Interest Rate Rebounding Or Opportunity To Build Positions

The bond market is still in the cold market, and the overall yield has not changed much.

In terms of interest rate debt, there is not much turnover in long term financial bonds, and the yield is basically stable. For example, the active ten coupons in 150210 years are stable at 3.96% front-line, 140205 in 4%, and 1, 3, 5 in the short and medium term.

Slightly increased 1-2bp, such as 150207 moved from 3.39% position to 3.41%, 1 year active coupons 150211 ascending 2bp to 3.73%.

The yield of short end bonds is relatively strong, with a slight upward trend in the medium and long terms, such as a slight decline of 2.41% in the 1 year period and a slight increase of 150002 to 7 in the 7 year period of 2bp.

Yesterday, there were not many new vouchers but one level.

Compared with the previous period, the two tier market, the number of votes in the purchase is less, the paction interest rate is higher than yesterday's valuation.

Short trading is active and yields remain low.

This week, bond market yields began to rebound gradually after the rapid downtrend. The 1 year policy financial bond rebounded more than 20bp, and the yield of 3, 5 and 10 years also rebounded more than 10bp.

The rebound is part of the normal adjustment after the early stage.

The base of the bond market yield has not changed, and the short-term rebound may bring new opportunities to build positions.

In addition, the interest rate of funds is expected to remain at a low level for a longer period of time. The bonds still have large interest bearing space. The spread of the current 1 year national debt and overnight repo rate is more than 160bp. In such a period of loose capital, such a big spread can hardly be maintained for a long time. The low capital interest rate has a strong viscosity on the short end of the bond yield curve.

Meanwhile, the spreads in the 3, 10 and 1 years of the national debt yield curve reached 70bp and 120bp respectively, all of which have reached a new high in the past 5 years, and the investment value of the medium and long term bonds is emerging.

After a steep bull market, the future bond market is likely to come out of a bull market.

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In March 20, 2015, CICC listed 10 - year treasury bond futures, which could range from 6.5 years to -10.25 years.

Listed in the past 2 months, the scale of product has been growing steadily. The T1509 position of the main contract has exceeded 20 thousand hands, with the highest turnover of nearly 6000 hands.

Meanwhile, the listing of the 10 year treasury bond futures significantly increased the liquidity of the corresponding Treasury bonds in the corresponding period, and the average daily turnover of the 10 year treasury bonds in April 2015 averaged about 8000000000 yuan, which was more than doubled in the month before the 10 year bond futures market, and the bid price difference narrowed to less than 2bp.

At this point, CICC has completed the 5 and 10 years of the medium and long-term treasury bond futures product layout, which will promote the cross border arbitrage trading of treasury bonds futures, and further promote the sound yield curve of treasury bonds.

It is noteworthy that in order to meet the 10 year treasury bond futures market, CIC revised the 5 year treasury bond futures contract in February this year, that is, since the TF1512 contract, the range of delivery certificates for the 5 year treasury bond futures will be adjusted from 4-7 years to 4-5.25 years, and the Treasury bonds with a remaining maturity of 5.25-7 will not be used for the delivery of TF1512 and subsequent 5 year contracts.

Due to the adjustment of the 5 year treasury bond futures, the 7 year treasury bonds issued in the near future will not be able to be used for the delivery of certain contracts of TF1512 and subsequent 5 year Treasury futures. Therefore, the 7 year treasury bonds originally available for arbitrage pactions will no longer be favored.

At the same time, because the interest rate of treasury bonds is not high, investors have low willingness to hold bonds, so investors holding 7 year bonds tend to sell the bonds through TF1506 and TF1509 contracts.

Judging from the position of the 5 year Treasury futures contracts, the TF1506 contract pfer time is obviously postponed, and the current position is still over 20 thousand hands, indicating that the willingness of the seller to deliver the contract has been enhanced.

Since the listing of the 5 year treasury bond futures market, the two sides have been using the hand delivery mode, that is, in the rolling delivery stage, both parties have submitted the delivery application before entering the delivery matching process.

Since the September 2015 contract, the 10 year and 5 year treasury bond futures will carry out the seller's hand delivery mode, that is, at the rolling delivery stage, the seller will determine the position of the buyer who enters the delivery according to the principle of "priority of declaration intention, the longest priority of holding day and the same proportion of positions on a daily basis", and the buyer may enter the delivery in the rolling delivery stage.

For some investors who do not know the contract rules well and have weak financial strength, they can prepare for shifting positions ahead of schedule, so as to avoid entering the balance compensation after the passive delivery of the goods due to insufficient delivery.

Since the beginning of this year, the market has experienced 2 reduction and 2 rate cuts, and the capital side is relatively loose.

Combined with the low number of CPI and PPI data released in the first few days, the downward pressure on the economy is still relatively large, so bond prices still have a driving force for the rise of PPI.

At the same time, the yield of treasury bonds has rebounded recently, and Treasury futures prices also declined due to the shift of the main contract and other factors.

From the spot market of the Treasury bonds, the liquidity of the 7 year treasury bonds may be weakened due to the difficulty in becoming CTD coupons for future treasury bonds.

On the contrary, because of the 10 year treasury bond futures listing, the liquidity of the 10 year treasury bonds has been significantly improved, so we can shift the focus of the operation to a better liquidity period of 10 years.

For the 7 year treasury bonds with reduced liquidity, on the one hand, they can hold on to the 5 year treasury bonds futures delivery when the remaining period is reduced to less than 5.25 years; on the other hand, because of the relatively high interest rate of the existing securities, the bank configuration households will have certain allocation requirements when the rate of return rises, and they can also be sold in due course.