2025 年 11 月 10 日 固定收益专题研究 研究所： 证券分析师： 颜子琦 S0350525090002 yanzq@ghzq.com.cn 证券分析师： 洪子彦 S0350525100001 hongzy@ghzq.com.cn [Table_Title] 基金拉久期的背后 固定收益专题研究 最近一年走势 相关报告 《固定收益点评：美元流动性危机来了吗？*颜子 琦，洪子彦》——2025-11-05 洪子彦》——2025-11-02 《债券研究周报：同业存单已到配置时机*颜子琦， 洪子彦》——2025-10-26 《债券研究周报：近期谁在买 30 年国债？*颜子琦， 洪子彦》——2025-10-19 《债券研究周报：多少固收买卖方看多这波债市行 情？*颜子琦，洪子彦》——2025-10-14 本篇报告解决了以下核心问题：1、近期债券市场行情复盘；2、近期机 构行为变化；3、后续债市行情展望。 投资要点: 国海证券研究所 请务必阅读正文后免责条款部分 近期债基久期有所拉升。从我们统计的中长期债基久期来看，11 月 7 日中位数（含杠杆）较 11 月 3 日上升 0.14 年，较此前明显拉升。 《债券研究 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market yield curve remained steep this week, with the 10Y maturity yield fluctuating around 1.85% and the 1Y Treasury bond maturity yield at 1.40%. The term spreads of 30Y - 10Y and 10Y CDB - 10Y Treasury bonds widened, and the curve steepening continued [3][11]. - There are two "certainties" in the current bond market. First, driven by large - banks' continuous buying of short - term bonds, the short - end is more stable, and the expectation of the central bank buying bonds in the fourth quarter is rising. Second, the anti - decline of credit bonds is expected to continue under the loose funds [3][12]. 3. Summary According to the Directory 3.1 This Week's Institutional Behavior Review: Two "Certainties" in the Bond Market 3.1.1 Yield Curve - Treasury bond yields generally increased. The 1Y yield decreased by 1bp, while the 3Y, 5Y, 7Y, 10Y, 15Y, and 30Y yields increased by about 1bp, 1bp, 5bp, 1bp, 2bp, and 2bp respectively. For CDB bonds, short - end yields increased, and mid - end yields decreased. The 1Y yield increased by 5bp, the 3Y yield increased by 4bp, and the 5Y yield decreased by about 3bp [14]. 3.1.2 Term Spreads - For Treasury bonds, the interest rate spread inversion deepened, and the long - end spreads narrowed. For CDB bonds, the interest rate spread inversion deepened, and the short - end spreads narrowed [16][17]. 3.2 Bond Market Leverage and Funding Situation 3.2.1 Leverage Ratio - From September 15 to September 19, 2025, the leverage ratio decreased weekly. As of September 19, it was about 106.91%, down 0.12pct from last Friday and 0.17pct from Monday [21]. 3.2.2 Average Daily Turnover of Pledged Repurchase - From September 15 to September 19, the average daily turnover of pledged repurchase was about 7.2 trillion yuan, a decrease of 0.33 trillion yuan from last week. The average daily overnight turnover accounted for 87.64%, a decrease of 0.79pct [27][28]. 3.2.3 Funding Situation - From September 15 to September 19, bank - related funds' net lending first decreased and then increased. The main funds' borrowers were securities firms, and money market funds' net lending increased fluctuantly. DR007 and R007 first increased and then decreased. 1YFR007 and 5YFR007 increased fluctuantly [32][33]. 3.3 Duration of Medium - and Long - Term Bond Funds 3.3.1 Median Duration - This week (September 15 - September 19), the median duration of medium - and long - term bond funds was 2.68 years (de - leveraged) and 2.8 years (leveraged). On September 19, the de - leveraged median duration decreased by 0.01 years compared with last Friday, and the leveraged median duration increased by 0.02 years [44]. 3.3.2 Duration by Bond Fund Type - The median duration of interest - rate bond funds (leveraged) decreased to 3.55 years, down 0.12 years from last Friday. The median duration of credit bond funds (leveraged) increased to 2.51 years, up 0.03 years from last Friday [47]. 3.4 Comparison of Category Strategies 3.4.1 Sino - US Yield Spread - The short - end spread widened, and the medium - and long - end spread narrowed. The 1Y, 2Y, and 3Y spreads widened by 5bp, 5bp, and about 3bp respectively, while the 5Y, 7Y, 10Y, and 30Y spreads narrowed [52]. 3.4.2 Implied Tax Rate - The short - end implied tax rate widened, and the mid - end narrowed. As of September 19, the 1Y, 3Y, and 30Y spreads of CDB - Treasury bonds widened, while the 5Y, 7Y, 10Y, and 15Y spreads narrowed [53]. 3.5 Changes in Bond Lending Balance - On September 19, the lending concentration of the second - most active 10Y CDB bond increased, while that of the active 10Y Treasury bond, the second - most active 10Y Treasury bond, the active 10Y CDB bond, and the active 30Y Treasury bond decreased. Except for large banks, all other institutions saw a decline [54].

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report - The pricing power of funds in the bond market has further increased, and there are still short - term long - trading opportunities. The high correlation between funds and interest rate trends has been further strengthened this year, and low interest rate fluctuations imply the enhancement of funds' pricing power in the bond market. Some "unexplained" interest rate increases may be due to the lack of bond - receiving institutions. The impact of fund institutional behavior on interest rate fluctuations may further expand, and short - term redemption pressure is controllable [2][11][15] 3. Summary According to the Directory 3.1 This Week's Institutional Behavior Review - **Correlation between funds and interest rates**: The high correlation between funds and interest rate trends is not new. Since 2024, the behavior of funds and interest rate trends have shown high correlation, and this year, the low - level fluctuation of interest rates has implied the further improvement of funds' pricing power in the bond market, which may be related to bank wealth management outsourcing [2][11][12] - **"Unexplained" interest rate increases**: This phenomenon may be related to the lack of bond - receiving institutions. Insurance institutions have reduced their allocation of national bonds since 2024, and rural commercial banks' intention to buy more as the interest rate adjusts is gradually decreasing [15] 3.2 Yield Curve - **Treasury bonds**: Short - term yields increased, while medium - and long - term yields decreased. The 1Y yield increased by 3bp, the 3Y yield increased by 1bp, the 5Y yield decreased by 2bp, the 7Y yield decreased by 1bp, the 10Y yield decreased by 1bp, the 15Y yield increased by 3bp, and the 30Y yield decreased by 3bp [17] - **China Development Bank bonds**: Yields decreased overall. The 1Y yield increased by 1bp, the 3Y yield decreased by 1bp, the 5Y yield decreased by about 2bp, the 7Y yield decreased by 2bp, the 10Y yield decreased by about 1bp, the 15Y yield decreased by 2bp, and the 30Y yield decreased by 1bp [17] 3.3 Term Spread - **Treasury bonds**: The interest spread increased, and the short - term spread narrowed while the long - term spread was differentiated. The 1Y - DR001 interest spread remained flat overall, and the 1Y - DR007 interest spread increased by 10bp [20] - **China Development Bank bonds**: The interest spread increased, and the short - term spread narrowed while the long - term spread was differentiated. The 1Y - DR001 interest spread increased by 2bp, and the 1Y - DR007 interest spread increased by about 8bp [22] 3.4 Bond Market Leverage and Funding Situation - **Leverage ratio**: It decreased to 107.14%. From September 1st to September 5th, 2025, the leverage ratio fluctuated and increased within the week. As of September 5th, it was about 107.14%, up 0.30pct from last Friday and 0.07pct from Monday [25] - **Average daily trading volume of pledged repurchase**: From September 1st to September 5th, the average daily trading volume of pledged repurchase was about 7.3 trillion yuan, a decrease of 0.24 trillion yuan compared with last week. The average daily trading volume of overnight pledged repurchase was 7.6 trillion yuan, a decrease of 0.43 trillion yuan month - on - month. The average overnight trading volume accounted for 88.35%, an increase of 2.89pct month - on - month [28][33] - **Funding situation**: Bank - based fund outflows first increased and then decreased. The main fund inflow party was funds, and the outflows of money market funds first decreased and then increased. DR007 and R007 fluctuated and decreased [34] 3.5 Duration of Medium - and Long - Term Bond Funds - **Median duration**: The median duration of medium - and long - term bond funds decreased. As of September 5th, the median duration (de - leveraged) was 2.77 years, a decrease of 0.04 years from last Friday; the median duration (including leverage) was 2.95 years, a decrease of 0.16 years from last Friday [45] - **Duration of different types of bond funds**: The median duration (including leverage) of interest - rate bond funds decreased to 3.75 years, a decrease of 0.16 years from last Friday; the median duration (including leverage) of credit bond funds decreased to 2.72 years, a decrease of 0.12 years from last Friday [51] 3.6 Category Strategy Comparison - **Sino - US interest rate spread**: It widened overall. The 1Y spread widened by 23bp, the 2Y spread widened by about 12bp, the 3Y spread widened by 13bp, the 5Y spread widened by 8bp, the 7Y spread widened by 11bp, the 10Y spread widened by 11bp, and the 30Y spread widened by 7bp [55] - **Implied tax rate**: The short - term spread narrowed, and the long - term spread was differentiated. As of September 5th, the 1Y spread between China Development Bank bonds and treasury bonds narrowed by about 1bp, the 3Y spread narrowed by 2bp, the 5Y spread changed by less than 1bp, the 7Y spread narrowed by 1bp, the 10Y spread widened by 1bp, the 15Y spread narrowed by 5bp, and the 30Y spread widened by 2bp [56] 3.7 Bond Lending Balance Changes - On September 5th, the lending concentration of active 10Y treasury bonds, active 10Y China Development Bank bonds, and active 30Y treasury bonds increased; the lending concentration of the second - active 10Y China Development Bank bonds decreased, and the lending concentration of the second - active 10Y treasury bonds remained unchanged. In terms of institutions, the lending of large - scale banks and other institutions decreased, while that of small - and medium - sized banks and securities firms increased [57]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Short - term liquidity depends on central bank's injections. Investors can maintain duration and seize opportunities from falling interest rates [2]. - In mid - July, there are both positive and negative factors for the liquidity. The key variable is the central bank's roll - over of outright reverse repos. DR007 is likely to fluctuate between 1.40% - 1.50%. There are few negative factors for the bond market. If there is a tightening trend in liquidity, a further decline in large banks' lending volume should be observed first [3]. 3. Summary According to Related Catalogs 3.1 This Week's Institutional Behavior Review: Is There a Tightening Trend in Liquidity? - **Yield Curve**: Yields of treasury bonds and China Development Bank bonds generally increased. For treasury bonds, 1Y yield rose 3bp, 3Y and 5Y rose 4bp, 7Y rose 3bp, 10Y rose about 3bp, 15Y and 30Y rose 2bp. For China Development Bank bonds, 1Y yield rose about 4bp, 3Y rose 4bp, 5Y rose about 6bp, 7Y and 10Y rose 3bp, 15Y rose 2bp, and 30Y changed less than 1bp [13]. - **Term Spread**: The spread between treasury bonds and China Development Bank bonds increased. For treasury bonds, the short - term spread narrowed and the long - term spread widened. For China Development Bank bonds, the short - term spread was divided, and the medium - and long - term spread narrowed [16]. 3.2 Bond Market Leverage and Liquidity - **Leverage Ratio**: It dropped to 107.3%. From July 7th to July 11th, 2025, the leverage ratio decreased continuously during the week. As of July 11th, it was about 107.3%, down 0.69pct from last Friday and 0.58pct from this Monday [20]. - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover of pledged repurchase this week was 8.2 trillion yuan, with an average overnight proportion of 89.57%. From July 7th to July 11th, the average daily turnover was 8.2 trillion yuan, up 0.61 trillion yuan from last week. The average overnight turnover was 7.4 trillion yuan, up 0.55 trillion yuan month - on - month, and the average overnight proportion was 89.57%, down 0.14pct month - on - month [26][27]. - **Liquidity**: Banks' lending volume continued to decline. From July 7th to July 11th, the lending volume of the banking system decreased. On July 11th, large banks and policy banks' net lending was 4.65 trillion yuan; joint - stock banks and urban and rural commercial banks' average daily net lending was 0.66 trillion yuan, and on July 11th, they had a net inflow of 0.91 trillion yuan. The banking system's net lending was 3.74 trillion yuan [31]. 3.3 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: It dropped to 2.87 years. From July 7th to July 11th, the median duration of medium - and long - term bond funds was 2.87 years (de - leveraged) and 3.21 years (leveraged). On July 11th, the median duration (de - leveraged) was 2.87 years, down 0.01 year from last Friday; the median duration (leveraged) was 3.21 years, up 0.04 year from last Friday [45]. - **Duration of Interest - Rate Bond Funds**: It rose to 3.93 years. Among different types of bond funds, the median duration (leveraged) of interest - rate bond funds rose to 3.93 years, up 0.02 year from last Friday; the median duration (leveraged) of credit bond funds rose to 2.98 years, up 0.01 year from last Friday; the median duration (de - leveraged) of interest - rate bond funds was 3.55 years, up 0.09 year from last Friday; the median duration (de - leveraged) of credit bond funds was 2.73 years, down 0.02 year from last Friday [48]. 3.4 Category Strategy Comparison - **China - US Yield Spread**: It generally widened. The 1Y spread widened 3bp, 2Y widened 7bp, 3Y widened 6bp, 5Y widened 5bp, 7Y widened 3bp, 10Y widened about 3bp, and 30Y widened 2bp [52]. - **Implied Tax Rate**: The short - term spread widened, and the long - term spread narrowed. As of July 11th, the spread between China Development Bank bonds and treasury bonds widened 1bp for 1Y, changed less than 1bp for 3Y, widened 2bp for 5Y, widened 1bp for 7Y and 10Y, changed less than 1bp for 15Y, and narrowed 2bp for 30Y [53]. 3.5 Changes in Bond Lending Balance On July 11th, the concentration of lending for active 10Y treasury bonds, active 10Y China Development Bank bonds, second - active 10Y China Development Bank bonds, and active 30Y treasury bonds showed an upward trend, while the concentration of second - active 10Y treasury bonds showed a downward trend. For all institutions, it showed an upward trend [56].