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2021年以来14天逆回购投放对9月资金面影响梳理

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所属报告：

【信达证券】流动性与机构行为周度跟踪：14天逆回购招标方式调整有利于跨季资金价格回落-250921（20页）.pdf

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但 9 月有长假前的跨季影响，当前机构跨季进度偏缓，若全月资金均值不明显走高或需季末资金价格平稳。在此背景下，周五宣布的 14天逆回购招标方式变化就引发了广泛关注。过去央行在国庆、春节等长假前开展 14天逆回购已是常态。考虑当前 3M 买断式回购若按市场利率定价，可能不超过 1.55%，而过去 14天与 7天逆回购利差 15BP，若按照以往模式定价利率也将达到 1.55%，这就显得过高。因此央行本次将 14DOMO 调整为固定数量、利率招标、多重价位中标可能也会在实质上达到降息的效果。过去几年资金价格在 9 月最后 8 个交易日与月内之前的关系并不稳定。但央行调整 14 天逆回购展示了展示呵护跨季的意图，考虑 14DOMO 也是季末流动性的重要补充，这也有利于跨季资金价格回落。但另一方面，距离资金跨季还有 8个工作日，当前机构跨季进度普遍相对偏慢，如果 9月全月资金价格中枢与过去几月大致持平，可能就需要资金价格在季末不发生大的波动、机构平稳跨季。在此背景下，9月 19日盘后央行宣布 14天期逆回购操作调整为固定数量、利率招标、多重价位中标就引发了广泛的关注。事实上，自 2018 年以来，央行在国庆假期、跨年以及春节前进行 14 天逆回购操作已是常态，仅在 2024年末流动性宽松的状态下并未操作。而相关操作也未必在 14天资金可跨季时即已开始，开始后也未必每日操作。因此如果央行下周开始 14天逆回购操作也符合过去的惯例。而目前买断式回购如果参考 3M存单定价，其中标利率可能不超过 1.55%，而过去 14天与 7天 OMO的利差达 15BP，如果按照以往定价模式 14DOMO利率达到 1.55%，这就显得过高。因此，本次央行将 14D OMO调整为固定数量、利率招标、多重价位中标可能也会在实质上达到对其降息的效果。这除了展示央行呵护跨季的意图，考虑 14D 逆回购也是季末流动性的重要补充，这样的调整也有利于跨季资金价格的回落。从过去几年的经验来看，DR001在 9月最后 8个交易日与之前月内的DR001 与 DR007 均值关系并不稳定，这与 14 天逆回购何时开始以及投放规模的关系也并不明显，但从 14D OMO招标方式调整展现的态度看，我们认为央行大概率仍会维持跨季资金的平稳。

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