流动性与机构行为跟踪：大行买短，农商接长

Report Industry Investment Rating No relevant content provided. Core View of the Report This week (December 1 - December 5), the funds' interest rates declined, the daily average of large - bank lending increased, and the funds deleveraged. The maturity volume of certificates of deposit decreased, and the maturity yield curve of certificates of deposit shifted upward. In the cash bond trading, the main buyers were rural commercial banks, which mainly increased their holdings of 7 - 10Y interest - rate bonds. Funds continued to sell, mainly selling 7 - 10Y and 20 - 30Y interest - rate bonds and increasing their holdings of short - term credit bonds. Large banks increased their holdings of interest - rate bonds with a maturity of less than 3Y, and insurance companies continued to allocate more 20 - 30Y ultra - long - term interest - rate bonds [3]. Summary by Directory 1. Monetary and Funding Conditions - A total of 1511.8 billion yuan of reverse repurchases matured this week. The central bank conducted reverse repurchase operations of 107.6 billion yuan, 156.3 billion yuan, 79.3 billion yuan, 180.8 billion yuan, and 139.8 billion yuan from Monday to Friday respectively, with a cumulative investment of 663.8 billion yuan. On Friday, 1000 billion yuan of outright reverse repurchases matured, and 1000 billion yuan of outright reverse repurchases were issued. The net liquidity withdrawal for the whole week was 848 billion yuan [9]. - The funds' prices declined. As of December 5, R001, R007, DR001, and DR007 were 1.37%, 1.5%, 1.3%, and 1.44% respectively, changing by - 5.33BP, - 2.59BP, - 0.3BP, and - 2.88BP compared with November 28, and were at the 17%, 8%, 11%, and 3% historical percentiles respectively [11]. - The daily average of large - bank lending increased. From December 1 to December 5, the total lending scale of large banks was 22.31 trillion yuan, with the highest single - day lending scale of 4.6 trillion yuan and the daily average lending scale of 4.5 trillion yuan, an increase of 610 billion yuan compared with the previous week's daily average [15]. - The trading volume of pledged repurchase increased. The average daily trading volume was 7.93 trillion yuan, with the highest single - day trading volume reaching 8.2 trillion yuan, an increase of 11.77% compared with the previous week's daily average. The proportion of overnight repurchase transactions increased, with the average daily proportion being 89.5%, the highest single - day proportion reaching 89.9%, an increase of 2.86 percentage points compared with the previous week's daily average, and as of December 5, it was at the 90.4% percentile [17]. 2. Inter - bank Certificates of Deposit and Bills - The issuance scale of inter - bank certificates of deposit decreased this week, and the net financing amount increased. The total issuance was 495.11 billion yuan, a decrease of 64.14 billion yuan compared with the previous week; the total maturity was 448.81 billion yuan, a decrease of 353.23 billion yuan compared with the previous week. The net financing amount was 46.3 billion yuan, an increase of 289.09 billion yuan compared with the previous week [20]. - Among different bank types, 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 165.6 billion yuan, 99.23 billion yuan, 196.16 billion yuan, and 29.16 billion yuan respectively, changing by 50.49 billion yuan, - 92.98 billion yuan, 1.61 billion yuan, and - 17.22 billion yuan compared with the previous week [20]. - Among different maturity types, the 6M issuance scale was the highest. The issuance scales of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit were 66.6 billion yuan, 60.35 billion yuan, 217.36 billion yuan, 41.94 billion yuan, and 108.86 billion yuan respectively, changing by 17.72 billion yuan, - 46.91 billion yuan, 72.85 billion yuan, - 112.03 billion yuan, and 4.23 billion yuan compared with the previous week. The 6M certificates of deposit accounted for the highest proportion of the total issuance of certificates of deposit by different types of banks, with a proportion of 43.90%, mainly due to more issuances by state - owned banks; the 1Y maturity accounted for 21.99%, mainly due to more issuances by joint - stock banks [21]. - The issuance rates of certificates of deposit by different banks were differentiated this week, and the issuance rates of certificates of deposit with all maturities increased. As of December 5, the issuance rates of one - year certificates of deposit by joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks changed by 0.25BP, - 1BP, 4.77BP, and - 7.5BP compared with November 28, and were at the 4%, 4%, 6%, and 4% historical percentiles respectively. In terms of maturities, as of December 5, the issuance rates of 1M, 3M, and 6M certificates of deposit changed by 5.89BP, 1.66BP, and 2.58BP compared with November 28, and were at the 8%, 5%, and 4% historical percentiles respectively [28]. - The Shibor rates were differentiated this week. As of December 5, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates changed by 0BP, - 2.1BP, - 2.1BP, 0BP, and 0BP compared with November 28 to 1.3%, 1.42%, 1.51%, 1.52%, and 1.58% respectively [30]. - The maturity yield curve of certificates of deposit shifted upward. As of December 5, the 1M, 3M, 6M, 9M, and 1Y maturity yields of AAA - rated ChinaBond commercial bank inter - bank certificates of deposit were 1.58%, 1.62%, 1.64%, 1.66%, and 1.66% respectively, changing by 13.43BP, 4BP, 2BP, 1.5BP, and 1.5BP compared with November 28 [32]. - The bill rates were differentiated. As of December 5, the 3M direct discount rate of state - owned and joint - stock banks, 3M transfer discount rate of state - owned and joint - stock banks, 6M direct discount rate of state - owned and joint - stock banks, and 6M transfer discount rate of state - owned and joint - stock banks were 0.69%, 0.47%, 0.81%, and 0.86% respectively, changing by - 6BP, 5BP, - 6BP, and 8BP compared with November 28 [37]. 3. Institutional Behavior Tracking - The inter - bank leverage ratio increased. As of December 5, the total inter - bank leverage ratio of the bond market increased by 0.36 percentage points compared with November 28 to 106.34%, at the 27.6% historical percentile since 2021 [39]. - The leverage ratio of broad - based funds decreased slightly. As of December 5, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.5%, 176.6%, 129.6%, and 104.2% respectively, changing by 0.82BP, - 2.55BP, - 0.69BP, and - 0.16BP compared with November 28, and were at the 27%, 0%, 75%, and 4% historical percentiles respectively [41]. - The central value of the net purchase duration of funds continued to decline, while rural commercial banks and wealth management products increased their durations. As of December 5, the weighted average net purchase duration (MA = 10) of funds was - 8.48 years, a decline from - 2.62 years on November 28, at the 0% historical percentile; the weighted average net purchase duration (MA = 10) of wealth management products was 3.28 years, an increase compared with November 28, at the 94% historical percentile; the weighted average net purchase duration (MA = 10) of rural commercial banks was 3.58 years, an increase compared with November 28, at the 86% historical percentile; the weighted average net purchase duration (MA = 10) of insurance companies was 11.05 years, a decline compared with November 28, at the 78% historical percentile [43]. - The duration of medium - and long - term pure - bond funds increased this week. As of December 5, the duration of medium - and long - term pure - bond funds increased by 0.02 years compared with November 28 to 3.35 years, at the 22% historical percentile since this year; the duration of short - term pure - bond funds increased by 0.17 years compared with November 28 to 1.62 years, at the 61% historical percentile since this year [47].