turnover rate was 0.9%, down 0.6 percentage points from the previous value; the 10Y China Development Bank bond turnover rate was 28.5%, up 2.3 percentage points from the previous value; the ultra - long - term credit bond turnover rate was 0.53%, down 0.12 percentage points from the previous value [1]. 5. Institutional Allocation Power Tracking - In terms of bond market allocation power, the newly issued share of bond funds last week was 9.8 billion yuan, the same as the previous value; in terms of risk preference, the stock market risk premium was 2.13%, up 0.25 percentage points from the previous value; the US dollar index was 70.7, down 0.3 from the previous value [2]. - The 6M bill transfer discount rate minus the 6M certificate of deposit fell 0.2bp to - 59.5bp, indicating a decline in loan demand. In terms of institutional allocation power, the rural commercial bank bond allocation index was 45.0%, up 124.1 percentage points from the previous value; the insurance bond allocation index was 47.6%, down 30.2 percentage points from the previous value; the money market fund bond allocation index was - 54.9%, down 47.5 percentage points from the previous value. The insurance second - tier perpetual bond allocation index was - 4.7%, up 2.7 percentage points from the previous value [3]. 6. Primary Subscription Tracking - Last week, the full - field multiple of Treasury bonds was 3.5 times, the full - field multiple of local bonds fell 1.6 times to 22.3 times, and the full - field multiple of China Development Bank bonds rose 0.1 times to 3.2 times [3]. 7. Relative Valuation Tracking - Last week, the spread between the 10 - year China Development Bank bond and the Treasury bond widened 1.3bp to 2.3bp, the spread between the 30 - year and 10 - year Treasury bonds narrowed 1.9bp to 12.6bp, the spread between the old and new 10 - year China Development Bank bonds narrowed 0.4bp to 2.8bp, and the spread between the 10 - year local bond and the Treasury bond narrowed 1.3bp to 11.0bp [3].

[Table_Title] 递推法下机构久期全解析 固定收益丨深度报告 ——走在债市曲线之前系列（四） %% %% %% %% research.95579.com 1 丨证券研究报告丨 报告要点 [Table_Summary] 基于优化后的递推法，本文构建了六类金融机构久期测算体系，该方法相较于传统重仓加权法 和回归法在普适性、更新频率及敏感性方面更具优势，能够有效跟踪机构久期变化。研究发现 各机构久期分化显著，久期排序为：保险>券商自营>农商行>债基>理财>货基，久期分化背后 反映的是各机构配债思路和风格的显著区别。部分机构久期的变动与收益率走势密切相关，基 金和券商自营久期在提前 2 期时与 10Y 国债收益率的相关性最强，具有一定前瞻性，我们据此 构建了 10Y 国债择时策略，回测表明发出买入信号后 3 日的胜率达 62.87%。 分析师及联系人 [Table_Author] 赵增辉 赖逸儒 SAC：S0490524080003 SAC：S0490524120005 SFC：BVN394 SFC：BVZ968 请阅读最后评级说明和重要声明 2 / 21 %% %% %% %% research.955 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoint Last week, the sentiment in the bond market weakened. The bond market sentiment index, diffusion index, and some other indicators showed declines, while certain turnover rates and configuration forces also changed [1]. Summary by Relevant Catalogs 1. Bond Market Sentiment - The bond market sentiment index last week was 113.3, down 0.9 from the previous value; the bond market sentiment diffusion index was 42.4%, down 10.5 percentage points from the previous value [1]. 2. Institutional Duration - The fund duration on the last Friday was 2.17 years, unchanged from the previous Friday; the rural commercial bank duration was 2.84 years, up 0.02 years from the previous Friday; the insurance duration was 6.74 years, down 0.03 years from the previous Friday [1]. 3. Leverage Ratio - The balance of pledged repurchase last week was 10.6 trillion yuan, down 0.4 trillion yuan from the previous value; the net lending balance of large - scale banks was 3.1 trillion yuan, down 0.7 trillion yuan from the previous value; the bond market leverage ratio was 103.4%, down 0.1 percentage point from the previous value [1]. 4. Secondary Trading - In terms of turnover rate last week, the 30Y Treasury bond turnover rate was 1.9%, down 0.8 percentage points from the previous value; the 10Y Treasury bond turnover rate was 1.0%, unchanged from the previous value; the 10Y China Development Bank bond turnover rate was 29.3%, down 2.6 percentage points from the previous value; the ultra - long - term credit bond turnover rate was 0.47%, up 0.07 percentage points from the previous value [1]. 5. Allocation Power - The newly issued share of bond funds last week was 6.3 billion yuan, down 12.9 billion yuan from the previous value; the stock market risk premium was 1.36%, down 0.03 percentage points from the previous value; the US dollar index was 99.8, down 1.3 from the previous value [2]. 6. First - level Subscription - The full - field multiple of Treasury bonds last week dropped 0.2 times to 3.0 times; the full - field multiple of local bonds dropped 2.1 times to 21.0 times; the full - field multiple of China Development Bank bonds rose 0.1 times to 3.1 times [3]. 7. Relative Valuation - Last week, the spread between 10 - year China Development Bank bonds and Treasury bonds narrowed 3.3bp to - 0.2bp; the spread between 30 - year and 10 - year Treasury bonds narrowed 3.5bp to 17.1bp; the spread between old and new 10 - year China Development Bank bonds narrowed 0.3bp to 3.2bp; the spread between 10 - year local bonds and Treasury bonds narrowed 3.4bp to 15.1bp [3].