从资金面看国股大行同业行为

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. 2. Core Viewpoints of the Report - The commercial bank system faces a tight funding situation at the end of the year due to multiple regulatory factors such as liquidity assessment and MPA. Additionally, factors like tax payments, government bond issuance, and the Spring Festival further strain the bank system's liquidity, leading to issues such as term inversion of inter - bank certificate of deposit (NCD) issuance rates and an expanded spread between DR007 and the 7 - day reverse repurchase rate. The report aims to analyze the impact mechanism of regulatory policies, fiscal actions, and monetary policies on the behavior of national and joint - stock (N&J) large banks through the funding aspect and explore how commercial banks optimize liquidity through inter - bank business [4][18]. 3. Summary According to the Directory 3.1 Regulatory System: Impact on Month - end Funding - Overall Regulatory Framework: The commercial bank regulatory system consists of the National Financial Regulatory Administration (NFRA) system and the central bank's Macro - Prudential Assessment (MPA) system. The NFRA focuses on micro - level indicator assessment, while the central bank's MPA system takes a macro - perspective to prevent systemic financial risks [7]. - NFRA Regulatory System - The Risk - Regulatory Core Indicators: Implemented in 2006, it established the core benchmark indicators for commercial bank risk supervision, with indicators divided into three levels: risk level, risk migration, and risk offset. After years of adjustment, it has become a basic regulatory document but is no longer the main pressure source for most commercial banks [20][22]. - The Commercial Bank Regulatory Rating Method: Enacted in 2021, it classifies commercial bank ratings into 9 levels with different weights. Based on the comprehensive score, banks are rated into 6 levels and 13 grades, with different regulatory measures for each grade [24][27]. - NFRA Liquidity Supervision: The Liquidity Risk Management Measures established 5 core regulatory indicators (LCR, NSFR, LR, HQLAAR, LMR) and 9 monitoring indicators, enhancing the overall control of commercial bank liquidity risk [31]. - NFRA Capital Supervision: The Capital Management Measures include capital adequacy ratio and leverage ratio monitoring indicators. Capital adequacy ratio is a quarterly assessment indicator, and banks may adjust their investment structure to meet regulatory requirements during quarter - end assessments [51][52]. - Central Bank MPA System: Implemented in 2016, it conducts monthly monitoring and quarterly assessments. Banks are divided into three grades (A, B, C) based on MPA scores, and the central bank implements differentiated incentives or penalties accordingly. MPA restrains the disorderly expansion of credit and inter - bank liabilities [66][70]. 3.2 Funding: Affected by Government Actions and Market Fluctuations - Government Fiscal Activities: Tax payments, fiscal expenditures, government bond issuance, and treasury fixed - deposits are the main factors affecting the bank system's liquidity. Tax payments and government bond issuance usually lead to a tight funding situation for commercial banks, while fiscal expenditures and treasury fixed - deposits can ease the situation. The central bank may increase reverse repurchase operations to maintain reasonable liquidity [8][71]. - Seasonal Differences in Central Bank OMO Scale: The central bank's open - market operations (OMO) have seasonal differences. For example, during the Spring Festival, the central bank conducts 14 - day reverse repurchases to ensure the smooth cross - month operation of bank system funds [8]. 3.3 Inter - bank Behavior: Supplementary Means for Liquidity Management and Allocation - Inter - bank Business as an Active Behavior: Inter - bank business is an important means for commercial banks to supplement and allocate liquidity. The four main types of inter - bank business are inter - bank lending, pledged repurchase, inter - bank certificates of deposit (NCDs), and inter - bank deposits. Since the end of 2024, due to increased short - term liquidity demand, the issuance rate of PrimeNCDs has inverted and risen, and the spread between DR007 and the 7 - day reverse repurchase rate has expanded [9]. - The Nature of the Inter - bank Market: Funds in the inter - bank market flow from large - scale deposit - taking financial institutions to non - bank institutions and small - scale banks [9]. - DR and DIBQ Spread as an Indicator of Funding Tightness: The spread between DR and DIBQ can reflect the tightness of the funding situation. Currently, the spread indicates that the market liquidity has tightened since the beginning of the year, but the overall tightness has eased recently [9].