Bond market sentiment index tracking: credit bond funds slightly prolonged

Summary:

    The bond market sentiment index decreased slightly in the week from May 20 to May 24 (mainly due to the slight decline of fund duration and the decline of turnover rate of long and ultra long bonds), and the bond market sentiment index (4-week-MA) after smoothing decreased slightly.

    Indicators of emotional warming include:

    Proportion of pledged repo volume and overnight repo volume; Leverage ratio of inter-bank bond market, leverage ratio of funds, leverage ratio of insurance and securities dealers (increased month on month); Leverage ratio of exchange bond market.

    The duration of credit bond funds rose slightly (median).

    Indicators of emotional cooling include:

    30Y Treasury bond turnover rate.

    The duration of medium - and long-term pure debt funds continued to decline (with leverage, median), but the duration divergence slightly increased; After deducting leverage, the fund duration (median) is shortened; The duration of interest rate bond funds continued to decline (median).

    Indicator 1 of red light of bond market sentiment: duration of medium - and long-term pure bond funds, duration of interest rate bond funds, duration of credit bond funds.

    Indicator of bond market sentiment yellow light: none.

    Indicators that give a green light to bond market sentiment: inter-bank exchange leverage, insurance, fund and brokerage leverage.

    Risk tips: fundamental changes, policies that are less than expected, credit risks, and data statistics that have omissions or deviations.