机构行为周度跟踪：长假前后，机构谨慎为主-20251012

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market vitality index continued to decline, with no warming indicators and several cooling indicators [1][11][13]. - Before the holiday, funds cautiously increased positions, while after the holiday, trading was light. Funds mainly net - bought medium - and short - term bonds, and insurance switched to selling [2][10][20]. - The durations of both credit and interest - rate bond funds decreased [3][36]. - The large banks' buying strength of long - term bonds at the end of September did not continue, and the primary subscription demand for treasury bonds and policy - financial bonds was differentiated, with the demand for ultra - long - term bonds rising [4][54][59]. - The net asset values of most interest - rate and credit bond funds rebounded in the past two weeks, and the scale of bond and stock funds decreased slightly in October, with a larger decline in stock funds [5][93]. 3. Summary According to the Directory 3.1. Overall Emotion: Bond Market Vitality Index Continued to Decline - As of October 10, the bond market vitality index decreased by 8 pcts to 0% compared with September 26, and the 5D - MA decreased by 18 pcts to 5% [1][11]. - Cooling indicators included the ten - year CDB bond implicit tax rate, 10Y CDB bond active bond trading volume/9 - 10Y CDB bond balance, inter - bank bond market leverage ratio, median duration of medium - and long - term pure bond funds, and 30Y treasury bond turnover rate [13]. 3.2. Institutional Behavior: Before the Holiday, Funds Cautiously Increased Positions; After the Holiday, Trading was Light 3.2.1. Buying and Selling Strength and Bond Type Selection: Funds Mainly Net - Bought Medium - and Short - Term Bonds, and Insurance Switched to Selling - From September 29 to October 10, in the cash bond market, the order of net - buying strength was money market funds > funds > other product types > insurance > wealth management > foreign - funded banks > large banks > others, and the order of net - selling strength was joint - stock banks > city commercial banks > rural financial institutions > securities firms [21]. - The main bond types of various institutions were: large banks focused on 7 - 10Y interest - rate bonds; rural commercial banks focused on credit bonds over 10Y; insurance had no obvious main bond type; funds focused on interest - rate and credit bonds within 1Y; wealth management focused on 3 - 5Y credit bonds; other product types had no obvious main bond type [2][23]. 3.2.2. Trading Portfolio: Durations of Both Credit and Interest - Rate Bond Funds Decreased - As of October 10, the median duration of the full - sample medium - and long - term pure bond funds decreased by 0.07 years compared with September 26. The median durations of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds decreased to 5.10 years, 4.72 years, and 3.69 years respectively. The median durations of high - performing interest - rate and credit bond funds decreased to 6.13 years and 4.27 years respectively [3][36][39]. 3.2.3. Allocation Portfolio: The Large Banks' Buying Strength of Long - Term Bonds at the End of September Did Not Continue - Treasury Bonds and Policy - Financial Bonds: Primary Subscription Demand Differentiated, and Demand for Ultra - Long - Term Bonds Rose - From September 29 to October 10, the weighted average full - field multiples of treasury bonds decreased from 2.85 to 2.57 times, and those of policy - financial bonds rebounded from 2.80 to 3.04 times. The weighted average full - field multiples of 10Y and above treasury bonds and policy - financial bonds increased [54]. - Large Banks: Did Not Continue the Net - Buying Strength of Long - Term Bonds at the End of September - The large banks' net - buying scale of 7 - 10Y old treasury bonds dropped to - 5 to 5 billion yuan from September 30 to October 10, after a significant increase at the end of September [59]. - Rural Commercial Banks: Weak Bond - Buying Strength, Focusing on Long - Term Bonds and Neglecting Short - Term Bonds - As of October 10, the cumulative net - buying scale of rural commercial banks this year was significantly weaker than in previous years, mainly due to the weak net - buying strength of short - term bonds within 1Y. However, the net - buying strength of 7 - 10Y and over 10Y bonds was higher than in previous years [71]. - Insurance: The Acceleration of Government Bond Issuance Helped Insurance Deploy Ultra - Long - Term Bonds - As of October 10, the ratio of this year's cumulative net - buying of cash bonds to cumulative premium income reached 50.09%, and the ratio of this year's cumulative net - buying of cash bonds to the cumulative issuance scale of over 10Y government bonds was 30.13%, both higher than at the end of September last year [78]. - Wealth Management: The Duration in the Secondary Market Declined - Since June, the cumulative net - buying scale of wealth management products has continued to rise. As of October 10, the cumulative net - buying of over 10Y bonds was 1608 billion yuan. From September 29 to October 10, the duration of net - bought cash bonds in the secondary market decreased slightly but remained at a high level since February 23, 2024 [88][90]. 3.3. Asset Management Product Tracking: The Net Asset Values of Most Interest - Rate and Credit Bond Funds Rebounded in the Past Two Weeks - In October, the scales of bond and stock funds decreased slightly month - on - month, with a larger decline in stock funds. The scale of newly established bond funds decreased significantly [5][93]. - In the past two weeks, the net asset values of most credit and interest - rate bond funds rebounded, with a larger increase in credit bond funds. Most interest - rate and credit bond funds had negative returns in the past three months [5][93].