summary
- The micro-trading thermometer reading rose to 73% in this period. The reading of "SDIC Securities Fixed Income-Bond Market Micro Trading Thermometer" increased by 4.8 percentage points from the previous period to 73%, which is in the overheated range; among them, the quantile value reading increased faster than the previous period is the institutional leverage index and the commodity price comparison index; in addition, the main indicators with high current congestion are the turnover rate of ultra-long bonds, the turnover rate of the whole market, the cumulative purchase scale of ultra-long bonds of funds, the expectation of monetary tightening, and the comparison of bonds with other major types of assets.
- The proportion of indicators in the overheated zone has increased. Among the 18 micro indicators, 10 micro indicators were in the overheating range (56%), 2 were in the cold range (11%), and 6 were in the neutral range (33%). Among the changes, the market spread index has risen from the neutral range in the previous period to the overheated range in the current period, and the institutional leverage index has risen from the cold range in the previous period to the overheated range. The quantile readings of trading and institutional behavior indicators all increased. In terms of categories, the average quantile reading of the trading popularity index in this period was 86%, a significant increase of 9 percentage points from the previous period, and the average quantile reading of the institutional behavior index was 59%, an increase of 6 percentage points from the previous period. In the past two weeks, the quantile readings of these two types of indicators have continued to rise.
- The turnover rate of ultra-long bonds continues to be at the 100% percentile. In this period, 60% of the trading heat indicators are overheated, 20% are neutral, and 20% are cold. What has changed from the previous period is the institutional leverage index, which has risen rapidly from the cold range of 27% in the previous period to the neutral range of 67%, which is close to overheating. In addition, this week, the quantile value of the 30Y treasury bond turnover rate index is still at a high level of 100%, and the quantile value of the market-wide turnover rate index has also increased compared with the previous period.
- The quantile value of the fund's ultra-long bond purchase volume has been above 98% in the past seven weeks. In this period, 43% of the institutional behavior indicators are overheated, 43% are neutral, and 14% are cold, which is unchanged from the previous period. Among them, the purchase volume of ultra-long bonds of funds is still at the 100% quantile, and the quantile value of the monetary tightening expectation index has increased significantly compared with the previous period.
- The market spread quantile value has returned to overheated territory. The market spreads in the current spread indicators have risen to overheated territory, while policy spreads remain in neutral territory.
- The commodity quantile reading rose rapidly to 99%. 75% of the indicators in this period are overheated and 25% are neutral, which is unchanged from the previous period, and the reading of the quantile value of commodity price comparison has increased faster than that of the previous period. At present, except for the exchange rate comparison index, the other three price comparison indicators are all above 90%.
Risk warning: historical experience is not applicable, and data statistical errors are incorrect.
Text: [The reading of the micro trading thermometer in this period rose to 73%] The reading of "SDIC Securities Fixed Income-Bond Market Micro Trading Thermometer" increased by 4.8 percentage points from the previous period to 73%, which was in the overheating range. In addition, the main indicators with high congestion are the turnover rate of ultra-long bonds, the turnover rate of the whole market, the cumulative purchase scale of ultra-long bonds of funds, the expectation of monetary tightening, and the comparison of bonds with other major types of assets.
[The proportion of indicators in the overheating range has increased]
56% of indicators are in the overheated zone for this period. Among the 18 micro indicators, 10 micro indicators were in the overheating range (56%), 2 were in the cold range (11%), and 6 were in the neutral range (33%). Among the changes, the market spread index has risen from the neutral range in the previous period to the overheated range in the current period, and the institutional leverage index has risen from the cold range in the previous period to the overheated range.
The quantile readings of trading and institutional behavior indicators all increased. In terms of categories, the average quantile reading of the trading popularity index in this period was 86%, a significant increase of 9 percentage points from the previous period, and the average quantile reading of the institutional behavior index was 59%, an increase of 6 percentage points from the previous period. In the past two weeks, the quantile readings of these two types of indicators have continued to rise. (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 turnover rate of ultra-long bonds continues to be at the 100% percentile, with 60% of the current trading heat indicators being overheated, 20% neutral, and 20% being cold. What has changed from the previous period is the institutional leverage index, which has risen rapidly from the cold range of 27% in the previous period to the neutral range of 67%, which is close to overheating. In addition, this week, the quantile value of the 30Y treasury bond turnover rate index is still at a high level of 100%, and the quantile value of the market-wide turnover rate index has also increased compared with the previous period. Specifically:
(1) 30Y treasury bond turnover rate (overheated): The 30Y treasury bond turnover rate index in the current period continued to increase by 4.96 percentage points to 69.66% compared with the previous period, and the quantile reading in the past year was still at 100%, which was unchanged from the previous period. Since the beginning of January 24, the quantile value of this indicator has basically remained at 100%.
(2) Market-wide turnover rate (overheated): The market-wide turnover rate index in the current period increased slightly by 0.4 percentage points from the previous period to 20.72%, and the quantile reading in the past year also increased by 6 percentage points to 99%. The quantile value of this indicator continued to rise during the period, once again approaching the 100% quantile.
(3) Institutional leverage (neutral): The institutional leverage (overnight transaction/full pledged repo) indicator in the current period increased by 2 percentage points from the previous period to 87.43%, and the quantile reading in the past year increased sharply by 40% to 67%, which is close to the overheating range.
(4) The full-market multiple of government and financial bonds (cold): The market-wide turnover rate index in the current period decreased by 0.6 to 3.90 from the previous period, and the quantile reading in the past year was 18%, a significant decrease from 73% in the previous period.
(5) Proportion of long-term treasury bond transactions (overheated): The proportion of long-term treasury bonds traded in the current period decreased by 10.8 percentage points from the previous period to 74.52%, and the quantile reading in the past year was 100%, up from 91% in the previous period.
2. The quantile value of the fund's ultra-long bond purchase volume has been above 98% in the past seven weeks, and 43% of the institutional behavior indicators in this period are overheated, 43% neutral, and 14% are cold, which is unchanged from the previous period. Among them, the purchase volume of ultra-long bonds of funds is still at the 100% quantile, and the quantile value of the monetary tightening expectation index has increased significantly compared with the previous period. Specifically: (1) Fund duration (neutral): The fund duration index for the current period increased by 0.04 years to 2.57 years from the previous period, and the quantile reading in the past year was 45%, an increase of 10 percentage points from the previous period. (The duration calculation results since December 29, 2023 have been retrospectively adjusted based on the 2023Q4 quarterly report) (2) Fund Divergence (Neutral): The fund maturity index for the current period has decreased by 0.01 to 0.49 from the previous period, which has decreased for five consecutive weeks, and the quantile reading in the past year is 51%. (3) Fund ultra-long bond purchase volume (overheated): The fund ultra-long bond purchase volume index in the current period increased slightly by 0.1 percentage points from the previous period to 2.02%, and the quantile reading in the past year was still 100%. This indicator has basically continued to be in the overheating range since April 23, and the quantile readings in the past seven weeks have been above 98%. (4) Bond-based profit-taking pressure (overheating): The bond-based profit-taking pressure index in the current period has risen rapidly to 97.18% from 17.96% in the previous period, and the quantile reading has also climbed from 45% to 91% in the past year. (5) Monetary tightening expectation (overheating): The monetary tightening expectation index in the current period was basically unchanged at 0.93% in the previous period, and the quantile reading in the past year was 95%, an increase of 8 percentage points from the previous period, and the quantile reading rose rapidly. (6) Allocation strength (cold): The allocation strength index in this period continued to rise by 0.02 percentage points to 0.09% compared with last week, and the quantile reading in the past year was 20%, up from 14% in the previous period. (7) Wealth management purchases of listed companies (neutral): The wealth management purchases of listed companies in the current period decreased slightly to 53.2 billion yuan compared with the previous period, and the quantile reading in the past year was 41%, a significant decrease of 13 percentage points from the previous period.
3. The quantile value of market spreads has rebounded to the overheated range
The market spreads in the current spread indicators are in the overheated range, and the policy spreads are in the neutral range. Specifically:
(1) Market spread (overheated): The market spread index in the current period increased slightly to 0.07% from 0.05% in the previous period, and the quantile reading in the past year was 77%, up from 68% in the previous period to the overheated range.
(2) Policy Spread (Neutral): The policy spread indicator was flat at 0.03% in the current period, and the quantile reading in the past year was also flat at 62%.
4. The reading of commodity quantile difference rose rapidly to 99%
75% of the indicators in the current period were overheated and 25% were neutral, which was unchanged from the previous period, and the commodity price comparison increased faster than that of the previous period. At present, except for the exchange rate comparison index, the other three price comparison indicators are all above 90%. Specifically:
(1) Stock-bond yield spread (overheated): The stock-bond yield spread index in the current period increased slightly to -0.68% from -0.78% in the previous period, and the quantile reading in the past year was 92%, down from 100% in the previous period.
(2) Credit yield spread (overheated): The credit yield spread index continued to decrease to -0.31% from -0.29% in the previous period, and the quantile reading in the past year was 99%, up from 97% in the previous period.
(3) Commodity quantile (overheating): The commodity quantile index in the current period increased by 34.5% from 7.2% in the previous period, and the quantile reading in the past year was 99%, a rapid increase from 73% in the previous period.
(4) Exchange rate quantile difference (neutral): The commodity quantile difference index in the current period decreased to 5.27% from 6.79% in the previous period, and the quantile reading in the past year was 53%, which continued to decrease from 63% in the previous period.
Analysts of this report
尹睿哲 SAC执业证书编号：S1450523120003
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