流动性与同业存单跟踪：人民币汇率对狭义流动性的影响或更多在于价

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - The impact of RMB exchange rate on narrow - liquidity may be more about price rather than quantity. The central bank's attitude towards the rapid appreciation of the RMB may lead to a downward revision of the central bank's desired level of repo rates such as R007 [1][4][13] - Under the combined effect of RMB appreciation, central bank support, and neutral credit, the inter - bank liquidity may continue to be loose, but the equilibrium position of R007 may still be at 1.5, and the extremely low certificate of deposit spreads and credit spreads will continue [4][17] 3. Summary According to the Directory 3.1 RMB Exchange Rate's Impact on Narrow - Liquidity - On February 27, 2026, the central bank announced that starting from March 2, 2026, it would lower the foreign exchange risk reserve ratio for forward foreign exchange sales business from 20% to 0. Since the beginning of 2026, the RMB has continued to appreciate, and the appreciation rate has increased. The on - shore and off - shore RMB spreads have also continued to converge [2][11] - The one - sided movement of the RMB shows the resilience of the Chinese economy but also amplifies the short - term over - appreciation risk. The central bank's reduction of the foreign exchange risk reserve ratio often works in conjunction with positive efforts of the counter - cyclical factor and low repo rates. Preventing the short - term rapid appreciation of the RMB is the current policy focus of the central bank [3][12] - The market generally understands the impact mechanism of the RMB exchange rate on narrow - liquidity from the perspective of "quantity", but the report believes that "price" (the central bank's desired level of repo rates) is a more reasonable perspective. In January 2026, the month - on - month increase in the foreign exchange position item of the central bank's balance sheet was 53.1 billion yuan, which was negligible compared with the inter - bank excess reserves. When the exchange rate depreciation pressure is high, the counter - cyclical factor is significantly negative, the RMB liquidity in Hong Kong tightens, and the inter - bank repo rate (represented by R007) rises significantly [4][13] 3.2 Bond Spreads Related to the Funding Situation - The cash withdrawal rhythm of commercial banks is relatively fast, and under the combined effect of RMB appreciation, central bank support, and neutral credit, the inter - bank liquidity may continue to be loose, and the extremely low certificate of deposit spreads and credit spreads will continue [4][14][17] 3.3 Narrow - Liquidity 3.3.1 Central Bank Operations - Short - term liquidity: The central bank conducts "peak - shaving and valley - filling" operations. From February 24 to February 28, the net injection of pledged reverse repurchase was - 61.14 billion yuan. Medium - and long - term liquidity: MLF and outright reverse repurchases continue to have a net injection [18] 3.3.2 Institutional Lending and Borrowing Situations - The supply of funds (lenders) is at a seasonal high, and the demand for funds (borrowers) has a high absolute financing balance and a relatively low leverage ratio [24][33] 3.3.3 Repo Market Transaction Situations - The volume of funds is large and the price is stable, and the capital sentiment index continues to be loose [43][45] 3.3.4 Interest Rate Swaps - Interest rate swaps are fluctuating downward, with a slight decline in the cost of interest rate swaps, and the spread between CDs and IRS continues to be low [50][52] 3.4 Government Bonds 3.4.1 Next - Week Government Bond Net Payment - Past week: The total issuance of government bonds (treasury bonds + local government bonds) was 68.14 billion yuan, and the net payment was 19.04 billion yuan. Next week: The total issuance is expected to be 23.75 billion yuan, and the net payment is expected to be 14.10 billion yuan [55] 3.4.2 Government Bond Maturity Structure - As of February 27, the issuance of ultra - long - term bonds with a maturity of more than 10 years and the issuance maturity structures of treasury bonds and local government bonds in 2024, 2025, and 2026 are presented [56][59][60] 3.5 Certificates of Deposit (CDs) 3.5.1 Absolute Yield - The absolute yield of CDs is basically flat, and the yield curve of CDs has declined overall compared with before the Spring Festival holiday [61][62] 3.5.2 Issuance and Outstanding Situations - As of February 27, the issuance and outstanding balance structures of CDs of different types of banks are presented, including the issuance and balance proportions of different maturities [66][67] 3.5.3 Relative Valuation - Relevant spread analysis of CDs shows the spreads between CDs and R007, DR007, and 10 - year treasury bonds and their quantiles since 2020 [69]