Treasury bond futures: interest rates are still under upward pressure

Although recent capital easing still provides support, the market continues to be weak, with long-end yields rising. The reasons for the fatigue come from three aspects: first, as of January 4, the Bloomberg Commodity Index rose for 14 consecutive trading days, WTI and oil broke through the $62 / barrel and $68 / barrel mark, respectively, and global inflation expectations rose, making it easier for bond market interest rates to rise. Second, 10-year bonds were reissued on Thursday, with a winning interest rate of 4.9052%, a new high in recent years, putting upward pressure on interest rates in the secondary market. Third, the implementation of various regulatory rules should be accelerated. With the landing of a series of regulatory rules, such as document 302, the new rules for co-deposit and filing, the measures for the management of large risk exposure of commercial banks, the interim measures for the management of equity of commercial banks, the measures for the management of entrusted loans of commercial banks, and so on, the financing pressure of small and medium-sized banks and non-bank institutions is increasing, which may force financial institutions to take the initiative to deleverage, bonds or face the risk of being sold, and the market as a whole is still facing tremendous downward pressure. In the future, the market will continue to focus on regulation and inflation, and debt bears are expected to continue.

Cash arbitrage strategy, for T1803/TF1803 contracts, there is a weak space for positive arbitrage in theory, but it is expected that the overall trend may still be dominated by shocks. In terms of intertemporal spread strategy, the market is currently in a non-position swap period, whether 1803 or 1806 contracts represent the market expectations of the future bond trend, intertemporal spread arbitrage space is limited. In terms of cross-variety arbitrage strategy, consistent with our previous judgment, short-end interest rates have fallen thanks to liquidity easing, while long-end interest rates remain high, and the interest rate curve shows a steep repair. In the short term, the rise in the winning interest rate of CDI 10Y and the rebound in inflation expectations are expected to drive the long-end interest rate to continue to strengthen, and the trend of steep interest rate curve may be maintained.

Strategy: shorting, steepening strategy

Risk points: regulatory expectations are loosened and interest rate curves are flattened

Stock Index Futures: guard against the risk of short-term callback

Benefiting from the loosening of the capital side and the sharp upward boost of the cyclical industry, the market has rebounded continuously recently, with the Prev reaching a peak of 3400 points at one time. This week, although the market is currently in a stage of liquidity relaxation, following the announcement of the new policy opinion on asset management at the end of last year, Banking Supervision No. 302 further regulated bond trading, setting the main tone of strong supervision and financial deleveraging, and market liquidity risk will continue to be under pressure in the short term. In the case of limited leveraged funds and tight sources of institutional funds, it will really limit the demand for incremental allocation of institutional funds. In the context of financial deleveraging, institutional funds can only deduce the stock game. On the whole, although the future large cycle plate is still the main direction of the market, it can also lead the entire market to launch a spring offensive. However, we still have to see that financial deleveraging policies do not show signs of relaxation, the rebound market will not be achieved overnight, after a continuous rise in the short-term market, the risk of pullback must also be vigilant.

Strategy: wait and see

Risk point: liquidity risk