流动性与同业存单跟踪：同业存单利率或仍将“上下两难”

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The report maintains the view in the December 7, 2025, report "Interbank Certificates of Deposit in a Dilemma" that interbank certificate of deposit (CD) rates may remain "caught between a rock and a hard place." The rates face difficulties in rising due to the cost comparison between central bank's medium - term liquidity tools like outright reverse repurchase and MLF and the current issuance rate of interbank CDs, as well as the increasing demand for CD allocation driven by the growth of current - period wealth management products. They also face difficulties in falling because, under the policy of narrowing the short - term interest rate corridor, DR001 and R001 are unlikely to deviate significantly from the central bank's 7 - day OMO rate [1][9]. - The report focuses on answering two key questions: how the RMB exchange - rate appreciation affects the inter - bank liquidity and the scale of the "good start" in credit in January 2026. 3. Summary by Directory 3.1 Interbank CD Rates May Remain "Caught Between a Rock and a Hard Place" - The view that interbank CD rates are in a difficult situation of neither rising nor falling is maintained. The reasons for the difficulty of rising and falling are the same as those in the previous report [1][9]. - Investors are concerned about the impact of RMB exchange - rate appreciation on inter - bank liquidity and the scale of the "good start" in credit in January 2026 [2][9]. 3.2 Narrow - Sense Liquidity 3.2.1 Central Bank Operations - Short - term liquidity: At the beginning of the month, there was a net withdrawal. In the past week (January 4 - 9), the central bank's open - market repurchase agreements matured intensively, with a net withdrawal of 1.655 trillion yuan through pledged reverse repurchases. As of January 9, the central bank's reverse - repurchase balance was 138.7 billion yuan, remaining at a low level [15]. - Medium - term liquidity: The 3 - month outright reverse repurchase was renewed at the same amount. In January, the total maturity amount of outright reverse repurchases was 1.7 trillion yuan (1.1 trillion yuan for the 3 - month and 600 billion yuan for the 6 - month), and the MLF maturity was 200 billion yuan. On January 8, the central bank renewed 1.1 trillion yuan of 3 - month outright reverse repurchases, achieving the third consecutive monthly equivalent renewal [16]. - Long - term liquidity: In December 2025, the central bank's net purchase of treasury bonds was 50 billion yuan, falling short of market expectations [18]. 3.2.2 Institutions' Borrowing and Lending Situations - Fund supply (lending side): On January 9, large - scale banks' net lending (flow concept, excluding same - day maturities) was about 5 trillion yuan, an increase of about 2.8492 trillion yuan compared to December 31, at a relatively high level in the same period of previous years. Their net lending balance was 5.9 trillion yuan, an increase of about 1.2712 trillion yuan compared to December 31. The net lending balance of money - market funds was 0.8 trillion yuan, a decrease of about 412.2 billion yuan compared to December 31, at an extremely low level in the same period of previous years. Small - and medium - sized banks' net lending was - 637.3 billion yuan, a decrease of about 256.6 billion yuan compared to December 31, at a relatively low level in the same period of previous years [19]. - Fund demand (borrowing side): On January 9, the balance of bonds to be repurchased in the inter - bank pledged repurchase market was about 13.1 trillion yuan, an increase of 1.2491 trillion yuan compared to December 31. By institution, public funds (excluding money - market funds), securities companies, bank wealth - management products, and insurance companies increased by 5.4 billion yuan, 30 billion yuan, 34.6 billion yuan, and decreased by 207.5 billion yuan respectively. The market - wide leverage ratio was 107.6%, an increase of 0.72 percentage points compared to December 31, at the 42% percentile since 2020. The leverage ratio of non - legal - person products was 114.2%, an increase of 0.19 percentage points compared to December 31, at about the 53% percentile since 2020 [25]. 3.2.3 Repurchase Market Transaction Situations - Fund quantity and price: In the past week, the inter - bank pledged repurchase market had a large volume and stable prices. The median daily trading volume of inter - bank pledged repurchases was about 8.7 trillion yuan, an increase of 2.3934 trillion yuan compared to December 29 - 31. The median R001 was 1.33%, a decrease of about 4 basis points compared to the previous week, remaining at a low level. In terms of liquidity stratification, the median spread between R001 and DR001 was 6.8 basis points, a decrease of 5.6 basis points compared to the previous week; the median spread between GC001 and R001 was 10.6 basis points, a decrease of 42.9 basis points compared to the previous week [31]. - Fund sentiment index: The overall inter - bank liquidity was loose, and the financing difficulty was low. The sentiment index was mostly below 50 [33]. 3.2.4 Interest - Rate Swaps - The 1 - year FR007 IRS rate was basically flat compared to the previous week. This week, the median 1 - year FR007 IRS rate was 1.51%, at the 4% percentile since 2020 [35]. 3.3 Government Bonds - In the past week, the net payment for government bonds was 432.7 billion yuan, with a large net - payment pressure, including 315 billion yuan for treasury bonds and 117.7 billion yuan for local bonds. In the coming week, government bonds are expected to have a net repayment of 93.1 billion yuan, including a net repayment of 159.2 billion yuan for treasury bonds and a net payment of 66.1 billion yuan for local bonds [37]. 3.4 Interbank CDs 3.4.1 Absolute Yield - On January 9, the SHIBOR overnight, 7 - day, 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year quotes were 1.27%, 1.46%, 1.56%, 1.6%, 1.62%, 1.64%, and 1.65% respectively. The yields to maturity of ChinaBond's commercial - bank AAA - rated 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year interbank CDs were 1.53%, 1.6%, 1.63%, 1.63%, and 1.63% respectively. Except for the 9 - month term with no change in the quote, the other terms increased by 4 basis points, 5 basis points, 2 basis points, and 1 basis point respectively compared to December 31 [38]. 3.4.2 Issuance and Outstanding Situations - In the past week (January 4 - 9), the total primary issuance of interbank CDs was 176.36 billion yuan (excluding those with undisclosed actual raised amounts as of January 9), an increase of 35.69 billion yuan compared to December 29 - 31. In terms of issuance terms, the proportions of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year were 26%, 6%, 15%, 15%, and 44% respectively. Among them, the proportions of 1 - month, 6 - month, 9 - month, and 1 - year increased by 6.4 percentage points, 11.9 percentage points, 6.0 percentage points, and 43.6 percentage points respectively, while the 3 - month proportion decreased by 42.6 percentage points [41]. 3.4.3 Relative Valuation - On January 9, the spread between the 1 - year AAA - rated interbank CD yield to maturity and R007 was 12 basis points, at the 29% percentile since 2020; the spread between the 10 - year treasury - bond yield to maturity and the 1 - year AAA - rated interbank CD was 25 basis points, at the 66% percentile since 2020 [44].