The market trend is "tangled" under the liquidity "barrier lake". At present, the credit demand is obviously weak, the liquidity is silted up, forming a "barrier lake" in the capital market, and the short-term interest rate is significantly lower than the policy interest rate. Under the pressure of China's economy, the narrowing of interest rate gap between China and the United States, the relaxation of "wide credit" expectation on the demand side of real estate, the increase of potential inflationary pressure and other factors, the long-end interest rate maintained a narrow shock. Even if the 5y-lpr was asymmetrically reduced by 15bp, the long-end interest rate remained "unmoved". Based on this tangled market, the market can only do "certainty" and bypass "uncertainty". Capital and leverage have become the main focus of the bond market. Accumulating leverage at the short end and eating ticket interest through carry is a dominant strategy under the "barrier lake" of capital, but it is also a helpless way. Since May, the average trading volume of R001 has reached an all-time high of about 4.8 trillion, and has continued to maintain a daily scale of more than 5 trillion since May 9. As far as investors are concerned, they should focus on three things:
First, pay close attention to the changes of credit supply under the disturbance of the epidemic. Recently, there has been a trend of gradual "unsealing" in Shanghai. Enterprises have returned to work and production in an orderly manner, rescue policies have been launched intensively, the number of major infrastructure projects has increased, and the new issuance of mortgage loans and stock interest rates are expected to decline significantly, which will help alleviate the pressure of "asset shortage" of credit. However, the repeated and static control of the epidemic has had a great impact on the real economy, as follows: (1) the epidemic in China is still sporadic, and the control measures in some areas have been further upgraded; (2) The operating pressure of small and medium-sized enterprises and individual industrial and commercial households has increased, the employment, income and expectation of residents have deteriorated, and the balance sheet has shown signs of shrinking; (3) Export orders have shrunk, and manufacturing related orders and industries are beginning to transfer from China to Southeast Asia. In this case, the endogenous driving force for the substantial recovery of credit supply in the short term is still insufficient. Since May, credit has remained depressed, and the bill discount interest rate has remained low. In order to achieve steady growth, there is an urgent need for policy "further efforts". It is expected that the credit may continue to rush at the end of May, and June is the end of the half year, which is also the node to achieve the end of the first half of 2022. It is expected that the central bank will further strengthen its guidance. The market needs to pay close attention to the changes in the credit boom in late May and June, which may impact the interest rate trend of the financial market.
Second, keep an eye on overnight interest rate changes. Since April, the average overnight interest rate has remained at 1.3-1.5%. It is not difficult to find that the overnight interest rate has fallen sharply and continuously since 2020. There are mainly two periods: first, from mid March to late May 2020, the main driving factor is the loose monetary policy in the period of severe epidemic. Second, from mid and late November 2020 to early January 2021, it is mainly affected by the increased risk of credit default of Yongmei, Ziguang and other enterprises and the "reverse operation" of the central bank's monetary policy. It can be seen that the duration of the two periods is about two months. The driving factor is monetary easing, resulting in the "failure" of the structural liquidity shortage framework, and the "anchor effect" of the policy interest rate on the capital interest rate is weakened. The current round of overnight interest rate has been phased out of the "hidden interest rate corridor" for 50 trading days. Whether it is in the middle and late stage of the market is highly related to the degree of recurrence of the epidemic. In the follow-up, the structural liquidity shortage framework will be formed again with the recovery of the credit boom. The further interest rate hike of the Federal Reserve will also narrow the interest rate spread between China and the United States. If the epidemic eases, it is necessary to be vigilant against the impact of the rise of the overnight interest rate center on leveraged trading in June.
Third, keep an eye on NCD interest rate changes. At present, the interest rate of 1y national stock NCD is generally maintained at about 2.28%, about 35bp lower than the peak of Q1, and the interest rate difference with 1y-mlf is expanded to 57bp. The interest rate level has approached the theoretical "lower limit of hidden corridor" of 2.25% (upper limit of 1y time deposit interest rate). The NCD spread between 10Y treasury bonds and 3M national shares was 102bp, significantly higher than the 75% quantile level since 2019, and reached a new high since the second half of 2020, which also confirmed that the leverage market was more intense. June is the theoretical credit "pulse" time point, nsfr assessment time point and the end time point of special bond issuance within the year. The maturity of NCD is 1.63 trillion. Considering the downturn of NCD net financing from April to may, if the demand for NCD issuance increases in June, the interest rate level will turn up again, which will have a certain impact on the valuation profits and losses of investors in monetary products, and also indicates that the current round of capital and leverage market will come to an end.
Risk tip: the downward pressure on the economy is further increased, and the prosperity of credit supply continues to be depressed.
