证券研究报告 固收 流动性跟踪周报（2025.9.22-9.26） 2025 年 9 月 29 日│中国内地 流动性周报 SAC No. S0570518110002 SFC No. AMB145 华泰研究 张继强 研究员 zhangjiqiang@htsc.com +(86) 10 6321 1166 吴宇航* 研究员 SAC No. S0570521090004 wuyuhang@htsc.com +(86) 10 6321 1166 仇文竹* 研究员 SAC No. S0570521050002 qiuwenzhu@htsc.com +(86) 10 6321 1166 SAC No. S0570525070010 ouyanglin@htsc.com 欧阳琳* 研究员 +(86) 10 6321 1166 存单利率和 IRS 收益率上行 上周存单合计到期 9692.1 亿元，发行 7918.7 亿元，净融资规模-1773.4 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 1.69%， 较前一周上行。本周存单单周到期规模在 1688.4 亿元左右，到期压力较前 一周减小。利率互换 ...

Core Viewpoint - The article discusses the launch of interest rate swap contracts linked to the one-year Loan Prime Rate (LPR1Y) under the "Northbound Swap Connect," aimed at meeting the diverse risk management needs of overseas institutions [2][3]. Group 1: Introduction of LPR1Y Interest Rate Swaps - The People's Bank of China has approved the trading and centralized clearing of interest rate swap contracts linked to LPR1Y, effective immediately [2]. - Bloomberg has initiated support for the first day of trading for these LPR1Y-linked swap contracts [2]. Group 2: Bloomberg's Role and Enhancements - Bloomberg's IRS trading portal now supports various financial instruments in the onshore derivatives market, including the newly added LPR1Y interest rate swaps [2]. - Bloomberg has previously upgraded its "Swap Connect" solution to support IRS contracts with settlement dates aligned with the International Monetary Market (IMM) and to allow early exit from contracts through compression services [3]. - The integration of LPR1Y interest rate swaps into Bloomberg's existing "Swap Connect" solution provides investors with precise long-term investment matching tools without altering current workflows [3]. Group 3: RFQ Workflow - Authorized Bloomberg terminal users can initiate requests for quotes (RFQ) from a list of approved onshore dealers by the People's Bank of China, allowing them to receive pricing and necessary transaction execution information [6].

证券研究报告 固收 流动性跟踪周报（2025.9.8-9.12） 2025 年 9 月 15 日│中国内地 流动性周报 资金面先紧后松，资金利率上行 上周公开市场到期 10684 亿元，均为逆回购到期，公开市场投放 12645 亿元， 均为逆回购投放，合计净投放 1961 亿元。此外，央行上周五宣布本周将投放 6M 买断式逆回购 6000 亿元，本月 6M 买断式逆回购到期 3000 亿元。上周 资金面先紧后松，DR007 均值为 1.47%，较前一周上行 3BP，R007 均值为 1.48%，较前一周上行 2BP，DR001 和 R001 均值分别为 1.39%和 1.43%。 交易所回购利率上行，GC007 均值为 1.47%，较前一周上行 2BP。截至上周 最后一个交易日，逆回购未到期余额为 12645 亿元，较前一周上行。 存单利率和 IRS 收益率上行 上周存单合计到期 12521.7 亿元，发行 7841.6 亿元，净融资规模-4680.1 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 1.67%， 较前一周上行。本周存单单周到期规模在 8500.5 亿元左右，到期压力较前 ...

Group 1: Domestic News - The China Securities Regulatory Commission (CSRC) has released revised regulations on public fund sales fees, aiming to reduce investor costs by approximately 30 billion yuan, representing a 34% reduction [2] - The State Administration of Foreign Exchange (SAFE) is seeking public opinion on expanding the pilot program for high-level cross-border trade openness, which includes nine policies to enhance foreign exchange fund settlement [2] - The Ministry of Finance has issued interim regulations on the accounting treatment of local government special bonds, which will take effect on January 1, 2026, to improve the management of repayment funds and project assets [3] Group 2: International News - The U.S. non-farm payrolls increased by only 22,000 in August, significantly below the expected 75,000, with the unemployment rate rising to 4.3%, the highest in nearly four years [4] - The report indicates a downward revision of previous employment data, with June's figures adjusted from an increase of 27,000 to a decrease of 13,000, marking the first negative growth since 2020 [4] Group 3: Commodity Market - International crude oil prices fell, with WTI October futures down 2.53% to $61.87 per barrel, and Brent November futures down 2.22% to $65.50 per barrel [6] Group 4: Bond Market Dynamics - The bond market weakened due to a strong rebound in the stock market, with the yield on the 10-year government bond rising by 1.40 basis points to 1.7675% [11] - The yield on the 10-year policy bank bond increased by 1.60 basis points to 1.8735% [11] Group 5: Credit Bond Events - Wanda Group's equity worth 9.4 billion yuan has been frozen for three years, as reported by the National Enterprise Credit Information Publicity System [14] - Shenzhen Longguang Holdings announced overdue bank and trust loans totaling 31.2 billion yuan [15] - Aoyuan Group reported overdue debt principal of approximately 42.77 billion yuan [15] Group 6: Convertible Bonds - The convertible bond market saw a strong rebound, with major indices rising by 2.17% to 2.68% on September 5, and trading volume reaching 926.91 billion yuan [16] - Notable gainers included Xizi Convertible Bond, which rose over 16%, and Qianglian Convertible Bond, which increased over 14% [17]

Group 1 - The overall liquidity in the financial market is balanced and slightly loose, with an increase in trading volume and a decrease in balances, leading to a downward trend in most repo rates [1][2] - In July, the interbank market was active with a total transaction volume of 231.7 trillion yuan, representing a month-on-month increase of 12.7% and a year-on-year increase of 15.7% [1][2] - The People's Bank of China (PBOC) emphasized a moderately loose monetary policy to match the growth of social financing and money supply with economic growth and price expectations [1][2] Group 2 - In July, the PBOC conducted significant open market operations, with a net injection of 468 billion yuan, including 14 trillion yuan in reverse repos and 4 trillion yuan in MLF [2][3] - Major repo rates showed a downward trend, with the overnight repo rate (DR001) at 1.39% and the 7-day repo rate (DR007) at 1.53%, reflecting a decrease of 1 and 7 basis points respectively [2][3] Group 3 - The bond market saw a total issuance of 5.29 trillion yuan in July, a decrease of 0.6% month-on-month but an increase of 27.6% year-on-year, with net financing at 2.31 trillion yuan, up 7.9% month-on-month and 86.6% year-on-year [4] - The yield on government bonds increased, with the 10-year government bond yield fluctuating between 1.64% and 1.75%, and the yield curve steepening [4] Group 4 - The interest rate swap curve ended its inversion, with short-term rates decreasing and long-term rates increasing, indicating a shift in market sentiment [6][7] - The average daily trading volume of RMB interest rate swaps increased by 44.8% in July, with a nominal principal amount of 4.6 trillion yuan [7]

Group 1 - The global bond market is experiencing increased volatility, with investors highly sensitive to any changes in the Federal Reserve's interest rate cut expectations, making information asymmetry a crucial profit source in modern bond investing [1][2] - U.S. Treasury yields reversed a three-day decline, with the 10-year benchmark yield dropping to 4.30%, driven by an 80% probability of a Fed rate cut in September, influenced by signs of a cooling job market [2][11] - The Chinese bond market is showing similar trends, with government bond futures closing higher and a notable drop in yields, creating investment opportunities for savvy investors [2][11] Group 2 - The speed and quality of information acquisition directly impact investment success in the rapidly changing bond market, making timely information a core competitive advantage for investors [3] - The Sina Finance APP offers significant advantages in this information competition, providing real-time updates and monitoring tools for bond market dynamics [4][6] - The APP's features include a "bond anomaly monitoring" function that alerts investors to unusual price movements within three seconds, enabling them to seize trading opportunities [5][6] Group 3 - The APP provides comprehensive bond market coverage, including over 300 types of bonds, and offers professional analytical tools such as yield curve analysis and credit spread monitoring [6][9] - It includes intelligent decision support features, such as ESG scoring and financial data access for new bond issuances, enhancing the investment decision-making process [7][8] - The APP also supports cross-border investment with tools for currency hedging and real-time analysis of international bond markets, helping investors navigate global trends [9] Group 4 - The APP emphasizes financial education, offering over 200 video courses and a simulated trading platform to help novice investors improve their trading skills [10] - For advanced users, the APP provides customized services, allowing users to create personalized bond portfolios and monitoring metrics [10] - In the current market environment, characterized by fluctuating risk preferences, the APP aims to democratize access to institutional-level data tools for individual investors [11]

Economic Indicators - The 1-year Federal Reserve Financial Conditions Index (FCI-G Index) dropped to -0.4, the lowest since July of last year, indicating strong monetary policy support for corporate output and employment[9] - The 3-year FCI-G Index fell to -0.7, the lowest since April 2022, suggesting limited necessity for rate cuts compared to last year[9] Market Trends - As of August 8, the S&P 500 Index EPS growth reached 10%, significantly exceeding the expected 4%, reflecting robust U.S. economic growth[10] - Broad dollar speculative positions shifted from short to long, with net long positions reaching 31,000 contracts, the highest since April this year[10] Credit Market Developments - The proportion of banks tightening credit standards for large and medium-sized enterprises decreased from 18.5% to 9.5%, and for small enterprises from 15.9% to 8.2%[21] - The European Central Bank's deposit facility rate was reduced from 2.75% to 2%, yet broad credit expansion remains sluggish, with Eurozone M3 growth dropping to 3.3%, the lowest since September last year[17] Risk Premiums - The equity risk premium (ERP) for the CSI 300 Index is at 5.1%, one standard deviation above the 16-year average, indicating potential for valuation uplift[22] - The 10-year Chinese government bond arbitrage return is at 19 basis points, 49 basis points higher than December 2016 levels, suggesting favorable conditions for leveraged bond market strategies[27] Currency and Commodity Insights - The 3-month USD/JPY basis swap stood at -17.9 basis points, indicating a relaxed offshore dollar financing environment post-tariff adjustments[29] - The copper-to-gold price ratio fell to 2.9, while the offshore RMB exchange rate rose to 7.2, signaling diverging trends in global demand and currency valuation[34]

Core Insights - The Baltic commercial real estate market in Q2 2025 showed low transaction activity due to a lack of equity capital and modest economic growth, although declining EURIBOR rates reduced borrowing costs [1] Financial Performance Overview - EfTEN Real Estate Fund AS reported consolidated sales revenue of €8.210 million for Q2 2025, a 3.1% increase year-on-year, and €16.068 million for H1 2025, reflecting a 1.0% increase [4] - The fund's consolidated net operating income (NOI) for H1 2025 was €14.845 million, a 0.4% increase from H1 2024, with an NOI margin of 92% [5] - The consolidated net profit for Q2 2025 was €4.025 million, significantly up from €2.442 million in Q2 2024, driven by a positive change in the fair value of investment properties [6] - For H1 2025, the consolidated net profit was €8.192 million, an increase from €6.250 million in H1 2024, with interest expenses decreasing by €973 thousand, or 22% [7] Real Estate Portfolio - As of 30 June 2025, the fund held 37 commercial real estate investments with a fair value of €382.018 million, up from €373.815 million at the end of 2024 [8] - The vacancy rate for the fund's investment properties was 3.7%, with the highest vacancy in the office segment at 16.2% [12] Investment and Development Activities - In H1 2025, the fund invested €7.657 million in new properties and development, including the acquisition of a property in Tallinn for €4 million [9][10] - The Paemurru logistics center was completed in Q2 2025, contributing to the fund's revenue growth [11] Financing and Interest Rates - The fund's subsidiaries have floating interest rate bank loans, and with the decline in EURIBOR, interest expenses have decreased significantly [3] - As of 30 June 2025, the weighted average interest rate on loan agreements was 3.95%, down from 4.89% at the end of 2024 [16] - The fund's interest coverage ratio improved to 3.7 as of 30 June 2025, compared to 2.9 a year earlier [17] Share Information - The net asset value (NAV) per share of EfTEN Real Estate Fund AS was €19.98 as of 30 June 2025, reflecting a 1.9% decrease during the first half of 2025 [19]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report analyzes the liquidity situation from July 21 - 25, 2025, indicating that the capital market shows a state of tight funds and rising interest rates, but the market's expectation of the capital side is stable. The central bank's attitude of caring for the capital side helps maintain the stability of capital interest rates, but there are still uncertainties in the stock market and redemptions [1][2]. 3. Summary by Related Catalogs **Funding Situation** - The open - market maturity was 2046.8 billion yuan last week, with a net investment of 10.95 billion yuan. The capital side was slightly tight, and the average value of DR007 was basically flat compared with the previous week, while the average value of R007 increased by 2BP. Exchange repurchase rates also increased [1]. - The total maturity of certificates of deposit (CDs) was 1076.48 billion yuan last week, with a net financing scale of - 560.79 billion yuan. The 1 - year AAA CD maturity yield increased compared with the previous week. The 1 - year FR007 interest rate swap average decreased compared with the previous week, and the market's expectation of the capital side was stable [2]. **Repurchase Transaction** - The volume of pledged repurchase transactions was between 7.1 - 8.1 trillion yuan last week, and the average volume of R001 repurchase transactions increased by 454 billion yuan compared with the previous week. The undelivered repurchase balance decreased compared with the previous week. In terms of institutions, the lending scale of large - scale banks decreased, while that of money market funds increased. The borrowing scales of securities firms and funds decreased, while that of wealth management increased [4]. **Other Market Indicators** - The 6M national stock bill transfer quotation decreased compared with the last trading day of the previous week. The US dollar - RMB exchange rate decreased slightly, and the Sino - US interest rate spread narrowed. There may be increased exchange rate fluctuations this week due to trade negotiations and central bank meetings [5]. **This Week's Key Concerns** The open - market capital maturity this week is 1656.3 billion yuan. Important economic data such as the eurozone and US Q2 GDP, China's July official PMI, the US July FOMC interest rate decision, and the US July ISM manufacturing index and unemployment rate will be released. Attention should also be paid to the central bank's open - market investment operations [6].

Summary of Key Points from the Conference Call Industry Overview - The focus is on the Hong Kong financial market, specifically the behavior of the Hong Kong Interbank Offered Rate (HIBOR) and the implications of liquidity management by the Hong Kong Monetary Authority (HKMA) [1][2]. Core Insights and Arguments - HKMA has recently spent US$2.5 billion to maintain the currency peg at 7.85, following a US$1.2 billion expenditure the previous week. This action has reduced the Aggregate Balance (AB) to HKD 144 billion from a peak of HKD 173 billion, indicating that liquidity remains ample despite the decline [1][2]. - The "equilibrium level" for the 1-month HIBOR is estimated to be around 2.3%, suggesting that the 3-month HIBOR may range between 2.5% and 2.6%. This estimation is based on historical spreads of 20-30 basis points between the 1-month and 3-month HIBOR over the past decade [3][5]. - The 1-month HKD-USD rate differential averaged -90 basis points in the first half of 2024, and the USDHKD did not reach 7.85 even in a strong USD environment. The last occurrence of USDHKD touching 7.85 was in the first half of 2023 when the Fed was still increasing rates [3][5]. - The current weaker USD environment suggests that the "equilibrium HK-US rate differential" needed to keep USDHKD below 7.85 is likely wider, estimated at least -130 basis points. This is considered a conservative estimate given the smaller AB in 2024 [3][5]. - With expectations of three 25 basis point cuts by the Fed this year, the effective Fed funds rate is projected to decline from 4.33% to 3.58%, leading to an estimated 1-month HIBOR equilibrium rate of approximately 2.3% [3][5]. Additional Important Insights - The market is currently pricing 3-9 month forwards of 3-month rates at 2.8-3%, which is higher than the estimated equilibrium level of 2.5-2.6% for the 3-month HIBOR. This indicates that the market may be overestimating the potential increase in HIBOR [6][7]. - Historical data shows that when the AB remains above HKD 100 billion, liquidity conditions are generally flush, and the rise in HIBOR due to a decline in AB has been limited. A significant increase in HIBOR typically occurs only when AB falls below HKD 100 billion [6][7]. - The expectation is that it may take 3-6 months for the 1-month HIBOR to reach the equilibrium rate of approximately 2.3% due to the current weak USD environment and anticipated Fed cuts [6][7]. - There is a strong economic linkage between Hong Kong and China, low loan demand, and significant capital inflows (US$93 billion in Southbound equity inflows year-to-date), suggesting that HK rates are likely to remain low for an extended period [8][9]. - The USDHKD carry trade remains attractive, with the >9 month outright USDHKD levels staying below 7.75, which is the lower end of the band. However, recession risks in the US economy could lead to a sharp repricing of front-end US rates [10][11]. Conclusion - The analysis indicates that while liquidity remains ample in Hong Kong, the market may be overpricing future increases in HIBOR. The expected Fed rate cuts and the current economic conditions suggest a prolonged period of low rates in Hong Kong, with potential implications for investment strategies in the region [8][9][10].