机构行为跟踪周报20250928：债市再迎交易盘抛压考验-20250928

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The bond market's vitality index significantly declined, and the bond market is facing the test of trading - disk selling pressure again. The selling pressure from funds was released again in the second half of the week, while large - scale banks increased their net buying of long - end interest - rate bonds, and their sustainability and stabilizing effect need further observation. - Most interest and credit bond funds have recorded negative returns in the past three months, the growth rate of bond fund scale in September is still lower than that of equity funds, and the issuance share of newly established bond funds has declined this week [5][95]. 3. Summary by Directory 3.1 Overall Sentiment - The bond market vitality index dropped significantly. As of September 26, it decreased by 17 pcts to 0% compared with September 19, and the 5D - MA decreased by 5 pcts to 16%. There were no warming indicators, and the cooling indicators included the implied tax rate of the 10 - year CDB bond, the trading volume of the active 10Y CDB bond / the balance of 9 - 10Y CDB bonds, the excess level of the inter - bank bond market leverage ratio compared with the average of the past 4 years, the median duration of medium - and long - term pure bond funds, and the turnover rate of the 30Y treasury bond [1][10][12]. 3.2 Institutional Behavior 3.2.1 Buying and Selling Strength and Bond Selection - The net buying strength ranking in the current bond market this week is: money market funds > large - scale banks > insurance > wealth management > other product types > others; the net selling strength ranking is: city commercial banks > rural financial institutions > securities firms > funds > joint - stock banks > foreign - funded banks. For ultra - long bonds, the net buying strength ranking is: insurance > securities firms > wealth management > other product types > others, and the net selling strength ranking is: large - scale banks > funds > city commercial banks > joint - stock banks > rural commercial banks > foreign - funded banks [19]. - The main bond types of various institutions are: large - scale banks focus on 1 - 3Y and 7 - 10Y interest - rate bonds; rural commercial banks focus on 3 - 5Y credit bonds; insurance focuses on interest - rate bonds and other bonds over 10Y; funds focus on interest - rate bonds within 1Y; wealth management focuses on interest - rate bonds within 1Y and 3 - 5Y credit bonds; other product types focus on 7 - 10Y interest - rate bonds [2][22]. 3.2.2 Trading Disk - The median duration of all - sample medium - and long - term pure bond funds decreased by 0.01 years compared with September 19. Among them, the median durations of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds changed by - 0.02 years, - 0.07 years, and + 0.03 years to 5.15 years, 4.81 years, and 3.74 years respectively. The median durations of high - performing interest - rate bond funds and credit bond funds changed by - 0.07 years and + 0.10 years to 6.39 years and 4.35 years respectively [3][39]. 3.2.3 Allocation Disk - Primary Market: The primary subscription demand for treasury bonds and policy - financial bonds decreased this week, and the subscription demand for ultra - long bonds was differentiated. The weighted average full - market multiples of treasury bonds and policy - financial bonds decreased from 3.39 times and 3.00 times in the previous week to 2.85 times and 2.80 times respectively. For treasury bonds and policy - financial bonds over 10Y, the weighted average full - market multiples decreased from 3.63 times to 3.33 times and increased from 3.34 times to 3.40 times respectively [53]. - Secondary Market - Large - scale Banks: The increasing supply of ultra - long bonds may restrict their secondary - market承接 capacity. Since June, large - scale banks have increased their net buying of treasury bonds within 1Y, but the cumulative net buying scale this year is still far lower than that of the same period in 2024. The net buying of 1 - 3Y treasury bonds increased from May to July and declined since August. As of September 26, the cumulative net buying scale of 1 - 3Y treasury bonds this year was 7271 billion yuan [58][60]. - Rural Commercial Banks: Their cumulative net buying scale of current bonds this year is significantly weaker than in previous years, mainly due to the weak net buying of short - term bonds within 1Y. However, the net buying of 7 - 10Y and over 10Y current bonds is significantly higher than in previous years [74]. - Insurance: The net buying strength of current bonds by insurance this year is significantly higher than in previous years, mainly due to the strong buying of ultra - long bonds over 10Y. As of September 19, the ratio of insurance's cumulative net buying of current bonds to the cumulative issuance scale of government bonds over 10Y was 30.04%, higher than 29.18% at the end of September last year [80]. - Wealth Management: Since June, the cumulative net buying scale of current bonds by wealth management has continued to rise. This week, the duration of net - bought current bonds in the secondary market reached the highest point since February 23, 2024. As of September 26, the weighted average duration of cumulative net - bought current bonds was 1.78 years, an increase of 0.03 years compared with September 19 [90][92]. 3.3 Asset Management Product Tracking - Since September, the growth rate of bond fund scale is still lower than that of equity funds. The scale of bond funds and equity funds increased by 1418 billion yuan and 2019 billion yuan respectively in September, compared with 732 billion yuan and 4855 billion yuan in August. - The issuance share of newly established bond - type funds declined this week. The scale of newly established bond funds this week was 106 billion yuan, down from 486 billion yuan in the previous week. - This week, the net value of various types of bond funds dropped significantly, with credit bond funds experiencing larger declines. Most interest and credit bond funds recorded negative returns in the past three months [95].