Report Industry Investment Rating No relevant content provided. Core Viewpoints - Fund's "chasing up" behavior has become more rational, and the duration risk may be gradually released. The overall "chasing up and selling down" behavior of funds is more moderate. The weekly net purchase of interest rate bonds by funds reached a new high since July, but the net purchase of interest rate bonds over 10Y was relatively low, which may gradually release the risk of supply - demand mismatch in ultra - long bonds [10]. Summary by Directory 1. Overall Sentiment: Bond Market Vitality Index Declined Slightly - As of September 19, the bond market vitality index decreased by 5 pcts to 13% compared with September 12, and the 5D - MA decreased by 13 pcts to 17%. The rising indicators of bond market vitality include the implied tax rate of the 10 - year CDB bond (inverse), and the cooling indicators include the trading volume of the active 10Y CDB bond / the balance of 9 - 10Y CDB bonds, the leverage ratio of the inter - bank bond market, the median duration of medium - and long - term pure bond funds, and the turnover rate of the 30Y Treasury bond [2][11][13]. 2. Institutional Behavior: Funds Cautiously Go Long, Rural Commercial Banks Increase Selling 2.1. Buying and Selling Strength and Bond Type Selection - The order of net buying strength in the current bond market this week is: funds > other product types > insurance > wealth management > large banks > others > foreign - funded banks > money market funds > securities firms. The order of net selling strength is: city commercial banks > rural financial institutions > joint - stock banks. For ultra - long bonds (bonds over 15Y), the order of net buying strength is: insurance > securities firms > wealth management > funds > foreign - funded banks, and the order of net selling strength is: large banks > city commercial banks > joint - stock banks > rural commercial banks > other product types > others. - The main bond types of various institutions are: large banks have no obvious main bond types; rural commercial banks focus on credit bonds over 10Y; insurance focuses on 3 - 5Y credit bonds; funds focus on 1 - 3Y, 3 - 5Y, and 7 - 10Y interest rate bonds; wealth management focuses on interest rate bonds within 1Y and 3 - 5Y credit bonds; other product types focus on 3 - 5Y interest rate bonds [3][20]. 2.2. Trading Portfolio - As of September 19, the median duration of the full - sample medium - and long - term pure bond funds increased by 0.01 years compared with September 12. Among them, the median durations of pure interest rate bond funds, interest rate bond funds, and credit bond funds increased by 0.13 years, 0.14 years, and decreased by 0.01 years to 5.17 years, 4.86 years, and 3.71 years respectively. The median durations of high - performing interest rate bond funds and credit bond funds increased by 0.12 years and 0.03 years to 6.46 years and 4.25 years respectively [4][34][38]. 2.3. Allocation Portfolio - 2.3.1. The primary subscription demand for Treasury bonds and policy - financial bonds increased, and the demand for ultra - long bonds increased: This week, the primary subscription demand for Treasury bonds and policy - financial bonds increased, and the demand for ultra - long bonds also increased. The weighted average full - market multiples of Treasury bonds and policy - financial bonds increased from 3.04 times and 2.71 times to 3.39 times and 3.00 times respectively. Among them, the weighted average full - market multiples of Treasury bonds and policy - financial bonds over 10Y increased from 3.37 times and 2.12 times to 3.63 times and 3.34 times respectively [52]. - 2.3.2. Large banks: The increase in the supply of ultra - long bonds may restrict their secondary - market承接 capacity: Since this year, the issuance scale of ultra - long - term government bonds has been larger and the average issuance term has been longer. Large banks may face the pressure of interest rate risk indicator assessment after continuous purchase, which restricts their secondary - market承接 capacity. In terms of short - term Treasury bond trading, large banks increased their net purchase of Treasury bonds within 1Y since June, but the cumulative net purchase scale this year is still far lower than that of the same period in 2024 and higher than that in 2023. The net purchase of 1 - 3Y Treasury bonds was strong from May to July and then declined. As of September 19, the cumulative net purchase of 1 - 3Y Treasury bonds this year was 684.1 billion yuan [57]. - 2.3.3. Rural commercial banks: Weak bond - buying strength, emphasizing long - term bonds and de - emphasizing short - term bonds: The cumulative net purchase of bonds by rural commercial banks this year is significantly weaker than in previous years, mainly due to the weak net purchase of short - term bonds within 1Y. As of September 19, rural commercial banks have accumulated a net sale of 568 billion yuan of bonds within 1Y this year. However, the net purchase of bonds with maturities of 7 - 10Y and over 10Y is significantly higher than in previous years [70]. - 2.3.4. Insurance: The acceleration of government bond issuance helps insurance deploy ultra - long bonds: Since this year, the net purchase of bonds by insurance has been significantly higher than in previous years, mainly due to the strong purchase of ultra - long bonds over 10Y. As of September 19, the ratio of this year's cumulative net purchase of bonds to cumulative premium income reached 49.93%, exceeding 42.62% at the end of September last year. The ratio of this year's cumulative net purchase of bonds by insurance to the cumulative issuance scale of government bonds over 10Y is 29.11%, slightly lower than 29.18% at the end of September last year [75]. - 2.3.5. Wealth management: The secondary - market duration remained flat: Since June, the cumulative net purchase of bonds by wealth management has continued to rise, significantly higher than in the past three years. As of September 19, the cumulative net purchase of bonds over 10Y by wealth management this year was 14.92 billion yuan. This week, the duration of the secondary - market net purchase of bonds by wealth management remained flat, still at the highest level since February 23, 2024. As of September 19, the weighted average duration of the cumulative net purchase of bonds by wealth management was 1.75 years, the same as on September 12 [87][89]. 3. Asset Management Product Tracking: Most Interest Rate and Credit Bond Funds Recorded Negative Returns in the Past Three Months - Since August, the growth rate of the bond fund scale has still been lower than that of the stock fund. The scale of bond funds and stock funds increased by 54.3 billion yuan and 114.1 billion yuan respectively in September, and 73.2 billion yuan and 485.5 billion yuan respectively in August. - The issuance share of newly established bond - type funds increased significantly this week. The scale of newly established bond funds this week was 48.6 billion yuan, a new high since 2023. - In terms of bond fund performance, the net value of various types of bond funds rebounded this week, and pure interest rate bond funds performed relatively better. The median annualized returns of pure interest rate bond funds, interest rate bond funds, and credit bond funds in the past week were 2.46%, 2.03%, and 1.52% respectively. Most interest rate and credit bond funds recorded negative returns in the past three months [90].
机构行为跟踪周报20250921：基金“追涨”趋于理性-20250921
Tianfeng Securities·2025-09-21 13:11