中国利率：春节前流动性动态

Global Markets Research Asia Insights Rates - Asia ex-Japan Research Analysts China rates: Liquidity update into Lunar New Year Asia Rates Strategy Clair Gao, CFA - NIHKclair.gao@nomura.com+852 2252 1081Albert Leung - NIHKalbert.leung1@nomura.com+852 2252 1401 The 7d repo fixing-7d OMO rate spread is likely to stay in 15-20bp range. In 2026, the Lunar New Year (LNY) holiday lasts from 15 to 23 February, so 14 Februarywill mark the final working day before the holiday begins. In Figures 1 and 2, wesummarise how much liquidity the PBoC injected in the run-up to prior LNY holidays and Looking at previous years, the PBoC tended to inject short-term liquidity via 7d/14d OMOsand medium- to long-term liquidity via RRR cuts (in 2020, 2022 and 2024) / ORRs (in While short-term liquidity injections varied across years,medium- to long-termliquidity injections (sum of MLFs, RRR cuts, ORRs and net CGB purchases) In2021 and 2023, total liquidity injections (especially long-term ones) were muchsmaller, owing to better economic growth (outlook) at the start of the year. In2025, while net withdrawing liquidity via MLFs (note that the PBoC downplayed therole of MLFs in August 2024 and net withdrew MLF liquidity from August 2024 toFebruary 2025), the PBoC conducted OMOs and ORRs in significant size. The totalliquidity injection reached RMB3.32trn from three weeks into LNY. Considering thewide spread between the 7d repo fixing and the 7d OMO rate – at over 60bp in In2026so far, the PBoC has net injected RMB1.2trn of medium- to long-term liquidity,including RMB700bn of MLF (January), RMB100bn of net CGB purchase (January), andRMB400bn of ORR (3m/6m ORR in January and 3m ORR in February). There could beanother net injection of RMB100-200bn via 6m ORR late next week. With sufficientmedium- to long-term liquidity, we expect only a small amount of OMO injection (or could Figure 3 shows a summary of the PBoC’s monthly net liquidity injection since H2 2024.Note that in January 2026, the PBoC net injected RMB1.1trn of liquidity via MLF, ORR andnet CGB purchases. This amount was comparable to that in May 2025, when the PBoCdelivered a 50bp RRR cut. This, combined with the 25bp re-lending rate cut in mid-January, likely means there is a lower chance of RRR/rate cuts in coming months. Production Complete: 2026-02-06 06:25 UTC Source: Wind, Nomura Note: 2026 numbers are as of 5 February.Source: Wind, Nomura In Figures 4 and 5, we summarised the cumulative OMO net liquidity injection/withdrawaland the change in the 7d repo fixing-7d OMO rate spread, both from 20 working days intoLNY. Generally speaking, the 7d repo fixing has been stable in recent weeks. There were We continue to expect the monthly average spread between the 7d repo fixing and the 7dOMO rate to stay in 15-20bp range in coming months (January: 15bp, February-to-date:16bp; Figure 6). That said, there could be some surge in the 7d repo fixing (i.e., to 1.80- Another thing we note is that in 2026, the PBoC started 14d OMO slightly earlier than inprior years. In 2021, 2022, 2024 and 2025, the PBoC started to conduct 14d OMO fromfive working days before the LNY holiday, while in this year, it started on 5 February, eightworking days before the LNY holiday (Figure 8). In our view, this is at least partiallyattributable to the extremely large government bond supply this week. Note that, in theweek of 2 February, net CGB and LGB supply climbed to RMB791bn, its highest since Source: Wind, Nomura Source: Wind, Nomura Note: For LGBs, we also include local government special refinanciing bonds (LGSRBs),Source: Wind, Nomura Source: Wind, Nomura Looking at China rates’ performance into and out of LNY holidays, there seems noconsistent pattern prior to the holidays, but the 1y swap rate usually moved higher by~10bp in the 20 days after LNY holiday (except in 2024, due to the unexpected RRR cut; economic growth outlook after the end of the zero-Covid strategy while, at the same time, On strategy, we maintain our pay position in Mar-IMM 3y NDIRS with a conviction level of3/5. Similar to last year, government bond issuance has been front-loaded in 2026-to-date.In coming weeks, besides liquidity, we expect the market to shift its focus to fiscal policies Source: Bloomberg, Nomura Source: Bloomberg, Nomura Appendix A-1 This report has been produced by Nomura International (Hong Kong) Ltd. (NIHK), Hong Kong.SeeDisclaimersfor Nomura Group entity details. Analyst Certification We, Clair Gao and Albert Leung, hereby certify (1) that the views expressed in this Research report accurately reflect our personal views aboutany or all of the subject securities or issuers referred to in this Research report, (2) no part of our compensation was, is or will be directly orindirectly related to the specific recommendations or views expressed in this Research report and (3) no part of our compensation is tied to any Important Disclosures Online availability of research and c