Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints The report comprehensively analyzes the bond market situation through multiple indicators, showing that last week the bond market sentiment recovered slightly, while the trading activity in the secondary market decreased. The bond - fund issuance increased significantly, and there were changes in the bond - buying behavior of different institutions. The relative valuation of bonds also showed certain fluctuations [1][2]. 3. Summary by Directory 3.1 Bond Market Sentiment - The bond market sentiment index last week was 114.8, up 0.1 from the previous value; the bond market sentiment diffusion index was 50.1%, up 1.3 percentage points from the previous value [1]. 3.2 Institutional Duration - Last Friday, the fund duration was 2.21 years, up 0.01 years from the previous Friday; the rural commercial bank duration was 3.12 years, up 0.02 years; the insurance duration was 6.93 years, down 0.01 years [1]. 3.3 Leverage Ratio - Last week, the pledged repurchase balance was 11.9 trillion yuan, up 0.5 trillion yuan from the previous value; the large - bank net lending balance was 5.0 trillion yuan, up 1.0 trillion yuan; the bond market leverage ratio was 103.8%, up 0.2 percentage points [1]. 3.4 Secondary Market Transactions - Last week, in terms of turnover rate, the 30Y Treasury bond turnover rate was 2.3%, down 1.0 percentage point; the 10Y Treasury bond turnover rate was 0.7%, down 0.2 percentage points; the 10Y China Development Bank bond turnover rate was 28.7%, down 0.5 percentage points; the ultra - long - term credit bond turnover rate was 0.38%, down 0.06 percentage points [1]. 3.5 Institutional Allocation Power - Last week, the newly issued bond - fund shares were 25.1 billion yuan, up 22 billion yuan from the previous value. The stock market risk premium was 1.17%, up 0.02 percentage points; the US dollar index was 98.4, down 0.9. The rural commercial bank bond - allocation index was - 33.3%, up 19.3 percentage points; the insurance bond - allocation index was 50.1%, down 21.4 percentage points; the money - market fund bond - allocation index was 30.1%, down 16.1 percentage points; the insurance's allocation index for Tier 2 and perpetual bonds was - 10.2%, down 18.8 percentage points [2]. 3.6 Primary Market Subscription - Last week, the full - field multiple of Treasury bonds decreased by 1.2 times to 3.1 times, the full - field multiple of local government bonds decreased by 0.4 times to 23.3 times, and the full - field multiple of China Development Bank bonds was 3.5 times, remaining the same as the previous value [2]. 3.7 Relative Valuation - Last week, the spread between 10 - year China Development Bank bonds and Treasury bonds widened by 2.0bp to 8.3bp, the spread between 30 - year and 10 - year Treasury bonds widened by 1.4bp to 25.7bp, the spread between old and new 10 - year China Development Bank bonds narrowed by 0.9bp to 1.2bp, and the spread between 10 - year local government bonds and Treasury bonds widened by 2.1bp to 12.5bp [2].

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].

1. Report Industry Investment Rating There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - Based on the optimized recursive method, a six - type financial institution duration measurement system has been constructed. This method is more advantageous than traditional methods in terms of universality, update frequency, and sensitivity, effectively tracking institutional duration changes [5]. - The durations of various institutions are significantly differentiated, with the duration ranking being Insurance > Securities Self - operation > Rural Commercial Banks > Bond Funds > Bank Wealth Management > Money Market Funds. This reflects the significant differences in bond - allocation ideas and styles among institutions [5][10]. - The duration changes of some institutions are closely related to yield trends. The durations of funds and securities self - operation have the strongest correlation with the 10Y Treasury yield two periods in advance, showing certain predictability. A 10Y Treasury timing strategy has been constructed, with a 62.87% winning rate three days after a buy signal is issued [5][12]. 3. Summaries Based on Related Catalogs 3.1 Recursive Method's Advantages over Other Duration Measurement Methods - The recursive method has advantages such as strong universality, high update frequency, sensitivity to marginal duration changes, and no interference from correlations between regression factors. It can accurately track the daily frequency duration of various financial institutions. Adjustment parameters are introduced to optimize the model, and calculations are reset at the time of institutional data disclosure to avoid systematic deviations [9]. - Common duration measurement methods include the top - heavy weighted method and the regression method, both of which have significant drawbacks. The top - heavy weighted method has low timeliness and large errors when the portfolio is diversified. The regression method has insufficient sensitivity to marginal changes and may lead to errors due to the assumption of linear relationships [23]. 3.2 Duration and Position Characteristics of Different Institutions 3.2.1 Public Offering Funds - The duration of public offering funds has marginally recovered, and the position size has steadily increased. From 2021 to 2023, the duration center was about 1.6 years. In 2024, there was an obvious duration - lengthening trend, reaching a historical high of 2.43 years at the end of 2024. In the first quarter of 2025, the duration decreased due to market adjustments and then recovered. As of May 23, 2025, it was 2.22 years, indicating an optimistic attitude towards the bond market [30][31]. - The duration of bond funds is negatively correlated with the 10Y Treasury yield, with a correlation coefficient of - 0.83. The change in bond fund duration is mainly driven by market interest rate trends [34]. 3.2.2 Money Market Funds - The duration of money market funds fluctuates slightly, and the position size generally increases. The duration remains at a low level to meet liquidity requirements. From 2022 to 2024, the duration showed a dynamic balance and a small - amplitude fluctuation trend. The position size generally increased, with significant fluctuations after policy implementation [39]. - In 2024, the position of money market funds showed a "first contraction, then expansion" V - shaped trend. The position of treasury bonds decreased throughout the year, while the positions of policy - based financial bonds and negotiable certificates of deposit (NCDs) first decreased and then increased [44]. 3.2.3 Rural Commercial Banks - The duration of rural commercial banks fluctuates greatly, and the position size continuously increases. From January 2021 to May 23, 2025, the duration fluctuated between 2.35 - 3.94 years, and the position size increased from 3.62 trillion yuan to 6.32 trillion yuan [48]. - The continuous increase in position size and fluctuating duration are due to factors such as compressed credit business, regulatory requirements to control leverage and shorten duration, and flexible bond - allocation strategies [51]. 3.2.4 Securities Self - operation - The duration of securities self - operation shows an upward trend, and the position size decreases and then stabilizes. From 2022 to 2023, the duration fluctuated around 3.0 years and showed an upward trend after 2023. The position size increased from 2022 to 2023, decreased significantly in April 2024, and then stabilized [58]. - The bond positions of securities self - operation are mainly interest - rate bonds, with 1 - 5 - year interest - rate bonds accounting for the majority. The proportion of medium - and long - term bonds increased in 2023 [64]. 3.2.5 Bank Wealth Management - The duration of bank wealth management shows a shortening trend, and the position size stabilizes with fluctuations. From the end of 2021 to May 23, 2025, the duration decreased from 2.30 years to 1.15 years, a 50% decrease. The position size of credit bonds and NCDs showed a trend of stabilizing with fluctuations [67]. - The shortening of the duration is mainly due to the shortening of the credit - bond duration and the increase in the proportion of NCDs [71]. 3.2.6 Insurance Institutions - The duration of insurance institutions fluctuates upward, locking in long - term returns to cope with interest - rate fluctuations. From June 2019 to January 2024, there was a large duration gap between the liability and asset sides. To reduce the gap, insurance institutions tend to lengthen the asset duration [73]. - From May 2022 to May 23, 2025, the duration increased from 6.4 years to nearly 6.8 years, and the interest - rate bond position increased from 10 trillion yuan to 18 trillion yuan, reflecting a defensive layout in the low - interest - rate cycle [77]. 3.3 Duration Strategy Changes in 2025 - In the first four months of 2025, insurance institutions continuously lengthened their duration, bank wealth management continued to shorten its duration, the duration of funds first decreased and then increased, the duration of rural commercial banks first increased and then decreased, and the durations of money market funds and securities self - operation changed little [11][87]. - Insurance institutions lengthened their duration to obtain term premiums and reduce the duration gap. Rural commercial banks' duration increased by 25% in the first quarter, driven by factors such as bond - market adjustments and weakening credit demand for urban investment. The decrease in bond - fund duration was due to market fluctuations in the first quarter, and the shortening of bank wealth management duration was due to short - term liabilities and risk - control requirements [87]. 3.4 Funds and Securities Self - operation as Leading Indicators of Yield Decline - The durations of public offering funds and securities self - operation have the strongest negative correlation with the 10Y Treasury yield two periods in advance, showing certain predictability [12][92]. - A 10Y Treasury timing strategy has been constructed using the duration increase of funds and securities self - operation as a buy signal. The back - testing results from 2023 to April 2025 show a 62.87% winning rate three days after a buy signal is issued, indicating that the duration increase can be a signal of a decline in the 10Y Treasury yield [12][99].

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].