债市机构行为周报（5月第2周）：双降之后，谁在买入短债？

证券研究报告 报告日期：[Table_Author]首席分析师：颜子琦电话：13127532070邮箱：yanzq@hazq.com[Table_Author]研究助理：洪子彦电话：15851599909[Table_Report] 2/16正文目录1本周机构行为点评：双降之后，谁在买入短债？.....................................................................................................42债市收益曲线与期限利差.........................................................................................................................................42.1收益曲线：国债和国开债收益率普遍下行........................................................................................................42.2期限利差：国债息差走势分化，国开债息差倒挂减缓，国债和国开债利差整体走阔.......................................53债市杠杆与资金面....................................................................................................................................................63.1杠杆率：上升至106.70%..................................................................................................................................63.2本周质押式回购日均成交额6.8万亿元，日均隔夜占比85.79%.......................................................................73.3资金面：银行融出持续上升..............................................................................................................................84中长期债券型基金久期...........................................................................................................................................104.1久期中位数降至2.74年..................................................................................................................................104.2利率债基久期升至3.78年...............................................................................................................................115类属策略比价.........................................................................................................................................................125.1中美利差：整体倒挂加深................................................................................................................................125.2隐含税率：整体收窄.......................................................................................................................................126债券借贷余额变化..................................................................................................................................................127风险提示：.............................................................................................................................................................15 敬请参阅末页重要声明及评级说明证券研究报告 3/16图表目录图表1近4周国债国开债收益率（单位：%）...............................................................................................................5图表2近4周国债国开债期限利差（单位：BP，%）....................................................................................................6图表3银行间债市杠杆率（单位：%，周）...................................................................................................................6图表4银行间质押式回购余额（单位：万亿元，周）.....................................................................................................7图表5银行间质押式回购成交额（单位：亿元，交易日）.............................................................................................7图表6银行间隔夜质押式回购金额占比（单位：%，交易日）......................................................................................8图表72021年以来DR007利率（5MA，单位：%）......................................................................................................8图表82024年以来R007与DR007利差（单位：%，BP）............................................................................................9图表92024年以来IYFR007与5YFR007（单位：%）..................................................................................................9图表102025年4月以来分机构资金融出余额（单位：万亿元）..................................................................................10图表112025年4月以来分机构单日出钱量（单位：万亿元）......................................................................................10图表1210Y国债收益率与中长期债券型基金久期不同口径测算值（单位：年，%）..................................................11图表13利率债基和信用债基久期中位数（单位：年）.................................................................................................11图表14近4周中美国债期限利差（单位：BP，%）....................................................................................................12图表15近4周国债国开债隐含税率（单位：BP，%）.................................................................................................12图表16国债240011.IB借贷余额（单位：百万元，%）..............................................................................................13图表17国债240017.IB借贷余额（单位：百万元，%）..............................................................................................13图表18国债2400006.IB借贷余额（单位：百万元，%）............................................................................................14图表19国债2400004.IB借贷余额（单位：百万元，%）............................................................................................14图表20国开债240215.IB借贷余额（单位：百万元，%）..........................................................................................15图表21国开债240210.IB借贷余额（单位：百万元，%）..........................................................................................15 敬请参阅末页重要声明及评级说