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 ...

2025年12月31日，中国证监会正式发布修订后的《公开募集证券投资基金销售费用管理规定》（以下简称"正式稿"），并定于2026年1月1日起施行。作为公 募基金费率改革的重要一环，该文件的落地标志着销售环节的规范化进入新阶段。相比于此前征求意见稿在市场引发的关于流动性紧缩的担忧，正式稿在坚 持监管原则的同时，展现出了明显的务实态度与政策柔性，为债券市场在年末带来了一定的情绪修复空间。 一、 赎回制度的差异化安排：兼顾流动性与防套利 在此前的征求意见稿中，关于赎回费率的严格设定曾是市场关注的焦点。市场普遍担忧，若对债基实施严苛的"6个月"赎回费豁免门槛，将显著削弱公募债 基作为流动性管理工具的属性，甚至引发机构资金的防御性赎回。 正式稿最显著的调整在于摒弃了"一刀切"的思路，确立了更为精细化的分类监管逻辑。虽然股票型与混合型基金的赎回费率依然维持高位（7日内不低于 1.5%，半年内不低于0.5%），但针对债券型及指数型基金，监管层给予了差异化的制度安排。 根据新规，个人投资者持有满7日、机构投资者持有满30日的债券型及指数型基金，可另行约定赎回费率。这一规定在实操层面意味着，只要满足上述持有 时长，投资者大概率 ...

证券研究报告：固定收益报告 发布时间：2025-12-11 研究所 ⚫ 理财规模有望继续增长，收益率仍面临挑战 理财规模站稳 30 万亿大关，新增发行产品有序扩容。2025 年三 季度，银行理财规模达 32.13 万亿，产品数量稳步上升，固收占绝对 多数，风险类别向二级集中，参与人数持续增加。低利率环境下，理 财产品的底层资产收益曲线整体下移。2025 年理财产品普遍通过投资 低波动、短久期和高流动性资产的方式降低影响，并且增加同业存款 比例，抗波动能力进一步提升，债市行为主要体现为对同业存单的偏 好大幅上升和对企业债的规避，以及信用债哑铃型配置策略和政金债 降低久期。综合来看，存款脱媒背景下，理财 2026 年规模仍有增长 空间，在监管去通道化、净值透明化的要求下，理财资产配置或更加 偏重稳健，流动性和久期控制将是理财平稳波动的主要考量因素。 ⚫ 公募债基与理财互动深入，关注产品结构的变化趋势 近期研究报告 《连续调整后，二永的机会在哪儿？— —信用周报 20251210》 - 2025.12.10 固收周报 理财风光仍在，债基格局重塑 ——2026 年展望系列五 ⚫ 居民投资偏好回升，安全资产需求仍在 存 ...

债又又又跌了，今天盘中还一度创下近期最大单日波动。 分红新规下，颤抖的不只是公募债基 先简单拆解一下分红新规透露的核心信息： 基金分红来源明确为特定周期（上一次分红到这一次分红之间）内的新创造的利润； 这意味着之前那种 "透支" 过往利润的大比例分红，现在被禁止了。 以及要注意到，这并不是针对所有产品，比如货币基金、股票型基金、基础设施基金不在限制范围内。 基于债市扰动有好几个，这种单日的暴跌一时也不知道怪谁更好，不如先聊聊讨论度比较高的公募基金分红新规吧。 近期小作文传出：基金后续分红金额，原则上不超过上一次分红基准日到本次之间基金的净利润，且据说目前已经有公募 开始执行了。 先总结一下影响：短期看，重点关注相关悲观预期在债市的集中释放； 中长期关注机构业务占比高的基金公司，能否扛下这波公募新规组合拳下的 "阵痛"。 所以新规主要的"整改对象"其实是公募债基和混合型基金，而这两个品种尤其是债基恰好是机构投资者占比多，且常出现 大比例分红的重灾区。 这一切背后的原因可以追溯到我国现行税法下，机构投资者投资公募产品所获得的收入是有显著差异的： 买卖差价获得的收益需要并入应纳税所得额，但是持有的基金分红所得则暂时 ...

Report Industry Investment Rating No relevant content provided. Core Views - The adjustment of public bond fund redemption fees may lead to a redemption scale of RMB 30 - 100 billion for credit bonds and secondary perpetual bonds, with credit bonds accounting for RMB 20 - 70 billion and secondary perpetual bonds for RMB 10 - 30 billion. The expected redemption ratio of short - term pure bond funds is about 25% - 35%, that of medium - and long - term pure bond funds is about 5%, and that of passive index bond funds is about 1%. The combined redemption ratio of the three types of bond funds is about 3% - 10% [3]. - There is a positive correlation between the redemption scale of short - term and medium - and long - term pure bond funds and the upward range of credit bond and secondary perpetual bond yields and the widening range of credit spreads. The yields of credit bonds and secondary perpetual bonds are more sensitive to the impact of fund liquidity when the redemption scale is small, and the marginal driving effect on yield increases weakens when the redemption scale expands [3]. - Considering the current low - interest rate volatile environment in the bond market, the upward range of short - end credit bond and secondary perpetual bond yields is expected to be about 15 - 25BP, and the spread widening range is about 5 - 15BP; the upward range of medium - and long - end credit bond and secondary perpetual bond yields is about 25 - 35BP, and the spread widening range is about 15 - 25BP. The current adjustment range of yields and spreads has not fully reflected the potential redemption pressure, and the risk of selling has not been fully exposed. The impact of the redemption pressure on yields and spreads is expected to be a phased increase within a controllable range [4]. Summary by Directory 1. Estimated Redemption Scale of Credit Bonds and Secondary Perpetual Bonds Held by Pure Bond Funds - The inclusion of bond - type funds in the scope of redemption fee regulations and the increase in overall redemption fee levels will weaken the short - term trading and liquidity management functions of bond funds. Short - term pure bond funds may face greater redemption pressure, while medium - and long - term pure bond funds and passive index bond funds may also be affected to some extent. Bond ETFs, inter - bank certificate of deposit index funds, and bank short - term wealth management products may undertake part of the funds withdrawn from pure bond funds [15]. - As of the end of June 2025, short - term pure bond funds held about RMB 1.28 trillion in bonds, with credit bonds accounting for 63.03% and financial bonds accounting for 19.12%; medium - and long - term pure bond funds held about RMB 7.76 trillion in bonds, with credit bonds accounting for about 23.27% and financial bonds accounting for about 22.33%; passive index bond funds held about RMB 1.67 trillion in bonds, with credit bonds accounting for 15.80% and financial bonds accounting for about 3.75%. The adjustment of public bond fund fees is expected to have a greater negative impact on the credit bond and financial bond sectors [18]. - According to different scenarios (optimistic, neutral, and pessimistic), the estimated redemption scale of credit bonds is about RMB 231 - 576.6 billion, and that of secondary perpetual bonds is about RMB 101 - 220.5 billion [3][20][21][22][23]. 2. How to Transmit from Redemption Scale to Valuation Yield and Credit Spread - By analyzing the historical data of pure bond fund redemptions in the past three years, there is a significant positive correlation between the redemption scale of short - term and medium - and long - term pure bond funds and the upward range of credit bond and secondary perpetual bond yields and the widening range of credit spreads. The yields of credit bonds and secondary perpetual bonds are more sensitive to the impact of fund liquidity when the redemption scale is small, and the marginal driving effect on yield increases weakens when the redemption scale expands [3][41]. - Applying the logarithmic regression model to the estimated redemption scale of credit bonds and secondary perpetual bonds, in the optimistic scenario, the 1Y/AAA - grade credit bond valuation yield is expected to rise by 29 - 31BP, the credit spread to widen by 14 - 16BP, the 3Y/AAA - grade secondary perpetual bond valuation yield to rise by 24 - 26BP, and the credit spread to widen by 14 - 16BP; in the neutral scenario, the 1Y/AAA - grade and 5Y/AAA - grade credit bond valuation yields are expected to rise by 29 - 31BP and 33 - 35BP respectively, the credit spreads to widen by 14 - 16BP and 22 - 24BP respectively, the 3Y/AAA - grade and 7Y/AAA - grade secondary perpetual bond valuation yields to rise by 24 - 26BP and 29 - 31BP respectively, and the credit spreads to widen by 14 - 16BP and 15 - 17BP respectively; in the pessimistic scenario, the 1Y/AAA - grade and 5Y/AAA - grade credit bond valuation yields are expected to rise by 31 - 33BP and 35 - 37BP respectively, the credit spreads to widen by 15 - 17BP and 24 - 26BP respectively, the 3Y/AAA - grade and 7Y/AAA - grade secondary perpetual bond valuation yields to rise by 26 - 28BP and 31 - 33BP respectively, and the credit spreads to widen by 15 - 17BP and 18 - 20BP respectively [53]. - Since the release of the draft for comments, institutional investors have started to redeem pure bond funds. However, affected by factors such as the stock market trend, central bank policies, and market liquidity, the current adjustment range of credit bond and secondary perpetual bond yields and spreads has not fully reflected the potential redemption pressure. The risk of selling has not been fully exposed, and the market may still be in the early stage of redemption or in a wait - and - see state. In the current environment, the impact of redemption pressure on yields and spreads is expected to be a phased increase within a controllable range [4][55][56].

Group 1: Policy Changes and Market Concerns - The Ministry of Finance has reinstated value-added tax on interest income from government bonds, local bonds, and financial bonds since August 8, 2025, with a tax rate of 3%[11] - The China Securities Regulatory Commission has revised public fund sales fee management regulations, imposing punitive redemption fees of at least 1.5%, 1.0%, and 0.5% for different redemption periods[1] Group 2: Impact on Bond Market - As of June 2025, the total scale of bond funds is approximately CNY 11.15 trillion, with individual and institutional investors holding 17% and 81% respectively, translating to CNY 1.88 trillion and CNY 8.99 trillion[2] - If the new redemption fee regulations are implemented, there is a potential for significant capital outflow from public bond funds, which could amplify overall market volatility[1] Group 3: Institutional Responses - Bank wealth management products held CNY 1.38 trillion in public bond funds, accounting for 4.2% of their total holdings as of June 2025[3] - Insurance companies are estimated to hold around CNY 900 billion in public bond funds, maintaining a stable allocation of approximately 2.4%[4] Group 4: Historical Context and Future Projections - Historical cases show that bond fund outflows can be substantial; for instance, from September 2022 to January 2023, bond fund sizes dropped from CNY 5.19 trillion to CNY 4.01 trillion, a decrease of CNY 1.18 trillion[9] - Current market conditions suggest that if bond funds experience significant redemptions, the yield on 10-year government bonds could peak between 1.90% and 1.95%[10]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Since Q3 this year, the bond market has adjusted significantly, but the decline in the duration of public - offering bond funds is not obvious. It is expected that public - offering bond funds will maintain a moderately high duration level, with the 10 - year Treasury yield oscillating in the range of 1.7% - 1.8%. As the correlation between stocks and bonds weakens and fundamental pressure rises, the bond market environment in the fourth quarter is expected to be better than that in the third quarter [2][8] 3. Summary According to the Directory 3.1 Third - quarter Bond Market Adjustment with No Obvious Decline in Bond Fund Duration - In the third - quarter bond market adjustment, the decline in the duration of bond funds was not obvious. For example, in Q1, the 10 - year Treasury yield rose from about 1.6% in early February to nearly 1.9% in mid - March, and the median duration of the whole - market bond funds dropped from a high of 3 years to about 2.1 years. However, as of September 17, the median duration of public - offering bond funds remained at about 2.5 years, and the median duration of medium - and long - term interest - rate bond funds remained at about 3.1 years [5][14] 3.2 Four Reasons Why Bond Fund Duration is Difficult to Decrease - **Mild Adjustment and Multiple Repairs**: Compared with the Q1 adjustment, the Q3 bond market adjustment was relatively mild, with multiple repairs during the period and did not reach the short - term stop - loss lines of some funds. The adjustment range of the 10 - year Treasury active bond yield since Q3 was less than 20bps, and the adjustment lasted nearly a quarter. In contrast, in Q1, the 10 - year Treasury yield rose about 30bps in more than a month [8][17] - **Performance Assessment and Market Expectations**: The bond market has been volatile this year, especially the performance of bond funds focusing on the duration strategy was significantly weaker than last year. As the fourth quarter is a traditional window for bond market pre -emption and repair, from the perspective of achieving the annual performance assessment, bond funds may not significantly reduce their duration. As of September 14, the median yield of the whole - market bond funds this year was 1.21%, significantly lower than last year's 3.78% [8][26] - **Limited Strategy Options in a Low - interest - rate Environment**: The current bond market is in a low - interest - rate environment, with limited market strategy capacity and options. Public - offering funds have to extend the duration to obtain coupons. Institutions such as wealth management and bank self - operation also have a demand for long - duration bond allocations. As of August this year, the net financing proportion of long - term credit bonds rose to about 33%, a record high [8][33] - **Lack of Massive Redemption Pressure**: Institutions usually conduct continuous and large - scale redemptions of long - term bonds only when the bond market shows obvious "negative feedback" characteristics. A normal market adjustment of general amplitude may not trigger large - scale redemptions and re - allocation of redeemed assets. The current bond market is slowly oscillating and correcting, without triggering widespread market panic [8][34]

Core Viewpoint - The report from CICC focuses on the impact of the third phase of the public fund industry fee reform, particularly regarding the potential elimination of the 7-day redemption exemption and its implications for public bond fund investments [1][3]. Group 1: Fee Reform Background - The fee reform plan, released in July 2023, outlines a three-phase approach involving management fees, transaction fees, and sales fees [3]. - The third phase, initiated with the release of the draft regulations on September 5, 2025, aims to enhance the sales fee structure, with particular attention to redemption fee adjustments [3]. Group 2: Market Impact Analysis - The new regulations are expected to lead to a clearer distinction between long-term holding of off-exchange products and short-term trading of on-exchange ETFs [4]. - Increased trading costs for bond funds will limit their ability to engage in short-term trading, while bond ETFs may see growth as they cater to short-term trading needs [4]. - The investment positioning of short bond funds will shift, with money market funds and wealth management products potentially taking over liquidity management roles [4]. Group 3: Recommendations for Bond Fund Investors - CICC suggests that bond fund investors should focus on long-term holding strategies, utilizing active pure bond funds as a core holding and bond ETFs for market timing [5]. - The report advocates for a dual-layer investment strategy in "fixed income +" funds, combining absolute return products for foundational returns with high-volatility products for tactical market positioning [5]. - There is an anticipated opportunity for bond ETFs to develop in response to policy changes, with a focus on innovative thematic products and the expansion of multi-asset and fixed income ETFs [5].

Core Viewpoint - The third phase of the public fund industry fee reform has officially started, focusing on the adjustment of sales fees to encourage long-term holding and reduce irrational short-term trading behaviors [2][9][11]. Group 1: Fee Reform Overview - In July 2023, the China Securities Regulatory Commission (CSRC) released the "Public Fund Industry Fee Reform Work Plan," marking the beginning of the third phase of fee reform [2][9]. - The reform aims to lower the comprehensive fee levels of public funds through a gradual approach, focusing on management fees, transaction fees, and sales fees [9][11]. - The proposed adjustments to redemption fees include a tiered structure for different holding periods, with a minimum of 1.5% for holdings under 7 days and 0.5% for holdings between 30 days to 6 months [12][11]. Group 2: Impact on Fund Market - The new redemption fee structure is expected to clarify the positioning of public products, distinguishing between long-term holding for off-market funds and active trading for ETFs [15][14]. - Frequent trading costs for bond funds are likely to increase, making it difficult for them to serve as tools for short-term trading, thus creating opportunities for bond ETFs [16][14]. - The cost of short-term adjustments for public funds of funds (FOFs) is expected to rise, leading to a trend towards ETF-based investment strategies [21][20]. Group 3: Recommendations for Investors - Investors are advised to optimize their pure bond fund management by using actively managed funds as a base, complemented by bond ETFs for market timing and liquidity management tools [29][31]. - A comprehensive evaluation system for bond ETFs is recommended, focusing on liquidity, tracking ability, and strategy uniqueness [31][32]. - The investment strategy for "fixed income plus" funds may polarize into long-term stable products and high-volatility aggressive products, maintaining a balance between risk and return [33][24]. Group 4: Future Product Development Directions - There is a significant opportunity for the development of bond ETFs, particularly in niche themes and strategies, as the market for these products is expanding rapidly [36][41]. - The diversification of institutional investors in bond ETFs is increasing, with a notable shift in the types of institutions holding these products [37][41]. - Future product innovations may include multi-asset ETFs and fixed-income ETFs, addressing the evolving needs of institutional investors [42][41].

Group 1: US Economic Overview - The US economy continues to expand, with the Atlanta Fed's GDPNOW model predicting a Q3 growth rate of 3.1%, driven by stable consumer momentum and strong investment in technology [2] - Jobless claims have increased, with initial claims rising by 27,000 to 263,000, the highest in four years, indicating a cooling labor market [2] - Inflation remains manageable, with August PPI unexpectedly dropping to 2.6%, significantly below the expected 3.3%, while CPI slightly increased to 2.9% [2] Group 2: Monetary Policy and Market Reactions - The US is expected to restart monetary easing, with market participants fully pricing in three rate cuts this year, leading to a decline in private sector financing costs [3] - The 30-year mortgage rate fell by 15 basis points to 6.25%, and the 10-year AAA corporate bond yield decreased by 8 basis points to 4.26% [3] - US stock markets rose, influenced by the Fed's dovish outlook, although valuations are considered high, with future gains expected to come from corporate earnings growth rather than valuation expansion [3] Group 3: Bond Market Dynamics - Short-term interest rates are expected to decline as the easing cycle begins, but the long-term rates may remain volatile due to economic resilience and inflationary pressures [4] - The 10-year US Treasury yield is projected to average 4.3% this year and 4.2% next year, with a fluctuation range of 3.5% to 5% [4] Group 4: Currency and Commodity Outlook - The US dollar is anticipated to remain in a range-bound trading pattern, with a fluctuation range of 95 to 103, due to the dual support of easing monetary policy and fiscal expansion [5] - The Chinese yuan is expected to maintain a strong stance in the short term, although potential fluctuations may arise from changes in the A-share market and US rate cut expectations [5] - Gold is viewed positively, benefiting from the Fed's easing cycle and ongoing global central bank purchases [5] Group 5: China Economic Insights - China's economy is showing signs of slowdown, with external demand weakening and internal demand potentially continuing to decline [7] - August macro data indicates a drop in export and import growth rates, with exports to the US declining by 33.1% [7] - The government is implementing policies to stabilize growth in key industries, including the automotive sector, with a target of approximately 3% growth in overall vehicle sales by 2025 [9] Group 6: Market Strategy and Recommendations - The current market sentiment favors equities over bonds, with a recommendation to hold short to medium-duration bonds while being cautious with long-duration investments [12] - The A-share market has shown resilience, with the Shanghai Composite Index rising 1.52%, supported by liquidity and favorable policies [13] - Investment strategies suggest maintaining dividend stocks as a stable base, while allocating to growth sectors like technology and healthcare for potential gains [14]