Dongxing Futures Research Institute, Dongxing Futures Co., Ltd.
Last week, the yield of maturity of the secondary market of the national debt fell across the board, driving the overall rise of the national debt futures. This week may continue to rise, the TF1709 contract focuses on 97.78 support, and the T1709 focuses on 95.2 support.
Last week, the reverse repurchase operation netted back to 60 billion, no MLF operation. There will be 330 billion reverse repurchase due this week. Since June, the central bank has injected sufficient liquidity through tools such as MLF and reverse repurchase. At present, the liquidity of the banking system is relatively abundant, and the market expectation is stable, but the impact of the MPA assessment is still uncertain. Last week, money market interest rates went up and down, and the curve went steep. Overnight and most of the 7-day capital prices fell.
Last week, a total of 95.02 billion interest-bearing government bonds and political bonds were issued. The subscription multiples were generally higher, and the 1-year interest rate bond was the hottest, followed by the 10-year period. The issue rate is generally lower than the yield rate of the secondary market in the previous day. Overall, the flat interest rate curve may be repairing steeply.
Last week, the maturity yield curve of inter-bank key maturity bonds went down and steeped, but the 3-year and 7-year yields remained high, and the “M†pattern remained. In addition, the AAA credit bond spreads rose and fell short.
Last week, the spot performance was stronger than the futures, and the IRR of each contract active coupon declined, but it was still higher than the capital cost. It is recommended to consider the current transaction of the deliverables with higher liquidity and IRR, and hold them to delivery.
Most active coupons have expanded in the past week, and it is recommended to wait and see in the short term. In the long run, we can consider the basis of the short T contract. Last week, the corresponding yield curves of 1709 contract and 1712 contract went down and became 1.5bp and 3bp respectively. The yield curve of China Bond's bond yields went down and became steeper by 2.7bp. It is recommended to make a steep curve strategy for the current season contract. For specific operations, it is recommended to do more than 2 TF1709 contracts and short 1 T1709 contract.
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