货币政策宽松预期再启，短期资金面边际收紧
作者：周冠南 梁伟超
来源：华创债券论坛
正文
流动性，央行未开展逆回购操作，没有逆回购到期，净投放规模为零；央行公开市场交易公告称“吸收政府债券发行缴款和缴存法定存款准备金等因素后，目前银行体系流动性总量处于合理充裕水平”；今日为上旬新缴准维持期的开启日，由于9月总体机构缴准压力边际放大，或在2400亿左右，新缴准维持期机构流动性需求增多，流动性边际偏紧。
资金面，资金价格边际上行。早盘资金情绪指数48，非银资金情绪53，隔夜资金加权在2.54%，7D资金价格加权在2.62%，较上一交易日明显上行；下午开盘资金情绪指数维持在48，非银资金情绪小幅回落至51。全天隔夜资金需求明显上行，融出缩减，月初即出现供不应求的状况，7D资金供给同样回落。9月流动性总体偏紧，月初资金价格即边际上行，央行操作谨慎，预计汇率未明确中枢的情况下，资金面或边际维持偏紧状态。
活跃券方面，收益率显著下行。国债期货全线收红，10年期主力合约涨0.24%，5年期主力合约涨0.16%，10年期国债活跃券190006收益率下行3.26bp报3.0125%，成交184笔，30年期国债活跃券190010收益率下行4.98BP至3.6150%，成交63笔。国开活跃券190210下行4BP至3.4375%，成交584笔。受昨日国常会议提及普遍降准和定向降准及降息的影响，债市情绪显著提振，受益于货币政策宽松预期，呈现股债双牛的状态。预计随着宽松货币政策的落地，收益率或再次迎来下行窗口。
信用方面，中短票收益率全面下行1BP~2BP，中长期信用利差扩大3BP。信用债成交活跃度较昨日有所下降，中国建材的19建材09、中国石油的19中油股MTN005、19中油股MTN003，海通证券的19海通证券金融债01等个券继续出现多次成交，且多在估值附近成交，行业分布方面除城投以外，房地产、非银金融等行业成交居多。剩余期限在半年以上、偏离估值40BP以上成交的个券有PR洋口港、19包钢01，分别偏离60BP、44BP，另外19美置03有3笔偏离估值21BP成交。
风险提示：流动性超预期收紧
一、利率债市场复盘：公开市场操作空窗，活跃券收益率大幅下行
（一）资金面：资金面整体宽松，隔夜资金小幅上行
（二）利率债：活跃券收益率大幅下行
二、信用债市场复盘：中短票中长期信用利差走扩，成交活跃度较上一交易日略有下降
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