买断式逆回购中标利率反映了什么？ —— 流动性与机构行为周度跟踪 251123 [Table_ReportTime] 2025 年 11 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 673 歌声ue 证券研究报告 债券研究 [Table_ReportType] 专题报告 | ] [Table_A 李一爽 uthor固定收益首席分析师 | | --- | | 执业编号：S1500520050002 | | 联系电话：+86 18817583889 | | 邮 箱： liyishuang@cindasc.com | 3买断式逆回购中标利率反映了什么？ 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 3 ➢ 我们假设 12 月关键期限国债、超长期一般国债、贴现国债平均发行规模分 别为 1240 亿元、560 亿元、470 亿元，并对 7500 亿特别国债到期进行等额 续作，则我们预计 12 月国债发行规模约 1.93 万亿，净融资规模约 4400 亿 元。假设地方债新增额度在年内全部发行完毕，则预计 12 月发行新增一般 债 68 ...

Core Viewpoint - The article emphasizes the need for a scientific and robust monetary policy system and a comprehensive macro-prudential management system in China, as articulated by the Governor of the People's Bank of China, Pan Gongsheng [1] Group 1: Monetary Policy - The article highlights the importance of maintaining a smooth transmission mechanism for monetary policy [1] - It calls for enhanced evaluation of monetary policy execution to guide financial institutions in improving the effectiveness of monetary policy, particularly interest rate policies [1] - There is a focus on addressing "involution" competition and capital idling within the financial industry [1] Group 2: Coordination with Other Policies - The article stresses the need for better coordination between monetary policy and fiscal, industrial, and other policies in terms of demand management and structural adjustments [1]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the context of preventing capital idling and optimizing credit structure, the year - on - year decline trend of monthly credit increments is likely to continue. The year - on - year growth rate of the stock of social financing at the end of September 2025 was +8.7%, with the growth rate decreasing by 0.1 percentage points month - on - month. It is expected that the year - on - year growth rate of the stock of social financing in the fourth quarter will continue to decline [2][8]. - In the fourth quarter of this year, the bond market is expected to perform better than the third quarter, but there will still be policy reform disturbances. It is recommended to actively allocate when the yield of the active 10 - year Treasury bond is above 1.75%, and the yield of the active 10 - year Treasury bond in the fourth quarter is expected to fall to around 1.7% [8]. 3. Summary by Relevant Catalogs Credit - Under the background of preventing capital idling and optimizing credit structure, the monthly credit increment continued to be less than the same period last year. In September 2025, the new credit was about 1.29 trillion yuan, 300 billion yuan less than the same period last year and 700 billion yuan more than the previous month. The credit structure was optimized, with the medium - and long - term loans of residents and short - term loans of enterprises increasing year - on - year, and bill discounting decreasing year - on - year. As of the end of September 2025, the balance of RMB loans had reached 270 trillion yuan, and the weighted average interest rate of new enterprise loans (domestic and foreign currencies) in September 2025 was 3.1% [8]. - Promoting credit structure optimization is the policy focus of the regulatory authorities, and a slight year - on - year weakening of credit increments is unlikely to trigger a quantitative loose monetary policy. The optimization of credit structure is reflected in the fact that the credit increments in each month of the third quarter were less than the same period last year, while the loan growth rates in key policy - supported areas were relatively high, and the bill - padding situation was weakened [8]. Social Financing - In September 2025, the increment of social financing was about 3.53 trillion yuan, lower than 3.76 trillion yuan in the same period last year. On - balance - sheet financing and government bonds were the main contributors to the increment of social financing. Corporate bonds and undiscounted bank acceptance bills increased significantly year - on - year [8]. - In the first three quarters of this year, government bonds provided trend support for the growth of social financing. As of September 28, the issuance progress of national bonds and new local government bonds in 2025 had reached 81.4%, faster than the scheduled progress. It is expected that the issuance scale of government bonds will decline in the fourth quarter, and the year - on - year growth rate of the stock of social financing in the fourth quarter will continue to decline. However, if part of the new local government debt quota for 2026 is issued in the fourth quarter of this year, it may support the year - end social financing growth rate [8]. Money - In September, the year - on - year growth rate of M1 continued to rise, mainly due to the increase in fiscal expenditure at the end of the quarter, the interaction between wealth management and deposit business, and the relatively prominent credit increment at the end of the quarter. The year - on - year growth rate of M2 decreased, partly because of the marginal increase in the M2 base in the same period last year [8]. Outlook for Financial Data and the Bond Market - Without considering the impact of the early release of the local government debt quota, it is expected that the year - on - year growth rate of the stock of social financing in each month of the fourth quarter will continue to decline. The bond market in the fourth quarter of this year is expected to perform better than that in the third quarter, and it is recommended to actively allocate when the yield of the active 10 - year Treasury bond is above 1.75%, with the yield expected to fall to around 1.7% [8].

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market outlook for October 2025, with a focus on credit bonds and interest rate bonds [2][7][12]. Core Insights and Arguments - **Travel Data and Real Estate Sales**: Strong travel data during the National Day holiday indicates robust activity, but real estate sales were slightly weaker than the previous year, leading to a neutral impact on the bond market [2][5]. - **U.S. Economic Indicators**: The U.S. government shutdown has resulted in the absence of key non-farm payroll data, while the ADP employment report showed a decrease of 32,000 jobs, raising expectations for a potential interest rate cut by the Federal Reserve in October [2][6]. - **Monetary Policy Outlook**: The central bank is expected to maintain a supportive monetary policy stance, utilizing various tools to ensure liquidity, while being cautious of risks associated with fund idling [2][7]. - **Interest Rate Trends**: The overall low interest rate environment is leading to a decline in the profitability of pure bond assets, making it difficult for long-term rates to decrease significantly in October [2][7]. - **Credit Bond Market Performance**: The credit bond market experienced volatility in September, with a steepening yield curve and fluctuating credit spreads. A defensive strategy focusing on short-duration bonds is recommended for October [2][8][12]. Important but Overlooked Content - **Impact of Regulatory Changes**: The introduction of new public fund sales regulations in early September caused significant market disruptions, leading to a sell-off of government bonds to maintain liquidity, which resulted in a passive narrowing of credit spreads [2][10]. - **Seasonal Factors**: Concerns over institutional redemptions at the end of September led to a significant rise in credit bond yields and widening credit spreads [2][11]. - **Investment Recommendations**: - For institutions with moderate stability, focus on 2-3 year credit varieties, particularly 3-year bank subordinated capital instruments, while being cautious of liquidity risks [3][14]. - For stable institutions, consider participating in 4-5 year bank subordinated capital instruments, but be aware of potential volatility [3][14]. - Avoid excessive participation in ultra-long-term non-financial bonds due to their lower liquidity and potential for significant price adjustments [3][14].

Group 1 - The world economy is facing a complex situation with "Trump tariffs" acting as a brake and major countries' monetary easing serving as an accelerator [2][9] - The Federal Reserve has restarted interest rate cuts after nine months, indicating a shift in monetary policy [2][5] - Major central banks, except for the Bank of Japan, are lowering interest rates, with the average policy rate in developed countries dropping from 4.2% to 3% [5][7] Group 2 - The number of corporate bankruptcies in the U.S. has reached the highest level since 2010, with 446 large enterprise bankruptcies reported from January to July 2025 [3] - Employment market is slowing down, prompting the Federal Reserve to cut rates by 0.25% on September 17 [3][7] - Despite the influx of monetary easing, funds are not flowing into the real economy, leading to a distortion in financial markets [2][8] Group 3 - Investment in equipment is stagnating, with U.S. equipment investment expected to increase by only 0.8% in 2025 and 0.5% in 2026 [7][8] - Companies are diverting funds from equipment investment to financial markets, with a significant increase in Bitcoin holdings among global listed companies [8][9] - The average tariff rate has increased from 2.4% to 16.4%, adding an estimated $450 billion burden annually on imports [8][9] Group 4 - If monetary easing does not stimulate the real economy, investment returns in financial markets may decline, posing a risk of cooling down [9] - The Trump administration aims to attract $550 billion from Japan and $600 billion from Europe to revitalize domestic industries [9]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The People's Bank of China's mention of "preventing idle capital circulation" aims to correct the irrational credit structure and aligns with the overall spirit of "anti-involution." It is expected that the growth rate of social financing has gradually peaked, and credit will decline year-on-year in the second half of the year. Interest rate cuts may be more inclined to "effectively cope with external shocks." The bond market is currently intertwined with bullish and bearish factors, and is likely to continue its weak oscillation pattern in the near future [1][7]. Summary by Related Catalogs What is "Idle Capital Circulation"? - The first type of idle capital circulation refers to the situation where the base currency does not convert into social financing according to the full money multiplier but accumulates in the financial system. For example, it can be retained through the non-bank loan - interbank deposit method. When the marketization degree of interbank deposit interest rates is insufficient, it is prone to trigger various arbitrage models. However, normal "deposit transfer" by residents will also boost the growth rate of non-bank deposits, which is a normal credit expansion function of non-bank institutions, and M2 will decrease in this process [7][13][14]. - The second type of idle capital circulation is related to the credit structure of the real economy. In reality, due to greater economic downward pressure, the financing demand of small and medium - sized enterprises is not strong, but banks have a natural inclination for loan scale. Therefore, they conduct "large - customer stacking" through "involution - style" lending, concentrating excessive credit on large enterprises and potentially reducing credit interest rates in an "involution - style" manner. This violates the People's Bank of China's emphasis on "preventing idle capital circulation and maintaining a balance between financial support for the real economy and self - health" [7][20][21]. How to View Social Financing and Credit, and Will There Be an Interest Rate Cut? - It is expected that the growth rate of social financing has gradually peaked, and credit will decline year - on - year in the second half of the year. After the "large - customer stacking" credit funds are released, the overall real - economy financing demand is still weak, so it is difficult for other types of enterprises to fully absorb these funds. As the peak of government bond issuance passes, the growth rate of social financing is expected to gradually peak [7][22]. - Short - term fluctuations in credit do not directly constitute a necessary reason for an interest rate cut. In the context of certain downward pressure on the economic operation and the adjustment of the real estate market, the effective loan demand is weak, and the correlation between loan interest rates and loan growth has significantly weakened in recent years. Interest rate cuts may have limited effect on directly boosting credit. With the further development of "reciprocal tariffs," subsequent interest rate cuts and other aggregate tools may be more inclined to "effectively cope with external shocks" [7][25]. - The current bond market is intertwined with bullish and bearish factors, with insufficient odds in the short term and lacking a basis for significant adjustment. The stock - bond "see - saw" effect may continue, and it is expected that the bond market may continue to maintain a weak oscillation pattern in the near future [1][7][25].

Group 1 - The stock market shows a strong trend while the bond market faces challenges, leading to a "see-saw" effect between stocks and bonds [1][4] - The yield on 10-year and 30-year government bonds has increased by 14 basis points and 23 basis points respectively since early July, reaching 1.7818% and 2.0775% [1] - The bond market sentiment remains cautious despite a slight recovery potential as the 10-year government bond yield approaches the 1.8% mark [4] Group 2 - The macroeconomic fundamentals of the bond market have not changed significantly, with weak financing demand and a reasonably ample liquidity environment providing support [2] - In July, social financing continued to show a divergence in total and structural characteristics, with government bond issuance being a major contributor while real financing demand remains weak [2] - Economic data for July indicates weakening demand pressures, with notable declines in investment, particularly in infrastructure and manufacturing [2][3] Group 3 - The current economic strength suggests that achieving annual growth targets is not overly pressured, with rising commodity prices contributing to a rebound in inflation expectations [3] - The monetary policy is in a "comfortable zone," with no immediate motivation for active easing, and the probability of rate cuts further decreasing in the third quarter [3] - Recent policies aimed at supporting personal consumption loans and service industry loans reflect a coordinated effort between fiscal and monetary policies to boost consumption and stabilize employment [3][4] Group 4 - A new "quasi-fiscal" tool worth 500 billion yuan is set to be implemented, focusing on emerging industries and infrastructure, which can enhance effective investment [4] - The market has experienced three phases since the beginning of the year: tightening liquidity in Q1, a dual bull market in Q2, and a renewed "see-saw" effect in Q3 driven by strong policy support [4] - The future of the "see-saw" market trend will depend on whether the positive expectations for the economic fundamentals can translate into reality and the direction of monetary policy [4]

Core Insights - A significant shift in wealth management is occurring in China, with households moving away from traditional bank deposits to explore new investment avenues [1][12] - The decline in bank deposit attractiveness, driven by falling interest rates, is prompting a migration of funds towards non-bank financial institutions and the stock market [4][5] Group 1: Bank Deposits and Non-Bank Financial Institutions - In July, Chinese household deposits saw a dramatic drop of 1.11 trillion yuan, marking the second-largest monthly decline in history, while non-bank financial institutions' deposits surged by 2.14 trillion yuan [3] - The one-year fixed deposit rate from major state-owned banks has fallen to a historic low of 0.95%, leading to a significant decrease in deposit interest income compared to five years ago [4] Group 2: Stock Market Dynamics - The stock market has become a primary destination for funds, with A-share indices rising significantly in July: the Shanghai Composite Index increased by 3.74%, the Shenzhen Component by 5.2%, and the ChiNext by 8.14% [5] - A substantial portion of the new funds entering the stock market is attributed to residents transferring money from bank accounts to securities accounts, with 60% of non-bank deposit growth coming from these transfers [5] Group 3: Wealth Management Products - Bank wealth management products have emerged as a crucial intermediary for fund transfers, with total assets surpassing 30.67 trillion yuan and an average annualized return of 2.12% [7] - The demand for wealth management products is evident, as seen in the 200% increase in sales of specific products designed for transitioning funds from deposits to investments [7] Group 4: Consumer Behavior and Economic Impact - Some individuals are opting to repay mortgages early to reduce debt costs, with personal housing loan balances decreasing by 852 billion yuan in the first seven months of 2025 [8] - Consumer spending is also on the rise, with domestic tourism reaching 3.2 trillion yuan in revenue, reflecting a shift towards enjoying current experiences rather than saving [8] Group 5: Market Risks and Concerns - There are emerging concerns about funds not effectively reaching the real economy, with signs of "capital turnover" and a notable increase in cash transactions in the real estate market [9] - Historical precedents warn of potential market volatility, as seen in the 2015 stock market crash following a similar surge in non-bank deposits [11]

Group 1 - The Ministry of Finance, the People's Bank of China, and the Financial Regulatory Administration issued a detailed implementation plan for the personal consumption loan interest subsidy policy, which is expected to stimulate consumption and support domestic demand while potentially delaying overall interest rate cuts [1] - The central bank's second-quarter monetary policy report emphasizes maintaining policy continuity and stability, with a focus on solidifying credit support and preventing fund circularity, indicating a shift towards structural regulation rather than an increase in total credit [2] - The current market shows a strong stock performance but weak bond performance, with multiple factors such as tax period cash flow tightening and rising stock market volumes contributing to a downward adjustment in the bond market [3] Group 2 - The bond market's adjustment is limited due to the need for further recovery in domestic demand, and stability in the bond market requires signals of liquidity support from the central bank [3] - The central bank's increased reverse repurchase operations on August 19 showed initial signs of stabilization in the bond market, with attention on the upcoming MLF operations and fluctuations in funding rates [3] - The report highlights the need to address excessive low-price competition in certain industries and promote consumption to achieve reasonable price recovery, which will be a key policy direction moving forward [2]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the short term, bond yields may fluctuate downward. Although government bond issuance brings certain net - increase pressure, the certainty of the downward trend of capital prices is relatively high due to the marginal decline of the central bank's open - market maturity scale and the gradual subsidence of tax - period disturbances. In the long term, the bond yield is still in a downward trend under the background of weak fundamentals [8]. 3. Summary by Relevant Catalogs Bond Market Performance Last Week - Bond yields generally increased, the term spread widened, and the curve became steeper. The 10 - year Treasury bond yield rose 6BP to 1.7465%, the short - term interest rate rose slightly, and the term spread increased by 4BP. Bank - to - bank pledged repo rates and financial institution pledged repo rates both increased. The liquidity of the banking system remained reasonably abundant, and the R007 - DR007 spread narrowed, but the stratification between non - bank institutions and banks still existed [3]. Factors Driving Bond Yield Increases - The increase in market risk preference, tax - period disturbances, and the substantial increase in government bond supply jointly pushed up bond yields. The stock - bond seesaw effect, with the steady rise of the equity index, suppressed the bond market. The tax - period on the 15th led to a convergence of the money market and a significant increase in capital prices. The net increase in government bond issuance also contributed to the rise in bond yields [4]. Policy - related Influences - Policies on preventing capital idling and fiscal discount loans indicate that the pace of comprehensive interest rate cuts may slow down. The central bank's second - quarter monetary policy report emphasizes preventing capital idling, suggesting a possible delay in the pace of reserve requirement ratio and interest rate cuts. The fiscal discount policy for personal consumption and business loans strengthens the signal of a slowdown in the pace of comprehensive interest rate cuts [5]. Fundamental Situation - Economic data generally declined, and loans in the real - sector weakened, reflecting the weak economic operation. In July, economic and financial data showed that the contradiction of "weak demand + resilient supply + low prices" continued. Industrial added - value growth slightly decreased, overall investment growth was dragged down by real estate, infrastructure, and manufacturing, consumption momentum slightly slowed down, and financing in the resident and enterprise sectors was weak [6][7]. Capital - related Situation - This week, liquidity continued to be relatively loose. The maturity scale of the central bank's reverse repurchase decreased significantly, which will relieve capital pressure. The tax - period disturbances are gradually subsiding, and capital prices may decline [7]. Supply - side Situation - This week, local government bond issuance increased, and government bond issuance maintained a net - increase trend. It is expected that the central bank will adjust capital injection to maintain liquidity. The net increase in local government bond issuance this week was 2366 billion yuan compared with last week, and the net increase in Treasury bond issuance also increased by about 1000 billion yuan compared with last week. The scale of government bond payments decreased marginally compared with last week [8].