内容提要 2026年1月，货币市场日均交易量及余额均增加，主要回购利率走势分化，大型商业银行日均净融出余额增加；债券发行及交易环比均增加，债市收益率多 数下行，曲线形态稳定，信用利差收窄；利率互换曲线小幅上移，成交环比增加。 一、货币市场日均交易量及余额均增加，主要回购利率走势分化，大型商业银行日均净融出余额增加 （一）货币市场日均交易量环比增加 1月，货币市场成交总量为180.6万亿元（环比减少6.7%），日均成交8.6万亿元（环比增加2.2%）。 表1 货币市场成交情况 | 市场类型 | 成交金额 | 日均成交 | 环比 | 同比 | | --- | --- | --- | --- | --- | | | (亿元) | (亿元) | (%) | (%) | | 质押式回购 | 1699667 | 80937 | 1. 70% | 40. 70% | | 买断式回购 | 7437 | 354 | 7.00% | 21. 10% | | 信用拆借 | 98751 | 4702 | 10. 50% | 75. 60% | | 合计 | 1805855 | 85993 | 2. 20% | chi42. 20% ...

Group 1 - The company plans to use part of its idle self-owned funds for cash management, with an investment amount not exceeding RMB 650 million, to improve fund efficiency and increase investment returns [2][3][5] - The investment will be limited to low-risk products, including structured deposits and government bonds, ensuring no related party transactions with financial institutions [3][4] - The board of directors approved the cash management proposal on December 29, 2025, confirming that it will not affect the company's normal operational funding needs [5][22] Group 2 - The company will also use part of its temporarily idle raised funds for cash management, with an investment limit of RMB 60 million, ensuring it does not impact the progress of investment projects or normal operations [10][12][15] - The cash management products will be high in safety and liquidity, with a maximum investment period of 12 months [14][15] - The board authorized the chairman or designated individuals to make investment decisions and sign relevant contracts, with the finance department responsible for implementation [16][22]

Report Summary 1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core View of the Report This week (December 15 - December 19), the money market rates were divided. The average daily lending of large - scale banks increased month - on - month, and funds slightly increased leverage. The maturity of certificates of deposit (CDs) increased, and the yield curve of CD maturities shifted downward. In terms of spot bond transactions, the main buyers were large - scale banks, mainly increasing their holdings of interest - rate bonds within 3 years and 5 - 10 years. The net buying volume of funds decreased, mainly increasing their holdings of short - term credit bonds. Large - scale insurance companies continued to increase their allocation of ultra - long - term interest - rate bonds of 20 - 30 years, and rural commercial banks mainly sold interest - rate bonds [4]. 3. Summary by Relevant Catalogs 3.1 Money Market - **Open market operations**: There were 668.5 billion yuan of reverse repurchases due this week. The central bank cumulatively injected 657.5 billion yuan of reverse repurchases, and conducted a 60 - billion - yuan outright reverse repurchase on Monday and had a 40 - billion - yuan outright reverse repurchase due on Tuesday. The net liquidity injection for the whole week was 189 billion yuan. Next Thursday, 300 billion yuan of MLF will mature [7][10]. - **Funds price**: As of December 19, R001, R007, DR001, and DR007 were 1.35%, 1.52%, 1.27%, and 1.44% respectively, changing by 0.44BP, 0.73BP, - 0.41BP, and - 2.78BP compared with December 12, and were at the 15%, 9%, 10%, and 3% historical quantiles respectively [12]. - **Large - scale banks' lending**: From December 15 to December 19, the total lending scale of large - scale banks was 22.81 trillion yuan, with a daily maximum lending scale of 4.7 trillion yuan and an average daily lending scale of 4.6 trillion yuan, an increase of 0.17 trillion yuan compared with the previous week's daily average [7][17]. - **Pledged repurchase transactions**: The average daily trading volume was 8.48 trillion yuan, with a daily maximum of 8.63 trillion yuan, a 5% increase compared with the previous week's daily average. The proportion of overnight repurchase transactions increased, with an average daily proportion of 90.0%, a daily maximum of 90.3%, an increase of 0.57 percentage points compared with the previous week's daily average, and as of December 19, it was at the 93.1% quantile [7][19]. 3.2 Certificates of Deposit and Bills - **CD issuance and financing**: The total CD issuance this week was 993.19 billion yuan, an increase of 52.6 billion yuan compared with the previous week. The total maturity was 1062.9 billion yuan, an increase of 450 million yuan compared with the previous week. The net financing was - 69.7 billion yuan, an increase of 51.8 billion yuan compared with the previous week [7][22]. - **By bank type**: State - owned banks had the highest issuance scale. The issuance scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks changed by 103.75 billion yuan, 7.81 billion yuan, - 69.44 billion yuan, and - 1.64 billion yuan respectively compared with the previous week [22]. - **By maturity type**: The 3 - month CD had the highest issuance scale. The issuance scales of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year CDs changed by - 30.68 billion yuan, 77.06 billion yuan, - 77.38 billion yuan, 55.07 billion yuan, and 28.19 billion yuan respectively compared with the previous week. The 3 - month CD accounted for the highest proportion (33.64%) of the total issuance of CDs by different types of banks, mainly issued by city commercial banks; the 6 - month CD accounted for 32.61%, mainly issued by state - owned banks [22]. - **CD maturity and yield**: The CD maturity this week increased to 1062.9 billion yuan, an increase of 450 million yuan compared with the previous week. Next week (December 22 - December 26), 882.2 billion yuan of CDs will mature. The yield curve of CD maturities shifted downward. As of December 19, the yields of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year CDs rated AAA changed by - 0.25BP, - 2BP, - 2.5BP, - 1.75BP, and - 2.5BP respectively compared with December 12 [7][26][34]. - **Bill rates**: As of December 19, the 3 - month direct discount rate, 3 - month transfer discount rate, 6 - month direct discount rate, and 6 - month transfer discount rate of state - owned and joint - stock banks were 0.66%, 0.5%, 0.91%, and 0.95% respectively, changing by 3BP, 4BP, 7BP, and 0BP respectively compared with December 12 [7][36]. 3.3 Institutional Behavior Tracking - **Leverage ratio**: The inter - bank leverage ratio in the bond market increased by 0.21 percentage points to 106.89% as of December 19 compared with December 12, at the 52.7% historical quantile since 2021. The leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.5%, 184%, 133.8%, and 104.6% respectively, changing by 0.04BP, 0.46BP, 1.68BP, and 0.01BP respectively compared with December 12, and as of December 19, they were at the 30%, 1%, 95%, and 15% historical quantiles respectively [40][41]. - **Net buying duration**: The central value of the net buying duration of funds rebounded. As of December 19, the weighted average net buying duration of funds (MA = 10) was - 0.75 years, an increase from - 3.52 years on December 12, at the 18% historical quantile. The weighted average net buying duration of wealth management products (MA = 10) was 5.53 years, showing an increase compared with December 19, at the 99% historical quantile. The weighted average net buying duration of rural commercial banks (MA = 10) was - 1.38 years, turning negative compared with December 12, at the 26% historical quantile. The weighted average net buying duration of insurance companies (MA = 10) was 14.39 years, an increase compared with December 12, at the 97% historical quantile [7][43]. - **Duration of pure - bond funds**: As of December 19, the duration of medium - and long - term pure - bond funds increased by 0.03 years to 3.58 years compared with December 12, at the 51% historical quantile since this year. The duration of short - term pure - bond funds increased by 0.09 years to 1.91 years compared with December 12, at the 99% historical quantile since this year [45].

Report Industry Investment Rating No information about the industry investment rating is provided in the report. Core Viewpoints - The central bank's current policy attitude is similar to that in Q4 2023, with a reduced desire to promote the growth of M2 and social financing. However, the current situation is due to the decline in government bond net financing, and the central bank has no intention to tighten liquidity actively but lacks the willingness to relax it. With the approaching of year - end important meetings, the policy's demand for stable growth may become clearer, and attention should be paid to whether the monetary policy attitude will change [24]. - The funds rate center this week was higher than expected. If the central bank's policy framework remains unchanged, the funds price may loosen marginally at the end of November and next week [28][49]. - The market's attention to the winning bid rate of the repurchase - type reverse repurchase has increased. The central bank may not intentionally raise the winning bid rate, but a significant decline may still require a policy rate cut [20][21]. Summary by Relevant Catalogs I. Money Market 1.1 This Week's Funds Review - The central bank's 7 - day reverse repurchase had a net injection of 554 billion yuan this week, and an 80 - billion - yuan 6 - month repurchase - type reverse repurchase operation was carried out on Monday. The monthly net injection of the repurchase - type reverse repurchase increased by 100 billion yuan to 500 billion yuan compared with October. Affected by tax payments and government bond payments, the funds tightened in the first half of the week and then loosened. DR001 reached 1.53% at one point and fell to 1.32% on Friday [3][7]. - The trading volume of pledged repurchase first decreased and then increased, with the average daily trading volume decreasing by 0.15 trillion yuan to 7.29 trillion yuan compared with last week. The net lending of large - scale banks first decreased and then increased, returning to 4 trillion yuan on Friday. The net lending of joint - stock banks and city commercial banks increased after Tuesday, but the net lending of joint - stock banks decreased again on Friday. The new - caliber funds gap index reached - 398 on Tuesday and then fell to - 4117 on Friday, lower than - 1918 last Friday [14]. - As of Friday, the cross - month progress of inter - bank institutions was at the lowest level in recent years, and the cross - month progress of the exchange was only higher than that in 2024. The overall cross - month progress of the market was 9.6%, 4.4 percentage points lower than the average from 2020 - 2024 [18]. - After the "Financial Times" mentioned "fund idling", the market's attention to the winning bid rate of the repurchase - type reverse repurchase increased. The 6 - month repurchase - type reverse repurchase injection in November reached 800 billion yuan, with a net injection of 500 billion yuan, reflecting the central bank's intention to maintain sufficient liquidity. However, due to the large maturity of certificates of deposit and banks' high demand for medium - term liquidity across the Spring Festival, the winning bid rate may be affected. The central bank may not intentionally raise the winning bid rate, but a significant decline may require a policy rate cut [20][21]. 1.2 Next Week's Funds Outlook - The expected government bond payment scale next week is 557.3 billion yuan, with a net payment of 308.8 billion yuan, a decrease from this week. It is estimated that the government bond issuance scale in November is 1.94 trillion yuan, with a net financing of 1.25 trillion yuan, an increase of about 720 billion yuan compared with October. It is estimated that the government bond issuance scale in December is about 2.28 trillion yuan, with a net financing of about 670 billion yuan [31][38][40]. - The maturity scale of the 7 - day reverse repurchase next week will increase from 1.122 trillion yuan to 1.676 trillion yuan, and there will also be a 900 - billion - yuan MLF maturity on Tuesday. Although the increase in reverse repurchase maturity, government bond payment pressure, and institutions' cross - month funds demand may disturb the funds, the central bank's MLF is expected to be renewed in excess, and the year - end fiscal expenditure may hedge the impact. If the central bank's policy framework remains unchanged, the funds rate may decline next week [49]. II. Inter - bank Certificates of Deposit - The 1 - year Shibor rate remained unchanged at 1.65% this week. The net repayment scale of inter - bank certificates of deposit increased by 36.97 billion yuan to 38.71 billion yuan compared with last week. The net financing scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were - 195.9 billion yuan, - 162.7 billion yuan, - 26.7 billion yuan, and - 13.7 billion yuan respectively. The issuance proportion of 1 - year certificates of deposit increased to 39%. The maturity scale of certificates of deposit next week is about 775.2 billion yuan, a decrease of 145.8 billion yuan compared with this week [50][52]. - The issuance success rates of rural commercial banks, joint - stock banks, and city commercial banks decreased compared with last week, while that of state - owned banks increased. The issuance spread between city commercial banks and joint - stock banks for 1 - year certificates of deposit narrowed. Affected by the increased funds fluctuations, fund companies tended to reduce their holdings of certificates of deposit, the willingness of money market funds to increase their holdings declined significantly, the demand of wealth management products and other products was relatively stable, and joint - stock banks tended to increase their holdings. The relative strength index of supply and demand for certificates of deposit continued to decline, falling by 4.1 percentage points to 37.7% on Friday, still in a relatively strong range. The supply - demand index of 6 - month certificates of deposit increased, while that of other maturities decreased slightly [53][65]. III. Bill Market - The bill rate continued to rise after Tuesday this week. The 3 - month and 6 - month national bill rates increased by 18BP and 14BP respectively compared with November 14th, reaching 0.58% and 0.77% [70]. IV. Bond Trading Sentiment Tracking - The bond market continued to fluctuate narrowly this week, and the credit and secondary - tier perpetual bond spreads were relatively stable. The willingness of large - scale banks to increase their bond holdings decreased slightly, mainly due to the significant weakening of the willingness to increase their holdings of certificates of deposit, a slight decrease in the willingness to increase their holdings of short - term treasury bonds, and an increase in the willingness to reduce their holdings of medium - term notes. Trading - type institutions' willingness to increase their bond holdings increased slightly, while allocation - type institutions' willingness to increase their bond holdings decreased [73].

Core Insights - The central bank's data indicates that the interbank RMB market achieved a total transaction volume of 16.01 trillion yuan in the first three quarters, with an average daily transaction of 855.6 billion yuan, reflecting a year-on-year increase of 2.2% [1] Transaction Breakdown - The average daily transaction volume for interbank lending decreased by 14.5% year-on-year [1] - The average daily transaction volume for cash bonds increased by 1% year-on-year [1] - The average daily transaction volume for pledged repos increased by 3.5% year-on-year [1] Interest Rates - The weighted average interest rate for interbank lending in September was 1.45%, which is 0.05 percentage points higher than the previous month but 0.33 percentage points lower than the same period last year [1] - The weighted average interest rate for pledged repos in September was 1.46%, also 0.05 percentage points higher than the previous month and 0.37 percentage points lower than the same period last year [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The adjustment of the 14 - day reverse repurchase tender method is beneficial for the decline of cross - quarter funds prices. The current institution's cross - quarter progress is slow, and the central bank's adjustment shows its intention to support cross - quarter liquidity, which helps to stabilize the cross - quarter funds price. Although this week's funds were tightened due to multiple factors, it cannot be inferred that the central bank's attitude has changed. Next week, the overall liquidity pressure is expected to ease marginally [3][26][29]. 3. Summary According to the Directory 3.1 Money Market 3.1.1 This Week's Funds Review - The central bank's OMO had a net injection of 5623 billion yuan this week, and a 6000 - billion - yuan 6M outright reverse repurchase was carried out on Monday, with a monthly net injection of 3000 billion yuan. A 1500 - billion - yuan 1M treasury cash fixed - deposit operation was conducted on Wednesday, with a winning bid rate of 1.78%, the same as the previous value. Affected by factors such as the tax period and government bond payments, funds were marginally tightened. DR001 once rose to 1.51% on Thursday and only eased significantly on Friday [3][8]. - The trading volume of pledged repurchase fluctuated and declined this week, with the average daily trading volume decreasing by 0.33 trillion yuan to 7.16 trillion yuan. The net lending of large banks decreased in the first half of the week and rebounded above 4 trillion yuan in the second half. The net lending of city commercial banks and joint - stock banks decreased on Monday and recovered in the middle of the week but declined again on Friday. The net lending of non - banks increased significantly on Wednesday and then decreased slightly, while the net borrowing of non - banks increased in the second half of the week. The funds gap index first rose and then fell [3][16]. - The September cross - quarter progress of inter - bank institutions and exchanges was slow, with the overall market cross - quarter progress at the lowest level in recent years. The excess reserve ratio in August decreased by 0.1 pct to 1.1%, lower than the expected 1.4%, mainly due to the unexpected increase of 3370 billion yuan in government deposits [3][20][22]. - This week, funds tightened marginally due to multiple exogenous disturbances, especially the freezing of 8512 billion yuan by the new stock Jinhuaxincai on the Beijing Stock Exchange, which caused a significant increase in GC001 on Tuesday and Wednesday. However, funds eased on Friday, and the average values of DR001 and DR007 since September were 1.39% and 1.48% respectively, similar to those since Q3, so it cannot be inferred that the central bank's attitude has changed [3][26]. 3.1.2 Next Week's Funds Outlook - Next week, the treasury bond payment scale is expected to be 3320 billion yuan, and the local bond issuance scale of 12 regions is 1961 billion yuan, with an actual payment scale of 2422 billion yuan. The net payment scale of government bonds will decrease from 4030 billion yuan this week to 908 billion yuan, but the single - day net payment on Monday will reach 2525 billion yuan [3][33]. - The report maintains the assumption that the treasury bond issuance in September is 1.49 trillion yuan with a net financing of about 7300 billion yuan, and the local bond issuance is 9000 billion yuan with a net financing of 4900 billion yuan. It is estimated that the government bond issuance scale in September is about 2.39 trillion yuan, with a net financing scale of about 1.22 trillion yuan [3][41]. - It is estimated that the treasury bond issuance scale in October is about 1.25 trillion yuan, with a net financing scale of about 2700 billion yuan, and the local bond issuance scale is 7100 billion yuan, with a net financing scale of 4600 billion yuan. The overall government bond issuance scale in October is expected to be about 1.96 trillion yuan, with a net financing of about 7300 billion yuan [3][44]. - Next week, the maturity scale of reverse repurchases will rise to 18268 billion yuan, and there will be a 3000 - billion - yuan MLF maturity on Thursday. The main exogenous disturbances to the funds will be concentrated in the first half of the week. Although the demand for cross - quarter funds will increase in the second half of the week, the central bank will stabilize funds through 14 - day reverse repurchase injections, MLF is likely to be renewed in excess, and the end - of - quarter fiscal expenditure may also provide some hedging. It is expected that the liquidity pressure will ease marginally compared to this week [3][52]. 3.2 Inter - bank Certificates of Deposit - This week, the 1Y Shibor rate rose 0.6BP to 1.67%, and the secondary rate of 1 - year AAA - rated inter - bank certificates of deposit rose 0.5BP to 1.68% [53]. - The issuance scale of inter - bank certificates of deposit increased while the maturity scale decreased this week, with a net financing of 903 billion yuan. The net financing scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 2469 billion yuan, - 843 billion yuan, - 529 billion yuan, and - 47 billion yuan respectively. The issuance proportion of 1Y certificates of deposit rose to 23%, and the 3M certificates of deposit had the highest issuance proportion at 36%. Next week, the maturity scale of certificates of deposit is about 8941 billion yuan, an increase of 881 billion yuan compared to this week [57]. - The issuance success rates of state - owned banks, city commercial banks, and rural commercial banks increased compared to last week, while that of joint - stock banks decreased. Except for the relatively low issuance success rate of state - owned banks, the others were above the average level in recent years. The issuance spread of 1Y certificates of deposit between city commercial banks and joint - stock banks narrowed [58]. 3.3 Bill Market This week, bill rates fluctuated and rose. The rates of 3M and 6M national stock bills rose 10BP and 7BP respectively to 1.25% and 0.86% [4]. 3.4 Bond Trading Sentiment Tracking - This week, bond yields fluctuated at a high level, and the spreads of credit and Tier 2 perpetual bonds were relatively stable. Large banks' willingness to increase bond holdings decreased significantly, especially for medium - and short - term treasury bonds. Their willingness to reduce holdings of 3 - 7 - year policy financial bonds and local bonds increased, and they tended to reduce holdings of Tier 2 perpetual bonds [4]. - Trading - type institutions tended to increase bond holdings, including fund companies and securities companies. The willingness of other products to increase holdings also rose, while that of other institutions decreased. Allocation - type institutions tended to reduce bond holdings. Rural commercial banks tended to reduce bond holdings, the insurance companies' willingness to increase holdings decreased, and the wealth management products' willingness to increase holdings was basically the same as last week [4].

Report Summary 1. Report Industry Investment Rating The document does not provide the industry investment rating. 2. Core Viewpoints - This week (9.8 - 9.12), the capital interest rate increased, the average daily lending of large - scale banks decreased, and funds reduced leverage. - The maturity of certificates of deposit increased, and the yields to maturity of certificates of deposit at various tenors rose. - In the spot bond trading, the main buyers were large - scale banks, with a significant increase in net buying compared to last week, mainly increasing holdings of 1 - 5Y interest - rate bonds. Insurance companies increased their allocation of 20 - 30Y interest - rate bonds, rural commercial banks increased holdings of 7 - 10Y bonds, securities firms reduced their interest - rate bond holdings, and funds were the main sellers, mainly reducing holdings of 7 - 10Y interest - rate bonds. [4] 3. Summary by Directory 3.1 Monetary Fundamentals - **Open Market Operations**: There were 1.0684 trillion yuan of reverse repurchases maturing this week. The central bank conducted reverse repurchase operations of 191.5 billion, 247 billion, 304 billion, 292 billion, and 230 billion yuan from Monday to Friday, with a total investment of 1.2645 trillion yuan and a net liquidity injection of 196.1 billion yuan for the whole week. Next Monday, 600 billion yuan of outright reverse repurchases will be invested. [7] - **Funding Rates**: As of September 12, R001, R007, DR001, and DR007 were 1.4%, 1.47%, 1.36%, and 1.46% respectively, changing by 3.7BP, 0.85BP, 4.83BP, and 2.03BP compared to September 5, and were at the 17%, 7%, 15%, and 3% historical percentiles respectively. [10] - **Large - scale Bank Lending**: From September 8 to September 12, the total lending scale of large - scale banks was 20.31 trillion yuan, with a maximum daily lending scale of 4.2 trillion yuan and an average daily lending scale of 4.1 trillion yuan, a decrease of 0.1 trillion yuan compared to the previous week's average. [13] - **Pledged Repurchase Transactions**: The trading volume of pledged repurchases increased, with an average daily trading volume of 7.49 trillion yuan and a maximum daily trading volume of 7.64 trillion yuan, a 2.46% increase compared to the previous week's average. The proportion of overnight repurchase transactions increased, with an average daily proportion of 88.4% and a maximum daily proportion of 89.1%, an increase of 0.08 percentage points compared to the previous week's average, and was at the 86.7% percentile as of September 12. [15] 3.2 Certificates of Deposit and Bills - **Issuance and Financing of Certificates of Deposit**: The issuance scale of inter - bank certificates of deposit increased this week, and the net financing turned negative. The total issuance was 782.06 billion yuan, an increase of 200.36 billion yuan compared to the previous week; the total maturity was 1252.02 billion yuan, an increase of 921.97 billion yuan compared to the previous week. The net financing was - 469.96 billion yuan, a decrease of 721.41 billion yuan compared to the previous week. [17] - **Issuance by Bank Type**: This week, the issuance scales of inter - bank certificates of deposit by state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 239.28 billion, 243.47 billion, 241.39 billion, and 38.11 billion yuan respectively, changing by 80.94 billion, 79.24 billion, 19.62 billion, and 2.97 billion yuan compared to the previous week. [17] - **Issuance by Tenor**: The issuance scales of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit were 68.6 billion, 262.94 billion, 230.26 billion, 100.51 billion, and 119.75 billion yuan respectively, changing by 50.79 billion, 31.44 billion, 96.37 billion, - 14.46 billion, and 36.22 billion yuan compared to the previous week. The 3M certificates of deposit accounted for the highest proportion of the total issuance of certificates of deposit by different types of banks, at 33.62%, mainly due to more issuances by state - owned banks; the 6M tenor accounted for 29.04%, mainly due to more issuances by joint - stock banks. [17][18] - **Yields to Maturity of Certificates of Deposit**: As of September 12, the yields to maturity of 1M, 3M, 6M, 9M, and 1Y inter - bank certificates of deposit of AAA - rated commercial banks were 1.55%, 1.56%, 1.64%, 1.67%, and 1.67% respectively, changing by 10.6BP, 1BP, 0.95BP, 0.55BP, and 0.5BP compared to September 5. [30] - **Bill Rates**: As of September 12, the 3M direct discount rate of national - owned and joint - stock banks, 3M transfer discount rate of national - owned and joint - stock banks, 6M direct discount rate of national - owned and joint - stock banks, and 6M transfer discount rate of national - owned and joint - stock banks were 1.27%, 1.15%, 0.83%, and 0.79% respectively, changing by 1BP, - 3BP, 5BP, and 6BP compared to September 5. [32] 3.3 Institutional Behavior Tracking - **Inter - bank Leverage Ratio**: As of September 12, the total inter - bank leverage ratio in the bond market decreased by 0.05 percentage points to 106.51% compared to September 5, at the 34.5% historical percentile since 2021. [35] - **Leverage Ratios of Different Institutions**: As of September 12, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.5%, 187.9%, 130.6%, and 104.5% respectively, changing by 0.02BP, - 0.33BP, 2.51BP, and - 0.41BP compared to September 5, and were at the 27%, 1%, 83%, and 8% historical percentiles respectively. [37] - **Duration Adjustment**: As of September 12, the weighted average duration of net purchases by funds (MA = 10) was - 3.00 years, turning negative from 3.42 years on September 5 and at the 4% historical percentile; the weighted average duration of net purchases by wealth management products (MA = 10) was 1.28 years, an increase compared to September 5 and at the 63% historical percentile; the weighted average duration of net purchases by rural commercial banks (MA = 10) was 1.78 years, an increase compared to September 5 and at the 63% historical percentile; the weighted average duration of net purchases by insurance companies (MA = 10) was 13.17 years, an increase compared to September 5 and at the 93% historical percentile. [39]

Summary of Conference Call Notes Industry Overview - The conference call primarily discusses the Chinese government bond market and the central bank's strategies for managing liquidity through bond transactions [1][2][5]. Key Points and Arguments 1. **Central Bank's Bond Buying Strategy**: The central bank's resumption of government bond buying aims to effectively manage liquidity, smooth out seasonal funding needs, and create a complete yield curve for reasonable distribution of funding costs across different maturities [1][5]. 2. **Challenges with Long-term Bonds**: The strategy of issuing long-term and ultra-long-term bonds in a low-interest environment has reduced the burden but poses challenges for liquidity management, necessitating the use of additional tools like reverse repos [1][6]. 3. **Historical Context**: The practice of government bond buying is not new; it has been used historically and is common in major economies like the U.S., where the Federal Reserve holds a significant amount of short-term treasury securities [3][4]. 4. **Market Impact**: The resumption of bond buying will have multiple effects on the market, including effective liquidity injection and aiding in the construction of a complete yield curve [5][11]. 5. **Current Liquidity Environment**: Compared to the previous year, the liquidity environment is more abundant and stable, with no significant yield curve flattening or inversion observed [11][12]. 6. **Future Strategies**: The "buy short, sell long" strategy is deemed unsuitable in the current environment due to the potential pressure it would place on long-term bond issuance [12][17]. 7. **Optimizing Tools**: Suggestions for optimizing the bond buying tools include increasing the circulation of government bonds in the secondary market, adjusting the holding structure between the central bank and commercial banks, and enhancing the use of derivative products [13][14]. 8. **Expected Net Buying Scale**: The expected net buying scale for the central bank is projected to be less than in 2024, with a monthly net buying amount around 100 billion [18]. Other Important Considerations - **Potential for Tool Resumption**: There is a high probability that liquidity management tools will be reintroduced, particularly in September, coinciding with significant government bond issuances [15][16]. - **Market Reactions**: Post-military parade, the equity market experienced declines, while the bond market's performance was less correlated, indicating that market movements are more influenced by expectations rather than actual participation [19][20]. This summary encapsulates the essential insights and implications discussed in the conference call regarding the Chinese government bond market and the central bank's liquidity management strategies.

Report Industry Investment Rating - No relevant content provided Core Viewpoints of the Report - After continuous decline in August, the current yield of the ten - year treasury bond once approached 1.85%, more than 45BP higher than the reverse repurchase policy rate. With long - term capital and economic fundamentals both favorable to the bond market, the allocation power of the bond market is gradually increasing, and the bond market adjustment is basically in place. However, the expectation of anti - involution promotes the continuous strengthening of the equity market, which is negative for long - term bonds. Short - term bonds are relatively stable under the expectation of worry - free capital, and the yield curve is expected to become steeper [6] Summary According to the Table of Contents 1. Bond Market Performance: Risk Appetite Rebounds, Treasury Bonds Decline Significantly - **Yield and Price Changes**: In August, the capital market remained loose, and there was no significant marginal change in the economic fundamentals. However, with the rebound of risk appetite, equity assets rose significantly, suppressing bond market sentiment. Long - term bond yields increased significantly, and the treasury bond yield curve steepened. As of August 29, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.40%, 1.63%, 1.84%, and 2.14% respectively, with changes of - 1.53BP, 6.12BP, 13.35BP, and 19.25BP compared to July 31. The closing prices of TS, TF, T, and TL main contracts were 102.418 yuan, 105.515 yuan, 107.81 yuan, and 116.55 yuan respectively, with changes of 0.06%, - 0.20%, - 0.62%, and - 2.16% compared to July 31 [5][8] - **Trading Volume and Open Interest**: On August 29, the trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year bonds were 35,583, 61,424, 81,725, and 153,398 hands respectively, with changes of - 219, - 2479, - 37, and 473 hands compared to July 31. The open interests were 76,824, 136,875, 199,086, and 140,380 hands respectively, with changes of - 33,460, - 55,118, - 32,215, and - 17,436 hands compared to July 31 [13] - **Net Basis Spread**: The net basis spreads of TS, TF, T, and TL main contracts showed narrow - range fluctuations [14] - **Inter - period Spread**: The inter - period spreads of short - term and long - term treasury bonds rebounded from low levels [16][19] 2. Policy Dynamics: Central Bank's Flexible Injection, Capital Interest Rates First Rise Then Fall - **Reverse Repurchase Operations**: From August 1 to 29, the central bank's reverse repurchase injection was 631.46 billion yuan, and the reverse repurchase maturity was 636.8 billion yuan, with a net withdrawal of 5.34 billion yuan. As of August 29, the reverse repurchase balance was 227.31 billion yuan [23] - **Buy - out Reverse Repurchase**: In August, the central bank carried out 50 billion yuan of 6 - month buy - out reverse repurchase operations and 70 billion yuan of 3 - month buy - out reverse repurchase operations. After deducting the maturity amount, the net injection of buy - out reverse repurchase in August was 30 billion yuan [24] - **MLF Operations**: In August, the central bank carried out 60 billion yuan of medium - term lending facility (MLF) operations, with a net injection of 30 billion yuan, marking six consecutive months of "increased roll - over". Together with the 30 billion yuan of buy - out reverse repurchase, the total net injection of medium - term liquidity in August reached 60 billion yuan, the highest monthly level since February this year [27] - **LPR and PSL**: In August, the loan prime rate (LPR) remained unchanged, with the 1 - year LPR at 3.00% and the 5 - year LPR at 3.50%. In July, the net withdrawal of the pledged supplementary lending (PSL) was 23 billion yuan, and the balance was 126.39 billion yuan [28] 3. Bond Supply and Demand: Government Bond Issuance Accelerates - **Government Bond Issuance**: In August, the government bond issuance was 232.94 billion yuan, with a maturity of 100.03 billion yuan and a net issuance of 132.91 billion yuan. Among them, the net issuance of treasury bonds was 84.9 billion yuan, and the net issuance of local bonds was 48.01 billion yuan. As of August, the cumulative net issuance of treasury bonds was 467.11 billion yuan, with an issuance progress of 70.14%; the cumulative net issuance of local bonds was 570.58 billion yuan, with an issuance progress of 79.25% [42] - **Special Bond Issuance**: In August, the issuance of new special bonds slowed down [43] - **Bond Issuance Multiple**: In July, the overall multiple of local bond issuance increased month - on - month [45] - **Cash Bond Trends**: The yield of treasury bonds decreased slightly, the yield of US treasury bonds fluctuated sideways, and the credit spread of credit bonds was slightly compressed [46][49][50] 4. Strategy Views: Long - term Bonds Bearish, Short - term Bonds Stable - Given the long - term capital and economic fundamentals favorable to the bond market, the adjustment of the bond market is basically in place. However, the strengthening of the equity market is negative for long - term bonds, while short - term bonds are relatively stable, and the yield curve is expected to become steeper [6]

Monetary Market Overview - The central bank's OMO net injection was 196.1 billion CNY, and MLF net injection was 300 billion CNY, leading to a continued loose liquidity environment[7] - DR001 and DR007 both reached new year-to-date lows, with DR001 averaging 1.35% and DR007 averaging 1.48% for August[19] - The liquidity injection for the month reached 600 billion CNY, reflecting the central bank's stabilizing attitude amid market volatility[19] Institutional Behavior - The average daily transaction volume of pledged repos decreased by 0.06 trillion CNY to 7.07 trillion CNY, with significant fluctuations observed on the last trading day of the month[15] - The new adjusted capital gap index fell to -630.2 billion CNY, the lowest level this year, indicating a slow pace of institutional cross-month activities[15] - The demand for interbank certificates of deposit remained stable, but the issuance success rate for various banks showed mixed results, with state-owned banks performing better[4] Government Debt and Financing - The expected government bond payment scale for next week is approximately 121.6 billion CNY, down from 211.4 billion CNY this week[20] - Cumulative issuance of new general bonds reached 620.8 billion CNY, while new special bonds totaled 32,641 billion CNY[20] - The net financing scale for government bonds is projected to decrease to about 1.2 trillion CNY in September[20]