Group 1 - The report indicates that the external environment is severe, leading to a balanced and slightly loose funding situation, with expectations of a slight decline in market interest rates in April [3][5][87] - In March, the central bank increased liquidity, resulting in a slight easing of the funding environment, with average interbank and exchange repo rates mostly declining [3][12][55] - The average overnight transaction volume in the interbank market increased compared to the previous month, while the exchange's overnight transaction volume decreased [42][49] Group 2 - Key indicators in the overseas currency market show that the Federal Reserve paused interest rate cuts in March, and short-term U.S. Treasury rates remained stable [7][9] - Domestic monetary market indicators reveal a slight easing in March, with average repo rates declining, while fiscal deposits increased significantly [5][11] - The report predicts that fiscal deposits will continue to rise in April, with a slight decrease in the excess reserve ratio expected [56][66][81] Group 3 - The report highlights that the average yield on short-term bonds increased in March, with specific changes in yields for various types of bonds [13][32] - The average annualized yield of money market funds decreased slightly in March, indicating a trend of declining yields [37][41] - The report notes that the central bank may use monetary policy tools such as reserve requirement ratio cuts to counter external pressures [76][87]

证券研究报告 固收 流动性跟踪周报（2025.3.31-4.6） 华泰研究 2025 年 4 月 08 日│中国内地 流动性周报 资金面均衡，资金利率下行 上周公开市场到期 11868 亿元，均为逆回购到期，公开市场投放 6849 亿元， 均为逆回购，合计净回笼 5019 亿元。资金面保持均衡，DR007 均值为 1.89%，较前一周下行 7BP，R007 均值为 1.98%，较前一周下行 18BP， DR001 和 R001 均值分别为 1.75%和 2.05%。交易所回购利率整体下行， GC007 均值为 1.93%，较前一周下行 34BP。截至上周最后一个交易日， 逆回购未到期余额为 7634 亿元，较前一周下行。 存单利率下行，IRS 收益率下行 上周存单合计到期 1063.5 亿元，发行 2723.6 亿元，净融资规模 1660.1 亿 元。截至上周最后一个交易日，存单到期收益率（1 年期 AAA）为 1.8%， 较前一周下行。本周存单单周到期规模在 5570.7 亿元左右，到期压力较前 一周增大。利率互换方面，上周 1 年期 FR007 利率互换均值为 1.69%，较 前一周下行。从存单和利率互换 ...

Group 1: Interest Rate Trends - The "loose trading" expectation has become the new main line for interest rates, with the 10-year and 30-year rates dropping to 1.63% and 1.83% respectively, down over 8.0 basis points since April 3[1] - The 10-year bond yield has not fallen below the 7-day repo rate's 250-day moving average, which is currently at 1.95%, indicating a potential ceiling for rates[3] - The market is currently facing a "yield curve inversion" risk, with average DR001 and DR007 rates at 1.79% and 1.93%, significantly higher than current long-term yields[3] Group 2: Economic and Policy Implications - Economic growth is expected to weaken, necessitating the release of policy reserves, with expectations for rate cuts and reserve requirement ratio reductions driving rates lower[2] - The upcoming "reciprocal tariff" implementation on April 9 is anticipated to impact market sentiment and could lead to further interest rate declines[4] - The flexibility of monetary policy is highlighted as a key factor, with potential for immediate adjustments in response to economic conditions, contrasting with the slower pace of fiscal policy changes[2]

宽幅震荡的重心上下飘忽不定，窄幅震荡的重心基本稳定。很多时候市场是先宽幅震荡，确定多空战场范围（区块），然后再逐渐缩敛窄幅震荡，能量聚 集，做选择方向前的准备。 ——笔记哥《交易》 【笔记20250401— "换券"小策略，螺蛳壳里做道场（-资金面偏紧-财新PMI略超预期-股市小幅上涨=小上)】 资金面偏紧转松，长债收益率小幅上行。 央行公开市场开展649亿元7天期逆回购操作，今日有3779亿元逆回购到期，净回笼3130亿元。 月初资金面并未如期转松，隔夜资金价格仍偏贵，DR001在1.83%附近，尾盘转松。 | | | | 银行间资金 | (2025. 04. 01 ) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 | 加权利率 | 变化 | 利率走势 | 最高利率 | 变化 | 成交量 | 变化量 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | (亿元) | (亿元) | 比 (%) | | R001 | 1.92 | -88 | | 2. 78 | -522 ...

Core Viewpoint - The bond market is experiencing a mixed performance with short-term bonds showing strength due to a relaxed funding environment, while long-term bonds are under pressure as yields rise [1]. Group 1: Market Performance - On March 28, government bond futures mostly declined, with the 30-year main contract falling by 0.49% and the 10-year main contract down by 0.08% [1]. - The interbank market showed a divergence in the performance of major interest rate bonds, with mid-to-long-term bonds weakening and yields generally rising, while short-term bonds remained relatively strong [1]. Group 2: Market Dynamics - Institutional speculation remains the primary conflict in the bond market, with recent strength in bonds attributed to a loose funding environment, a warming attitude from the central bank, and the fermentation of bullish sentiment [1]. - The core factor influencing the market is the central bank's stance, with a potential for convergence in its attitude post-quarter-end, which could impact yield movements [1]. Group 3: Future Outlook - Short-term bond yields are expected to fluctuate, and significant easing of funding conditions could open up downward space for yields [1]. - Attention is drawn to the upcoming manufacturing PMI data expected to show an increase from February, as well as the central bank's March reverse repos and government bond trading data to be released on Monday [1]. Group 4: Product Insights - The government bond ETF (511520) saw a net inflow of over 1.3 billion, bringing its total scale to over 39.4 billion, making it the largest bond ETF in the market [1]. - The government bond ETF (511520) is noted for its good liquidity and suitability for clients looking to extend duration in the market, serving as a useful tool for bond market trading and allocation [1].

2015 年 10 月 -2016 年 1 月，人民币快速贬值，央行开始收紧资金面，稳定汇率。 2016 年 1 月 22 日，央行行长助理张晓慧表示："现阶段管理流动性要 高度关注人民币汇率的稳定，降准的政策信号过于强。" ——笔记哥《分析》 【笔记20250328— 央行：降准降息再等一下是对的（-央行继续净回笼资金-央行原副行长称降准降息再等一下是对的-传央行指导卖超长债+股市偏弱+资 金面均衡偏松=中上)】 资金面均衡偏松，长债收益率明显上行。 央行公开市场开展785亿元7天期逆回购操作，今日有930亿元逆回购到期，净回笼145亿元。 资金面均衡偏松，资金价格仍偏贵，DR001在1.72%附近、DR007在2.05%附近。 | | | | 银行间资金 | (2025.03.28) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 同购代码 | 加权利率 | 变化 | 利率走势 | 最高利率 | 变化 | 成交量 | 变化量 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | ...

// 债市综述 // 1. 公开市场操作 央行3月21日以固定利率、数量招标方式开展了930亿元7天期逆回购操作，操作利率1.50%。Wind数据显示，当日1807亿元逆回购到期，据此计 算，单日净回笼877亿元。当周，央行公开市场全口径净投放3785亿元。 本周央行公开市场将有14117亿元逆回购到期，其中周一至周五分别到期4810亿元、2733亿元、2959亿元、2685亿元、930亿元；此外，周三还 将有35亿元央票互换到期。 （*数据来源：Wind-央行动态PBOC） 2. 资金面 资金面方面，银行间市场资金面继续改善向好，存款类机构主要回购加权利率均小幅下行，七天期及14天期回购利率则下行较多。 海外方面，最新美国隔夜融资担保利率为4.29%。 （IMM） （*数据来源：Wind-国际货币资金情绪指数、资金综合屏） 3. 同业存单 5. 近期城投债（AAA）各期限利差走势及数据 （*数据来源：Wind-利差分析） 6. 国债期货收盘 30年期主力合约跌0.15% 10年期主力合约跌0.12% 全国和主要股份制银行一年期同业存单二级市场上最新成交在1.94%附近，较上日略有下行。 （*数据来源：Win ...

// 债市综述 // 1. 公开市场操作 央行3月12日以固定利率、数量招标方式开展了1754亿元7天期逆回购操作，操作利率为1.5%。 Wind数据显示，当日3532亿元逆回购到期，据此 计算，单日净回笼1778亿元。 （*数据来源：Wind-央行动态PBOC） 2.资金面 银行间资金市场周三继续平稳均衡，存款类机构隔夜回购加权利率小幅回落到1.75%附近，同非银机构押信用债融入隔夜报价一致。 海外方面，最新美国隔夜融资担保利率为4.33%。 （IMM） （*数据来源：Wind-国际货币资金情绪指数、资金综合屏） （*数据来源：Wind-同业存单-发行结果） 4.银行间主要利率债收益率普遍下行，中短券表现更好。 | | 1Y 2Y | | 3Y | SY | | 7Y 10Y | 超长债 | | --- | --- | --- | --- | --- | --- | --- | --- | | 国债 | 1.5700 ▼3.00 | 110 1.5500 ▼4.00 | 56 1.6400 ▼3.50 | 58 1.6825 ▼ 5.75 115 1.7750 ▼6.00 406 1.8200 ▼4.50 ...

Key Points Summary Group 1: Market Performance Review - The bond market experienced a significant rise in yields across all maturities, with the 10-year and 30-year government bonds increasing by 6 basis points to 1.79% and 1.98% respectively, while the 1-year government bond remained stable at 1.59% [3][10][13]. Group 2: Economic Fundamentals and Monetary Policy - In January-February, exports grew by 2.3% year-on-year, a notable decline from the previous reading of 10.7%, primarily due to "export rush" overstretching demand and high base effects [6][36]. - The Consumer Price Index (CPI) fell sharply by over 1 percentage point to -0.7% in February, influenced by the Spring Festival timing, with the adjusted CPI reflecting weak domestic demand at 0.1% [6][46]. - The People's Bank of China (PBOC) conducted a net withdrawal of 881.3 billion yuan this week, with reverse repos totaling 777.9 billion yuan and maturing repos at 1.6592 trillion yuan [44]. Group 3: Market Outlook - The bond market is expected to face challenges due to the current economic conditions, with a defensive strategy and tactical trading being recommended as optimal approaches [6][46]. - Two main strategies are suggested: first, focusing on certificates of deposit and short-term bonds as a potential allocation window due to easing liquidity; second, implementing a quick in-and-out strategy for long-term bonds within the identified ranges of 1.7%-1.75% for 10-year bonds and 1.9%-2% for 30-year bonds [6][46]. Group 4: Issuance and Funding Market - The total issuance of local government bonds this week was 217.5 billion yuan, with a net issuance of 208 billion yuan, including 37.6 billion yuan of new general bonds and 13 billion yuan of new special bonds [18]. - The issuance of government bonds reached 398.2 billion yuan, with a net issuance of 358.2 billion yuan [18]. Group 5: Funding Market Conditions - The funding market showed signs of marginal recovery, although prices remained high, with the weighted average rate for R001 fluctuating between 1.74% and 1.81%, down 21 basis points week-on-week [23][25]. - The average daily transaction volume in the interbank pledged repo market increased to 5.72 trillion yuan, recovering to the average level seen in January 2025 [25].

Core Viewpoint - Since the beginning of the year, the funding environment has remained tight, particularly with a noticeable increase in short-term interest rates. The article explores the remaining government debt supply for the first quarter, the liquidity gap in March, and whether the funding situation will improve [1][4]. Group 1: Funding Tightness - The funding environment has been tight since the start of 2025, with the central bank increasing the scale of reverse repos. Despite this, the pressure on liquidity has slightly eased from January to February, with a reduction in liquidity stratification [1][4]. - The central bank's operations included a resumption of 14-day reverse repos before the Spring Festival, while the scale of medium-term lending facility (MLF) continued to decrease. The buyout reverse repo operations have provided significant support for medium to long-term liquidity [5][6]. Group 2: Government Debt Supply - In March, it is estimated that the issuance of government bonds will reach approximately 1.4 trillion yuan, with a net financing scale of nearly 650 billion yuan after accounting for 712.2 billion yuan in maturing bonds. Local government bonds are expected to total around 1.3 trillion yuan, resulting in a combined net financing scale of over 1.8 trillion yuan for government debt [2][14]. Group 3: Liquidity Outlook - The liquidity gap in March is projected to be around 260 billion yuan, indicating some pressure on the funding environment. However, after the "Two Sessions," funding rates are expected to trend towards easing, with the central bank's net injection likely to increase marginally [3][19]. - The article suggests that the central bank may primarily use buyout reverse repos to supplement medium to long-term liquidity during the phase of increased government debt supply, which could lead to a decrease in funding rates, especially for short-term bonds [19].