证券研究报告|宏观跟踪周报 [Table_Date] 2025 年 11 月 22 日 下周（11月 24-28日）进入跨月周，资金面风浪依旧未平。周一（24日）起， 拆借 7 天利率可跨月。参考今年二季度以来季中月（5 月、8 月）资金利率在跨月周 的变化情况，R007 最大上行幅度分别为 11、8bp，而 R001 多在跨月当日显著上 行，幅度在 5-10bp。 与此同时，下周公开市场还面临 2.58万亿元到期，单周到期规模仅次于国庆后 一周的 2.66 万亿元。其次，政府债缴款规模可能依然不低。根据已披露的发行计 划，下周缴款额预计为 2337亿元。不过，下周三（26日）还将有国债 2个月、3个 月期贴现国债计划发行，实际缴款压力将更大，根据我们估算，实际缴款规模或仍 在 3000 亿以上，约为 3087 亿元左右。 因此，对于接下来的跨月周，地方债发行缴款以及MLF续作情况将是两个关键 变量。不过，考虑到三季度基本面压力显现，央行宽货币态度延续，下周央行或同 步加大短期逆回购资金投放，缓解资金压力，预计跨月期间隔夜、7 天资金成本高 点或在 1.60%附近。 ►公开市场：11 月 24-28 日，逆回 ...

Group 1: Liquidity and Financial Indicators - The excess reserve ratio increased by 0.3 percentage points to 1.4% in September, remaining stable compared to June[6] - The general fiscal deficit reached a record high of 2.11 trillion yuan in September, significantly exceeding expectations by approximately 360 billion yuan[6] - Government deposits decreased by 780.4 billion yuan in September, marking the largest decline for the same period in recent years[6] Group 2: October Projections and Market Conditions - In October, government deposits are expected to rise by approximately 380 billion yuan, which is significantly lower than the same period in previous years, reducing negative liquidity impacts[15] - The average interest rates for DR001 and DR007 reached new lows for the year in October, indicating a continued state of liquidity easing[28] - The anticipated excess reserve ratio for November is around 1.3%, remaining stable compared to October and slightly higher than the same period in the past two years[3] Group 3: Monetary Policy and Future Outlook - The central bank's recent actions suggest a maintained easing stance, with expectations for potential interest rate cuts in the future to support economic stability[3] - The central bank's balance sheet showed an increase in claims on other deposit-taking institutions by 897.4 billion yuan in September, aligning with high-frequency data[14] - Risks include potential underperformance in fiscal spending and monetary policy not meeting expectations, which could impact liquidity and market stability[3]

Core Viewpoint - The liquidity in the financial market remains stable at the beginning of October, with a comfortable funding environment, although there are slight fluctuations towards the end of the month due to tax periods and cross-month factors [1][3][4]. Funding Environment - The average overnight rate (R001) and the 7-day rate (R007) for October were 1.38% and 1.50%, respectively, marking the lowest levels of the year [1]. - The net issuance of government bonds in October was 528.1 billion yuan, the lowest for the year, contributing to a stable funding price [1][26]. - The funding rates experienced slight increases at the end of the month due to tax period pressures, but the central bank's actions helped to stabilize the rates [1][9]. Interbank Lending - The average daily lending volume from banks decreased to 3.80 trillion yuan in the last week of October, down from 4.25 trillion yuan in the previous weeks, primarily due to large banks reducing their lending [3]. - Despite a decrease in lending willingness, the issuance price of certificates of deposit (CDs) fell, indicating a potential turning point in CD pricing [3][4]. Monetary Policy - The central bank's actions, including the resumption of government bond trading, are expected to inject medium to long-term funds into the banking system, stabilizing banks' liability expectations [4][13]. - The central bank's net injection of liquidity through reverse repos and MLF (Medium-term Lending Facility) indicates a continued supportive monetary policy stance [13][15]. Government Bonds - The net issuance of government bonds in October was significantly below expectations, with a total of 528.1 billion yuan, leading to a forecasted increase in issuance for November [26][29]. - The expected net issuance for November is approximately 1.23 trillion yuan, reflecting a seasonal increase in government bond supply [26]. Interbank Certificates of Deposit - The weighted issuance rate of interbank CDs decreased to 1.64% in the last week of October, indicating a downward trend in funding costs [32]. - The net financing from interbank CDs was 153.6 billion yuan, with a total issuance of 734.4 billion yuan during the same period [34]. Bill Market - The bill rates saw a significant decline, with the 1-month bill rate dropping to 0.01%, reflecting weak credit demand in October [19][20]. - Major banks shifted from net buying to net selling in the bill market, indicating a potential decrease in credit activity [19][22].

Group 1: Monetary Policy and Market Liquidity - The central bank conducted a net withdrawal of CNY 347.9 billion through OMO this week, with a total of CNY 400 billion net injection for the month, marking a year-to-date high[9] - The average daily transaction volume of pledged repos increased by CNY 2.9 trillion to CNY 8.04 trillion, with the overall scale surpassing CNY 12 trillion[17] - The new funding gap index dropped to -902.2 billion, the lowest since early January, indicating a tightening liquidity environment[17] Group 2: Government Financial Operations - In September, government deposits decreased by CNY 780.4 billion, the largest drop in recent years, aligning with expectations[21] - The government’s fiscal revenue growth was positive, with a year-to-date increase consistent with the annual budget, while public budget expenditure growth remained below targets[21] - The Ministry of Finance announced a CNY 500 billion allocation from local debt limits to support local fiscal capacity and effective investment[23] Group 3: Credit and Deposit Trends - M2 growth slowed to 8.4% in September, primarily due to a decline in non-bank deposits, while M1 growth reached 7.2%, the highest since 2021[21][5] - The net financing scale of interbank certificates of deposit rose to CNY 235.9 billion, with significant contributions from joint-stock banks and city commercial banks[6] - The issuance of government bonds for Q4 is projected at CNY 1.9 trillion, with a net supply of CNY 2.4 trillion, lower than previous quarters[5]

Report Industry Investment Rating - Not provided in the given content Core Views - The calculated September 2025 excess reserve ratio is at a high level compared to the same period in previous years, but the core excess reserve ratio (excluding the central bank's reverse repurchase balance) is at a low level during the same period. This divergence indicates that the current excess reserves of the banking system rely on central bank injections, and the 1.4% 7D reverse repurchase rate of the central bank directly forms the lower limit of DR007 [1][3]. - With the slowdown of government bond issuance and commercial banks' reduced focus on loan - volume targets, the core excess reserve ratio is expected to rise slightly in the fourth quarter [4]. Summary by Directory 1 How to View the Divergence between Excess Reserve Ratio and Core Excess Reserve Ratio - The September 2025 excess reserve ratio (calculated by the five - factor method) is 1.59%, up from 1.22% in August and compared to 1.80% in September 2024. It is the second - highest in September over the past five years [2][11]. - The core excess reserve ratio in September 2025 is 0.64%, while the calculated core excess reserve ratios in September of the past four years were 0.98%, 1.07%, 0.42%, and 1.15%. The divergence shows that the excess reserve level of the commercial banking system depends on the central bank's open - market reverse repurchases, and the central bank's injections affect the level of excess reserves [3][12]. - The impact of loans on excess reserves has been decreasing. From 2022 to Q3 2025, the new RMB loans of commercial banks were 4.4 trillion, 4 trillion, 2.75 trillion, and 1.83 trillion respectively, and the growth rate may remain low in Q4. As of October 17, 2025, the remaining government bond issuance amount is much lower than the quarterly issuance in the first three quarters of 2025 [4][17]. 2 Narrow - sense Liquidity 2.1 Central Bank Operations: Continuous Net Injection of Outright Reverse Repurchases - In the past week (10/13 - 10/17), the central bank's pledged reverse repurchase had a net withdrawal of 3479 billion yuan. As of October 17, the central bank's reverse repurchase balance was 7891 billion yuan, significantly lower than at the end of September, in line with the pattern of "injections at the end of the month and withdrawals at the beginning of the month" [19]. - In October, the total maturity amount of outright reverse repurchases was 13000 billion yuan (8000 billion yuan for 3M and 5000 billion yuan for 6M), and the MLF maturity was 7000 billion yuan. The central bank's net injection of outright reverse repurchases in October was 4000 billion yuan [20]. 2.2 Institution - level Funding Supply and Demand: Strong Supply and Demand - On October 17, large - scale banks' net funding supply (flow concept, excluding same - day maturities) was 4.6 trillion yuan, an increase of 6899 billion yuan from October 10, and the net funding supply balance was 5.2 trillion yuan, an increase of 6170 billion yuan from October 10, both at relatively high levels compared to the same period in previous years. The net funding supply balance of money market funds was 1.3 trillion yuan, a decrease of 5374 billion yuan from October 10, in line with the rule of "less net funding supply in a loose liquidity environment". The net funding supply of joint - stock commercial banks was - 2118 billion yuan, at a low level compared to the same period in previous years [21]. - On October 17, the balance of bonds to be repurchased in the inter - bank pledged repurchase market was about 12.0 trillion yuan, an increase of 3340 billion yuan from October 10. The full - market leverage ratio was 107%, up 0.22 percentage points from October 10, and the leverage ratio of non - legal person products was 113%, up 0.44 percentage points from October 10 [30]. 2.3 Repurchase Market Transaction: Stable Volume and Price - In the past week, the volume and price of the inter - bank pledged repurchase market were stable. The median daily trading volume was about 8 trillion yuan, an increase of 4665 billion yuan compared to October 10 - 11. The median R001 was 1.35%, still at a low level. The median spread between R001 and DR001 decreased by 2.8bp to 3.9bp, and the median spread between GC001 and R001 decreased by 5.5bp to 4bp, indicating low liquidity friction [34]. - The funding sentiment index remained around 50, and the market generally loosened in the afternoon [36]. 2.4 Interest Rate Swaps: Slight Decline - The 1 - year FR007 IRS rate and the 1 - year SHIBOR 3 - month IRS rate increased compared to last week. The median 1 - year FR007 IRS rate was 1.54%, in the 9th percentile since 2020, and the median 1 - year SHIBOR 3 - month IRS rate was 1.61%, in the 23rd percentile since 2020 [43]. 3 Government Bonds: Neutral Net Payment Pressure for Government Bonds in the Coming Week 3.1 Next Week's Net Payment for Government Bonds - In the coming week, the expected net payment for government bonds is 1584 billion yuan, with a neutral overall net payment pressure. The net payment for treasury bonds is 216 billion yuan, and for local government bonds is 1367 billion yuan. The net payment pressure is relatively high on Tuesday, and the net repayment amount is the largest on Wednesday [44]. 3.2 Current Government Bond Issuance Progress - As of October 18, the net financing progress of treasury bonds was 84.1%, an increase of 0.2% in the past week, with about 1.06 trillion yuan of remaining net financing space in 2025. The issuance progress of new local government bonds was 84%, with 0.83 trillion yuan of remaining issuance space (excluding the proposed 5000 - billion - yuan local government bond quota balance). The issuance of refinancing special bonds has completed the annual task. The supply of government bonds slowed down in October, and future issuance depends on the issuance rhythm of the 5000 - billion - yuan local government bond quota balance and the early allocation of the new local government debt quota in 2026 [48]. 4 Inter - bank Certificates of Deposit: Significantly Reduced Net Financing, and the Long - term Liability Pressure of Banks May Be Controllable 4.1 Absolute Yields - On October 17, the SHIBOR quotes for overnight, 7 - day, 1M, 3M, 6M, 9M, and 1Y were 1.32%, 1.42%, 1.56%, 1.58%, 1.64%, 1.66%, and 1.67% respectively. The yields of 1M and above for AAA - rated inter - bank certificates of deposit of commercial banks were 1.5%, 1.59%, 1.64%, 1.66%, and 1.67% respectively [50]. 4.2 Issuance and Outstanding Amount - From October 13 to 17, the total primary issuance of inter - bank certificates of deposit was 7295.30 billion yuan, an increase of 7130 billion yuan compared to October 9 - 10. In terms of issuance terms, the proportions of 1M, 3M, 6M, 9M, and 1Y were 12%, 20%, 44%, 5%, and 19% respectively, with 1M and 9M decreasing by 57.49 and 3.08 percentage points, and 3M, 6M, and 1Y increasing by 12.81, 38.65, and 9.12 percentage points respectively [54]. 4.3 Relative Valuation - On October 17, the spread between the 1 - year AAA - rated inter - bank certificate of deposit yield and R007 was 20bp, in the 40th percentile since 2020, and the spread between the 10 - year treasury bond yield and the 1 - year AAA - rated inter - bank certificate of deposit yield was 16bp, in the 32nd percentile since 2020 [56].

Group 1: Liquidity and Interest Rates - The funding rates remain low, with R001 averaging around 1.35% and R007 around 1.47% during the week of October 13-17, 2025[1][12] - Despite nearly 2 trillion in open market maturities, liquidity achieved self-balancing due to central bank support and low government debt payment pressure[1][11] - The overnight rate is expected to continue fluctuating around OMO-5bp, with R007 likely to stay below 1.50%[2][17] Group 2: Open Market Operations - From October 20-24, the reverse repo maturity will be 789.1 billion, significantly lower than the average of 1.1 trillion since 2025[2][17] - The central bank net drained 581.9 billion in the week of October 13-17, with reverse repos maturing at 1.021 trillion[3][22] - The net reverse repo balance as of October 17 was 789.1 billion, down from 1.137 trillion on October 11[3][24] Group 3: Government Bonds and Payments - Government bond net payments for October 20-24 are projected at 158.4 billion, up from 140.2 billion the previous week[5][30] - The increase in net payments is primarily due to a rise in local government bond issuance, which increased by 177.6 billion[5][32] - The net issuance of treasury bonds decreased from 181.1 billion to 21.6 billion, influenced by a significant increase in maturity amounts[5][32] Group 4: Interbank Certificates of Deposit - The pressure from maturing interbank certificates of deposit is expected to remain manageable, with 616.7 billion maturing from October 20-24[6][38] - The weighted issuance rate for one-year CDs was 1.63%, a slight increase from the previous week[6][36] - The net financing from CDs turned positive at 234 billion, with total issuance at 727.6 billion during the week of October 13-17[6][41]

Group 1 - The liquidity perspective indicates that after the National Day holiday, the funding environment has returned to a loose state, with overnight funding rates dropping below 7DOMO and 7-day funding rates around 7DOMO, alleviating pressure on banks' liabilities [1][9] - The report anticipates that the government bond supply pressure in the fourth quarter will be manageable, with limited government bond issuance currently affecting the funding environment [1][9] - The upcoming tax period is expected to maintain a comfortable funding state before its arrival, with overall pressure from the upcoming reverse repos being manageable due to the five working days for operations [1][9] Group 2 - As of October 19, the issuance progress of local government bonds shows that cumulative replacement bonds issued reached 19,900 billion yuan, achieving 99.50% progress; new general bonds issued totaled 6,717 billion yuan, achieving 83.97% progress; and new special bonds issued reached 36,973 billion yuan, achieving 84.03% progress [2][10] - The report notes that the issuance of local bonds has sharply decreased post-National Day, leading to a decline in secondary market transactions, with significant drops in net purchases by insurance and participation from funds in the 7-10 year segment [3][11] - The fourth quarter local bond issuance plan is set at 8,516 billion yuan, with expectations of around 10,000 billion yuan in market neutral expectations, although no incremental policy reserves have been observed [2][11] Group 3 - The report highlights opportunities in local bonds from three perspectives: the implied tax rates for 5Y and 10Y bonds remain around 5%, while most 20Y and 30Y bonds are below 4% [3][12] - The report suggests monitoring specific bonds with high implied tax rates, such as the 25 Tianjin bond with an implied tax rate of 12.21%, despite its small issuance size [3][12] - The report also notes that the yield spread between local bonds and government bonds has widened, particularly in the 7Y and 10Y segments, indicating a need to pay attention to risks associated with long-duration bonds [3][12]

Group 1: Liquidity Overview - After the National Day holiday, the liquidity returned to a loose state, with a significant reverse repo maturity of CNY 2.66 trillion on October 9-10[1] - The overnight rate (R001) decreased by 21 basis points to 1.33%, while the 7-day rate (R007) fell by 13 basis points to 1.49% as of October 10[1][11] Group 2: Future Outlook - The liquidity is expected to remain stable before the tax period, with the tax declaration deadline delayed to October 27, leading to increased liquidity pressure at the end of the month[2] - The net repayment of government bonds from October 13-17 is projected to be CNY 748 billion, which is not expected to significantly disturb liquidity[2] Group 3: Market Operations - From October 13-17, a total of CNY 19.71 trillion in reverse repos will mature, including CNY 10.21 trillion in 7-day reverse repos and CNY 8 trillion in 3-month buyout reverse repos[3][28] - The People's Bank of China (PBOC) conducted a net withdrawal of CNY 426.3 billion from October 9-11, with a total reverse repo issuance of CNY 11.37 trillion during the same period[3][27] Group 4: Bill Market Dynamics - The 1-month bill rate fell by 115 basis points to 0.90%, and the 3-month rate decreased by 135 basis points to 0.30% as of October 10[4][31] - Major banks turned to net buying of CNY 478 billion in bills on October 9, reversing a trend of net selling in the previous month[4][32] Group 5: Government Debt - The net repayment of government bonds from October 13-17 is CNY 852 billion, up from CNY 468 billion in the previous week[5][34] - The increase in net repayment is primarily driven by a rise in national bonds, which saw a net repayment increase of CNY 861 billion to CNY 1.26 trillion[5][36] Group 6: Interbank Certificates of Deposit - The weighted issuance rate of interbank certificates of deposit fell to 1.61%, down 5.7 basis points from the previous week[6][38] - The upcoming maturity pressure for certificates of deposit is expected to rise slightly, with CNY 4.94 trillion maturing from October 13-17[6][53]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Liquidity easing is the most certain factor in the current bond market. Although there are some disturbances in October, as long as the central bank's attitude remains unchanged, the impact of tool maturities is relatively limited, and the government bond supply may shrink significantly, which will ease the tax - period disturbances. The probability of monetary policy tightening is low, and the DR001 and DR007 central levels in October are expected to remain slightly below 1.4% and 1.5% [3][66]. 3. Summary According to the Directory 3.1 August: Government Deposits Leaked Heavily, and the Excess Reserve Ratio Dropped to a Low Level - The excess reserve ratio in August decreased by 0.1pct to 1.1% compared with July, lower than the expected 1.4%, mainly due to the 337 billion yuan increase in government deposits instead of the expected decline. This was caused by the slowdown in narrow - fiscal expenditure growth, low broad - fiscal deficit scale, treasury cash fixed - deposit withdrawal, and slow use of replacement bonds [6]. - The central bank's claims on other depository corporations in August were slightly higher than the net funds injected through reverse repurchase, MLF, PSL, SLF, and other structural monetary policy tools. The legal deposit reserve of the central bank was slightly lower than expected, while currency issuance and foreign exchange holdings were close to expectations [15]. 3.2 September: The Central Bank Offset Exogenous Disturbances with Medium - term Liquidity, and the Fundamentals Fluctuated but the Central Level Remained Stable - The broad - fiscal deficit scale in September may be at a relatively high level compared with the same period in previous years. The expenditure of replacement bonds will cause additional leakage of government deposits, and the net financing scale of government bonds will decline slightly compared with August. It is expected that government deposits will decrease by about 810 billion yuan month - on - month, which will supplement liquidity [16]. - In September, bank reserve payments and currency issuance increased seasonally, with the former expected to rise by 310 billion yuan and the latter by 250 billion yuan. Foreign exchange holdings may continue to withdraw about 70 billion yuan in funds [16]. - In the open market, the central bank's net injection of pledged reverse repurchase in September was 390.2 billion yuan, the net injection of outright reverse repurchase was 300 billion yuan, and the net injection of MLF was 300 billion yuan. Assuming that PSL and other structural monetary policy tools had a net withdrawal of about 200 billion yuan, the central bank's claims on other depository corporations may increase by about 790 billion yuan month - on - month. It is expected that the excess reserve ratio in September will be about 1.4%, an increase of about 0.3pct compared with August, similar to June [16][26]. - Although the central bank did not continuously increase the injection during the period of rising funds in September, the average values of DR001 and DR007 in September were roughly the same as those in July - August, indicating that the central bank maintained a relatively loose attitude within the existing framework, and the change in its operation mode may be related to exogenous disturbances and tool positioning adjustments [28]. - Since the beginning of this year, the central bank has increased the scale of policy tool injections to offset exogenous disturbances such as government deposits and bond maturity. Since Q3, the central bank has shifted its injections more towards medium - term outright reverse repurchase and MLF. After the increase in medium - and long - term liquidity injection scale, the central bank has relaxed the control of short - term fluctuations in funds [35]. - In September, the central bank adjusted the 14 - day reverse repurchase to a fixed - quantity, interest - rate tender, and multiple - price winning bid, which may lower the 14 - day reverse repurchase interest rate. After the adjustment, the 14 - day reverse repurchase became a supplement to the 7 - day reverse repurchase, focusing on providing cross - quarter funds [38]. - The lower net lending of banks in September compared with June may be related to the weak sentiment of non - bank institutions and the decline in leverage willingness, which released potential risks in the funds market. The early progress of cross - quarter operations in September was also an important reason for the loose funds at the end of the month [41]. 3.3 October: Disturbances Mainly Come from Maturities and Tax Payments, but the Certainty of Liquidity Easing under the Central Bank's Care Remains Strong - In October, the broad - fiscal revenue and expenditure may show an anti - seasonal deficit, and the supply pressure of government bonds will be significantly weakened. It is expected that government deposits will increase by about 570 billion yuan month - on - month, significantly lower than the same period in previous years. After the National Day holiday, cash reflux may release about 150 billion yuan in liquidity, and the reserve payment base may decrease seasonally by about 30 billion yuan [50]. - In the open market, it is assumed that the balance of pledged reverse repurchase will drop to 2 trillion yuan at the end of October, corresponding to a net withdrawal of about 660 billion yuan in reverse repurchase. MLF and outright reverse repurchase may continue to be over - renewed, with net injections of 100 billion yuan and 300 billion yuan respectively. Assuming that PSL and other structural monetary policy tools have a net withdrawal of about 200 billion yuan, the central bank's claims on other depository corporations will decrease by about 460 billion yuan month - on - month. It is also assumed that the central bank will restart bond purchases of 100 billion yuan. Overall, it is expected that the excess reserve ratio in October will be about 1.2%, a decrease of 0.2pct compared with September, at a neutral level for non - quarter - end months [50]. - The central bank's Q3 monetary policy meeting continued the tone of the Politburo meeting in July. Although the meeting's description of the economy was slightly weakened, it emphasized that monetary policy should promote growth and prices to be at a reasonable level. The probability of reserve requirement ratio cuts and interest rate cuts in Q4 cannot be ruled out, but the central bank may still need to observe, and potential policy changes need to be observed in important meetings in mid - to late October [64]. - The exogenous disturbances in the funds market in October mainly come from tax periods and the large - scale maturity of policy tools. As long as the central bank's attitude remains unchanged, the impact of tool maturities is relatively limited. The reduction in government bond supply in October will ease tax - period disturbances. The probability of monetary policy tightening is low. It is expected that the central levels of DR001 and DR007 in October will remain slightly below 1.4% and 1.5%, and whether they can become looser still needs to observe the central unified deployment [66].

Report Industry Investment Rating No relevant content provided in the report. Core Viewpoints - The capital market in September 2025 tightened slightly compared to August, but the tightening amplitude was limited compared to the historical average. The central bank's net capital injection was relatively high, and the capital stratification pressure remained low. In October, the capital market may maintain a marginal tightening trend, with the capital center likely to remain stable or rise slightly [2][6] 9 - Month Review: Marginal Tightening Compared to August - **Capital Rate Central Uplift**: In September, the central points of various - term capital rates increased slightly. The operating central points of DR001, DR007, and DR014 rose by 4bp, 1bp, and 3bp respectively. The upward deviation of DR007 from the OMO 7 - day rate widened slightly to 9bp [2][12] - **Limited Tightening Compared to History**: Historically, the deviation of DR007 from the policy rate in September usually widens compared to August. However, in 2025, the tightening amplitude of the capital rate was lower than the historical average since 2016 [2][17] - **High Central Bank Net Investment**: As of the 28th, the central bank's net capital injection in September reached 97.6 billion yuan, second only to September 2023. The capital market showed a different trend from previous years, with an upward trend around the tax period and a slight decline at the end of the month [2][20] - **Increase in Inter - bank Certificate of Deposit Yields**: The central points of inter - bank certificate of deposit yields for various terms increased significantly compared to August. The issuance rates of inter - bank certificates of deposit of various banks also showed an upward trend, indicating some pressure on the liability side of banks before the quarter - end [3][23] - **Low Capital Stratification Pressure**: The R - DR spread remained at a low level. The spread between R001 and DR001 narrowed slightly, while the spread between R007 and DR007 widened slightly, but overall, the stratification pressure was at a historical low [3] 10 - Month Outlook: May Maintain a Marginal Tightening Trend - **Historical Experience of Horizontal Movement of Shibor 3M**: Since May 2025, Shibor 3M has been horizontally moving for nearly 90 days and started to rise at the end of September. Historically, after horizontal movement, capital rates mostly declined, but the two instances of decline within 30 days after horizontal movement both occurred in October [4] - **Seasonal Pattern in October**: Seasonally, the capital market in October usually tightens. The spread between Shibor 3M and the OMO 7 - day rate in October usually widens compared to September, with an average increase of 10bp since 2018. The capital rate often shows a flat trend in the first half of the month and an upward trend in the second half [5] - **Credit and Capital Relationship**: If credit rebounds in the fourth quarter, the capital rate may rise. The growth rate of social financing stock peaked and declined in August. As debt replacement ends in the fourth quarter, corporate credit may bottom out and rebound. Historically, the trend of Shibor 3M is generally consistent with the growth rates of social financing stock and corporate medium - and long - term loans [5] - **Analysis of Liquidity Gap**: In October, the net financing pressure of government bonds will decrease significantly. However, as it is a large tax - paying month at the beginning of the quarter, the liquidity gap may be about 90 billion yuan. Considering the maturity of various monetary tools, the liquidity gap will increase to 3.1 trillion yuan. Assuming equal - amount renewal, the estimated excess reserve ratio in September is about 1.06% [52][54]