中信证券研报称，近期，DR001逐步下探，距离利率走廊下沿只剩5bps，意味着在下一次降息之前，资 金利率继续下探的空间有限。另一方面，结合央行2025年四季度货政例会的表述，"防范资金空转"暂时 不再强调，资金利率抬升概率也不大，预计后续资金利率将维持低位运行。 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Tax period funds remained loose this week, and the central bank's care for cross - year liquidity led to a significant decline in short - term interest rates, raising market expectations for interest rate cuts. The interest rate cut may occur in March - April 2026 [4][35][41] - The issuance of government bonds in 2025 is nearing completion. The net financing forecast for December treasury bonds is adjusted upwards to 335.2 billion yuan, and the net financing scale of local bonds in December is expected to be about 230 billion yuan. The supply pressure of local bonds in Q1 2026 may be slightly lower than that in Q1 2025 [6][56][59] - Next week, the net payment scale of government bonds will rise, but the exogenous disturbances in the capital market may decrease, and the loose liquidity state is expected to continue. Attention should be paid to whether the average value of DR001 in December can fall below 1.3% [9][45][69] 3. Summary According to the Table of Contents 3.1 Monetary Market 3.1.1 This Week's Capital Situation Review - The central bank's 7 - day and 14 - day reverse repurchase operations resulted in a net withdrawal of 1.1 billion yuan this week. On Monday, 80 billion yuan of treasury cash fixed - term deposits matured, and the central bank conducted a 600 - billion - yuan 6 - month outright reverse repurchase operation, with an excess renewal of 200 billion yuan. Despite tax - period disturbances, funds remained loose, and DR001 was maintained at around 1.27% [3][15] - The trading volume of pledged repurchase oscillated upwards, with the average daily trading volume increasing by 0.4 trillion yuan to 8.48 trillion yuan compared to last week. The overall scale of pledged repurchase continued to rise, approaching the historical high in early July. The net lending of large - scale banks oscillated and slightly declined, while that of joint - stock banks and city commercial banks oscillated and rose, especially joint - stock banks reaching a new high since August last year. The overall rigid net lending of banks also continued to rise. The rigid net lending of non - banks first decreased and then increased, with an overall slight decline. The capital gap index oscillated and declined [4][22] - The cross - year progress of funds this year is late. As of Friday, the cross - year progress of the inter - bank and exchange markets is only higher than that in 2024, and the gap with previous years is widening. The cross - year progress of the entire market is 7.6%, 5.5 percentage points lower than the average of 20 - 24 [31] - The short - term interest rates represented by 1 - year policy financial bonds and IRS ended a multi - quarter continuous oscillation and significantly declined, reflecting market expectations of a downward shift in the capital interest rate center and an increase in interest rate cut expectations [35] 3.1.2 Next Week's Capital Outlook - The net payment scale of government bonds will rise from 1.61 billion yuan this week to 366.6 billion yuan. The 7 - day reverse repurchase maturity scale will decrease from 668.5 billion yuan to 457.5 billion yuan. On December 25, 300 billion yuan of MLF will mature, and the central bank is expected to continue to renew it in excess [45][69] - The new shares of Hengdongguang on the Beijing Stock Exchange will be issued online on December 23, which may cause some disturbances to the exchange capital price from Tuesday to Wednesday. After the tax period, the exogenous disturbances in the capital market may decrease, and the loose liquidity state is expected to continue [9] 3.2 Inter - bank Certificates of Deposit - The 1 - year Shibor rate remained unchanged at 1.65% compared to December 12. The secondary rate of 1 - year AAA - rated inter - bank certificates of deposit decreased by 2.5 BP to 1.64% compared to last week [70] - The issuance scale of inter - bank certificates of deposit increased more than the maturity scale this week, with a net repayment scale of 69 billion yuan, a decrease of 51.5 billion yuan compared to last week. The net financing scales of joint - stock banks, rural commercial banks, state - owned banks, and city commercial banks were 43.1 billion yuan, 22.2 billion yuan, - 119.7 billion yuan, and - 23 billion yuan respectively. The issuance proportion of 3 - month certificates of deposit was the highest at 34%, and the issuance proportion of 1 - year certificates of deposit increased by 2 percentage points to 17% compared to last week. The maturity scale of certificates of deposit next week is about 868.6 billion yuan, a decrease of 196.2 billion yuan compared to this week [10][73] - The issuance success rates of state - owned banks and joint - stock banks increased compared to last week, while those of rural commercial banks and city commercial banks decreased. Except for state - owned banks with a relatively high issuance success rate, the others are near the average level in recent years. The issuance spread of 1 - year certificates of deposit between city commercial banks and joint - stock banks widened [75] - The relative supply - demand strength index of certificates of deposit continued to rise this week, reaching 40.5% on Friday, an increase of 6.7 percentage points compared to last week. The supply - demand index of 1 - year varieties decreased significantly, while those of other tenors continued to rise [83] 3.3 Bill Market - Bill interest rates first rose and then fell this week. As of December 19, the 3 - month bill interest rate of national joint - stock banks increased by 4 BP to 0.49% compared to December 12, and the 6 - month bill interest rate decreased by 1 BP to 0.89% [89] 3.4 Bond Trading Sentiment Tracking - The bond market oscillated strongly this week, and the spreads of credit bonds and perpetual bonds continued to widen. The willingness of large - scale banks to increase bond holdings weakened, especially for treasury bonds and inter - bank certificates of deposit within 1 year. They tended to reduce holdings of local bonds and policy financial bonds within 1 year, but the willingness to reduce holdings of perpetual bonds decreased, and they tended to increase holdings of commercial paper [92] - The overall willingness of trading - type institutions to increase bond holdings declined significantly. Among them, the willingness of fund companies and other products to increase holdings decreased significantly, the willingness of securities companies to reduce holdings increased slightly, and the willingness of other institutions to increase holdings increased [92]

对于DR001低位运行，天风证券固定收益首席分析师谭逸鸣认为原因有三： 对于DR001为何在近日跌破年内低点，多位分析师认为，这主要是资金供需两端共同作用的结果。 □置换债发行节奏前置、年末财政支出提速，对12月流动性形成补充 □央行投放力度与节奏匹配机构需求，稳定了资金面预期 □历史经验显示，12月资金利率波动多集中在跨年阶段，其余时点往往围绕中枢窄幅运行 ◎记者 张欣然 进入12月，银行间资金利率在低位区间继续回落。上周，具有市场风向标意义的DR001阶段性跌破 1.3%，收于1.27%的年内新低，打破了今年以来隔夜利率"低位低波但不破下限"的运行状态。 随着12月税期临近，市场对资金面是否转紧的关注明显升温。不过，从央行操作节奏及机构判断来看， 在中长期流动性提前投放、财政支出形成补充以及机构资金需求偏弱等因素支撑下，税期扰动预计难以 改变年末资金面整体平稳充裕的格局。 隔夜利率低位运行 进入12月，银行间资金利率延续平稳偏松态势。业内人士认为，财政支出投放提速、央行年末流动性呵 护以及机构资金需求阶段性偏弱等因素叠加，是推动短端利率回落的主要原因，整体流动性仍处于偏松 区间。 从走势看，隔夜资金利率呈 ...

Core Viewpoint - The Federal Reserve announced the initiation of the Reserve Management Purchases (RMP) tool starting December 12, with a plan to purchase $40 billion of short-term Treasury securities in the first month, maintaining a high level of purchases in subsequent months. This RMP is expected to inject approximately $150 billion in reserves into the market, lasting until Q2 2026, primarily focusing on ultra-short-term Treasury securities [2][5][25]. Group 1: Actions by the Federal Reserve - The RMP is a significant highlight of the December FOMC meeting, aimed at maintaining adequate reserve levels and addressing seasonal fluctuations in the Treasury General Account (TGA) [5][6]. - The RMP will primarily purchase short-term Treasury securities, with 75% of purchases targeting securities with maturities of 1-4 months [25][26]. - The RMP is expected to last at least until Q2 2026, with a target reserve balance of around $3 trillion, requiring an injection of approximately $150 billion in reserves [6][28]. Group 2: Economic Implications of RMP - The RMP is expected to improve short-term liquidity, benefiting the stock market by facilitating "loose trading" conditions. However, it is not equivalent to quantitative easing (QE) and may have limited effects on long-term interest rates and financing costs for the real economy [7][35]. - The RMP's operational scale is designed to counteract seasonal liquidity pressures, particularly during tax payment periods, which can tighten market liquidity [6][29]. Group 3: Current Liquidity Conditions - The current reserve levels are slightly below the reasonable range, with the reserve balance to nominal GDP ratio at 9.5% and the reserve balance to total bank assets ratio at 11.8% [8][45]. - Maintaining adequate reserve levels is crucial for the effective implementation of the Federal Reserve's "floor system" monetary policy framework, which relies on sufficient reserves to control market interest rates [9][51]. - The liquidity conditions are tighter than desired, but the situation is better than during the previous QT phase, reducing the risk of a liquidity crisis [41][60].

Group 1: Federal Reserve Actions - The Federal Reserve announced the restart of the Reserve Management Purchases (RMP) tool, starting December 12, with an initial plan to purchase $40 billion in short-term Treasury securities in the first month[2] - The RMP is expected to inject approximately $150 billion in reserves into the market, continuing until Q2 2026[4] - The purchase structure will focus on ultra-short-term Treasury securities, with 75% of purchases planned for maturities of 1-4 months[4] Group 2: Economic Implications - The RMP aims to improve short-term liquidity, benefiting the U.S. stock market's "loose trading" environment[5] - However, RMP is not equivalent to quantitative easing (QE) and is expected to have limited effects on long-term interest rates and the cost of financing for the real economy[5] - The RMP's operational scale may need to be adjusted based on seasonal fluctuations in the Treasury General Account (TGA) and overall liquidity demands[4] Group 3: Current Liquidity Conditions - The current reserve levels are slightly below the reasonable range, with reserves to nominal GDP ratio at 9.5% and reserves to total bank assets at 11.8%[7] - The reasonable reserve balance is estimated to be around $3 trillion, indicating a need for the RMP to maintain adequate liquidity levels[22] - Compared to the end of QT-1, the current reserve levels are more ample, as they were 6.4% and 7.9% respectively at that time[7] Group 4: Market Indicators - The effective federal funds rate (EFFR) and the secured overnight financing rate (SOFR) have shown signs of liquidity tightening, with SOFR recently exceeding the interest on excess reserves (IOER) for consecutive weeks[8] - The EFFR-IOER spread has been narrowing, indicating a potential liquidity shortage in the banking system, although the situation is better than in 2019[9]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The cost of the central bank's medium - term liquidity injection tools such as outright reverse repurchase and MLF forms a price - comparison relationship with the current issuance rate of inter - bank certificates of deposit (CDs). Also, the scale of public money market funds and bank wealth management cash - management products is expected to continue growing, so it's difficult for the inter - bank CD rate to rise significantly. However, it's also hard for DR001 to fall significantly below the central bank's 7 - day OMO rate, so the downward space for the inter - bank CD rate is limited [1]. - In the context of low cross - year financing difficulty, the inter - bank CD yield may remain in a "dilemma" pattern within the year. Wait patiently for a possible CD allocation point in January 2026 [4][12]. 3. Summary by Relevant Catalogs "进退维谷"的同业存单 - Since the fourth quarter, the yield of 1 - year AAA - rated inter - bank CDs has had an amplitude of only 5bp, fluctuating between 1.63% and 1.68%. In December, the amplitude has narrowed to 2bp, indicating a balance between "long" and "short" factors [2][11]. - The inter - bank CD yield has a high difficulty in rising. The cost of the central bank's medium - term liquidity injection tools forms a price - comparison relationship with the CD issuance rate, and the growth of current - account wealth management product scale drives up the CD allocation demand [3][11]. - The inter - bank CD yield also has a high difficulty in falling. Under the policy of narrowing the short - term interest rate corridor, DR001 and R001 are unlikely to deviate significantly from the central bank's 7 - day OMO rate, and the money market has been characterized by "ample quantity but stable price" in the past six months [4][12]. 狭义流动性 央行操作：月初季节性净回笼 - In the past week (12/1 - 12/5), the central bank's pledged reverse repurchase had a net withdrawal of 8480 billion yuan, and the reverse repurchase balance as of December 5 was 6638 billion yuan, at a low level [13]. - In December, the maturity amount of outright reverse repurchase was 14000 billion yuan (10000 billion yuan for 3M and 4000 billion yuan for 6M), and the maturity of MLF was 3000 billion yuan. On December 5, the central bank renewed 10000 billion yuan of 3M outright reverse repurchase, achieving an equal - amount renewal [14][15]. 机构融入融出情况：月初融出顺畅 - On December 5, the net funds lent out by large - scale banks (flow concept) were 4.1 trillion yuan, about 7415 billion yuan higher than on November 28, and the net lending balance was 4.7 trillion yuan, about 2966 billion yuan more than on November 28, both at relatively high levels compared with the same period in previous years. The net lending balance of money market funds was 1.2 trillion yuan, about 2366 billion yuan lower than on November 28, at a neutral level compared with the same period in previous years. The net lending of joint - stock banks was 40 billion yuan, about 317 billion yuan higher than on November 28, at a relatively low level compared with the same period in previous years [16]. - On December 5, the balance of bonds to be repurchased in the inter - bank pledged repurchase market was about 11.7 trillion yuan, 6678 billion yuan higher than on November 28. The leverages of the whole market and non - legal person products changed accordingly [26]. 回购市场成交情况：月初流动性摩擦小 - In terms of quantity and price of funds, at the end of the month, the volume and price of the inter - bank pledged repurchase market were stable. The median daily trading volume was about 7.9 trillion yuan, an increase of 4867 billion yuan compared with 11/24 - 11/28. The median of R001 was 1.36%, a 1bp decrease from last week. The liquidity friction was small [30]. - The money market was generally loose, and the financing difficulty at the beginning of the month was low, with the sentiment index mostly around 50 [31]. 利率互换：基本持平 - The 1 - year FR007 IRS rate and SHIBOR 3 - month IRS 1 - year rate decreased slightly compared with last week. The median of the 1 - year FR007 IRS was 1.54%, in the bottom 10% of the range since 2020, and the median of the SHIBOR 3 - month IRS 1 - year was 1.60%, in the bottom 22% of the range since 2020 [36]. 政府债：未来一周政府债净缴款压力下降 下周政府债净缴款 - In the past week, the net payment of government bonds was 1866 billion yuan, with relatively small overall pressure. Treasury bonds and local bonds had net payments of 500 billion and 1366 billion yuan respectively. In the next week, government bonds are expected to have a net repayment of 7952 billion yuan, with treasury bonds having a net repayment of 8797 billion yuan and local bonds having a net payment of 845 billion yuan [37]. 当前政府债发行进度 - As of December 5, the net financing progress of treasury bonds was 96.2%, up 2.6% from the previous week, and the remaining net financing space in 2025 was about 2523 billion yuan. The issuance of the 5000 - billion - yuan local bond quota balance to be carried forward within the year has started [39]. 同业存单：收益率窄幅震荡 绝对收益率 - On December 5, SHIBOR quotes for overnight, 7 - day, 1M, 3M, 6M, 9M, and 1Y were 1.3%, 1.42%, 1.52%, 1.58%, 1.62%, 1.64%, and 1.65% respectively. Except for the 7 - day term, which decreased by 2bp compared with November 28, the quotes for other terms remained unchanged. The yields of 1M, 3M, 6M, 9M, and 1Y inter - bank CDs of commercial banks with AAA ratings were 1.58%, 1.62%, 1.64%, 1.66%, and 1.66% respectively, with those of 1M and above terms increasing by 13bp, 4bp, 2bp, 2bp, and 2bp respectively compared with November 28 [42]. 发行和存量情况 - In the past week (December 1 - December 5), the total primary issuance volume of inter - bank CDs was 4959 billion yuan. In terms of issuance terms, the proportions of 1M, 3M, 6M, 9M, and 1Y were 13%, 12%, 44%, 9%, and 22% respectively, with the proportions of 1M, 6M, and 9M increasing and those of 3M and 1Y decreasing [44]. 相对估值 - On December 5, the spread between the 1 - year AAA - rated inter - bank CD yield and R007 was 16bp, at the 35% quantile since 2020; the spread between the 10 - year treasury bond yield and the 1 - year AAA - rated inter - bank CD yield was 19bp, at the 47% quantile since 2020 [47].

Investment Rating - The report maintains an "Outperform" rating for the industry [2] Core Insights - The current financial system in China is significantly exhibiting characteristics of a "Big Central Bank," with the People's Bank of China reshaping the asset management industry's ecology and operational logic through various monetary tools and macro-prudential management frameworks [4] - By 2026, the bond market is expected to see a structural shift where large commercial banks will enhance their market pricing influence due to closer liquidity ties with the central bank, while public funds and smaller banks will face constraints in bond investment, particularly in long-term securities [4] - The equity market is anticipated to maintain a slow bull trend, supported by a continued trend of "deposit migration" among residents, potentially bringing in an incremental capital of 4-5 trillion yuan into asset management products and direct market investments [4] Summary by Sections Central Bank and Banking - The central bank is narrowing the interest rate corridor by introducing the 7-day reverse repurchase rate as the main policy rate, which allows for more flexible monetary control [8][12] - The central bank's operations, including the buying and selling of government bonds, are aimed at stabilizing long-term bond rates and managing market expectations [13][14] Banking Wealth Management - The trend of "deposit migration" is expected to benefit the growth of wealth management scale, as traditional savings rates decline and residents seek higher returns [66] - The scale of bank wealth management products is projected to continue growing, with the current estimated size around 33 trillion yuan [70] - Despite a downward trend in performance benchmarks for newly issued wealth management products, they are still expected to remain above deposit rates, driving banks to enhance their middle-income business [75] Insurance Asset Management - The report highlights the potential for "low guaranteed + high floating" products, particularly dividend insurance, to thrive in a low-interest-rate environment, as they help insurers manage liability costs effectively [108] - By 2025, insurance capital is expected to increase its allocation to equity assets, with a focus on high-dividend investment opportunities and long-term bonds to mitigate asset-liability duration mismatch risks [123][124]

Core Viewpoint - The article discusses the construction of a scientific and robust monetary policy system and a comprehensive macro-prudential management system, emphasizing the need to narrow the interest rate corridor to enhance the effectiveness of the central bank's policy rates [1][10]. Summary by Sections Monetary Policy Framework - The central bank aims to strengthen the role of policy interest rates and narrow the width of the short-term interest rate corridor, facilitating the transmission from policy rates to market benchmark rates [1][10]. - The current interest rate corridor has a width of 240 basis points, which has led to instances where market benchmark rates significantly deviate from policy rates, weakening the guiding effect of the policy rates [9][10]. New Interest Rate Corridor - The proposed new corridor will have an upper limit set by the temporary overnight reverse repurchase rate and a lower limit set by the temporary overnight repurchase rate, with a reduced width of 70 basis points, a decrease of 135 basis points from the original corridor [2][10]. - The market benchmark rate may shift from DR007 to DR001, indicating a tighter control over short-term interest rates [2][12]. Implications of a Wider Corridor - A wider interest rate corridor has been criticized for allowing significant deviations of market rates from policy rates, which can lead to excessive leverage in the market [9][10]. - The corridor was established post-2015 to stabilize short-term market rates, but instances of DR007 falling below policy rates have raised concerns about its effectiveness [6][8]. Challenges in Adjusting the Corridor - Adjusting the corridor involves potential challenges, such as the impact on market expectations and the need to balance the upper and lower limits effectively [4][11]. - The central bank may face difficulties in incentivizing banks to lend to the real economy if the excess reserve rate is raised, as it could lead to a preference for holding funds at the central bank [11][12]. Future Developments - The central bank has indicated that narrowing the interest rate corridor is essential for clearer communication of monetary policy objectives and enhancing the guiding role of policy rates [10][12]. - The new corridor structure has already begun to take shape, with the market benchmark rate now fluctuating within the newly defined limits, indicating a more effective monetary policy transmission mechanism [12][14].

Monetary Policy Outlook - The monetary policy in 2026 is expected to maintain a supportive stance, with potential for 1-2 rate cuts corresponding to a 10-20bps reduction[1] - The 10-year government bond yield is projected to fluctuate within the range of 1.70%-2.0%, while the 30-year yield may range from 1.90%-2.30%[1] - The central bank may implement 1 trillion yuan in net purchases of government bonds, equating to a 50bps reduction in reserve requirement ratio (RRR) in terms of liquidity supply[2] Interest Rate Corridor Adjustment - The interest rate corridor is expected to narrow, with DR001 becoming the benchmark rate, guiding fluctuations around the 7-day reverse repurchase rate[2] - The new interest rate corridor may see adjustments, with a target range of 70bps for the upper and lower limits based on temporary reverse repo rates[2] Interest Rate Pricing and Spread Management - The focus will shift towards managing the interest rate spread while maintaining a reasonable interest rate relationship, particularly between loans and government bonds[3] - The average weighted interest rate for loans was 3.24% as of Q3 2025, with the after-tax yield on loans at 1.787%, closely matching the 10-year government bond yield of 1.76%[3] Risks and Challenges - Potential risks include unexpected inflation due to "anti-involution" policies and the possibility of monetary policy easing if economic performance falls short of expectations[3] - The banking sector may face challenges with asset duration mismatches and unstable deposit scales, necessitating timely adjustments in monetary policy to enhance liquidity supply[3]

利率走廊收窄的债市含义 20251118 理想中的短期利率走廊应具备以下特征：一是能够有效控制市场基准利率如 DR007 等波动区间，使其围绕政策目标稳定运行；二是具有灵活且透明的调控 机制，以便及时应对市场变化；三是涵盖广泛，包括商业银行及非银机构，以 确保全面覆盖金融体系各类参与者。 可以借鉴美联储经验。在 2008 年次贷危 机前，美联储通过日常 OMO 操作使实际联邦基金有效利用 EFFF 围绕目标波动， 实现精准管控。次贷危机后，由于 QE 导致银行间流动性过剩，美联储创设 IORB 与 ONRRP 组成新的地板系统，通过这些工具调整市场流动性。因此，我 国央行可考虑类似方式，通过日常精准投放与新型工具组合，提高资金面稳定 性与预见性，从而增强金融服务实体经济效能。 收窄短期利率走廊会对债市产生哪些具体影响？ 潘功胜行长在十五规划学习材料中提到要收窄短期利率走廊的宽度，这对央行 货币政策操作和债市定价有何影响？ 潘功胜行长提到收窄短期利率走廊的宽度，这将对央行货币政策操作和债市定 价产生深远影响。目前，人民银行已初步形成以 7 天逆回购利率为基准政策利 率、DR007 为基准市场利率的货币政策调控框 ...