Market review:
In the interest rate market, the interest rates of main term treasury bonds 1y, 3Y, 5Y, 7Y and 10Y are 2.18%, 2.42%, 2.61%, 2.77% and 2.79% respectively, and the interest margin of main term treasury bonds 10y-1y, 10y-3y, 10y-5y, 7y-1y and 7y-3y are 61.0bp, 37.0bp, 18.0bp, 59.0bp and 34.0bp respectively. The interest rate of treasury bonds is mainly downward, and the interest margin of treasury bonds is generally expanded. The interest rates of CDB bonds with main maturities of 1y, 3Y, 5Y, 7Y and 10Y were 2.28%, 2.59%, 2.79%, 3.0% and 3.08% respectively. The interest margin of CDB bonds with main maturities of 10y-1y, 10y-3y, 10y-5y, 7y-1y and 7y-3y were 79.0bp, 49.0bp, 29.0bp, 72.0bp and 41.0bp respectively. The interest rate of CDB bonds was mainly downward, and the interest margin of CDB bonds narrowed overall.
In the capital market, the main term repo interest rates of 1D, 7d, 14d, 21d and 1m are 2.26%, 2.34%, 2.25%, 2.45% and 2.64% respectively, and the main term repo spreads of 1m-1d, 1m-7d, 1m-14d, 21d-1d and 21d-7d are 37.0bp, 29.0bp, 39.0bp, 18.0bp and 10.0bp respectively. As the main players in the repo interest rate, the repo spread has narrowed overall. The main term lending rates of 1D, 7d, 14d, 1m and 3M are 2.21%, 2.21%, 2.24%, 2.43% and 2.5% respectively. The main term lending spreads of 3m-1d, 3m-7d, 3m-14d, 1m-1d and 1m-7d are 29.0bp, 29.0bp, 26.0bp, 22.0bp and 22.0bp respectively. The main actors in the lending rate narrow the overall lending spread.
In the futures bond market, the weekly increases and decreases of TS, TF and t main contracts were 0.06%, 0.18% and 0.27% respectively, dominated by the rise of futures bonds; The weekly increases and decreases of 4ts-t, 2tf-t and 3tf-ts-t were -0.02 yuan, 0.09 yuan and 0.2 yuan respectively, and the implied spread of futures was differentiated; The average net basis of TS, TF and t main contracts are -0.0469 yuan, -0.0616 yuan and -0.0063 yuan respectively, and the net basis is mostly negative.
Market outlook:
From the perspective of narrow liquidity, the capital interest rate rises and the net money supply increases, reflecting the central bank's monetary easing under the background of tight liquidity. From the perspective of broad liquidity, most of the latest financing indicators are upward, and the credit margin is loose. From the perspective of positions, the net positions of the top five seats tend to rise, reflecting the increasing strength of futures bonds. From the perspective of bond market leverage, the leverage ratio of bond market has decreased, and the power of long cash bonds is weakening. From the perspective of debt to equity cost performance, the debt to equity cost performance is reduced.
Strategy suggestions:
Directional strategy: the score of term bonds is 2.62/10, and term bonds are cautiously bearish.
Cash strategy: the basis is upward and the net basis is negative. Participation is not recommended temporarily.
Cross variety strategy: the currency is tight and the credit is loose. It is not recommended for the time being. Pay attention to the short selling opportunity of term bonds.
