流动性与同业存单跟踪：辩证IRS对资金面的预期

Report Industry Investment Rating - Not provided in the report Core Viewpoints - IRS reflects the market's expectation of the future capital cost center, but past experience has proven that the expectation reflected by IRS is not always correct [1][2][10] - Recently, the appreciation of the RMB is the main reason for the increasing expectation of capital easing and the continuous decline of IRS. The leveraged carry trade strategy is still effective, but in the medium - term, it is still maintained that "this round of RMB appreciation is beneficial to the inter - bank liquidity, but the magnitude should not be overestimated" [1][3][13] Summary by Directory 1 IRS's Expectation of the Capital Market: Neither Completely Believe Nor Completely Disbelieve - IRS reflects the market's expectation of the future capital cost center. Taking FR007IRS1 - year as an example, it uses a fixed cost to avoid the uncertainty of FR007 fluctuations in the next year, and this fixed cost is the expected value of the average FR007 in the next year [2][10] - Past experience shows that the capital expectation reflected by IRS is not always correct. For example, after the Politburo meeting in December 2024 and the Central Economic Work Conference in December 2024, the market's expectation of the central bank's monetary policy easing in 2025 rapidly increased, and FR007S1Y deviated significantly downward from FR007. But after July 2025, FR007S1Y began to be slightly higher than FR007 for a long time [2][11] 2 Narrow - Sense Liquidity 2.1 Central Bank Operations - Short - term liquidity: In the past week (12/22 - 12/26), the central bank's pledged reverse repurchase had a net withdrawal of 348 billion yuan. As of December 26, the central bank's reverse repurchase balance was 622.7 billion yuan, indicating a relatively loose capital situation [14] - Medium - term liquidity: In December, the due amount of outright reverse repurchases was 1.4 trillion yuan, and the MLF due was 300 billion yuan. The central bank continued to make net investments in MLF and outright reverse repurchases, with a total net investment of 30 billion yuan [15] - Long - term liquidity: Since the net investment amount of medium - term liquidity tools in December was at a relatively low level since August 2025, there are higher expectations for the amount of treasury bond trading in December [16] 2.2 Institutions' Financing and Lending Situations - Fund supply: On December 26, the net lending of large - scale banks was about 3.9 trillion yuan (flow concept), a decrease of about 258 billion yuan compared with December 19. The net lending balance of large - scale banks was 4.9 trillion yuan, an increase of about 136.2 billion yuan compared with December 19. The net lending balance of money market funds was 800 billion yuan, a decrease of about 74 billion yuan compared with December 19. The net lending of joint - stock banks was 416.7 billion yuan, a decrease of about 180.1 billion yuan compared with December 19 [19] - Fund demand: On December 26, the balance of repurchase - to - be - bought bonds in the inter - bank market was about 13 trillion yuan, an increase of 166.2 billion yuan compared with December 19. The leverage ratios of the whole market and non - legal person products increased [26] 2.3 Repo Market Transaction Situation - Capital volume and price: In the past week, the inter - bank pledged repo market had a large volume and stable prices. The median daily trading volume of the inter - bank pledged repo was about 8.6 trillion yuan, an increase of 56.7 billion yuan compared with December 15 - 19. The median of R001 was 1.36%, unchanged from last week. Due to the impact of new share subscriptions on the Beijing Stock Exchange, the financing friction in the exchange increased [29] - Capital sentiment index: The overall capital situation was loose, and the financing difficulty was low. The sentiment index was around 50 most of the time [32] 2.4 Interest Rate Swaps - The median of the 1 - year FR007IRS this week was 1.49%, a decrease of 4.2bp compared with last week, and the interest rate was in the bottom 3% since 2020 [39] 3 Government Bonds 3.1 Next Week's Net Payment of Government Bonds - In the past week, the net payment of government bonds was 366.7 billion yuan, with the net payment of treasury bonds being 374.1 billion yuan and the net repayment of local government bonds being 7.4 billion yuan. In the next week, only 26 billion yuan of local government bonds will be issued on December 29 [40] 3.2 Current Issuance Progress of Government Bonds - As of December 26, the net financing progress of treasury bonds was 98.6%, an increase of 2.7% in the past week, and the remaining net financing space in 2025 was about 90.2 billion yuan. The issuance of local government bonds has been completed [42] 4 Inter - bank Certificates of Deposit 4.1 Absolute Yield - On December 26, SHIBOR overnight, 7 - day, 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year quotes were 1.26%, 1.45%, 1.58%, 1.6%, 1.63%, 1.64%, and 1.65% respectively. The maturity yields of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year inter - bank certificates of deposit of AAA - rated commercial banks in the ChinaBond were 1.62%, 1.6%, 1.62%, 1.64%, and 1.64% respectively. Except for the 6 - month term, which increased by 1bp compared with December 19, the quotes of other terms remained unchanged [46] 4.2 Issuance and Stock Situations - In the past week (December 22 - 26), the total primary issuance volume of inter - bank certificates of deposit was 560.29 billion yuan, an increase of 435.5 billion yuan compared with December 15 - 19. In terms of issuance terms, the proportions of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year were 17%, 17%, 23%, 10%, and 33% respectively [49] 4.3 Relative Valuation - On December 26, the spread between the 1 - year AAA - rated inter - bank certificate of deposit maturity yield and R007 was 11bp, in the 28% quantile since 2020; the spread between the 10 - year treasury bond maturity yield and the 1 - year AAA - rated inter - bank certificate of deposit was 20bp, in the 51% quantile since 2020 [52]