1. Funds
Last week DR007 was running at 184%-1.In the 94% range, the funding rate was basically stable compared with the previous week, and the central bank made greater efforts to protect the cross-month funds. The central bank carried out a total of 1,747 billion yuan of reverse repurchase operations throughout the week, and 230 billion yuan was withdrawn due to the expiration of 1,977 billion yuan of reverse repurchase. The RRR cut on the 5th of this month will release long-term liquidity, and it is expected that liquidity will remain relatively loose during the Spring Festival.
Interbank pledged repo weighted rate (%)
Data**: wind, the statistical interval is 202401.02-2024.02.042. Cash market
1) Interbank certificates of deposit: The interest rate on 1-year certificates of deposit fell sharply, down about 5bp to 2 compared with the previous week35%, the spread between the long-end and short-end of certificates of deposit has been compressed to a very low level, mainly due to the impact of the sudden easing of cross-month funds, and the demand for long-term certificates of deposit allocation has exploded, and there is almost no interest rate spread with the short end.
Trend in the yield on interbank certificates of deposit (%)
Data**: wind, the statistical interval is 202401.02-2024.02.04 (2) Interest rate bonds: last week's net financing of ** bonds was 14780.3 billion yuan, an increase of 2629 from the previous week5.8 billion. In the secondary market, the overall trend of the bond market is very strong, and the yield of 10Y treasury bonds fell by 750bp to 242%；Ultra-long bonds continued to strengthen, and the spread of 30-10 Treasury bonds fell to a historical 01% quantile level.
10-year interest rate bond yield trend (%)
Data**: wind, the statistical interval is 202401.02-2024.02.04 (3) Credit bonds: Last week, the yields of all credit ratings of credit bonds fell, of which the 5-year AAA-rated medium notes fell by 64bp, 4-year AA+ medium note down 779BP, 2-year AA mid-term note down 755bp。The yields of corporate bonds of all grades and maturities all fell; Among them, the 1-year AAA grade is down 738bp, 3-year AA+ downgrade 818bp。
Trend in credit bond yields (%)
Data**: wind, the statistical interval is 202401.02-2024.02.043. Convertible bonds
Last week, the China Securities Convertible Bond fell by 222%, outperforming the CSI All-Share Index. As of last Friday, the average market-wide conversion premium rate of convertible bonds was 8044%, a month-on-month change of 2181 percentage points; The average yield to maturity of pure bonds is 038%, a month-on-month change of 167 percentage points.
4. Market hotspots
Last Wednesday, the country's official manufacturing PMI for January was announced to be 492. Expected 492, the previous value was 49. The non-manufacturing PMI was 507, the previous value of 504。On the whole, the manufacturing PMI increased slightly in the past season, and various sub-items also improved, but the PMI was still in the contraction range, and the high-frequency data was also weak, which was relatively good for bonds.
Last week, the bond market continued to be sought after by funds, and the most influential variable came from the sharp correction of **, with the Shanghai Composite Index falling by more than 6% for the week. It shows that the current market sentiment is extremely low, and the market's confidence in economic growth still needs to be boosted. The beginning of the year is often the time window for institutions to allocate sharply, and the imbalance between supply and demand is also the main reason why bonds are difficult to adjust. But the biggest problem right now is the downside in yields.
Looking ahead, if the funding rate remains at the current level, the downside of short-end assets is more limited, while in the long term, the market's pricing of loose expectations and weaker fundamentals is more sufficient, and the downside of long-term interest rates may also be limited, and the yield of 10-year Treasury bonds is expected to be at 24%-2.6% range**. In the future, if the short-term policy rate is lowered, the overall market interest rate is expected to continue to be at the highest level. Relatively still optimistic about credit assets, including short- and medium-term urban investment bonds, 3-5 years of "two permanent bonds" and other varieties.
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