跨年资金需求季节性抬升，预计12月市场利率上行：资金观察，货币瞭望

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The seasonal increase in cross - year funding demand is expected to drive up market interest rates in December [4][6][9][15][69] 3. Summary of Each Section Overseas Key Monetary Market Indicator Change Tracking - The Fed cut interest rates by 25BP as expected, and short - term US Treasury yields declined. The 3 - month US Treasury yield dropped to around 3.6%, and since November, the US federal funds rate and SOFR rate have remained stable [10] - The benchmark interest rates of Japan, the Eurozone, and the US are 0.5%, 2.15%, and 3.50 - 3.75% respectively [12] Domestic Key Monetary Market Indicator Change Tracking Price Indicator Overview - In November, the central bank maintained a balanced and slightly loose funding environment. The average repurchase rates in the inter - bank and exchange markets fluctuated slightly. R001, GC001, R007, and GC007 monthly averages changed by 4BP, 0BP, 0BP, and - 1BP respectively [4][20] - Most short - term bond yields declined. The 1 - year Treasury bond, 1 - year CDB bond, 1 - year AAA commercial paper, 1 - year AA commercial paper, 1 - year AA - commercial paper, 1 - year AAA inter - bank certificate of deposit, and 1 - year AA+ inter - bank certificate of deposit changed by - 2BP, - 1BP, - 2BP, - 7BP, - 5BP, - 3BP, and - 2BP respectively [20] - In November, the average DR001 and DR007 increased slightly, with the 1 - day and 7 - day spreads changing by 1BP and - 1BP compared to the previous month [26] - The average exchange repurchase rates mostly declined. The 1 - day and 7 - day spreads between inter - bank and exchange rates changed by - 4BP and - 1BP compared to the previous month [31] - The average inter - bank certificate of deposit rates declined slightly. The spread between the 1 - year high - grade inter - bank certificate of deposit rate and the 7 - day reverse repurchase rate widened slightly [37] - The balance of Yu'E Bao's 7 - day annualized return rate was 1.02%, and the average return of the top ten money funds continued to decline [47] Quantity Indicator Overview - In November, the overnight trading volume and proportion in the exchange market decreased compared to the previous month, while those in the inter - bank market increased. The average daily trading volume of R001 in the inter - bank market was 7.45 trillion, accounting for 88.5%, and that of GC001 in the exchange market was 2.00 trillion, accounting for 87.5% [51] - In November, M0 increased seasonally, and the excess deposit reserve ratio declined slightly. The central bank made a net investment through open - market operations, and the estimated excess deposit reserve ratio in November was 1.1% [55] - The year - on - year monthly average of the bond balance to be repurchased in the inter - bank and exchange markets increased. The year - on - year increase in the inter - bank bond balance to be repurchased was 0.4%, and that in the exchange market was 2% [59] - The volatility index of repurchase rates in the inter - bank and exchange markets increased compared to the previous month [64] Funding Outlook Five - Channel Forecast - M0: In November, M0 increased seasonally by 189.1 billion, and it is estimated to increase by 350 billion in December [71] - Required deposit reserves: In November, RMB deposits of financial institutions increased seasonally by 1.41 trillion, less than the same period last year. It is expected that deposits will decrease by 1 trillion in December, resulting in a decrease of 62 billion in required deposit reserves [75] - Fiscal deposits: In November, fiscal deposits decreased by 46.6 billion. It is expected that fiscal deposits will decrease by 600 billion in December [78] - Foreign exchange funds: The Fed cut interest rates by 25BP in December, and the RMB appreciated against the US dollar. It is expected that foreign exchange funds will decrease by 50 billion in December [83] - Open - market operations: The central bank is expected to continue net investment to maintain a stable funding environment. It is estimated that the excess deposit reserve ratio in December will be 1.6% [91] Main Conclusion - The seasonal demand for year - end funds is expected to drive up market interest rates in December. The central bank has carried out large - scale reverse repurchase operations, the economic work conference has confirmed a moderately loose monetary policy, and the large maturity volume of inter - bank certificates of deposit in December will cause seasonal pressure on the funding side [98]