证券研究报告 | 债券市场专题研究 | 债券研究 市场普遍更多从"量"的角度去理解人民币汇率对狭义流动性的影响机制，我们 认为"价"（央行对回购利率的合意水平）或更为顺畅。从"量"的角度看，在 意愿结售汇的制度下，商业银行对于持有外币的态度影响"企业结汇—商业银行 卖出外汇给央行—央行购汇、投放基础货币"的链条，2026 年 1 月份央行资产 负债表外汇占款科目环比增加额（531 亿）相较于银行间超储金额可忽略不计。 但从"价"的角度看，汇率贬值压力较大时（例如 2023 年 8-10 月、2024 年 4-6 月、2025 年 1-3 月等），逆周期因子大幅为负、香港地区人民币流动性收紧和银 行间回购利率（以 R007 为代表）明显抬升。因此央行当前对于人民币过快升值 的态度，或使得央行对 R007 等回购利率的合意水平下修。 ❑ 多重利好下，资金面或延续宽松态势，存单利差和信用利差延续低位 我们在 2 月 8 日《本次春节假期前后资金面的关注点》指出"本次春节假期更需 关注现金回笼银行的速度和假期期间人民币的升值变动情况"。以北上广深地铁 日度客运量刻画的返工节奏明显好于 2023 年春节后，与 2024 ...

Group 1 - The core viewpoint of the articles indicates that the current state of the dollar liquidity system and the trend of large fiscal policies create strong constraints, making it difficult to significantly alter the expansion of the asset-liability balance sheet regardless of who is chosen as the Federal Reserve Chairman [1] - The report from CICC suggests that despite the marginal improvement in liquidity since the Fed began expanding its balance sheet in December, the narrow liquidity (reserves) remains well below the lower limit of the "ample" level, indicating a tight liquidity condition since the pandemic [1] - The article highlights that under pressures from debt, elections, and financial market stability, the choice of the Federal Reserve Chairman may not make a significant difference, and a trend of liquidity expansion is likely [1] Group 2 - The latest analysis of silver TD indicates that the price has rebounded after a significant drop, with a current increase of over 6%, although the bearish risks are not fully resolved as the trend line remains below the zero line [2] - The one-hour MACD shows a positive histogram, indicating an upward trend, while the Relative Strength Index (RSI) is neutral, suggesting a cautious outlook [2] - Key support levels for silver TD are identified between 20500 and 21500, while resistance levels are noted between 22500 and 23500 [2]

1. Report Industry Investment Rating The report does not explicitly mention the overall industry investment rating. However, it provides rating criteria for different types of bonds: - **Interest - rate bonds**: Based on the net price change of interest - rate bonds within 3 months after the report date. Ratings include "Add" (interest rate risk decreases, net price has room to rise), "Neutral" (interest rate risk is stable, net price has minor fluctuations), and "Reduce" (interest rate risk increases, net price has room to fall) [65]. - **Credit bonds**: Based on the net price change of credit bonds within 3 months after the report date. Ratings include "Add" (credit risk decreases, net price has room to rise), "Neutral" (credit risk is stable, net price has minor fluctuations), and "Reduce" (credit risk increases, net price has room to fall) [66]. - **Convertible bonds**: Based on the change of convertible bond prices relative to the China Securities Convertible Bond Index within 3 months after the report date. Ratings include "Add" (convertible bonds perform better than the index), "Neutral" (convertible bonds perform the same as the index), and "Reduce" (convertible bonds perform worse than the index) [67]. 2. Core Viewpoints - The change in excess savings from a marginal perspective is more important than the total amount of high - interest time deposits maturing in 2026. The logical chain of "risk aversion - preventive fund demand - excess savings" started in 2022. Excess savings increased by 6.4 trillion and 6.2 trillion in 2022 and 2023 respectively, and decreased by 1.6 trillion and 6 trillion in 2024 and 2025 respectively. In 2026, excess savings are likely to continue to be released, which will have a significant impact on the prices of major asset classes such as stocks, bonds, real estate, and commodities [1][5]. - The change in the Wanquan A Index is basically inversely related to the change in excess savings. When excess savings increase, stock market investment decreases, and the index falls; when excess savings decrease, stock market investment increases, and the index rises [6]. - Paying attention to the trend of excess savings (such as deposit retention, inflow into the stock market, or inflow into bank wealth management) is of great significance for the liability pressure of commercial banks and the marginal capital flow of major asset prices [6]. 3. Summary by Directory 3.1 Marginal Thinking is More Important in Studying the Maturity of High - Interest Time Deposits in 2026 - Total thinking focuses on the overall situation of things, while marginal thinking focuses on marginal changes. The current market generally focuses on the total amount of time deposits maturing, ignoring the natural growth of deposits. During the 14th Five - Year Plan period, the average annual real growth rate of residents' per capita disposable income was 5.4%, indicating that the time deposits of residents and enterprises may have an average growth rate higher than GDP [12]. - The statement by Deputy Governor Zou Lan at the press conference on January 15, 2026, about the large - scale maturity and repricing of long - term deposits such as three - year and five - year deposits in 2026 has attracted market attention. It can be inferred that the new five - year time deposits in 2021 and the new three - year time deposits in 2023 were relatively large [2][12]. 3.2 The Logical Chain of "Risk Aversion - Preventive Fund Demand - Excess Savings" Started in 2022 - Risk aversion refers to the rational economic agent's perception of the objective economic environment, preventive fund demand comes from the "precautionary motive" in Keynes' theory of money demand, and excess savings are the part of time deposits higher than the natural growth rate in a specific period [3][13]. - The increase in risk aversion leads to an increase in the preventive fund demand of residents and enterprises, which in turn drives up excess savings. This logical chain has been more prominent since 2022. The Purchasing Managers' Index (PMI) can be used to measure risk aversion. Since 2022, the number of months with PMI below 50 has increased significantly compared to before 2022 [4][14]. 3.3 Narrow - sense Liquidity 3.3.1 Central Bank Operations - **Short - term liquidity**: The central bank conducts "peak - shaving and valley - filling" operations. In the week from January 26 to January 30, 2026, the net injection of pledged reverse repurchase was 58.05 billion yuan [17]. - **Medium - and long - term liquidity**: The net injection of MLF in a single month was 70 billion yuan [17]. 3.3.2 Institution's Lending and Borrowing Situation - **Fund supply (lenders)**: The net lending of large - scale banks remains at a seasonal high [21]. - **Fund demand (borrowers)**: The absolute financing balance is high, but the relative leverage ratio is low [32]. 3.3.3 Repurchase Market Transaction Situation - The repurchase interest rate has increased slightly, and the fund sentiment index tightened slightly at the end of the month [44][48]. 3.3.4 Interest Rate Swap The interest rate swap cost has increased slightly, and the spread between CD and IRS has remained low [48]. 3.4 Government Bonds 3.4.1 Next Week's Net Payment of Government Bonds It will remain at a high level. In the past week, the total net payment was 51.5 billion yuan, and in the next week, it is expected to be 39.04 billion yuan [50]. 3.4.2 Maturity Structure of Government Bonds - **Treasury bonds**: As of January 30, 2026, the proportion of treasury bonds with a maturity of less than 1 year was 33.68%, 1 - 3 years was 30.44%, 3 - 5 years was 9.72%, 5 - 10 years was 22.02%, and more than 10 years was 4.15% [54]. - **Local government bonds**: As of January 30, 2026, the proportion of local government bonds with a maturity of less than 1 year was 0.03%, 1 - 3 years was 1.45%, 3 - 5 years was 2.88%, 5 - 10 years was 41.67%, and more than 10 years was 53.97% [55]. 3.5 Inter - bank Certificates of Deposit (CDs) 3.5.1 Absolute Yield The report provides the SHIBOR yield curve and the AAA - rated inter - bank CD yield curve and their changes compared to the previous week [57]. 3.5.2 Issuance and Outstanding Situation - **Issuance**: As of January 30, 2026, the total issuance of inter - bank CDs was 377.1 billion yuan. The issuance of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year CDs accounted for 10%, 42%, 13%, 4%, and 30% respectively [61]. - **Outstanding**: As of January 30, 2026, the total outstanding balance of inter - bank CDs was 1,902.811 billion yuan. The outstanding balance of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year CDs accounted for 1%, 8%, 25%, 17%, and 50% respectively [62]. 3.5.3 Relative Valuation The spreads between the 1 - year AAA - rated inter - bank CD yield and R007, DR007, and the 10 - year treasury bond yield are provided, along with their quantiles since 2020 [64].

Report Industry Investment Rating The provided content does not mention the report industry investment rating. Core Viewpoints - The current weighted average rate of R007 is around 1.50%. Its pricing includes DR007, representing the central bank's desired pricing, and the "bank - non - bank" liquidity friction (the spread between R007 and DR007). It's not advisable to hold overly optimistic expectations [1]. - The R007 weighted average rate around 1.50% is reasonably priced. DR007 is unlikely to deviate significantly below the central bank's 7 - day reverse repurchase rate, and 1.40% effectively forms the lower limit of DR007. The spread between R007 and DR007 is at a low level. Considering the increase in the large - scale current deposit rate of non - legal person products, R007 should not be lower than 1.50%. This also means that the current yield levels of inter - bank certificates of deposit and short - term credit bonds are reasonable [2][3]. Summary by Related Catalogs 1 R007 weighted average rate 1.50% high? - R007 is a key indicator for measuring the cost of funds for non - bank institutions and products in the inter - bank market. Its pricing consists of DR007 and the "bank - non - bank" liquidity friction. DR007 reflects the central bank's expected management and fluctuates around the central bank's 7 - day reverse repurchase rate. R007 is generally higher than DR007, and the friction varies with market liquidity [11]. - In the past week, the R007 weighted average rate around 1.50% is reasonably priced. DR007 is unlikely to deviate significantly below the central bank's 7 - day reverse repurchase rate, with 1.40% as the lower limit. The spread between R007 and DR007 is low. From the perspective of opportunity cost, R007 should not be lower than 1.50%. The current yield levels of inter - bank certificates of deposit and short - term credit bonds are also reasonable [12][13]. 2 Narrow - sense liquidity 2.1 Central bank operations - Short - term liquidity: The central bank conducts short - term liquidity operations to smooth out peaks and troughs. In the week from January 12 to January 16, 2026, the net short - term liquidity injection was 8128 billion yuan [14]. - Medium - and long - term liquidity: The central bank actively injects medium - and long - term liquidity [15]. 2.2 Institutions' funding inflow and outflow situation - Fund supply (lenders): The net lending of large - scale banks remains at a seasonal high [18]. - Fund demand (borrowers): The absolute financing balance is high, but the relative leverage ratio is low [27]. 2.3 Repurchase market trading situation - Fund volume and price: The trading volume increases while the price remains stable [36]. - Fund sentiment index: It tightens first and then eases [39]. 2.4 Interest rate swaps Interest rate swaps decline slightly [41]. 3 Government bonds 3.1 Next week's net payment of government bonds The net payment of government bonds will increase slightly next week. In the past week, the total net payment was - 485 billion yuan, while in the coming week, it is expected to be 2065 billion yuan [49]. 4 Inter - bank certificates of deposit 4.1 Absolute yield The provided content does not elaborate on the absolute yield of inter - bank certificates of deposit. 4.2 Issuance and stock situation - As of January 16, 2026, the total issuance of inter - bank certificates of deposit was 5536 billion yuan, with different proportions for different maturities and banks. - The total stock balance of inter - bank certificates of deposit was 191068.1 billion yuan, with different proportions for different types of banks and maturities [55][56]. 4.3 Relative valuation The spread between the 1 - year AAA - rated inter - bank certificate of deposit and R007 is at the 28% quantile since 2020; the spread between the 1 - year AAA - rated inter - bank certificate of deposit and DR007 is 18bp, at the 23% quantile; the spread between the 10 - year treasury bond and the 1 - year AAA - rated inter - bank certificate of deposit is 22bp, at the 57% quantile [58].

Group 1 - The monetary policy in 2025 is expected to be moderately loose, with lower rates of cuts compared to 2023-2024, primarily focused in the second quarter due to external shocks and a combination of resilient exports, proactive fiscal policy, and industrial highlights enhancing growth resilience [1][11][12] - Structural tools have formed a framework to support key areas such as consumption and real estate, with a focus on optimization in 2026, including streamlining the number of tools and expanding counterparties to include non-bank institutions [15][16] - The policy framework is shifting towards interest rate regulation, with a focus on narrowing the width of the short-term interest rate corridor, which currently has a width exceeding 200 basis points [2][18][19] Group 2 - Narrowing the interest rate corridor is expected to stabilize liquidity expectations and reduce short-term interest rate volatility, which is crucial for improving the interest rate transmission mechanism [20][21] - The narrow liquidity in 2025 is projected to gradually loosen after the first quarter, with potential tightening risks due to credit exceeding acceptable levels and unexpected exchange rate fluctuations [23][24] - The systemic convergence of narrow liquidity fluctuations since 2016 is attributed to increased exchange rate marketization and changes in intermediary targets, leading to a more stable monetary supply [26][27] Group 3 - In 2025, the growth of M1 is expected to increase by 3.6 percentage points, driven mainly by fiscal expansion and overseas net income, although the micro-level activation of funds remains limited [32][33] - The growth of M2 is projected to rise by 0.7 percentage points in 2025, supported by fiscal expansion and a decrease in bond issuance, but may slow down in 2026 due to uncertainties in the banking sector [42][43] - The total amount of remaining liquidity is expected to increase by approximately 0.7 trillion yuan in 2025, primarily flowing into private equity funds and fixed-income assets, but significant expansion in 2026 is unlikely [45][48][49]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The cost of the central bank's medium - term liquidity injection tools such as outright reverse repurchase and MLF forms a price - comparison relationship with the current issuance rate of inter - bank certificates of deposit (CDs). Also, the scale of public money market funds and bank wealth management cash - management products is expected to continue growing, so it's difficult for the inter - bank CD rate to rise significantly. However, it's also hard for DR001 to fall significantly below the central bank's 7 - day OMO rate, so the downward space for the inter - bank CD rate is limited [1]. - In the context of low cross - year financing difficulty, the inter - bank CD yield may remain in a "dilemma" pattern within the year. Wait patiently for a possible CD allocation point in January 2026 [4][12]. 3. Summary by Relevant Catalogs "进退维谷"的同业存单 - Since the fourth quarter, the yield of 1 - year AAA - rated inter - bank CDs has had an amplitude of only 5bp, fluctuating between 1.63% and 1.68%. In December, the amplitude has narrowed to 2bp, indicating a balance between "long" and "short" factors [2][11]. - The inter - bank CD yield has a high difficulty in rising. The cost of the central bank's medium - term liquidity injection tools forms a price - comparison relationship with the CD issuance rate, and the growth of current - account wealth management product scale drives up the CD allocation demand [3][11]. - The inter - bank CD yield also has a high difficulty in falling. Under the policy of narrowing the short - term interest rate corridor, DR001 and R001 are unlikely to deviate significantly from the central bank's 7 - day OMO rate, and the money market has been characterized by "ample quantity but stable price" in the past six months [4][12]. 狭义流动性 央行操作：月初季节性净回笼 - In the past week (12/1 - 12/5), the central bank's pledged reverse repurchase had a net withdrawal of 8480 billion yuan, and the reverse repurchase balance as of December 5 was 6638 billion yuan, at a low level [13]. - In December, the maturity amount of outright reverse repurchase was 14000 billion yuan (10000 billion yuan for 3M and 4000 billion yuan for 6M), and the maturity of MLF was 3000 billion yuan. On December 5, the central bank renewed 10000 billion yuan of 3M outright reverse repurchase, achieving an equal - amount renewal [14][15]. 机构融入融出情况：月初融出顺畅 - On December 5, the net funds lent out by large - scale banks (flow concept) were 4.1 trillion yuan, about 7415 billion yuan higher than on November 28, and the net lending balance was 4.7 trillion yuan, about 2966 billion yuan more than on November 28, both at relatively high levels compared with the same period in previous years. The net lending balance of money market funds was 1.2 trillion yuan, about 2366 billion yuan lower than on November 28, at a neutral level compared with the same period in previous years. The net lending of joint - stock banks was 40 billion yuan, about 317 billion yuan higher than on November 28, at a relatively low level compared with the same period in previous years [16]. - On December 5, the balance of bonds to be repurchased in the inter - bank pledged repurchase market was about 11.7 trillion yuan, 6678 billion yuan higher than on November 28. The leverages of the whole market and non - legal person products changed accordingly [26]. 回购市场成交情况：月初流动性摩擦小 - In terms of quantity and price of funds, at the end of the month, the volume and price of the inter - bank pledged repurchase market were stable. The median daily trading volume was about 7.9 trillion yuan, an increase of 4867 billion yuan compared with 11/24 - 11/28. The median of R001 was 1.36%, a 1bp decrease from last week. The liquidity friction was small [30]. - The money market was generally loose, and the financing difficulty at the beginning of the month was low, with the sentiment index mostly around 50 [31]. 利率互换：基本持平 - The 1 - year FR007 IRS rate and SHIBOR 3 - month IRS 1 - year rate decreased slightly compared with last week. The median of the 1 - year FR007 IRS was 1.54%, in the bottom 10% of the range since 2020, and the median of the SHIBOR 3 - month IRS 1 - year was 1.60%, in the bottom 22% of the range since 2020 [36]. 政府债：未来一周政府债净缴款压力下降 下周政府债净缴款 - In the past week, the net payment of government bonds was 1866 billion yuan, with relatively small overall pressure. Treasury bonds and local bonds had net payments of 500 billion and 1366 billion yuan respectively. In the next week, government bonds are expected to have a net repayment of 7952 billion yuan, with treasury bonds having a net repayment of 8797 billion yuan and local bonds having a net payment of 845 billion yuan [37]. 当前政府债发行进度 - As of December 5, the net financing progress of treasury bonds was 96.2%, up 2.6% from the previous week, and the remaining net financing space in 2025 was about 2523 billion yuan. The issuance of the 5000 - billion - yuan local bond quota balance to be carried forward within the year has started [39]. 同业存单：收益率窄幅震荡 绝对收益率 - On December 5, SHIBOR quotes for overnight, 7 - day, 1M, 3M, 6M, 9M, and 1Y were 1.3%, 1.42%, 1.52%, 1.58%, 1.62%, 1.64%, and 1.65% respectively. Except for the 7 - day term, which decreased by 2bp compared with November 28, the quotes for other terms remained unchanged. The yields of 1M, 3M, 6M, 9M, and 1Y inter - bank CDs of commercial banks with AAA ratings were 1.58%, 1.62%, 1.64%, 1.66%, and 1.66% respectively, with those of 1M and above terms increasing by 13bp, 4bp, 2bp, 2bp, and 2bp respectively compared with November 28 [42]. 发行和存量情况 - In the past week (December 1 - December 5), the total primary issuance volume of inter - bank CDs was 4959 billion yuan. In terms of issuance terms, the proportions of 1M, 3M, 6M, 9M, and 1Y were 13%, 12%, 44%, 9%, and 22% respectively, with the proportions of 1M, 6M, and 9M increasing and those of 3M and 1Y decreasing [44]. 相对估值 - On December 5, the spread between the 1 - year AAA - rated inter - bank CD yield and R007 was 16bp, at the 35% quantile since 2020; the spread between the 10 - year treasury bond yield and the 1 - year AAA - rated inter - bank CD yield was 19bp, at the 47% quantile since 2020 [47].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The monetary policy operation will continue the loose tone, with the focus shifting to price control. The next - stage monetary policy is expected to maintain the general tone of moderate looseness, deepen price - control policy reform, and use structural tools around key areas [3]. - The interest rate transmission path of price - based tools is optimized, and there is still room for interest rate cuts. The "five - group interest rate comparison relationships" are gradually straightened out, and it is expected that the policy interest rate may be cut by 20BP in 2026, possibly in the first half of the year [4]. - For quantity - based tools, the high - volume roll - over of repurchase and MLF limits the space for reserve requirement ratio cuts. The necessity of reserve requirement ratio cuts is not high, and the focus in 2026 is on whether the current medium - and long - term liquidity injection model will continue [5]. - In the broad liquidity aspect, the de - leveraging cycle continues, and government bonds support the stabilization of the social financing growth rate. It is estimated that the social financing increment in 2026 will be slightly higher than that in 2025, about 34.5 trillion yuan [5]. - The narrow - sense liquidity will maintain a narrow - range fluctuation, and the expectation is to maintain a reasonable and sufficient level. The narrow - sense liquidity will continue the low - volatility and stable state, and the central bank is expected to ensure the stable operation of the capital market through flexible open - market operations [6]. 3. Summary According to the Directory 3.1 General Introduction: Monetary Policy Operation Continues the Loose Tone, with the Focus Shifting to Price Control - **Summary and Review**: In 2025, the monetary policy shifted from prudent to moderately loose. Quantity injection and price control jointly promoted reasonable and sufficient liquidity. The operation framework reform continued to deepen, and structural monetary policies effectively supported key areas [12][13][14]. - **Next - stage Monetary Policy Outlook**: In 2026, the liquidity is expected to remain reasonably sufficient, and the coordination between fiscal and monetary policies will continue to improve. The reform of the monetary policy framework will deepen, and structural tools will strengthen policy support in key areas [16][18][19]. 3.2 Price - based Tools: Interest Rate Transmission Path is Optimized, and Small - scale Interest Rate Cuts are Still Anticipated - **Five - group Interest Rate Relationships are Gradually Straightened Out, and the Possibility of a New Round of Interest Rate Cuts is Achieved**: The central bank proposed the "five - group interest rate comparison relationships" in the Q3 2025 monetary policy report. These relationships are in a relatively repaired state, providing a possibility for the central bank to further cut the policy interest rate in 2026 [21][31]. - **In 2026, Price Control will be Mainly Stable, and the Interest Rate Cut Space is Expected to be within 20BP**: Considering the economic situation, interest rate system, bank system's bearing capacity, and fiscal - monetary coordination, there is still about 20BP of space for policy interest rate cuts in 2026 [33][34]. 3.3 Quantity - based Tools: High - volume Roll - over of Repurchase and MLF, and the Space for Reserve Requirement Ratio Cuts May be Limited - **Medium - and Long - term Liquidity Injection is Well - coordinated, and MLF and Outright Repurchase are Expanded Synchronously**: In 2025, the liquidity injection of quantity - based tools formed an institutional arrangement. Outright repurchase and MLF were expanded synchronously, effectively hedging the impact of the concentrated maturity of structural monetary policies. Some structural policy tools are shrinking, and the central bank's bond - buying operation restarted cautiously [35][39][41]. - **System Optimization is a Necessary Prerequisite for Opening up the Space for Reserve Requirement Ratio Cuts**: Currently, the necessity of reserve requirement ratio cuts is significantly reduced. Unless the 5% constraint is broken, the trend is to淡化 reserve requirement ratio cuts and expand tools [43][44]. 3.4 Broad Liquidity: The De - leveraging Cycle Continues, and Government Bonds Support the Stabilization of the Social Financing Growth Rate - **Credit and Social Financing**: The de - leveraging cycle of residents and enterprises continues, and the credit growth rate faces continuous pressure. In 2025, the short - term loans and bill financing of enterprises increased significantly, and government and enterprise bond financing supported the social financing scale. It is estimated that the credit and social financing in 2026 will increase slightly [45][51][54]. - **Deposits**: Personal savings deposits maintain high - slope growth, non - bank deposits show high - volatility and high - growth characteristics, unit current deposits are weakly recovering, and unit time deposits are declining. The liability side of large banks is gradually stabilizing [56][58][59]. 3.5 Narrow - sense Liquidity: The Capital Market Fluctuates Narrowly, and the Expectation is to Maintain a Reasonable and Sufficient Level - In 2025, the capital market style changed significantly after the central bank's reserve requirement ratio cut and interest rate cut in May. The narrow - sense liquidity will continue the "low - volatility and stable state" in 2026, with the price center moving down and the volatility further converging. There may be potential liquidity frictions in the first quarter of 2026, but the central bank is expected to ensure the stable operation of the capital market [66][69][70].

1. Report Industry Investment Rating No relevant information provided. 2. Core Views of the Report - The net financing of large - scale banks is a synchronous and slightly leading indicator of inter - bank liquidity. Affected by the tax period, the net financing amount of large - scale banks reached the "tight - loose watershed" of 3 trillion yuan. Currently, seasonal disturbance factors are magnified under the low core excess reserves, and the real test of narrow - sense liquidity may come in the first quarter of 2026 [1][3][11]. 3. Summary by Relevant Catalogs 3.1大行净融出金额"险守"3万亿 - Qualitatively, due to the central bank's primary dealer system in the open - market, there is a capital transmission chain in the inter - bank market. The net financing of large - scale banks is the main core of inter - bank market financing. Quantitatively, on November 21, the net financing balance of large - scale banks was about 4.1 trillion yuan, accounting for about 35.6% of the inter - bank market's bond balance to be repurchased [2][10]. - From November 17 to November 21, the net financing amount of large - scale banks first decreased and then increased, "barely holding" 3 trillion yuan. The capital market was first tight and then loose, and the repurchase rate first rose and then fell. After the tax period ended, it rebounded to 3.66 trillion yuan on November 21, and DR001 reached a maximum of 1.53% [3][11]. - The current seasonal disturbance factors are magnified under the low core excess reserves, but the market's expectation of liquidity remains relatively stable. The narrow - sense liquidity may face a real test in the first quarter of 2026 [3][11]. 3.2狭义流动性 3.2.1央行操作：税期加大逆回购净投放 - Short - term liquidity: From November 17 to November 21, the central bank's net reverse - repurchase injection was 554 billion yuan. As of November 21, the central bank's reverse - repurchase balance was 1676 billion yuan, at a relatively high level [12]. - Medium - term liquidity: In November, the maturity amount of repurchase - style reverse - repurchase was 1000 billion yuan, and MLF matured at 900 billion yuan. The central bank achieved a net injection of 500 billion yuan in repurchase - style reverse - repurchase [13]. 3.2.2机构融入融出情况：大行净融出先下后上 - Fund supply: On November 21, the net financing of large - scale banks was 3.7 trillion yuan, an increase of about 295.5 billion yuan compared with November 14. The net financing balance of money market funds decreased by about 191.2 billion yuan, and joint - stock banks' net borrowing decreased by about 165 billion yuan [16]. - Fund demand: On November 21, the balance of bonds to be repurchased in the inter - bank market was about 11.5 trillion yuan, an increase of 209 billion yuan compared with November 14. The market leverage ratio rose by 0.11 percentage points, and the leverage ratio of non - legal person products rose by 0.42 percentage points [23]. 3.2.3回购市场成交情况：量价皆稳 - Quantity and price of funds: In the past week, the volume and price of the inter - bank pledged - repurchase market were stable. The median daily trading volume decreased by 24.4 billion yuan, the median of R001 rose by 2bp, and the liquidity friction increased slightly [28]. - Fund sentiment index: The capital market was first tight and then loose. The sentiment index was generally above 50 during the tax period and began to decline after November 20 [29]. 3.2.4利率互换：基本持平 - FR007 IRS 1 - year interest rate and SHIBOR 3 - month IRS 1 - year interest rate were basically flat compared with last week. The median of FR007 IRS 1 - year was 1.54%, and the median of SHIBOR 3 - month IRS 1 - year was 1.59% [33]. 3.3政府债：未来一周政府债净缴款压力下降 3.3.1下周政府债净缴款 - In the past week, the net payment of government bonds was 362.9 billion yuan. In the next week, it is expected to be 233.7 billion yuan, with treasury bonds having a net repayment of 56.1 billion yuan and local bonds having a net payment of 289.8 billion yuan. The net payment pressure will be evenly distributed, and there will be a net repayment next Tuesday [34]. 3.3.2当前政府债发行进度 - As of November 14, the net financing progress of treasury bonds was 93.0%, and the issuance progress of new local bonds was 95.3%. The issuance of refinancing special bonds has completed the annual task [35]. 3.4同业存单：收益率窄幅震荡 3.4.1绝对收益率 - On November 21, most of the SHIBOR quotes and the yields of inter - bank certificates of deposit of commercial banks with AAA ratings remained unchanged, except for overnight, 7 - day, and 1 - month terms which decreased [40]. 3.4.2发行和存量情况 - From November 17 to November 21, the issuance volume of inter - bank certificates of deposit decreased by 176.4 billion yuan. In terms of issuance terms, the proportions of 1 - month and 1 - year terms increased, while those of 3 - month, 6 - month, and 9 - month terms decreased [42]. 3.4.3相对估值 - On November 21, the spreads between the 1 - year AAA - rated inter - bank certificate of deposit yield and R007, and between the 10 - year treasury bond yield and the 1 - year AAA - rated inter - bank certificate of deposit yield were 14bp and 18bp respectively, at certain quantile levels since 2020 [47][48].

1. Report Industry Investment Rating No relevant information is provided in the content. 2. Core Viewpoints of the Report - In the situation of low core excess reserves, factors such as large - scale government bond net payments and frozen funds from new stock subscriptions on the Beijing Stock Exchange can lead to a tightening of the capital market and an increase in repurchase rates. However, the strong lending capacity of non - bank institutions like money market funds has kept the capital stratification spread low, which is favorable for inter - bank certificate of deposit (CD) pricing. But the investment in 1 - year CDs still requires consideration of cost - effectiveness [1][14][15]. 3. Summary According to the Table of Contents 3.1 From the Perspective of Low Core Excess Reserves to Understand the Capital Market and Stratification Spread - **Analysis of the Tightening Capital Market**: The official excess reserve ratio at the end of September 2025 was 1.40%, lower than that in September 2024 and the estimated value. The calculated core excess reserve ratio was 0.5%, lower than the previous forecast. Large - scale government bond net payments (nearly 500 billion yuan in the past week) and frozen funds from new stock subscriptions on the Beijing Stock Exchange (about 870 billion yuan) were the main reasons for the capital tightening in the past week. The impact of the full deposit of payment institution customer reserves during "Double Eleven" on the capital market was likely not the cause [2][12][13]. - **Analysis of the Compressed Capital Stratification Spread**: The continuous compression of the capital stratification spread indicates the strong lending capacity of non - bank institutions. Since 2024, regulatory measures have led to a shift of commercial bank deposits to non - bank institutions, increasing the lending power of non - bank institutions and decreasing that of commercial banks. This has compressed the spread between R007 and DR007. The compressed spread is beneficial for inter - bank CD pricing, but the investment in 1 - year CDs still needs to consider cost - effectiveness [4][14][15]. 3.2 Narrow - Sense Liquidity - **Central Bank Operations**: In November, the net investment of outright reverse repurchase was 50 billion yuan. In the past week, the net investment of pledged reverse repurchase was 626.2 billion yuan, with large net investments on Tuesday and Wednesday. As of November 14, the balance of reverse repurchases was 1122 billion yuan, at a relatively high level [16][17]. - **Institution Lending and Borrowing**: On November 14, the net lending amount of large - scale banks decreased compared to November 7, while the net lending balance of money market funds increased. The net lending of joint - stock banks was at a neutral level compared to previous years. The balance of bonds to be repurchased in the inter - bank market decreased, and the market leverage ratio declined [19][26]. - **Repurchase Market Transactions**: In the past week, the volume and price of the inter - bank pledged repurchase market were stable. The median daily trading volume decreased slightly, and the median R001 increased slightly. The liquidity friction was minimal [31]. - **Interest Rate Swaps**: The 1 - year interest rates of FR007 IRS and SHIBOR 3 - month IRS were basically flat compared to the previous week, and both were at relatively low levels in the historical range [38]. 3.3 Government Bonds - **Next - Week Net Payments**: In the past week, the net payment of government bonds was 472.5 billion yuan, and it is expected to be 362.9 billion yuan in the next week. The net payment pressure is relatively large, especially on Monday [39]. - **Current Issuance Progress**: As of November 14, the net financing progress of national debt was 91.5%, and the issuance progress of new local bonds was 93.3%. The issuance of refinancing special bonds has completed the annual task [40]. 3.4 Inter - bank Certificates of Deposit - **Absolute Yields**: On November 14, the SHIBOR quotes of various maturities and the yields of AAA - rated inter - bank CDs of various maturities showed different changes compared to November 7 [47][48]. - **Issuance and Stock**: In the past week, the total issuance of inter - bank CDs increased. In terms of issuance terms, the proportions of 6 - month and 9 - month CDs increased, while those of 1 - month, 3 - month, and 1 - year CDs decreased [50][52]. - **Relative Valuation**: On November 14, the spreads between the 1 - year AAA - rated inter - bank CD yield and R007, and between the 10 - year national debt yield and the 1 - year AAA - rated inter - bank CD yield were at certain historical quantiles [55].

Core Viewpoint - The central bank emphasizes the need to strengthen the foundation for economic recovery and maintain a relatively loose social financing condition, indicating a continuation of previous monetary policy frameworks and the "14th Five-Year Plan" recommendations [1][8]. Group 1: Financial Indicators - The central bank highlights that financial totals reflect the strength of financial support for the real economy, suggesting that social financing (社融) and M2 money supply will be more comprehensive indicators for evaluating monetary policy effectiveness [2][9]. - During the "14th Five-Year Plan" period, the annual growth rate of social financing and M2 is expected to be around 9%-10%, which is higher than the nominal economic growth rate [2][9]. - The central bank indicates that a loan growth rate that is slightly lower is reasonable, reflecting changes in the financial supply side structure, and emphasizes the importance of optimizing the use of existing funds [2][10]. Group 2: Monetary Policy Framework - The relationship between base money and currency is discussed, noting that changes in financial markets and financing structures have deep impacts on monetary control [3][11]. - The central bank is urged to shift its policy adjustment model to rely more on price (interest rate) controls due to the complexities in creating broad liquidity [3][12]. Group 3: Digital Economy Support - The central bank reports that by the end of September 2025, loans to core industries of the digital economy are expected to reach 8.2 trillion yuan, with a year-on-year growth of 13.0% [4][13]. - It is noted that over 4,600 projects for the intelligent and digital transformation of traditional industries have been supported, with loan contracts amounting to approximately 1.8 trillion yuan [4][13]. - The central bank plans to leverage the dual drivers of "digital technology + data elements" to enhance financial services and governance in the digital finance sector [4][14]. Group 4: Interest Rate Relationships - The importance of maintaining reasonable interest rate relationships is emphasized, as it is crucial for the effective transmission of monetary policy [5][15]. - The central bank's policy interest rates should guide market interest rates, ensuring that the yield curve remains upward sloping to provide positive incentives [5][16]. - The central bank has been actively working to ensure that deposit and loan rates reflect policy rate adjustments while maintaining stable risk pricing and interest margins [5][17].