atariarcade| Treasury bond futures weakened: 30-year bonds fell 0.35%, 10-year bonds fell 0.1%, focusing on holding multiple orders and light positions in futures bonds

News summary

Treasury bonds futures continue to weaken. Affected by the relaxation of real estate policies, it is recommended that futures bonds be more than one single and light positions. Cross-variety spread 4TS-T downward, and we need to be vigilant against regulatory and bond supply pressures. The inter-temporal spread converges, and it is recommended to move short positions. The pressure on basis convergence has increased, and there is no opportunity for the current strategy. Risk warning: Pay attention to the pace of issuance of special treasury bonds and local bonds in the second quarter.

Newsletter text

[Treasury bond futures performed weak on Thursday]

On Thursday, treasury bond futures continued to weaken, and contracts of various maturities fell significantly. The 30-year main contract fell 0.0%atariarcade.35%, while the 10-year main contract and the 5-year main contract fell 0.0% respectivelyatariarcade.1% and 0.05%. In addition, the 2-year main contract also fell, with a drop of 0.01%.

In terms of cross-variety price differences, 4TST and 2TF-T rose 0.074 yuan and 0.02 yuan respectively, while 3T-TL rose 0.02 yuanatariarcadedown. For inter-temporal spreads, TSTF, T and TL all showed an upward trend, rising by 0.006 yuan, 0.01 yuan, 0.015 yuan and 0.02 yuan respectively.

estate policyatariarcadeRumors of relaxation of the company put pressure on the bond market, causing the performance of futures bonds to weaken. Despite this, the upward trend of the bond market still exists, and the asset shortage situation has not changed significantly. Investors suggest holding multiple futures bonds in light positions and waiting to see market trends.

In terms of the performance of short-term contracts and medium-and long-term contracts, it is difficult for short-term contracts to continue to outperform medium-and long-term contracts. Regarding the tightening effect of liquidity, investors need to be wary of the pressure of strong supervision and bond supply. In this context, investors can pay attention to the arbitrage strategy of multi-T short TS or multi-T short TL.

The convergence trend of inter-temporal spreads for various varieties of contracts has not been fundamentally reversed, and the market expects that the Niu Ping status is expected to return. As the shifting of positions into the month approaches, it is recommended that short positions start moving positions.

In terms of current prospects, market short sentiment has gradually cooled down, and pressure on basis convergence is expected to increase. In this case, the current strategy temporarily lacks opportunities.

The above view is based on the judgment that the interest rate curve continues to flatten. The risk of misprediction may come from unexpected changes in economic policies or continued easing of liquidity. Investors should pay close attention to the issuance pace of special treasury bonds and local bonds in the second quarter.

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