流动性与同业存单跟踪：对同业活期存款自律升级的三点分析

1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - The central bank strengthened the regulation of the self - discipline of inter - bank large - value current deposit interest rates to standardize market behaviors that may undermine monetary policy transmission. This move reduces the cash - holding income of non - bank institutions, enhances the market demand for cash substitutes such as inter - bank certificates of deposit (CDs), short - term bonds, and ABS, and leads to a decline in repo rates. The subsequent decline in the yield of short - term assets, represented by inter - bank CDs, depends on the actual decline of R007. In normal times, the 1 - year CD yield will not fall below R007. In the future, strengthening the regulation of market behaviors that undermine monetary policy transmission may be a key task of the central bank this year. As the yields of bank current wealth management products approach those of public money market funds, it may bring greater allocation power to short - term assets, and the extremely low interest rate spread will continue [1][5][8]. 3. Summary by Relevant Catalogs 3.1 Analysis of the Upgrade of Inter - bank Current Deposit Self - Discipline - Self - discipline requirements: Some member banks were required to strengthen self - management, with the proportion of inter - bank current deposits with an interest rate higher than the 7 - day reverse repurchase OMO policy rate (1.4%) not exceeding 10% - 20% at the end of each quarter. This is an expansion and strengthening of the self - management in late 2024 [2][14]. - Purpose of regulation: It aims to strengthen the regulation of market behaviors that undermine monetary policy transmission. The central bank has established a monetary policy transmission mechanism with the 7 - day reverse repurchase rate as the starting point of the policy rate, and the timely adjustment of policy rates and a reasonable transmission process directly affect the effectiveness of monetary policy [3][15]. - Negative impacts: High inter - bank current deposit interest rates lead to high inter - bank liability costs for commercial banks, which is unfavorable to the transmission chain of "lowering commercial banks' interest - paying costs - stabilizing interest rate spreads - opening up room for overall interest rate cuts" and increases the difficulty of balancing "supporting the real economy and maintaining the health of the banking system." Also, there is an obvious inversion between inter - bank current deposit rates and entity current deposit rates, which leads to arbitrage behavior [4][16]. - Market impacts: The upgrade of inter - bank current deposit self - discipline reduces the cash - holding income of non - bank institutions, enhances the market demand for cash substitutes such as inter - bank CDs, short - term bonds, and ABS, and causes a decline in repo rates. The subsequent decline in the yield of 1 - year inter - bank CDs of national and regional banks depends on the actual decline of R007. In normal times, the 1 - year CD yield will not fall below R007 [5][17][18]. - Future outlook: Strengthening the regulation of market behaviors that undermine monetary policy transmission may be a key task of the central bank this year. As the yields of bank current wealth management products approach those of public money market funds, it may bring greater allocation power to short - term assets, and the extremely low interest rate spread will continue [8][19]. 3.2 Narrow - Sense Liquidity 3.2.1 Central Bank Operations - Short - term liquidity: The central bank conducts short - term liquidity operations to smooth out fluctuations. In the week from March 9 to March 13, 2026, the net short - term liquidity injection was - 1011 billion yuan, with a total reverse repurchase injection of 1765 billion yuan and a total reverse repurchase maturity of 2776 billion yuan [20]. - Medium - and long - term liquidity: The 3 - month and 6 - month maturity buy - out reverse repurchases have started to shrink [20]. 3.2.2 Institution - Level Fund Inflow and Outflow - Fund supply (lenders): Large - scale banks' net fund outflows are at a seasonal high [25]. - Fund demand (borrowers): The absolute financing balance is high, while the relative leverage ratio is low [38]. 3.2.3 Repo Market Transaction - Fund volume and price: The volume is large, and the price is stable. The trading volume of inter - bank pledged repo is high, and the proportion of R001 trading is relatively stable [43][45]. - Fund sentiment index: The fund sentiment is relatively loose [51]. 3.2.4 Interest Rate Swaps - The cost of interest rate swaps fluctuates slightly, and the spread between CDs and interest rate swaps remains at a low level [58]. 3.3 Government Bonds 3.3.1 Next - Week Net Government Bond Payment - The net payment of government bonds next week will increase significantly. The total net payment in the past week was 1621 billion yuan, and it is expected to be 2363 billion yuan next week [60]. 3.3.2 Government Bond Maturity Structure - Ultra - long - term bonds: As of March 13, 2026, the issuance amount and proportion of ultra - long - term bonds (with a maturity of more than 10 years) have changed over time [61][62]. - Treasury bonds: The issuance structure of treasury bonds in 2024, 2025, and 2026 shows different proportions for different maturities, with the proportion of 1 - year - and - below treasury bonds being 34.57%, 33.06%, and 31.16% respectively [63]. - Local government bonds: The issuance structure of local government bonds in 2024, 2025, and 2026 also shows different proportions for different maturities, with the proportion of 10 - year - and - above local government bonds being 42.71%, 47.68%, and 53.49% respectively [64]. 3.4 Inter - bank Certificates of Deposit 3.4.1 Absolute Yield - The yield curves of SHIBOR and AAA - rated inter - bank CDs have changed over the past week [66]. 3.4.2 Issuance and Outstanding Amount - Issuance structure: As of March 13, 2026, the total issuance of inter - bank CDs was 716.4 billion yuan, with different proportions for different maturities and different types of banks [70]. - Outstanding structure: As of March 13, 2026, the total outstanding amount of inter - bank CDs was 1846.667 billion yuan, with different proportions for different maturities and different types of banks [71]. 3.4.3 Relative Valuation - The spreads between the 1 - year AAA - rated inter - bank CD yield and R007, DR007, and the 10 - year treasury bond yield are 3bp, 7bp, and 28bp respectively as of March 13, 2026, with different quantiles since 2020 [73].