October funds fabrics remained stable

At the end of the third quarter, the structure of funds was structurally tense, but fortunately, the market as a whole remained stable across the season. Standing in the moment, the focus of the market has shifted to the state of funds after the holiday. Analysts pointed out that in the context of the historically low over-storage rate, the disturbances such as tax payment and large amount of funds due can still be ignored. Fortunately, the policy signal of “directed RRR” will help improve market expectations and predict central bank currency. The launch will continue to “cut the peaks and fill the valley”. Overall, the improvement of liquidity after the holiday can be expected, and the overall fabric of funds in October is stable.

Structural imbalance

In the last week before the holiday, the central bank continued to withdraw funds in the open market, and the market liquidity was clearly converging. In particular, the exchange rate of the exchanges continued to rise. Specifically, the weighted average price of the overnight weighted interest rate of the Shanghai Stock Exchange on the Shanghai Stock Exchange rose from 5% to 12.97%, reaching a high of 23% in the session; the weighted average price of the 7-day weighted rate GC007 also rose from 5% to 10.61%. The highest hit 21%.

Combined with the interest rate of funds in the interbank market, liquidity tension still has obvious structural characteristics. For example, in the inter-bank pledged repo, the DR007 weighted interest rate representing deposit-type institutions fell from 3.07% at the beginning of this week to 2.97%, while R007 rose from 3.45% at the beginning of the week to 4%.

"This year, the excess deposit reserve ratio and the commercial bank reserve ratio have continued to decline and hit new lows, indicating that the liquidity level of the banking system is not too high; and because of the open market operation as the main tool for liquidity, the bank has been created. The internal liquidity structure of the system is not balanced. It is represented by the R007 and DR007's from the combination of the financing costs of non-deposit financial institutions and deposit-taking financial institutions. The volatility of R007 is improved, and it is seriously separated from DR007 in the short term. Since the time of separation and repair of R007 and DR007 has been getting longer and longer,” said Ming Ming, chief analyst of fixed income of CITIC Securities.

For the reasons for the sudden tightening of funds in the last week of the third quarter, Huachuang Securities believes that there may be four reasons: First, the financial release may not be as expected, but the central bank still does not increase the liquidity, but the open market continues to pump; Second, the end of the quarter is approaching, the banks have reduced their financial resources in response to the inter-season; third, the level of institutional leverage may rebound in September, and the demand for funds will rise marginally; fourth, the liquidity of the total is still tight. Judging from the total liquidity of the banking system, it is difficult for the over-reserve rate to rebound sharply in September, and the high probability will still be less than 1.5%. The liquidity of the total liquidity is still the root cause of the volatility of the funds.

Liquidity improvement can be expected

The next October is the big tax payment month. In addition, the large amount of funds due and the Fed will start to shrink the table and other factors, the market liquidity is still relatively cautious, but the signal of “directional RRR” released before the holiday, Obviously contribute to the improvement of market expectations. At present, many institutions expect that the liquidity improvement after the holiday will be expected, and the overall fund level will remain stable in October.

“In October, the funds should be kept stable under the control of the central bank.” Sun Binbin, chief analyst of fixed income of Tianfeng Securities, pointed out that from the perspective of the factors affecting traditional funds, the October tax period began later, and the tax was traditionally paid in October. The magnitude will be relatively large, and it is necessary to pay close attention to the operation of the central bank at that time; the cash withdrawals will be gradually returned at the beginning of the month, and then the impact will be small; the impact of foreign exchange is still relatively neutral. In terms of the maturity of the central bank, there were 160 billion reverse repurchases in October, the total amount is small and scattered; and three MLFs expired, totaling 439.5 billion. It is expected that the first MLF expiration in the month of October 13 will be able to get a one-time continuation of the central bank, which will have greater support for the mid-term funds.

BOC International Securities also said that according to historical data, there may be a small pre-holistic cash withdrawal pressure at the end of September, and this part of the funds will return in October, to some extent, it can appropriately ease the impact of tax payment in mid-October. Combined with the financial release at the end of September and the last tax payment month in mid-October, it is expected that the funding will remain tight in October, but due to the influence of holiday factors, this change may be compared with the second quarter. To smooth out some.

However, Huachuang Securities believes that the probability of cross-season funds will not return to easing. On the one hand, the size of the open market stock is still large. At present, the amount of reverse repurchase + MLF due in October has reached 1.1 trillion. Under the pressure of continuous rolling, the central bank's hedging is timely and there is still uncertainty, and the funds are difficult to fluctuate. Avoid; on the other hand, October is the traditional tax payment month, and the transfer of fiscal deposits will bring seasonal tightening effect on the funds. Therefore, the funds in October are still optimistic, and the fluctuations are hard to avoid.

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