Report Industry Investment Rating No relevant content provided. Core View of the Report Since 2024, the bond trading attributes of joint-stock banks, which were "neglected" in traditional institutional behavior research, have expanded, and high-frequency operations of interest rate bands can be observed. Based on their behavior, corresponding buy and sell timing signals can be constructed, and the follow-up strategy outperforms the benchmark return (10Y Treasury bond) by about 30% [2][4]. Summary by Relevant Catalog 1. Why Do We Focus on the Trading Behavior of Joint-Stock Banks? 1.1 A Consensus on the Institutional Behavior of Joint-Stock Banks in the Market Joint-stock banks are the last "puzzle piece" in institutional behavior research. The market consensus on the institutional behavior of joint-stock banks is that they usually conduct distribution in the secondary market. Joint-stock banks and city commercial banks typically have an obvious nature of "primary subscription and secondary distribution," so they generally show a net selling feature in secondary cash bond transactions. Historically, joint-stock banks have shown a net selling state in nearly 90% of the time, similar to city commercial banks [11]. 1.2 New Features of the Institutional Behavior of Joint-Stock Banks Since 2024 Since 2024, joint-stock banks have started to increase interest rate band trading. On the one hand, as the Ministry of Finance has increased the issuance scale of single Treasury bonds, the stock scale of active bonds with key tenors (such as 10Y) has reached a new high, reducing the impact of distribution from new bond issuance. On the other hand, since 2024, the overall liability side of the banking system has been squeezed, making them more reliant on the income from bond investment business on the asset side. Therefore, the trading volume of joint-stock banks for old 10-year Treasury bonds has increased significantly, and they are no longer in the previous mode of distribution and passive buying during bond market corrections [2][14]. 2. Judgment of Interest Rate Timing Signals Based on the Trading Behavior of Joint-Stock Banks 2.1 Construction of Low-Frequency Interest Rate Timing Signals Based on the trading behavior of joint-stock banks, a cash bond follow-up strategy signal is constructed. By studying the trading behavior of joint-stock banks on long-term bonds and eliminating the impact of the latest bond distribution, in the past year, the long-term interest rate band trading return following joint-stock banks under the 10MA caliber has exceeded the benchmark by nearly 30%. From September last year to late June this year, the 10-year Treasury bond yield declined by 49bp, while the interest rate band return following joint-stock banks was 62bp, with an excess return of 13bp over the benchmark and an overall excess return rate of 26%. Moreover, if the continuous days of the signal triggered by joint-stock banks exceed 5 trading days, the winning rate of their buying signals in the past year was 100%, capturing a total band of 59bp, and the winning rate of selling signals was 60%, avoiding a capital loss of 15bp [2][18][21]. 2.2 Construction of Medium-Frequency and Other Timing Signals Two other perspectives can be used to observe the interest rate timing signals of the trading behavior of joint-stock banks. First, observe the higher-frequency 5MA caliber buying signals. Since 2025 is a year of strong fiscal efforts, there may still be distribution impacts under the old bond caliber at some time points, so the buying signals of joint-stock banks may be more meaningful than the selling signals. Second, observe the extreme value of single-day demand. If it exceeds a certain threshold, it can be regarded as an overbought or oversold signal, and the historical backtesting shows a relatively high winning rate [3][24][27].