Key takeaways:
Market performance: TMT continued**, new energy sector**. This week (0108-01.12) The Shanghai Composite Index closed at 288198，**1.61%, SZSE Component Index**132%, GEM refers to **081%, BSE 50**1139%；CSI 300**135%, Wind full a**147%, Hang Seng Index**176%, Hang Seng Technology**339%。Except for the Beijing Stock Exchange 50, the main ** indices of A-shares and Hong Kong stocks all showed a downward trend. From a stylistic point of view, the periodic style (-0.).84%) performed the best, with a growth style (-2.).02%) performed the worst. Specifically, look at the technology manufacturing sector: electronics (-4.).22%), computer (-4.).18%), communication (-3.).22%), media (-3.).05%); Driven by subdivided industries such as photovoltaics, energy storage, lithium batteries, and power transmission and transformation equipment, the new electricity industry (+ 202%) and the automotive industry (-0.).40%). To sum up, TMT and other growth style sectors continued to have a large trend this week, and new energy sectors such as photovoltaic and lithium batteries showed a relatively large increase this week after last week.
L3 and L4 are open to road test points, and high-level autonomous driving is expected to accelerate the commercialization process. L3 is an important watershed moment in the transition from assisted driving to autonomous driving, and China has issued a relevant notice in November 2023, giving detailed regulations on vehicle access and road test points for L3 and L4 autonomous driving, and L3 and L4 autonomous driving are expected to accelerate the commercialization process. Autonomous driving is evolving to L3, and NOA models are rapidly penetrating. NOA is the touchstone of high-level autonomous driving, and at present, high-speed NOA has been implemented on a large scale, and urban NOA is entering a stage of rapid advancement. In 2023, the penetration rate of high-speed NOA is expected to be close to 10%, and the urban NOA will exceed 6%. The China Association of Automobile Manufacturers predicts that urban NOA will cover more than 200 cities in 2024, and the sales of NOA models will reach 3.5 million units in 2025, and the application scale will increase significantly in the next two years.
Multi-sensor fusion has become a key solution for L3 and above, and the demand for LiDAR bicycles has increased. For autonomous driving, safety redundancy is a key element for people to consider, and the multi-sensor fusion scheme with lidar is an important safety guarantee for the acceleration of intelligent driving. In the first ten months of 2023, the market share of the 11V1R1L solution containing lidar in China's NOA model sensor solution is about 348%。The Academy of Information and Communications Technology predicts that from L3 to L5, the number of lidar bicycles will increase from 1 to 4 6. The leading machine enterprises will begin to increase their volume in 2023, and the lidar industry may meet the critical point of commercialization. In 2023, the total sales volume of Suteng Juchuang LiDAR products will be about 2560,000 units, a year-on-year increase of more than 3 times; Hesai Technology's total sales are expected to exceed 220,000 units, a year-on-year increase of more than 17 times. The rapid increase of leading enterprises may mean that the lidar industry will usher in a critical point of commercialization, and it is expected to continue to grow rapidly in the future. In terms of market space, CIC predicts that the global automotive lidar solution market will exceed 1 trillion yuan in 2030, with a CAGR of about 103 from 2022 to 20305%。
Key takeaways:
The central bank's "bailout" measures before the Spring Festival have the meaning of "soldiers and horses have not moved, grain and grass go first" - a sharp cut of 50BP, PSL has been put into place for months, and the trillion capital space has been opened, and the question is how to use it. We promptedIn the first quarter of 2024, the "good start", the success of fiscal afterburner is particularly important, and it is also inseparable from the reflation momentum of easy liquidity and credit expansion. However, the market has already signaled a slowdown in the pace of credit. This means that to achieve a "good start" in the first quarter, there is a gap in social finance (mainly credit and ** bonds) - in order to prevent the risk of capital idling caused by abundant liquidity, it is necessary to speed up the issuance of bonds and easy credit after the holiday. So what is the "bottom line" of social finance in the first quarter? We take the excess reserve ratio as the main focus, and benchmark the excess reserve rate in the same period in 2023, under the assumption that ** debt is the main force, we calculateIn the first quarter of 2024, the new social finance needs to be increased to more than 13 trillion yuan (14. in 2023Q15 trillion),In order to take into account the anti-aircraft transformation of funds and the steady growth of the economy, the bond market may have adjustment risks at this time; If the new social finance data falls significantly year-on-year, the easing of liquidity and the volatility of the economic recovery are both driving factors for the continuation of the bond market in the short term.
First of all, from multiple dimensions, liquidity before the Spring Festival in 2024 may be the most stable and abundant in recent years. First, the central bank's unprecedentedly huge liquidity injection: since January, the central bank's reverse repurchase and MLF stocks have been higher than the same period in history, and in early February, there was a 1 trillion liquidity release after the RRR cut, and there was an expansion of PSL and other structures in the first quarter. Second, the financial pressure is controllable before the holiday: the interest rate of DR007 is less volatile near the Spring Festival, and the leverage ratio of the bond market is higher than that of the same period in history. Third, the excess reserve rate is higher than that of the same period in 2023: due to the easing of the supply pressure of ** bonds in January, the incremental continuation of MLF and the increase in PSL, it is estimated that the excess reserve rate of financial institutions in January 2024 will be 15%, up from 1. in January 20233%, followed by 1. at the end of the first quarter of 2024 based on seasonal projections8%, up from 17%, reflecting that there is a lot of room for bank credit expansion in the first quarter of 2024. Well, against the backdrop of looser liquidity,What are the follow-up measures to expand credit and avoid capital idling? From the perspective of social finance, it is necessary to increase the amount of credit and debt. According to calculations, the capital air defense is transferred to the first debt or "twice the result with half the effort", and the task of increasing credit is somewhat "heavy".
In addition, the central bank can also withdraw liquidity through open market operations after the holiday. We expect the reverse repo balance to fall in February-March; However, due to its stronger policy attributes, MLF is unlikely to significantly shrink the sequel in February and month. How did the new scale of social finance in the first quarter change the market? If the new social financing increases significantly less than the same period last month, the easing of liquidity and the slow expansion of credit by entities can become the driving factors for the continuation of the bond market in the short term. Historically, we can refer to the first quarter of 2020: after the 50bp RRR cut at the beginning of the year, the economy was hit by the epidemic, monetary easing increased, the central bank increased liquidity to promote interest rates to decline significantly, and credit expansion was limited by real demand, ** debt force was not obvious, and the 10-year treasury bonds went all the way down, until the fundamentals improved in late April and the special treasury bonds were introduced. On the other hand, if social finance can achieve a "good start" in the first quarter, it will consume the level of excess reserves to converge the capital side, and the prosperity of physical financing will also rebound, and the bond market may face adjustment pressure. Historically, we can refer to the first quarter of 2023, when credit and the economy got off to a good start after the epidemic prevention adjustment, the funding interest rate rose, and the 10-year Treasury bond yield rebounded at the beginning of the year**.
Key takeaways:
Since the beginning of this year, bond market yields have fallen rapidly against the backdrop of weak performance and rising easing expectations. At the end of the year and the beginning of the year, how much pressure is there on cross-festival funds? What will happen to the financial side after the holiday? What are the changes in the funding at the beginning of the year? In terms of funding rates, since the beginning of this year, the pace of bond supply has slowed down, the pressure on credit delivery is relatively controllable, and the overall capital side is loose in January, but the trend of market interest rates is differentiated, mainly manifested in the general upward trend of overnight and 7-day funding rates, while most of the interest rates of other currencies are downward, and the money market curve is flattening. In terms of central bank operations, the central bank carried out an appropriate amount of hedging at the beginning of the year, and approached the New Month and the Spring Festival, and the central bank "increased" reverse repo. In the middle of the month, the central bank continued to renew the MLF in excess of the amount, but the scale of the increase declined compared with the end of last year. Overall, the central bank's open market achieved a net withdrawal of 149 billion yuan in January. In the bond market, bond yields fell rapidly in January, led by loose expectations and a seesaw of stocks and bonds, and inverted with the 1-year MLF rate.
How much pressure is there on cross-section funds? In terms of government bonds, we expect the scale of government bond issuance in February to be the same as that of the previous month; In terms of local bonds, the issuance of special bonds in February may be significantly accelerated, and post-holiday bonds are also expected to continue to advance. On the whole, we expect the issuance of government bonds and local bonds in February to be about 126 trillion yuan, 632 billion yuan due, net financing scale of about 627 billion yuan. From the perspective of capital supply and demand, the acceleration of local bond issuance and the arrangement of treasury bonds will form a certain drag on liquidity, in addition, the pressure on payment may also increase slightly; However, the fiscal "expenditure exceeds revenue" will provide support for the capital side, and the demand for cash withdrawals after the holiday will also decline. On the whole, excluding the factors of reverse repo and MLF maturity, the funds of the banking system remained basically stable in February, and the liquidity pressure eased significantly compared with the previous month.
Is there room in the bond market? Looking ahead, the central bank is likely to continue to inject short-term funds across the festival and withdraw them after the holiday, and the reverse repo balance may continue to be high this month. For the 499 billion yuan MLF that is due in February, we expect the central bank to continue to continue to exceed the amount slightly. Standing at the moment, with the comprehensive RRR cut at the beginning of the month, the pre-holiday financial pressure is relatively controllable, but the phenomenon of capital stratification may continue. After the holiday, as the funds flow back into the banking system, the pressure of capital ** or marginal loosening and capital stratification will also be eased. In terms of the bond market, in the context of the landing of RRR cut funds to protect the capital side, the short-end interest rate may still have room to fall after the holiday, and the long-end further decline needs to wait for the release of easing signals. In addition, considering the acceleration of the pace of bond supply and the demand for credit and red, there is still a risk of phased tightening of the capital side, and for February, which is in the data window period, the direction of the policy interest rate or the focus of the market, the current real interest rate is still at a high level, and there is still room for further reduction.
Key takeaways:
Changes that may occur after volatility increases. Volatility has risen as expected, while volatility differences between styles have reached all-time highs. In the later stage, we can expect this volatility difference to converge over a long period of time, and there may be two ways: 1) ** The volatility of the value style will make up for the increase, and the volatility of the other three styles will decelerate and gradually top. 2) The overall volatility is gradually decreasing, and the volatility of the growth style is more obvious. In either case, it means that the value style will gradually lose its advantage, and the advantages of small-cap, especially small-cap growth, will gradually return. Overall, we believe that in the medium term, we can expect volatility to stabilize and even fall, corresponding to the market gradually finding a bottom and trying to fix it. Of course, this process is not easy to accomplish overnight.
The mode of existence of inertia changes, and the market rotation cycle may become longer. On the one hand, after August 2023, the strategy of weekly rotation of strong industries has begun to underperform, which is not limited to "rotating the top five industries"; On the other hand, the momentum effect at the monthly level is gradually becoming prominent. The current data shows that the momentum effect of the leading industries has previously entered a historically weak level and is gradually picking up in recent months, which means that the existence of market inertia is changing from the previous "weekly continuous" to "monthly continuous". At this point, the market will switch more slowly from one style to another, and once the switch is successful, the new style may last for about 2 months. For our strong bond portfolio in 2023, the disadvantage is that we can't rely too much on 1-2 weeks of short momentum to make decisions, and the advantage is that as long as the plan is right, it should be able to capture the inertia of a longer period, and the stability of the position will be stronger.
February may be a key succession period, and the response can be moderately detached from the previous "defensive thinking". According to the previous analysis, we tend to believe that February may be the baton period of the market style, and at present, it should be the baton of the growth of the first value to the small cap, and whether the process is successful and smooth directly determines the subsequent market form. In the last week of January, the intensity of sector rotation fell below the threshold, suggesting that the strong sectors in the first two weeks of February may be worth watching, that is, the appropriate operating range may be closer to March. In terms of thinking, we believe that in February, at least there should be no overemphasis on "low volatility" and "defensiveness" as before, and the flexibility can be moderately enhanced, the balance can be maintained in style, and the attention to balanced varieties can also be moderately increased in the conversion of bonds, and it is recommended that investors make decisions based on their own operational flexibility and volatility sensitivity.
Key takeaways:
Main line 1: supply and demand in the bond market: the "asset shortage" was significant in January, and the margin may ease in February. In January, the yield of the bond market fell rapidly, the trend exceeded market expectations, and the strong distribution force brought about by the mismatch between supply and demand was one of the leading factors, superimposed on the expectation of interest rate cuts and weak risk appetite as triggers, and the yield of the 10-year treasury bond active bond on February 4 was 2401%, the lowest since June 2002. Main line 2: funds: there may be room for easing after the holiday, pay attention to the change of stratified pressure. (1) In February, the pressure on credit supply was not great, and there may be seasonal recovery opportunities for large banks, and the return of cash withdrawals after the holiday will also help. (2) From the perspective of the trend of funds after the RRR cut, after the New Year's Eve, funds may have marginal room for easing. (3) The tax period is relatively late, and the supply margin of ** bonds increases, mainly focusing on the disturbance at the end of the month. On the whole, the release of legal funds in February, fiscal expenditure and currency repatriation in March will help to help liquidity, and if the pressure on capital stratification eases, there may be room for further repair at the short end. Main line 3: High-frequency verification of easy credit policy: focus on industrial production, real estate sales and holiday consumption.
Bond market strategy: the duration game may be extended, but it needs to take into account the cost performance of varieties. (1) Long-end: The 10-year treasury bond has been fully priced in interest rate cut expectations and other positive, the current odds are low, and the current round of long-end yields has fallen rapidly, mainly catalyzed by bullish sentiment and the impact of institutional bond allocation at the beginning of the year. Institutions can continue to explore high-coupon "interest-rate-like" varieties to continue to participate in the duration game, and prefer more cost-effective 7-10Y policy bank subordinated bonds, 5-7Y Tier 2 capital bonds, and 7-10Y ** corporate bonds. (2) Short-end: The RRR reduction funds are implemented to protect the cross-section of funds, and the post-holiday funds may still protect the short-end. The 1-year CDB-Treasury spread has been passively widened, and the spread protection is relatively more sufficient; The quantile of the 2-1 year maturity spread of treasury bonds is at a historical high of 76%, and the convexity is good, so it can be given priority. (3) Eryong: Institutions with "supplementary duration" demands can pay attention to high-coupon Tier 2 capital bonds with a remaining maturity of 5-7 years, and their interest rate spreads are slightly higher than those of 7-10 years; In addition, the spread of the 1-year state-owned stock bank and the second permanent bond is in the 20%-25% quantile, and the spread protection is more sufficient, and the short-end state-owned bank can be deployed in advance.
Key takeaways:
In the February 3, 2024 issue titled "Long-Term Bond Yields Fall Continuously, Two Perspectives on Follow-up Points", we reviewed the two rounds of bull markets since 2013, and the third round of bond bulls that is still ongoing began on February 18, 2021. In the first two rounds of bull to bear inflection points, there was an active tightening of fundsAt present, the funding side is still relatively loose, so there is still room for yields to fall. However, judging from the valuation of Chinese bonds, the yield of 10-year treasury bonds has fallen to the lowest level since July 2002 in the short term, and we observe the sentiment of the primary and secondary markets from the scale of new issuance and fixed-opening pure bonds that will enter the open period in the first half of 2024, respectively, to assess whether there will be profit-taking and redemption pressure on the bond base.
In the first half of 2024, what is the scale of fixed-opening pure bonds** that have entered the open period? We have calculated the opening scale of short-term and medium- and long-term fixed-opening pure bonds** in each month in the first half of 2024. From February to June 2024, the scale of opening up in each month will remain above 300 billion yuan, about 520 billion yuan respectively, and the scale of opening up in June will be the highest.
From the perspective of yield, the cumulative annualized return of fixed-opening pure bonds** has reached a high level, which has gradually highlighted the pressure on institutions to take profits. We calculated the cumulative annualized rate of return of fixed-opening pure bonds** from the last open to February 6, 2024, and weighted the average according to the scale of ** (excluding the undisclosed net value**, and the net value of some **open periods fluctuated greatly), and the result was 512%。Compared with other investment income, it outperforms the central bank's three-year lump sum deposit benchmark interest rate by 275%, far exceeding the yield of the CSI 300 Index in 2023. From the supply side, the scale of newly issued pure bonds** has shrunk. In November, December 2023 and January 2024, the scale of new issuance of pure debt** and 14 billion yuan, respectively, if the scope is narrowed to fixed opening**, the scale of new issuance and 7.9 billion yuan, respectively, showing a trend of declining month by month. The expectation of bond yields will have an impact on the scale of new pure bonds** issued in the primary market, and the scale of new issuance** will rise when the current interest rate is expected to be a stage high and will enter a relatively smooth downward trend in the future. The scale of new issuance in January 2024 is weak, and the corresponding primary market issuance is relatively conservative, which to a certain extent indicates that institutions are more conservative about whether the follow-up bond yields can continue to break through to the downside.
Bond yields** have fallen since 2024, reflecting that market sentiment is still volatile. As of February 5, 2024, the yield on 10-year Treasury bonds has risen nine times since January from the previous day56%** down to 240%。Bond yields have repeatedly risen and fallen, indicating that the current bond market sentiment is still unstable. Combined with our previous statistics on the pace and scale of the opening of fixed-opening pure bonds, April is the time point for the first profit-taking redemption pressure to be released, and if the redemption scale is not large at that time, the second pressure time point is in June. As of the end of 2023, the total scale of pure debt** is about 67 trillion yuan, given that the monthly opening scale of fixed-opening pure bonds** is relatively small compared with the total amount, and the possibility of stampede redemption is small, the profit-taking pressure is limited. As for the trend of the bond market, we still maintain the view that interest rates will continue to fall, and loose monetary policy and "asset shortage" will become the main line of the bond market.