证券研究报告 固收点评报告 ——债基 2025 年 Q2 季报分析 投资要点： 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com hyzqdatemark 2025 年 08 月 08 日 马赫 请务必仔细阅读正文之后的评级说明和重要声明 联系人 mahe@huayuanstock.com 从 2025Q2 季报看利率债基变化 利率债基整体规模略有增长，债券配置比例持续提升。截至 25Q2，利率债基资产总 值为 3.6 万亿元，为 23Q1 以来最高值，其中主动型利率债基和被动型利率债基分别 为 2.4 万亿元和 1.2 万亿元，较 25Q1 分别+0.07 万亿/+0.13 万亿元。从大类资产配 置来看，截至 25Q2，利率债基主要配置于债券（规模约为 3.5 万亿元，占比 97.28%）， 其次是现金（规模约为 0.03 万亿元，占比 0.91%），规模占比较上一季度分别 +0.30pct/+0.17pct，其中主动型利率债基的债券和现金配置规模分别为 2.3 万亿元和 0.02 万亿元，比例分别为 97.26%/1.04%，较上一季度分别 ...

Core Viewpoint - The bond market is currently experiencing a period of adjustment, influenced by various factors such as the "stock-bond seesaw" effect, but analysts believe that there are still opportunities for bullish positions as negative sentiment dissipates [1][2][4]. Group 1: Market Conditions - The bond market has shown signs of volatility and adjustment, with the 10-year government bond yield rising from 1.67% on July 18 to 1.73% by July 25 [2]. - The stock market has been performing well, with the Shanghai Composite Index surpassing 3600 points and gaining 4.3% in July, which has diverted some funds away from the bond market [2]. - The recent adjustments in the bond market are attributed to increased risk appetite and a rise in funding rates, leading to a significant sell-off in bond funds [3]. Group 2: Investment Opportunities - Despite the recent adjustments, there are positive factors emerging, such as increased buying from insurance institutions, which reached a new high since April 2020, indicating potential support for the bond market [4]. - Analysts suggest that the current bond market levels present a good value for investment, particularly in long-duration government bonds and recently adjusted perpetual bonds [6][7]. - The expectation is that the 10-year government bond yield may return to around 1.65% as market risks ease, and there are notable opportunities in credit bonds, especially in municipal investment bonds and insurance subordinated debt [6][7].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Under the resonance of multiple negative factors such as the rise in risk preference, the sharp rise in the equity and commodity markets, and the central bank's net withdrawal in the open - market operations disturbing the capital price, the bond market fluctuated violently this week. The selling behavior of funds is particularly worthy of attention. The scale of funds' net selling on Thursday and Friday was second only to the redemption tides in late August and early October last year. The performance of bond funds was poor, with over 40% of pure interest - rate bond funds recording negative returns in the past three months. Continued attention should be paid to changes in market risk preference and fund redemption situations [10]. 3. Summary According to Relevant Catalogs 3.1 Overall Sentiment - The bond market vitality index increased, mainly due to the rise in the turnover rate of ultra - long bonds. As of July 25, the bond market vitality index rose 6 pcts to 37% compared with July 18, and the 5D - MA rose 5 pcts to 45% [11]. - Indicators of rising bond market vitality included the trading volume of the active 10Y CDB bond / the balance of 9 - 10Y CDB bonds (the rolling two - year quantile rose from 42% to 72%), the 30Y treasury bond turnover rate (the rolling two - year quantile rose from 16% to 71%), and the median duration of medium - and long - term pure bond funds (the rolling two - year quantile rose from 99.3% to 99.7%) [13]. - Indicators of falling bond market vitality included the excess level of the inter - bank bond market leverage ratio compared with the average of the past 4 years (the rolling two - year quantile dropped from 20% to 5%) and the implied tax rate of 1 - 10Y CDB bonds (the rolling two - year quantile dropped from 57% to 21%) [14]. 3.2 Institutional Behavior 3.2.1 Buying and Selling Strength and Bond Selection - In terms of overall buying and selling strength, the order of net buying strength in the cash bond market this week was large banks > insurance > wealth management > other products > money market funds > overseas institutions and others, and the order of net selling strength was funds > securities firms > joint - stock banks > city commercial banks. For ultra - long bonds, the order of net buying strength was insurance > rural commercial banks > city commercial banks > wealth management, and the order of net selling strength was funds > securities firms > large banks > joint - stock banks > other products [22]. - Different institutions had different main bond types. Large banks focused on 1 - 3Y interest - rate bonds and credit bonds; rural commercial banks focused on 5 - 10Y interest - rate bonds and 1 - 3Y other bonds; insurance focused on interest - rate bonds over 10Y and 7 - 10Y credit bonds; funds focused on interest - rate bonds within 1Y; wealth management focused on certificates of deposit and interest - rate bonds within 3Y; other products focused on certificates of deposit [26]. 3.2.2 Trading Portfolio - As of July 25, the median duration of the full - sample medium - and long - term pure bond funds increased by 0.21 years to 4.38 years compared with July 18. Among them, the median durations of pure interest - rate bond funds and interest - rate bond funds decreased by 0.22 years and 0.04 years respectively, while that of credit bond funds increased by 0.19 years. The median durations of high - performing interest - rate bond funds and credit bond funds changed more significantly, decreasing by 0.48 years and increasing by 0.32 years respectively [35]. 3.2.3 Allocation Portfolio - **Primary market**: The primary subscription demand for treasury bonds and policy - bank bonds decreased overall this week. The weighted average full - market multiples of treasury bonds and policy - bank bonds decreased from 3.25 times to 2.94 times and from 3.36 times to 3.16 times respectively [53]. - **Large banks**: As of July 25, the cumulative net purchase of 1 - 3Y treasury bonds this year reached 4032 billion yuan, higher than the same period last year [59]. - **Rural commercial banks**: This year, the cumulative net purchase of cash bonds was significantly weaker than in previous years, mainly due to the weak net purchase of short - term bonds within 1Y. However, the net purchase of 7 - 10Y and over 10Y cash bonds was higher than the same period in previous years [70]. - **Insurance**: This year, the net purchase of cash bonds and its ratio to premium income were significantly higher than in previous years, mainly due to the sufficient supply of ultra - long - term government bonds. As of July 25, the ratio of the cumulative net purchase of cash bonds to the cumulative issuance of government bonds over 10Y was 27.34%, lower than 35.14% at the end of July last year [81]. - **Wealth management**: From June to July, the cumulative net purchase of cash bonds continued to rise, especially for bonds over 10Y. This week, the duration of net - bought cash bonds in the secondary market increased to the highest level since February 23, 2024 [90]. 3.3 Asset Management Product Tracking - Since July, the increase in the scale of wealth management products was weaker than seasonal. The scale increased by 27.96 billion yuan, far lower than the same period from 2021 - 2024. The wealth management product break - even rate decreased [94]. - Since July, the scale of bond funds increased by 13.41 billion yuan, with a significant slowdown in growth rate, while the scale of equity funds increased by 20.99 billion yuan. This week, the net value of various types of bond funds fell sharply, and over 40% of pure interest - rate bond funds recorded negative returns in the past three months [101].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Short - term liquidity depends on central bank's injections. Investors can maintain duration and seize opportunities from falling interest rates [2]. - In mid - July, there are both positive and negative factors for the liquidity. The key variable is the central bank's roll - over of outright reverse repos. DR007 is likely to fluctuate between 1.40% - 1.50%. There are few negative factors for the bond market. If there is a tightening trend in liquidity, a further decline in large banks' lending volume should be observed first [3]. 3. Summary According to Related Catalogs 3.1 This Week's Institutional Behavior Review: Is There a Tightening Trend in Liquidity? - **Yield Curve**: Yields of treasury bonds and China Development Bank bonds generally increased. For treasury bonds, 1Y yield rose 3bp, 3Y and 5Y rose 4bp, 7Y rose 3bp, 10Y rose about 3bp, 15Y and 30Y rose 2bp. For China Development Bank bonds, 1Y yield rose about 4bp, 3Y rose 4bp, 5Y rose about 6bp, 7Y and 10Y rose 3bp, 15Y rose 2bp, and 30Y changed less than 1bp [13]. - **Term Spread**: The spread between treasury bonds and China Development Bank bonds increased. For treasury bonds, the short - term spread narrowed and the long - term spread widened. For China Development Bank bonds, the short - term spread was divided, and the medium - and long - term spread narrowed [16]. 3.2 Bond Market Leverage and Liquidity - **Leverage Ratio**: It dropped to 107.3%. From July 7th to July 11th, 2025, the leverage ratio decreased continuously during the week. As of July 11th, it was about 107.3%, down 0.69pct from last Friday and 0.58pct from this Monday [20]. - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover of pledged repurchase this week was 8.2 trillion yuan, with an average overnight proportion of 89.57%. From July 7th to July 11th, the average daily turnover was 8.2 trillion yuan, up 0.61 trillion yuan from last week. The average overnight turnover was 7.4 trillion yuan, up 0.55 trillion yuan month - on - month, and the average overnight proportion was 89.57%, down 0.14pct month - on - month [26][27]. - **Liquidity**: Banks' lending volume continued to decline. From July 7th to July 11th, the lending volume of the banking system decreased. On July 11th, large banks and policy banks' net lending was 4.65 trillion yuan; joint - stock banks and urban and rural commercial banks' average daily net lending was 0.66 trillion yuan, and on July 11th, they had a net inflow of 0.91 trillion yuan. The banking system's net lending was 3.74 trillion yuan [31]. 3.3 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: It dropped to 2.87 years. From July 7th to July 11th, the median duration of medium - and long - term bond funds was 2.87 years (de - leveraged) and 3.21 years (leveraged). On July 11th, the median duration (de - leveraged) was 2.87 years, down 0.01 year from last Friday; the median duration (leveraged) was 3.21 years, up 0.04 year from last Friday [45]. - **Duration of Interest - Rate Bond Funds**: It rose to 3.93 years. Among different types of bond funds, the median duration (leveraged) of interest - rate bond funds rose to 3.93 years, up 0.02 year from last Friday; the median duration (leveraged) of credit bond funds rose to 2.98 years, up 0.01 year from last Friday; the median duration (de - leveraged) of interest - rate bond funds was 3.55 years, up 0.09 year from last Friday; the median duration (de - leveraged) of credit bond funds was 2.73 years, down 0.02 year from last Friday [48]. 3.4 Category Strategy Comparison - **China - US Yield Spread**: It generally widened. The 1Y spread widened 3bp, 2Y widened 7bp, 3Y widened 6bp, 5Y widened 5bp, 7Y widened 3bp, 10Y widened about 3bp, and 30Y widened 2bp [52]. - **Implied Tax Rate**: The short - term spread widened, and the long - term spread narrowed. As of July 11th, the spread between China Development Bank bonds and treasury bonds widened 1bp for 1Y, changed less than 1bp for 3Y, widened 2bp for 5Y, widened 1bp for 7Y and 10Y, changed less than 1bp for 15Y, and narrowed 2bp for 30Y [53]. 3.5 Changes in Bond Lending Balance On July 11th, the concentration of lending for active 10Y treasury bonds, active 10Y China Development Bank bonds, second - active 10Y China Development Bank bonds, and active 30Y treasury bonds showed an upward trend, while the concentration of second - active 10Y treasury bonds showed a downward trend. For all institutions, it showed an upward trend [56].