央行新增信息披露态度呵护 隔夜利率逼近 1.4% —— 流动性与机构行为周度跟踪 250608 [[Table_R Table_Report eportTTime ime]] 2025 年 6 月 8 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 歌声ue 证券研究报告 债券研究 [Table_ReportType] 专题报告 联系电话：+86 18817583889 邮 箱： liyishuang@cindasc.com [➢Table_Summary] 货币市场：本周央行 OMO 净回笼 6717 亿，周五买断式逆回购招标 10000 亿。 尽管本周初企业所得税汇算清缴走款带来了一定扰动，逆回购整体维持净回 笼，但资金面整体仍维持宽松，周五买断式逆回购落地，DR007 降至 1.53%。 ➢ 质押式回购成交量在周四升至 7.86 万亿的年内新高后小幅回落，全周日均 成交上升 1.0 万亿至 7.50 万亿；质押式回购整体规模同样在周四创下 1 月 以来的新高后回落，但仍明显高于上周。各类银行净融出上半周均有所抬升， 下半周股份行与城商行净融出回落，大行净融出升破 ...

2025 年 6 月 7 日 行业研究 6 月流动性展望 ——流动性观察第 110 期 银行业 买入（维持） 作者 分析师：王一峰 执业证书编号：S0930519050002 010-57378038 wangyf@ebscn.com 分析师：赵晨阳 执业证书编号：S0930524070005 010-57378030 zhaochenyang@ebscn.com 行业与沪深 300 指数对比图 资料来源：Wind 3 月金融数据前瞻及 4 月流动性展望——流动性观 察第 108 期 2 月金融数据前瞻及 3 月流动性展望——流动性观 察第 107 期 1 月金融数据前瞻及 2 月流动性展望——流动性观 察第 106 期 12 月金融数据前瞻及 1 月流动性展望——流动性 观察第 105 期 11 月金融数据前瞻及 12 月流动性展望——流动性 观察第 104 期 10 月金融数据前瞻及 11 月流动性展望——流动性 观察第 103 期 9 月金融数据前瞻及 10 月流动性展望——流动性 观察第 102 期 8 月金融数据前瞻及 9 月流动性展望——流动性观 察第 101 期 要点 相关研报 4 月金融数据前 ...

1. Report Industry Investment Rating Not mentioned in the content. 2. Core View of the Report In May 2025, with the implementation of double cuts and the coordination of multiple tools by the central bank, the capital market remained stable, and the DR007 capital center declined. In June, although there is a liquidity gap, the pre - operation of the outright reverse repurchase and the central bank's usual care during the half - year period are expected to keep the risk of significant capital convergence relatively controllable, and the DR007 price is expected to be in the range of 1.5 - 1.65% [1][3]. 3. Summary According to the Directory 3.1 May Capital and Liquidity Review: Double Cuts Implemented, Capital Center Declined 3.1.1 Capital Review: Slightly Enlarged Capital Fluctuation Range In May 2025, the central bank coordinated multiple tools. After the double cuts, the capital price decreased, and the DR007 capital center dropped from 1.7% to around 1.6%. The fluctuation range of overnight and 7D weighted prices increased. The spread between 7D and overnight funds widened from 2bp at the beginning of the month to 18bp at the end of the month without inversion. The capital stratification pressure was small, and the volatility was at a low level. The trading volume and average daily trading volume of inter - bank pledged repurchase increased slightly compared with April. The net lending scale of state - owned banks recovered, while that of joint - stock banks was at a seasonal low, and the net lending of money market funds declined [8][9][14]. 3.1.2 Liquidity Review: Reserve Requirement Cut, Bank Liquidity Increased The end - of - month excess reserve may increase by 93.84 billion yuan, and the excess reserve ratio may be around 1.3%. The narrow - sense excess reserve level after deducting reverse repurchases may be around 0.7%, still at a relatively low seasonal level. In terms of open - market operations, the central bank actively increased reverse - repurchase investments. MLF had a net investment of 37.5 billion yuan, and the outright reverse - repurchase had a net withdrawal of 20 billion yuan. There was no restart of treasury bond purchases, and treasury deposits were issued for 24 billion yuan [28][33][41]. 3.2 May Monetary Policy Tracking: "Steady Growth" Priority, Double Cuts Implemented in May In May 2025, the double cuts were implemented slightly ahead of market expectations. After the double cuts in the first ten - day period, the capital price decreased. In the middle and last ten - day periods, the central bank gradually shifted from net withdrawal to large - scale net investment. At the end of the month, various tools were used to support the market. The pre - operation of the outright reverse repurchase in June helps stabilize capital expectations. Policy tools include comprehensive use of reserve requirement cuts, interest rate cuts, and adjustments to structural monetary policy tools [46][49][52]. 3.3 June Gap Forecast: Pre - operation of Outright Reverse Repurchase, Limited Capital Gap Pressure 3.3.1 Rigid Gap: Reserve Requirement Releases Excess Reserves, Large - scale Maturity of Outright Reverse Repurchases In June, the reserve requirement for general deposit growth may freeze around 22.56 billion yuan of liquidity, and the MLF maturity is 18.2 billion yuan. The outright reverse - repurchase maturity is 1.2 trillion yuan, with 1 trillion yuan already pre - operated [3][58]. 3.3.2 Exogenous Shocks: Cash Withdrawal and Non - financial Institution Deposits Have a Small Impact on Excess Reserves Cash withdrawal and non - financial institution deposits may slightly consume around 11.52 billion yuan of liquidity [3][60]. 3.3.3 Fiscal Factors: Large - scale Government Bond Issuance, Fiscal Expenditure Concentrated at the End of the Quarter The government deposit may supplement around 40 billion yuan of liquidity, slightly lower than last year's level [3][64]. 3.3.4 Comprehensive Judgment: Pre - operation of Outright Reverse Repurchase, Relatively Stable Capital The total liquidity gap in June is around 1.4 trillion yuan. Considering the 1 - trillion - yuan outright reverse - repurchase already invested, the overall capital gap pressure is relatively limited. The central bank usually provides support during the half - year period, and the DR007 price is expected to be in the range of 1.5 - 1.65% [3][65][69].

Investment Rating - The report gives a "green light" for the short-term outlook of US equities, indicating a positive investment sentiment [2]. Core Insights - The market is experiencing upward momentum until summer technicals and economic data come into play, with investors likely to be halted before any significant drawdown occurs [3]. - Retail investors are actively buying dips in US equities, while institutional activity remains muted [2]. - Robust liquidity is noted, with top of book liquidity at $11.08 million, above the one-year average of $10.65 million, supporting healthy trading in the near term [7][8]. Summary by Sections Market Setup - The report highlights a preference for specific trades, including SPX call spreads and hedging strategies for long positions [5]. - The liquidity environment is described as supportive for trading, although it may lose momentum as summer approaches [8]. Trading Activity - US equities have seen net buying for six consecutive sessions, with a notable increase in long buys, indicating strong market interest [27]. - The overall gross leverage has increased to 289.2%, placing it in the 95th percentile for the past year, driven by short leverage [28][29]. Seasonal Trends - The report notes that early to mid-June typically sees moderate market increases, providing a favorable trading environment, especially for bearish long-term views [64]. ETF Flows - Significant inflows into factor ETFs were observed, with May being the best month for inflows since the election, indicating strong investor interest in momentum strategies [43][50]. - The report also mentions a growing interest from global investors in emerging market equities due to USD weakness and US growth uncertainty [54].

回顾此前的操作， 5 月央行进行了 7000 亿元的买断式逆回购，其中 3 个月期 4000 亿元， 6 个月期 3000 亿元。而 5 月共有 9000 亿元的 3 个月期逆回购到期，因此当月整体为净回笼 2000 亿元。 此次 6 月的大规模投放，不仅打破了央行通常在月末公布操作的惯例，也释放出强烈的 " 呵护流动性 " 信号 。 中信证券首席经济学家明明表示，本次操作在模式上与 MLF 高度趋同，包括招标方式、定价机制与公 告节奏，预计未来买断式逆回购将与 MLF 一道，共同构成中长期基础流动性工具的 " 组合拳 " 。 东方金诚首席宏观分析师王青表示，央行此举有助于保持银行体系流动性持续处于充裕状态，控制资金 面波动，稳定市场预期。 在全球经济复苏步伐放缓、地缘政治和贸易政策不确定性加剧的背景下，多国央行纷纷出手，释放出货 币宽松信号。 6 月 5 日同一天，中国央行宣布通过大规模逆回购操作稳定市场流动性，欧洲央行延续降息路径以刺激 经济，而美联储则在数据和政治压力之间寻找平衡点 。 未来， 随着更多经济数据的发布，全球货币政策走向或将更加明朗。 // 中国央行 1 万亿大动作 // 中国央行6 月 ...

Group 1: Market Overview - The Hang Seng Index is expected to break through 24,000 points due to continuous capital inflow, with a recent increase of 496 points or 2.1% [3] - The Hang Seng Index closed at 23,654, up 141 points or 0.6%, with a total market turnover exceeding 2,126.87 million [3] - Major stocks such as Tencent and Meituan saw increases of 1.4% and 3% respectively, while AIA and Ping An experienced declines of 1.4% [3] Group 2: Bond Market Developments - The Hong Kong government successfully priced approximately 27 billion in green and infrastructure bonds, attracting global investors with a total subscription amount of about 237 billion, which is approximately 3.3 times the issuance amount [6][7] - The issuance includes various currencies, with notable yields such as 3.85% for a 30-year infrastructure bond and 2.6% for a 20-year green bond [6] - The issuance aims to support sustainable projects and infrastructure development, reflecting strong investor confidence in Hong Kong's fiscal stability [7][11] Group 3: Corporate News - Contemporary Amperex Technology Co., Ltd. (CATL) has partnered with APM Terminals to accelerate the electrification of container handling equipment, marking a significant step towards decarbonizing the port industry [10] - The collaboration will focus on battery lifecycle management and aims to reduce greenhouse gas emissions at ports [10] - Aoyuan Group reported a 44% year-on-year decline in pre-sale amounts for May, totaling approximately 930 million, with a cumulative drop of 48.29% for the first five months of the year [12]

Group 1 - The core viewpoint of the articles highlights a surge in technology company listings in the Hong Kong stock market since Q2 2025, reinforcing Hong Kong's position as a global technology capital hub [1] - Multiple technology sectors, including internet, new energy vehicles, and biomedicine, are seeing increased listings, indicating a robust interest from global investors [1] - The Hong Kong Stock Exchange is actively reforming its listing system to provide a "fast-track approval" process for eligible companies, further attracting international attention [1] Group 2 - Short-term pressure on the Hong Kong stock market is anticipated due to tariff expectations, particularly with potential actions from the Trump administration to bypass federal court rulings [1] - Despite short-term challenges, there is a relatively optimistic long-term outlook for the Hong Kong technology sector, supported by strong performance in AI upstream computing power and servers [1] - The Hang Seng Technology Index experienced a single-day increase of 2.46% due to a U.S. International Trade Court ruling, but later retraced gains due to tariff policy concerns, indicating market sensitivity to U.S.-China policies [1] Group 3 - The Hong Kong Technology ETF (code: 513020) tracks the Hong Kong Stock Connect Technology Index (code: 931573), which includes 30 large-cap technology companies with significant R&D investment and good revenue growth [1] - The index aims to reflect the overall performance of listed technology companies within the Hong Kong Stock Connect framework, focusing on high-tech industries such as information technology and telecommunications [1]

Group 1: Liquidity Trends - In April, the excess reserve ratio decreased by 0.1 percentage points to 0.9%, remaining below historical levels[6] - The central bank's additional reduction in claims on other deposit-taking institutions in March and April led to a total decrease of nearly 1.5 trillion yuan, contributing to the low excess reserves[6] - In May, the government deposit is expected to rise by approximately 130 billion yuan, which will reduce the consumption of excess reserves compared to previous years[24] Group 2: Monetary Policy and Interest Rates - Following the rate cuts in May, the DR007 rate converged towards the policy rate, with the spread narrowing to within 20 basis points, returning to levels seen in Q4 of the previous year[39] - The average net lending from banks in May increased to 3.67 trillion yuan, up from 3.28 trillion yuan in April, indicating improved liquidity conditions[39] - The central bank is expected to maintain a relatively loose liquidity environment in June, with the excess reserve ratio projected to rise to about 1.4%[24] Group 3: Fiscal Deficits and Government Bonds - The broad fiscal deficit in April reached 336.7 billion yuan, exceeding expectations by 190 billion yuan, driven by high government fund expenditures[13] - In May, the net financing scale of government bonds increased by approximately 6.74 trillion yuan, reflecting significant government bond issuance pressures compared to previous years[26] - The government’s fiscal spending is anticipated to continue to support economic growth, with expected expenditures in May rising by 5.4% year-on-year to about 1.99 trillion yuan[31]

丨证券研究报告丨 固定收益丨点评报告 [Table_Title] 跨月资金利率平稳——流动性和机构行为周 报告要点 [Table_Summary] 2025 年 5 月 26 日-5 月 30 日，央行公开市场净投放资金，跨月资金利率整体平稳。2025 年 5 月 26 日-6 月 1 日，政府债净融资规模提升；同业存单小幅净融资，同业存单到期收益率多数 上升；银行间债券市场杠杆率小幅提升。2025 年 6 月 2 日-6 月 8 日政府债预计净融资-448 亿 元。 分析师及联系人 [Table_Author] 赵增辉 马月 SAC：S0490524080003 SAC：S0490125010043 SFC：BVN394 请阅读最后评级说明和重要声明 央行净投放资金，维护跨月资金面。2025 年 5 月 26 日-5 月 30 日，央行逆回购投放 16026 亿 元、回笼 9460 亿元，净投放 6566 亿元。2025 年 6 月 3 日-6 月 6 日公开市场逆回购将到期 16026 亿元。2025 年 5 月央行开展了 7000 亿元买断式逆回购，其中 3 个月期为 4000 亿元、 6 个月期为 3 ...

Quantitative Factors and Models Summary Quantitative Factors and Construction Methods 1. **Factor Name**: Market Style Factor **Construction Idea**: This factor tracks the market's preference for small-cap versus large-cap stocks and growth versus value stocks over the observed period **Construction Process**: - The factor is divided into two dimensions: size (small-cap vs. large-cap) and style (growth vs. value) - The factor measures the relative performance of small-cap stocks compared to large-cap stocks and growth stocks compared to value stocks - Observations include the directional bias (e.g., small-cap preference) and the volatility of these style preferences **Evaluation**: The factor indicates a market preference for small-cap and growth stocks, but with increased volatility, suggesting instability in market style trends [11][12] 2. **Factor Name**: Market Structure Factor **Construction Idea**: This factor evaluates the dispersion and concentration of returns across industries and stocks to assess market structure dynamics **Construction Process**: - Industry excess return dispersion is calculated to measure the spread of returns across different sectors - Metrics such as the proportion of rising constituent stocks and the turnover concentration of the top 100 stocks and top 5 industries are tracked - Changes in these metrics are used to infer market structure stability and concentration trends **Evaluation**: The factor shows a decline in industry return dispersion and a slight increase in stock and industry concentration, indicating a more concentrated market structure [11][12] 3. **Factor Name**: Market Activity Factor **Construction Idea**: This factor measures market activity through volatility and turnover rates **Construction Process**: - Index volatility is calculated to assess market fluctuations - Turnover rates, particularly for indices like the SSE 50, are tracked to gauge trading activity - Observations include changes in these metrics over time **Evaluation**: The factor reveals a slight increase in market volatility but a continued decline in turnover rates, especially for the SSE 50, indicating reduced market activity [11][12] 4. **Factor Name**: Commodity Market Factors **Construction Idea**: These factors analyze trends, momentum, volatility, and liquidity in commodity markets **Construction Process**: - **Trend Strength**: Tracks the continuation of trends in sectors like energy and metals - **Basis Momentum**: Measures the momentum of basis changes, with specific focus on sectors like agriculture and metals - **Volatility**: Assesses the level of price fluctuations in different commodity sectors - **Liquidity**: Evaluates the trading activity and ease of transactions in commodity markets **Evaluation**: The factors highlight strong trends in energy and metals, low basis momentum in agriculture, high volatility in energy, and strong liquidity in energy and metals [23][27] 5. **Factor Name**: Option Market Factors **Construction Idea**: These factors assess market sentiment and risk expectations through option pricing metrics **Construction Process**: - **Implied Volatility**: Tracks the implied volatility of options on indices like SSE 50 and CSI 1000 - **Skewness**: Measures the relative pricing of put options versus call options to infer market sentiment - **Open Interest**: Monitors changes in open interest to gauge market positioning **Evaluation**: The factors suggest stable short-term sentiment but highlight potential downside risks for small-cap stocks based on skewness and rising open interest in put options [33][34] 6. **Factor Name**: Convertible Bond Market Factors **Construction Idea**: These factors analyze valuation and liquidity dynamics in the convertible bond market **Construction Process**: - **Valuation Metrics**: Tracks metrics like the premium rate of bonds near par value and the proportion of low-premium bonds - **Liquidity Metrics**: Monitors trading volume and credit spreads **Evaluation**: The factors indicate a slight recovery in valuation metrics but a rise in low-premium bonds, with stable trading volumes and narrowing credit spreads [35][37] Factor Backtesting Results 1. **Market Style Factor**: - Small-cap preference observed - Growth style preference observed - Increased volatility in both dimensions [11][12] 2. **Market Structure Factor**: - Industry return dispersion decreased - Stock and industry concentration slightly increased [11][12] 3. **Market Activity Factor**: - Market volatility slightly increased - Turnover rates decreased, especially for SSE 50 [11][12] 4. **Commodity Market Factors**: - Strong trends in energy and metals - Low basis momentum in agriculture - High volatility in energy - Strong liquidity in energy and metals [23][27] 5. **Option Market Factors**: - Stable implied volatility for SSE 50 and CSI 1000 - Skewness favors put options for CSI 1000 - Rising open interest in put options for CSI 1000 [33][34] 6. **Convertible Bond Market Factors**: - Premium rates near par value slightly recovered - Proportion of low-premium bonds increased - Trading volumes stable - Credit spreads narrowed [35][37]