债市"文学化"下真实的机构行为

Group 1: Report Summary - The bond market was impacted by news this week. Fund redemption fees and tax exemptions for bond funds led to a rapid market adjustment in the first half of the week, followed by an interest rate recovery driven by renewed expectations of treasury bond trading [1]. - The report analyzes several issues regarding institutional behavior in the bond market, including the progress of large - bank bond sales at the end of the quarter, the differentiated market of bond varieties and maturities, and the end - game thinking of the bond market from an institutional behavior perspective [1]. Group 2: Investment Rating - The document does not provide a specific investment rating for the bond market. Group 3: Core Views - The third - quarter large - bank bond - selling progress may be only halfway through. If the market is led by large - bank bond sales, there may be an opportunity for a rebound after floating profits are realized, but the recovery in the third quarter may be weaker than in the first quarter [1][6][9]. - There is a large differentiation in the market of different bond maturities and varieties. Bonds favored by funds are being sold off, and funds are reducing their duration. In the long - term, the spread between 30 - year and 10 - year bonds may widen, and the overall market duration may decline [1][11][23]. - Technically, long - term treasury bond futures are in a downward channel, but there are short - term oversold trading opportunities. The medium - term view remains cautious [24]. Group 4: Section Summaries 4.1 Bond Market Weekly Review (2025.9.8 - 9.13) - The bond market was weak this week. Long - term bond yields reached highs, and fund redemptions raised market concerns. Interest rates first rose and then fell. As of September 12, the 10Y treasury bond yield increased by 4.10BP to 1.87% compared to September 5, and the 30Y treasury bond yield rose to 2.18% [4]. 4.2 Progress of Large - Bank Bond Sales at the End of the Quarter - The large - bank bond - selling progress in the third quarter may be only halfway through. Banks' sales of old bonds in the secondary market in September have increased, mainly long - term bonds. If estimated based on March data, there may still be more than three trillion yuan of bond sales in the future [6]. 4.3 Differentiated Market of Bond Varieties and Maturities - Since June, the spread between 5 - year policy financial bonds and treasury bonds has widened by 14BP, and the spread between 30 - year and 10 - year treasury bonds has widened by 22BP. Only the 5 - year CDB bond can achieve the least loss in the holding - period return calculation starting from early July [11][13]. - Funds are selling off bonds they prefer, and there is a difference in the net buying of new and old treasury bonds. Funds are reducing their duration, with the duration of top - performing funds decreasing more significantly [14][18]. 4.4 End - Game Thinking of the Bond Market from an Institutional Behavior Perspective - The spread between 30 - year and 10 - year bonds may widen due to potential bond - fund scale reduction. The overall market duration may decline, and the mainstream maturities may shift to 3, 5, and 7 years [23]. 4.5 Technical Analysis - Treasury bond futures are in a downward channel, but there are short - term oversold trading opportunities. In the short - term, focus on price recovery resistance levels. In the medium - term, the view remains cautious [24].