证 尽管超储率与历年同期差别不大，但 12 月资金下限打开、中枢下行、 波动减弱，DR001 均值降至年内新低，DR007 环比虽略有抬升，但考虑跨 年因素影响也已在非常宽松的状态。12 月银行刚性净融出一度创下历史新 高，但从结构上看，大行净融出维持高位震荡，贡献主要来自于股份行净 融出的持续上升，可能反映了银行体系资金的内生稳定性提升。尽管跨年 因素带来扰动，但跨年后大行与股份行净融出规模又再创新高。考虑 12 月 央行中期流动性净投放回落，年后 OMO 也在持续净回笼，我们认为银行 融出能力提升可能也与年末财政集中支出推动政府存款超季节性下降有 关。而若剔除跨年影响，非银刚性融出相对平稳，融入升幅有限，资金分 层也相对可控，我们跟踪的资金缺口指数进一步下降。 华福证券 华福证券 固 定 收 益 宽松有望延续 静待降准落地 ——2026 年 1 月流动性月报 投资要点： 固 定 收 益 定 期 报 告 11 月超储率较 10 月持平于 1.2%，与我们的预期基本一致。11 月政府 存款环比上升 492 亿元，高于我们的预期，绝对规模达到了 6 万亿，创下 历史同期新高。政府存款高于我们的预期，主要是由于政 ...

Group 1 - The report highlights that the liquidity remains ample as of late December 2025, with bank lending exceeding 60 trillion yuan, and key rates such as DR001 and R001 showing narrow fluctuations [10][24][39] - The People's Bank of China emphasizes a monetary policy focused on expanding domestic demand and optimizing supply, indicating a potential alignment with fiscal debt issuance in 2026 [11][24] - The report notes a significant increase in the issuance of long-term local government bonds, particularly 30-year bonds, which have improved liquidity and attracted institutional investors [18][20][39] Group 2 - The analysis of government debt issuance reveals that national bonds follow a strict issuance plan, while local bonds have more flexible issuance schedules, leading to discrepancies between planned and actual issuance [20][39] - The report outlines that local government bonds are primarily aimed at debt replacement, with average costs decreasing by over 2 percentage points in many regions, thus alleviating repayment pressures [21][39] - The planned issuance of local government bonds for Q1 2026 totals 1.61 trillion yuan, with a focus on potentially reducing the supply of 30-year bonds in favor of shorter maturities [22][39] Group 3 - The report indicates that the net financing from local government bonds was negative in recent weeks, highlighting the need for careful monitoring of future issuance strategies [42][39] - The analysis of the interbank market shows that the demand for short-term bonds remains strong, with significant net purchases observed in the secondary market [48][39] - The report suggests that the pricing of long-term bonds may not be attractive currently, with better value found in shorter maturities, reflecting market dynamics [49][39]

证券研究报告|宏观跟踪周报 [Table_Date] 2025 年 12 月 20 日 [Table_Title] 年末存单利率或迎下行拐点 [Table_Title2] 流动性跟踪 [Table_Summary] ►概况：税期，资金面继续平稳 12月 15-19日，税期资金面依旧维持低位运行。周内来看，15日为税期首日， 2000 亿元 6M 买断式逆回购净投放落地，同时为保持资金利率稳定，央行在短期资 金投放上维持常规续作安排。尽管如此，税期期间隔夜利率 R001 始终维持在 1.34- 1.35%水平，7 天资金 R007 也基本稳定于 1.50%附近。 税期之后，跨年因素接替成为影响资金面的主要逻辑。18 日起拆借 14 天资金 可跨年，除了常规续作 7 天逆回购以外，央行连续两日额外投放 1000 亿元 14 天逆 回购，呵护跨年资金面，进一步推动了资金宽松预期。受此影响，18-19日 R014仅 小幅上行 7bp 至 1.62%，跨年压力整体可控。与此同时，隔夜与 7 天资金利率仍延 续此前稳态，日均波动不足 1bp，R001、R007 分别收于 1.35%、1.51%。 ►展望：年末存单利率或迎 ...

2025 年 12 月 10 日 固 定 收 益 资金面内生稳定性回升 等待年末政策信号明朗 ——2025 年 12 月流动性月报 投资要点： 固 定 收 益 定 期 报 告 10 月超储率较 9 月下降约 0.2pct 至 1.2%，略低于我们预期的 1.3%。 10 月政府存款上升 6258 亿元，高于预期的 3781 亿，这是 10 月超储率低 于预期的主要原因。尽管 10 月政府存款相较于广义财政盈余及政府债净缴 款之和额外下降了 1272 亿元，但一般公共预算支出大幅低于预期，使得广 义财政盈余规模达到了 2641 亿元，而非预期的赤字。以当前数据看，全年 一般公共预算支出存在低于年初目标的可能，而在此前的大幅偏离后，今 年政府性基金支出可能较年初目标相对接近。此外，10 月央行对其他存款 性公司债权上升 146 亿元，与高频数据相差不大；10 月央行法定存款准备 金减少幅度高于预期，货币发行减少幅度低于预期，外汇占款基本符合我 们此前的预期。 11 月广义财政赤字或相对偏高，但考虑 11 月政府债净缴款大幅上行， 我们预计 11 月政府存款环比下降约 2500 亿，降幅处于往年同期中性水平， 对流 ...

Liquidity Overview - In November, the liquidity environment was stable, with overnight rates peaking above 1.50% twice during the month, reaching a high of 1.54% due to factors like Double Eleven preparation funds and government bond payments[1] - The average overnight rate (R001) for September to November was 1.36%, 1.35%, and 1.37% respectively, indicating a stable liquidity trend despite short-term fluctuations[2] Future Outlook - For the week of December 1-5, liquidity is expected to ease, with R001 likely returning to the range of 1.35-1.36% supported by fiscal spending[3] - Government bond net payments are projected to significantly decrease, with an estimated payment of 866 billion yuan compared to 3,289 billion yuan the previous week, limiting liquidity disturbances[4] Open Market Operations - From December 1-5, the total amount maturing in the central bank's open market operations is approximately 25,118 billion yuan, including 15,118 billion yuan in reverse repos and 10,000 billion yuan in 3-month reverse repos[5] - The central bank is expected to continue its practice of rolling over 3-month reverse repos to alleviate maturity pressure[6] Credit Market Insights - In November, the average 3-month bill rate was 0.56%, up 28 basis points year-on-year, indicating a potential improvement in credit conditions[7] - Major banks have shifted to net selling of bills for the first time since April, with a net sale of 46 billion yuan in November compared to a net purchase of 1,878 billion yuan in the same period last year[8] Government Debt Issuance - The net issuance of government bonds in November was 12,660 billion yuan, exceeding the initial expectation of 12,300 billion yuan, but down 5,657 billion yuan year-on-year[9] - For December, the net issuance is expected to drop to around 5,200 billion yuan, marking a significant decrease from previous months[10] Interbank Certificates of Deposit - The issuance rate for interbank certificates of deposit decreased in November, with a weighted average issuance rate of 1.64%, down from 1.67% in October[11] - The maturity pressure for certificates of deposit is expected to rise in December, with an estimated maturity scale of 37,000 billion yuan, which is relatively high compared to the median of 28,000 billion yuan for 2025[12]

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].