流动性与机构行为跟踪：大行融出下行

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week (May 19 - May 23), there was a divergence in fund rates, a decline in large - bank lending, and a decrease in fund leverage. - Net financing of certificates of deposit (CDs) increased, and the yields to maturity of CDs across all tenors showed an upward trend. - In terms of cash - bond trading, the main buyers were funds, which mainly increased their holdings of credit bonds within 5 years and long - term Tier 2 and perpetual bonds. The scale of rural commercial banks' increased holdings decreased, insurance companies increased their holdings of ultra - long - term interest - rate bonds with maturities of 15 - 30 years, and wealth management products continued to increase their allocation of CDs. [3] 3. Summary by Relevant Catalogs 3.1 Monetary Fundamentals - Open - market operations: A total of 486 billion yuan of reverse repurchases matured this week. The central bank conducted reverse - repurchase operations of 135 billion, 357 billion, 157 billion, 154.5 billion, and 142.5 billion yuan from Monday to Friday, respectively, with a cumulative reverse - repurchase injection of 946 billion yuan. On Friday, 500 billion yuan of Medium - term Lending Facility (MLF) was injected, resulting in a net liquidity injection of 960 billion yuan for the whole week [5][10]. - Fund prices: As of May 23, R001, R007, DR001, and DR007 were 1.61%, 1.63%, 1.57%, and 1.59% respectively, changing by - 3.94BP, 0.15BP, - 6.61BP, and - 5.14BP compared to May 16, and were at the 25%, 10%, 23%, and 5% historical percentiles respectively [5][15]. - Net borrowing of major lenders: The net borrowing of major lending institutions (large commercial/policy banks and joint - stock banks) was 312.3 billion yuan for the whole week (May 19 - May 23), an increase of 329.8 billion yuan compared to the previous week [5][18]. - Pledged - repo trading volume: The average daily trading volume of pledged repos decreased to 6.72 trillion yuan, with a maximum single - day volume of 6.98 trillion yuan, a 5.81% decrease from the previous week's average daily volume. The average daily proportion of overnight - repo transactions increased to 87.4%, with a maximum single - day proportion of 88.6%, a 1 - percentage - point increase from the previous week's average daily proportion, and was at the 84.9% percentile as of May 23 [5][27]. - Leverage ratio of broad - based funds: As of May 23, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.1%, 192.8%, 126%, and 105.4% respectively, changing by 0.15BP, - 2.11BP, - 0.25BP, and - 0.06BP compared to May 16, and were at the 11%, 3%, 53%, and 37% historical percentiles respectively [5][32]. 3.2 Certificates of Deposit and Bills - CD issuance and financing: The issuance scale of CDs increased this week, with a total issuance of 712.69 billion yuan, an increase of 199.45 billion yuan compared to the previous week. The total maturity was 737.24 billion yuan, an increase of 161.04 billion yuan compared to the previous week. The net financing was - 24.55 billion yuan, an increase of 38.41 billion yuan compared to the previous week [5][35]. - CD maturity volume: The maturity volume of CDs increased this week to 737.24 billion yuan, an increase of 161.04 billion yuan compared to the previous week. The maturity volume of CDs next week (May 26 - May 30) is expected to be 652.73 billion yuan [35][41]. - Bill rates: Most bill rates declined this week. As of May 23, the 3 - month direct - discount rate and transfer - discount rate of state - owned commercial bills, and the 6 - month direct - discount rate and transfer - discount rate of state - owned commercial bills were 1.19%, 1.19%, 1.13%, and 1.18% respectively, changing by - 2BP, - 10BP, 0BP, and - 9BP compared to May 16 [5][50]. 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 95.9 billion yuan, an increase compared to the previous week. The main sellers were joint - stock banks, with a net sale of 119.6 billion yuan, a decrease compared to the previous week [5][52]. - Fund investment: Funds net - bought 95.9 billion yuan of cash bonds, including an increase of 2 billion yuan in interest - rate bonds, 42.3 billion yuan in credit bonds, 34 billion yuan in other bonds (including Tier 2 and perpetual bonds), and 19.3 billion yuan in CDs. In terms of tenor, they mainly reduced their holdings of 3 - 5 - year interest - rate bonds and increased their holdings of credit bonds within 1 year [52]. - Wealth - management product investment: Wealth - management products net - bought 84.4 billion yuan of cash bonds, including an increase of 7.7 billion yuan in interest - rate bonds, 7.9 billion yuan in credit bonds, 4.7 billion yuan in other bonds (including Tier 2 and perpetual bonds), and 64.1 billion yuan in CDs. In terms of tenor, they mainly increased their holdings of interest - rate bonds and credit bonds within 1 year [52]. - Rural financial institution investment: Rural financial institutions net - sold 1.4 billion yuan of cash bonds, including an increase of 9.5 billion yuan in interest - rate bonds, 0.5 billion yuan in credit bonds, 1.4 billion yuan in other bonds (including Tier 2 and perpetual bonds), and a reduction of 12.8 billion yuan in CDs. In terms of tenor, they mainly increased their holdings of 7 - 10 - year interest - rate bonds and 3 - 5 - year credit bonds [53][55]. - Insurance company investment: Insurance companies net - bought 88.5 billion yuan of cash bonds, including an increase of 62.3 billion yuan in interest - rate bonds, 2.6 billion yuan in credit bonds, a reduction of 1.5 billion yuan in other bonds (including Tier 2 and perpetual bonds), and an increase of 25 billion yuan in CDs. In terms of tenor, they mainly increased their holdings of 15 - 20 - year interest - rate bonds and 7 - 10 - year credit bonds [55].