流动性与同业存单跟踪：信贷是当前资金宽松行情的“第一层”逻辑

Report Industry Investment Rating No relevant information provided. Core Viewpoints - Since the beginning of 2026, especially after the Spring Festival of the Year of the Horse, the capital market has been in a continuous state of looseness, characterized by "ample quantity and low prices" in the inter - bank repurchase market and historically low credit spreads, term spreads, and certificate of deposit spreads [2][12]. - Credit is the "first - layer" logic of the current capital looseness. The slowdown in credit delivery has led to a series of effects, including a higher level of excess reserves, reduced pressure on commercial bank liquidity indicators, less demand for active liabilities, and stronger bond - allocation power by commercial banks [1][11]. - As long as the credit delivery expectation does not significantly improve, the current logic of capital looseness can be sustained, and extremely low credit spreads and certificate of deposit spreads can also be maintained. However, in the absence of interest rate cuts, the central bank's desired repurchase rate level for DR007 may still be around 1.40%. The necessity of further policy interest rate cuts has decreased, and the focus of monetary policy may be on strengthening the regulation of market behaviors that weaken the transmission effect of monetary policy [4][14]. Summary by Directory 1. Credit is the "First - layer" Logic of the Current Capital Looseness - The three tools for studying narrow liquidity are institutional borrowing and lending behavior, credit, and exchange rate. These tools use daily - frequency data to capture marginal changes [1][11]. - Credit delivery is relatively moderate, which slows down the conversion of legal reserves to excess reserves, reduces the pressure on commercial bank liquidity indicators and MPA assessment, decreases the demand for commercial banks' active liabilities (continuing the trend of continuous net repayment of inter - bank certificates of deposit since mid - 2025), and strengthens commercial banks' bond - allocation power [3][13]. 2. Narrow Liquidity 2.1 Central Bank Operations - Short - term liquidity: The central bank conducts "peak - shaving and valley - filling" operations. In the week from March 2 to March 6, the net reverse repurchase injection was -136.34 billion yuan, with a large - scale maturity of reverse repurchase [15]. - Medium - and long - term liquidity: The reduction in the volume of 3 - month outright reverse repurchases may be more due to changes in commercial banks' demand [15]. 2.2 Institutional Borrowing and Lending Situation - Fund supply (lenders): The net lending of large - scale banks is at a seasonal high [18]. - Fund demand (borrowers): The absolute financing balance is high, while the relative leverage ratio is low [31]. 2.3 Repurchase Market Transaction Situation - Capital quantity and price: The market is characterized by "ample quantity and stable prices". The overnight and 7 - day interest rates have reached recent lows. The balance of bonds to be repurchased in the inter - bank market and the overnight repurchase trading volume are at historical highs [2][12]. - Capital sentiment index: The market sentiment is relatively loose [41]. 2.4 Interest Rate Swaps - The cost of interest rate swaps has decreased slightly, and the spread between CDs and IRS has remained at a low level [47]. 3. Government Bonds 3.1 Next Week's Net Payment of Government Bonds - The net payment of government bonds will significantly decrease next week. The net payment in the past week was 28.2 billion yuan, while it is expected to be - 2.1 billion yuan next week [49]. 3.2 Government Bond Maturity Structure - As of March 6, the proportion of ultra - long - term bonds (with a maturity of more than 10 years) in the issuance of government bonds has changed. The issuance of ultra - long - term national bonds and local government bonds in 2026 has different characteristics compared with previous years [52][53][54]. 4. Inter - bank Certificates of Deposit 4.1 Absolute Yields - Overall, the yields have declined [55]. 4.2 Issuance and Outstanding Situation - As of March 6, the issuance and outstanding balance of inter - bank certificates of deposit vary by bank type and maturity. The total issuance is 71.72 billion yuan, and the total outstanding balance is 1876.931 billion yuan [61][62]. 4.3 Relative Valuation - The spreads of inter - bank certificates of deposit show different quantiles since 2020. For example, the spread between the 1 - year AAA - rated inter - bank certificate of deposit yield and DR007 is at the 18% quantile since 2020 [64].