1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - This week (March 23 - March 27), the fund slightly reduced leverage, and the large - scale banks decreased their average daily lending. The maturity of certificates of deposit decreased, and the yield curve of certificates of deposit steepened. In the spot bond trading, the main buyers were funds, with funds increasing their holdings of 7 - 10Y interest - rate bonds and short - term credit bonds. Large - scale banks increased their holdings of certificates of deposit, money market funds were the main sellers and net - sold certificates of deposit, securities firms and small and medium - sized banks mainly sold bonds, and insurance companies increased their holdings of interest - rate bonds [4]. 3. Summary by Directory 3.1 Monetary Fundamentals - **Liquidity Injection**: From March 23 - 27, there were 17.65 billion yuan of reverse repurchase maturities. The central bank respectively injected 0.8 billion, 1.75 billion, 7.85 billion, 22.4 billion, and 14.62 billion yuan of reverse repurchase from Monday to Friday, with a total injection of 47.42 billion yuan. On Wednesday, there were 50 billion yuan of MLF injection and 45 billion yuan of MLF maturity. The net liquidity injection for the whole week was 28.19 billion yuan [4][7]. - **Funding Rates**: As of March 27, R001, R007, DR001, and DR007 were 1.39%, 1.51%, 1.32%, and 1.44% respectively, changing by - 0.9BP, 3BP, - 0.28BP, and 1.89BP compared to March 13, and were at the 18%, 9%, 14%, and 3% historical quantiles respectively [4][9]. - **Large - scale Bank Lending**: From March 23 - 27, the total lending scale of large - scale banks was 24.99 trillion yuan, with a maximum daily lending scale of 5.4 trillion yuan and an average daily lending scale of 5.0 trillion yuan, a decrease of 0.57 trillion yuan compared to the previous week's daily average [4][14]. - **Pledged Repurchase**: The average daily trading volume of pledged repurchase was 7.94 trillion yuan, with a maximum daily volume of 8.29 trillion yuan, a 5.21% decrease compared to the previous week's daily average. The average daily proportion of overnight repurchase transactions was 88.4%, with a maximum daily proportion of 91.7%, a decrease of 2.83 percentage points compared to the previous week's daily average, and as of March 27, it was at the 78.5% quantile [4][15]. 3.2 Certificates of Deposit and Bills - **Issuance and Maturity of Certificates of Deposit**: The issuance scale of inter - bank certificates of deposit increased week - on - week, with a total issuance of 77.052 billion yuan, an increase of 1.183 billion yuan compared to the previous week. The maturity volume was 69.82 billion yuan, a decrease of 46.466 billion yuan compared to the previous week. The net financing was 7.23 billion yuan, an increase of 47.649 billion yuan compared to the previous week. In the next week (March 30 - April 5), the maturity of certificates of deposit was 54.687 billion yuan [4][19][23]. - **Issuance by Bank Type**: The issuance scale of joint - stock banks was the highest. The issuance scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 22.982 billion yuan, 26.255 billion yuan, 25.077 billion yuan, and 1.987 billion yuan respectively, changing by 10.525 billion yuan, 2.651 billion yuan, - 8.782 billion yuan, and - 1.29 billion yuan compared to the previous week [19]. - **Issuance by Maturity Type**: The 9M issuance scale was the highest. The issuance scales of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit were 7.975 billion yuan, 8.77 billion yuan, 13.193 billion yuan, 24.299 billion yuan, and 22.815 billion yuan respectively, changing by 2.543 billion yuan, 0.071 billion yuan, - 7.044 billion yuan, 9.114 billion yuan, and - 3.501 billion yuan compared to the previous week. The 9M certificates of deposit accounted for the highest proportion (31.54%) of the total issuance of certificates of deposit by different types of banks, mainly issued by state - owned banks; the 1Y maturity accounted for 29.61%, mainly issued by joint - stock banks [19]. - **Issuance and Yield Rates**: Most of the issuance rates of certificates of deposit of each bank increased, and the issuance rates of certificates of deposit of each maturity showed differentiation. As of March 27, the one - year issuance rates of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks changed by 0.49BP, - 0.5BP, 4.37BP, and 7.12BP respectively compared to March 20, and were at the 0%, 1%, 0%, and 1% historical quantiles. The issuance rates of 1M, 3M, and 6M certificates of deposit changed by 1.59BP, - 0.5BP, and - 0.65BP respectively compared to March 20, and were at the 3%, 0%, and 0% historical quantiles. The yield curve of certificates of deposit steepened. As of March 27, the 1M, 3M, 6M, 9M, and 1Y maturity yields of AAA - rated inter - bank certificates of deposit of commercial banks were 1.42%, 1.46%, 1.48%, 1.51%, and 1.53% respectively, changing by - 4BP, - 1BP, 0.75BP, 1BP, and 1BP compared to March 20 [25][29]. - **Shibor Rates**: Most of the Shibor rates decreased. As of March 27, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates changed by - 0.2BP, 1.1BP, - 2.1BP, - 1.55BP, and - 1.3BP respectively compared to March 20, reaching 1.32%, 1.43%, 1.5%, 1.5%, and 1.51% [27]. - **Bill Rates**: The bill rates decreased. As of March 27, the 3M direct discount rate of national - share bills, 3M transfer discount rate of national - share bills, 6M direct discount rate of national - share bills, and 6M transfer discount rate of national - share bills were 1.5%, 1.35%, 1.17%, and 1.11% respectively, changing by - 4BP, - 5BP, - 6BP, and - 6BP compared to March 20 [33]. 3.3 Institutional Behavior Tracking - **Leverage Ratio**: The inter - bank leverage ratio decreased slightly week - on - week. As of March 27, the total inter - bank leverage ratio in the bond market decreased by 0.08 percentage points to 105.15% compared to March 20, and was at the 15.90% historical quantile since 2021. The leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.6%, 200.1%, 130.4%, and 104% respectively, changing by - 0.33BP, - 1.17BP, 1.1BP, and - 0.05BP compared to March 20, and were at the 15%, 11%, 82%, and 1% historical quantiles as of March 27 [35][37]. - **Net Buying Duration**: The net - buying weighted average duration of funds increased compared to the previous week, while that of insurance companies decreased. As of March 27, the net - buying weighted average duration (MA = 10) of funds was 1.36 years, recovering from - 1.13 years on March 20, and was at the 40% historical quantile. The net - buying weighted average duration (MA = 10) of wealth management products was 0.70 years, showing an increase compared to March 20, and was at the 49% historical quantile. The net - buying weighted average duration (MA = 10) of securities firms was - 1.35 years, showing an increase compared to March 20, and was at the 55% historical quantile. The net - buying weighted average duration (MA = 10) of insurance companies was 10.08 years, showing a decrease compared to March 20, and was at the 64% historical quantile [39]. - **Duration of Bond Funds**: The duration of medium - and long - term pure - bond funds recovered. As of March 27, the duration of medium - and long - term pure - bond funds recovered by 0.07 years to 3.10 years compared to March 20, and was at the 13% historical quantile since 2025. The duration of short - term pure - bond funds recovered by 0.10 years to 1.57 years compared to March 20, and was at the 56% historical quantile since 2025 [43].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The behavior of institutional investors has become a core variable influencing the short - to medium - term trends and operation rhythm of the credit bond market. The steepening of the yield curve, prominent structural market conditions, and intensified differentiation of credit spreads may be the core characteristics of the market [1][7]. - In 2026, the short - to medium - term trends and operation rhythm of the credit bond market will still be dominated by institutional behavior. The marginal behavioral changes of funds, wealth management, and insurance, the three core institutional investors, will reshape the market pattern in terms of term structure, spread trends, and variety differentiation [3][7][51]. 3. Summary According to the Table of Contents 3.1 Fund: Significant Behavioral Elasticity Driven by Liabilities, Further Deepening of Instrumental and Structural Features in 2026 3.1.1 Core Bond Allocation Features: Dominated by Liabilities, Focus on Duration and Leverage - The redemption pressure on the liability side directly determines the asset - side allocation, leading to pro - cyclical trading behavior. A positive feedback loop exists between fund net value and investor redemptions. In a rising bond market, funds increase leverage and duration to allocate more credit bonds; in a falling market, forced selling occurs due to redemption pressure [11]. - The leverage ratio is subject to regulatory constraints, and duration adjustment is highly correlated with market conditions and liability - side pressure. The regulatory upper limits for the leverage ratio of open - end and closed - end bond funds are 140% and 200% respectively. Duration adjustment varies with market conditions and the stability of the liability side [11][12]. - Policy changes and concentrated product maturities in 2025 directly triggered significant fluctuations in fund bond allocation behavior. After the release of the fund fee regulations in September 2025, funds sold off bonds in advance. In November, the net purchase of credit bonds increased due to the maturity of amortized cost - method bond funds [12]. 3.1.2 Instrumental Trend Prominent in 2026, Sustained Structural Impact - Under the new fee regulations, product substitution effects are evident. Short - term trading becomes more instrumental, and medium - to long - term allocation focuses on performance. Bond ETFs and inter - bank certificate of deposit funds have replaced traditional short - term bond funds, increasing short - term credit bond trading activity and volatility. Medium - to long - term pure bond funds focus on duration timing and variety selection [15]. - The opening rhythm of amortized cost - method bond funds in 2026 remains a key variable, driving the structural market of credit bonds. Concentrated openings will lead to increased demand for 3 - 5 - year high - grade ordinary credit bonds, while dispersed openings will have a milder impact. The concentrated maturity periods in 2026 are March, May, June, and July [17]. - Pay attention to potential policy benefits for credit bond and sci - tech innovation bond ETFs. Scale expansion will drive the valuation repair and liquidity improvement of constituent bonds. As of March 24, 2026, the scale of 24 sci - tech innovation bond ETFs decreased by 8.91 billion yuan compared to the end of 2025, but the relative value of constituent bonds is prominent [20][23]. 3.2 Wealth Management: Challenges of Full Net - Value Transformation 3.2.1 Core Bond Allocation Features: Focus on Allocation, Weakened Trading, and Significant Seasonal Bond Allocation Patterns - Wealth management's bond allocation strategy is mainly hold - to - maturity, with weakened trading attributes. The allocation willingness is positively correlated with credit spreads. After the net - value transformation in 2022, wealth management shifted from trading to hold - to - maturity due to investors' low tolerance for net - value fluctuations. The bond - buying and - selling rhythm is affected by bank's seasonal balance - sheet returns, liability - side stability, and primary - market bond issuance [26][28]. - Seasonal bond allocation patterns are clear, and there are opportunities for short - term spread compression in specific windows. At the beginning of each quarter (April, July, October), there are usually opportunities to compress the credit spreads of short - term high - grade credit bonds such as 1 - year AAA inter - bank certificates of deposit and 2 - year - or - less AAA bonds [29]. 3.2.2 In 2026, Stabilizing Net Value is the Core, and the Direction of Fund Flows is Key - Under full net - value transformation, the function of wealth management as a stabilizer in the bond market is weakened, and low - volatility and high - liquidity assets are preferred. In a rising bond market, wealth management will moderately increase credit bond allocation without excessive leverage and duration extension; in a falling market, it will shorten duration and increase low - volatility asset holdings. This will intensify the term differentiation in the credit bond market [30]. - The peak of high - interest deposit repricing maturity will affect the demand structure of credit bonds. If funds flow into wealth management after high - interest deposits mature, it will support short - term high - grade credit bonds; if funds flow into the equity market, it may cause short - term disturbances in the bond market [34]. 3.3 Insurance: Stock - Bond Rebalancing in 2026 3.3.1 Core Bond Allocation Features: Liability - Driven Long - Term Allocation, Bond Allocation Rhythm Affected by Multiple Factors - Insurance funds have long - term liabilities with rigid costs, and premium income shows seasonal characteristics with a slowdown in growth. Insurance funds need to allocate long - term assets to match asset - liability duration. Premium income is concentrated in January, and the proportion of dividend - paying insurance may increase [39]. - The bond allocation rhythm is driven by multiple factors, with a significant characteristic of timing allocation at interest - rate peaks. Insurance funds prefer to participate in primary - market bond subscriptions, especially for long - term local government bonds and credit bonds. They also consider deposit yields and market interest rates when allocating bonds [40]. - Asset - side allocation is diversified, with local government bonds as the core allocation. After the contraction of non - standard assets, insurance funds are actively seeking alternative assets such as ultra - long - term interest - rate bonds, local government bonds, fixed - income plus products, and overseas fixed - income assets. Insurance funds have significant pricing power for long - term credit bonds [44]. 3.3.2 Stock - Bond Rebalancing + New Accounting Standards in 2026, More Cautious Allocation Style - In a low - interest - rate environment, stock - bond rebalancing is initiated, increasing the proportion of equity asset allocation and restricting the incremental allocation of pure bonds. This may weaken the承接 force for long - term credit bonds, widen the spreads of long - term credit bonds, and intensify term differentiation in the credit bond market [47][49]. - After non - listed insurance companies fully implement the new accounting standards in 2026, the preference for Tier 2 and perpetual bonds may further shrink, and credit risk appetite will be more cautious. This will intensify the grade spread differentiation and liquidity stratification in the credit bond market [50]. 3.4 Outlook on the Core Trends of the Credit Bond Market with Institutional Behavior Reshaping the Landscape - The credit bond yield curve will continue to steepen, and the ability to absorb long - term bonds may be limited. Wealth management focuses on short - term high - grade low - volatility assets, funds focus on short - to medium - term trading, and insurance may reduce long - term bond positions, leading to a steeper yield curve and potential widening of long - term credit spreads [51]. - Product innovation and maturity rhythms will drive a structural market, which will be the mainstream feature in 2026. The maturity rhythm of amortized cost - method bond funds will determine the phased allocation opportunities for 3 - 5 - year high - grade ordinary credit bonds, and the scale expansion of credit bond and sci - tech innovation bond ETFs will drive the valuation repair of constituent bonds [51][52]. - Changes in insurance allocation preferences may put continuous pressure on Tier 2 and perpetual bonds and low - to medium - grade credit bonds. The new accounting standards will affect the preference for Tier 2 and perpetual bonds, and the credit risk appetite of insurance will be more cautious, intensifying the grade spread differentiation [52].

Core Viewpoint - The article discusses the recent behavior of institutional investors in the bond market, highlighting a slight increase in the duration of bond funds and a decrease in leverage ratios within the bond market [2] Group 1: Institutional Behavior - Institutional investors have slightly increased the duration of bond funds, indicating a potential shift in investment strategy towards longer-term bonds [2] - The leverage ratio in the bond market has decreased, suggesting a more cautious approach by institutions in their investment practices [2] Group 2: Market Implications - The changes in duration and leverage may reflect broader market conditions and investor sentiment, potentially impacting future bond yields and market stability [2]

1. Report Industry Investment Rating - The report does not provide a specific industry investment rating. 2. Core Viewpoints of the Report - This week (March 16 - March 20), most of the funding rates declined, the average daily lending of large - scale banks decreased slightly, and funds slightly de - leveraged. The maturity of certificates of deposit (CDs) increased, and most of the CD maturity yields declined. In the cash bond trading, the main buyers were other institutions and funds, with funds still mainly increasing short - term credit holdings, large - scale banks increasing CD holdings, securities firms being the main sellers and selling 5 - 10Y interest - rate bonds, and insurance companies increasing 20 - 30Y interest - rate bond holdings [5]. 3. Summary by Directory 3.1 Monetary Fundamentals - This week, there were 17.65 billion yuan of reverse repurchase maturities. The central bank respectively injected 137.3 billion, 51 billion, 20.5 billion, 13 billion, and 20.5 billion yuan of reverse repurchases from Monday to Friday, with a total injection of 242.3 billion yuan. There were 500 billion yuan of outright reverse repurchase injections and 600 billion yuan of maturities on Monday. The net liquidity withdrawal for the whole week was 3.42 billion yuan. There will be 45 billion yuan of MLF maturing next Wednesday [5][8]. - As of March 20, R001, R007, DR001, and DR007 were 1.4%, 1.48%, 1.32%, and 1.42% respectively, with changes of 0.45BP, - 2.64BP, - 0.09BP, and - 4.07BP compared to March 13, and were at the 19%, 8%, 15%, and 2% historical quantiles respectively [5][11]. - From March 16 to March 20, the total lending scale of large - scale banks was 27.84 trillion yuan, with a daily maximum lending scale of 5.7 trillion yuan and an average daily lending scale of 5.6 trillion yuan, a decrease of 0.37 trillion yuan compared to the previous week's daily average [5][15]. - The trading volume of pledged repurchase decreased. The average daily trading volume was 8.37 trillion yuan, with a daily maximum of 8.50 trillion yuan, a 2.29% decrease compared to the previous week's daily average. The proportion of overnight repurchase transactions increased. The average daily proportion was 91.3%, with a daily maximum of 92.1%, an increase of 0.18 percentage points compared to the previous week's daily average, and was at the 97.6% quantile as of March 20 [5][17]. 3.2 Certificates of Deposit and Bills - This week (March 16 - March 22), the issuance scale of CDs decreased compared to the previous week, and the net financing was negative. The total issuance was 758.69 billion yuan, a decrease of 87.2 billion yuan compared to last week; the total maturity was 1162.86 billion yuan, an increase of 154.66 billion yuan compared to the previous week. The net financing was - 404.17 billion yuan, a decrease of 241.86 billion yuan compared to last week [5][20]. - By bank type, city commercial banks had the highest issuance scale. The issuance scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 124.57 billion yuan, 236.04 billion yuan, 338.59 billion yuan, and 32.77 billion yuan respectively, with changes of 5.8 billion yuan, - 109.61 billion yuan, 17.51 billion yuan, and - 11.21 billion yuan compared to the previous week [20]. - By term type, the 1 - year issuance scale was the highest. The issuance scales of 1M, 3M, 6M, 9M, and 1Y CDs were 54.32 billion yuan, 86.99 billion yuan, 202.37 billion yuan, 151.85 billion yuan, and 263.16 billion yuan respectively, with changes of - 5.38 billion yuan, - 30.22 billion yuan, 47.2 billion yuan, - 16.58 billion yuan, and - 82.22 billion yuan compared to the previous week. The 1 - year CD accounted for the highest proportion of the total issuance of CDs by different types of banks, at 34.69%, mainly due to more issuances by joint - stock banks; the 6 - month term accounted for 26.67%, mainly due to more issuances by city commercial banks [20]. - This week, the CD maturity volume increased. The total maturity was 1162.86 billion yuan, an increase of 154.66 billion yuan compared to last week. In the new week (March 22 - March 29), the CD maturity was 698.2 billion yuan [24]. - This week, the issuance interest rates of CDs of all banks and all terms decreased. By bank type, as of March 20, the issuance interest rates of one - year CDs of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks decreased by - 3.13BP, - 3.5BP, - 5.27BP, and - 3.62BP respectively compared to March 13, and were at the 0%, 2%, 0%, and 0% historical quantiles; by term, as of March 20, the issuance interest rates of 1M, 3M, and 6M CDs decreased by - 3.04BP, - 1.96BP, and - 1.16BP respectively compared to March 13, and were at the 2%, 0%, and 0% historical quantiles [28]. - This week, most of the Shibor rates declined. As of March 20, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates changed by - 0.2BP, - 4BP, 2.8BP, - 1.9BP, and - 2BP respectively compared to March 13 to 1.32%, 1.42%, 1.52%, 1.51%, and 1.52% [30]. - This week, the CD maturity yield curve shifted downward as a whole. As of March 20, the 1M, 3M, 6M, 9M, and 1Y maturity yields of AAA - rated ChinaBond commercial bank CDs were 1.46%, 1.47%, 1.47%, 1.5%, and 1.52% respectively, with changes of - 4.5BP, - 3.5BP, - 4BP, - 1.75BP, and - 1.75BP compared to March 13 [32]. - This week, the bill interest rates declined. As of March 20, the 3 - month national stock direct discount rate, 3 - month national stock transfer discount rate, 6 - month national stock direct discount rate, and 6 - month national stock transfer discount rate were 1.58%, 1.48%, 1.23%, and 1.22% respectively, with changes of - 4BP, - 5BP, - 3BP, and - 6BP compared to March 13 [36]. 3.3 Institutional Behavior Tracking - The inter - bank leverage ratio decreased slightly compared to the previous week. As of March 20, the total inter - bank leverage ratio in the bond market decreased by 0.05 percentage points to 105.23% compared to March 13, and was at the 19.90% historical quantile level since 2021 [38]. - The leverage ratio of broad - based funds remained basically unchanged. As of March 20, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.6%, 200.1%, 130.4%, and 104% respectively, with changes of - 0.05BP, - 10.64BP, - 0.15BP, and 0.01BP compared to March 13, and were at the 30%, 12%, 77%, and 1% historical quantile levels respectively [40]. - The weighted average net - buying duration of funds decreased compared to the previous week, and the duration of insurance companies decreased slightly. As of March 20, the weighted average net - buying duration (MA = 10) of funds was - 1.23 years, a decrease from 1.23 years on March 13, and was at the 15% historical quantile level; the weighted average net - buying duration (MA = 10) of wealth management products was - 0.08 years, a decrease compared to March 13, and was at the 38% historical quantile level; the weighted average net - buying duration (MA = 10) of securities firms was - 4.73 years, a decrease compared to March 13, and was at the 5% historical quantile level; the weighted average net - buying duration (MA = 10) of insurance companies was 15.72 years, a decrease compared to March 13, and was at the 99% historical quantile level [41]. - The duration of medium - and long - term pure - bond funds increased slightly compared to the previous week. As of March 20, the duration of medium - and long - term pure - bond funds increased by 0.01 years to 3.03 years compared to March 13, and was at the 11% historical quantile level since 2025; the duration of short - term pure - bond funds increased by 0.17 years to 1.48 years compared to March 13, and was at the 41% historical quantile level since 2025 [46].

Group 1: Market Overview - The bond market has shown some recovery this year, with the 10Y government bond yield decreasing from 1.8427% to 1.8143% (-2.84bp) and the 10Y government-backed bond yield falling from 1.9862% to 1.9646% (-2.16bp) [7] - The 10Y government-backed bond and government bond spread widened from 14.35bp to 15.03bp (+0.68bp), remaining at a historical high [7] - Institutional behavior indicates that the compression of the government-backed bond spread is constrained by large banks selling pressure, unstable support from smaller banks, and strong trading activity from funds [7] Group 2: Institutional Behavior - Large banks have net bought approximately 246.5 billion yuan in government bonds and net sold about 139.2 billion yuan in government-backed bonds, creating a cumulative preference gap of -385.8 billion yuan [10] - Smaller banks have net sold about 162.6 billion yuan in government bonds while net buying approximately 34.3 billion yuan in government-backed bonds, indicating a temporary support for the government-backed bond market [10] - Funds have shown a slight net sell of about 34 million yuan in 7-10Y government-backed bonds and a significant net sell of approximately 481 million yuan in 7-10Y government bonds, failing to create sustained allocation to long-term interest rate bonds [14] Group 3: Future Outlook - The ability of the 10Y government-backed bond spread to compress will depend on the supply strength and continuity of support from the government-backed bond market [18] - Historical spread percentiles have decreased significantly, indicating that the spread may enter a "repairable" range, but the 10Y spread remains sensitive to marginal forces [18] - If large banks' selling pressure on government-backed bonds decreases and smaller banks provide more consistent support, the 10Y government-backed bond spread may shift from "dull and repetitive" to a trend of compression [18]

Group 1 - The report indicates that the 10Y National Development Bank (NDB) yield spread is currently under pressure due to large banks selling, unstable support from smaller banks, and strong trading behavior from funds [1][7][10] - Since the beginning of the year (January 4 to March 13), the bond market has shown some recovery, with the 10Y government bond yield decreasing from 1.8427% to 1.8143% (-2.84bp) and the 10Y NDB yield falling from 1.9862% to 1.9646% (-2.16bp), yet the yield spread has widened from 14.35bp to 15.03bp (+0.68bp) [7][10] - The behavior of large banks has been characterized by a preference for buying government bonds while selling policy financial bonds, resulting in a net purchase of approximately 246.5 billion yuan in government bonds and a net sale of about 139.2 billion yuan in policy financial bonds [10][14] Group 2 - The report highlights that the funds have shown a slight net sell of about 34 million yuan in 7-10Y policy financial bonds and a significant net sell of approximately 481 million yuan in 7-10Y government bonds, indicating a lack of sustained allocation to long-term interest rate bonds [14][15] - The report notes that the incremental funds have been concentrated in credit bonds, with net purchases of about 213.2 billion yuan in 3-5Y "other" bonds and approximately 148.5 billion yuan in 1-3Y medium-term notes, reflecting a defensive strategy overall [14][15] - The historical spread data shows that the yield spread has significantly retreated from its peak, indicating that the overall spread may be entering a "repairable" range, although the 10Y spread remains relatively high and sensitive to marginal forces [18][21] Group 3 - In the primary market, the report mentions that the marginal multiples for policy financial bonds have decreased, with the overall multiples and the spread between primary and secondary markets showing differentiation [30][31] - The report indicates that in the secondary market, large banks and smaller banks have shifted to increasing their allocations, while funds and securities companies have predominantly reduced their allocations [41][42] - The report also notes that the trading activity in the current bond market has increased, with significant buying from smaller banks in the long-end and super long-end bonds, while large banks and securities companies have been major sellers [41][42]

1. Report Industry Investment Rating - No information provided in the report about the industry investment rating 2. Core Viewpoints - This week (March 9 - March 13), most funding rates increased, large banks' average daily lending increased slightly, funds slightly de - leveraged; CD maturities increased, and most CD yields decreased; in the cash bond market, small and medium - sized banks were the main buyers, increasing holdings of 7 - 10Y and 20 - 30Y interest - rate bonds, large banks increased CD holdings, funds net - sold 7 - 10Y interest - rate bonds and net - bought credit bonds within 3Y, securities firms sold bonds, and insurance companies increased holdings of 20 - 30Y interest - rate bonds [4] 3. Summary by Directory 3.1 Monetary and Liquidity Conditions - This week, there were 277.6 billion yuan of reverse repurchase maturities, with a cumulative reverse repurchase injection of 176.5 billion yuan, resulting in a net liquidity withdrawal of 101.1 billion yuan. Next Monday, there will be 500 billion yuan of outright reverse repurchases injected and 600 billion yuan of outright reverse repurchases maturing [8][11] - As of March 13, R001, R007, DR001, and DR007 were 1.39%, 1.5%, 1.32%, and 1.46% respectively, with changes of 0.34BP, 1.13BP, 0.22BP, and 4.67BP compared to March 6 [8][13] - From March 9 - March 13, large banks' total lending scale was 29.68 trillion yuan, with a daily maximum of 6.2 trillion yuan and an average daily lending of 5.9 trillion yuan, a 0.01 - trillion - yuan increase from the previous week's average [8][18] - The average daily trading volume of pledged repurchase was 8.57 trillion yuan, with a daily maximum of 8.75 trillion yuan, a 0.79% decrease from the previous week's average. The average daily overnight repurchase trading volume accounted for 91.1%, with a daily maximum of 92.4%, a 0.05 - percentage - point decrease from the previous week's average [8][19] 3.2 Inter - bank Certificates of Deposit and Bills - This week, the issuance scale of inter - bank CDs increased, with a negative net financing amount. The total issuance was 845.89 billion yuan, an increase of 129.49 billion yuan from last week; the total maturity was 1008.2 billion yuan, an increase of 420.21 billion yuan from the previous week. The net financing was - 162.3 billion yuan, a decrease of 290.72 billion yuan from last week [8][24] - By bank type, joint - stock banks had the highest CD issuance scale. By maturity type, 1Y CDs had the highest issuance scale [24] - As of March 13, most CD issuance rates of various banks decreased, and CD issuance rates of different maturities showed differentiation [31] - As of March 13, most Shibor rates decreased [33] - As of March 13, most yields of AAA - rated inter - bank CDs at maturity decreased [37] - As of March 13, most bill rates increased [39] 3.3 Institutional Behavior Tracking - As of March 13, the inter - bank bond market leverage ratio decreased by 0.13 percentage points to 105.28% compared to March 6, at the 23.20% historical quantile level since 2021 [42] - As of March 13, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.6%, 210.7%, 130.5%, and 104% respectively, with changes of 0.08BP, - 20.93BP, 0.75BP, and - 0.23BP compared to March 6, at the 32%, 35%, 78%, and 1% historical quantile levels respectively [8][44] - As of March 13, the weighted average net - buying duration of funds slightly increased, and insurance companies continued to increase duration [8][46] - As of March 13, the duration of medium - and long - term pure - bond funds increased by 0.27 years to 3.02 years compared to March 6, at the 10% historical quantile level since 2025; the duration of short - term pure - bond funds increased by 0.21 years to 1.31 years, at the 16% historical quantile level since 2025 [50]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The "Guojin Securities Fixed Income - Bond Market Micro - Transaction Thermometer" reading rose 3 percentage points to 58%. The proportion of indicators in the over - heated range decreased to 35%, and the trading heat continued to rise, but the trends of various indicators were different [3][15][19] 3. Summary by Relevant Catalogs 3.1.本期微观交易温度计读数上升 3 个百分点至 58% - The "Guojin Securities Fixed Income - Bond Market Micro - Transaction Thermometer" increased by 3 percentage points to 58%. The consumer goods price ratio, full - market turnover, fund divergence, and listed company wealth management purchase volume percentile increased by 46, 24, 20, and 16 percentage points respectively, while the fund - small and medium - sized bank purchase volume, stock - bond price ratio, and real estate price ratio percentile decreased by 43, 16, and 14 percentage points respectively. The market and policy spreads widened, and their percentiles decreased by 2 and 3 percentage points respectively. Currently, indicators with high congestion include the 30/10Y Treasury bond turnover rate, allocation disk strength, and policy spread [3][15] 3.2.本期位于偏热区间的指标数量占比降至 35% 3.2.1. 全市场换手率持续上升 - In the trading heat indicators, the proportion of indicators in the over - heated range rose to 50%, and the proportion in the neutral range dropped significantly to 33%, while the proportion in the cold range remained at 17%. The full - market turnover rate percentile continued to rise 24 percentage points to 76%, moving from the neutral range to the over - heated range [22] 3.2.2.中小行买入规模明显上升 - In the institutional behavior indicators, the proportion of indicators in the over - heated range remained at 13%, the proportion in the neutral range dropped to 50%, and the proportion in the cold range rose to 38%. The fund - small and medium - sized bank purchase volume decreased 43 percentage points to 10%, moving from the neutral range to the cold range [26] 3.2.3.政策、市场利差均走阔 - The policy spread rose 1bp to - 3bp, and its percentile decreased 2 percentage points to 97%, still in the over - heated range. The credit spread decreased 1bp to 49bp, the Agricultural Development - National Development spread was basically flat, and the IRS - 3M Shibor spread rose 3bp to 1bp. The average spread of the three was 17bp, and its percentile decreased 3 percentage points to 63%, still in the neutral range [30] 3.2.4.耐用消费品比价大幅上升 - In the price ratio indicators, the proportion of indicators in the over - heated range rose to 50%, the proportion in the cold range dropped to 25%, and the proportion in the neutral range dropped to 25%. The stock - bond price ratio percentile decreased 16 percentage points to 12%, remaining in the cold range; the commodity price ratio percentile rose 15 percentage points to 80%, moving from the neutral range to the over - heated range; the real estate price ratio percentile decreased 14 percentage points to 67%, remaining in the neutral range; the consumer goods price ratio percentile rose significantly by 46 percentage points, moving from the cold range to the over - heated range [9][30]

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints - This week, the central bank's open - market operations led to a net withdrawal of funds. The central bank will conduct a 6 - month outright reverse repurchase operation of 50 billion yuan next week, with a net withdrawal of 10 billion yuan this month. Overnight and seven - day fund prices showed different trends, and the 6M national - share bank draft transfer discount rate was at 1.23% [1]. - Due to the upgrade of the inter - bank deposit self - regulatory mechanism, the short - end yields declined slightly. Influenced by factors such as unexpected price and import - export data and the Middle East situation, the 10 - year and 30 - year bonds adjusted. The yields of government bonds of different maturities changed, and the yields of certificates of deposit generally declined. This week, certificates of deposit turned to net repayment [2]. - Next week, the supply of government bonds will increase. The inter - bank leverage ratio declined this week [3]. 3. Summary by Directory 3.1 Funds - The central bank's open - market operations had a net withdrawal of funds this week. The reverse repurchase net investment was - 10.11 billion yuan. Next week, a 6 - month outright reverse repurchase operation of 50 billion yuan will be carried out, with a net withdrawal of 10 billion yuan this month [1]. - Overnight fund prices were flat, while seven - day fund prices rose. R001 remained at 1.39%, DR001 at 1.32%, R007 rose to 1.50% (previous value 1.49%), and DR007 rose to 1.46% (previous value 1.41%). The spread between DR007 and the 7 - day OMO was 6.16bp. The 6M national - share bank draft transfer discount rate was 1.23% [1]. 3.2 Inter - bank Certificates of Deposit - The yields of certificates of deposit generally declined. The 3M yield dropped 0.5bp to 1.50%, the 6M yield dropped 1.0bp to 1.51%, and the 1Y yield dropped 1.75bp to 1.53%. The spread between the 1 - year certificate of deposit and R007 narrowed by 2.88bp to 2.92bp [2]. - This week, certificates of deposit turned to net repayment, with a net financing of - 16.19 billion yuan (previous value 12.92 billion yuan). The weighted average issuance term was 8.3M (previous value 8.7M), with 11.721 billion yuan of 3M certificates of deposit issued, 15.517 billion yuan of 6M certificates of deposit issued, and 34.563 billion yuan of 1Y certificates of deposit issued [2]. 3.3 Institutional Behavior - Next week (March 16 - 22, 2026), the net issuance of government bonds is expected to be 67.02 billion yuan, and the net payment is expected to be 59.52 billion yuan. This week, the net issuance of government bonds was - 28.78 billion yuan, and the net payment was - 56.11 billion yuan [3]. - The inter - bank leverage ratio declined. The average daily trading volume of pledged repurchase was 8.57 trillion yuan (previous value 8.64 trillion yuan), and the average daily inter - bank market leverage ratio was 106.98% (previous value 109.94%) [3].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The reading of the micro - trading thermometer in this period rebounded by 5 percentage points to 56%. A few indicators' quantile values declined, while others rebounded to varying degrees. Currently, indicators with high congestion include the 1/10Y Treasury bond turnover rate and policy spread. - The proportion of indicators in the over - heated range dropped to 20%. Among 20 micro - indicators, the number in the over - heated range decreased to 4 (20%), in the neutral range increased to 11 (55%), and in the cold range decreased to 5 (25%). Some indicators changed their ranges [3][4]. 3. Summary by Relevant Catalogs 3.1 Micro - trading Thermometer Reading Rebound - The "Guojin Securities Fixed - Income Bond Market Micro - trading Thermometer" rebounded by 5 percentage points to 56% compared with the previous period. The quantile values of stock - bond ratio, TL/T long - short ratio, commodity ratio, and monetary tightness expectation decreased by 47, 28, 5, and 1 percentage points respectively. The quantile values of fund divergence, allocation power, and fund - small and medium - sized bank buying volume increased significantly by 35, 20, and 35 percentage points respectively [3][15]. 3.2 Proportion of Indicators in the Over - heated Range Decreased - Among 20 micro - indicators, 4 were in the over - heated range (20%), 11 in the neutral range (55%), and 5 in the cold range (25%). TL/T long - short ratio and commodity ratio dropped from the over - heated to the neutral range; stock - bond ratio dropped from the over - heated to the cold range; full - market turnover rate, fund divergence, listed company wealth - management buying volume, and fund - small and medium - sized bank buying volume rose from the cold to the neutral range; allocation power rose from the neutral to the over - heated range [4][19]. - **Full - market Turnover Rate Quantile Rebound**: In trading heat indicators, the proportion of those in the over - heated range dropped to 33%, in the neutral range rose to 50%, and in the cold range dropped to 17%. Only the TL/T long - short ratio quantile decreased by 28 percentage points to 60% and moved from the over - heated to the neutral range, while the full - market turnover rate quantile increased by 15 percentage points to 52% and moved from the cold to the neutral range [6][20]. - **Fund - Small and Medium - Sized Bank Buying Volume Quantile Increase**: In institutional behavior indicators, the proportion in the over - heated range remained at 13%, in the neutral range rose to 63%, and in the cold range dropped to 25%. The quantile values of fund divergence, fund - small and medium - sized bank buying volume, and listed company wealth - management buying volume rebounded significantly by 35, 35, and 11 percentage points respectively and moved from the cold to the neutral range; the allocation power quantile continued to rise by 20 percentage points and moved from the neutral to the over - heated range [7][23]. - **Slight Narrowing of Policy Spread**: The policy spread fell by 2bp to - 4bp, and its quantile rose by 11 percentage points to 97%, remaining in the over - heated range. The credit spread rose by 1 percentage point to 50bp, the Agricultural Development - State Development spread was basically the same as the previous period, and the IRS - 3M Shibor spread fell by 1bp to - 2bp. The average of the three spreads remained at 16bp, and its quantile rose slightly by 1 percentage point to 67%, still in the neutral range [8][32]. - **Significant Drop in Stock - Bond Ratio Quantile**: In comparison indicators, the proportion in the over - heated range dropped to 0%. The proportion in the cold range remained at 50%, and in the neutral range rose to 50%. The quantile values of stock - bond and commodity ratios dropped by 47 and 5 percentage points to 28% and 65% respectively, moving from the over - heated to the cold and neutral ranges respectively [9][32].