证券研究报告|宏观跟踪周报 [Table_Date] 2025 年 10 月 11 日 [Table_Title] 资金利率或低位运行 往后看，税期前资金面有望维持平稳，10 月流动性的考验或集中在月末。受国 庆假期影响，本月税期申报截止日延迟至 27 日，28-29 日为走款日。这也意味着， 税期和跨月周重合，且 10月为季初大税期，跨月前的流动性压力更为突出。而在此 之前，资金面基本处于利空因素真空期。 与此同时，下周政府债供给压力也较低。（10 月 13-17 日）政府债净缴款规模 仅为 748 亿元，对资金面的扰动不大。在此背景下，影响下周流动性的主要因素依 然是公开市场到期。10 月 13-17 日，央行公开市场合计到期 19710 亿元。不过6月 以来，央行惯例是在每月 15 日（遇周末递延至 16 日）续作 6 个月买断式逆回购。 若本月如期投放，资金利率大概率维持低位运行，隔夜利率摆布在 OMO-5bp 附 近，7 天资金利率维持在 1.50%以下。 ►公开市场：10 月 13-17 日，逆回购到期 1 万亿+ [Table_Title2] 流动性跟踪 [Table_Summary] ►概况： ...

流动性宽松或为当前债市最大的确定性 ——2025 年 10 月流动性展望 [Table_ReportTime] 2025 年 10 月 8 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com1 证券研究报告 债券研究 [T专题able_ReportType] 报告 [Table_A 李一爽 uthor 固定收益 ] 首席分析师 执业编号：S1500520050002 联系电话：+8618817583889 邮 箱：liyishuang@cindasc.com 3流动性宽松或为当前债市最大的确定性 ——2025 年 10 月流动性展望 [Table_ReportDate] 2025 年 10 月 8 日 信达证券股份有限公司 CINDASECURITIESCO.,LTD 北京市西城区宣武门西大街甲 127 号金 隅大厦 B 座 邮编：100031 请阅读最后一页免责声明及信息披露 http://www.cindasc.com2 [➢Table_Summary] 8 月超储率较 7 月下降 0.1pct 至 1.1%，处于偏低水平，也低于我们预期的 1.4%。政府存款并未如预期下降 ...

风险提示 政府债发行受多方面因素影响、历史经验不完全适用、政策超预期、海外市场波动。 9 月复盘：9 月资金面较 8 月小幅收紧 9 月资金面环比收紧，但相较历史同期收紧幅度有限。9 月各期限资金利率中枢小幅上移，DR001、DR007、DR014 运行 中枢分别上行 4bp、1bp、3bp，从 DR007 偏离政策利率幅度来看，9 月 DR007 向上偏离 OMO 7 天幅度为 9bp，较 8 月的 8bp 小幅走阔。对比历史同期来看，历年 9 月 DR007 偏离政策利率幅度多较 8 月走阔，2016 年以来 9 月两者利差环比 走阔均值为 7bp，但今年 9 月资金利率收紧幅度明显低于历史同期均值。 今年 9 月央行净投放资金规模较历史同期偏高。截至 28 日，9 月央行通过逆回购、买断式逆回购及 MLF 合计净投放 资金 9760 亿，投放水平仅次于 2023 年 9 月。从历年 9 月资金利率的日度走势来看，和以往 9 月资金利率在月末"先 下后上"的走势略有不同，今年 9 月资金面抬升趋势可能在税期前后有所显现，随后到月末反而小幅走低。显示出央 行对资金面的精准把控及呵护态度，整体流动性虽然较 8 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The adjustment of the 14 - day reverse repurchase tender method is beneficial for the decline of cross - quarter funds prices. The current institution's cross - quarter progress is slow, and the central bank's adjustment shows its intention to support cross - quarter liquidity, which helps to stabilize the cross - quarter funds price. Although this week's funds were tightened due to multiple factors, it cannot be inferred that the central bank's attitude has changed. Next week, the overall liquidity pressure is expected to ease marginally [3][26][29]. 3. Summary According to the Directory 3.1 Money Market 3.1.1 This Week's Funds Review - The central bank's OMO had a net injection of 5623 billion yuan this week, and a 6000 - billion - yuan 6M outright reverse repurchase was carried out on Monday, with a monthly net injection of 3000 billion yuan. A 1500 - billion - yuan 1M treasury cash fixed - deposit operation was conducted on Wednesday, with a winning bid rate of 1.78%, the same as the previous value. Affected by factors such as the tax period and government bond payments, funds were marginally tightened. DR001 once rose to 1.51% on Thursday and only eased significantly on Friday [3][8]. - The trading volume of pledged repurchase fluctuated and declined this week, with the average daily trading volume decreasing by 0.33 trillion yuan to 7.16 trillion yuan. The net lending of large banks decreased in the first half of the week and rebounded above 4 trillion yuan in the second half. The net lending of city commercial banks and joint - stock banks decreased on Monday and recovered in the middle of the week but declined again on Friday. The net lending of non - banks increased significantly on Wednesday and then decreased slightly, while the net borrowing of non - banks increased in the second half of the week. The funds gap index first rose and then fell [3][16]. - The September cross - quarter progress of inter - bank institutions and exchanges was slow, with the overall market cross - quarter progress at the lowest level in recent years. The excess reserve ratio in August decreased by 0.1 pct to 1.1%, lower than the expected 1.4%, mainly due to the unexpected increase of 3370 billion yuan in government deposits [3][20][22]. - This week, funds tightened marginally due to multiple exogenous disturbances, especially the freezing of 8512 billion yuan by the new stock Jinhuaxincai on the Beijing Stock Exchange, which caused a significant increase in GC001 on Tuesday and Wednesday. However, funds eased on Friday, and the average values of DR001 and DR007 since September were 1.39% and 1.48% respectively, similar to those since Q3, so it cannot be inferred that the central bank's attitude has changed [3][26]. 3.1.2 Next Week's Funds Outlook - Next week, the treasury bond payment scale is expected to be 3320 billion yuan, and the local bond issuance scale of 12 regions is 1961 billion yuan, with an actual payment scale of 2422 billion yuan. The net payment scale of government bonds will decrease from 4030 billion yuan this week to 908 billion yuan, but the single - day net payment on Monday will reach 2525 billion yuan [3][33]. - The report maintains the assumption that the treasury bond issuance in September is 1.49 trillion yuan with a net financing of about 7300 billion yuan, and the local bond issuance is 9000 billion yuan with a net financing of 4900 billion yuan. It is estimated that the government bond issuance scale in September is about 2.39 trillion yuan, with a net financing scale of about 1.22 trillion yuan [3][41]. - It is estimated that the treasury bond issuance scale in October is about 1.25 trillion yuan, with a net financing scale of about 2700 billion yuan, and the local bond issuance scale is 7100 billion yuan, with a net financing scale of 4600 billion yuan. The overall government bond issuance scale in October is expected to be about 1.96 trillion yuan, with a net financing of about 7300 billion yuan [3][44]. - Next week, the maturity scale of reverse repurchases will rise to 18268 billion yuan, and there will be a 3000 - billion - yuan MLF maturity on Thursday. The main exogenous disturbances to the funds will be concentrated in the first half of the week. Although the demand for cross - quarter funds will increase in the second half of the week, the central bank will stabilize funds through 14 - day reverse repurchase injections, MLF is likely to be renewed in excess, and the end - of - quarter fiscal expenditure may also provide some hedging. It is expected that the liquidity pressure will ease marginally compared to this week [3][52]. 3.2 Inter - bank Certificates of Deposit - This week, the 1Y Shibor rate rose 0.6BP to 1.67%, and the secondary rate of 1 - year AAA - rated inter - bank certificates of deposit rose 0.5BP to 1.68% [53]. - The issuance scale of inter - bank certificates of deposit increased while the maturity scale decreased this week, with a net financing of 903 billion yuan. The net financing scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 2469 billion yuan, - 843 billion yuan, - 529 billion yuan, and - 47 billion yuan respectively. The issuance proportion of 1Y certificates of deposit rose to 23%, and the 3M certificates of deposit had the highest issuance proportion at 36%. Next week, the maturity scale of certificates of deposit is about 8941 billion yuan, an increase of 881 billion yuan compared to this week [57]. - The issuance success rates of state - owned banks, city commercial banks, and rural commercial banks increased compared to last week, while that of joint - stock banks decreased. Except for the relatively low issuance success rate of state - owned banks, the others were above the average level in recent years. The issuance spread of 1Y certificates of deposit between city commercial banks and joint - stock banks narrowed [58]. 3.3 Bill Market This week, bill rates fluctuated and rose. The rates of 3M and 6M national stock bills rose 10BP and 7BP respectively to 1.25% and 0.86% [4]. 3.4 Bond Trading Sentiment Tracking - This week, bond yields fluctuated at a high level, and the spreads of credit and Tier 2 perpetual bonds were relatively stable. Large banks' willingness to increase bond holdings decreased significantly, especially for medium - and short - term treasury bonds. Their willingness to reduce holdings of 3 - 7 - year policy financial bonds and local bonds increased, and they tended to reduce holdings of Tier 2 perpetual bonds [4]. - Trading - type institutions tended to increase bond holdings, including fund companies and securities companies. The willingness of other products to increase holdings also rose, while that of other institutions decreased. Allocation - type institutions tended to reduce bond holdings. Rural commercial banks tended to reduce bond holdings, the insurance companies' willingness to increase holdings decreased, and the wealth management products' willingness to increase holdings was basically the same as last week [4].

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core View of the Report The report analyzes the liquidity situation from July to September 2025, predicting that the September capital market will likely remain relatively loose, similar to August, within the existing policy framework [2][3]. 3. Summary by Relevant Catalogs 3.1 July: Slow Replacement Bond Expenditure and Neutral Excess Reserve Ratio - July's excess reserve ratio dropped by 0.2pct to 1.2%, slightly more than expected but at a neutral level for non - quarter - end months [6]. - Fiscal deposits in July rose by 7648 billion yuan, higher than the expected 4508 billion yuan, indicating a slow expenditure progress of replacement bonds [6]. - The central bank's claims on other depository corporations increased by 2184 billion yuan in July, matching high - frequency monetary policy tools [6]. 3.2 August: Rising Excess Reserve Ratio and New Low in Capital Interest Rate - The scale of the broad fiscal deficit in August may be higher than in previous years, and the expenditure of replacement bonds will reduce government deposits. Government bond net supply decreased significantly compared to last year, with an estimated 3100 - billion - yuan decline in government deposits [13]. - The central bank's claims on other depository corporations are expected to rise by about 4900 billion yuan in August, and the excess reserve ratio is estimated to be about 1.4%, up 0.2pct from July [13]. - In August, capital was generally loose but tightened after the middle of the month. The decline in bank net lending around the tax period was significantly higher than in previous years, which may be related to the stock market and the central bank's "anti - arbitrage" stance, but the impact may be short - term [32]. - The average values of DR001 and DR007 in August reached new lows for the year, possibly due to the decline in non - bank institutional leverage demand [51]. 3.3 September: Stable Capital Interest Rate and Limited Downward Space for Overnight Interest Rate - The broad fiscal deficit in September may still be higher than in previous years, and the expenditure of replacement bonds will continue to reduce government deposits. The net financing of government bonds is expected to decline slightly compared to August, with an estimated 7800 - billion - yuan decline in government deposits [57]. - The central bank's claims on other depository corporations are expected to rise by about 2800 billion yuan in September, and the excess reserve ratio is estimated to be about 1.6%, up 0.2pct from August [57]. - There is no obvious exogenous shock to the capital market in September. The central bank aims to boost inflation, and the probability of policy tightening is low. The capital market in September is likely to remain relatively loose, similar to August [65][69].

Group 1 - The core viewpoint indicates that the new RMB loans and social financing in August exceeded market expectations, suggesting a neutral to tight liquidity state [1][2] - The economic data for August shows a recovery in consumption, investment, and exports, with retail sales increasing by 0.5% year-on-year, marking the first positive growth this year [1] - The monetary multiplier reached a historical high of 7.17 in August, reflecting strong credit expansion, while the excess reserve ratio continued to decline, leading to tighter interbank liquidity [2] Group 2 - The central bank's operations included a total of 620 billion yuan in reverse repos maturing this week, with a net injection of 90 billion yuan over the first four days [2] - Despite the central bank's excess MLF operations, the issuance rates for interbank certificates of deposit remained firm, indicating ongoing pressure on banks' medium to long-term liabilities [3] - The VIX index has decreased from a high of 38.28 to around 25, reflecting a decline in market risk appetite due to simultaneous declines in US crude oil and stock markets [3] Group 3 - FTSE Russell announced it will conduct a final assessment regarding the inclusion of RMB bonds in its indices, with a high likelihood of Chinese government bonds being included, which could attract significant allocation funds to the bond market [4] - The interbank lending center extended trading hours for overseas institutions investing in the Chinese bond market, demonstrating a positive regulatory attitude towards foreign capital [4]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In July 2025, the capital market experienced increased volatility but maintained a stable central level. The central bank actively adjusted its open - market operations to maintain market stability. The implementation effect of monetary policy will continue to emerge, and the central bank may maintain a coordinated policy stance during the peak issuance of government bonds. - In August, the overall capital gap pressure is expected to be seasonally large, around 1.8 trillion yuan. However, the capital central level is likely to remain around 1.5%, with a limited risk of significant tightening. The central bank may maintain a coordinated policy stance and there is a relatively higher probability of restarting bond - buying from August to September [4][5][69]. 3. Summary According to the Directory 3.1 7 - Month Capital and Liquidity Review 3.1.1 Capital Review - In July 2025, the overnight capital fluctuation range increased compared to the end of the previous quarter. The overnight capital fluctuated between 1.3 - 1.4% at the beginning of the month and rose to around 1.5% in the middle. The 7D capital price was basically around 1.5% from the beginning to the middle of the month and rose to around 1.6% at the end. The spread between 7D and overnight capital inverted for one day at the end of the month [10]. - The capital operation was affected by fiscal expenditures, reverse - repurchase operations, and MLF. The capital center decreased overall, with DR001 centered around 1.4% and DR007 fluctuating around 1.5% [11]. - The capital stratification pressure increased briefly in July, with spreads at a seasonal low. The capital volatility of overnight increased, and the 7D capital volatility changed seasonally. The average daily trading volume of inter - bank pledged repurchase decreased slightly compared to June [16][22][23]. 3.1.2 Liquidity Review - In terms of liquidity volume, the base currency in July may have decreased by 6019 billion yuan. The end - of - month excess reserves may have decreased by 5161 billion yuan, with an excess reserve ratio of about 1.55%. The narrow - sense excess reserve level after deducting reverse - repurchase is about 0.7%, still at a low level [31]. - In open - market operations, the central bank actively increased reverse - repurchase investments in July, with a net investment of 1880 billion yuan. MLF invested 4000 billion yuan and matured 3000 billion yuan. The net investment of outright reverse - repurchase was 2000 billion yuan, and a 1000 - billion - yuan treasury deposit operation was carried out [33][37][40]. 3.2 7 - Month Monetary Policy Tracking - In the middle of July, the central bank leader stated that the effect of the implemented monetary policy would continue to emerge, and it was reasonable for small and medium - sized banks to increase bond holdings. The regulatory attitude was more moderate than expected. - In the middle and late July, the central bank solicited opinions on "canceling the freezing of collateral for bond repurchase", which may improve collateral utilization efficiency in the long run. - At the end of July, the Political Bureau meeting emphasized implementing a more proactive fiscal policy and a moderately loose monetary policy, and fully releasing policy effects. The probability of a short - term interest rate cut is low, and the central bank may maintain a coordinated policy stance during the peak issuance of government bonds [3][48][52]. 3.3 8 - Month Gap Prediction 3.3.1 Rigid Gap - In August, the growth of general deposits may freeze about 902 billion yuan in reserves. The MLF maturity is 3000 billion yuan, and the outright reverse - repurchase maturity is 0.9 trillion yuan (4000 billion yuan for 3M and 5000 billion yuan for 6M) [4][57]. 3.3.2 Exogenous Shocks - Cash withdrawals and non - financial institution deposits may slightly freeze excess reserves. Cash withdrawals may consume about 577 billion yuan in excess reserves, and non - financial institution deposits may consume about 723 billion yuan [61]. 3.3.3 Fiscal Factors - The government bond issuance in August is expected to be around 1.5 trillion yuan. Considering factors such as payment reflux, taxation, and fiscal expenditures, government deposits may freeze about 2000 billion yuan in liquidity [64]. 3.3.4 Comprehensive Judgment - The overall capital gap in August is estimated to be around 1.8 trillion yuan, with a seasonally large pressure. However, the capital central level is likely to remain around 1.5%, with a limited risk of significant tightening. The central bank may continue the idea of over - repurchase and pay attention to the bank's liability situation and the possibility of the central bank restarting bond - buying from August to September [4][5][69].

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - In June, the excess reserve ratio rose to 1.3%, still at a low level for the end - of - quarter month and lower than expected. The central bank maintained the normalization of capital prices by supporting bank lending. In July, the central bank aimed to keep liquidity relatively loose within the existing framework, with the excess reserve ratio expected to be around 1.2%. In August, the excess reserve ratio is projected to be about 1.1%, remaining at a neutral level in recent years. The probability of reserve requirement ratio cuts and interest rate cuts in August is low, but the central bank may still maintain relatively loose liquidity [2][3]. - The fluctuation of the capital market in July was related to the improvement of the equity market sentiment, especially the freezing of funds due to new stock listings on the Beijing Stock Exchange. The capital market in August may continue the tone of July, and attention should be paid to whether DR001 can break through the lower limit of 1.3% at the beginning of the month [2][33][61]. 3. Summary by Relevant Catalogs 3.1. Quarter - end Central Bank Claims Did Not Rise Unexpectedly, and the Increase in the Excess Reserve Ratio in June Was Weaker than Seasonal - In June, the excess reserve ratio rose by about 0.3pct to 1.3%, lower than the expected 1.5%, due to the central bank's claims on other depository corporations not rising additionally as expected to offset the previous decline. After the central bank announced the liquidity injection of various tools in May, the difference between the central bank's claims on other depository corporations and high - frequency data decreased, and its follow - up normalization needs attention [6]. - In June, the fiscal deposit decreased by 5722 billion yuan, less than the expected 7400 billion yuan. The expenditure progress of special refinancing bonds was slow, and the repurchase of treasury cash time deposits might have led to an additional increase in government deposits. Other factors such as currency issuance, central bank legal deposit reserves, and foreign exchange funds were close to expectations [8]. - Despite the relatively low excess reserve ratio, the net lending scale of banks continued to rise in June, and the central DR001 rate dropped below 1.4%, indicating that the central bank was normalizing capital prices by supporting bank lending [15]. 3.2. In July, the Central DR001 Rate Was Stable but with Increased Fluctuations, and the Central Bank Maintained Relative Looseness within the Existing Framework - In July, although the supply pressure of government bonds remained high, the general fiscal revenue and expenditure might show an anti - seasonal deficit, and the expenditure of replacement bonds was expected to bring additional government deposit injections. It was estimated that government deposits would increase by about 450 billion yuan, and the consumption of excess reserves would weaken marginally. Credit lending decline might lead to a decrease in bank reserve payments by about 90 billion yuan. Currency issuance might increase by about 30 billion yuan, and foreign exchange funds might continue to withdraw about 50 billion yuan. In the open market, the central bank's claims on other depository corporations might rise by about 260 billion yuan, and the excess reserve ratio was expected to be about 1.2% [15]. - In July, DR001 once exceeded 1.35%, and 1.3% seemed to become the new lower limit. The average DR001 for the whole month did not decline significantly but fluctuated more. The decline in non - bank capital demand led to a decline in DR007 despite the decrease in bank net lending. This might indicate that the central bank had achieved policy normalization and hoped to maintain relatively loose liquidity within the existing framework, resulting in stable but more volatile capital interest rates [27]. - The increased fluctuation of the capital market in late July might be related to the improvement of the equity market sentiment, especially the freezing of funds due to new stock listings on the Beijing Stock Exchange. The freezing and unfreezing of funds on the Beijing Stock Exchange might only impact the inter - bank liquidity under special circumstances [33]. - The cross - month progress of institutions in July was generally slow, but the abundant capital supply ensured the looseness of the capital market at the end of the month [37]. 3.3. In August, Relative Looseness May Still Be Maintained within the Existing Framework, and Attention Should Be Paid to Whether the Central Bank Continues to Relax Controls and Amplify Fluctuations - In August, although the general fiscal deficit might be higher than the same period in previous years, and the expenditure of replacement bonds might still cause additional leakage of government deposits, the net supply of government bonds was also at a high level. It was estimated that government deposits would decrease by about 50 billion yuan. Reserve payments might increase seasonally, currency issuance might increase by about 50 billion yuan, and foreign exchange funds might continue to withdraw about 50 billion yuan. In the open market, the central bank's claims on other depository corporations might decline by about 430 billion yuan, and the excess reserve ratio was expected to be about 1.1% [3][43]. - Since July, the central bank has emphasized the implementation of existing policies. The threshold for reserve requirement ratio cuts and interest rate cuts has increased, and it is not the baseline expectation for August. However, the central bank's concern about bond investment risks has decreased, and it may still tend to maintain relatively loose liquidity within the existing framework in August [3][56]. - In August, the capital market may continue the tone of July. Attention should be paid to whether DR001 can break through the lower limit of 1.3% at the beginning of the month. If so, the central bank may further relax controls on bank lending, increasing the fluctuation of the capital market. Although the exogenous disturbances such as the tax period in August may decrease, the decline in the central DR001 and DR007 rates may be limited [61].

Monetary Policy and Liquidity - The central bank injected a total of 1.2011 trillion yuan through OMO and MLF this week, with a reverse repo of 1.4 trillion yuan on Tuesday[3] - DR001 rose to 1.53% on Tuesday due to tax payments and government bond payments, but stabilized around 1.45% after the tax period ended[3] - The average daily transaction volume of pledged repos decreased by 0.97 trillion yuan to 7.24 trillion yuan compared to last week[3] Government Debt and Financing - The actual net payment of government bonds this week was 428.8 billion yuan, expected to decrease to 269.9 billion yuan next week[4] - Cumulative issuance of new general bonds in 2025 reached 494.1 billion yuan, with new special bonds at 2.3889 trillion yuan[4] - The forecast for July government bond issuance was slightly adjusted down to 1.22 trillion yuan, with a net financing scale of approximately 460 billion yuan[4] Market Sentiment and Expectations - The central bank emphasized that the effects of implemented monetary policies will continue to manifest, indicating a reduced impetus for further loosening in the short term[3] - The central bank's recent decision to remove the freezing of collateral for bond repos may signal a potential restart of bond purchases, although the impact is expected to be limited[3] - Despite expectations of gradual liquidity easing post-tax period, DR001 may not return to the early July low of 1.3%[3]

复盘本周资金市场，周一（7 日）作为跨季资金回收的最后时点，央行延续缩 量续作，净回笼 2250 亿元，标志着本轮跨季呵护的资金回笼完毕。随后的 8-9 日， 央行延续净回笼态势，分别回收资金 620 亿元和 230 亿元。在持续的净回笼压力 下，7 月 9 日的隔夜和 7 天资金利率较前一周五普遍回升 1-2bp。 为应对资金面边际收紧，央行于 10-11 日重启逆回购净投放，不过资金价格依 然延续上行态势。截至 11日，R001重回 OMO 利率之上，较月初低点上行 4.3bp， 报 1.40%；R007 也重回 1.5%+，较月初低点上行 2.1bp 至 1.51%。 证券研究报告|宏观跟踪周报 [Table_Date] 2025 年 07 月 12 日 [Table_Title] 大税期将至，银行融出降至 3 万亿+ [Table_Title2] 流动性跟踪 [Table_Summary] ►概况：逆回购持续回笼，资金价格小幅反弹 7 月 7-11 日，跨季资金回笼基本告一段落，央行于 10-11 日开启净投放，不过 资金价格依然延续上升态势。 资金面收敛的背后，是银行融出回归中性水平。银行平均单日融 ...