机构行为周度跟踪 20260315：机构行为的视角，10Y 国开利差何时能压下去-20260318

Group 1 - The report indicates that the 10Y National Development Bank (NDB) yield spread is currently under pressure due to large banks selling, unstable support from smaller banks, and strong trading behavior from funds [1][7][10] - Since the beginning of the year (January 4 to March 13), the bond market has shown some recovery, with the 10Y government bond yield decreasing from 1.8427% to 1.8143% (-2.84bp) and the 10Y NDB yield falling from 1.9862% to 1.9646% (-2.16bp), yet the yield spread has widened from 14.35bp to 15.03bp (+0.68bp) [7][10] - The behavior of large banks has been characterized by a preference for buying government bonds while selling policy financial bonds, resulting in a net purchase of approximately 246.5 billion yuan in government bonds and a net sale of about 139.2 billion yuan in policy financial bonds [10][14] Group 2 - The report highlights that the funds have shown a slight net sell of about 34 million yuan in 7-10Y policy financial bonds and a significant net sell of approximately 481 million yuan in 7-10Y government bonds, indicating a lack of sustained allocation to long-term interest rate bonds [14][15] - The report notes that the incremental funds have been concentrated in credit bonds, with net purchases of about 213.2 billion yuan in 3-5Y "other" bonds and approximately 148.5 billion yuan in 1-3Y medium-term notes, reflecting a defensive strategy overall [14][15] - The historical spread data shows that the yield spread has significantly retreated from its peak, indicating that the overall spread may be entering a "repairable" range, although the 10Y spread remains relatively high and sensitive to marginal forces [18][21] Group 3 - In the primary market, the report mentions that the marginal multiples for policy financial bonds have decreased, with the overall multiples and the spread between primary and secondary markets showing differentiation [30][31] - The report indicates that in the secondary market, large banks and smaller banks have shifted to increasing their allocations, while funds and securities companies have predominantly reduced their allocations [41][42] - The report also notes that the trading activity in the current bond market has increased, with significant buying from smaller banks in the long-end and super long-end bonds, while large banks and securities companies have been major sellers [41][42]