——央行报表及债券托管量观察：央行回收维稳股市资金，债市向交易盘切换

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Short - term, be aware of bond market disturbances caused by the boost in equity risk preference and positive economic data. Mid - term, the capital and institutional behavior are relatively favorable, so investors can make arrangements during market fluctuations [8][11][99]. - There's no need to overly worry about the bond supply - demand pattern at the end of the quarter. The supply side has a high maturity volume of government bonds in March with limited net financing. The demand side, though the power of allocation funds weakens, still has support. The bond - selling pressure of banks is controllable. Insurance companies usually allocate the remaining funds after the Two Sessions [8][11][99]. - Non - bank funds usually recover gradually near the second quarter. The allocation of wealth management products to the bond market often increases in April. Some non - bank funds may seize opportunities in advance at the end of the quarter. Pay attention to the increased probability of success in the bond market after the Two Sessions [8][11][99]. 3. Summary According to the Directory 3.1 1 - month Central Bank Balance Sheet and Custody Volume Interpretation 3.1.1 2026 January Central Bank Balance Sheet Changes - The central bank's balance sheet size increased from 48.16 trillion yuan to 49.32 trillion yuan, up 11599 billion yuan. The main increase item on the asset side is "claims on other depository corporations", and the main decrease item is "claims on other financial corporations". On the liability side, the main increase items are "government deposits" and "currency issuance", and the main decrease item is "deposits of other depository corporations" [16]. - Asset side: The central bank actively injected "long - term" liquidity. "Claims on other depository corporations" increased significantly. The central bank injected long - term liquidity to offset the impact of the approaching Spring Festival and the fast supply of government bonds. The net investment of innovative tools was 3493 billion yuan, close to the 2915 - billion - yuan increase in the "ChinaBond - Other" account. With the improvement of equity risk preference, the central bank's market - stabilizing tools were gradually withdrawn, and "claims on other financial corporations" decreased by 2239 billion yuan [17][23][28]. - Liability side: "Deposits of other depository corporations" seasonally flowed to "government deposits" and "currency issuance". January is a big tax - paying month, and with the approaching Spring Festival, "government deposits" and "currency issuance" consumed some reserves [25]. 3.1.2 Impact of January 2026 Central Bank Operations on Custody Volume - In terms of quantity, the scale of innovative tools is consistent with the change in the custody volume account. The net investment of innovative tools was 3493 billion yuan, and the balance of the "ChinaBond - Other (Central Bank)" account increased by 2915 billion yuan. - In terms of structure, the main incremental bond types are treasury bonds and policy - financial bonds. The "ChinaBond - Other (Central Bank)" item mainly increased treasury bonds (1716 billion yuan) and policy - financial bonds (1123 billion yuan), and the increase in local government bonds decreased from 1389 billion yuan to 81 billion yuan [28]. 3.2 Leverage Ratio - The combination of loose funds and a bullish bond market led to a strong institutional leverage sentiment. In January 2026, although funds fluctuated briefly, they generally ran smoothly. The average monthly trading volume of the whole - market pledged repurchase increased from 8.0 trillion yuan in December to 8.1 trillion yuan in January and further to 8.8 trillion yuan in early February. The average leverage ratio of bond funds decreased from 121.4% in December 2025 to 120.0% in January and rebounded to 121.1% since February. The leverage levels in January and February were higher than the same period of the previous year [34]. 3.3 By Institution - Banks: - Large banks: They bought long - term treasury bonds beyond the season, driving the narrowing of the 10 - 1 - year spread. In January, large - bank bond investment was at a high level. Benefiting from the good start of deposits, better - than - expected retention rates, and the relaxation of the EVE indicator, they bought 7 - 10 - year treasury bonds beyond the season. Since February, their preference for certificates of deposit has strengthened [52]. - Small and medium - sized banks: They mainly increased their holdings of certificates of deposit and ultra - long - term bonds, driving the compression of the spread. In January, they adopted a dumbbell strategy, mainly increasing their holdings of certificates of deposit, 7 - 10 - year policy - financial bonds, and 20 - 30 - year treasury bonds. Since February, they continued to prefer certificates of deposit but took profits on 7 - 10 - year policy - financial bonds and 20 - 30 - year treasury bonds [56]. - Insurance companies: Benefiting from the rapid growth of dividend - insurance income, their bond - allocation strength was at a seasonal high in January, mainly increasing their holdings of government bonds. They mainly increased their holdings of 15 - 30 - year local government bonds and bought certificates of deposit and perpetual bonds to maintain liquidity. Since February, they sold certificates of deposit and perpetual bonds to extract liquidity and continued to rigidly allocate 15 - 30 - year local government bonds [64]. - General funds: - Funds: In early January, they sold a large amount of bonds due to multiple negative factors. Since the middle of the month, their bond - allocation sentiment improved, and the duration was extended. The share of bond ETFs resumed growth in February [75]. - Wealth management products: After the New Year, the scale of wealth management products did not return as expected. Affected by the Spring Festival cash - withdrawal demand, the bond - allocation scale in January and February was weak [77]. - Foreign investors: The comprehensive income of foreign investors from buying certificates of deposit remained at a low level, and they continued to have a net outflow, mainly reducing their holdings of certificates of deposit and treasury bonds. In January 2026, the comprehensive income of foreign investors from buying certificates of deposit decreased, and the bond custody volume of overseas institutions decreased by 1078 billion yuan, mainly reducing their holdings of 938 - billion - yuan certificates of deposit and 209 - billion - yuan treasury bonds [87]. 3.4 By Bond Type - In January, the incremental custody volume of the bond market increased, with government bonds being the main support, and the contraction of certificates of deposit accelerated. The incremental custody volume of the bond market increased from 3026 billion yuan to 7576 billion yuan. Government bonds were the main support, with treasury bonds and local government bonds increasing by 4270 billion yuan and 5494 billion yuan respectively. The incremental scale of certificates of deposit decreased from - 6224 billion yuan to - 6562 billion yuan [90]. - Interest - rate bonds: The net financing scale increased month - on - month. The issuance rhythm of local government bonds was significantly faster than the same period last year. In January, the net financing scale of interest - rate bonds increased from 4789 billion yuan to 13312 billion yuan, significantly higher than 10335 billion yuan in the same period last year [94]. - Certificates of deposit: Banks had limited willingness to renew issuance, and certificates of deposit had negative growth for three consecutive months. Since November, the central bank's capital injection has maintained the characteristic of "short - term withdrawal and long - term injection". Banks' overall liability - side pressure was not large, and their willingness to renew certificates of deposit was limited. In January, the net financing of certificates of deposit further decreased to - 6230 billion yuan, and the incremental custody volume decreased from - 6224 billion yuan to - 6562 billion yuan [98].