三季报透视银行自营、基金、理财的配债行为

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In Q3 2025, pure - bond funds experienced scale contraction, with a decline in both duration and leverage. The medium - and long - term bond funds were the worst - performing asset management products, and their scale decreased significantly. The leverage ratio of medium - and long - term pure - bond funds reached the lowest level since 2018, and the duration returned to the mid - 2024 level [2][6]. - In the context of falling deposit rates and deposit migration, the expansion speed of the wealth management market accelerated. The scale of cash - like assets in wealth management products increased significantly, and the proportion of hybrid products also rose [2][30]. - In Q3, the non - interest income of banks declined significantly, mainly due to the decrease in bond investment income. Some banks sold bonds to realize floating profits and confirmed floating profits under FVOCI and AC to increase earnings and stabilize the impact of bond market fluctuations [2][38]. 3. Summaries Based on Relevant Catalogs 3.1 Pure - Bond Funds: Scale Contraction, Double Decline in Duration and Leverage - Performance: As of November 5, 2025, the year - to - date returns of different types of funds were as follows: wealth management (1.84%) > short - term pure - bond (1.23%) > money market funds (1.11%) > long - term pure - bond funds (0.82%). The median one - year returns of short - term pure - bond, medium - and long - term pure - bond, and index - type bond funds were 2.17%, 2.61%, and 2.91% respectively, with changes of 4BP, - 31BP, and - 72BP compared to the end of Q2 [2][7]. - Scale: By the end of Q3, the scale of pure - bond funds decreased by 834.4 billion yuan compared to the end of Q2. Index - bond funds had the smallest decline (3% quarter - on - quarter) due to the expansion of products such as credit - bond ETFs, while short - term and medium - and long - term pure - bond funds decreased by 18% and 9% respectively [2][12]. - Product Performance and Position Analysis: As of September 30, 2025, the median maximum drawdown of short - term bond funds was 0.2%, and that of medium - and long - term pure - bond funds was 0.92%. The leverage ratio and duration of bond funds decreased. The median leverage ratio of short - term bond funds dropped from 112.55% at the end of the previous quarter to 108.29%, and the duration decreased from 0.7 years to 0.6 years. For medium - and long - term pure - bond funds, the median leverage ratio fell from 117.44% to 111.61%, and the duration decreased from 3.13 years to 2.28 years [2][15][16]. - Asset Allocation: In September 2025, the proportions of bonds, deposits, reverse repurchase of financial assets, and other assets in pure - bond funds were 96.85%, 1.00%, 1.95%, and 0.19% respectively. Compared with June 2025, the proportion of bonds decreased by 0.91 percentage points, and that of reverse repurchase of financial assets increased by 1.04 percentage points. In terms of bond positions, the positions of various bond types in short - term bond funds decreased, with the largest declines in medium - term notes and financial bonds. In medium - and long - term pure - bond products, most bond positions decreased, except for a slight increase in corporate short - term financing bills, and the largest declines were in policy - bank bonds, financial bonds, and treasury bonds [19][21]. 3.2 Wealth Management: Significant Increase in Cash - like Assets and Obvious Growth of Hybrid Products - Market Scale: As of September 30, 2025, the outstanding scale of wealth management products was 32.13 trillion yuan, a year - on - year increase of 9.42%, and the growth rate was higher than that in the first half of 2025. The scale of wealth management companies was 29.28 trillion yuan, accounting for 91.13% of the total market, with a year - on - year increase of 15.26%, while the scale of bank institutions was 2.85 trillion yuan, a year - on - year decrease of 28.01% [30]. - Product Structure: The proportion of hybrid products increased. As of the end of Q3 2025, the outstanding scale of fixed - income products was 31.21 trillion yuan, accounting for 97.14% of the total outstanding scale of wealth management products, an increase of 0.05 percentage points compared to the same period last year. The outstanding scale of hybrid products was 0.83 trillion yuan, accounting for 2.58%, an increase of 0.03 percentage points compared to the same period last year, and an increase of about 100 billion yuan compared to the end of last year [33]. - Asset Allocation: As of September 30, 2025, the total investment assets of wealth management products were 34.33 trillion yuan, and the leverage ratio was 106.65%, a decrease of 0.84 percentage points compared to the same period last year. The proportions of bonds, cash and bank deposits, and certificates of deposit in total investment assets were 40.4%, 27.5%, and 13.1% respectively. The proportion of cash and bank deposits increased from 24.8% at the end of June 2025 to 27.5% at the end of September, with a net increase of 1.26 trillion yuan, while the proportion of equity - like assets continued to decline, accounting for 2.10% at the end of September 2025, with an absolute scale of 0.72 trillion yuan [36]. 3.3 Bank Self - Operation: Decline in Bond Investment Income and Realization of Floating Profits by Selling Bonds - Income Situation: In Q3, the non - interest income of banks declined significantly, mainly due to the decrease in bond investment income. Among 42 A - share listed banks, 25 banks had a year - on - year decline in net non - interest income, and 31 banks had negative net fair - value change gains, accounting for more than 70% [3][38]. - Bond Investment Account Structure: As of Q3 2025, the scales of FVTPL, FVOCI, and AC accounts were 13.23 trillion yuan, 29.87 trillion yuan, and 58.40 trillion yuan respectively, with increases of 80.4 billion yuan, 1.34 trillion yuan, and 2.59 trillion yuan compared to Q1. The proportions of the three accounts in bond investment were 13.0%, 22.5%, and 62.2% respectively, with changes of - 0.5pct, + 0.2pct, and + 0.1pct compared to Q1. All types of banks reduced their TPL investment proportions [40]. - Profit - Taking Behavior: Some banks significantly reduced their FVAC bond scale, possibly selling some bonds to realize floating profits. In the context of fair - value changes in Q3, some banks confirmed floating profits under FVOCI and AC to increase earnings and stabilize the impact of bond market fluctuations [42].