Foreword
This round of market ** is not so much a natural disaster as a man-made one. And human beings must have their own drive. In the capital market, no one is here to do charity. There are always only two ultimate problems to be solved by funds, one is to get chips at a low level without a high stock price, and the second is to ship at a high level without selling pressure.
For Big Mac players, it is extremely difficult to get goods in a low position. Take the familiar ** as an example, once the main force ** is straight up. For example, if a 7 billion plate is bought by the main force of two or three hundred million, there will be a direct price limit, not only can you not get the goods, but if the cost is too high, there is a risk of taking over. Therefore, if you want to get enough goods at a low level without increasing the cost, you must take the goods quietly at a low level for a long time to oscillate and wash the dishes, and if it doesn't work, then violently wash the dishes, and fly straight down, and you can be scared to death as much as you want. A-shares are a super big **, the logic is exactly the same, but the process is much more complicated.
To discuss the bottom, in addition to the change pattern (technical appearance), it is also necessary to have a more comprehensive understanding of the funds of market participants and the current state of funds.
Snowball products
The estimated scale is about 300 billion yuan, plus leverage (up to 4 times), the estimated capital is in the trillion scale. The snowball is mainly linked to the index and **. The knock-in ratio of the peg index is larger, and the pegged ** is good. According to public information, it is estimated that 95% of the current round of Xueqiu's high leverage has achieved liquidation. The washing of this part of the funds can be said to be relatively sufficient.
Quantify DMA
2023 has been the best year for small-cap stocks. Therefore, with the help of artificial intelligence, the super track of quantitative funds to make a lot of money. There must be brave men under the heavy reward, and the scale of funds or the leverage ratio give quantitative funds courage.
Therefore, in this atmosphere, quantitative neutral strategies generally adopt the strategy of long small and micro caps and short indices to hedge risks. When the ** index does not fall or falls slightly, the small and micro market will make huge profits.
But in 2024, the style of painting will change abruptly, and the small and micro disks will collapse with the blessing of a mysterious force, and even the phenomenon of more kills and more stampedes.
What's even worse is that the mysterious funds kill the small and micro disks with one hand and hold the ** index with the other. Let quantification take care of one and lose the other, and both ends will be deflated. As the saying goes, the net is open, and this time it can be described as strangulation.
This kind of strategy product is mainly for quantitative private equity customers to borrow brokerage seats to increase leverage, and the leverage can be 4 times, with an estimated scale of about 400 billion. Since the beginning of this session, the average decline of small and micro disks has been 30%. As a result, there is little money left.
Margin trading
According to the data, the current financing scale of the two cities is less than 1About 5 trillion yuan-, corresponding to the maintenance of the guarantee ratio of 226%. With the significant increase in the pressure of closing positions last Friday, about 5-10% of customers in the grassroots exchange of the business department have recently received additional capital requirements, and the impact of small and medium-sized market capitalization is greater, and it is currently in the early stage of deleveraging, and it is generally believed that the overall safety of the scale of 1 trillion yuan is two, and the other 500 billion cannot be estimated.
1. The guarantee ratio fell to a historical low: on February 5, the two financial institutions maintained the guarantee ratio of 222%, a single-day decrease of -39%, which has broken through the low of April '22 (235%), and the lowest since 2015 is 216% in October '18. Since January, the ratio of the two guarantees has decreased rapidly, and the fluctuation pressure has increased.
2. Single-day margin financing and securities lending decreased significantly: on February 5, the balance of the two financial institutions was 1,481.8 billion yuan, a decrease of 41.8 billion yuan in a single day, a decline of 27%；Among them, the financing balance was 1,420.5 billion yuan, a decrease of 39.5 billion yuan in a single day, a decline of 27%。It is at a value that fluctuates greatly in history. The non-banking, electronic and power equipment industries are among the top two financial balances.
Stake
1. The official data of the China Securities Regulatory Commission will not be repeated, and the current financing scale is 16 trillion yuan (half of the historical peak), the overall situation of grassroots exchanges is better than in 2018, mainly because this business brokerage is more prudent, and there are more pledged shareholder shares, and the current point is expected to fall by 10-20% will have a greater impact;
2. The ratio of shares to guarantee is declining rapidly: Wind estimates that on February 5, the overall guarantee ratio of the pledge of the major shareholder ** is about 200%, and the proportion of the market value of the pledge below the early warning line to the total market value of the pledge of the major shareholder ** is 1447%/7.63%, accounting for 0 percent of the total market value of A-shares37%/0.20%。The pledge market value of major shareholders in the pharmaceutical, basic chemical and electronics industries is among the highest.
Brokerage income swaps
At present, there is no quota for middle and tail brokers, and it is understood that the leverage of this business is not high (customers' own funds, institutions provide channels and services), and the risk is controllable;
Private Placement**
Since 2024, there have been a total of 3 private placements with disclosed net worth**850,000, of which 5,712 fell below the liquidation line, accounting for 149%, 4,317 have not yet fallen below the closing line below the warning line, accounting for 112%。
Conclusion:
Whether it is from the echelon analysis of funds or the technical analysis of the disk. Highly leveraged products such as DMA and Snowball risk are basically released. Other funds, such as income swaps and pledges, are manageable. However, the deleveraging of the financing business is just in the early stage, and it is significantly necessary to introduce long-term or external funds such as insurance capital and leveling at this stage.