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].

Core Viewpoint - The article discusses the recent fluctuations in the stock market and bond yields, highlighting the impact of central bank operations and market sentiment on financial conditions [2][4]. Group 1: Market Overview - The stock market experienced a rise in the morning, with the Shanghai Composite Index reaching 3700 points, but later fell to close at 3666.44, down from a high of 3688.63 [4][5]. - The bond market showed stability in sentiment, with the 10-year government bond yield slightly decreasing to 1.715% before rising again to 1.732% by the end of the trading day [4][5]. - The central bank conducted a 128.7 billion yuan reverse repurchase operation, with a net withdrawal of 32 billion yuan due to 160.7 billion yuan of reverse repos maturing [2][3]. Group 2: Interest Rates and Funding Conditions - The funding conditions showed a slight tightening, with the DR001 rate around 1.32% and DR007 at approximately 1.44% [2]. - The weighted average rates for various repo codes were reported, with R001 at 1.35% and R007 at 1.47%, indicating stable rates over the past 30 days [3]. - The central bank announced a fixed quantity, interest rate tender for a 500 billion yuan buyout reverse repo operation set for August 15, 2025, with a term of 6 months [2][4].

Report Investment Rating No investment rating information is provided in the report. Core Viewpoints - In the next week, funds will cross the month, but the central bank is expected to maintain net injections, potentially reducing the pressure on fund fluctuations. If the central bank provides sufficient support, there is a high probability of a smooth transition across the month, with DR001 likely to fluctuate between 1.35% - 1.55% [1][2]. - In the past week, funds experienced significant frictions due to factors such as the equity market absorbing inter - bank liquidity, large net government bond payments, and the central bank's continuous net withdrawals after the tax period. The tightening of funds was mainly driven by pressures within the banking system [2]. - The maturity pressure of certificates of deposit (CDs) will significantly decrease in the next week, with a maturity scale of only 37.67 billion yuan. If the pressure on the funds eases, CD rates may slightly decline when crossing the month [2]. - In the past week, funds sold off bonds across all varieties, with a rapid shift in sentiment. However, the willingness of allocation - oriented investors such as banks, insurance companies, and wealth management firms to absorb bonds is not weak, suggesting that the current market adjustment may present investment opportunities [3]. Summary by Directory 1 Liquidity Tracking 1.1 Central Bank Operations - In the past week (7/21 - 7/25), the central bank's open - market operations resulted in a net liquidity injection of 10.95 billion yuan, including 20 billion yuan in long - term liquidity and a net withdrawal of 9.05 billion yuan in short - term liquidity. As of 7/25, the central bank's reverse repurchase balance was 1.66 trillion yuan, slightly higher than the seasonal average [10]. - In the next week (7/28 - 8/1), 1.66 trillion yuan of reverse repurchases will mature. Considering the month - end period, the central bank may maintain a small net injection [10]. - In July, the central bank injected a total of 30 billion yuan in long - term liquidity, including 10 billion yuan in net MLF injections and 10 billion yuan each in 3M and 6M outright reverse repurchases [11]. 1.2 Government Bond Issuance - In the past week, the expected net government bond payment was 27.1 billion yuan, with treasury bonds contributing 1.07 billion yuan and local government bonds 26.02 billion yuan. In the next week, the expected net payment is 28.76 billion yuan, with a smaller overall pressure. Treasury bond net payment is expected to be - 2 billion yuan, while local government bonds will contribute 30.76 billion yuan. The net payment pressure will be higher on Tuesday, with a single - day net payment of 12.67 billion yuan [13]. 1.3 Bill Market - In the past week, bill rates declined significantly. As of 7/25, the 3M direct and transfer discount rates for national - owned banks were 1.25% and 1.10% respectively, down from 1.30% and 1.23% on 7/18. The 6M rates were 0.79% and 0.72% respectively, down from 0.87% and 0.81% on 7/18. Currently, bill rates are still significantly weaker than the seasonal average, indicating slow credit demand recovery [22]. 1.4 Fund Review - In the past week, fund fluctuations increased significantly, with daily frictions intensifying. After the tax period, the central bank continuously withdrew funds. Although the funds were relatively loose on Monday and Tuesday, with DR001 closing at 1.3144% on Tuesday, the situation fluctuated rapidly from Wednesday to Friday. The fund sentiment index reached a maximum of 58 on Thursday morning and 57 on Friday morning, but funds eased significantly in the late afternoon on Thursday and after 10 am on Friday [24]. - Inter - bank fund price fluctuations were larger than those in the exchange market, and the 7 - day fund price fluctuations were greater than overnight. On 7/25, DR001 rose 6.08bps to 1.52%, DR007 rose 14.56bps to 1.65%, R001 rose 6.41bps to 1.55%, and R007 rose 18.65bps to 1.69% [29]. - The term spread widened, and the market spread narrowed. Compared to 7/18, on 7/25, the R007 - R001 spread rose 12.24bps to 14.15bps, the R007 - DR007 spread rose 4.09bps to 4.14bps, and the GC007 - R007 spread fell 4.45bps to - 5.67bps [30]. - The proportion of overnight fund transactions in the inter - bank market decreased significantly as the month - end approached. The net lending of the banking system decreased significantly, with large banks experiencing the most significant decline. The net borrowing demand of core non - bank institutions also decreased significantly, while the net lending of core non - bank net lenders increased [35][38]. 1.5 Certificates of Deposit - In the past week (7/21 - 7/27), the total issuance of CDs was 51.67 billion yuan, with a net financing of - 55.98 billion yuan. The net financing scale declined significantly. As of 7/27, the cumulative net financing of CDs for the year was 1.32 trillion yuan [50]. - The issuance scale of CDs by different entities in the past week ranked as follows: city commercial banks (17.48 billion yuan)> state - owned banks (16.38 billion yuan)> joint - stock banks (12.92 billion yuan)> rural commercial banks (4.15 billion yuan). The weighted issuance term of CDs decreased to 0.61 years from 0.69 years last week [50]. - The issuance rates of CDs for national - owned and joint - stock banks increased across all tenors. The secondary - market CD yields also adjusted significantly. On 7/25, the 1 - year AAA CD yield rose 5.75bps to 1.6750% compared to 7/18 [53]. - In the next four weeks, the CD maturities will be 37.67 billion yuan (7/23 - 8/3), 59.82 billion yuan (8/4 - 8/10), 90.71 billion yuan (8/11 - 8/17), and 79.47 billion yuan (8/18 - 8/24) respectively, indicating controllable maturity pressure. In the next week, the maturity pressure will be higher on Tuesday and Wednesday [55]. 2 Institutional Behavior Tracking 2.1 Secondary Market Transactions - Large banks slightly increased their purchases of short - term treasury bonds. In the past week, funds net sold 20.76 billion yuan of interest - rate bonds, while rural commercial banks net bought 25.73 billion yuan of interest - rate bonds [60]. - Wealth management subsidiaries and other products were the main buyers of CDs, while city commercial banks, rural commercial banks, funds, and securities firms were the main sellers [60]. - Funds quickly switched from buying to selling credit bonds, while the buying power of other institutions such as wealth management firms remained relatively stable. Insurance companies were the main buyers of credit bonds with a maturity of over 5 years [60]. - Funds' net selling of secondary - tier bonds also increased rapidly. For secondary - tier bonds with a maturity of less than 2 years, funds switched to large - scale net selling on Friday, with a net selling of 370 million yuan in the past week. For 2 - 5 - year secondary - tier bonds, funds' demand also declined significantly [60]. 2.2 Institutional Duration - The median duration of medium - and long - term bond funds fluctuated. On 7/25, the 10 - day moving average of the median duration was 4.18 years, slightly higher than 4.13 years on 7/18, but it declined significantly on Friday [62]. - The trading duration of general credit bonds decreased, while that of secondary - tier bonds increased. On 7/25, the 5 - day moving average of the trading duration of urban investment bonds decreased to 2.43 years, and that of industrial bonds decreased to 3.51 years, while the trading duration of secondary - tier bonds increased to 3.16 years [66]. 2.3 Institutional Leverage - The bond market leverage ratio was estimated to be 107.16% in the past week, basically unchanged from last week's 107.04% [68].