Tianfeng Securities·2025-10-26 11:41Report Industry Investment Rating No relevant content provided. Core Viewpoints - This week, the trading behavior of various institutions was generally subdued. Only large banks showed a firm willingness to buy interest rate bonds with maturities of less than 3Y and 5 - 7Y, while funds were keen on buying credit bonds with maturities of less than 3Y. Large banks' cumulative net purchase of interest rate bonds reached 141.4 billion yuan this week, the highest weekly net purchase scale in the past year. Funds' net purchase of credit bonds was 3.4 billion yuan, the third - highest since August [10]. - Looking ahead, attention should be focused on the recovery of allocation power. For banks, the easing of government bond supply pressure in the fourth quarter may boost large banks' purchasing power. For insurance companies, after the reduction of product predetermined interest rates, the slowdown of liability - side expansion may be a long - term trend, and the "rush to allocate" situation in previous years may not be repeated in the fourth quarter [10]. Summary by Directory 1. Overall Sentiment: Bond Market Vitality Index Declined Slightly - The bond market vitality index was compiled based on the historical quantile levels of bond market leverage ratio, turnover rate, bond fund duration, and implied tax rate of China Development Bank bonds since 2022 and their correlation coefficients with bond market trends. As of October 24, the bond market vitality index dropped 4 pcts to 15% compared with October 17, and the 5D - MA dropped 1 pct to 24% [11]. - Indicators of rising bond market vitality included the implied tax rate of 10 - year China Development Bank bonds (inverse) and the excess level of the inter - bank bond market leverage ratio compared with the average of the past four years. Indicators of declining vitality included the trading volume of active 10Y China Development Bank bonds / the balance of 9 - 10Y China Development Bank bonds, the turnover rate of 30Y treasury bonds, and the median duration of medium - and long - term pure bond funds [13][14]. 2. Institutional Behavior: Current Institutional Behavior is Generally Subdued, Pay Attention to Allocation Power in the Future 2.1. Buying and Selling Strength and Bond Type Selection: Large Banks Continuously Buy Short - Term Bonds, Funds Focus on Credit Bonds - In the current bond market, the order of net buying strength was money market funds > funds > large banks > wealth management > securities firms > others > insurance > other product types > foreign banks, and the order of net selling strength was joint - stock banks > city commercial banks > rural financial institutions. For ultra - long - term bonds (bonds with a maturity of more than 15Y), the order of net buying strength was insurance > other product types > funds > wealth management > others, and the order of net selling strength was large banks > city commercial banks > joint - stock banks > rural commercial banks > securities firms > foreign banks [22]. - On different trading days from October 20 to 24, the buying and selling behaviors of various institutions varied. For example, on October 20, when the bond market fell across the board, large banks mainly bought interest rate bonds with maturities of less than 1Y, and funds mainly bought 7 - 10Y interest rate bonds, 1 - 3Y credit bonds, etc. [22][23]. - Based on the net purchase volume of bonds and historical quantiles, the main bond types of various institutions were as follows: large banks focused on interest rate bonds with maturities of less than 1Y, 1 - 3Y, and 5 - 7Y; rural commercial banks focused on other bonds with maturities of 3 - 5Y; insurance focused on 1 - 3Y credit bonds; funds focused on 1 - 3Y credit bonds; wealth management focused on interest rate bonds with maturities of less than 1Y and 1 - 3Y; other product types focused on credit bonds with maturities of less than 1Y [28]. 2.2. Trading Portfolio: The Durations of Credit and Interest Rate Bond Funds Continued to Decline, while the Durations of High - Performing Bond Funds Stabilized - As of October 24, the mean and median durations of the full - sample medium - and long - term pure bond funds decreased by 0.12 years and 0.11 years respectively compared with October 17. Among them, the median durations of pure interest rate bond funds, interest rate bond funds, and credit bond funds decreased by 0.19 years, 0.17 years, and 0.08 years respectively. The median durations of high - performing interest rate bond funds and credit bond funds increased by 0.00 years and 0.05 years respectively [38][42]. 2.3. Allocation Portfolio: Large Banks Concentrated on Buying Interest Rate Bonds with Maturities of Less than 3Y - Differentiated Primary Subscription Demand for Treasury Bonds and Policy - Financial Bonds, and Differentiated Demand for Ultra - Long - Term Bonds: This week, the weighted average full - subscription multiples of treasury bonds and policy - financial bonds changed. The weighted average full - subscription multiples of 10Y and above treasury bonds and policy - financial bonds also showed different trends [56]. - Large Banks: Constraints on Bond Allocation May Ease: In the fourth quarter, the supply pressure of ultra - long - term bonds is expected to be lower than that in the second and third quarters, and interest rate risk indicators are mostly assessed at the end of the month or quarter. Therefore, the constraints on large banks' bond allocation may ease. In terms of short - term treasury bond trading, large banks' net buying of 1Y and below treasury bonds has been higher than that of the same period last year since June, and the cumulative net buying of 1 - 3Y treasury bonds as of October 24 has reached 845.3 billion yuan [63]. - Rural Commercial Banks: Weak Bond - Buying Power, Emphasizing Long - Term Bonds over Short - Term Bonds: This year, the cumulative net purchase of bonds by rural commercial banks has been significantly weaker than in previous years, mainly due to the weak net purchase of short - term bonds with maturities of less than 1Y. However, the net purchase of 7 - 10Y and 10Y + bonds has been significantly higher than in previous years [76]. - Insurance: The Acceleration of Government Bond Issuance Helps Insurance Deploy Ultra - Long - Term Bonds: This year, the net purchase of bonds by insurance companies has been significantly higher than in previous years, mainly due to the strong purchase of ultra - long - term bonds with maturities of more than 10Y. As of October 24, the ratio of cumulative net bond purchases to cumulative premium income and the ratio of cumulative net bond purchases to the cumulative issuance of 10Y + government bonds were both higher than those at the end of October last year [85]. - Wealth Management: Extending Duration in the Secondary Market: Since June, the cumulative net purchase of bonds by wealth management products has continued to rise, significantly higher than the levels of the past three years. As of October 24, the cumulative net purchase of 10Y + bonds by wealth management products has reached 16.59 billion yuan [93]. 3. Asset Management Product Tracking: Credit Bond Funds Performed Better in the Past Week - Since October, the scale of bond funds and equity funds has changed little. This week, 1.952 billion yuan of new bond funds were established, at a historically low level [95][96]. - In terms of bond fund performance, the net values of most interest rate bond funds declined in the past week, while credit bond funds performed better. The median annualized returns of pure interest rate bond funds, interest rate bond funds, and credit bond funds in the past week were - 2.51%, - 1.96%, and 2.79% respectively, and most credit bond funds had positive returns in the past three months [96].