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 ...

Core Viewpoint - Since May, with the reduction of policy interest rates, the liquidity has further eased, but after the reserve requirement ratio (RRR) cut, the funding rates have risen instead. The article discusses the expected government bond supply in June and the liquidity gap, questioning whether the funding environment will tighten or loosen further [1] Group 1: Market Interest Rates - Funding rates continued to decline in May, with the average R007 and DR007 down by 16.1 basis points and 14.5 basis points to 1.61% and 1.58% respectively. Various SHIBOR and interbank certificate of deposit rates also decreased compared to the previous month [4][5] - After the RRR cut on May 15, the funding environment began to tighten, and the central bank's operations shifted to small net injections towards the end of the month, with a total liquidity injection of around 1 trillion yuan [5][6] Group 2: Government Bond Supply - In June, the government is expected to issue approximately 1.38 trillion yuan in national bonds, with a net financing scale of around 490 billion yuan. Local government bonds are projected to total nearly 900 billion yuan, leading to a combined government bond issuance of about 2.3 trillion yuan and a net financing scale of approximately 920 billion yuan [2][22] Group 3: Funding Pressure and Liquidity - The net financing pressure is alleviated due to the increase in government bond maturities in June, with expectations of a decrease in government deposits by about 1.1 trillion yuan. The seasonal increase in bank reserve requirements is expected to consume around 290 billion yuan of excess reserves [3][32] - The central bank's monetary policy remains a crucial variable, with limited room for further easing in the short term due to reduced liquidity pressure and the recent rise in long-term bond rates [3][32]

Global Asset Market Performance - The 10-year treasury bond yields of major economies on May 20, 2025, were 4.489% in the US, 4.702% in the UK, etc. The latest, weekly, monthly, and annual changes varied across countries [3]. - The 2-year treasury bond yields of major economies on May 20, 2025, were 3.980% in the US, 4.003% in the UK, etc. Changes also differed in different time - spans [3]. - The US dollar exchange rates against major emerging - economy currencies on May 20, 2025, were 5.652 against the Brazilian real, 108.000 against the Russian ruble, etc. Weekly, monthly, and annual changes were presented [3]. - Major economy stock indices on May 20, 2025, included 5940.460 for the S&P 500, 42677.240 for the Dow Jones Industrial Average, etc. Their latest, weekly, monthly, and annual changes were provided [3]. - Credit bond indices: for the latest change, all investment - grade and high - yield credit bond indices in the US, eurozone, and emerging economies were 0.00%. Weekly, monthly, and annual changes were also shown [3]. Stock Index Futures Trading Data - Closing prices of A - shares, CSI 300, SSE 50, ChiNext, and CSI 500 were 3380.48, 3898.17, 2716.63, 2048.46, and 5747.37 respectively, with corresponding percentage changes [4]. - PE (TTM) values of CSI 300, SSE 50, CSI 500, S&P 500, and German DAX were 12.59, 10.94, 29.00, 25.51, and 39.29 respectively, along with their环比changes [4]. - Risk premiums of CSI 300, SSE 50, CSI 500, S&P 500, and German DAX were 3.70, 5.77, - 0.38, - 0.53, and - 0.04 respectively, with no环比changes [4]. - The latest values and 5 - day average values of capital flows in A - shares, main board, SME board, ChiNext, and CSI 300 were presented [4]. - The latest trading volumes of Shanghai and Shenzhen stock markets, CSI 300, SSE 50, SME board, and ChiNext were 11696.81, 2016.37, 566.74, 2657.66, and 3242.13 respectively, with环比changes [4]. - The basis and amplitude of IF, IH, and IC in stock index futures were - 32.77, - 17.23, - 96.57 and - 0.84%, - 0.63%, - 1.68% respectively [4]. Treasury Bond Futures Trading Data - Closing prices of T00, TF00, T01, and TF01 treasury bond futures were 108.565, 105.705, 108.840, and 105.955 respectively, with corresponding percentage changes [5]. - R001, R007, and SHIBOR - 3M in the money market were 1.5556%, 1.5986%, and 1.6420% respectively, with daily changes in basis points [5]. Domestic and Foreign Markets - There are domestic and foreign currency markets, bond markets, stock markets, and exchange - rate markets [6][7]

在财通证券首席经济学家孙彬彬看来，5月16日央行公开市场转为净投放，且下午到尾盘资金回归宽 松，表明短期内政府债缴款上升、买断式逆回购可能有到期的情况下，资金面摩擦加大，但资金面显著 收敛的可能性不大。 步入本周（5月19-23日），将迎税期，资金利率进一步下行的空间或不大。资金面的主要影响因素如 下： 第一，税期扰动。由于五一假期，5月纳税申报截止日推迟至22日，23、26日走款，19日起借入7天资金 可跨税期，关注税期对资金面的扰动； 第二，全周逆回购到期4860亿元，到期规模较上周回落。不过临近税期，央行可能加大逆回购投放量； 第三，20日（周二）国库现金定存拟发行2400亿元，对银行负债端形成补充； 第四，政府债净缴款压力大幅回落至3979亿元，对资金面的扰动有所缓解； 新华财经北京5月19日电（刘润榕）人民银行19日开展1350亿元7天逆回购操作，操作利率持平1.40%； 鉴于当日有430亿元逆回购到期，公开市场实现净投放920亿元。 上周（5月12-16日）央行公开市场实现净回笼3501亿元。尽管央行在周中持续净回笼，但上半周资金利 率显著走低，R001降至1.4%-1.45%的区间。周四降准0. ...

| 大类资产早报 | | --- | 研究中心宏观团队 2025/05/19 | | 全 球 资 产 市 场 表 现 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债收益率 | | | | | | | | | | | 美国 | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 2025/05/16 | 4.480 | 4.648 | 3.262 | 2.589 | 3.595 | 3.211 | 0.295 | 3.341 | | 最新变化 | 0.047 | -0.011 | -0.031 | -0.031 | -0.031 | -0.024 | -0.019 | -0.042 | | 一周变化 | 0.100 | 0.082 | -0.002 | 0.028 | -0.013 | 0.006 | 0.023 | -0.016 | | 一月变化 | 0.144 | 0.001 | -0.031 | 0.057 | -0.120 | -0.028 | -0.15 ...

Group 1 - The core viewpoint of the report is that the market pricing for upward fluctuations in funding rates is significantly greater than for downward movements, which is directly related to the "short-term experience" of tight funding at the beginning of the year [1] - The report highlights that the "scar effect" of funding transmission to bond rates is still present, indicating concerns about rising rates [1] - It is expected that the overnight funding rate (DR001) has room for further downward adjustment, with a baseline assumption of returning to a level of 1.4% for narrow fluctuations [1] Group 2 - The optimistic scenario suggests that the DR001 could operate within a range of 30 basis points below the Open Market Operations (OMO) rate [1] - Current concerns regarding medium and short-term bond rates are not about upward movements but rather about the timing of downward adjustments [1]

Report Industry Investment Rating - No information provided regarding the industry investment rating. Core Viewpoints - Despite the 0.5% reserve requirement ratio cut on Thursday, the funding situation tightened marginally due to factors such as MLF maturity and increased government bond payments. The fluctuations in the funding situation on these two days are considered temporary shocks [2][3]. - Although the excess reserve ratio remains low, the continuous increase in the central bank's net lending to banks from March to April has led to a marginal loosening of funds, which may indicate that the central bank is regulating the funding situation through implicit support for banks. The central bank may not intend to let the funding rate decline significantly in the short - term, and the target central DR007 rate may still be above 1.5% [3]. - It is expected that the central funding rate next week will not rise significantly, and the central DR007 rate is likely to remain between 1.5% - 1.6% [4]. Summary by Directory I. Money Market 1.1 This Week's Funding Review - The central bank's reverse repurchase had a net withdrawal of 350.1 billion yuan this week, with 125 billion yuan of MLF maturing on Thursday and a 0.5% reserve requirement ratio cut implemented on the same day. The funding rate declined significantly in the first half of the week, with R001 dropping to the range of 1.4% - 1.45%. However, after the reserve requirement ratio cut on Thursday, the funding tightened marginally. On Friday, the central bank made a small - scale net injection, and the DR007 rose to 1.64% [2][7]. - The volume of pledged repurchase first increased and then decreased, with the average daily trading volume rising by 0.33 trillion yuan to 7.14 trillion yuan. The overall scale of pledged repurchase also showed the same trend. The net lending of large - scale banks, joint - stock banks, and city commercial banks decreased on Friday. The new - caliber funding gap index decreased to - 486.5 billion on Wednesday and rebounded to - 102.8 billion on Friday, still lower than last Friday's - 15 [3][16]. - The funding rate turned loose as expected this week, with the overnight rate dropping to around 1.4%. However, after the reserve requirement ratio cut on Thursday, the funding tightened marginally. The main reason for the funding fluctuations may be the net payment of 685.8 billion yuan for government bonds and the net withdrawal of 475.1 billion yuan from reverse repurchase and MLF this week, which are roughly equivalent to the scale of the reserve requirement ratio cut [3][18]. - The excess reserve ratio in April decreased by 0.1 percentage points to 0.9% compared to March, lower than expected. The main reason is the significant decrease in the central bank's claims on other depository corporations. Other factors include the higher - than - expected increase in fiscal deposits, the slower - than - expected cash return, the increase in the central bank's claims on other financial corporations, and the decrease in the central bank's claims on the government [20]. 1.2 Next Week's Funding Outlook - The scale of government bond net payments will decrease from 685.8 billion yuan this week to 437.9 billion yuan next week. The scale of reverse repurchase maturity is 486 billion yuan, and May 22nd is the tax payment deadline. Considering the central bank's attitude of maintaining stability, the probability of a significant increase in the central funding rate next week is limited, and the central DR007 rate is likely to remain between 1.5% - 1.6% [4][39]. - The scale of 10Y coupon - bearing treasury bonds and 50Y special treasury bonds issued in May is higher than expected. The assumption of net treasury bond financing in May is raised to 940 billion yuan, and the assumption of net local government bond financing in May remains at 670 billion yuan. It is estimated that the scale of government bond issuance in May is about 2.42 trillion yuan, and the net financing is about 1.61 trillion yuan [3][4]. II. Inter - bank Certificates of Deposit - The 1 - year Shibor rate decreased by 4.0BP to 1.67%. The 1 - year secondary rate of AAA - rated inter - bank certificates of deposit increased by 1.5BP to 1.675% [40]. - The issuance scale of inter - bank certificates of deposit decreased while the maturity scale increased, resulting in a net repayment of 799 million yuan. The net financing scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks are 90 million yuan, - 848 million yuan, - 63 million yuan, and - 7 million yuan respectively. The issuance proportion of 1 - year certificates of deposit decreased by 14 percentage points to 23%, and the issuance proportion of 3 - month certificates of deposit is the highest at 57%. The maturity scale of certificates of deposit next week is about 74.6 billion yuan, an increase of 15.22 billion yuan compared to this week [4][42]. - The issuance success rates of certificates of deposit of various banks decreased slightly compared to last week but remained close to the average level in recent years. The issuance spread of 1 - year certificates of deposit between city commercial banks and joint - stock banks widened. The demand for certificates of deposit from money market funds and funds weakened, while the willingness of wealth management products and other products to increase their holdings of certificates of deposit increased. The supply - demand relative strength index of certificates of deposit continued to rise, increasing by 3.7 percentage points to 47.7% compared to last week [4][55]. III. Bill Market - The bill rate first decreased and then increased this week. The 3 - month and 6 - month rates of state - owned and joint - stock banks increased by 5BP to 1.14% and 1.13% respectively [62]. IV. Bond Trading Sentiment Tracking - The bond market adjusted this week, and the credit spread narrowed. The willingness of large - scale banks to reduce their bond holdings decreased, mainly for perpetual bonds and policy - bank bonds. The willingness of trading - type institutions to slightly reduce their bond holdings increased, while the willingness of allocation - type institutions such as rural commercial banks, insurance companies, and wealth management products to increase their bond holdings generally increased [65].

Group 1 - The credit bond ETF fund (511200) is experiencing a tight balance between long and short positions, with the latest quote at 100.39 yuan [3] - The fund's liquidity is active, with an intraday turnover of 106.41% and a transaction volume of 4.573 billion yuan, while the average daily transaction volume over the past week is 4.342 billion yuan [3] - The fund's latest scale has reached 4.299 billion yuan, marking a new high since its establishment [3] - The fund's latest share count is 42.8075 million, also a new high in the past three months [3] - The fund has seen continuous net inflows over the past three days, with a maximum single-day net inflow of 130 million yuan, totaling 280 million yuan, and an average daily net inflow of 93.4509 million yuan [3] - The management fee rate of the fund is 0.15%, and the custody fee rate is 0.05%, which are the lowest among comparable funds [3] - As of May 15, 2025, the fund's tracking error over the past month is 0.005%, indicating high tracking precision compared to similar funds [3] Group 2 - The credit bond ETF fund closely tracks the Shanghai benchmark market-making corporate bond index, exhibiting characteristics of medium to short duration, which implies relatively low interest rate risk [4] - The low duration of medium to short bonds results in smaller price fluctuations due to interest rate changes, aligning well with conservative investment demands [4] - In a declining interest rate environment, there are opportunities to capture capital gains from the decline in risk-free interest rates and the compression of spreads [4]

Core Viewpoint - The People's Bank of China (PBOC) has implemented a 0.5 percentage point reduction in the reserve requirement ratio (RRR) for financial institutions, releasing approximately 1 trillion yuan in long-term liquidity to the market, which is expected to stabilize the financial environment and support economic recovery [1][2]. Group 1: Monetary Policy Impact - The RRR cut effectively countered the funding disruptions caused by government debt payments and the maturity of medium-term lending facilities, maintaining a stable and loose liquidity environment [1]. - The average RRR level decreased from 6.6% to 6.2%, providing banks with long-term low-cost funding [1]. - The special arrangement for auto finance and financial leasing companies, reducing their RRR from 5% to 0%, enhances their ability to support automotive consumption and equipment investment [1]. Group 2: Market Reactions - Following the RRR cut, trading strategies in the bond market shifted, with increased focus on "rolling overnight" trading strategies and a significant rise in the volume of pledged repos in the interbank market, reaching 7.4 trillion yuan and 7.5 trillion yuan on May 14 and 15, respectively [1]. - The weighted average price of DR007 only increased by 0.74 basis points to 1.5245% on May 15, indicating that the liquidity released by the RRR cut effectively alleviated short-term funding pressures [2]. - Despite a high net government debt payment of 645.3 billion yuan, the long-term liquidity injection from the RRR cut stabilized market funding conditions [2]. Group 3: Future Outlook - Analysts anticipate further RRR cuts in the year, with some expecting a total reduction of 1 percentage point, similar to the 2024 reduction, while others suggest there is still a potential space for a 2-2.5 percentage point cut [2]. - The RRR cut reflects a moderately accommodative monetary policy stance, injecting long-term liquidity to stabilize the financial environment and provide banks with sufficient funding to support the real economy, thereby promoting domestic demand recovery and economic improvement [2].

Group 1 - The overall economic sentiment is mixed, with some indicators showing recovery while others indicate a decline [1][2][11] - Public transportation usage, including subway and domestic flights, has seen a slight increase, with subway ridership averaging 80.98 million daily in early May, up 2.5% year-on-year [1][5] - Land premium rates have rebounded, reaching 12.37% in early May compared to 9.63% in April [1][5] Group 2 - U.S. imports have shown a significant decline, with a 20.1% decrease in import value in the week of May 1, particularly from China, which saw a 27.9% drop [2][12] - Domestic prices for bulk commodities are weak, with prices for coal, steel, and cement continuing to fall [2][22] - The issuance of new special bonds has exceeded 1 trillion, indicating a significant increase in local government financing plans [2][28] Group 3 - Interest rates have decreased following recent monetary policy adjustments, with DR001 at 1.4908% as of May 9, down 29.45 basis points from April 30 [3][31] - The bond market is experiencing a net issuance of government bonds, with a notable amount of special bonds planned for the second quarter [28][29] Group 4 - Commodity prices are showing divergent trends, with international prices for oil, gold, and copper rising, while domestic prices for coal and construction materials are declining [22][27] - The Baltic Dry Index (BDI) has decreased by 8.6%, indicating a weakening in shipping rates [24][27]