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 ...

内容提要 文章详细梳理已有研究，分析影响票据利率的主要因素，提出含资金利率、信贷与社融、货币政策这三大影响因素的票据利率分析框架，并在此基础上探讨 2019年以来票据利率及其影响因素的相关性及市场变迁。 一、票据利率的影响因素 票据市场是企业获取短期融资的重要渠道，其利率波动受多重因素影响。研究票据利率能为广大市场参与者提供定价参考、资产估值、投资建议等。总结分 析已有文献，本文认为票据利率主要受以下三重因素影响。 首先是资金利率。票据产品具有资金属性。钟俊等（2015）研究发现资金利率对票据价格影响显著。杨炳（2020）用6个月同业存单利率、7天质押式回购利 率和7天同存利率构建了票据利率的回归模型。刘通（2022）研究了1年期国股银票的利率与1年期同业存单利率利差的影响因素。以上研究证明了资金利率 与票据利率具有较强的相关性，由于资金利率相对透明，因此成为早期票据利率研究的重点。 其次是信贷和社会融资规模。信贷规模是金融机构贷款总量，其中的票据融资规模是指银行体系内的票据贴现和转贴现的余额；社会融资规模是实体经济从 金融体系获取的所有资金总和，其中的未贴现银票是指银行承兑后未进入银行信贷规模的票据余额。钟 ...

Market Overview - The bond market experienced a significant rise, with the 30-year government bond ETF (511090) increasing by 0.52% as of 10:00 AM [1] - The latest price for the 30-year government bond futures contract (TL2509) was 119.07 yuan, up 0.63%, with a trading volume of 46,165 contracts and a total open interest of 117,716 contracts [1] - Other government bond futures also saw increases, with the 10-year bond (T2509) up 0.16%, the 5-year bond (TF2509) up 0.07%, and the 2-year bond (TS2509) up 0.01% [1] Funding Conditions - The central bank conducted a 7-day reverse repurchase operation of 283.2 billion yuan, maintaining a bid rate of 1.40% [1] - Major interbank interest rates for government bonds generally declined, with the 10-year government bond yield dropping by 3.25 basis points to 1.715% and the 30-year bond yield decreasing by 4 basis points to 1.921% [1] Bond Market Insights - As the end of July approached, bill rates fell sharply, with the 1-month corporate acceptance bill rate dropping to 0.01% [2] - The demand from small and medium-sized institutions, represented by rural commercial banks, was strong, indicating insufficient credit issuance in July [2] - Major banks have been actively purchasing bills, with net purchases exceeding 210 billion yuan from July 21 to 25 and over 500 billion yuan for the entire month, compared to just over 120 billion yuan in the same period last year [2] - The bond market showed signs of recovery, with the 30-year government bond yield declining nearly 4 basis points and other maturities recovering by 2-3 basis points [2] Investment Product Highlight - The Pengyang 30-year government bond ETF (511090) is the first ETF tracking the 30-year government bond index, offering T+0 trading attributes [3] - This product allows investors to engage in day trading for profit and helps in extending portfolio duration or hedging equity positions [3] - It serves as a high-elasticity cash management tool and a duration adjustment tool, making it attractive for investors, especially in a low-interest-rate environment [3]

Core Viewpoint - The article discusses the significant fluctuations in the bill discount rates in the market, particularly highlighting the sharp decline on July 30, 2023, and the implications for credit demand and supply dynamics in the banking sector [1][2][3]. Group 1: Market Dynamics - On July 30, the central bank conducted a reverse repurchase operation of 309 billion yuan, resulting in a net injection of 158.5 billion yuan after accounting for maturing reverse repos [1]. - The bill discount rates experienced a dramatic drop, with the 6-month bill discount rate falling to 0.2%, marking a 30 basis point decrease from the previous day [2]. - The 3-month and 6-month bill discount rates rebounded significantly in the afternoon after reaching historical lows, indicating a volatile supply-demand balance in the market [2][3]. Group 2: Seasonal Trends - July is traditionally a "small month" for credit, leading to expectations of a seasonal decline in credit issuance, which is reflected in the lower bill discount rates [4][5]. - The 6-month bill discount rate has shown a downward trend throughout July, dropping from 1.19% at the end of June to 0.41%, a decrease of 78 basis points [3][4]. Group 3: Credit Demand and Supply - The article notes that the bill discount rates have been influenced by banks' shifting preferences towards short-term loans, which have reduced the demand for bills [5][6]. - The analysis indicates that the recent fluctuations in bill rates are symptomatic of a broader imbalance in supply and demand within the market, exacerbated by seasonal factors and changing lending practices [5][6]. Group 4: Financial Data Insights - In June, the total new corporate loans reached 1.77 trillion yuan, with short-term loans contributing significantly to this figure, reflecting a trend towards short-term financing over bill financing [5][6]. - The current spread between bill rates and other financial instruments, such as government bonds and interbank certificates of deposit, has reached new highs, indicating a potential misalignment in market pricing [6].

Core Viewpoint - The recent significant drop in bill discount rates indicates a potential weakening in credit demand, with the 6-month bill discount rate falling to a historical low of 0.2% [1] Group 1: Market Trends - On July 30, the bill discount rates experienced a sharp decline, with the maximum drop reaching 50 basis points (BP) [1] - The 3-month and 6-month bill varieties rebounded in the afternoon, with increases of over 20 BP [1] Group 2: Credit Demand Indicators - The decline in bill rates is viewed as a leading indicator of credit issuance sentiment, suggesting weaker credit demand [1] - July is traditionally a "small month" for credit issuance, and a seasonal decline in credit allocation is expected [1] Group 3: Market Dynamics - The bill market's function as a credit "barometer" has weakened this year due to short-term lending surges, leading to reduced demand for bills [1] - Changes in supply chain payment terms in certain industries have reinforced the substitution effect, impacting bill rates [1]

Group 1 - The bill market experienced significant volatility as the end of the month approached, with banks increasingly focusing on "using bills to fill loans" due to insufficient credit demand [2][5] - On July 30, the bill discount rates saw a sharp decline, with the six-month bill discount rate dropping to 0.2%, marking a historical low, while the three-month rate also fell significantly [3][4] - The overall trend for bill discount rates in July has been downward, with the six-month rate decreasing from 1.19% at the end of June to 0.41%, a drop of 78 basis points [4][5] Group 2 - The significant fluctuations in bill rates indicate a serious imbalance in supply and demand within the bill market, with banks competing for bills leading to a drop in rates [4][6] - The traditional seasonal characteristics of bill rates have been affected, with a notable shift towards short-term loans, which are seen as a substitute for bills [6][7] - The People's Bank of China has increased open market operations to maintain liquidity, with a net injection of 158.5 billion yuan on July 30 [7][8]

Report Title - Fund Selling, Rural Commercial Banks Buying - Tracking of Liquidity and Institutional Behavior [1] Report Date - July 28, 2025 [1] Report Industry Investment Rating - Not provided Core Viewpoints - This week (July 21 - July 25), the money market rates generally increased, the average daily net lending of large banks increased, and funds reduced leverage. The maturity of certificates of deposit increased, and the yields of certificates of deposit at all tenors decreased. In the cash bond market, rural commercial banks were the main buyers, mainly increasing their holdings of 7 - 10Y interest - rate bonds; funds were the main sellers, mainly reducing their holdings of 7 - 10Y interest - rate bonds; insurance companies increased their holdings of ultra - long - term interest - rate bonds, and large banks bought 1 - 3Y interest - rate bonds [3] Summary by Directory 1. Money and Funding Situation - **Open Market Operations**: A total of 1726.8 billion yuan of reverse repurchases matured this week. The central bank conducted reverse repurchase operations of 170.7 billion, 214.8 billion, 150.5 billion, 331 billion, and 789.3 billion yuan from Monday to Friday, respectively, with a total investment of 1656.3 billion yuan. On Friday, 200 billion yuan of MLF matured and 400 billion yuan was invested, resulting in a net liquidity injection of 129.5 billion yuan for the whole week [7][10] - **Funding Rates**: As of July 25, R001, R007, DR001, and DR007 were 1.55%, 1.69%, 1.52%, and 1.65% respectively, with changes of 6.41BP, 18.65BP, 6.08BP, and 14.56BP compared to July 18, and were at the 24%, 13%, 22%, and 9% historical percentiles respectively [7][13] - **Net Funding Flows of Main Institutions**: The net borrowing of the main funding providers (large commercial/policy banks and joint - stock banks) was 448.6 billion yuan for the whole week, an increase of 61.8 billion yuan compared to the previous week. The net borrowing of fund companies and securities companies was - 270.5 billion and - 162.7 billion yuan respectively, with the net borrowing of fund companies decreasing by 309.6 billion yuan and that of securities companies decreasing by 155.1 billion yuan compared to the previous week [7][17] - **Repo Market**: The trading volume of pledged repurchase increased, with an average daily trading volume of 7.7 trillion yuan and a maximum single - day trading volume of 8.04 trillion yuan, a 6.27% increase compared to the previous week's average. The proportion of overnight repurchase transactions decreased, with an average daily proportion of 88.5% and a maximum single - day proportion of 90.3%, a decrease of 0.04 percentage points compared to the previous week's average [7] - **Leverage Ratio**: As of July 25, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.3%, 186.5%, 127.4%, and 104.9% respectively, with changes of - 0.12BP, - 15.49BP, 1.12BP, and - 0.53BP compared to July 18, and were at the 16%, 0%, 62%, and 23% historical percentiles respectively [7][26] 2. Certificates of Deposit and Bills - **Issuance and Financing of Certificates of Deposit**: The issuance scale of certificates of deposit decreased this week, with a total issuance of 515.69 billion yuan, a decrease of 429.19 billion yuan compared to the previous week. The net financing was - 560.79 billion yuan, a decrease of 702.86 billion yuan compared to the previous week [7][30] - **Maturity of Certificates of Deposit**: The maturity volume of certificates of deposit increased this week, with a total maturity of 1076.48 billion yuan, an increase of 273.67 billion yuan compared to the previous week. Next week (July 28 - August 1), 376.74 billion yuan of certificates of deposit will mature [7][30][36] - **Interest Rates of Certificates of Deposit**: The issuance interest rates of certificates of deposit of all banks and at all tenors increased. As of July 25, the one - year issuance interest rates of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks increased by 4.17BP, 1BP, 0.17BP, and 1BP respectively compared to July 18. The issuance interest rates of 1M, 3M, and 6M certificates of deposit increased by 0.59BP, 2.15BP, and 4.86BP respectively compared to July 18 [39] - **Shibor Rates**: The Shibor rates increased this week. As of July 25, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates increased by 5.8BP, 12.6BP, 16.8BP, 0.9BP, and 0.4BP respectively compared to July 18 [42] - **Yields of Certificates of Deposit at Maturity**: The yields of certificates of deposit at maturity generally increased. As of July 25, the 1M, 3M, 6M, 9M, and 1Y yields of AAA - rated ChinaBond commercial bank certificates of deposit increased by 4.01BP, 4.69BP, 6.16BP, 5.06BP, and 5.75BP respectively compared to July 18 [44] - **Bill Interest Rates**: The bill interest rates decreased. As of July 25, the 3M direct discount rate, 3M transfer discount rate, 6M direct discount rate, and 6M transfer discount rate of national - owned shares decreased by 5BP, 13BP, 8BP, and 9BP respectively compared to July 18 [7][47] 3. Tracking of Institutional Behavior - **Cash Bond Trading**: Rural commercial banks were the main buyers in the cash bond market this week, with a net purchase of 261.7 billion yuan, an increase compared to the previous week. Funds were the main sellers, with a net sale of 358.7 billion yuan, also an increase compared to the previous week. Wealth management products had a net purchase of 107.6 billion yuan [7][49] - **Portfolio Adjustments of Funds**: Funds reduced their holdings of cash bonds by 358.7 billion yuan, including a reduction of 236.1 billion yuan in interest - rate bonds, 22.6 billion yuan in credit bonds, 61.2 billion yuan in other (including Tier - 2 and perpetual bonds), and 39.1 billion yuan in certificates of deposit. In terms of tenor, they mainly reduced their holdings of 7 - 10 - year interest - rate bonds and 1 - 5 - year credit bonds [7][49] - **Portfolio Adjustments of Wealth Management Products**: Wealth management products increased their holdings of cash bonds by 107.6 billion yuan, including an increase of 26.6 billion yuan in interest - rate bonds, 15.3 billion yuan in credit bonds, 15.3 billion yuan in other (including Tier - 2 and perpetual bonds), and 50.5 billion yuan in certificates of deposit. In terms of tenor, they mainly increased their holdings of interest - rate bonds and credit bonds with a tenor of less than 1 year [49] - **Portfolio Adjustments of Rural Financial Institutions**: Rural financial institutions increased their holdings of cash bonds by 261.7 billion yuan, including an increase of 271.1 billion yuan in interest - rate bonds, 4.5 billion yuan in credit bonds, 36.6 billion yuan in other (including Tier - 2 and perpetual bonds), and a reduction of 50.8 billion yuan in certificates of deposit. In terms of tenor, they mainly increased their holdings of 7 - 10 - year interest - rate bonds and 3 - 5 - year credit bonds [49] - **Portfolio Adjustments of Insurance Companies**: Insurance companies increased their holdings of cash bonds by 115.9 billion yuan, including an increase of 66.3 billion yuan in interest - rate bonds, 12.6 billion yuan in credit bonds, 8 billion yuan in other (including Tier - 2 and perpetual bonds), and 29.1 billion yuan in certificates of deposit. In terms of tenor, they mainly increased their holdings of 20 - 30 - year interest - rate bonds and 7 - 10 - year credit bonds [50]

Core Viewpoint - The article discusses the recent trends in the bill discounting market, highlighting the decline in 6M bill discount rates and the implications of interest rate inversion between short-term and long-term bills, indicating banks' strategic positioning for future credit needs [1][2][5]. Group 1: Interest Rate Trends - As of July 18, the 6M national bank bill discount rate fell to 0.81%, marking a significant drop of over 20 basis points since the beginning of July [1]. - The 1M and 3M bill discount rates have remained stable, fluctuating between 1.20% and 1.22% [1][5]. - The volatility of the 6M bill discount rate has decreased significantly in 2023, with fluctuations limited to a few dozen basis points compared to over 150 basis points in previous years [5]. Group 2: Market Dynamics - The inversion of interest rates between short-term and long-term bills may be attributed to banks' proactive measures to secure bill assets in anticipation of credit demand in January [2][6]. - The demand for cross-year bills has increased, with major banks actively purchasing 1-month maturity bills, leading to a gradual decline in their prices [7]. Group 3: Credit Demand and Bill Financing - Despite a lack of significant improvement in overall credit demand, the behavior of bill financing has weakened, with a reported decrease of 464 billion yuan in bill financing during the first half of the year [8][9]. - The trend indicates a shift in banks' strategies, with a notable increase in short-term loans, suggesting a change in the credit structure [9][10]. Group 4: Predictive Value of Bill Rates - The traditional correlation between bill rates and credit demand has weakened, as evidenced by instances where rising bill rates did not align with expected credit growth [10]. - The article notes that the relationship between bill rates and actual credit issuance has diverged, indicating that bill rates may no longer serve as reliable indicators of future credit trends [10].

Report Industry Investment Rating There is no information provided regarding the report industry investment rating. Core Viewpoints - The growth rate of social financing may face pressure in the second half of the year. If there is no additional budget, government bonds will shift from year - on - year increase in the first half to year - on - year decrease in the second half, and non - government bond social financing has been weak due to high real interest rates [2][3][20]. - The low - base effect supports the continued significant rebound of M1 growth rate, and the rebound of social financing growth rate drives the rebound of M2 growth rate. Attention should be paid to the subsequent changes in fiscal deposits [3][4]. - The current stock market rise requires a low - interest - rate environment, and the impact on the bond market from capital flow is limited. The bond market has limited adjustment space, and it is a better allocation opportunity after adjustment. It is expected that bond yields will decline again, and a long - duration position and a dumbbell - shaped allocation are recommended [5][21]. Summary by Related Content Credit Situation - In June, new credit was 2.24 trillion yuan, a year - on - year increase of 110 billion yuan. Corporate short - term credit demand increased, while the improvement of household credit demand was still limited. Corporate medium - and long - term loans and short - term loans increased year - on - year, and bill financing decreased year - on - year. Household medium - and long - term and short - term loans also increased year - on - year, but high - frequency data showed weak real - estate sales [1][8]. Social Financing Situation - In June, new social financing was 4.1993 trillion yuan, a year - on - year increase of 0.9008 trillion yuan, and the year - on - year growth rate of social financing stock was 8.9%, 0.2 percentage points higher than the previous month. Government bonds were still the main support item. However, if there is no additional budget, subsequent bond supply will decrease year - on - year, and social financing growth rate may decline [2][13]. - In the first half of this year, the increase in social financing mainly came from government bonds. The annual budget increment of government bonds is 13.86 trillion yuan. After deducting the issued part in the first half, the net financing scale in the second half is expected to be about 6.1 trillion yuan, compared with about 8 trillion yuan in the same period last year [3][20]. M1 and M2 Situation - In June, the new - caliber M1 increased by 4.6% year - on - year, a rebound of 2.3 percentage points from May, mainly due to the low - base effect last year [3][15]. - In June, M2 increased by 8.3% year - on - year, a rebound of 0.4 percentage points from the previous month. The increase in social financing growth rate promoted the rebound of M2 growth rate. With the slowdown of government bond issuance in the second half, fiscal deposits may decrease year - on - year, increasing the capital supply in the market [4][18]. Stock and Bond Market Situation - The recent rise in the stock market is mainly driven by valuation recovery and requires a low - interest - rate environment. The impact of the stock market on the bond market's capital is limited. The bond market has limited adjustment space, and it is expected that bond yields will decline again. A long - duration position and a dumbbell - shaped allocation are recommended, with the 10 - year Treasury bond yield expected to fall to 1.4% - 1.5% [5][21].

Report Industry Investment Rating - Not provided in the content Core View of the Report - Last week, the overall liquidity was balanced, with an upward trend in capital interest rates, a downward trend in certificate of deposit (CD) rates, an upward trend in IRS yields, a downward trend in repurchase trading volume, an upward trend in bill rates, and a downward trend in the US dollar to RMB exchange rate. After the end of the quarter, it is expected that the liquidity will ease and the capital interest rates will decline [1][2][3][4][5] Summary by Related Catalogs Capital Supply and Demand - Last week, the open - market had 960.3 billion yuan in maturities (all reverse repurchase), and 2327.5 billion yuan in investments (2027.5 billion yuan in reverse repurchase and 300 billion yuan in MLF), with a net investment of 1367.2 billion yuan. The balance of outstanding reverse repurchases increased compared to the previous week [1] - This week, the open - market has 2027.5 billion yuan in capital maturities, all reverse repurchase. After the end of the quarter, it is expected that the liquidity will ease and the capital interest rates will decline [5] Interest Rates - Affected by the end - of - quarter factor, the average DR007 was 1.65%, up 13BP from the previous week; the average R007 was 1.82%, up 24BP from the previous week; the average DR001 and R001 were 1.37% and 1.44% respectively. The average GC007 was 1.92%, up 31BP from the previous week [1] - Last week, the 1 - year FR007 interest rate swap average was 1.54%, up from the previous week. The market's expectation for the liquidity is stable [2] - As of the last trading day of last week, the yield to maturity of 1 - year AAA CDs was 1.64%, down from the previous week. This week, the single - week maturity of CDs is about 245.79 billion yuan, with less maturity pressure than the previous week [2] - Last Friday, the 6M national stock bill transfer quotation was 1.15%, up from the previous week's last trading day [4] Repurchase Market - Last week, the volume of pledged repurchase trading was between 6.6 and 8.5 trillion yuan, and the average volume of R001 repurchase trading was 6.5011 trillion yuan, down 961.1 billion yuan from the previous week. As of the last trading day of last week, the balance of outstanding repurchases was 12.7 trillion yuan, up from the previous week [3] - 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 wealth management increased, while that of funds decreased [3] Exchange Rate - Last Friday, the US dollar to RMB exchange rate was 7.17, slightly down from the previous week, and the Sino - US interest rate spread narrowed [4] This Week's Key Points of Attention - This week, the open - market has 2027.5 billion yuan in capital maturities, all reverse repurchase [5] - On Monday and Tuesday, China's official and Caixin PMI for June will be announced respectively, and on Tuesday, the US ISM manufacturing index for June will be announced. On Thursday, the US unemployment rate and non - farm payrolls change for June will be announced, and the minutes of the Eurozone's monetary policy meeting for June will also be announced [5] - This week, the net maturity of interest - bearing bonds is 6.34 billion yuan [5]