证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 11 月 16 日 从核心超储偏低的视角理解资金面和分层利差 ——流动性与同业存单跟踪 核心观点 在核心超储偏低的情形下，大额政府债净缴款、北交所打新冻结资金等扰动性因素均 会使得资金面收敛、回购利率抬升，但当前货币基金等非银融出力量较强，使得资金 分层利差较低，对同业存单定价较为友好，但 1 年期存单投资或仍需考虑性价比问题。 ❑ 如何看待收敛的资金面 近期央行披露 2025 年 9 月末官方超储率为 1.40%，低于 2024 年 9 月末 1.80%，亦低于我们测算的 1.59%。超储是银行间流动性的源头，剔除央行逆回 购余额后的核心超储是日常资金平稳的关键，按 9 月末官方超储率（1.4%）计 算出来的 9 月末核心超储率为 0.5%，明显低于我们前期的预计值 0.64%。 当前核心超储偏低使得资金扰动因素对资金面的影响放大，大额政府债净缴 款、北交所打新冻结是过去一周（11 月 10 日到 11 月 14 日）资金收敛的主要原 因。过去一周政府债券净缴款金额接近 5000 亿元，单周净缴款绝对金额明显较 大， ...

Group 1: Macroeconomic Environment - The domestic macroeconomic regulation has intensified since the third quarter, with a combination of policies showing gradual effects, creating a favorable monetary and financial environment for economic recovery [1] - The People's Bank of China (PBOC) has maintained a moderately loose monetary policy, injecting liquidity into the market through various tools, including Medium-term Lending Facility (MLF) and reverse repos [2][3] Group 2: Market Performance - In the interbank market, the total transaction volume reached 654.7 trillion yuan, reflecting a quarter-on-quarter increase of 16.3% and a year-on-year increase of 17.7% [1] - The A-share market has shown strong performance, influenced by factors such as the "anti-involution" trend, new tax regulations on bond issuance, and changes in public fund fee structures [1] Group 3: Interest Rates and Liquidity - The overall funding rates have declined in the third quarter, with the weighted average of overnight repo rates dropping by 13 basis points to 1.38% and 14 basis points to 1.43% for different types of repos [3] - The PBOC's net injection of funds in the open market totaled 19,348 billion yuan in the third quarter, with MLF and reverse repos contributing significantly to this liquidity [2] Group 4: Bond Market Dynamics - The bond market saw an issuance of 14.88 trillion yuan in the third quarter, with a quarter-on-quarter growth of 0.7% and a year-on-year growth of 4.7% [4] - Long-term bond yields have experienced fluctuations, with the 10-year government bond yield ranging between 1.64% and 1.9%, reflecting a steepening yield curve [4] Group 5: Interest Rate Swaps - The interest rate swap curve has shifted upward, with significant increases in long-term rates, indicating a growing market for interest rate swaps [7] - The average daily transaction volume for RMB interest rate swaps increased, with a total nominal principal amount of 12.2 trillion yuan in the third quarter [7]

Core Viewpoint - The company has approved a foreign exchange hedging business with a maximum scale of 100 million RMB or equivalent foreign currency over the next twelve months, which can be reused [1] Group 1: Business Overview - The foreign exchange hedging business will be limited to currencies that are the same as the main settlement currencies used in the company's operations [1] - The hedging activities include forward foreign exchange contracts, foreign exchange swaps, currency swaps, foreign exchange options, interest rate swaps, interest rate options, and related combination products [1] Group 2: Regulatory and Counterparty Information - The trading counterparties for the hedging activities will be commercial banks that have been approved by regulatory authorities and possess qualifications for foreign exchange hedging operations [1]

Core Viewpoint - The bond market is experiencing intensified fluctuations in Q4, contrasting with last year's bullish trend, leading to challenges in trading strategies [1][4]. Market Performance - As of September, the yield on bonds from various banks has risen above 1.8%, with specific yields recorded at 1.8093% for joint-stock banks, 1.8058% for city commercial banks, and 1.8437% for rural commercial banks, marking a significant increase from the previous month [1][2]. - The trading volume of bonds in September reached 146,366.88 billion yuan, with the overall yield averaging 1.9091% across different bank types [2][3]. Yield Trends - The ten-year government bond yield has been fluctuating, reaching 1.8591% by October 14, with predictions suggesting a range between 1.5% and 1.9% for the remainder of the year [2][4]. - The yields recorded in September are the second highest of the year, following March's figures, indicating a potential peak in bond yields [2][5]. Influencing Factors - Several factors are contributing to the bond market's volatility, including the stock-bond relationship, regulatory attitudes, and adjustments in value-added tax policies [2][4]. - The market sentiment has shifted towards a more balanced trading environment, with increased interest in long-term bonds as yields rise [4][5]. Strategic Adjustments - Banks are advised to enhance their trading capabilities while incorporating derivatives for hedging and adjusting their asset allocations to maintain a reasonable bond investment ratio [6]. - Investment strategies are focusing on identifying market trends and adjusting positions to optimize returns, with an emphasis on flexible trading strategies in a volatile environment [6].

Group 1 - The report addresses how to quantify current market implied interest rate cut expectations through interest rate swap pricing and floating rate bond spread analysis, aiming to fill gaps in traditional liquidity analysis [3] - The analysis identifies four stages of interest rate cut expectations evolution since 2024, indicating a significant reversal in market expectations compared to the beginning of the year [4] - Current market pricing does not reflect further easing potential and may even imply a marginal tightening of policy, suggesting that if a rate cut signal is released in Q4, it could create a significant positive impact on the bond market due to the existing low market consensus [4] Group 2 - The report highlights three marginal changes in institutional behavior following the breach of interest rates, indicating a shift in market dynamics [6] - Fund managers have significantly reduced their duration, with the median duration of long-term bond funds dropping to 2.8 years, and net purchases of ultra-long government bonds turning negative since early September [7] - Banks have been actively buying 10-year government bonds, acting as a buffer during the recent bond market correction, while the trading volume of certain bonds has shown a rapid adjustment [8]

Core Viewpoint - The bond market in 2025 is characterized by low volatility, which limits the profit potential of traditional trend-following strategies. Quantitative and neutral trading strategies are proposed as effective methods to enhance returns in this low-volatility environment [1][2]. Summary by Sections Current Market Conditions - As of early 2025, China's bond market is experiencing low yields and low volatility, prompting investment institutions to rethink their strategies to navigate this challenging environment [2][6]. - The bond market's volatility has significantly decreased, reaching levels below the 10th percentile since April 2025, influenced by factors such as U.S. tariffs and domestic liquidity conditions [2][6]. Causes of Low Volatility - The low volatility in the bond market is attributed to several factors: 1. **Liquidity Constraints**: The central bank's policies have maintained reasonable liquidity, keeping overnight repo rates around 1.4%, which has limited further declines in bond yields [6][7]. 2. **Economic Expectations**: Weak economic indicators and uncertainties surrounding U.S.-China trade relations have constrained the upward movement of bond yields, with the 10-year government bond yield mostly staying below 1.75% [6][7]. 3. **Supply and Demand Dynamics**: Increased government bond issuance has not significantly impacted the market due to ongoing liquidity support from the central bank [7]. 4. **Arbitrage Strategies**: The widespread use of neutral arbitrage strategies by investment institutions has helped stabilize the market and reduce irrational volatility [7]. Investment Strategies in Low Volatility Market - In response to the low volatility environment, two main strategies are recommended: 1. **Quantitative Strategies**: These strategies utilize historical data and mathematical models to identify trading opportunities. A volatility factor model has been developed, demonstrating predictive capabilities and profitability in low-volatility conditions [9][10][17]. 2. **Neutral Strategies**: These involve constructing both long and short positions to hedge market risks and capture stable returns. The application of classic neutral trading strategies, such as basis trading, term spread trading, and new/old bond spread trading, has shown potential for excess returns [17][18]. Performance of Quantitative Strategies - A quantitative strategy based on a volatility factor was tested, yielding a cumulative return of 26.17 basis points with a win rate of 62.33%, outperforming traditional single-direction strategies [14][22]. - The strategy's performance highlighted areas for improvement, such as enhancing sensitivity to directional signals and optimizing threshold parameters for better risk management [15][16]. Performance of Neutral Strategies - Classic neutral strategies have been effectively employed to exploit market inefficiencies, with examples demonstrating successful basis trading, term spread trading, and new/old bond spread trading [18][19][20][21]. - These strategies have proven to enhance absolute returns and improve the return on assets (ROA) in a low-volatility market [22]. Future Outlook - The bond market's low volatility phase is seen as a transitional period that necessitates a restructuring of investment strategies. The integration of quantitative and neutral strategies is emphasized as crucial for adapting to the new market norm [23]. - Investment institutions are encouraged to enhance their research capabilities and technological integration to better navigate the evolving market landscape [23].

Core Insights - The overall liquidity in the interbank market remained balanced in August 2025, with a decrease in trading volume and balances in the money market, while major repo rates declined [1][2] - The Shanghai Composite Index reached a nearly 10-year high, and the recovery of VAT on government bond interest income contributed to a decrease in bond issuance and trading [1][4] - Long-term bond yields continued to rise, with the yield curve steepening, and the interest rate swap curve shifted upward [1][6] Group 1: Liquidity and Market Operations - The central bank maintained a supportive liquidity stance, with significant net injections in the open market, totaling 446.6 billion yuan for the month [2] - The central bank's MLF and reverse repos saw substantial net injections, with MLF at 300 billion yuan and reverse repos at 300 billion yuan [2] - Major repo rates, including overnight repo rates, saw slight declines, with DR001 and R001 down to 1.35% and 1.40% respectively [2][3] Group 2: Bond Market Dynamics - In August, the interbank market issued bonds totaling 4.72 trillion yuan, a decrease of 10.8% month-on-month and 13% year-on-year [4] - The net financing from bonds was 1.87 trillion yuan, reflecting a month-on-month decrease of 18.7% and a year-on-year decrease of 19.2% [4] - The yields on long-term government bonds fluctuated, with the 10-year bond yield ranging from 1.69% to 1.85%, and the yield curve steepening [4][5] Group 3: Interest Rate Swaps and Trading Activity - The interest rate swap curve shifted upward, with significant increases in long-term swap rates, particularly for 5-year and 10-year swaps [6] - The average daily trading volume for RMB interest rate swaps decreased, with a total nominal principal of 4.1 trillion yuan, reflecting a 3% decline [6][7] - Standard bond futures and interest rate options also saw a decrease in daily trading volume, indicating reduced market activity [7]

Core Insights - The Chinese government is focusing on high-quality completion of the "14th Five-Year Plan" with significant achievements in the financial sector [1][2] - Financial supply-side structural reform is being emphasized, extending from the real economy to the financial sector [1][2] Group 1: Financial Sector Developments - The People's Bank of China is promoting financial supply-side structural reforms, enhancing the financial system's structure and collaboration [1] - There has been a notable shift from "channel-based" to "institutional" openness in the financial sector during the "14th Five-Year Plan" [2] - Key areas such as securities, funds, futures, and life insurance have seen the complete removal of foreign ownership limits [2] Group 2: International Financial Integration - Major international investment banks like JPMorgan, Goldman Sachs, Standard Chartered, and Société Générale have been approved to establish wholly-owned brokerages in China [2] - Global asset management giants such as Robeco and BlackRock have set up wholly-owned public funds in China [2] - The cross-border investment channels have been continuously expanded, starting from the Shanghai-Hong Kong Stock Connect to the Bond Connect and Swap Connect [2] Group 3: Risk Management and Financial Stability - The central bank has optimized the macro-prudential framework to prevent and mitigate systemic financial risks [2] - A targeted approach is being taken to address prominent risks in high-risk small and medium-sized financial institutions through market-oriented and legal measures [2] - The deposit insurance system is playing a crucial role in protecting the interests of depositors and small investors [2]

Core Insights - The report highlights the significant progress in China's financial market opening during the "14th Five-Year Plan" period, transitioning from market access to institutional opening [1][3] - The focus for the upcoming "15th Five-Year Plan" is on deepening interconnectivity and aligning rules with international standards [4][5] Group 1: Financial Market Developments - The average annual growth rate of entrusted assets in trust, wealth management, and insurance asset management reached 8% over the past five years, with total assets growing to 154 trillion yuan by the end of 2024, a year-on-year increase of 10.4% [3] - By the end of 2024, foreign ownership of A-shares is projected to be approximately 3.4 trillion yuan, accounting for 4.3% of the total market, an increase of 1.8 percentage points from the end of the "13th Five-Year Plan" [2] - The expansion of interconnectivity mechanisms, including the launch of the Bond Connect "southbound" channel and the integration of QFII and RQFII systems, has broadened cross-border investment channels [2] Group 2: Regulatory and Legal Framework - The "14th Five-Year Plan" has seen the implementation of significant institutional breakthroughs, including the substantial reduction of the negative list and the establishment of a national treatment framework for foreign investment [1][3] - The introduction of the Futures and Derivatives Law has filled legal gaps in the derivatives market, providing clear legal boundaries for foreign participation [2] Group 3: Future Directions - The "15th Five-Year Plan" aims to optimize interconnectivity mechanisms through three levels and nine initiatives, focusing on expanding product offerings and improving risk management tools [5][6] - There is a call for further reduction of restrictions on foreign financial institutions, including ownership structures and business scopes, to attract high-quality foreign entities [6] Group 4: Currency Internationalization - The internationalization of the renminbi and reforms in the exchange rate mechanism have made substantial progress, with the cross-border payment system covering 180 countries [7][9] - The renminbi's role in global trade settlement and cross-border investment is expected to grow, with initiatives like digital renminbi bonds being tested in Hong Kong [8][10] - Future efforts will focus on enhancing the renminbi's use in energy and commodity settlements, strengthening offshore renminbi centers, and promoting digital currency applications [10]

Core Insights - DR007, the 7-day repurchase rate in the interbank market, serves as a crucial indicator of market liquidity and has become a benchmark for loan rates, bond yields, and derivative pricing since its inception in 2014 [1] Group 1: Development of the Foreign Exchange Trading Center - The China Foreign Exchange Trading Center (CFETS) was established in 1994, marking the beginning of the market-oriented reform of interest rates in China [2] - CFETS has evolved into a vital infrastructure within the Chinese financial system, serving nearly 6000 institutions across over 70 countries and regions [2] - The interbank market has grown significantly, with a projected transaction volume of 261.7 trillion yuan in 2024, averaging over 10.5 trillion yuan daily [3] Group 2: Technological Advancements - The transition from manual trading to electronic trading systems has greatly enhanced market efficiency, with the latest systems capable of processing 100,000 transactions per second [3] Group 3: Bond Market and Foreign Participation - China's bond market, valued at 190 trillion yuan, ranks second globally and has attracted significant foreign investment, with over 1100 foreign institutions holding 4.23 trillion yuan in bonds [4] - The introduction of the "Northbound Trading" scheme in 2017 has streamlined access for foreign traders, allowing them to trade domestic bonds directly from Hong Kong [4][6] Group 4: Innovative Trading Mechanisms - CFETS has expanded its access mechanisms, including "Northbound Trading," "Southbound Trading," and "Swap Connect," to meet the liquidity management and risk hedging needs of foreign institutions [5] - The "Swap Connect" allows foreign investors to access the onshore interest rate swap market through familiar international electronic trading platforms, enhancing transaction efficiency [6]