1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The key factors affecting the inter - bank capital situation during the Spring Festival holiday are the change in M0. The 9 - day Spring Festival in 2026 may lead to greater cash leakage and slower cash return to banks, resulting in a lower excess reserve level in the commercial banking system [2][12]. - The cash leakage (M0 month - on - month increase) caused by residents' cash withdrawals during the Spring Festival may exceed 1.7 trillion yuan, and with the 500 - billion - yuan 6M term repurchase "maturity - placement" misalignment, the pre - Spring Festival capital gap may exceed 2.2 trillion yuan [3][13]. - The central bank started to issue 14 - day reverse repurchase on February 5, and the start date and amount of the reverse repurchase across the Spring Festival holiday met expectations. The current low certificate of deposit spread and credit spread fully reflect the market expectation of stable and loose funds and remaining carry trade space [1][4]. - During the Spring Festival holiday, more attention should be paid to the speed of cash return to banks and the appreciation of the RMB. The 9 - day holiday may cause residents to return to work later, and RMB appreciation may consume commercial bank excess reserves [4][15]. 3. Summary by Directory 3.1 The Focus on the Capital Situation around the Spring Festival Holiday - The main factor affecting the inter - bank capital situation during the Spring Festival is the change in M0. The 9 - day Spring Festival in 2026 will lead to greater cash leakage and slower cash return to banks, resulting in lower excess reserves in the commercial banking system [2][12]. - The cash leakage (M0 month - on - month increase) during the Spring Festival may exceed 1.7 trillion yuan, and combined with the 500 - billion - yuan 6M term repurchase "maturity - placement" misalignment, the pre - Spring Festival capital gap may exceed 2.2 trillion yuan [3][13]. - The central bank issued 14 - day reverse repurchase on February 5, and the start date and amount of the reverse repurchase across the Spring Festival holiday met expectations. The current low spreads reflect the market expectation of stable and loose funds [1][4]. - Attention should be paid to the speed of cash return to banks and RMB appreciation during the holiday [4][15]. 3.2 Narrow - sense Liquidity 3.2.1 Central Bank Operations - Short - term liquidity: The central bank conducted peak - shaving and valley - filling operations. From February 2 to February 6, the net issuance of pledged reverse repurchase was - 756 billion yuan. Medium - and long - term liquidity: The 3M term repurchase was renewed with an excess of 100 billion yuan [16]. 3.2.2 Institution's Lending and Borrowing Situations - Capital supply (lenders): The net lending of large - scale banks reached a record high. Capital demand (borrowers): The absolute financing balance was high, and the relative leverage ratio increased [22][34]. 3.2.3 Repurchase Market Transaction Situation - Capital volume and price: The volume was abundant, and the price was stable. The capital sentiment index showed a gradual easing trend [42][45]. 3.2.4 Interest Rate Swaps - The cost of interest rate swaps decreased slightly, and the spread between CDs and IRS remained at a low level [49]. 3.3 Government Bonds 3.3.1 Next Week's Net Payment of Government Bonds - The net payment of government bonds next week will increase significantly. The net payment in the past week was 460.4 billion yuan, and it is expected to be 643.7 billion yuan next week [52]. 3.3.2 Government Bond Maturity Structure - The report presents the issuance and proportion of government bonds with different maturities in 2024, 2025, and 2026, including treasury bonds and local government bonds [57][58]. 3.4 Certificates of Deposit 3.4.1 Absolute Yield - The report shows the SHIBOR yield curve and the AAA - rated certificate of deposit yield curve and their changes compared with the previous week [62]. 3.4.2 Issuance and Stock Situations - As of February 6, the issuance and stock structures of certificates of deposit of different types of banks are presented, including the issuance and stock amounts and proportions of different maturities [66][67]. 3.4.3 Relative Valuation - The report analyzes the spreads of certificates of deposit, including the spreads between the 1 - year AAA - rated certificate of deposit yield and R007, DR007, and the 10 - year treasury bond yield, and their quantiles since 2020 [69].

Report Industry Investment Rating No relevant content provided. Core View of the Report - The central bank's over - renewal of repurchase and large - scale 14 - day reverse repurchase reflect its intention to maintain liquidity stability before the Spring Festival. As long as the central bank's attitude remains unchanged, the capital market around the Spring Festival is expected to remain loose. The net financing of certificates of deposit this week may be due to banks' need to maintain stable liabilities before the festival, and it's hard to infer a significant increase in banks' liability pressure. The government bond net payment scale may rise next week, but considering the central bank's measures, the capital market is still expected to be relatively loose [5][38][60]. Summary According to the Table of Contents 1. Money Market 1.1 This Week's Capital Market Review - The central bank carried out a net withdrawal of 756 billion yuan through 7 - day and 14 - day reverse repurchases this week. On Wednesday, it conducted an 800 - billion - yuan 3 - month term repurchase, with an over - renewal of 10 billion yuan. After the month - end, the OMO shifted to net withdrawal, but the capital demand at the beginning of the month was limited. Despite the increasing pressure of government bond payments in the second half of the week, the over - renewal of the 3 - month repurchase and the subsequent 14 - day OMO operations made the capital market looser, and DR001 fell below 1.3% on Friday [3][17]. - After the month - end, the trading volume of pledged repurchase continued to rise, with the average daily trading volume increasing by 0.95 trillion yuan to 8.75 trillion yuan. The overall scale of pledged repurchase rose rapidly at the beginning of the month and then fluctuated, remaining above 13 trillion yuan on Friday. The net lending of large - scale banks continued to rise, while that of small and medium - sized banks decreased slightly. The net lending of non - bank institutions showed different trends, and the capital gap index generally declined [4][24]. - The progress of cross - Spring Festival financing in the inter - bank and exchange markets was at the lowest level in recent years, and the gap compared with previous years in the inter - bank market continued to widen. The overall cross - Spring Festival progress in the whole market was 13.1%, 8.1 percentage points lower than the average of the same period from 2020 - 2025 [29]. 1.2 Next Week's Capital Outlook - This week, the net payment of government bonds was 46.04 billion yuan. Next week, the issuance of 7 - year treasury bonds is about 20 billion yuan, and 8 regions will issue local bonds worth 32.21 billion yuan. Due to the low maturity scale of government bonds next week, the net payment scale of government bonds may rise to 71.41 billion yuan [39][41]. - The central bank's use of 14 - day reverse repurchase operations shows its clear attitude of protecting liquidity. The 6 - month repurchase due next week is expected to be over - renewed, so the capital market is expected to remain relatively loose [60]. 2. Inter - bank Certificates of Deposit - The 1 - year Shibor rate decreased by 1.11 BP to 1.6169% compared with January 30th. The secondary rate of 1 - year AAA - rated inter - bank certificates of deposit decreased by 1 BP to 1.585% compared with last week [61]. - This week, the issuance scale of inter - bank certificates of deposit increased while the maturity scale decreased, resulting in a net financing of 37.27 billion yuan, an increase of 46.29 billion yuan compared with last week. The net financing scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 9.46 billion yuan, 8.82 billion yuan, 13.69 billion yuan, and 2.59 billion yuan respectively. The issuance proportion of 9 - month certificates of deposit was the largest, and the issuance proportion of 1 - year certificates of deposit decreased by 17 percentage points to 13% compared with last week. Next week, the maturity scale of certificates of deposit is about 97.82 billion yuan, an increase of 84.43 billion yuan compared with this week [67]. - The issuance success rates of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks all increased compared with last week, and were around the average level in recent years. The issuance spread of 1 - year certificates of deposit between city commercial banks and joint - stock banks widened [68]. - The willingness of money market funds to increase the holding of certificates of deposit in the primary market recovered, and the willingness of fund companies to reduce the holding in the secondary market weakened. The relative strength index of certificates of deposit rebounded counter - seasonally in the second half of the week, rising by 3.9 percentage points to 19.6% compared with last week. Except for the 9 - month supply - demand index, the supply - demand indexes of other terms increased [75]. 3. Bill Market - This week, bill interest rates first decreased and then increased, with a large decline on Monday. As of February 6th, the 3 - month and 6 - month bill interest rates of state - owned and joint - stock banks decreased by 44 BP and 16 BP respectively compared with January 30th, to 1.01% and 0.95% [82]. 4. Bond Trading Sentiment Tracking - This week, the yields of interest - rate bonds fluctuated downward, and the credit and perpetual bond spreads generally widened passively. Large - scale banks generally tended to reduce their bond holdings, with an increased willingness to reduce local bonds and a decreased willingness to increase inter - bank certificates of deposit, 5 - year policy - financial bonds, 5 - year and 10 - year treasury bonds. Trading - type institutions generally tended to increase their bond holdings, with different trends among different institutions. Allocation - type institutions generally tended to increase their bond holdings, with different trends among different institutions [85].

摘 要 未来一周资金的核心扰动因素聚焦于资金跨节，地方政府债发行等，预计跨春节等因素导致资金价格可能环比周五（2月6日）略上抬，资金分层加大，非 银杠杆套息策略或受到一定影响，但央行在春节特殊时间点会延续呵护，因此判断资金压力整体不大，资金体感延续稳健，节后资金面判断重点之一在于 央行6个月期买断式逆回购的投放情况。 一、节前资金无忧 过去一周（2月2日-2月6日，下同）央行整体回笼流动性，资金体感宽松，其中值得注意有三点：（1）央行呵护跨年和特定时间点的资金面明显，整 体"缩短放长"，更有利于资金面的稳健性；（2）大型银行净融出持续抬升，除去央行呵护，或有"信贷走弱，存款流失并不大"等逻辑；（3）资金价格延 续回落，反映短期资金的DR001和反映中长期资金的Shibor 3M处于下行通道中。 展望未来一周，资金压力并不大，但重点需关注6个月期买断式的续作情况。 （1）存单视角，最近几周存单净融资连续负值收敛，直到本周转正，虽然有到期量少的原因，但叠加一级部分银行存单提价压力增加，本质上说明银行 资负处于再平衡过程中，当然当前还是负债端相对更好，短期资金比长期资金更乐观； （2）因此下周关注6M操作是重点，若 ...

证券研究报告|宏观跟踪周报 [Table_Date] 2026 年 2 月 7 日 [Table_Title] 春节前，政府债净缴款升至 7000 亿+ [Table_Title2] 流动性跟踪 [Table_Summary] ►概况：月初，资金面宽松 2 月首周，在大额公开市场到期、政府债集中供给的扰动下，资金面宽松格局 未改。月初周公开市场回笼压力通常较大，逆回购到期量达 1.76 万亿元，央行净回 笼 7560亿元。而对于 7000亿元 3M买断式逆回购到期，央行超额续作 1000亿元。 叠加 1 月买断式、MLF、买债操作，1-2 月央行已累计投放 1.2 万亿元中长期资金。 且自 2 月 5 日起，央行已连续两日开展 14 日逆回购投放，累计投放达 6000 亿元。 在月初财政支出的作用以及央行的呵护下，资金面维持宽松，即便周内面临逾 4600 亿元的政府债缴款压力，资金利率仍保持稳步下行的态势。R001 由周初的 1.43%逐日回落至周五的 1.36%，R007%周一至周四持稳于 1.55%附近，周五下行 至 1.53%，支持跨节的 R014 在周三触及 1.63%的周内高点后连续回落，收于 1. ...

Group 1 - The report indicates that the excess reserve ratio in December increased by 0.4 percentage points to 1.6%, which is relatively low for year-end months and below the expected 0.3 percentage points, primarily due to a lower-than-expected decline in government deposits [1][13][17] - In December, government deposits decreased by approximately 1 trillion, which is lower than the previously expected 2 trillion, reaching a historical high of 5 trillion [1][13][17] - The report highlights that the general public budget revenue and expenditure did not meet the annual budget targets, with the expenditure completion rate being the lowest in recent years, leading to a significant fiscal deficit of 2.66 trillion in December, exceeding expectations by about 500 billion [2][16][17] Group 2 - The report forecasts that the broad fiscal surplus for January is expected to be around 410 billion, which is at a neutral level compared to previous years, with government deposits anticipated to increase by approximately 1.25 trillion, potentially impacting liquidity [2][26][35] - In January, the monetary issuance is projected to increase by about 600 billion, with the reserve requirement ratio expected to rise by approximately 350 billion, indicating a tightening effect on liquidity [2][26][35] - The report notes that the funding rates in January have marginally increased compared to December, but the overall liquidity remains loose, with the average DR001 rate reaching 1.34%, higher than December's 1.28% [3][43][45] Group 3 - The report suggests that the fiscal deficit in February may reach the highest level for the same period in previous years, with government deposits expected to decrease by about 370 billion [7][35] - It is anticipated that the monetary issuance in February will remain high, with an expected increase of around 900 billion, influenced by the timing of the Chinese New Year [7][35] - The report indicates that the central bank's monetary policy has subtly shifted, focusing on guiding reasonable growth in financial totals rather than excessively loosening financial conditions [8][35]

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 资讯早班车-2026-02-06 一、 宏观数据速览 | 发布日期 | 指标日期 | 指标名称 | 单位 | 当期值 | 上期值 | 去年同期值 | | --- | --- | --- | --- | --- | --- | --- | | 2026-01-19 | 2025/12 | GDP:不变价:当季同比 | % | 4.5 | 4.8 | 5.4 | | 2026-01-31 | 2026/01 | 制造业 PMI | % | 49.3 | 49.0 | 49.1 | | 2026-01-31 | 2026/01 | 非制造业 PMI:商务活动 | % | 49.4 | 50.1 | 50.2 | | 2026-01-15 | 2025/12 | 社会融资规模:当月值 | 亿元 | 22075 | 35299 | 28537 | | 2026-01-15 | 2025/12 | M0:同比 | % | 10.2 | 11.5 | 13.0 | | 2026-01-15 | 2025/12 | M1:同比 | % | 3.8 | 7.2 ...

Core Viewpoint - The stock market is expected to have upward potential this year, driven by liquidity and a rebound in profit growth despite nominal GDP growth being at a low point [1] Group 1: Economic and Market Analysis - The relationship between stock market trends and economic growth is not always synchronized, with liquidity being a significant driver of market changes [1] - Current nominal GDP growth remains in a bottom range, but the expansion speed of financial institutions' balance sheets is relatively strong [1] - The divergence between household balance sheets, which are negatively impacted by real estate, and the expansion of financial institutions provides ample liquidity resources for the equity market [1] Group 2: Investment Strategy - As deposits from previous years mature, low interest rates may trigger a reallocation of household assets, which, although the proportion may be low, can still lead to significant capital movement due to the large volume of maturing deposits [1] - The combination of a relatively abundant liquidity environment and a rebound in profit growth is expected to drive the stock market to new highs within the year [1]

Summary of Key Points Core Viewpoint - The report highlights the current trends in various sectors, including liquidity, infrastructure, real estate, industrial products, and export chains, indicating potential investment opportunities and market dynamics. Group 1: Liquidity and Financing Environment - SPDR Gold ETF holdings are at their highest level since June 2022 [4] - The BCI small and medium enterprise financing environment index for January 2026 is 50.27, up 6.62% month-on-month [4] - The M1 and M2 growth rate difference was -4.7 percentage points in December 2025, down 1.60 percentage points month-on-month [4] - Current London gold spot price is $4,880 per ounce [4] Group 2: Infrastructure and Real Estate Chain - January high furnace capacity utilization is expected to be at the highest level for the same period in five years [5] - Weekly price changes include rebar down 0.61%, cement price index down 1.10%, rubber up 4.49%, coke up 3.65%, coking coal down 0.64%, and iron ore up 0.50% [5] - National high furnace capacity utilization, cement, and asphalt operating rates decreased by 0.04 percentage points, 0.02 percentage points, and 0.7 percentage points respectively [5] Group 3: Real Estate Completion Chain - Titanium dioxide and glass prices are at low levels, with titanium dioxide price unchanged and glass price up 1.38% [6] - Titanium dioxide gross profit is -1,834 yuan per ton, while flat glass operating rate is 73.89% [6] Group 4: Industrial Products Chain - January national PMI new orders index is at 49.20% [7] - Major commodity price changes include cold-rolled steel unchanged, copper up 3.50%, and aluminum up 2.11%, with corresponding gross profit changes showing improvements [7] - National semi-steel tire operating rate is 74.84%, up 0.28 percentage points [7] Group 5: Subcategories - Orientation silicon steel prices have reached the lowest level since 2018 [8] - Graphite electrode price is 19,000 yuan per ton, unchanged, with a gross profit of 1,921.48 yuan per ton, down 4.00% [8] - Electrolytic aluminum price is 24,640 yuan per ton, up 2.11%, with estimated profit of 7,389 yuan per ton (excluding tax), up 6.91% [8] - Electrolytic copper price is 104,640 yuan per ton, up 3.50% [8] - Tungsten concentrate price is 605,000 yuan per ton, up 11.42% from last week [8] Group 6: Price Comparison Relationships - The price ratio of hot-rolled to rebar is at the lowest level for the same period in five years [9] - The price ratio of rebar to iron ore is 3.96 this week [10] - The price difference between hot-rolled and rebar steel is 50 yuan per ton [10] - The price difference between Shanghai cold-rolled and hot-rolled steel is 360 yuan per ton, up 30 yuan per ton [10] - The price difference between small rebar (mainly used in real estate) and large rebar (mainly used in infrastructure) is 200 yuan per ton, up 33.33% from last week [10] - The price difference between medium-thick plates and rebar is 50 yuan per ton [10] Group 7: Export Chain - January China PMI new export orders are at 47.80%, down 1.2 percentage points [11] - The China Containerized Freight Index (CCFI) composite index is 1,175.59 points this week, down 2.74% [11] - The U.S. crude steel capacity utilization rate is 76.90%, up 1.00 percentage points [11] - Starting January 1, 2026, China will implement export licensing management for certain steel products, which is expected to further regulate steel exports [11] Group 8: Valuation Percentiles - This week, the CSI 300 index increased by 0.08%, with the best-performing cyclical sector being oil and petrochemicals, up 7.95% [12] - The PB ratio of ordinary steel and industrial metals relative to the PB of the two markets is 32.46% and 100.00% respectively [12] - The PB ratio of the ordinary steel sector relative to the two markets is currently 0.52, with the highest value since 2013 being 0.82, reached in August 2017 [12]

Group 1 - The People's Bank of China (PBOC) conducted a 750 billion yuan reverse repurchase operation with a fixed interest rate of 1.4%, resulting in a net liquidity withdrawal of 302.5 billion yuan after 3.775 trillion yuan of reverse repos matured [1] - From February 2 to February 4, the cumulative net withdrawal of 7-day reverse repos by the PBOC amounted to 674.5 billion yuan, indicating a stable liquidity environment ahead of the Spring Festival [1] - Analysts expect that as the Spring Festival approaches, the PBOC may shift to net liquidity injection through reverse repos and potentially utilize 14-day reverse repos to mitigate liquidity fluctuations [1] Group 2 - In January, the PBOC reported a net liquidity injection of 700 billion yuan through Medium-term Lending Facility (MLF) and a net injection of 100 billion yuan from government bond transactions, marking a significant increase compared to previous months [2] - The PBOC's approach to government bond transactions will be flexible, considering various factors to maintain ample liquidity and support the smooth issuance of government bonds [2] - The expectation for net bond purchases to gradually increase in February, with a projected net injection of around 100 billion yuan, reflects a cautious outlook on monetary policy [2] Group 3 - The large-scale liquidity injection by the PBOC in January reduces the urgency for a comprehensive reserve requirement ratio (RRR) cut before the Spring Festival, indicating a shift to an observation period for monetary policy [3] - The continuation of MLF operations and the resumption of 3-month reverse repos in February are seen as alternatives to an RRR cut, further decreasing the likelihood of such measures in the short term [3] - Analysts predict that the window for potential interest rate cuts or RRR reductions may open in the second quarter of the year, particularly in light of government bond issuance pressures [3]

Market Overview - The central bank conducted a 750 billion yuan reverse repo operation with a fixed interest rate of 1.40% on February 4, with a net withdrawal of 3025 billion yuan for the day due to 3775 billion yuan of reverse repos maturing [3][4]. Funding Conditions - The interbank market has returned to a stable and loose state, with the weighted average interest rate of D R001 slightly rising to around 1.32%. Overnight quotes in the anonymous click (X-repo) system remained at 1.3%, with a significant increase in supply compared to the previous day [5]. - The latest overnight financing guarantee rate in the U.S. is 3.69% [6]. - The latest transaction rate for one-year interbank certificates of deposit among major banks is stable at 1.60% [7]. Bond Market - The closing prices for government bond futures showed a decline: the 30-year main contract fell by 0.23%, the 10-year by 0.01%, the 5-year by 0.04%, and the 2-year by 0.02% [13]. Key News - The State Council held a press conference discussing the modernization of agriculture and rural areas, emphasizing four key tasks for this year, including enhancing agricultural production capacity and quality, and promoting stable income growth for farmers [15]. - The People's Bank of China emphasized the need for quality financial services in key strategic areas and sectors, aiming to support domestic demand and technological innovation [15]. - Hong Kong is developing into an international bond issuance hub, with plans for an electronic trading platform to enhance market liquidity [16]. Bond Events - The National Development Bank plans to issue up to 330 billion yuan in financial bonds on February 5 [20]. - A series of negative events related to bond issuers were reported, including rating downgrades for several companies [21]. Non-standard Asset Risks - Several non-standard assets have been flagged for risks, including investment plans and private equity funds facing potential defaults [22].