证券研究报告 | 2026年01月12日 基金公司布局：头部基金公司布局领先，2025 年三季度末，嘉实基金、易方 达基金各有 14 只相关产品，招商基金 10 只，平安基金 7 只，博时基金 6 只， 景顺长城基金、泰康基金、海富通基金各 5 只。 配置强度差异：不同基金产品的国债期货配置强度分化明显，差异源于投资 策略、风险承受能力及利率风险判断的不同。部分大规模基金如易方达信用 债的空头配置比例高于市场平均水平；部分小规模基金如华泰保兴开元 3 个 月的合约市值与基金规模占比高达 27.1%，远高于行业整体水平。 存量"负久期"基金特征：当前市场上的"负久期"基金存量较少，且久期 "负"的程度有限，一方面可能因为使用的披露数据存在误差，例如我们用 重仓债券的久期数据作为基金持有现券久期进行测算；另一方面可能因为监 管要求"公募基金参与国债期货交易目的为套期保值"，因此存量"负久期" 基金期货空头持仓多是为了对冲利率风险而非获取额外收益。 固收+系列之十 构建负久期基金——国债期货穿越牛熊 公募基金国债期货参与情况：公募基金参与国债期货市场已形成稳定体量， 国债期货成为其资产配置中重要的利率风险管理工具。 ...

证券研究报告 | 2026年01月12日 固收+系列之十 构建负久期基金——国债期货穿越牛熊 公募基金国债期货参与情况：公募基金参与国债期货市场已形成稳定体量， 国债期货成为其资产配置中重要的利率风险管理工具。2025 年三季度末，持 有国债期货的公募基金产品共 141 只，合计持有 13,068 手合约，其中多单 3992 手（占全市场多单 0.6%），空单 9076 手（占全市场空单 1.4%）。 持仓结构特征：呈现明显的"空头主导"格局。60 只持有国债期货净多头持 仓，79 只持有国债期货净空头持仓。这些基金持有的多头合约市值约 56 亿， 空头合约市值约 110 亿，空头持仓期货市值总体大于多头。 交易策略选择：单一品种空头持仓策略为公募基金主流选择。2025 年三季度， 63.8%的基金仅持有单一期限品种的国债期货合约，其中多头 39 只、空头 51 只，远高于跨品种或跨期持仓基金数量；跨品种、跨期限及两者结合的持仓 基金占比 36.2%。 合约配置倾向：公募基金合约选择高度集中于活跃合约，2025 年三季度， T2512、TS2512、TL2512 三个活跃合约的合计持仓占比超 90%。从多空分 ...

中经记者 郝亚娟 夏欣 上海、北京报道 日前，兴银理财与中银理财成为首批获得银行间市场利率衍生品集中清算业务资质的理财公司，可独立 开展利率互换交易，通过"支付固定利率、收取浮动利率"对冲利率波动风险，增强产品净值稳定性。 资深金融监管政策专家周毅钦接受《中国经营报》记者采访时指出，获得资质后，理财公司可以以独立 主体身份直接进入银行间市场开展利率互换及其他业务，极大增强了业务开展的灵活性。同时，风险管 理能力增强，利率互换能够帮助理财公司通过"支付固定、收取浮动"的方式，对冲利率波动风险。 一位业内人士向记者表示："目前监管机构对此类牌照的发放仍持审慎态度。" 丰富利率风险管理工具 中银理财方面表示，积极参与银行间市场利率衍生品业务是中银理财丰富利率风险管控手段的重要举 措。集中清算利率互换业务的落地，既拓展了理财产品衍生品业务渠道，有利于降低利率波动对产品净 值的影响，提升资产配置灵活度，促进多元化投资策略发展，力争拓宽产品收益空间，同时也进一步丰 富了银行间利率衍生品市场参与主体，有助于构建多层次衍生产品市场体系。 整体来看，银行业理财登记托管中心发布的《中国银行业理财市场季度报告（2025年三季度）》 ...

未来，苏银金租将持续深化与中国外汇交易中心、上海清算所等核心金融基础设施的合作，不断丰富风 险管理工具箱，深挖利率衍生品在支持实体经济、赋能租赁主业中的多元应用场景，以精细化运营提升 核心竞争力，为维护金融市场稳定运行、助力实体经济高质量发展注入更多金融动能。通讯员苏锦时 作为深耕租赁主业的金融机构，苏银金租始终以服务实体经济为根本，以专业创新为驱动，积极响应银 行间市场金融基础设施创新部署，主动探索运用利率风险管理工具优化金融供给。本次交易在中国外汇 交易中心、上海清算所的专业指导与全力支持下，实现了全程线上标准化交易与集中清算，不仅有效降 低了交易对手信用风险，还大幅提升了交易全流程的效率与透明度，为金租行业规范开展利率衍生品业 务树立了标杆范例。 近日，苏银金融租赁公司(以下简称"苏银金租")在银行间市场成功达成金融租赁行业首单人民币利率互 换业务(IRS)，标志着苏银金租在利率风险管理领域实现新突破，金融市场业务风险管理能力迈上新台 阶。 ...

来源：上海清算所 2025年12月19日，上海清算所举办银行间利率衍生品业务交流会，中国外汇交易中心代表以及来自国有 银行、股份制银行、城商行、外资银行、证券公司、银行理财子公司及保险资管等21家市场机构的30余 位业务专家参会。 会上，上海清算所业务一部回顾了今年银行间利率衍生品清算业务的发展和运行情况。一是拓展银行间 利率衍生品标的、期限和配套机制，丰富利率风险管理工具箱。先后上线3、7年期国开标准债券远期实 物交割合约和1年期同业存单标准利率互换合约的集中清算业务，拓展利率互换集中清算期限至最长30 年。持续优化配套功能，全力推进利率衍生品清算系统升级。二是发挥中央对手清算优势，扎实开展市 场培育，帮助各类型金融机构筑牢风险防控底线。紧密联系人民银行分支机构开展中央对手清算助力金 融机构风险管理等主题的市场培育，推动更广泛参与者运用简单透明的银行间利率衍生品管理风险。三 是立足国际化发展战略，支持金融高水平开放。"互换通"拓展挂钩LPR标的利率互换集中清算，支持新 增3家报价商展业，引入中银香港成为上海清算所首家境外清算会员直接开展银行间利率衍生品业务。 截至2025年11月，银行间利率衍生品业务集中清 ...

Summary of China Life Insurance Conference Call Company Overview - **Company**: China Life Insurance - **Industry**: Insurance Key Points and Arguments Market and Economic Outlook - China Life expects interest rates to fluctuate within historical low ranges in 2026, with upward potential due to anti-involution policies and consumption-boosting strategies [2][4] - The company anticipates a decline in speculative buying demand for long-term bonds, suggesting a potential upward movement in interest rates, albeit with a complex process [2][4] - The stock market outlook remains positive in the long term, with a focus on structural opportunities rather than significant recovery chances [2][4] Investment Strategy - China Life maintains a neutral yet flexible strategy in bond allocation, adjusting based on market supply and interest rate trends [2][5] - As of Q3, public market equity holdings account for approximately 16% of the portfolio, with plans to optimize allocation based on regulatory policies and market demands [2][5] - The effective duration gap is under two years, one of the lowest in the industry, indicating a conservative approach to interest rate risk [2][6] Product and Channel Performance - The company views insurance products as a favorable asset allocation choice amid current interest rate declines and consumer savings shifts [3][20] - The dividend insurance channel is positioned as a strategic support, showing significantly higher growth compared to individual insurance, with expectations for continued high growth [3][27] - China Life plans to enhance the proportion of FVOCI (Fair Value Through Other Comprehensive Income) assets to mitigate stock price volatility impacts on investment returns [2][11] Regulatory and Financial Adjustments - Adjustments to solvency factors have minimal impact on equity allocation, as the company maintains sufficient solvency without significant reclassification [7] - The company does not foresee frequent adjustments to actuarial assumptions, with a low probability of changes for 2026, which could lead to improved margins [13][14] - The average margin for overall business in 2026 is expected to improve through cost reduction and efficiency measures [14][15] Future Business Projections - The pre-sale situation for 2026 is promising, attributed to early preparations and product design adjustments, alongside favorable capital market conditions [16][17] - The company is optimistic about the first quarter of 2026, aiming for good results in premium scale and product types [17] - The impact of expanded medical insurance directories on commercial health insurance sales is expected to be limited in the short term but beneficial in the long run [24] Risk Management and Product Differentiation - Dividend insurance has a slightly higher allocation in equity assets compared to traditional insurance due to differing liability characteristics [8][10] - The company is prepared to launch dividend-type critical illness insurance products, pending regulatory guidelines [23] Conclusion - China Life Insurance is strategically positioned to navigate the current economic landscape with a focus on flexible investment strategies, regulatory compliance, and product innovation, aiming for sustainable growth and improved profitability in the coming years [2][3][4][5][16][20]

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The banking wealth management industry has achieved a significant breakthrough in interest rate risk management, allowing wealth management companies to independently participate in the interbank market for interest rate derivatives, enhancing product net value stability [4][12][13] - Wealth management companies are increasingly active in IPO allocations, with notable participation in high-tech sectors, reflecting a strategic shift towards equity investments to enhance returns in a low-interest-rate environment [14][15][16] - The introduction of the "Zhaoyin Wealth Management ETF Covered Call Strategy Index" indicates a trend towards strategy-based and tool-oriented transformations within wealth management firms, aiming to provide transparent benchmarks for evaluating performance [17][18] Regulatory and Industry Dynamics - Shanghai Clearing House has facilitated the entry of Xinyin Wealth Management and Zhongyin Wealth Management as the first batch of wealth management companies to obtain qualifications for centralized clearing of interbank market interest rate derivatives, marking a shift to independent participation [4][12] - The restructuring of the relationship between wealth management companies and their parent banks has transformed wealth management companies into independent decision-making entities in the interbank interest rate derivatives market [13] Peer Innovation Dynamics - Ningyin Wealth Management and Xinyin Wealth Management have successfully allocated shares in the IPO of Muxi Co., with a total of 42,300 shares across 10 wealth management products [14] - The launch of the "Zhaoyin Wealth Management ETF Covered Call Strategy Index" aims to present the risk-return characteristics of covered call strategies in a standardized manner, enhancing transparency for investors [17][18] Yield Performance - Cash management products recorded an annualized yield of 1.27% for the week of December 8-14, 2025, a decrease of 1 basis point from the previous week, while money market funds saw a slight increase to 1.17% [19][20] - The overall yield in the bond market has shown fluctuations, with the 10-year government bond yield rising by 1 basis point to 1.84% during the same period [22][23] Net Value Tracking - The net value of banking wealth management products decreased to 2.64%, down 0.38 percentage points from the previous week, indicating a potential pressure on the liability side if the net value exceeds 5% [30][36]

分析师：蔡梦苑 登记编号：S0890521120001 分析师：周佳卉 登记编号：S0890525040001 投资要点 监管和行业动态： 1、 上海清算所陆续推动兴银理财与中银理财成为首批获得银行间市场利率 衍生品集中清算业务资质的理财公司，标志着此类机构正式以独立主体身份进入该市场，打破 了此前只能通过母行间接参与的局面，为理财行业通过主动利率风险管理来增强产品净值稳定 性奠定了坚实基础。 同业创新动态： 1、宁银理财、兴银理财再度获配"沐曦股份"新股。据沐曦股份12月8日披露的 网下初步配售结果，两家理财公司旗下10只理财产品合计获配4.23万股。2、招银理财近期与中 诚信指数联合推出了"中诚信-招银理财ETF备兑策略指数系列"，具体包含挂钩上证50ETF与沪 深300ETF的两只备兑策略指数。该指数旨在以标准化、可回溯的方式呈现备兑期权策略的风险 收益特征，为市场提供评估备兑策略表现的透明化基准，也为后续相关策略产品的创设奠定了 基础。 收益率表现： 上周（2025.12.8-2025.12.14，下同）现金管理类产品近7日年化收益率录得 1.27%，环比下降1BP；同期货币型基金近7日年化收益率报1 ...

国家金融监督管理总局副局长肖远企发表主题演讲，他提出当前环球保险业面临的几项挑战：利率风险管理、 气候变化、人工智能应用、保险公司商业模式以及与非银行金融资产关联性日益提高。他认为，利率双向波动 成为常态，调整存量资产结构相对容易，负债的调整则困难得多。 肖远企认为，首先，管理利率双向波动是保险公司应遵循的基本逻辑。从历史上看，基于经济增长与通货膨胀 等综合因素权衡的利率水平总是在不断调整变化之中，不存在一个与长久期保险资产负债完全匹配的、长期单 边下行或单边上行的利率，利率双向波动是基本运行规律。关于这一点，保险行业必须保持清醒。 今日（12月8日），由香港保险业监管局举办的第八届"亚洲保险论坛"在香港举办。 他指出，2022年以前的近20年，多数国家和地区长期处于低利率环境，一些经济体甚至出现零利率负利率。国 际金融界普遍认为利率下行是一个长期趋势，因此，一些保险公司倾向于在利率单边走向的风险管理逻辑下配 置资产和负债。但2022年以来，美联储为应对日益上升的通货膨胀，在较短时间内大幅提高联邦基金利率，从 0%—0.25%经11次提高到5.25%—5.5%区间。其他全球主要经济体和一些发展中国家利率也保持 ...

Core Insights - The recent development exchange meeting for interbank RMB derivatives aims to enhance the cultivation of the interbank derivatives market and promote the rational use of RMB derivatives by financial institutions to manage risks [1][2] Group 1: Market Development - The interbank RMB derivatives market has experienced rapid growth in recent years, with a continuous expansion of product offerings and an increase in market scale and participating institutions [2] - The market plays an increasingly important role in serving market risk management and promoting reasonable pricing in the bond market [2] Group 2: Institutional Collaboration - Shanghai Clearing House, as the only central counterparty clearing institution in the interbank market, collaborates with the People's Bank of China to establish a policy implementation coordination mechanism to promote high-quality development of the interbank RMB derivatives market [2] Group 3: Conference Highlights - The conference focused on the development of the interbank RMB derivatives market, with discussions on credit derivatives, interest rate derivatives, and the central counterparty clearing mechanism [1] - Representatives from active market institutions shared experiences on credit risk mitigation tools and interest rate risk management [1]