流动性 | 宽松正在兑现，资金价格愈发乐观 证券研究报告 固收专题报告 / 2025.11.08 分析师 孙彬彬 SAC 证书编号：S0160525020001 sunbb@ctsec.com 分析师 隋修平 SAC 证书编号：S0160525020003 suixp@ctsec.com 分析师 汪梦涵 SAC 证书编号：S0160525030003 wangmh01@ctsec.com 相关报告 1. 《高频｜沥青价格持续走弱，运价高位回 落》 2025-11-08 2. 《信用 | 哪些担保债值得关注？》 2025-11-06 3. 《规模被动增长，关注 CD 机会 — —2025 年三季度货基季报点评》 2025- 11-05 核心观点 为何周五（11 月 7 日）资金体感边际收敛？虽然周五到期的买断式逆回购提 前续作，但是由于中途回笼较多的 7 天流动性，因此产生短期资金扰动，但 这并不代表央行态度发生转变，后续伴随着 OMO 继续回归净投放，资金价 格维持低位稳定的概率更高。 缩短放长操作是否代表央行态度发生改变?货币政策的支持性态度是毋庸置 疑的，宽松也在逐步兑现。央行一边在投放中长期流动性的同时 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the bond market had little overall fluctuation. After large - scale banks started buying short - term bonds and the central bank announced the outright reverse repurchase in June, the bond market sentiment heated up, and the yield curve steepened. The 1Y Treasury yield dropped about 5bp to 1.41%, and the 10Y Treasury yield dropped 2bp to 1.65% [2][11]. - There are three details worthy of attention in this week's institutional behavior and capital situation: large - scale banks' bond purchases are not concentrated on the short - end; there is a structural differentiation in banks' capital lending; short - term certificates of deposit may be more cost - effective [2][12]. - The short - term market may be more driven by sentiment. Three variables need to be concerned about in the future: the sustainability of large - scale banks' bond purchases, the capital market fluctuations in June under the lending stratification, and the benefits to certificates of deposit from increased institutional behavior [4][14]. 3. Summary According to the Directory 3.1 This Week's Institutional Behavior Review: Three Details of Large - Scale Banks Buying Short - Term Bonds 3.1.1 Yield Curve - Treasury and China Development Bank (CDB) bond yields generally declined. For Treasury bonds, the 1Y yield dropped 5bp, the 3Y yield dropped 4bp, the 5Y yield dropped 2bp, the 7Y yield dropped 3bp, the 10Y yield dropped 2bp, the 15Y yield dropped 2bp, and the 30Y yield dropped 2bp. For CDB bonds, the 1Y yield dropped 3bp, the 3Y yield dropped 3bp, the 5Y yield dropped 3bp, the 7Y yield dropped 2bp, the 10Y yield dropped 1bp, the 15Y yield dropped 1bp, and the 30Y yield dropped 2bp [14][15]. 3.1.2 Term Spread - For Treasury bonds, the spread trend was differentiated, with the short - term spread narrowing and the long - term spread widening. For CDB bonds, the spread inversion eased, and the medium - term spread widened. The long - and medium - term spreads between Treasury and CDB bonds widened [18][19]. 3.2 Bond Market Leverage and Capital Situation 3.2.1 Leverage Ratio - From June 3 to June 6, 2025, the leverage ratio fluctuated and rose. As of June 6, the leverage ratio was about 107.14%, up 0.36pct from last Friday and down 0.02pct from this Tuesday [22]. 3.2.2 Average Daily Turnover of Pledged Repurchase - The average daily turnover of pledged repurchase increased compared with last week. From June 3 to June 6, the average daily turnover of pledged repurchase was about 7.5 trillion yuan, up 1.0 trillion yuan from last week. The average overnight turnover accounted for 87.48%, up 3.61pct [29][30]. 3.2.3 Capital Situation - From June 3 to June 6, the capital lending of banks first rose and then fell. The net lending of large - scale and policy banks was 4.25 trillion yuan on June 6. The main capital borrowers were funds, and the lending of money market funds fluctuated and declined. DR007 fluctuated and declined, and R007 continued to decline [34]. 3.3 Duration of Medium - and Long - Term Bond Funds 3.3.1 Median Duration Dropped to 2.76 Years - This week (June 3 - June 6), the median duration of medium - and long - term bond funds was 2.76 years (de - leveraged) and 2.96 years (leveraged). On June 6, the median duration (de - leveraged) was 2.76 years, down 0.01 years from last Friday [45]. 3.3.2 Duration of Interest - Rate Bond Funds Dropped to 3.67 Years - The median duration (leveraged) of interest - rate bond funds dropped to 3.67 years, down 0.16 years from last Friday; the median duration (leveraged) of credit - bond funds rose to 2.71 years, down 0.02 years from last Friday [48]. 3.4 Comparison of Category Strategies 3.4.1 Sino - US Yield Spread - The overall inversion of the Sino - US Treasury yield spread deepened. The 1Y spread inversion deepened 8bp, the 2Y spread inversion deepened 17bp, the 3Y and 5Y spread inversions deepened 19bp, the 7Y spread inversion deepened 16bp, the 10Y spread inversion deepened 12bp, and the 30Y spread inversion deepened 7bp [54]. 3.4.2 Implied Tax Rate - As of June 6, the 1Y and 3Y spreads between CDB and Treasury bonds widened, the 5Y and 15Y spreads narrowed, and the 7Y spread widened, while the 10Y and 30Y spreads changed less than 1bp [55]. 3.5 Changes in Bond Lending Balance - On June 6, the lending concentration of the active 10Y Treasury and 10Y CDB bonds increased, while that of the less - active 10Y Treasury, less - active 10Y CDB, and active 30Y Treasury bonds decreased. Among institutions, only the lending balance of small - and medium - sized banks decreased, while the others increased [56].

Report Title - "Bond Weekly Report: Certificate of Deposit Weekly Report (0526 - 0601): Cross - Half - Year Pressure is Controllable, Focus on Allocation Opportunities" [1] Report Industry Investment Rating - Not provided in the report Core Viewpoints - In June, pay attention to the roll - over pressure of certificates of deposit. Although the cross - half - year capital risk is limited, the supply - demand structure may weaken. Consider increasing allocation when the 1Y state - owned and joint - stock bank certificate of deposit pricing is above 1.7% [2][47] Summary by Directory Supply: Net Financing Declines, and Maturity Structure Lengthens - From May 26th to June 1st, the issuance scale of certificates of deposit was 66.95 billion yuan, and the net financing was - 1.677 billion yuan (compared with 2.49 billion yuan last week). The issuance proportion of state - owned banks increased from 42% to 55%, and that of joint - stock banks remained at 14%. The issuance proportion of 1Y certificates of deposit rose from 28% to 59%, and the weighted issuance maturity lengthened to 8.88 months (previously 6.20 months). From June 2nd to June 8th, the maturity scale decreased to 66.495 billion yuan, a week - on - week decrease of 1.222 billion yuan [2][5] Demand: Wealth Management is the Main Buyer in the Secondary Market, and the Primary Market Subscription Rate Declines Slightly - In the secondary market, wealth management products were the main buyers, with a weekly net purchase of 80.935 billion yuan. The net purchase of wealth management outsourcing (other products) increased from 32.957 billion yuan to 85.483 billion yuan, and state - owned banks' net purchase increased from 9.739 billion yuan to 37.575 billion yuan. In the primary market, the overall market subscription rate (15DMA) decreased slightly from about 93% to 91% [2][14] Valuation: Primary and Secondary Pricing Continues to Fluctuate at a High Level - In primary pricing, the pricing of joint - stock bank certificates of deposit fluctuated at a high level overall. The 1M pricing rose slightly to 1.67%, 3M, 6M, and 9M products increased by 0 - 2bp, and the 1Y product decreased by 1bp. The 1Y - 3M term spread of joint - stock banks narrowed by 1bp, at the 11% historical quantile. The 1Y credit spread between city commercial banks and joint - stock banks widened from 3.72bp to 13.00bp, and that between rural commercial banks and joint - stock banks widened from 3.45bp to 10.00bp. In secondary yields, the 1M yield of AAA - rated certificates of deposit decreased significantly, and the rest continued to fluctuate. The 1Y - 3M term spread widened, at the 14% historical quantile [2] Comparison: Cross - Half - Year Capital Risk is Limited, Focus on Roll - Over Situation - The spread between certificates of deposit and funds increased slightly. The spread between the 1Y AAA - rated certificate of deposit yield and DR007:15DMA widened from 9.77bp to 11.98bp, and that with R007:15DMA rose from 7.07bp to 8.27bp. The spread between certificates of deposit and treasury bonds widened slightly to 24.98bp, remaining at about the 5% quantile; the spread with China Development Bank bonds narrowed by 1bp to 17.50bp, and the quantile decreased to 13%. The spread between AAA short - and medium - term notes and certificates of deposit changed from an inverted 1.08bp to 1.77bp, and the quantile rose to around 7% [35]