流动性与机构行为跟踪：基金、券商共振抛券

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report This week (from November 24th to November 28th), the capital interest rates were differentiated, the daily average of large - bank lending increased, and funds slightly reduced leverage; the maturity of certificates of deposit decreased, and the yield curve of certificate of deposit maturity steepened; in terms of spot bond transactions, the main buyers were large banks, mainly increasing holdings of 1 - 3Y interest - rate bonds, while funds and securities firms were the main sellers, with funds mainly selling 7 - 10Y and 20 - 30Y interest - rate bonds, and insurance companies continuing to increase allocations to 20 - 30Y ultra - long interest - rate bonds [3]. 3. Summary by Directory 3.1 Currency and Capital Market - A total of 1,676 billion yuan of reverse repurchases matured this week. The central bank cumulatively injected 1,511.8 billion yuan of reverse repurchases from Monday to Friday, injected 1,000 billion yuan of MLF on Tuesday (900 billion yuan of MLF matured on the same day), and 300 billion yuan of outright repurchases matured on Friday. The net liquidity withdrawal for the whole week was 364.2 billion yuan. 1,000 billion yuan of outright repurchases will mature next Friday [7][10]. - As of November 28th, R001, R007, DR001, and DR007 were 1.43%, 1.52%, 1.3%, and 1.47% respectively, with changes of 3.75BP, 2.7BP, - 1.76BP, and 2.6BP compared to November 24th, and were at the 19%, 9%, 11%, and 4% historical quantiles respectively [7][13]. - The daily average of large - bank lending increased slightly. From November 24th to November 28th, the total lending scale of large banks was 19.24 trillion yuan, with a maximum daily lending scale of 4 trillion yuan and a daily average lending scale of 3.8 trillion yuan, an increase of 0.22 trillion yuan compared to the previous week's daily average [7][17]. - The trading volume of pledged repurchase decreased. The daily average trading volume was 7.09 trillion yuan, with a maximum daily volume of 7.56 trillion yuan, a decrease of 2.77% compared to the previous week's daily average. The proportion of overnight repurchase transactions decreased, with a daily average proportion of 86.7% and a maximum daily proportion of 91.1%, a decrease of 2.21 percentage points compared to the previous week's daily average, and was at the 95.4% quantile as of November 28th [7][19]. 3.2 Certificates of Deposit and Bills - The issuance scale of inter - bank certificates of deposit increased this week, and the net financing amount increased. The total issuance volume was 559.25 billion yuan, an increase of 26.22 billion yuan compared to the previous week; the total maturity volume was 802.04 billion yuan, a decrease of 104.99 billion yuan compared to the previous week. The net financing amount was - 242.79 billion yuan, an increase of 130.41 billion yuan compared to the previous week [7][23]. - By bank type, city commercial banks had the highest issuance scale. This week, the issuance scales of inter - bank certificates of deposit by state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 115.11 billion yuan, 192.21 billion yuan, 194.55 billion yuan, and 46.38 billion yuan respectively, with changes of 33.46 billion yuan, 18.8 billion yuan, - 22.9 billion yuan, and - 1.08 billion yuan compared to the previous week [23]. - By term type, the 9 - month issuance scale was the highest. The issuance scales of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year inter - bank certificates of deposit were 48.88 billion yuan, 107.26 billion yuan, 144.51 billion yuan, 153.97 billion yuan, and 104.63 billion yuan respectively, with changes of - 440 million yuan, 90.31 billion yuan, - 32.12 billion yuan, 71.31 billion yuan, and - 102.84 billion yuan compared to the previous week. The 9 - month certificates of deposit accounted for the highest proportion of the total issuance of certificates of deposit by different types of banks, at 27.53%, mainly due to more issuances by state - owned banks; the 6 - month term accounted for 25.84%, mainly due to more issuances by city commercial banks [24]. - The maturity volume of certificates of deposit decreased this week. The total maturity volume was 802.04 billion yuan, a decrease of 104.99 billion yuan compared to the previous week. The certificates of deposit maturing next week (from December 1st to December 5th) will be 448.81 billion yuan [28]. - This week, the issuance interest rates of certificates of deposit of most banks increased, and the issuance interest rates of certificates of deposit of most terms increased. By bank type, as of November 28th, the issuance interest rates of one - year certificates of deposit of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks changed by 1.04BP, 0BP, - 0.7BP, and 2BP respectively compared to November 21st, and were at the 4%, 5%, 3%, and 7% historical quantiles; by term, as of November 28th, the issuance interest rates of 1 - month, 3 - month, and 6 - month certificates of deposit changed by 4.74BP, 0.68BP, and - 2.9BP respectively compared to November 21st, and were at the 5%, 3%, and 2% historical quantiles [30]. - This week, the Shibor interest - rate curve steepened. As of November 28th, the overnight, 1 - week, 2 - week, 1 - month, and 3 - month Shibor interest rates changed by - 1.9BP, 2BP, 0.7BP, 0.1BP, and 0.2BP respectively compared to November 21st, reaching 1.3%, 1.44%, 1.53%, 1.52%, and 1.58% [32]. - This week, the yield curve of certificate of deposit maturity steepened. As of November 28th, the 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year maturity yields of AAA - rated ChinaBond commercial bank inter - bank certificates of deposit were 1.45%, 1.58%, 1.62%, 1.64%, and 1.64% respectively, with changes of - 4.5BP, 0.15BP, 0.5BP, 0.75BP, and 0.5BP compared to November 21st [7][34]. - This week, the bill interest rates were differentiated. As of November 28th, the 3 - month national - share direct discount rate, 3 - month national - share transfer discount rate, 6 - month national - share direct discount rate, and 6 - month national - share transfer discount rate were 0.75%, 0.42%, 0.87%, and 0.78% respectively, with changes of 3BP, - 21BP, 5BP, and - 4BP compared to November 21st [7][38]. 3.3 Institutional Behavior Tracking - The inter - bank leverage ratio decreased. As of November 28th, the total inter - bank leverage ratio in the bond market decreased by 0.28 percentage points to 105.98% compared to November 21st, and was at the 8.10% historical quantile since 2021 [40]. - The leverage ratio of broad - based funds decreased slightly. As of November 28th, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 102.7%, 179.2%, 130.2%, and 104.4% respectively, with changes of - 0.51BP, - 12.87BP, 0.93BP, and - 0.13BP compared to November 21st, and were at the 2%, 0%, 80%, and 7% historical quantiles respectively as of November 28th [7][42]. - The central value of the net - buying duration of funds turned negative, while rural commercial banks and wealth - management products increased their durations. As of November 28th, the weighted average net - buying duration (MA = 10) of funds was - 2.62 years, turning negative compared to 2.56 years on November 21st, and was at the 5% historical quantile; the weighted average net - buying duration (MA = 10) of wealth - management products was 1.54 years, increasing compared to November 21st, and was at the 68% historical quantile; the weighted average net - buying duration (MA = 10) of rural commercial banks was - 0.46 years, increasing compared to November 21st, and was at the 36% historical quantile; the weighted average net - buying duration (MA = 10) of insurance companies was 10.21 years, decreasing compared to November 21st, and was at the 71% historical quantile [7][44]. - The duration of medium - and long - term pure - bond funds decreased this week. As of November 28th, the duration of medium - and long - term pure - bond funds decreased by 0.09 years to 3.33 years compared to November 21st, and was at the 18% historical quantile since this year; the duration of short - term pure - bond funds increased by 0.05 years to 1.45 years compared to November 21st, and was at the 34% historical quantile since this year [48].