降息概率压缩，存单下行空间逼仄：存单周报（0302-0308）-20260308

1. Report Industry Investment Rating No relevant information is provided in the report. 2. Core Viewpoints - The interest rate cut space is limited, and around 1.55% may be the "resistance level" for the pricing of 1-year state-owned and joint-stock bank certificates of deposit. The supply of certificates of deposit may be relatively active in March due to a high maturity scale and strong credit performance. There is still a strong allocation preference from small and medium-sized banks and product accounts. Policy rate cuts may be relatively cautious, and if the policy rate does not cut, the probability of further compression of MLF pricing is limited, so the downward breakthrough space for 1-year state-owned and joint-stock bank certificates of deposit is narrow [2][49]. 3. Summary by Relevant Catalogs Supply: Net financing turns positive, and the term structure continues to widen - This week (March 2 - March 8), the issuance scale of certificates of deposit was 71.72 billion yuan, and the net financing amount was 12.921 billion yuan (last week was -21.271 billion yuan). The issuance proportion of state-owned banks increased from 15% to 19%, and that of joint-stock banks decreased from 46% to 35%. The weighted issuance term of certificates of deposit lengthened to 8.66 months (previous value was 6.96 months) [2][5]. - Next week (March 9 - March 15), the maturity scale will increase significantly to 100.64 billion yuan, a week-on-week increase of 41.888 billion yuan. The maturities are mainly concentrated in state-owned and joint-stock banks. From a term perspective, the maturity amounts of 3M and 6M certificates of deposit are relatively high, at 25.7 billion yuan and 23.026 billion yuan respectively [2][5]. Demand: Small and medium-sized banks are the main secondary allocation players, and the primary market subscription rate declines slightly - In terms of secondary allocation institutions, the weekly net purchases of small and medium-sized banks increased slightly from 7.4479 billion yuan to 18.2892 billion yuan; the weekly net purchases of large banks increased from -4.9069 billion yuan to 197.43 yuan; the weekly net sales of money market funds increased from 4.5129 billion yuan to 16.3888 billion yuan; other types of institutions had weekly net purchases of 4.6689 billion yuan, an increase of 1.8155 billion yuan compared with last week (2.8534 billion yuan) [2][19]. - In terms of primary issuance, the overall primary market subscription rate (15DMA) declined to 93%. By institution, the subscription rate of joint-stock banks remained unchanged at 96%, that of city commercial banks decreased from 89% to 87%, that of state-owned banks decreased from 99% to 98%, and that of rural commercial banks increased from 84% to 85% [2][19]. Valuation: The primary and secondary pricing of certificates of deposit declines slightly - In terms of primary pricing, the weighted issuance rate of 1-year joint-stock bank certificates of deposit declined to 1.56%. Specifically, the 3M certificates of deposit of joint-stock banks declined by 5bp compared with last week, the 9M certificates of deposit declined by 4bp, and the 1-year variety continued to fluctuate at a low level, declining by 4bp compared with last week. The 1Y - 3M term spread of joint-stock banks is 4.15bp, at the 12% historical quantile. In terms of credit spreads, the spread between 1-year city commercial banks and joint-stock banks is 9.7BP, with the spread quantile around 12%; the spread between rural commercial banks and joint-stock banks is 12.05BP, with the spread quantile around 37% [2][21]. - In terms of secondary yields, the yields of AAA-rated certificates of deposit declined slightly. Specifically, the 1M variety remained unchanged compared with last week, the 3M and 9M varieties declined by 5bp compared with last week, the 6M variety declined by 4bp, and the 1Y variety declined by 3bp, around 1.55%. The 1Y - 3M term spread of AAA-rated certificates of deposit is 4.5bp, at the 17% historical quantile level [2][31]. Comparison: The spreads between certificates of deposit and treasury bonds and policy bank bonds have narrowed - In terms of asset comparison, the spreads between certificates of deposit and treasury bonds and policy bank bonds have narrowed. Specifically, the spread between the yield of 1-year AAA-rated certificates of deposit and the DR007:15DMA funding spread widened from -7.58BP to 8.56BP; the spread with the R007:15DMA funding spread narrowed from -1.75BP to -0.65BP; the spread between certificates of deposit and treasury bonds slightly narrowed from 3.27BP to 1.98BP, and the quantile declined to 17%; the spread between certificates of deposit and policy bank bonds narrowed from 2.41BP to -2.20BP, and the quantile declined to around 33%. In addition, the spread between AAA medium and short-term notes and certificates of deposit widened from 0BP to 1.68BP, and the quantile increased to around 8% [2][37].