[Shenwan Fixed Income | Institutional Behavior] Long-term interest rate bond funds' duration declines, non-bank institutions' leverage rises — Institutional Behavior Weekly Report 20260327

【Shenwan Hongyuan Fixed Income】WeiPing Huang Qiang Luan Zheyi Wang

Summary

• Based on transaction data for existing bonds, the average duration center of all bond funds rose by 0.04 years WoW (from Thursday this week versus last Friday).

• Based on results from a quantitative modeling calculation, the median duration of mid-to-long-term pure bond funds (excluding leverage) increased, while the standard deviation rose. As of 2026/03/27, the 5DMA of the median duration for all mid-to-long-term pure bond funds reached 2.71 years, up 0.03 years WoW, and is at the 78.50% percentile over the past three years. The 5DMA for the duration standard deviation is 1.71, up 0.04 WoW, and is at the 78.90% percentile over the past three years. The 5DMA of the median duration for mid-to-long-term interest-rate-type pure bond funds (excluding leverage) reached 2.94 years, down 0.03 years WoW, and is at the 53.50% percentile over the past three years. The 5DMA duration standard deviation is 2.30, up 0.08 WoW, and is at the 82.60% percentile over the past three years. The 5DMA of the median duration for mid-to-long-term credit-type pure bond funds reached 2.59 years, up 0.06 years WoW, and is at the 84.70% percentile over the past three years. The 5DMA duration standard deviation is 1.26, up 0.02 WoW, and is at the 70.60% percentile over the past three years

• The median duration of short-term pure bond funds (excluding leverage) increased this week, and the standard deviation rose. As of 2026/03/27, the 5DMA of the median duration for all short-term pure bond funds reached 1.28 years, up 0.02 years WoW, and is at the 100.00% percentile over the past three years. The 5DMA for the duration standard deviation is 0.46, up 0.03 WoW, and is at the 81.40% percentile over the past three years. The 5DMA of the median duration for short-term interest-rate-type pure bond funds (excluding leverage) reached 1.29 years, up 0.13 years WoW, and is at the 93.10% percentile over the past three years. The 5DMA duration standard deviation is 0.59, up 0.04 WoW, and is at the 66.70% percentile over the past three years. The 5DMA of the median duration for short-term credit-type pure bond funds reached 1.28 years, up 0.01 years WoW, and is at the 100.00% percentile over the past three years. The 5DMA duration standard deviation is 0.44, up 0.03 WoW, and is at the 81.10% percentile over the past three years.

• Most turnover rates across bond categories declined this week, and trading activity cooled. As of 2026/03/27, the 10DMA WoW turnover rate for government bonds with maturities over 10 years decreased by 0.02 pcts to 2.12%, and is at the 54.4% percentile level over the past three years. The 10DMA WoW turnover rate for medium-term notes (5–7 years) decreased by 0.08 pcts to 1.02%, and is at the 19.6% percentile level over the past three years. Regarding local government bond turnover rates and credit spreads, as of 2026/03/27, Zhejiang, Chongqing, and Guangdong have higher local government bond turnover rates; the estimated yield spreads for 7–10 years (inclusive) are 10.62 bps, 13.21 bps, and 8.59 bps, respectively, and the estimated yield spreads for 20–30 years (inclusive) are 3.58 bps, 4.14 bps, and 7.43 bps, respectively.

• This week, the leverage ratio in the interbank bond market fell by 0.07 percentage points WoW to 107.38%. The leverage ratio for insurance companies rose by 1.24 percentage points WoW to 131.54%; the leverage ratio for banks fell by 0.27 percentage points WoW to 102.61%; the leverage ratio for securities firms rose by 0.40 percentage points WoW to 208.63%; and the leverage ratio for broad funds rose by 0.46 percentage points WoW to 113.90%.

• Last week, the total size of outstanding wealth management products in the whole market increased by RMB 16.955 billion WoW. The increase in size was consistent with seasonal patterns, while the redemption-below-net-asset-value rate rose by 0.53 pcts WoW to 1.35%. By investment type, the net value drawdown of the pure fixed-income wealth management product index was already repaired last week. For the “fixed-income+” and balanced-type wealth management product indices, the net value drawdown last week reached -0.02% and -0.33%, respectively. The net value drawdown of the pure fixed-income wealth management product index over the most recent four weeks has already been repaired; for the “fixed-income+” and balanced-type wealth management product indices, the net value drawdown over the most recent four weeks reached -0.02% and -0.46%, respectively.

Risk warning: Model estimation and statistical results may contain errors

Body

1. This week, the median duration of mid-to-long-term interest-rate-type pure bond funds rose, and the standard deviation rose

2. This week, most turnover rates for long-duration interest-rate bonds declined

3. This week, the leverage ratios of insurers, securities firms, and broad funds rose, while the bank leverage ratio fell

4. Last week, wealth management product AUM increased, and the redemption-below-net-asset-value rate rose

5. Risk warning

Model estimation and statistical results may contain errors

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