证券研究报告 固收 2025 年 11 月 23 日│中国内地 利率周报 华泰研究 张继强 研究员 zhangjiqiang@htsc.com +(86) 10 6321 1166 仇文竹* 研究员 SAC No. S0570521050002 qiuwenzhu@htsc.com +(86) 10 6321 1166 吴宇航* 研究员 SAC No. S0570521090004 wuyuhang@htsc.com +(86) 10 6321 1166 欧阳琳* 研究员 SAC No. S0570525070010 ouyanglin@htsc.com "五组利率比价关系"的启示 朱逸敏* 联系人 SAC No. S0570124070133 zhuyimin@htsc.com +(86) 10 6321 1166 央行政策利率和市场利率的关系 央行政策利率与市场利率的关系主要关注两个维度：1）OMO→资金利率→ 同业存单/短端国债利率： 5 月以来，DR001 资金利率回到政策利率附近波 动。向后看，央行几大目标更为均衡，资金面大概率延续平稳，货币市场利 率与 OMO 利差预计稳定且延续低位。2）OMO→ ...

Macroeconomic Environment - The US government has ended its longest shutdown, with a temporary funding bill supporting most government departments until January 30, 2026, requiring further negotiations thereafter [3] - Economic data releases in the US are delayed, with upcoming non-farm payroll data expected to show a significant cooling in the job market, potentially leading to another interest rate cut by the Federal Reserve in December [3][4] - In Europe, industrial production has underperformed expectations, but economic sentiment indicators are improving, with the European Central Bank focusing on economic recovery while expressing concerns about inflation [4] Domestic Economic Conditions - In China, new social financing in October decreased year-on-year, impacted by the real estate cycle and local government debt repayments, leading to suppressed corporate loans [4] - Monetary aggregates M1 and M2 have slowed in growth, with ongoing issues such as slow fiscal fund disbursement and a decline in fixed asset investment growth [4] - High-frequency data indicates a decline in real estate transactions, while agricultural wholesale prices have slightly increased; upstream prices for coking coal and coke have dropped, while non-ferrous metals and gold prices have strengthened [4] Financial Data and Market Trends - October's credit data was weak, aligning with the third-quarter monetary policy report indicating a decrease in indirect financing ratios; a new 500 billion yuan policy financial tool is expected to boost credit demand [8] - The bond market has seen a narrow fluctuation in yields, with a total issuance of 98 bonds amounting to 679.6 billion yuan during the reporting period, indicating an increase in both national and local special bond issuance [9] - The market outlook suggests that while inflation data has shown some improvement, credit data remains weak, and the bond market is currently desensitized to fundamental data [10]

Core Viewpoint - The People's Bank of China emphasizes the importance of maintaining reasonable interest rate relationships to enhance the effectiveness of monetary policy and reduce arbitrage opportunities in the financial system [1][2]. Interest Rate Transmission Mechanism - The report discusses the transmission mechanism of policy interest rates through the financial system to various market rates, highlighting the need for a market-oriented interest rate system to function effectively [1]. - It is noted that different financial instruments have varying characteristics, leading to a diverse range of interest rates and the formation of price relationships [1]. Key Interest Rate Relationships - The report identifies several critical interest rate relationships that require attention: - The relationship between central bank policy rates and market rates, where market rates should align closely with policy rates to ensure effective transmission [3]. - The relationship between asset and liability rates of commercial banks, where discrepancies can compress net interest margins and affect banks' ability to support the real economy [3]. - The relationship between different asset yields, emphasizing that the financing costs for the same entity should not diverge excessively between bond yields and loan rates [3]. - The relationship between short-term and long-term rates, which should maintain a reasonable term spread [3]. - The relationship between different risk rates, where higher credit ratings should correspond to lower financing costs, ensuring adherence to risk pricing principles [3]. Regulatory Measures and Future Directions - Recent regulatory efforts have aimed to stabilize banks' net interest margins and manage interest rates effectively, with noticeable improvements [4]. - The central bank plans to continue monitoring the identified interest rate relationships and implement measures to ensure compliance with self-regulatory mechanisms, including the establishment of reporting mechanisms for deposit rates and loan pricing [4]. - Ongoing assessments of financial institutions' adherence to interest rate policies will be conducted to maintain reasonable net interest margins and expand the counter-cyclical adjustment space for monetary policy [4].

Core Viewpoint - The People's Bank of China emphasizes the importance of maintaining reasonable interest rate relationships to enhance the effectiveness of monetary policy and reduce capital arbitrage [1][3]. Group 1: Interest Rate Relationships - The relationship between central bank policy rates and market rates is crucial, as short-term market rates should align closely with policy rates to ensure effective transmission of monetary policy [1]. - The relationship between commercial banks' asset and liability rates indicates that while loan and deposit rates generally move in the same direction, discrepancies can compress banks' net interest margins, affecting their ability to support the real economy [1][2]. - Different types of asset yields, such as loans and bonds, should not diverge excessively for the same entity, and the diversification of financial products necessitates better coordination of interest rates across financial markets [2][3]. Group 2: Term and Risk Premiums - The difference between short-term and long-term interest rates reflects the term premium, and banks should maintain reasonable term spreads in their deposit rates [2][3]. - The relationship between different risk premiums indicates that higher credit ratings should correspond to lower financing costs, and deviations from this principle, such as corporate financing rates being lower than government bond yields, are unsustainable [2]. Group 3: Policy Coordination and Implementation - The central bank has implemented measures to maintain reasonable interest rate relationships, including regulating interest rate pricing and enhancing the linkage between banks' asset and liability rates [3]. - Strengthening policy coordination and ensuring effective execution of interest rate policies are essential for the central bank to facilitate smooth monetary policy transmission [3].

Core Viewpoint - The People's Bank of China emphasizes the need for a balanced monetary policy that supports economic growth while managing risks, aiming for a stable economic environment and achieving a 5% growth target for the year [1][2]. Group 1: Monetary Policy Strategy - The central bank plans to implement a moderately loose monetary policy to maintain relatively relaxed social financing conditions, adjusting according to economic and financial conditions [2][3]. - The report highlights the importance of monitoring liquidity supply and demand in the banking system and financial markets, using various monetary policy tools to ensure ample liquidity [2][3]. Group 2: Financial Resource Management - The focus is on revitalizing existing financial resources rather than merely increasing credit volume, aligning with the transition from high-speed to high-quality economic development [3][4]. - The current balance of RMB loans is 270 trillion yuan, and the total social financing stock is 437 trillion yuan, indicating a shift in financing structure and the need for more attention to social financing scale [3][4]. Group 3: Interest Rate Relationships - The report discusses the necessity of maintaining reasonable interest rate relationships to enhance the effectiveness of monetary policy and reduce arbitrage opportunities [4][5]. - Various interest rate relationships are outlined, including those between central bank policy rates and market rates, as well as between different asset types and risk levels [4][5]. Group 4: Capital Market Dynamics - There is a perception that the slowdown in deposit growth is due to funds moving to the stock market, although this is seen as a redistribution of deposits rather than a net decrease [5]. - The adjustment in asset allocation is explained by changes in return rates and price relationships among different assets, influenced by the market-driven interest rate system [5].

Core Viewpoint - The recent slowdown in deposit growth is interpreted as a shift of funds from deposits to the stock market, influenced by changes in interest rates and their relationships, as explained in the People's Bank of China's (PBOC) third-quarter monetary policy report [1][2]. Group 1: Interest Rate Dynamics - The PBOC emphasizes that interest rates are essentially the return on funds, and various financial instruments exhibit different characteristics, leading to a diverse range of interest rates and a specific pricing relationship [2][3]. - The report highlights that in a market-oriented interest rate system, changes in the return rates of different assets lead to a reallocation of funds towards higher returns, impacting banking deposits, loans, bonds, stocks, and insurance markets [2][6]. - The PBOC notes that maintaining a reasonable interest rate relationship is crucial for effective monetary policy transmission, which helps in adjusting the supply and demand of funds and resource allocation [6][9]. Group 2: Asset Allocation and Market Behavior - Experts argue that the notion of deposits "moving" is misleading; rather, it reflects a redistribution of deposits among different entities, with overall deposit levels remaining relatively stable [2][3]. - The report indicates that the recent increase in non-bank deposits and the slowdown in household deposits are linked to prior regulations on interbank demand deposit rates, leading to a preference for term deposits and interbank certificates [4][6]. - The PBOC's report also discusses the importance of maintaining a reasonable yield spread between different types of deposits and loans, as well as between various financial products, to ensure efficient financial resource allocation [7][8].

Core Insights - The People's Bank of China (PBOC) has implemented a moderately accommodative monetary policy, maintaining ample liquidity to support economic recovery and stabilize financial markets, with GDP growth of 5.2% year-on-year in the first three quarters of 2025 [1][3][2] Group 1: Monetary Policy Execution - The report emphasizes the importance of a balanced approach in monetary policy, considering short-term and long-term goals, growth and risk prevention, and internal and external factors [3][2] - The PBOC aims to ensure reasonable growth in financial aggregates, effectively guide monetary credit policies, and enhance financial market infrastructure and openness [1][3] Group 2: Financial Indicators - The report highlights the need to focus on social financing scale and money supply rather than just loans, as direct financing through bond issuance is becoming more prevalent among enterprises [5][6] - The current RMB loan balance is 270 trillion yuan, and the social financing scale stands at 437 trillion yuan, indicating a natural decline in financial aggregate growth due to the increasing base [8][6] Group 3: Economic Structure and Credit Demand - The shift towards high-quality economic development is leading to a decrease in credit demand in traditional sectors like real estate and infrastructure, while technology-intensive industries are on the rise [6][8] - The report suggests that the focus should be on revitalizing existing financial resources rather than merely increasing credit volume, to avoid issues like "zombie enterprises" [6][8] Group 4: Interest Rate and Financial Market Dynamics - Maintaining reasonable interest rate relationships is crucial for effective monetary policy transmission, as different assets exhibit varying risk and liquidity profiles [12][11] - The report discusses the impact of asset allocation adjustments on financial asset structures, noting that the recent slowdown in deposit growth may reflect a reallocation of funds towards the stock market [14][12]

Core Viewpoint - The People's Bank of China (PBOC) emphasizes the importance of maintaining a moderately loose monetary policy to support economic growth and stabilize financial conditions, while also addressing the financing needs of small and medium-sized enterprises [2][9]. Monetary Policy Execution - The PBOC's report indicates that the financial total has grown rapidly, with the social financing scale and broad money supply (M2) increasing by 8.7% and 8.4% year-on-year, respectively, as of September [3]. - The report highlights that the current balance of RMB loans has reached 270 trillion yuan, and the social financing scale stands at 437 trillion yuan [3]. Economic Outlook - The report suggests that the national economy is progressing steadily, with a solid foundation to achieve the annual growth target of around 5% [4]. - It notes that the macroeconomic policies, including fiscal and monetary measures, are expected to work in coordination to support this target [4]. Financial Structure and Monetary Creation - The report discusses the relationship between base money and broader money supply, indicating that changes in base money can influence the creation of broad money, but they are not directly correlated [5][6]. - It emphasizes that banks have diversified channels for money creation, which can include both indirect financing through loans and direct financing through bond purchases [6]. Interest Rates and Resource Allocation - The report outlines the significance of interest rates and their relative relationships in guiding resource allocation within the economy [7]. - It explains that changes in interest rates can lead to shifts in asset allocation, impacting the flow of funds between deposits and investments in the stock market [7][8]. Future Monetary Policy Directions - The PBOC plans to maintain a relatively loose social financing condition and will focus on enhancing the credit system for small and medium-sized enterprises [9][10]. - The report outlines a commitment to balancing short-term and long-term economic goals, ensuring a stable monetary environment, and preventing excessive fluctuations in the exchange rate [10][11].

Core Viewpoint - The People's Bank of China (PBOC) emphasizes the importance of maintaining a moderately loose monetary policy to support economic growth and stabilize financial conditions, while also addressing the evolving needs of the real economy [1][2][4]. Monetary Policy Execution - The PBOC's report indicates that the financial aggregate has grown rapidly, with the social financing scale and broad money supply (M2) increasing by 8.7% and 8.4% year-on-year, respectively, as of September [3]. - The report highlights that the current balance of RMB loans has reached 270 trillion yuan, and the social financing scale stands at 437 trillion yuan [3]. Economic Outlook - The report suggests that the national economy is progressing steadily, with a solid foundation to achieve the annual growth target of around 5% [4]. - It notes that the macroeconomic policies, including fiscal and monetary measures, are expected to work in coordination to support this growth [4]. Financial Structure and Monetary Creation - The report discusses the relationship between base money and broader money supply, indicating that changes in base money can influence the creation of broad money, but they are not directly correlated [5]. - It emphasizes that the channels for bank money creation are becoming more diversified, reflecting changes in financing and economic structures [5]. Interest Rates and Resource Allocation - The report outlines the significance of interest rates and their relative relationships in guiding resource allocation within the economy [6]. - It explains that changes in interest rates can lead to shifts in capital flows towards higher return assets, impacting various financial markets [6]. Future Monetary Policy Directions - The PBOC plans to maintain a relatively loose social financing condition and implement appropriate monetary policies to support economic stability [8]. - Key measures include enhancing credit support for small and medium-sized enterprises, expanding financial supply for consumption, and stabilizing the RMB exchange rate [8][9]. Risk Management and Financial Stability - The report emphasizes the importance of preventing and mitigating financial risks through a robust macro-prudential policy framework [9]. - It highlights the need for continuous innovation in financial tools to maintain market stability and address systemic risks [9].

Core Viewpoint - The article emphasizes the importance of constructing a scientific and robust monetary policy system and a comprehensive macro-prudential management system to better combine currency stability and financial stability, which is crucial for supporting the construction of a financial powerhouse [1][6]. Monetary Policy System - The monetary policy system is described as the "first pillar" and is relatively mature, focusing on optimizing the base currency issuance mechanism and maintaining reasonable growth in financial totals [1][3]. - There is a need to enhance the role of central bank policy rates, narrow the width of the short-term interest rate corridor, and improve the transmission from central bank policy rates to market benchmark rates [3][4]. - The system aims to achieve a dynamic balance among currency stability, economic growth, full employment, and international balance of payments [3][4]. Macro-Prudential Management System - The macro-prudential management system is referred to as the "second pillar," which requires gradual improvement and close coordination with monetary policy [1][2]. - It aims to observe, assess, and respond to financial risks from a macro, counter-cyclical, and contagion perspective, preventing systemic financial risks that could disrupt macro stability [6][7]. - Key tasks include strengthening the monitoring and assessment of systemic financial risks, implementing risk prevention measures in critical areas, and enriching the policy toolbox for macro-prudential management [6][7][8]. Policy Tools and Framework - The article highlights the need to enrich the policy toolbox for macro-prudential management, focusing on areas such as systemically important financial institutions, broad credit, real estate finance, and cross-border capital flows [2][5][7]. - A standardized and systematic framework for macro-prudential monitoring and assessment is essential to identify and evaluate representative risks and weaknesses [6][7]. - The construction of a financial stability guarantee system is crucial, emphasizing the importance of corporate governance and risk management within financial institutions [8].