证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2026 年 01 月 09 日 公募债基如何构建负久期 ——纯债多策略研究系列 核心观点 "基金合同投资范围允许"、"监管制度允许"和"交易便利性"是公募债基使用衍 生品构建负久期组合的三大考量因素，国债期货是当前最普遍使用、且最为便利的场 内负久期工具。通过研究海外经典的负久期公募基金产品（特别是 HYND（高收益负 久期基金）），叠加 2026 年中国债券收益率曲线的预期是"短端平稳、长端上行"的 陡峭化格局，我们认为负久期基金应进入研究视野。 ❑ 公募债基研究负久期组合的现实意义 当前国内债券市场正处于利率结构分化与波动加剧的阶段，市场呈现"短稳长 跌"的特征，这为基金公司传统债券投资带来了一定挑战。从资金面与利率表 现来看，短期市场流动性维持均衡宽松态势，隔夜及 7 天期资金利率运行平稳， 但超长端利率债收益率呈上行趋势，30 年期与 10 年期国债期限利差有所走扩， 收益率曲线呈现陡峭化格局。 分析师：胡建文 执业证书号：S1230525080012 hujianwen@stocke.com.cn 市场环境的变化与传统策 ...

11月，央行连续九个月加量续作MLF，资金面合理充裕。11月，央行维持积极的操作，连续四个月通过买断式逆回购和MLF净投放6000亿元中长期资金， 全月公开市场整体净投放1738亿元。具体来看，11月，央行MLF提量续做10000亿元、净投放1000亿元，为连续第九个月加量续作；买断式逆回购投放 15000亿元、净投放5000亿元；国债买卖净投放500亿元；逆回购净回笼5562亿元；国库现金定存净投放800亿元。11月资金面整体延续了合理充裕的格局， 中下旬受政府债券集中发行缴款的影响，流动性一度边际收紧，月末在央行精准有力的呵护下重回平稳。 主要回购利率小幅上行。DR001、R001月度加权均值分别环比上行3BP、上行5BP至1.37%和1.43%；DR007、R007月度加权均值分别环比持平于1.47%、 1.51%。全月DR007最低值1.413%、最高值1.5239%、中位数1.4688%；波动幅度为11个基点，环比减少8个基点。具体看，月初政府债发行量和银行存单到 期量较小，OMO大额净回笼，但央行等量续作3个月7000亿元买断式逆回购，资金面保持平稳。月中在缴税走款、政府债集中缴款、存单大量到期等 ...

Core Viewpoint - The announcement by the trading association aims to standardize the signing process of main agreements for non-legal person products, enhancing the management efficiency of these products in the interbank market [1]. Group 1: Guidelines Overview - The newly released "Guidelines for Non-Legal Person Product Managers Signing Main Agreements in the Interbank Market" is effective immediately [1]. - Non-legal person product managers can now choose to sign main agreements either in a listed or summarized manner through the NAFMII investor filing service system [1]. Group 2: Applicability and Compliance - The guidelines apply to financial institutions acting as asset managers for non-legal person products, covering main agreements related to bond repurchase, bond lending, and financial derivatives [1]. - Asset managers must sign separate main agreements for asset management and proprietary business, ensuring independence of rights and obligations among different products and between products and the institution [1]. Group 3: Obligations and Risk Management - Managers cannot refuse to fulfill obligations under the main agreement and its supplementary agreements based on agreements with third parties such as clients or investors [1]. - Managers have the flexibility to define the scope of products they represent when signing the main agreement, based on their risk management needs and negotiations with counterparties [1].

Group 1: Report Overview - The report is a fixed - income weekly report titled "Institutional Behavior of Joint - stock Banks Triggers Bullish Signals - Weekly Report on Bond Market Institutional Behavior (Week 2 of August)" dated August 17, 2025 [1][2] - The chief analyst is Yan Ziqi, and the analyst is Hong Ziyan [2] Group 2: Core Viewpoints - The bond market's bullish space has opened, and institutional behavior indicators have triggered bullish signals. A trading - following strategy based on joint - stock banks' transactions may have a high win - rate [2][3][12] - Although there are short - term bearish factors in the bond market, the medium - and long - term trend remains unchanged, and the bullish space has opened [4][13] Group 3: Weekly Institutional Behavior Review 3.1 General Comment - A rate - timing signal was developed based on joint - stock banks' trading behavior. In the past year, it gave 5 long - lasting large - wave signals with a 100% win - rate on large waves. On August 13, it triggered a bullish signal that lasted for 3 days [3][12] - Big banks were the main buyers of short - and medium - term bonds, while funds and securities firms sold long - term interest - rate bonds, and rural commercial banks, insurance companies, and city commercial banks were the main buyers. The bond market's capital supply remained loose, and the overall spread of the curve widened [4][13] 3.2 Yield Curve - The yields of treasury bonds and China Development Bank bonds generally increased. For treasury bonds, the 1Y yield rose 2bp, 3Y fell 1bp, 5Y rose about 4bp, 7Y rose 5bp, 10Y rose 6bp, 15Y rose about 7bp, and 30Y rose 9bp. For China Development Bank bonds, the 1Y yield rose 3bp, 3Y rose 4bp, 5Y rose 8bp, 7Y rose 7bp, 10Y rose 8bp, 15Y rose 7bp, and 30Y rose 9bp [15] 3.3 Term Spread - For treasury bonds, the interest spread increased, and the term spread generally widened. For China Development Bank bonds, the interest - spread inversion deepened, and the short - end spread widened [16][19] Group 4: Bond Market Leverage and Funding 4.1 Leverage Ratio - The leverage ratio dropped to 107.22%. From August 11 to 15, it first increased and then decreased [20] 4.2 Repurchase Transactions - The average daily trading volume of pledged repurchase this week was 8.2 trillion yuan, with an average overnight proportion of 89.82%. The overnight trading volume increased by 0.03 trillion yuan month - on - month, and the overnight proportion decreased by 0.05pct [26][30] 4.3 Funding - Banks' fund lending first increased and then decreased. Big banks and policy banks' net lending on August 15 was 4.83 trillion yuan. The main fund borrowers were funds. DR007 fluctuated upward, and R007 continued to rise [32] Group 5: Duration of Medium - and Long - Term Bond Funds 5.1 Median Duration - The median duration of medium - and long - term bond funds remained at 2.81 years (de - leveraged) and 3.11 years (leveraged). On August 15, the de - leveraged median duration changed less than 0.01 year, and the leveraged median duration decreased by 0.02 years [44] 5.2 Duration by Bond - Fund Type - The median duration of interest - rate bond funds (leveraged) rose to 3.94 years, an increase of 0.02 years from last Friday. The median duration of credit - bond funds (leveraged) dropped to 2.86 years, a decrease of 0.03 years from last Friday [47] Group 6: Category Strategy Comparison 6.1 Sino - US Spread - The Sino - US treasury bond spreads generally widened. The 1Y spread widened by 2bp, 2Y by about 1bp, 3Y narrowed by 4bp, 5Y widened by about 3bp, 7Y widened by 1bp, 10Y changed less than 1bp, and 30Y widened by 2bp [52] 6.2 Implied Tax Rate - The implied tax rate generally widened. As of August 15, the 1Y spread between China Development Bank bonds and treasury bonds widened by about 2bp, 3Y by 5bp, 5Y by 3bp, 7Y by about 3bp, 10Y by 2bp, 15Y narrowed by 1bp, and 30Y changed less than 1bp [53] Group 7: Bond Lending Balance Changes - On August 15, the lending concentration of active 10Y treasury bonds and active 10Y China Development Bank bonds increased, while that of less - active 10Y treasury bonds, less - active 10Y China Development Bank bonds, and active 30Y treasury bonds decreased. By institution, the lending concentration of securities firms and other institutions increased, while that of big banks and small - and medium - sized banks decreased [54]

Core Viewpoint - The article discusses the rapid growth of the bond lending market in China, highlighting the development of regulations and practices that enhance market efficiency and mechanisms, while also exploring innovative paths for the future of bond lending [1]. Group 1: International Market Overview - The securities lending business originated in the 19th century in the UK and the US, initially as a custodial service to prevent transaction failures [2]. - By the 1970s, the establishment of the US Depository Trust Company (DTC) and the growth of arbitrage trading led to a rapid expansion of securities lending, which became a fundamental mechanism in modern financial markets [2]. - As of the end of 2024, the global securities lending market, including both equity and fixed-income securities, has a total outstanding size of €3.1 trillion, with government bond lending accounting for €1.5 trillion, or 48% of the total [3]. Group 2: Domestic Market Overview - Since its introduction in 2006, China's bond lending business has seen continuous growth in trading volume and market size, driven by economic development and market structure optimization [8]. - As of the end of 2024, the annual settlement volume of China's bond lending business reached ¥38.9 trillion, making it the third-largest trading type after repurchase agreements and cash transactions [9]. - The main participants in the bond lending market are banking financial institutions, with state-owned and joint-stock commercial banks playing significant roles in the early stages, while city commercial banks and securities companies have become key players as the market evolves [10]. Group 3: Business Models and Practices - The international bond lending market primarily features three business models: bilateral bond lending, agency bond lending, and centralized bond lending [15]. - Agency bond lending involves participants using an agent to facilitate transactions, leveraging the agent's client base and information advantages to enhance returns for lenders [15]. - Centralized bond lending pools securities from multiple lenders, allowing for automatic allocation to borrowers based on predetermined parameters, thus improving efficiency [15]. Group 4: Insights and Recommendations - Promoting centralized bond lending is crucial as it enhances risk management, transaction efficiency, and market liquidity, making it easier to implement in the Chinese market compared to agency lending [20]. - The establishment of a high-level infrastructure system is essential for efficient market operation, with a focus on improving transaction and collateral management processes [20]. - There is a need for a diversified bond lending product offering in China to meet various market demands, as the current offerings are relatively limited compared to international markets [20].

Core Insights - The article emphasizes the increasing importance of collateral management in bond financing, highlighting its role in stabilizing financial markets and enhancing resource allocation efficiency [1][4] - The bond financing market has rapidly expanded post-2008 financial crisis, with a shift from interbank lending to bond repos, leading to a significant increase in market scale and product diversity [2][5] - Efficient collateral management is identified as a key driver for the development of the bond financing market, necessitating refined, multi-dimensional management services [3][5] Market Trends - The bond financing market has seen a shift towards tri-party repos and centralized bond lending due to their low costs and high efficiency, becoming mainstream trading varieties [2][5] - The Secured Overnight Financing Rate (SOFR) has emerged as a new market benchmark interest rate, replacing the London Interbank Offered Rate (LIBOR) [2][5] - In China, the scale of bond repo and bond lending transactions has been increasing annually, with ongoing improvements in trading infrastructure and product innovations [2][5] Collateral Management - The demand for sophisticated collateral management services has grown, requiring services such as valuation, daily mark-to-market, automatic replenishment, and default disposal [3][5] - Financial institutions are increasingly seeking cross-market connectivity and cross-regional cooperation in collateral management, especially in tri-party repos and centralized bond lending [3][5] - Central securities depositories (CSDs) play a crucial role in enhancing efficiency and risk control through automatic selection and management of collateral [3][5] Future Directions - There is a call to enhance collateral management services to support the high-quality development of the bond financing market, including the acceleration of tri-party repos and centralized bond lending [4][5] - Emphasis is placed on integrating into the global financial market and promoting cross-border collaboration in financial market infrastructure [4][5] - The article advocates for embracing digital and green transformations, with advancements in blockchain and green bonds positioning China at the forefront of international developments [4][5]