Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - In the next week, funds will cross the month, but the central bank is expected to maintain net injections, potentially reducing the pressure on fund fluctuations. If the central bank provides sufficient support, there is a high probability of a smooth transition across the month, with DR001 likely to fluctuate between 1.35% - 1.55% [1][2]. - In the past week, funds experienced significant frictions due to factors such as the equity market absorbing inter - bank liquidity, large net government bond payments, and the central bank's continuous net withdrawals after the tax period. The tightening of funds was mainly driven by pressures within the banking system [2]. - The maturity pressure of certificates of deposit (CDs) will significantly decrease in the next week, with a maturity scale of only 37.67 billion yuan. If the pressure on the funds eases, CD rates may slightly decline when crossing the month [2]. - In the past week, funds sold off bonds across all varieties, with a rapid shift in sentiment. However, the willingness of allocation - oriented investors such as banks, insurance companies, and wealth management firms to absorb bonds is not weak, suggesting that the current market adjustment may present investment opportunities [3]. Summary by Directory 1 Liquidity Tracking 1.1 Central Bank Operations - In the past week (7/21 - 7/25), the central bank's open - market operations resulted in a net liquidity injection of 10.95 billion yuan, including 20 billion yuan in long - term liquidity and a net withdrawal of 9.05 billion yuan in short - term liquidity. As of 7/25, the central bank's reverse repurchase balance was 1.66 trillion yuan, slightly higher than the seasonal average [10]. - In the next week (7/28 - 8/1), 1.66 trillion yuan of reverse repurchases will mature. Considering the month - end period, the central bank may maintain a small net injection [10]. - In July, the central bank injected a total of 30 billion yuan in long - term liquidity, including 10 billion yuan in net MLF injections and 10 billion yuan each in 3M and 6M outright reverse repurchases [11]. 1.2 Government Bond Issuance - In the past week, the expected net government bond payment was 27.1 billion yuan, with treasury bonds contributing 1.07 billion yuan and local government bonds 26.02 billion yuan. In the next week, the expected net payment is 28.76 billion yuan, with a smaller overall pressure. Treasury bond net payment is expected to be - 2 billion yuan, while local government bonds will contribute 30.76 billion yuan. The net payment pressure will be higher on Tuesday, with a single - day net payment of 12.67 billion yuan [13]. 1.3 Bill Market - In the past week, bill rates declined significantly. As of 7/25, the 3M direct and transfer discount rates for national - owned banks were 1.25% and 1.10% respectively, down from 1.30% and 1.23% on 7/18. The 6M rates were 0.79% and 0.72% respectively, down from 0.87% and 0.81% on 7/18. Currently, bill rates are still significantly weaker than the seasonal average, indicating slow credit demand recovery [22]. 1.4 Fund Review - In the past week, fund fluctuations increased significantly, with daily frictions intensifying. After the tax period, the central bank continuously withdrew funds. Although the funds were relatively loose on Monday and Tuesday, with DR001 closing at 1.3144% on Tuesday, the situation fluctuated rapidly from Wednesday to Friday. The fund sentiment index reached a maximum of 58 on Thursday morning and 57 on Friday morning, but funds eased significantly in the late afternoon on Thursday and after 10 am on Friday [24]. - Inter - bank fund price fluctuations were larger than those in the exchange market, and the 7 - day fund price fluctuations were greater than overnight. On 7/25, DR001 rose 6.08bps to 1.52%, DR007 rose 14.56bps to 1.65%, R001 rose 6.41bps to 1.55%, and R007 rose 18.65bps to 1.69% [29]. - The term spread widened, and the market spread narrowed. Compared to 7/18, on 7/25, the R007 - R001 spread rose 12.24bps to 14.15bps, the R007 - DR007 spread rose 4.09bps to 4.14bps, and the GC007 - R007 spread fell 4.45bps to - 5.67bps [30]. - The proportion of overnight fund transactions in the inter - bank market decreased significantly as the month - end approached. The net lending of the banking system decreased significantly, with large banks experiencing the most significant decline. The net borrowing demand of core non - bank institutions also decreased significantly, while the net lending of core non - bank net lenders increased [35][38]. 1.5 Certificates of Deposit - In the past week (7/21 - 7/27), the total issuance of CDs was 51.67 billion yuan, with a net financing of - 55.98 billion yuan. The net financing scale declined significantly. As of 7/27, the cumulative net financing of CDs for the year was 1.32 trillion yuan [50]. - The issuance scale of CDs by different entities in the past week ranked as follows: city commercial banks (17.48 billion yuan)> state - owned banks (16.38 billion yuan)> joint - stock banks (12.92 billion yuan)> rural commercial banks (4.15 billion yuan). The weighted issuance term of CDs decreased to 0.61 years from 0.69 years last week [50]. - The issuance rates of CDs for national - owned and joint - stock banks increased across all tenors. The secondary - market CD yields also adjusted significantly. On 7/25, the 1 - year AAA CD yield rose 5.75bps to 1.6750% compared to 7/18 [53]. - In the next four weeks, the CD maturities will be 37.67 billion yuan (7/23 - 8/3), 59.82 billion yuan (8/4 - 8/10), 90.71 billion yuan (8/11 - 8/17), and 79.47 billion yuan (8/18 - 8/24) respectively, indicating controllable maturity pressure. In the next week, the maturity pressure will be higher on Tuesday and Wednesday [55]. 2 Institutional Behavior Tracking 2.1 Secondary Market Transactions - Large banks slightly increased their purchases of short - term treasury bonds. In the past week, funds net sold 20.76 billion yuan of interest - rate bonds, while rural commercial banks net bought 25.73 billion yuan of interest - rate bonds [60]. - Wealth management subsidiaries and other products were the main buyers of CDs, while city commercial banks, rural commercial banks, funds, and securities firms were the main sellers [60]. - Funds quickly switched from buying to selling credit bonds, while the buying power of other institutions such as wealth management firms remained relatively stable. Insurance companies were the main buyers of credit bonds with a maturity of over 5 years [60]. - Funds' net selling of secondary - tier bonds also increased rapidly. For secondary - tier bonds with a maturity of less than 2 years, funds switched to large - scale net selling on Friday, with a net selling of 370 million yuan in the past week. For 2 - 5 - year secondary - tier bonds, funds' demand also declined significantly [60]. 2.2 Institutional Duration - The median duration of medium - and long - term bond funds fluctuated. On 7/25, the 10 - day moving average of the median duration was 4.18 years, slightly higher than 4.13 years on 7/18, but it declined significantly on Friday [62]. - The trading duration of general credit bonds decreased, while that of secondary - tier bonds increased. On 7/25, the 5 - day moving average of the trading duration of urban investment bonds decreased to 2.43 years, and that of industrial bonds decreased to 3.51 years, while the trading duration of secondary - tier bonds increased to 3.16 years [66]. 2.3 Institutional Leverage - The bond market leverage ratio was estimated to be 107.16% in the past week, basically unchanged from last week's 107.04% [68].
流动性与机构行为跟踪：央行呵护不变，跨月资金压力可控
ZHESHANG SECURITIES·2025-07-27 14:16