流动性与机构行为跟踪40：基金配长缩量

1. Report Industry Investment Rating No information provided in the given content. 2. Report's Core View - In the week from March 31 to April 3, after the cross - quarter, the capital interest rate declined, the net financing of large banks' lending increased, the net financing of certificates of deposit increased, and the issuance interest rates of certificates of deposit with various maturities generally decreased. In the cash bond trading, the main buyers were funds, but the scale of their net purchases decreased, mainly concentrated in 7 - 10Y interest - rate bonds and credit bonds within 1Y [3]. 3. Summary by Relevant Catalogs 3.1 Monetary and Capital Market - Open - market operations: There were 1186.8 billion yuan of reverse repurchases due this week. The central bank injected 684.9 billion yuan of reverse repurchases from Monday to Thursday, with a net liquidity injection of - 501.9 billion yuan for the whole week [5][10]. - Funding rates: As of April 3, R001, R007, DR001, and DR007 were 1.66%, 1.74%, 1.62%, and 1.7% respectively, with changes of - 12.02BP, - 51.42BP, - 9.58BP, and - 35.28BP compared to March 28, and were at the 26%, 13%, 26%, and 9% historical quantiles respectively [5][13]. - Net financing of main institutions: The net financing of major lending institutions (large commercial banks/policy banks and joint - stock commercial banks) was 347 billion yuan for the whole week (March 31 - April 3), an increase of 1058.7 billion yuan compared with the previous week. The net financing of fund companies and securities companies was - 5.58 billion yuan and 3.02 billion yuan respectively, with a decrease of 27.74 billion yuan and 3.03 billion yuan compared with the previous week [5][16]. - Pledged repurchase volume and overnight repurchase ratio: The average daily trading volume of pledged repurchase was 60.8 trillion yuan, a 4% decrease from the previous week's average daily value. The average daily proportion of overnight repurchase was 86.4%, an increase of 4.53 percentage points from the previous week's average daily value, and was at the 60.4% quantile as of April 3 [5][23]. - Leverage ratios of institutions: As of April 3, the leverage ratios of banks, securities, insurance, and broad - based funds were 103.0%, 198.2%, 129.1%, and 105.4% respectively, with changes of 0.09BP, 1.51BP, - 3.17BP, and - 0.07BP compared to March 28, and were at the 9%, 17%, 77%, and 37% historical quantiles respectively [5][24]. 3.2 Certificates of Deposit and Bills - Issuance and net financing of certificates of deposit: The total issuance of certificates of deposit was 272.01 billion yuan, a decrease of 557.69 billion yuan from the previous week. The total amount due was 101.54 billion yuan, a decrease of 718.38 billion yuan from the previous week. The net financing was 170.47 billion yuan, an increase of 160.69 billion yuan from the previous week [5][29]. - Issuance by bank type: Joint - stock commercial banks had the highest issuance scale. The issuance scales of state - owned banks, joint - stock commercial banks, city commercial banks, and rural commercial banks were 54.76 billion yuan, 107.63 billion yuan, 81.88 billion yuan, and 18.05 billion yuan respectively, with changes of - 321.10 billion yuan, - 72.82 billion yuan, - 148.51 billion yuan, and - 18.28 billion yuan compared to the previous week [29]. - Issuance by maturity type: The 1Y certificates of deposit had the highest issuance scale. The issuance scales of 1M, 3M, 6M, 9M, and 1Y certificates of deposit were 18.81 billion yuan, 82.13 billion yuan, 2.95 billion yuan, 19.72 billion yuan, and 148.4 billion yuan respectively, with changes of - 62.91 billion yuan, - 229.59 billion yuan, - 108.97 billion yuan, - 53.27 billion yuan, and - 102.95 billion yuan compared to the previous week [30]. - Interest rates of certificates of deposit: The issuance interest rates of certificates of deposit of all banks and all maturities decreased. As of April 3, the one - year issuance interest rates of joint - stock commercial banks, state - owned banks, city commercial banks, and rural commercial banks decreased by - 2.18BP, - 3BP, - 7.36BP, and - 5.07BP respectively compared to March 28, and were at the 5%, 7%, 2%, and 2% historical quantiles. The issuance interest rates of 1M, 3M, and 6M certificates of deposit decreased by - 15.38BP, - 3.19BP, and - 2.23BP respectively compared to March 28, and were at the 12%, 8%, and 4% historical quantiles [40]. - Bill interest rates: As of April 3, the 3M direct - discount rate, 3M transfer - discount rate, 6M direct - discount rate, and 6M transfer - discount rate of state - owned and joint - stock banks were 1.25%, 1.09%, 1.14%, and 1.12% respectively, with changes of - 58BP, - 66BP, - 25BP, and - 21BP compared to March 28 [5][46]. 3.3 Institutional Behavior Tracking - Main buyers and sellers of cash bonds: The main buyers of cash bonds this week were funds, with a net purchase of 125.5 billion yuan, a decrease from the previous week. The main sellers were joint - stock commercial banks, with a net sale of 184.4 billion yuan, also a decrease from the previous week [5][48]. - Net purchases of different institutions: - Funds: Net - bought 125.5 billion yuan of cash bonds, including an increase of 70.7 billion yuan in interest - rate bonds, 37.1 billion yuan in credit bonds, 33.5 billion yuan in other bonds (including Tier 2 capital bonds and perpetual bonds), and a decrease of 15.7 billion yuan in certificates of deposit. In terms of maturity, interest - rate bonds were mainly concentrated in the 7 - 10Y range, and credit bonds were mainly within 1Y [48]. - Wealth management products: Net - bought 50.2 billion yuan of cash bonds, including an increase of 12.3 billion yuan in interest - rate bonds, 8.7 billion yuan in credit bonds, 6.3 billion yuan in other bonds, and an increase of 23 billion yuan in certificates of deposit. Interest - rate and credit bonds were mainly within 1Y [49]. - Rural financial institutions: Net - bought 39.7 billion yuan of cash bonds, including a decrease of 24.8 billion yuan in interest - rate bonds, an increase of 200 million yuan in credit bonds, an increase of 2.3 billion yuan in other bonds, and an increase of 61.9 billion yuan in certificates of deposit. Interest - rate bonds were mainly reduced in the 7 - 10Y range, and credit bonds were mainly increased in the 1 - 3Y range [49]. - Insurance companies: Net - bought 30.2 billion yuan of cash bonds, including an increase of 23 billion yuan in interest - rate bonds, 1.6 billion yuan in credit bonds, a decrease of 6.3 billion yuan in other bonds, and an increase of 11.8 billion yuan in certificates of deposit. Interest - rate bonds were mainly concentrated in the 15 - 20Y range, and credit bonds were mainly in the 3 - 5Y range [49].