资金利率

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9月复盘:或维持边际收紧趋势
SINOLINK SECURITIES· 2025-09-29 12:43
风险提示 政府债发行受多方面因素影响、历史经验不完全适用、政策超预期、海外市场波动。 9 月复盘:9 月资金面较 8 月小幅收紧 9 月资金面环比收紧,但相较历史同期收紧幅度有限。9 月各期限资金利率中枢小幅上移,DR001、DR007、DR014 运行 中枢分别上行 4bp、1bp、3bp,从 DR007 偏离政策利率幅度来看,9 月 DR007 向上偏离 OMO 7 天幅度为 9bp,较 8 月的 8bp 小幅走阔。对比历史同期来看,历年 9 月 DR007 偏离政策利率幅度多较 8 月走阔,2016 年以来 9 月两者利差环比 走阔均值为 7bp,但今年 9 月资金利率收紧幅度明显低于历史同期均值。 今年 9 月央行净投放资金规模较历史同期偏高。截至 28 日,9 月央行通过逆回购、买断式逆回购及 MLF 合计净投放 资金 9760 亿,投放水平仅次于 2023 年 9 月。从历年 9 月资金利率的日度走势来看,和以往 9 月资金利率在月末"先 下后上"的走势略有不同,今年 9 月资金面抬升趋势可能在税期前后有所显现,随后到月末反而小幅走低。显示出央 行对资金面的精准把控及呵护态度,整体流动性虽然较 8 ...
国债衍生品周报-20250926
Dong Ya Qi Huo· 2025-09-26 09:45
国债衍生品周报 2025/09/26 交易咨询观点: 建议密切关注资金面动向和经济基本面数据,保持谨慎观望态势。 国债到期收益率 source: wind % 2Y国债到期收益率 5Y国债到期收益率 10Y国债到期收益率 30Y国债到期收益率 7Y国债到期收益率 24/04 24/08 24/12 25/04 25/08 2 3 资金利率 source: wind % 存款类机构质押式回购加权利率:1天 存款类机构质押式回购加权利率:7天 逆回购利率:7天 23/12 24/06 24/12 25/06 1 2 3 国债期限利差:7Y-2Y bp 国债利差:7Y-2Y 国债期限利差:30Y-7Y bp 国债利差:30Y-7Y source: wind 24/04 24/08 24/12 25/04 25/08 0 20 40 60 source: wind 24/04 24/08 24/12 25/04 25/08 0 20 40 . 80 咨询业务资格:沪证监许可【2012】1515号 研报作者:许亮 Z0002220 审核:唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制 ...
票据利率及其影响因素的时序分析
Sou Hu Cai Jing· 2025-09-25 05:51
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 ...
国泰海通 · 晨报0924|固收:9.22会议与14天OMO,货币“呵护”而非边际宽松
国泰海通证券研究· 2025-09-23 10:05
Core Viewpoint - The article emphasizes that the recent monetary policy adjustments, particularly regarding the 14-day reverse repurchase agreements (OMO), indicate a protective stance rather than a shift towards marginal easing of monetary policy [2][5]. Summary by Sections Monetary Policy Adjustments - On September 19, the central bank announced a change to the 14-day reverse repo bidding method to "multiple price bidding," but the central bank governor clarified on September 22 that this does not involve adjustments to short-term policies [2]. - The adjustment of the 14-day reverse repo aligns with previous strategies and does not signal a clear intention to lower interest rates, maintaining a consistent approach to monetary policy [3]. Market Impact - The actual pricing ability of the 14-day reverse repo in the bond market is limited, and it is likely to continue serving as a tool for addressing special periods such as holidays [4]. - Historical data shows that the central bank typically uses the 14-day reverse repo before major holidays, indicating its role in smoothing out liquidity around these times [4]. Future Outlook - Despite the central bank's current protective stance on interbank liquidity, it does not imply a shift towards more accommodative monetary policy [5]. - The likelihood of interest rate cuts remains low unless there are significant market fluctuations or rapid currency appreciation, suggesting that the bond market may not benefit from new policy measures [5].
大类资产早报-20250918
Yong An Qi Huo· 2025-09-18 02:26
Report Overview - The report is a macro asset market analysis released by the research center's macro team on September 18, 2025, covering global asset market performance, including bond yields, exchange rates, stock indices, and trading data of stock index futures and treasury bond futures [2][3] Global Asset Market Performance Bond Yields - **10 - year Treasury Bond Yields**: Yields of major economies showed different trends. For example, the US 10 - year Treasury bond yield was 4.089 on September 17, 2025, with a latest change of 0.060, a one - week change of 0.042, a one - month change of - 0.203, and a one - year change of 0.388 [3] - **2 - year Treasury Bond Yields**: The US 2 - year Treasury bond yield was 3.540 on September 17, 2025, with a latest change of - 0.020, a one - week change of 0.050, and a one - year change of - 0.210 [3] Exchange Rates - **USD against Major Emerging Economies' Currencies**: The exchange rate of the US dollar against the Brazilian real was 5.305 on September 17, 2025, with a latest change of 0.14% and a one - month change of - 3.24% [3] - **Renminbi**: The on - shore RMB exchange rate was 7.104 on September 17, 2025, with a latest change of - 0.14%, a one - week change of - 0.24%, a one - month change of - 1.00%, and a one - year change of - 0.13% [3] Stock Indices - **Major Economies' Stock Indices**: The S&P 500 index was 6600.350 on September 17, 2025, with a latest change of - 0.10%, a one - week change of 1.05%, a one - month change of 3.20%, and a one - year change of 20.64% [3] - **Emerging Economies' Stock Indices**: The emerging economies' stock index was 1347.850 on September 17, 2025, with a latest change of 0.59%, a one - week change of 3.09%, a one - month change of 6.98%, and a one - year change of 26.74% [3] Credit Bond Indices - Different credit bond indices, such as the US investment - grade credit bond index (3528.030 on September 17, 2025) and the euro - zone high - yield credit bond index (407.110 on September 17, 2025), showed various trends in the latest, one - week, one - month, and one - year changes [3][4] Stock Index Futures Trading Data Index Performance - The A - share index closed at 3876.34 with a 0.37% increase, the CSI 300 index closed at 4551.02 with a 0.61% increase, etc. [5] Valuation - The PE (TTM) of the CSI 300 was 14.16 with a 0.07环比 change, and the PE (TTM) of the S&P 500 was 27.47 with a - 0.03环比 change [5] Risk Premium - The risk premium (1/PE - 10 - year interest rate) of the S&P 500 was - 0.45 with a - 0.06环比 change, and that of the German DAX was 2.52 with a 0.02环比 change [5] Fund Flows - The latest fund flow of A - shares was - 198.10, and the latest fund flow of the CSI 300 was 79.42 [5] Trading Volume - The latest trading volume of the Shanghai and Shenzhen stock markets was 23767.38, and the latest trading volume of the CSI 300 was 6084.54 [5] Basis and Spread - The basis of IF was 2.18 with a 0.05% spread, the basis of IH was 3.42 with a 0.12% spread, and the basis of IC was - 7.64 with a - 0.11% spread [5] Treasury Bond Futures Trading Data - Treasury bond futures T00, TF00, T01, and TF01 closed at 108.155, 105.890, 107.855, and 105.760 respectively, with increases of 0.18%, 0.13%, 0.18%, and 0.14% [6] - The R001, R007, and SHIBOR - 3M in the money market were 1.5536%, 1.5493%, and 1.5540% respectively, with daily changes of 5.00 BP, 5.00 BP, and 0.00 BP [6]
资金观察,货币瞭望:央行净投放维持资金面均衡,预计9月资金利率季节性上行
Guoxin Securities· 2025-09-17 05:28
Core Insights - The report indicates that the central bank's net injection maintains a balanced liquidity environment, with expectations for a seasonal rise in funding rates in September [3][4][11]. Group 1: Monetary Market Indicators - The overseas monetary market shows a consensus on the Federal Reserve's interest rate cut expectations for September, with short-term U.S. Treasury yields declining [6]. - Domestic monetary market indicators reveal that the average interbank and exchange repo rates mostly declined in August, with R001, GC001, R007, and GC007 changing by -5BP, -7BP, -5BP, and -5BP respectively [3][12]. - The overnight transaction volume in both interbank and exchange markets increased compared to the previous month, with the exchange's transaction volume share also rising [43]. Group 2: Funding Outlook - The report predicts a seasonal tightening of liquidity at the end of the quarter, with funding rates expected to rise in September [3][11]. - The central bank's net injection and seasonal reduction in fiscal deposits are anticipated to lead to a rebound in the excess reserve ratio in September [4][11]. - The central bank's net injection in August was 1,446 billion yuan, with a significant amount of reverse repos conducted, indicating a continued effort to maintain liquidity balance [47][81]. Group 3: Seasonal Trends - The seasonal increase in M0 was noted, with an increase of 557 billion yuan in August, and a forecast of a 2,100 billion yuan increase in September [62]. - The report highlights that fiscal deposits are expected to decrease seasonally by 2,500 billion yuan in September due to concentrated tax collections and increased government spending [68]. - The report also mentions that the foreign exchange reserves are expected to decrease by 700 billion yuan in September amid ongoing U.S.-China tariff negotiations [73]. Group 4: Interest Rate Trends - The average yield on short-term bonds generally increased in August, with 1-year government bonds and 1-year policy bank bonds rising by 1BP and 4BP respectively [34]. - The report notes that the central bank's operations are aimed at stabilizing the funding environment, with expectations for a seasonal rise in market rates in September [85]. - Historical data indicates that the average monthly change in R001 and R007 rates in September over the past three years has been 9BP and 12BP respectively, suggesting a pattern of rising rates [82].
大类资产早报-20250915
Yong An Qi Huo· 2025-09-15 02:51
Report Summary 1. Report Industry Investment Rating - No relevant information provided. 2. Core View of the Report - No explicit core view is presented in the provided content. The report mainly presents the performance data of various global asset markets. 3. Summary by Related Catalogs Global Asset Market Performance - **10 - Year Treasury Yields of Major Economies**: On September 12, 2025, the 10 - year Treasury yields of the US, UK, France, etc., were 4.022, 4.606, 3.441 respectively. There were no latest changes, but significant weekly, monthly, and yearly changes were observed. For example, the US had a one - year change of 0.266, while Italy had a one - year change of - 0.206 [3]. - **2 - Year Treasury Yields of Major Economies**: On September 12, 2025, the 2 - year Treasury yields of the US, UK, Germany, etc., were 3.540, 3.927, 1.983 respectively. Weekly, monthly, and yearly changes also varied. For instance, the US had a one - year change of - 0.020, while Japan had a one - year change of 0.484 [3]. - **USD Exchange Rates Against Major Emerging Economies' Currencies**: As of September 12, 2025, the exchange rates of the US dollar against the Brazilian real, Russian ruble, etc., were 5.389, 108.000 respectively. There were no latest changes, and weekly, monthly, and yearly changes differed. For example, the Brazilian real had a one - year change of - 4.48% against the US dollar [3]. - **Major Economies' Stock Indices**: On September 12, 2025, the values of the S&P 500, Dow Jones Industrial Average, etc., were 6587.470, 46108.000 respectively. There were no latest changes, but weekly, monthly, and yearly changes were notable. For example, the S&P 500 had a one - year change of 19.34% [3]. - **Credit Bond Indices**: There were no latest changes in the US investment - grade credit bond index, euro - zone investment - grade credit bond index, etc. Weekly, monthly, and yearly changes were positive in most cases. For example, the US high - yield credit bond index had a one - year change of 8.93% [3][4]. Stock Index Futures Trading Data - **Index Performance**: The closing prices of A - shares, CSI 300, etc., were 3870.60, 4522.00 respectively, with different percentage changes. For example, the A - shares had a change of - 0.12% [5]. - **Valuation**: The PE (TTM) of the CSI 300, SSE 50, etc., were 14.13, 11.90 respectively, with corresponding环比 changes [5]. - **Risk Premium**: The risk premiums of the CSI 300, SSE 50, etc., were 3.70, 5.77 respectively, with no环比 changes [5]. - **Fund Flows**: The latest values of A - shares, the main board, etc., were 1342.66, 657.95 respectively [5]. - **Trading Volume**: The latest trading volumes of the Shanghai and Shenzhen stock markets, CSI 300, etc., were 25209.25, 6895.76 respectively, with corresponding环比 changes [5]. - **Main Contract Basis**: The basis of IF, IH, IC were 1.20, 0.06, - 7.75 respectively, with corresponding basis spreads [5]. Treasury Bond Futures Trading Data - **Closing Prices and Percentage Changes**: The closing prices of T00, TF00, etc., were 107.880, 105.760 respectively, with percentage changes of 0.14%, 0.19% respectively [6]. - **Funding Rates and Daily Changes**: The funding rates of R001, R007, etc., were 1.3979%, 1.4651% respectively, with daily changes of - 9.00BP, - 2.00BP respectively [6].
流动性与机构行为跟踪:资金收敛,基金抛券
ZHONGTAI SECURITIES· 2025-09-14 12:42
Report Summary 1. Report Industry Investment Rating The document does not provide the industry investment rating. 2. Core Viewpoints - This week (9.8 - 9.12), the capital interest rate increased, the average daily lending of large - scale banks decreased, and funds reduced leverage. - The maturity of certificates of deposit increased, and the yields to maturity of certificates of deposit at various tenors rose. - In the spot bond trading, the main buyers were large - scale banks, with a significant increase in net buying compared to last week, mainly increasing holdings of 1 - 5Y interest - rate bonds. Insurance companies increased their allocation of 20 - 30Y interest - rate bonds, rural commercial banks increased holdings of 7 - 10Y bonds, securities firms reduced their interest - rate bond holdings, and funds were the main sellers, mainly reducing holdings of 7 - 10Y interest - rate bonds. [4] 3. Summary by Directory 3.1 Monetary Fundamentals - **Open Market Operations**: There were 1.0684 trillion yuan of reverse repurchases maturing this week. The central bank conducted reverse repurchase operations of 191.5 billion, 247 billion, 304 billion, 292 billion, and 230 billion yuan from Monday to Friday, with a total investment of 1.2645 trillion yuan and a net liquidity injection of 196.1 billion yuan for the whole week. Next Monday, 600 billion yuan of outright reverse repurchases will be invested. [7] - **Funding Rates**: As of September 12, R001, R007, DR001, and DR007 were 1.4%, 1.47%, 1.36%, and 1.46% respectively, changing by 3.7BP, 0.85BP, 4.83BP, and 2.03BP compared to September 5, and were at the 17%, 7%, 15%, and 3% historical percentiles respectively. [10] - **Large - scale Bank Lending**: From September 8 to September 12, the total lending scale of large - scale banks was 20.31 trillion yuan, with a maximum daily lending scale of 4.2 trillion yuan and an average daily lending scale of 4.1 trillion yuan, a decrease of 0.1 trillion yuan compared to the previous week's average. [13] - **Pledged Repurchase Transactions**: The trading volume of pledged repurchases increased, with an average daily trading volume of 7.49 trillion yuan and a maximum daily trading volume of 7.64 trillion yuan, a 2.46% increase compared to the previous week's average. The proportion of overnight repurchase transactions increased, with an average daily proportion of 88.4% and a maximum daily proportion of 89.1%, an increase of 0.08 percentage points compared to the previous week's average, and was at the 86.7% percentile as of September 12. [15] 3.2 Certificates of Deposit and Bills - **Issuance and Financing of Certificates of Deposit**: The issuance scale of inter - bank certificates of deposit increased this week, and the net financing turned negative. The total issuance was 782.06 billion yuan, an increase of 200.36 billion yuan compared to the previous week; the total maturity was 1252.02 billion yuan, an increase of 921.97 billion yuan compared to the previous week. The net financing was - 469.96 billion yuan, a decrease of 721.41 billion yuan compared to the previous week. [17] - **Issuance by Bank Type**: This week, the issuance scales of inter - bank certificates of deposit by state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 239.28 billion, 243.47 billion, 241.39 billion, and 38.11 billion yuan respectively, changing by 80.94 billion, 79.24 billion, 19.62 billion, and 2.97 billion yuan compared to the previous week. [17] - **Issuance by Tenor**: The issuance scales of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit were 68.6 billion, 262.94 billion, 230.26 billion, 100.51 billion, and 119.75 billion yuan respectively, changing by 50.79 billion, 31.44 billion, 96.37 billion, - 14.46 billion, and 36.22 billion yuan compared to the previous week. The 3M certificates of deposit accounted for the highest proportion of the total issuance of certificates of deposit by different types of banks, at 33.62%, mainly due to more issuances by state - owned banks; the 6M tenor accounted for 29.04%, mainly due to more issuances by joint - stock banks. [17][18] - **Yields to Maturity of Certificates of Deposit**: As of September 12, the yields to maturity of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit of AAA - rated commercial banks were 1.55%, 1.56%, 1.64%, 1.67%, and 1.67% respectively, changing by 10.6BP, 1BP, 0.95BP, 0.55BP, and 0.5BP compared to September 5. [30] - **Bill Rates**: As of September 12, the 3M direct discount rate of national - owned and joint - stock banks, 3M transfer discount rate of national - owned and joint - stock banks, 6M direct discount rate of national - owned and joint - stock banks, and 6M transfer discount rate of national - owned and joint - stock banks were 1.27%, 1.15%, 0.83%, and 0.79% respectively, changing by 1BP, - 3BP, 5BP, and 6BP compared to September 5. [32] 3.3 Institutional Behavior Tracking - **Inter - bank Leverage Ratio**: As of September 12, the total inter - bank leverage ratio in the bond market decreased by 0.05 percentage points to 106.51% compared to September 5, at the 34.5% historical percentile since 2021. [35] - **Leverage Ratios of Different Institutions**: As of September 12, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.5%, 187.9%, 130.6%, and 104.5% respectively, changing by 0.02BP, - 0.33BP, 2.51BP, and - 0.41BP compared to September 5, and were at the 27%, 1%, 83%, and 8% historical percentiles respectively. [37] - **Duration Adjustment**: As of September 12, the weighted average duration of net purchases by funds (MA = 10) was - 3.00 years, turning negative from 3.42 years on September 5 and at the 4% historical percentile; the weighted average duration of net purchases by wealth management products (MA = 10) was 1.28 years, an increase compared to September 5 and at the 63% historical percentile; the weighted average duration of net purchases by rural commercial banks (MA = 10) was 1.78 years, an increase compared to September 5 and at the 63% historical percentile; the weighted average duration of net purchases by insurance companies (MA = 10) was 13.17 years, an increase compared to September 5 and at the 93% historical percentile. [39]
【机构策略】预计短期A股市场以震荡整理为主
Zheng Quan Shi Bao Wang· 2025-09-11 00:59
Group 1 - The A-share market experienced slight fluctuations with a focus on sectors such as mining, communication services, gaming, and cultural media, while energy metals, jewelry, wind power equipment, and batteries showed weaker performance [1] - There is a net inflow of global funds into the A-share market, with household savings accelerating towards capital markets, creating a continuous source of incremental funds [1] - The market is expected to maintain a consolidation phase in the short term, with close attention needed on policy, funding, and external market changes [1] Group 2 - The A-share market saw a day of shrinking volume and fluctuations, with all three major indices closing higher; the computing hardware sector was active, while battery and photovoltaic sectors faced adjustments [2] - The overall market sentiment has shown a decline in risk appetite, with investors exhibiting a cautious stance and a preference for relatively lower-priced sectors [2] - In the medium term, the market is expected to maintain a strong oscillation trend, with an increased tolerance for investment risks, encouraging active participation in the A-share market [2]
货币市场日报:9月4日
Zhong Guo Jin Rong Xin Xi Wang· 2025-09-04 12:36
Group 1 - The People's Bank of China conducted a reverse repurchase operation of 212.6 billion yuan for a 7-day term, with both the bidding and winning amounts at 212.6 billion yuan and an operation rate of 1.40% [1] - On the same day, 416.1 billion yuan of 7-day reverse repos matured, resulting in a net withdrawal of 203.5 billion yuan [1] - The Shanghai Interbank Offered Rate (Shibor) showed mixed movements, with overnight Shibor unchanged at 1.3160%, 7-day Shibor up by 0.40 basis points to 1.4370%, and 14-day Shibor down by 1.00 basis points to 1.4760% [1][2] Group 2 - In the interbank pledged repo market, the 7-day rates showed mixed trends, with R007 and R014 rates remaining stable compared to the previous trading day [5] - The weighted average rates for DR001 and R001 increased by 0.1 basis points and 0.3 basis points, respectively, with transaction volumes rising to 296.6 billion yuan and 913 billion yuan [5] - The weighted average rates for DR007 and R007 saw a slight increase and decrease, respectively, with transaction volumes showing a mixed trend [5] Group 3 - The funding market on September 4 exhibited a balanced and slightly loose stance, with overnight rates fluctuating around 1.43%-1.45% [9] - By the afternoon, the funding prices showed slight declines, with overnight rates dropping to around 1.36% [9] - The issuance of interbank certificates of deposit reached 99 issues, with an actual issuance volume of 144.11 billion yuan [10] Group 4 - A report from Caitong Securities indicated that despite increased volatility in late August, the average funding rates reached the lowest level of the year, with a decrease in funding gaps compared to July [12] - The People's Bank of China announced plans for a 10 billion yuan reverse repurchase operation on September 5, with a 3-month term, effectively rolling over the same amount maturing on that day [12]