日历看债系列之三：机构行为的季节性及时点观察

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The seasonal characteristics and calendar effects of bond market institutional behavior are important areas of bond market microstructure research. By combining the calendar effects with the bond investment patterns of different institutions, investors can seize structural opportunities, improve investment win - rates, and enhance return levels [6][9][14]. - Among different institutions, bank wealth management is most significantly affected by seasonality, followed by commercial banks and insurance companies, while the seasonality of public funds is relatively weak [6]. 3. Summaries According to Relevant Catalogs Bank Wealth Management - Wealth Management Scale: The scale of bank wealth management shows a seasonal pattern of "shrinking at the end of the quarter and growing at the beginning of the quarter". Quarterly, the scale surges most significantly in the second and third quarters. Annually, the first quarter is mainly affected by the Spring Festival, and the fourth quarter enters a seasonal off - peak. Weekly, the significant scale changes are concentrated in the last week of the quarter - end month and the first week of the quarter - beginning month [16][19][20]. - Wealth Management Bond Allocation: The bond - allocation intensity of wealth management increases in months of large - scale growth and the year - end "pre - emptive" period. It decreases at the end of the quarter and before the Spring Festival. The months with large bond - allocation proportions are April, July, August, May, November, and October [24][25]. - Implications for Bond Investment: In the bond - allocation months of the second and third quarters, short - term products such as certificates of deposit, short - term financing bonds, and short - term policy - bank bonds within 1 year are the main allocation varieties. In the year - end "pre - emptive" stage, the bond - allocation term is extended. Attention should be paid to the investment opportunities of varieties that wealth management focuses on and has pricing power [28][36]. Commercial Banks - Seasonal Patterns of Liabilities and Supervision: The liability growth of commercial banks mainly occurs in the first half of the year, with a "good start" in the first quarter. Deposits usually grow at the end of the quarter and decline at the beginning of the quarter. Bank bond allocation is restricted by performance growth, regulatory assessment, and the seasonality of fiscal bond issuance [7][41]. - Large Banks: Bond - allocation increases when the deposit - loan gap is high and the supply of interest - rate bonds is large. At the end of the quarter after the large - scale supply of long - term bonds, pay attention to the opportunities of steepening the treasury bond curve through "buying short and selling long" and be vigilant about the additional adjustment pressure on long - term varieties. When the bond market is continuously adjusting, large banks may sell old bonds to realize floating profits at the end of the quarter [55][58][64]. - Rural Commercial Banks: Bond - allocation is large in the first quarter due to the "good start" and in the year - end pre - emptive stage. In the second half of the year, they allocate bonds evenly in non - quarter - end months. Tracking the behavior of rural commercial banks is a good leading indicator to judge whether the year - end pre - emptive market will start [65][72][75]. Insurance - Seasonal Influencing Factors: Insurance premium income has an obvious "good start" at the beginning of the year. In the past two years, the reduction of the预定 interest rate has led to super - seasonal growth. Some insurance companies may adjust their positions at the end of the quarter to improve solvency assessment indicators due to the "Solvency II" assessment [79][80][85]. - Insurance Bond - Allocation Seasonality: Bond - allocation peaks usually occur in March and December. In the past two years, due to the reduction of the预定 interest rate, there has been super - seasonal bond - allocation in August and September [89]. - Implications for Bond Investment: Pay attention to the opportunity of narrowing the spread between 30 - year local bonds and treasury bonds in March. Also, focus on the opportunity of narrowing the spread between 30 - 10 - year treasury bonds after the reduction of the预定 interest rate [92][95][98]. Public Funds - General Situation: Public funds' bond investment follows the market and has relatively weak seasonality. However, some products and individual time points show certain seasonal characteristics [100]. - Money Market Funds: Affected by the end - of - quarter assessment of banks and liquidity management needs, the scale of money market funds declines at the end of the quarter and recovers slowly after the quarter. Pay attention to the opportunity of declining yields of certificates of deposit during the bond - allocation windows in mid - March, late June, and late December [4]. - Amortized - cost - method Bond Funds: During the open - period peak, pay attention to the opportunity of narrowing the spread of policy - bank bonds with corresponding maturities [4][10]. - Bond - type Funds: The second quarter is the peak period of bond - allocation throughout the year. Pay attention to the opportunity of narrowing the spread between 5 - year old policy - bank bonds and 2 - 5 - year secondary capital bonds. At the end of the year, there is a "pre - emptive" behavior, and attention should be paid to varieties with good trading attributes such as 10 - year China Development Bank bonds, 30 - year treasury bonds, and 5 - year secondary capital bonds [4][10].