Core Viewpoint - The bond market issues are primarily endogenous, and the sustainability of the stock market is contingent on the resolution of bond market bubbles [1] Group 1: Bond Market Analysis - The progress of bond bubble resolution can be observed through the R007-10Y yield spread, which needs to normalize for bond value to recover [1] - The current R007-10Y yield spread is approaching a normal state, with a moving average level of 24 basis points, compared to a normal level of approximately 29 basis points observed from January to November last year [1] - The potential for yield correction offers limited upward adjustment space of about 5 basis points, suggesting a reasonable 10Y government bond yield at around 1.78% [1] Group 2: ETF Performance - The Ping An Company Bond ETF (511030) has shown the best performance in controlling drawdowns during the recent bond market adjustment, with minimal trading discounts and stable net value [1] - A detailed table of various bond ETFs indicates their recent performance, with the Ping An Company Bond ETF having a scale of 22.353 billion and a year-to-date return of -0.119% [1] - Other ETFs listed show varying degrees of performance, with some experiencing larger drawdowns and trading discounts compared to the Ping An ETF [1]

[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 ...