2026 年 01 月 29 日 固定收益点评 研究所： 国海证券研究所 请务必阅读正文后免责条款部分 证券分析师： 颜子琦 S0350525090002 yanzq@ghzq.com.cn 证券分析师： 刘畅 S0350524090005 liuc06@ghzq.com.cn [Table_Title] ON RRP 如何管理流动性？ 固定收益点评 最近一年走势 本篇报告解决了以下核心问题：ON RRP 工具介绍。 相关报告 《债市锐评第 4 期：外汇结汇潮，如何影响国内流 动性？*颜子琦，刘畅》——2026-01-22 《固定收益点评：分红险复兴，如何影响保险配置 偏好？*颜子琦，刘畅》——2025-12-25 《固定收益点评：日债为何陷入高波动困局？*颜 子琦，刘畅》——2025-12-12 《固定收益点评：定制债基知多少*颜子琦，刘畅》 ——2025-12-07 《破局而立，波段致胜——2026 年利率债投资策 略*颜子琦，刘畅，洪子彦》——2025-12-03 ON RRP 是什么？ 美国 ON RRP 指隔夜逆回购协议，是美联储 向广泛的合格对手方出售证券，并约定次日回购的操作。其利率由 美联储设 ...

Group 1: Report Industry Investment Rating - Not provided in the report Group 2: Core Views of the Report - The probability of the new tool being similar to the US ONRRP is low, and it is more likely to be a relending mechanism similar to the previous SFISF [1][3] - There is a certain probability of the implementation of overnight reverse repurchase measures [4] Group 3: Summary by Relevant Catalog 1. From the US ONRRP 1.1 US ONRRP Establishment Background - Before the 2008 financial crisis, the US followed the "deposit reserve scarcity framework", and the Fed regulated market interest rates through open - market operations of Treasury bonds [8] - After the 2008 financial crisis, the Fed's balance sheet expanded significantly, and the traditional method of controlling the federal funds rate was no longer effective. To prevent interest rate loss of control, the Fed introduced IOER in 2008 and ONRRP in 2013 [10][12] 1.2 ONRRP Key Points - ONRRP is a key monetary policy tool for absorbing excess liquidity and controlling the short - term interest rate floor in an environment of "excess reserves and policy rate loss of control" [2][13] - The main participants are money market funds and government - supported enterprises. Commercial banks rarely participate due to IOER > ONRRP and ONRRP mechanism limitations [2][13] - Money market funds and cash pools can obtain rights to a large general collateral pool held by the Fed through transactions with primary dealers [2][13] 2. How to View the "Mechanism Arrangement for Non - bank Liquidity"? - The new tool is unlikely to be similar to ONRRP. The current market is not in a state of abundant liquidity, and the probability of the central bank recovering liquidity is low. Also, there are many issues to be explored for the central bank to conduct overnight reverse repurchase transactions with non - banks [21][22] - The "mechanism arrangement for providing liquidity to non - bank institutions under specific scenarios" is likely a non - bank relending mechanism similar to that in the bond market, which can form a ceiling for the interbank lending rate when non - bank liquidity is tight [24][25] - There is a certain logical probability of the implementation of overnight reverse repurchase measures. Overseas mainly uses overnight reverse repurchases, and DR001 has been relatively stable since 2025. If the overnight reverse repurchase mechanism is established, overnight OMO may replace 7 - day OMO as the new policy rate [4][26]

Group 1 - The core viewpoint of the news is that the bond market is showing mixed performance, with specific movements in various government bond ETFs and futures contracts [1] - As of 10:00 AM, the 30-year government bond ETF increased by 0.08%, while the 30-year government bond futures contract rose by 0.03% with a trading volume of 16,949 contracts [1] - The People's Bank of China (PBOC) conducted a 1,505 billion yuan reverse repurchase operation with a stable interest rate of 1.40%, indicating a focus on maintaining liquidity in the short-term funding market [1][2] Group 2 - The PBOC's recent statement suggests a clearer approach to short-term interest rate control, aiming to guide overnight rates to operate near policy rate levels, which may lead to a balanced and reasonably ample short-term funding environment [1][2] - The chief economist at CITIC Securities anticipates that the overnight rate will fluctuate within a narrow range between the lower bound of the interest rate corridor and the 7-day OMO, indicating stability in short-term bond yields [2] - The current yield curve reflects strong inflation recovery expectations, with the 30-year to 10-year government bond yield spread indicating potential for correction based on upcoming economic data [2]

央行对货币市场利率关注重点出现变化 隔夜利率或成"新锚" 短端资金面有望保持合理充裕 从政策实践看，央行对货币市场利率的关注重点已出现变化。 在近日国新办举行的新闻发布会上，中国人民银行副行长邹澜表示，将"引导隔夜利率在政策利率水平 附近运行"。 业内认为，这一表态显示央行短端利率调控思路更加清晰，DR001在货币政策操作中的重要性正在上 升，但7天期逆回购利率仍是核心政策利率。在更清晰的利率走廊和更丰富的工具配合下，短端资金面 有望保持合理充裕、均衡偏松。 隔夜利率或成短端调控"新锚" 上海证券报记者梳理发现，自2025年一季度起，央行已连续三个季度在《中国货币政策执行报告》中， 以DR001与7天期逆回购利率进行比照，而在此前的报告中，更多使用的是DR007。这一变化，显示央 行对隔夜资金价格的重视程度明显提升。 国泰海通证券发布的研报认为，相比之下，DR001更多反映隔夜资金供求状况，对流动性边际变化更为 敏感。央行在公开表态中强调引导隔夜利率运行区间，意味着短端利率调控的观察和约束重心正在向隔 夜端前移。 尽管稳定隔夜利率有助于缓解资金面波动、稳住市场预期，但同时也需要防范期限错配和杠杆累积等潜 在风 ...

Core Viewpoint - The People's Bank of China (PBOC) is shifting its focus from the 7-day repurchase rate (DR007) to the overnight repurchase rate (DR001) as the primary benchmark for monetary policy, indicating a potential change in how market interest rates are managed and communicated [3][4][5]. Group 1: Transition from DR007 to DR001 - The PBOC has replaced DR007 with DR001 as the representative interest rate in its monetary policy reports since 2025, suggesting a significant policy shift [5]. - DR001 is increasingly seen as a more relevant indicator for market practices, as investors predominantly use overnight rates for transactions, leading to a disconnect between policy signals and market behavior [4][5]. - The volatility of DR001 has decreased compared to DR007, making it a more effective tool for conveying monetary policy signals [4][6]. Group 2: Market Liquidity and Policy Implications - The introduction of temporary overnight reverse repurchase tools has created a new interest rate corridor, stabilizing DR001 within a defined range and reducing its volatility [6][7]. - The PBOC's emphasis on guiding overnight rates to align with policy rates aims to maintain stable liquidity in the market, which is crucial for supporting the real economy and capital markets [7]. - Recent data shows that DR001 has been consistently lower than the policy rate, indicating a balanced and loose funding environment in the interbank market [7].

Group 1 - The monetary policy in 2025 is expected to be moderately loose, with lower rates of cuts compared to 2023-2024, primarily focused in the second quarter due to external shocks and a combination of resilient exports, proactive fiscal policy, and industrial highlights enhancing growth resilience [1][11][12] - Structural tools have formed a framework to support key areas such as consumption and real estate, with a focus on optimization in 2026, including streamlining the number of tools and expanding counterparties to include non-bank institutions [15][16] - The policy framework is shifting towards interest rate regulation, with a focus on narrowing the width of the short-term interest rate corridor, which currently has a width exceeding 200 basis points [2][18][19] Group 2 - Narrowing the interest rate corridor is expected to stabilize liquidity expectations and reduce short-term interest rate volatility, which is crucial for improving the interest rate transmission mechanism [20][21] - The narrow liquidity in 2025 is projected to gradually loosen after the first quarter, with potential tightening risks due to credit exceeding acceptable levels and unexpected exchange rate fluctuations [23][24] - The systemic convergence of narrow liquidity fluctuations since 2016 is attributed to increased exchange rate marketization and changes in intermediary targets, leading to a more stable monetary supply [26][27] Group 3 - In 2025, the growth of M1 is expected to increase by 3.6 percentage points, driven mainly by fiscal expansion and overseas net income, although the micro-level activation of funds remains limited [32][33] - The growth of M2 is projected to rise by 0.7 percentage points in 2025, supported by fiscal expansion and a decrease in bond issuance, but may slow down in 2026 due to uncertainties in the banking sector [42][43] - The total amount of remaining liquidity is expected to increase by approximately 0.7 trillion yuan in 2025, primarily flowing into private equity funds and fixed-income assets, but significant expansion in 2026 is unlikely [45][48][49]

Core Insights - The recent trend of DR001 gradually declining indicates that there is limited room for further decreases in funding rates before the next interest rate cut [1] - The central bank's statement from the fourth quarter monetary policy meeting in 2025 suggests that the emphasis on "preventing fund idling" is temporarily downplayed, indicating a low probability of funding rate increases [1] - It is expected that funding rates will maintain a low level in the future [1]

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]

Core Viewpoint - The recent decline in the DR001 overnight interest rate to a new low of 1.27% is attributed to a combination of factors including accelerated fiscal spending, proactive central bank liquidity support, and weak institutional demand, indicating a stable and ample year-end liquidity environment [1][3][4]. Group 1: Factors Influencing DR001 - The issuance of replacement bonds and accelerated fiscal spending have contributed to liquidity support in December [1][3]. - The central bank's liquidity injections are aligned with institutional demand, stabilizing expectations for the funding environment [1][3]. - Historical trends show that fluctuations in funding rates during December are typically concentrated around the year-end, with other periods exhibiting narrow fluctuations around a central tendency [1][3]. Group 2: Market Dynamics - The overnight funding rate has shown a steady decline, breaking the previous lower limit of 1.30% that had been maintained for over six months [2][3]. - The net funding outflow from the banking system reached 4.49 trillion yuan from December 8 to 12, indicating a high level of net outflow in the fourth quarter [3]. Group 3: Tax Period and Liquidity Outlook - Despite the upcoming tax period, the overall liquidity is expected to remain stable due to the central bank's proactive measures and multiple supporting factors [4][5]. - The central bank has conducted a total of 1.6 trillion yuan in reverse repos this month, with a net injection of 200 billion yuan after accounting for maturing repos [4]. - December is not a traditional tax month, with an average tax payment of approximately 1.32 trillion yuan over the past three years, suggesting manageable overall funding pressure [5].

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].