流动性与机构行为跟踪：基金增信用，大行买入7-10Y

Report Summary 1. Report Industry Investment Rating The provided content does not mention the report industry investment rating. 2. Core View of the Report This week (January 12 - January 16), the money market rates showed a divergence, with large - scale banks increasing their average daily lending, and funds reducing leverage. The maturity volume of certificates of deposit (CDs) increased, and most of the CD maturity yields declined. In the cash bond trading, the main buyers were insurance companies, which mainly increased their holdings of 15 - 30Y interest - rate bonds. Large - scale banks increased their purchases of 7 - 10Y interest - rate bonds, funds mainly increased their holdings of 1 - 3Y credit bonds and 3 - 5Y other bonds (including Tier 2 and perpetual bonds), and wealth management products increased their allocation to CDs [5]. 3. Summary by Directory 3.1 Money Market - Open - market operations: This week, there were 138.7 billion yuan of reverse repurchase maturities. The central bank cumulatively injected 951.5 billion yuan of reverse repurchases, 900 billion yuan of outright reverse repurchases were injected, and 600 billion yuan matured. The net injection for the whole week was 1112.8 billion yuan [5][8]. - Money market rates: As of January 16, R001, R007, DR001, and DR007 were 1.37%, 1.51%, 1.32%, and 1.44% respectively, with changes of 2.54BP, - 0.2BP, 4.72BP, and - 2.97BP compared to January 9, and were at the 17%, 9%, 14%, and 3% historical percentiles respectively [5][10]. - Large - scale banks' lending: From January 12 to January 16, the total lending scale of large - scale banks was 29.02 trillion yuan, with a daily maximum lending scale of 6.2 trillion yuan and an average daily lending scale of 5.8 trillion yuan, a 0.06 - trillion - yuan increase compared to the previous week's average [15]. - Pledged repurchase trading volume: The average daily trading volume was 8.62 trillion yuan, with a daily maximum of 8.94 trillion yuan, a 14.90% increase compared to the previous week's average. The average daily proportion of overnight repurchase transactions decreased by 0.64 percentage points, and as of January 16, it was at the 97.3% percentile [5][17]. 3.2 Certificates of Deposit and Bills - CD issuance and financing: The CD issuance scale increased compared to the previous week, and the net financing turned negative. The total issuance was 552.88 billion yuan, an increase of 377.82 billion yuan compared to the previous week. The total maturity was 808.46 billion yuan, an increase of 480.1 billion yuan compared to the previous week. The net financing was - 255.58 billion yuan, a decrease of 102.28 billion yuan compared to the previous week [5][21]. - CD maturity volume: The CD maturity volume increased this week, with a total of 808.46 billion yuan, an increase of 480.1 billion yuan compared to the previous week. In the new week (January 19 - January 23), the CD maturity was 706.39 billion yuan [21][26]. - CD issuance rates: The CD issuance rates of different banks and different maturities showed a divergence. As of January 16, the one - year CD issuance rates of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks changed by - 0.5BP, - 2.5BP, 3.04BP, and - 7BP respectively compared to January 9. The 1M, 3M, and 6M CD issuance rates changed by 1BP, 0.7BP, and - 4.88BP respectively compared to January 9 [28]. - Shibor rates: The Shibor rates increased. As of January 16, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates changed by 5.3BP, 0.9BP, 0.9BP, 0.1BP, and 0.5BP respectively compared to January 9 [30]. - CD maturity yields: Most of the CD maturity yields declined. As of January 16, the 1M, 3M, 6M, 9M, and 1Y maturity yields of AAA - rated ChinaBond commercial bank CDs changed by - 1.25BP, 0BP, - 1.09BP, - 1BP, and - 0.75BP respectively compared to January 9 [5][34]. - Bill rates: The bill rates declined. As of January 16, the 3M state - owned bank direct discount rate, 3M state - owned bank transfer discount rate, 6M state - owned bank direct discount rate, and 6M state - owned bank transfer discount rate changed by - 2BP, - 2BP, - 8BP, and - 4BP respectively compared to January 9 [5][36]. 3.3 Institutional Behavior Tracking - Inter - bank leverage ratio: The inter - bank leverage ratio in the bond market decreased slightly. As of January 16, it decreased by 0.08 percentage points to 105.66% compared to January 9, and was at the 46.40% historical percentile since 2021 [39]. - General fund leverage ratio: The general fund leverage ratio declined slightly. As of January 16, the bank leverage ratio, securities leverage ratio, insurance leverage ratio, and general fund leverage ratio were 103.9%, 195.8%, 133.5%, and 104.1% respectively, with changes of - 0.1BP, 5.51BP, 0.46BP, and - 0.02BP compared to January 9, and were at the 48%, 7%, 93%, and 4% historical percentiles respectively [5][41]. - Net purchase duration: The net purchase weighted average duration of funds decreased, while that of insurance companies increased slightly. As of January 16, the net purchase weighted average duration (MA = 10) of funds was - 3.71 years, a decrease from - 2.51 years on January 9; that of wealth management products was - 1.54 years, a decrease; that of securities was - 7.49 years, a decrease; and that of insurance companies was 9.93 years, an increase [5][43]. - Duration of pure - bond funds: The duration of medium - and long - term pure - bond funds decreased slightly, while that of short - term pure - bond funds increased. As of January 16, the duration of medium - and long - term pure - bond funds decreased by 0.02 years to 3.26 years compared to January 9, and was at the 13% historical percentile since 2025; the duration of short - term pure - bond funds increased by 0.01 years to 1.77 years compared to January 9, and was at the 76% historical percentile since 2025 [47].