Managed data
In March, commercial banks and insurance companies were under greater pressure to undermatch, and they increased their holdings of bonds significantly, and broad funds and securities firms reduced their positions in bonds. Specifically, the insurance holdings were 4.54 trillion yuan, a month-on-month increase of 1.66%, and the commercial banks' holdings were 81.35 trillion yuan, a month-on-month increase of 1.20%, and the month-on-month increase in bond custody of both was higher than the month-on-month increase of 0.55% in the total market custody. Broad funds held 36.76 trillion yuan, down 0.55% month-on-month, and brokerages held 3.22 trillion yuan, down 1.49% month-on-month.
In terms of position structure, commercial banks had a large demand for replenishment after shorting the bond market from January to February at the beginning of the year, and increased their holdings of interest rate bonds in March over a seasonal basis, with the proportion of monthly new interest rate bonds deposited (the proportion of monthly new interest rate bonds deposited in the total monthly custody of new interest rate bonds) at 121%, and the proportion of monthly new interest rate bonds deposited by insurance increased to 5.5% It is also above the seasonal level, reflecting that its underallocation pressure is also greater; the decline in the scale of interest rate bonds held by broad funds may be due to the profit-taking of some institutions; and the bond brokerages are still stopping profitability bonds, but they have increased their allocation positions in credit bonds after the yield of credit bonds rose in March.
In terms of leverage, as of the end of March 2024, the leverage ratio of the bond market was 108.70%, down 0.39 percentage points from the previous month, the absolute value was significantly higher than the seasonal level, but the increase was lower than the seasonal level, and the leverage ratio of the bond market was still high.
In terms of institutions, the leverage ratio of commercial banks decreased by 0.19 percentage points to 103.66%, which was at the 78.9% quantile level since 2021, the leverage ratio of broad funds increased by 1.87 percentage points to 118.36%, which was at the 97.4% quantile level since 2021, and the insurance leverage ratio increased by 2.41 percentage points to 127.88%, which was at 81.6% since 2021 The leverage ratio of brokerages increased by 11.74 percentage points to 213.72%, which is at the 81.6% quantile level since 2021.
1. The custody volume of local government bonds in March increased significantly month-on-month
In terms of types of bonds, the custody volume of local government bonds in March rose significantly month-on-month. As of the end of March 2024, the total bond custody volume of China Bond and Shanghai Clearing Exchange was 143.4 trillion yuan, an increase of 0.55% month-on-month. Specifically, the custody of interest rate bonds was 97.23 trillion yuan, an increase of 0.60% month-on-month, the custody of Chinese bonds was 29.81 trillion yuan, the custody of local government bonds was 41.47 trillion yuan, and the custody of government and financial bonds was 24.12 trillion yuan, an increase of 0.41%, 0.84%, and 0.47% respectively from the previous month. The custody volume of financial bonds was 10.56 trillion yuan, down 0.62% from the previous month, of which the custody volume of commercial bank bonds was 9.46 trillion yuan, down 0.16% from the previous month.
In March, the volume of mid-term ticket custody increased sharply month-on-month. In March, the custody volume of non-financial credit bonds was 17.19 trillion yuan, an increase of 1.52% month-on-month, of which the custody volume of corporate bonds was 2.34 trillion yuan, the custody volume of ultra-short-term financing was 1.82 trillion yuan, the custody volume of short-term financing was 0.5 trillion yuan, and the custody volume of medium-term bills was 9.73 trillion yuan, with month-on-month changes of -1.67%, 0.30%, 0.15% and 3.21% respectively. The custody volume of interbank certificates of deposit was 16.07 trillion yuan, an increase of 0.26% from the previous month.
Second, commercial banks and insurance companies have significantly increased their positions in bonds
From the perspective of sub-institutions: insurance and commercial banks have increased their positions in bonds significantly, and broad funds and securities firms have reduced their holdings of bonds. In terms of holder structure, insurance bonds were 4.54 trillion yuan, an increase of 0.07 trillion yuan or 1.66% month-on-month, commercial banks held 81.35 trillion yuan of bonds, an increase of 0.97 trillion yuan or 1.20% month-on-month, and overseas institutions held 4.00 trillion yuan, an increase of 0.04 trillion yuan or 1.14% month-on-month, and the month-on-month increase in the custody volume of the above three bonds was higher than the month-on-month increase of 0.55% in the total market custody volume. Specifically, the broad fund holdings were 36.76 trillion yuan, a decrease of 0.21 trillion yuan or 0.55% from the previous month, and the holdings of securities firms were 3.22 trillion yuan, a decrease of 0.05 trillion yuan or 1.49% from the previous month.
In terms of position structure, commercial banks have a large demand for supplementary allocation, and increased their holdings of interest rate bonds in March, the decline in the scale of interest rate bonds held by broad funds may be due to the profit taking of some institutions, the increase in the proportion of new interest rate bonds in insurance month, reflecting their greater underallocation pressure, and the bond brokerages are still stopping profitability bonds, but increasing their allocation positions in credit bonds after the yield of credit bonds rose in March.
In March, commercial banks increased their holdings of treasury bonds, short-term financing and ultra-short-term financing. Specifically, commercial banks increased their holdings of treasury bonds, local government bonds, government and financial bonds, interbank certificates of deposit, medium-term bills, short-term financing and ultra-short-term financing by 1.39%, 0.96%, 0.65%, 3.67%, 6.75% and 10.54% respectively, and the corresponding total custody levels of securities changed by 0.41%, 0.84%, 0.47%, 0.26%, 3.21% and 0.27% respectively. Commercial banks' preference for corporate bonds declined, and the reduction of corporate bonds decreased by 3.01% month-on-month, which was lower than the month-on-month change in the total amount of corresponding bonds, which decreased by 1.67%.
In terms of breakdown, for short-term financing and ultra-short-term financing, medium-term bills and interbank certificates of deposit, the large state-owned banks increased their positions in short-term financing and ultra-short-term financing, medium-term bills and interbank certificates of deposit, with a month-on-month increase of 46.128 billion yuan, 45.399 billion yuan and 351.825 billion yuan respectively, with an increase of 23.60%, 6.20% and 21.42% respectively City commercial banks increased their holdings of short-term financing and ultra-short-term financing, medium-term bills and interbank certificates of deposit by 3.03%, 8.00% and 1.02% respectively, while rural commercial banks reduced their positions in short-term financing and ultra-short-term financing, medium-term bills and interbank certificates of deposit by 10.28%, 1.65% and 5.35% respectively.
From the perspective of the relationship with bond market interest rates, in terms of interest rate bonds, the 10-year treasury bond interest rate closed at 2.29% in March 2024, down about 4.7bp from February, and the decline was not as large as the seasonal level (the 10-year treasury bond yield in March since 2019 fell by about 7.6bp compared with February). March is a traditional month for commercial banks to increase their positions, but the proportion of monthly new interest rate bond custody (the proportion of monthly new interest rate bond custody to the total monthly new interest rate bond custody) of commercial banks in March this year was 121%, which is significantly higher than the seasonal level (the median proportion from 2019 to January 2023 is 49%) This is due to the fact that since December last year, the proportion of monthly new interest rate bond custody of commercial banks has been lower than the seasonal level for three consecutive months, and the underallocation pressure is greater, and the demand for bond replenishment has increased in March. In terms of credit bonds, the yield on 3-year AAA short- and medium-term notes closed at 2.50% in March, up about 4.4bp from February, and the proportion of commercial banks' existing credit bond custody in March[1] rose to 21.2%, a slight increase of 0.7 percentage points from February.
Broad funds have increased their holdings of local government bonds. Specifically, the scale of the increase in the holdings of medium bills and local government bonds by broad funds was 0.125 trillion yuan and 0.035 trillion yuan respectively, with a month-on-month increase of 2.07% and 1.43% respectively. The month-on-month changes in the total custody of the corresponding securities were 3.21% and 0.84%, respectively, and the month-on-month reductions in the holdings of treasury bonds, government and financial bonds, interbank certificates of deposit, corporate bonds, short-term financing and ultra-short-term financing were 0.065 trillion yuan, 0.023 trillion yuan, 0.181 trillion yuan, 0.004 trillion yuan and 0.034 trillion yuan, respectively, and the month-on-month reduction was 3.38%, 0.32%, 2.30%, 0.55% and 2.26%, respectively, and the total custody changes of the corresponding securities were 0.41% and 0.41% respectively. 0.47%、0.26%、-1.67%、0.27%。
From the perspective of the relationship with bond market interest rates, in terms of interest rate bonds, the yield of 10-year treasury bonds continued to decline in March, and the proportion of monthly new interest rate bond custody of broad funds was -9% (47% in February), which was significantly lower than the seasonal level (the median proportion of monthly new interest rate bond custody of broad funds from 2019 to February 2023 increased by 32%), which may be due to the large profit-taking efforts of some institutions. In terms of credit bonds, the yield of 3-year AAA short- and medium-term notes rose in March, and the proportion of monthly new credit bond custody of broad funds (the proportion of monthly new credit bond custody to the total new custody of credit bonds) was 34% (161% in February), and the increase in credit bond holdings of broad funds declined.
Insurance mainly increased its holdings of government bonds, local government bonds, and medium bills. Specifically, the scale of insurance holdings of medium bills, national bonds and local government bonds was 0.024 trillion yuan, 0.021 trillion yuan and 0.026 trillion yuan respectively, with a month-on-month increase of 9.20%, 3.16% and 1.45% respectively, and the total amount of corresponding securities custody changed by 3.21%, 0.41% and 0.84% respectively. The scale of insurance holdings of government and financial bonds, interbank certificates of deposit, corporate bonds, short-term financing and ultra-short-term financing was 0.016 trillion yuan, 0.002 trillion yuan, 0.002 trillion yuan and 0.002 trillion yuan respectively, with a month-on-month reduction of 3.03%, 12.02%, 3.27% and 25.37% respectively, and the total amount of corresponding securities custody changed by 0.47%, 0.26%, -1.67% and 0.27% month-on-month respectively.
From the perspective of the relationship with the bond market interest rate, the yield of 10-year treasury bonds fell in March, and the monthly new interest rate bond custody volume of insurance in March accounted for 5.5% (-1.8% in February), which was higher than the seasonal level (the median value of the monthly new interest rate bond custody volume of insurance from 2019 to March 2023 was 0.48%).
Brokerages significantly increased their holdings of government and financial bonds, and reduced their holdings of interbank certificates of deposit and local government bonds. Specifically, the scale of brokers' month-on-month holdings of government and financial bonds was 0.030 trillion yuan, with an increase of 11.78%, and the corresponding total amount of securities custody changed by 0.47% month-on-month; brokerages slightly increased their holdings of medium bills, with a month-on-month increase of 5.19%; brokerages reduced their holdings of government bonds, local government bonds, interbank certificates of deposit, corporate bonds, short-term financing and ultra-short-term financing by 0.025 trillion yuan, 0.045 trillion yuan, 0.027 trillion yuan, 0.004 trillion yuan, respectively. 0.002 trillion yuan, the reduction rates were 2.58%, 7.56%, 12.59%, 2.96% and 6.36%, and the corresponding changes in the total custody of securities were 0.41%, 0.84%, 0.26%, -1.67% and 0.27% respectively.
From the perspective of the relationship with the bond market interest rate, in terms of interest rate bonds, the monthly new interest rate bond custody volume of brokerages in March accounted for -7.2% (-10.8% in February), which was at the 15% quantile level since 2019, and brokerages are still taking profits;
Third, the leverage ratio of the whole market is still at a high level
In terms of leverage ratio, as of the end of March 2024, the leverage ratio of the bond market was 108.70%, down 0.39 percentage points from the previous month, and the absolute scale was significantly higher than the seasonal level, but the increase was lower than the seasonal level, and the leverage ratio of the bond market was still high.
In terms of institutions, the leverage ratio of commercial banks decreased by 0.19 percentage points to 103.66%, which was at the 78.9% quantile level since 2021, the leverage ratio of broad funds increased by 1.87 percentage points to 118.36%, which was at the 97.4% quantile level since 2021, and the insurance leverage ratio increased by 2.41 percentage points to 127.88%, which was at 81.6% since 2021 The leverage ratio of brokerages increased by 11.74 percentage points to 213.72%, which is at the 81.6% quantile level since 2021.
Annotation:
[1] The proportion of new credit bond custody volume of commercial banks fluctuates greatly in terms of monthly amount, so the proportion of existing credit bond custody volume is used here.
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