summary
- The micro-trading thermometer reading rose to 65% in this period. Among them, the quantile values of indicators such as the full-market multiple of government and financial bonds, the monetary tightening expectation index, the profit-taking pressure of the bond base, and the credit price comparison have increased significantly, while the quantile values of the indicators such as the wealth management purchase volume, policy spread, and commodity price comparison of listed companies have fallen to varying degrees. At present, the indicators with high congestion mainly include the turnover rate of the whole market, the cumulative purchase scale of ultra-long bonds of funds, the price comparison of stocks and bonds, and the index of credit price comparison.
- The number of indicators in the overheated zone still accounts for 44% in this period. Among the 18 micro indicators, the number of indicators in the overheating range still accounted for 8 (44%), the number of indicators in the neutral range increased to 9 (50%), and the number of indicators in the cold range decreased to 1 (6%). Among them, the turnover rate of 30Y treasury bonds and the profit-taking pressure of the bond base have risen from the neutral range to the overheated range, the full-market multiple of government and financial bonds and the exchange rate ratio have increased from the cold range to the neutral range, and the commodity price comparison and policy spread have fallen from the overheated range to the neutral range. The quantile values of trading enthusiasm and institutional behavior indicators continued to rise. In terms of categories, as the quantile value of ultra-long bonds and the market-wide turnover rate continued to rise, and the multiple quantile value of government and financial bonds increased significantly, the average quantile reading of the trading popularity index in the current period rose by 11 percentage points from the previous period to 61%. Among the institutional behavior indicators, although the quantile value of monetary tightening expectations and bond-based profit-taking pressure has rebounded, the quantile value of the wealth management purchase volume of listed companies has dropped significantly, and the average quantile reading of the institutional behavior indicators in this period only slightly increased by 2 percentage points to 61% compared with the previous period.
- The multiple quantile value of government and financial bonds has risen sharply. In this period, the number of indicators in the overheated range has risen to 40%, and the number of indicators in the neutral range still accounts for 60%. Among them, the turnover rate of 30Y treasury bonds continued to rise by 7 percentage points to 77%, rising to the overheated range; The multiple quantile value of government and financial bonds rose sharply by 55 percentage points to 55%, rising to the neutral range.
- The quantile value of the monetary tightening expectation index has rebounded again. In this period, the number of indicators in the overheating range rose to 43%, the proportion of indicators in the neutral range decreased to 43%, and the number of indicators in the cold range remained at 14%. Among them, the quantile value of profit-taking pressure on the bond base rebounded by 9 percentage points to 73%, rising from neutral to overheated range. In addition, the quantile value of the monetary tightening expectation index rose sharply by 21 percentage points to 61% in the current period.
- Policy spreads have fallen back from overheated territory to neutral territory. The market spread is still in the overheated range, and the policy spread quantile has fallen sharply by 15 percentage points to 65%, falling from overheating to neutral range. Mainly due to the rapid rise of the funding rate at the end of the quarter, the spread between it and the 7-day reverse repo rate has widened significantly, resulting in a decline in the policy spread quantile.
- The quantile value of the commodity price comparison index fell sharply. In the current period, the number of indicators in the overheated range decreased to 50%, while the proportion of indicators in the neutral range increased to 50%. Among them, the quantile value of the commodity price comparison index fell sharply by 18 percentage points to 67%, falling to the neutral range; The quantile value of the exchange rate comparison index increased by 8 percentage points to 34%, rising from the cold range in the previous period to the neutral range.
Risk warning: historical experience is not applicable, and data statistical errors are incorrect.
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[Micro trading thermometer reading rises to 65% in this period]
The reading of the "SDIC Securities Fixed Income-Bond Market Micro Trading Thermometer" rose 3 percentage points to 65%. Among them, the quantile values of indicators such as the full-market multiple of government and financial bonds, the monetary tightening expectation index, the profit-taking pressure of the bond base, and the credit price comparison have increased significantly, while the quantile values of the indicators such as the wealth management purchase volume, policy spread, and commodity price comparison of listed companies have fallen to varying degrees. At present, the indicators with high congestion mainly include the turnover rate of the whole market, the cumulative purchase scale of ultra-long bonds of funds, the price comparison of stocks and bonds, and the index of credit price comparison.
[The number of indicators in the overheated range in this period still accounts for 44%]
The number of indicators in the overheated zone still accounts for 44% in this period. Among the 18 micro indicators, the number of indicators in the overheating range still accounted for 8 (44%), the number of indicators in the neutral range increased to 9 (50%), and the number of indicators in the cold range decreased to 1 (6%). Among them, the turnover rate of 30Y treasury bonds and the profit-taking pressure of the bond base have risen from the neutral range in the previous period to the overheated range, the full-market multiple of government and financial bonds and the exchange rate ratio have increased from the cold range to the neutral range, and the commodity price comparison and policy spread have fallen from the overheated range to the neutral range.
The quantile values of trading enthusiasm and institutional behavior indicators continued to rise. In terms of categories, as the quantile value of ultra-long bonds and the market-wide turnover rate continued to rise, and the multiple quantile value of government and financial bonds increased significantly, the average quantile reading of the trading popularity index in the current period rose by 11 percentage points from the previous period to 61%. Among the institutional behavior indicators, although the quantile value of monetary tightening expectations and bond-based profit-taking pressure has rebounded, the quantile value of the wealth management purchase volume of listed companies has dropped significantly, and the average quantile reading of the institutional behavior indicators in this period only slightly increased by 2 percentage points to 61% compared with the previous period. (Note: A quantile reading of more than 70% in the past year is defined as "overheating", below 30% is defined as "cold", and the rest is "neutral", the same below)
1. The multiple quantile value of government and financial bonds has risen sharply
In the current trading popularity indicators, the number of indicators in the overheated range has risen to 40%, and the number of indicators in the neutral range still accounts for 60%. Among them, the turnover rate of 30Y treasury bonds continued to rise by 7 percentage points to 77%, rising to the overheated range; The multiple quantile value of government and financial bonds rose sharply by 55 percentage points to 55%, rising from a cold range to a neutral range
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(1) 30Y treasury bond turnover rate (overheated): The turnover rate of 30Y treasury bonds continued to rise by 12 percentage points to 85.1%, and its quantile reading also rose by 7 percentage points to 77%.
(2) Market-wide turnover rate (overheated): The market-wide turnover rate was basically flat at 23.13% in the current period, and the quantile reading in the past year increased slightly by 3 percentage points to 91%.
(3) Institutional leverage (neutral): Institutional leverage (overnight trading/full pledged repo) continued to decline slightly to 85.23% in the current period compared with the previous period, and the quantile reading in the past year fell by 2 percentage points to 37%.
(4) The full market multiple of government and financial bonds (neutral): The full market multiple of government and financial bonds continued to rise to 4.48 in the current period, and the quantile reading rose sharply by 55 percentage points to 55% in the past year.
(5) Proportion of long-term treasury bonds (neutral): The proportion of long-term treasury bonds traded in the current period decreased by 1 percentage point to 68.19% compared with the previous period, and the quantile reading in the past year also further dropped from 55% in the previous period to 45%.
2. The quantile value of the money market expectation index has rebounded again
In this period, the number of indicators in the overheating range increased to 43%, the proportion of indicators in the neutral range decreased to 43%, and the number of indicators in the cold range remained at 14%. Among them, the quantile value of the debt-based profit-taking pressure index rebounded by 9 percentage points to 73%, rising from the neutral range to the overheated range. In addition, the quantile value of the monetary tightening expectation index rose sharply by 21 percentage points to 61% in the current period. Specifically:
(1) Fund duration (overheating): The duration of the fund in the current period was basically the same as that of the previous period at 3 years, and the quantile reading in the past year increased by 2 percentage points to 82%.
(2) Fund Divergence (Neutral): The fund divergence increased by 0.01 to 0.49 compared with the previous period, while the quantile reading in the past year was basically unchanged at 63%.
(3) Fund ultra-long bond purchase volume (overheated): The fund ultra-long bond purchase volume index in this period rose to 4.06% compared with the previous period, and the quantile reading in the past year was still 100%, which has remained at the 100% quantile for five consecutive weeks.
(4) Bond-based profit-taking pressure (overheating): In June, the yield of the bond market fell relatively rapidly, and the bond-based profit-taking pressure index increased sharply by 18 percentage points to 97% compared with the previous period, and the quantile reading also increased by 9 percentage points to 73% in the past year.
(5) Monetary tightening expectations (neutral): The monetary tightening expectation indicator in the current period was basically unchanged from 0.93% in the previous period, and the quantile reading in the past year rebounded sharply by 21 percentage points to 61%.
(6) Allocation strength (cold): The allocation strength index in this period was basically the same as 0.04% in the previous period compared with the previous period, stopping the downward trend in the first five weeks.
(7) Wealth management purchases of listed companies (neutral): The wealth management purchases of listed companies fell to 48.9 billion in the current period, and the quantile reading in the past year also fell by 18 percentage points to 40%.
3. Policy spreads have fallen from the overheated range to the neutral range
The market interest rate spread is still in the overheated range, and the policy spread quantile has fallen sharply by 15 percentage points to 65%, falling from the overheated range to the neutral range. Mainly due to the rapid rise in the funding rate at the end of the quarter, the spread between it and the 7-day reverse repo rate has widened significantly, resulting in a decline in the quantile value of the policy spread. Specifically:
(1) Market spreads (overheated): The average market spread continued to fall slightly to 0.08%, while the quantile reading rose by 6 percentage points to 78% over the past year.
(2) Policy spread (neutral): Although the yield of the 10-year Treasury bond fell faster this week, its spread with MLF fell further; However, at the end of the quarter, DR007 rose rapidly, and its interest rate spread with the 7-day reverse repo rate widened significantly; As a result, the current policy spread reading has fallen significantly by 15 percentage points to 65% over the past year.
4. The quantile value of commodity price comparison index has dropped sharply
In the current period, the number of indicators in the overheated range decreased to 50%, while the proportion of indicators in the neutral range increased to 50%. Among them, the quantile value of the commodity price comparison index fell sharply by 18 percentage points to 67%, falling to the neutral range; The quantile value of the exchange rate comparison index increased by 8 percentage points to 34%, rising from the cold range in the previous period to the neutral range. Specifically:
(1) Stock-bond yield spread (overheated): The stock-bond yield spread fell slightly to -1.14% in the current period, and the quantile reading rose by 1 percentage point to 100% in the past year.
(2) Credit yield spread (overheated): Credit yield fell slightly to -0.41% in the current period, and the quantile reading rebounded sharply by 11 percentage points to 99% over the past year.
(3) Commodity quantile (neutral): The commodity quantile fell sharply by 19 percentage points to 17.7% in the current period, and the quantile reading fell sharply by 18 percentage points to 67% in the past year.
(4) Exchange rate quantile difference (neutral): The exchange rate quantile difference index rose slightly to 1.53% in the current period, and the quantile value also increased by 8 percentage points to 34% in the past year.
Analysts of this report
尹睿哲 SAC执业证书编号：S1450523120003
Contact
魏 雪 SAC执业证书编号：S1450124050002
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