机构行为跟踪周报20250810：等待含税新券的一周-20250810

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report After a period of volatile market conditions, interest rates declined slightly in a narrow range this week, and institutional behavior stabilized overall, lacking a clear willingness to go long or short. Funds showed a more stable willingness to net - buy credit bonds than interest - rate bonds. The issuance of the first batch of tax - increased local bonds was smooth, and subsequent observation is needed to see if institutional bullish sentiment will increase [10]. 3. Summary by Relevant Catalogs 3.1 Overall Sentiment: Decline in Bond Market Vitality Index - As of August 8, the bond market vitality index decreased by 35 pcts to 14% compared to August 1, and the 5D - MA decreased by 19 pcts to 26%. Indicators of bond market vitality cooling include the decline in the trading volume of 10Y CDB active bonds/9 - 10Y CDB bond balance, the decrease in the inter - bank bond market leverage ratio, the change in the median duration of medium - and long - term pure bond funds, the decline in the implied tax rate of 10Y CDB bonds, and the decrease in the turnover rate of 30Y treasury bonds [1][11][13]. 3.2 Institutional Behavior: Bond Market Stabilized, Institutions Remained on the Sidelines 3.2.1 Buying and Selling Strength and Bond Selection: Light Trading of Interest - Rate Bonds, Continuous Net Buying of Credit Bonds by Funds - In the current bond market, the order of net - buying strength in the cash bond market is: funds > other product types > wealth management > insurance > overseas institutions and others; the order of net - selling strength is: joint - stock banks > city commercial banks > rural commercial banks > securities firms. For ultra - long bonds (bonds with a maturity of over 15 years), the order of net - buying strength is: funds > insurance > rural commercial banks > overseas institutions and others; the order of net - selling strength is: large - scale banks > joint - stock banks > other product types > city commercial banks > securities firms [23]. - Different institutions have different main bond types. For example, large - scale banks focus on interest - rate bonds within 1Y, 1 - 3Y, and 5 - 7Y; funds focus on certificates of deposit, credit bonds within 1Y, and 1 - 3Y credit bonds [2][28]. 3.2.2 Trading Portfolio: Slight Increase in Durations of Credit Bond Funds and Interest - Rate Bond Funds, Smaller Duration Adjustments for High - Performing Bond Funds - As of August 8, the mean and median durations of the full - sample medium - and long - term pure bond funds increased by 0.04 years and 0.03 years respectively compared to August 1, reaching 4.56 years and 4.42 years, at the 98.7% quantile over the past two years. Among them, the median durations of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds increased by 0.06 years, 0.03 years, and 0.03 years respectively. High - performing bond funds had smaller duration adjustments [41][44]. 3.2.3 Allocation Portfolio: Wealth Management Extended Duration in the Secondary Market, Rural Commercial Banks and Insurance Deployed Ultra - Long Bonds - Primary Market: This week, the primary - market subscription demand for treasury bonds decreased, while that for policy - financial bonds increased. The weighted average full - coverage multiples of treasury bonds and policy - financial bonds changed accordingly [58]. - Large - scale Banks: As of August 8, the cumulative net - buying scale of 1 - 3Y treasury bonds this year was close to the same period last year. Although large - scale banks increased their net - buying of short - term treasury bonds since June, the cumulative net - buying scale was still lower than that in 2024 [66]. - Rural Commercial Banks: The cumulative net - buying scale of cash bonds by rural commercial banks this year was significantly weaker than in previous years, mainly due to the weak net - buying of short - term bonds within 1Y. However, the net - buying strength of 7 - 10Y and over - 10Y bonds was higher than in previous years [78]. - Insurance: The net - buying strength of cash bonds by insurance this year was significantly higher than in previous years, mainly due to the strong buying of ultra - long bonds over 10Y. As of August 8, the ratio of cumulative net - buying of cash bonds to cumulative premium income exceeded that at the end of August last year [86]. - Wealth Management: Since June, the cumulative net - buying scale of cash bonds by wealth management has continued to rise. This week, the duration of net - bought cash bonds in the secondary market decreased slightly but remained at a relatively high level since February 23, 2024 [95][97]. 3.3 Asset Management Product Tracking: More than Half of Credit Bond Funds Had Positive Returns in the Past Month - Wealth Management: As of the week of August 3, the wealth management scale decreased by 900 million yuan in August, far lower than the estimated value based on the average monthly growth rate in the past three years. The fixed - income wealth management products decreased by 1.99 billion yuan. The wealth management break - even rate increased [98]. - Bond Funds: Since August, the scale of bond funds increased by 3.83 billion yuan, higher than that of equity funds. The newly established bond funds this week had a relatively large scale, ranking second - highest this year. This week, the net values of all types of bond funds continued to rise, with credit bond funds performing better [109].