证券研究报告：固定收益报告 近期研究报告 《从资管信托新规，看银行理财变局— — 机 构 行 为 专 题 二 20251120 》 - 2025.11.21 固收周报 政府债供给压力持续 ——2026 年展望系列三 发布时间：2025-11-24 研究所 ⚫ 2025 年政府债供给显著放量，发行节奏前置 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 研究助理:王一 SAC 登记编号:S1340125070001 Email:wangyi8@cnpsec.com 2025 年赤字率调增至 4%，政府债供给显著放量。结合发行计划 看，截至 11 月底，2025 年政府债累计发行约 24.08 万亿，净融资约 13.23 万亿。其中，国债累计发行 14.10 万亿，净融资 6.14 万亿，达 到全年发行进度的 93%；地方政府债累计发行 9.98 万亿，净融资 7.09 万亿,已完成全年进度的 97%。预计 12 月国债发行 1.92 万亿，净融资 4305 亿；地方债发行 3146 亿，净融资 1959 亿。测算 2025 年全年政 府 ...

截至11/23, 新增地方债发行进度为95.3% 2025 近2年均值 中信期货有限公司 CITIC Futures Company Limited 政府债发行追踪―2025年第47周 研究员: 程小庆 从业资格号 F3083989 投资咨询号 Z0018635 报告日期: 2025年11月24日 近2年均值 2025 800 600 400 200 0 -50 第1周 第5周 第9周 第13周 第17周 第21周 第25周 第29周 第33周 第37周 第41周 第45周 第49周 第53周 1.5 r 0.5 -0.5 第1周 第4周 第12周 第16周 第20周 第24周 第24周 第28周 第31周 第35周 第39周 第43周 第47周 第51周 本周地方债净融资规模为1263亿，环比减少1164亿 下周计划净融资3041亿 · 2025 - 2024 - 2023 2022 - 2021 6000 - 5000 4000 3000 2000 1000 I II I 0 H -500 第1周 第5周 第9周 第13周 第17周 第21周 第25周 第29周 第33周 第37周 第41周 第45周 第 ...

1. Report Industry Investment Rating No relevant information provided. 2. Core Views of the Report - The net financing of large - scale banks is a synchronous and slightly leading indicator of inter - bank liquidity. Affected by the tax period, the net financing amount of large - scale banks reached the "tight - loose watershed" of 3 trillion yuan. Currently, seasonal disturbance factors are magnified under the low core excess reserves, and the real test of narrow - sense liquidity may come in the first quarter of 2026 [1][3][11]. 3. Summary by Relevant Catalogs 3.1大行净融出金额"险守"3万亿 - Qualitatively, due to the central bank's primary dealer system in the open - market, there is a capital transmission chain in the inter - bank market. The net financing of large - scale banks is the main core of inter - bank market financing. Quantitatively, on November 21, the net financing balance of large - scale banks was about 4.1 trillion yuan, accounting for about 35.6% of the inter - bank market's bond balance to be repurchased [2][10]. - From November 17 to November 21, the net financing amount of large - scale banks first decreased and then increased, "barely holding" 3 trillion yuan. The capital market was first tight and then loose, and the repurchase rate first rose and then fell. After the tax period ended, it rebounded to 3.66 trillion yuan on November 21, and DR001 reached a maximum of 1.53% [3][11]. - The current seasonal disturbance factors are magnified under the low core excess reserves, but the market's expectation of liquidity remains relatively stable. The narrow - sense liquidity may face a real test in the first quarter of 2026 [3][11]. 3.2狭义流动性 3.2.1央行操作：税期加大逆回购净投放 - Short - term liquidity: From November 17 to November 21, the central bank's net reverse - repurchase injection was 554 billion yuan. As of November 21, the central bank's reverse - repurchase balance was 1676 billion yuan, at a relatively high level [12]. - Medium - term liquidity: In November, the maturity amount of repurchase - style reverse - repurchase was 1000 billion yuan, and MLF matured at 900 billion yuan. The central bank achieved a net injection of 500 billion yuan in repurchase - style reverse - repurchase [13]. 3.2.2机构融入融出情况：大行净融出先下后上 - Fund supply: On November 21, the net financing of large - scale banks was 3.7 trillion yuan, an increase of about 295.5 billion yuan compared with November 14. The net financing balance of money market funds decreased by about 191.2 billion yuan, and joint - stock banks' net borrowing decreased by about 165 billion yuan [16]. - Fund demand: On November 21, the balance of bonds to be repurchased in the inter - bank market was about 11.5 trillion yuan, an increase of 209 billion yuan compared with November 14. The market leverage ratio rose by 0.11 percentage points, and the leverage ratio of non - legal person products rose by 0.42 percentage points [23]. 3.2.3回购市场成交情况：量价皆稳 - Quantity and price of funds: In the past week, the volume and price of the inter - bank pledged - repurchase market were stable. The median daily trading volume decreased by 24.4 billion yuan, the median of R001 rose by 2bp, and the liquidity friction increased slightly [28]. - Fund sentiment index: The capital market was first tight and then loose. The sentiment index was generally above 50 during the tax period and began to decline after November 20 [29]. 3.2.4利率互换：基本持平 - FR007 IRS 1 - year interest rate and SHIBOR 3 - month IRS 1 - year interest rate were basically flat compared with last week. The median of FR007 IRS 1 - year was 1.54%, and the median of SHIBOR 3 - month IRS 1 - year was 1.59% [33]. 3.3政府债：未来一周政府债净缴款压力下降 3.3.1下周政府债净缴款 - In the past week, the net payment of government bonds was 362.9 billion yuan. In the next week, it is expected to be 233.7 billion yuan, with treasury bonds having a net repayment of 56.1 billion yuan and local bonds having a net payment of 289.8 billion yuan. The net payment pressure will be evenly distributed, and there will be a net repayment next Tuesday [34]. 3.3.2当前政府债发行进度 - As of November 14, the net financing progress of treasury bonds was 93.0%, and the issuance progress of new local bonds was 95.3%. The issuance of refinancing special bonds has completed the annual task [35]. 3.4同业存单：收益率窄幅震荡 3.4.1绝对收益率 - On November 21, most of the SHIBOR quotes and the yields of inter - bank certificates of deposit of commercial banks with AAA ratings remained unchanged, except for overnight, 7 - day, and 1 - month terms which decreased [40]. 3.4.2发行和存量情况 - From November 17 to November 21, the issuance volume of inter - bank certificates of deposit decreased by 176.4 billion yuan. In terms of issuance terms, the proportions of 1 - month and 1 - year terms increased, while those of 3 - month, 6 - month, and 9 - month terms decreased [42]. 3.4.3相对估值 - On November 21, the spreads between the 1 - year AAA - rated inter - bank certificate of deposit yield and R007, and between the 10 - year treasury bond yield and the 1 - year AAA - rated inter - bank certificate of deposit yield were 14bp and 18bp respectively, at certain quantile levels since 2020 [47][48].

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 ...

Core Viewpoint - The bond market is experiencing narrow fluctuations in interest rates, with increasing speculation about potential interest rate cuts and reserve requirement ratio reductions, yet the central bank's monetary policy remains steadfast without immediate changes [1][2]. Economic Data and Market Response - In early November, the first batch of fourth-quarter fundamental data was released, showing inflation exceeding expectations while other indicators, such as credit, fixed asset investment, and real estate sales, fell short [2]. - The central bank has communicated a cautious "loose monetary" signal, indicating that future funding conditions may be more optimistic than the market anticipates, despite downplaying the importance of total financial volume [2][3]. Interest Rate Trends - As of November 17, the interbank bond market showed mixed yield movements, with the 3-month government bond yield rising by 3 basis points to 1.38%, the 2-year yield stable around 1.43%, and the 10-year yield at approximately 1.81% [2]. - Analysts suggest that the bond market may need to adapt to a slower monetary policy response, with expectations for potential interest rate cuts in the future [3]. Future Monetary Policy Expectations - There is optimism among industry insiders regarding the possibility of interest rate cuts, particularly if upcoming economic indicators, such as the November PMI data, do not meet expectations [3][4]. - The central bank's emphasis on "cross-cycle adjustment" and the potential for further easing of monetary policy are seen as supportive of domestic economic recovery [4]. Investment Strategies - Short-term strategies in the bond market are likely to focus on yield spreads and the relative value of different bond types, with a preference for short-term securities due to their higher certainty compared to long-term bonds [5]. - Analysts recommend a "barbell strategy" for bond market positioning, balancing short-term safety with long-term trading opportunities to manage potential market volatility [5]. Year-End Market Dynamics - There is an expectation of profit-taking pressure as the year-end approaches, with institutions advised to maintain positions while being vigilant for signs of market adjustments [6]. - The bond market is characterized by low interest rates, low spreads, and low volatility, which may hinder active trading strategies [6].

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report From November 10 - 14, 2025, the central bank conducted net injections through short - term reverse repurchases. On November 17, an 800 - billion - yuan 6 - month买断式 reverse repurchase operation was carried out, with a net injection of 500 billion yuan for the month. From November 10 - 16, the net payment scale of government bonds increased, the yield to maturity of inter - bank certificates of deposit fluctuated within a narrow range, and the average leverage ratio of the inter - bank bond market decreased slightly. From November 17 - 23, the expected net payment of government bonds is 410.57 billion yuan, and the maturity scale of inter - bank certificates of deposit is about 907 billion yuan. On November 14, the median durations of medium - long - term and short - term interest - rate style pure bond funds decreased week - on - week by 0.55 years and 0.85 years respectively [2]. 3. Summary by Relevant Catalogs 3.1 Funds - **Fund Injections**: From November 10 - 14, the central bank's 7 - day reverse repurchase had a net injection of 62.62 billion yuan. On November 17, an 800 - billion - yuan 6 - month买断式 reverse repurchase was conducted, with a net injection of 500 billion yuan for the month. The 12 - billion - yuan treasury cash fixed - term deposit will mature on November 20. The central bank's injection pattern is stable, which helps stabilize the market's expectation of the funds [6]. - **Fund Fluctuations and Interest Rate Changes**: From November 10 - 14, the average values of DR001 and R001 were 1.42% and 1.47% respectively, up 10.3 and 10.0 basis points compared to November 3 - 7. The average values of DR007 and R007 were 1.49% and 1.50% respectively, up 6.5 and 4.1 basis points compared to November 3 - 7. Tax payment and large - scale net payment of government bonds will affect liquidity [7]. - **Government Bond Net Payment**: From November 10 - 16, the net payment of government bonds was about 424.8 billion yuan, an increase of about 388 billion yuan compared to November 3 - 9. From November 17 - 23, the expected net payment is 410.57 billion yuan [2][7]. 3.2 Inter - bank Certificates of Deposit - **Yield Fluctuations**: As of November 14, 2025, the yields to maturity of 1 - month and 3 - month inter - bank certificates of deposit were 1.4950% and 1.5750% respectively, up 2.0 and 1.5 basis points compared to November 7. The yield to maturity of 1 - year inter - bank certificates of deposit was 1.6350%, up 0.5 basis points compared to November 7 [8]. - **Net Financing and Maturity Pressure**: From November 10 - 16, the net financing of inter - bank certificates of deposit was about - 4.16 billion yuan. From November 17 - 23, the expected maturity repayment is 907 billion yuan, with increased pressure on renewal [8]. 3.3 Institutional Behavior - **Leverage Ratio of the Inter - bank Bond Market**: From November 10 - 14, the average leverage ratio of the inter - bank bond market was 107.26%, lower than the 107.73% in the period from November 3 - 7 [9]. - **Duration Changes of Bond Funds**: On November 14, the median duration (MA5) of medium - long - term interest - rate style pure bond funds was 4.83 years, down 0.55 years week - on - week, at the 90.8% quantile since early 2022. The median duration (MA5) of short - term interest - rate style pure bond funds was 1.83 years, down 0.85 years week - on - week, at the 54.8% quantile since early 2022 [9].

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: Market Overview - The funding market experienced significant upward pressure on interest rates, with R001 and R007 averaging 1.47% and 1.50% respectively, increasing by 10 and 4 basis points week-on-week[1] - The average daily lending volume in the banking system dropped to below 4 trillion yuan, at 3.84 trillion yuan, down from 4.69 trillion yuan the previous week[1] - The pressure on local government bond payments increased, with weekly payment amounts exceeding 500 billion yuan[1] Group 2: Future Outlook - The tax period from November 17-19 is expected to have limited impact, with an average tax collection of approximately 1.1 trillion yuan over the past three years[2] - Government bond net payments for the upcoming week are projected at 3629 billion yuan, still above the average level for the year[2] - The People's Bank of China (PBOC) is expected to conduct a net injection of 500 billion yuan during the tax period, mitigating overall payment pressure[2] Group 3: Open Market Operations - The PBOC will face a total of 12,420 billion yuan in maturities from November 17-21, with reverse repos accounting for 11,220 billion yuan[3] - The PBOC has announced an excess rollover of 8000 billion yuan in 6-month reverse repos on the first day of the tax period[3] Group 4: Interbank Certificate of Deposit Market - The weighted issuance rate for interbank certificates of deposit rose to 1.63%, an increase of 0.4 basis points from the previous week[6] - The upcoming week will see 9209 billion yuan in certificates of deposit maturing, up from 7265 billion yuan the previous week[6] Group 5: Government Bonds - Net payments for government bonds from November 17-21 are expected to be 3629 billion yuan, down from 5075 billion yuan the previous week[5] - The issuance scale for government bonds is projected to be lower, with planned issuance of 3717 billion yuan compared to 5944 billion yuan the previous week[5]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In recent years, the mismatch between the duration of banks' assets and liabilities has intensified, with the duration of the asset side lengthening and that of the liability side shortening. This has put pressure on some liquidity indicators and constrained banks' asset allocation behavior. The increase in long - term bond holdings has also increased the pressure on interest rate risk indicators. The report analyzes the current indicator constraints on banks' bond allocation and the prospects of these indicator pressures [1]. 3. Summary by Related Catalogs 3.1 Liability - side Duration Reduction and Asset - side Duration Extension - **Net Interest Margin Pressure**: Since 2022, the net interest margin of commercial banks has continued to decline, from 2.08% at the end of December 2021 to 1.42% at the end of June 2025, compressing banks' profit margins [9]. - **Liability - side Duration Reduction**: - **Deposit**: Since 2023, the duration of new deposits has significantly shortened. High - cost, long - term deposits have been significantly reduced due to the expiration of high - interest fixed deposits in 2025 - 2026 and the suspension of "manual interest compensation" in 2024. Banks tend to guide customers to transfer to short - term deposits, and customers are less attracted to long - term deposits. New deposits are concentrated within 1 year [10]. - **Inter - bank Liabilities**: In 2025, banks mostly reduced the issuance of 9M and 1Y certificates of deposit (CDs) and increased the issuance of 3M and 6M CDs [15]. - **Asset - side Duration Extension**: Since 2019, the loan growth rate of listed banks has continued to decline, and financial investment has become an important alternative asset on the asset side. Bond investment is a major part of financial investment, with government bonds accounting for a relatively high proportion. From 2023 - 2025, the average duration of local government bonds has lengthened from 12.39 years to 15.62 years, and it is expected that the duration of the asset side of national and joint - stock banks will lengthen [17]. 3.2 What Indicator Constraints Do Banks Face in Bond Allocation? 3.2.1 Liquidity Risk: Low NSFR Index for Joint - stock Banks - **Liquidity Regulatory Indicators**: Chinese banks need to meet five liquidity regulatory indicators, including LMR, LR, NSFR, LCR, and HQLAAR. The report mainly analyzes LR, NSFR, and LCR. In mid - 2025, the LR and LCR of listed banks generally had sufficient safety margins, while the NSFR safety cushions of joint - stock banks (except China Merchants Bank) and some city commercial banks were relatively thin [3][22]. - **Reasons for Low NSFR in Joint - stock Banks**: The core reason lies in the liability side. Retail deposits are not advantageous, the proportion of inter - bank liabilities is high, and deposits tend to be short - term. This leads to a low Available Stable Funds (ASF) [41]. - **Measures to Deal with NSFR Pressure**: - **Increase the Numerator**: In October, joint - stock banks significantly increased the issuance of 1Y CDs. The net financing of joint - stock bank CDs in October reached 62.44 billion yuan, and the issuance scale of 1Y CDs was significantly increased [45]. - **Reduce the Denominator**: From January to September this year, joint - stock banks basically maintained a monthly net reduction of CDs and increased the allocation of interest - rate bonds, which is conducive to reducing the Required Stable Funds (RSF) and improving the NSFR [48]. 3.2.2 Interest Rate Risk: The ΔEVE/First - tier Capital of Some State - owned Banks Approaches the Upper Limit - **Regulatory Requirements**: According to the "Administrative Measures for the Interest Rate Risk of Commercial Banks' Banking Books (Revised)", when the economic value change of state - owned large commercial banks exceeds 15% of their first - tier capital, the banking regulatory authority should pay attention and conduct follow - up evaluations [53]. - **Interest Rate Risk of Banking Books**: In 2024, under six standardized interest rate shock scenarios, the maximum economic value change losses of Agricultural Bank of China (- 14.31%), Industrial and Commercial Bank of China (- 14.71%), and China Construction Bank (- 14.73%) as a percentage of their first - tier capital were close to - 15%. This has objectively constrained bond - allocation behavior and will affect the volume and duration of state - owned banks' bond investments [55].

Report Summary Report Title - Government Bond Issuance Tracking - Week 44, 2025 [2] Report Date - November 3, 2025 [3] Key Points 1. New Special Bond Issuance - As of November 2, the issuance progress of new special bonds was 90.1%. This week, 154.9 billion yuan of new special bonds were issued, a week - on - week increase of 42.5 billion yuan. Next week, 45.2 billion yuan is planned to be issued [4] 2. New General Bond Issuance - As of November 2, the issuance progress of new general bonds was 86.3%. This week, 17 billion yuan of new general bonds were issued, a week - on - week increase of 15.7 billion yuan. Next week, the planned issuance is 0 billion yuan [6] 3. Local Bond Net Financing - This week, the net financing scale of local bonds was 175.7 billion yuan, a week - on - week increase of 9.9 billion yuan. Next week, the planned net financing scale is - 36 billion yuan. As of November 2, the issuance progress of new local bonds was 89.5% [9] 4. Treasury Bond Net Financing - This week, the net financing scale of treasury bonds was 0 billion yuan, a week - on - week decrease of 23.6 billion yuan. Next week, the planned net financing scale is 150.4 billion yuan. As of November 2, the net financing progress of treasury bonds was 84.0% [12][19] 5. Government Bond Net Financing - This week, the net financing of government bonds was 175.7 billion yuan, a week - on - week decrease of 13.6 billion yuan. Next week, the planned net financing scale is 114.5 billion yuan. As of November 2, the progress of treasury bond net financing plus new local bond issuance was 86.4% [15] 6. October Cumulative Issuance - As of October 31, the cumulative issuance of new special bonds in October was 287.4 billion yuan, and the cumulative issuance of new general bonds in October was 18.3 billion yuan [5]