CSI: The funds face the big test and the drought is limited.

The funds face the "big test" is difficult to "drought"

China Securities Journal

In mid-November, the funds were tightened, and the central bank’s open market operations turned to indicate that it maintained a basically stable liquidity attitude. Analysts pointed out that the end of the year is usually the peak period of financial investment. In line with the operation of the central bank to cut the peaks and fill the valley, it is expected that the funds will not continue to deviate significantly from the tight balance.

In mid-November, the tightening of funds in the middle of the month appeared on time, but the central bank’s open market operations turned to a sound, indicating that the liquidity was basically stable. In contrast, the market seems to be more worried about the "big test" at the end of the year. Since October, the funds have been generally stable, but the medium and long-term money market interest rates have remained high, and the money market interest rate curve has increased steeply, reflecting the institutions' cautious attitude towards future liquidity.

Analysts pointed out that under the environment of low and super-storage rate, liquidity is difficult to loosen, especially near the end of the year, the demand for medium and long-term funds is increasing, which is easy to trigger and the supply and demand of funds are tight. However, the end of the year is usually the peak period of financial investment . In line with the operation of the central bank to cut the peaks and fill the valley, it is expected that the market funds will not continue to deviate significantly from the tight balance.

Multi-factors affect short-term liquidity

In the past few days, the continuous rebound of interest rates in the money market, the rising demand for funds across the tax period, and the difficulty of the flat position of the institutions have all shown that the “routine” tightening of funds in the middle of the month has kicked off.

On the 13th, the Shanghai Interbank Offered Rate (Shibor) rose across the board. Among them, overnight Shibor uplink 7BP to 2.787%, the highest since October, this is the interest rate indicator recently rose for the fifth consecutive day, the single-day increase was the highest in 5 days, showing that the momentum of short-term liquidity tightening is becoming more and more obvious.

On the 13th, the inter-bank bond repurchase rate within the three-month period of the inter-bank market also rose. The weighted average interest rate of the overnight repo rose more than 8BP to 2.82%, and the representative 7-day repo rate (DR007 held steady at 2.94%). The rise in the 14-day and cross-month 21-day varieties of the cross-tax period is particularly prominent, with the former rising 11BP to 4.05% and the latter rising 25BP to 4.31%.

Traders said that on the morning of the 13th, the funds were relatively tight. Only a few large and medium-sized banks had short-term funds. The supply of medium- and long-term funds was limited for more than 14 days, and the prices were high. Near midday, the investment continued to increase overnight, and institutional demand was gradually satisfied. Overall, the funding side remains tight.

In mid-November, corporate tax payment is the main unfavorable factor affecting short-term liquidity. It is understood that the declaration and storage period of major tax types of enterprises in November is 1-15 days. Judging from past experience, the two or three days near the 15th will be the peak period for tax payment this month. As the tax collection is concentrated, the days before and after the 15th will be the time when the tax factor is the biggest disturbance to the liquidity. In addition, the 15th is also the time for payment and refund of the statutory deposit reserve of financial institutions.

Industry insiders pointed out that the tax payment and payment scale in November is generally less than October, but this year's fiscal revenue and expenditure, deposit and withdrawal, and even bond issuance and other factors have increased the disturbance caused by liquidity, considering November. In the first half of the year, the central bank’s net withdrawal and government bond contributions consumed a lot of available funds, and market institutions still have concerns about the liquidity fluctuations that may be caused by tax payment and payment.

In early November, the central bank's open market operations (OMO) focused on net withdrawals. Even with the one-off rolling operation of the central bank's MTF on the first half of the month, the central bank still returned 263 billion yuan through OMO in the first half. In addition, government bond issuance payments in the first half of this month exceeded 300 billion yuan. The ultra-storage was gradually consumed, and it was faced with disturbances such as paying taxes and paying taxes. The market funds began to show signs of tightening from around the 9th.

Limited tension

The tax payment is imminent, and the short-term market capital fabric is under pressure, but the actual performance also depends on the central bank's liquidity management. After the short-term liquidity showed signs of tightening, the central bank immediately adjusted the direction of open market operations. On the 9th, OMO ended the net withdrawal for 3 consecutive days and achieved the same amount of hedging; on the 10th, it turned into a net investment of 50 billion yuan; on the 11th, the central bank launched a reverse repurchase operation of 180 billion yuan, after the hedging reverse repurchase and MLF, net The company invested 83.5 billion yuan, and both the reverse repo volume and the net volume were double-plus.

Combined with industry feedback, in recent days, although the market funds have tightened, the degree of tension is still limited, and the difficulty of flat positions is still small. Under such circumstances, OMO turned in time and the hedging intensity gradually increased, indicating that the central bank maintained a basically stable attitude toward liquidity. Under the effect of the tightening of liquidity and the reverse regulation of the central bank, the market expects that the funds will be slightly tight in the near future but there will be no excessive tension.

In fact, the funds in the fourth quarter started well. Since October, the overall situation has been stable or even slightly loose. At the beginning of this month, the short-term money market interest rate once hit a new low for several months. On November 3, DR007 fell to a minimum of 2.74%, the lowest since July 11; on the 6th, Shibor reported 2.512% overnight, the lowest since April 19; 7-day repurchase from the full-caliber of the interbank market In terms of interest rate (R007), the arithmetic mean in October was 3.36%, which was 11BP lower than September and 3.15% since October. This is not unrelated to the central bank's openness to open market operations.

It is worth noting that while the short-term fell to the low level in the second half of the year, the long-term end of the money market interest rate remained high, and the phenomenon that the interest rate curve of the money market increased steeply revealed the market's concerns about future liquidity. The most prominent representative is the 3-month Shibor. Since October 10, Shibor3M has risen for 25 consecutive trading days, and it has been reported at 4.5155% on November 13, a record high since the second half. Relative to the monthly “small test”, market institutions are clearly more worried about the pressures that the “big test” of liquidity at the end of the year may face.

"Big exam" is expected to be shocking

At the end of the year, the bank will once again welcome various types of regulatory indicators. Near the end of the year, the organization set out to deal with regulatory assessments and prepare for liquidity across the years. The demand for funds for the New Year will gradually increase. The willingness of large and medium-sized banks to withdraw funds may decline. It is easy to trigger or amplify the contradiction between liquidity supply and demand. Expected factors and other factors, liquidity fluctuations are usually a large period in the second half of the year. The data shows that the average value of R007 in December is often the highest level in the second half of the year.

In the past year, liquidity tension mainly occurred in mid-December, but some institutions have carried out corresponding preparation work in advance, which may also lead to the occurrence of liquidity tensions earlier. Since the beginning of this year, in order to promote financial de-leveraging, the central bank intends to create an atmosphere of structural liquidity shortages, and the financial institutions' super-storage rate continues to be at a low level.

The CICC research report pointed out that the central bank has not yet released the data on the ultra-reservoir rate at the end of the third quarter, but the data released by the CBRC is further lower. It is expected that the over-preservation rate of the central bank will also be at a low level this year. The low over-storage rate means that the fund is “thinned” and the pressure-resistance is reduced. The performance is caused by various factors, and the funds face intermittent tension. Market participants pointed out that in the face of high liquidity volatility, market institutions have a more preventive mentality. Some institutions started to prepare for the New Year's Eve in October and November. The reason for not being there.

Many market participants have noticed that since October, the inter-bank deposit issuance rate of three months and longer has continued to rise. The three-month interbank deposit certificate issuance rate has risen from 4.3% to 4.75%, one year. The inter-bank deposit slip issuance rate has risen to around 5%. Starting from October, the three-month interbank deposit can be multi-year, and its upward issuance rate directly reflects the increase in institutional demand for inter-annual funds.

At the same time, the inter-bank deposits have not seen heavy volume after the price increase. The circulation in October was 1.31 trillion yuan, a significant decrease from the 2.2 trillion in September. In the first two weeks of November, the weekly circulation was 315.9 billion yuan. 441.7 billion yuan, and there is still a big gap with the single-week circulation in September. However, in November, there will still be 1.8 trillion yuan of interbank deposit certificates due, and the amount due in December will exceed 2 trillion yuan, all at this month's high. The rolling pressure of the same-term deposit receipts and the additional issuance pressures may also become a worry for liquidity.

For the fourth quarter of liquidity, the increase in fiscal expenditure will be a rare favorable factor. In November and December of last year, a large amount of financial funds were usually placed to form a liquidity supply. However, fiscal expenditures are mainly concentrated at the end of the month, especially at the end of December, and it is difficult to form strong support for the liquidity gap in the first half of the year. In view of the “difficult solution to the thirst” of the financial release, the central bank’s open market operations are critical. Fortunately, this year, the central bank’s open market operations are not small, and the actual fluctuations in the funds are even smaller than the non-season months.

Some market participants said that given the current low reserve ratio and the risk of liquidity fluctuations at the end of the year, and the recent bond market interest rates have risen rapidly, the central bank has given reasonable and appropriate liquidity in a timely and necessary manner. Since October, the central bank’s liquidity has increased, and the net monthly volume has reached a new high this year. In addition, on October 27, the central bank launched the 63-day reverse repurchase operation for the first time, filling the gap between the reverse repo and MLF. Starting from November, the 63-day reverse repurchase has been able to span the new year, helping to meet the agency's demand for inter-annual funds and to stabilize liquidity fluctuations at the end of the year.

In general, in the gap between fiscal expenditures, if the central bank gives necessary liquidity support in a timely manner, and financial institutions prepare in advance, the funds at the end of the year should be “surprising”, and with the financial release at the end of the year, the liquidity at the beginning of the year will be It is expected to usher in a more relaxed period.

Enter [Sina Finance and Economics Unit] Discussion