债市专题研究：TS在跌什么？

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Short - term TS may continue to be weaker than T and TL due to weak market expectations for central bank interest rate cuts, high capital prices, weaker short - end spot and futures bonds compared to long - end, and the persistence of TS positive arbitrage and hedging strategies [1][35] - The current curve is extremely flat, short - end is significantly affected by capital pricing, and the short - end long - position driving force is limited before the capital price drops significantly [1][14] - Institutions such as funds short futures for hedging to offset interest rate fluctuation risks, and many institutions turn to coupon strategies [2][14] - TS positive arbitrage strategy is a key factor in the decline of TS, with the IRR of the cheapest - to - deliver bond in TS higher than the capital price and a continuous negative basis [3][27] - The main contract of TS is accelerating the switch from TS2506 to TS2509, and TS2506 may perform weaker [4][28] - The possible switch of the cheapest - to - deliver bond of TS2506 from 240024 to 250006 restricts the performance of TS2506 [5][33] Summary by Directory 1 TS in Decline - Since mid - March, the TS contract has been significantly weaker than TF/T/TL contracts. The T main - continuous contract price rose by 1.77% from March 17 to April 22, while the TS main - continuous contract price nearly dropped back to the mid - March low. TS also performed weaker than 2 - year treasury bond spot [12] - Reasons for the decline of TS: - The curve is extremely flat, short - end is affected by capital pricing, and the short - end long - position driving force is limited due to the obvious negative carry and slow decline of the capital price center [14] - Institutions such as funds short TS for hedging. In the current interest rate shock trend, many institutions turn to coupon strategies, and shorting TS can hedge part of the bond market decline risk. The net purchase scale of short - term interest - rate bonds by funds has slowed down since April, while the net purchase scale of short - term credit bonds has increased [2][14][20] - TS positive arbitrage strategy is a key factor. The IRR of the cheapest - to - deliver bond in TS is about 2.3%, significantly higher than the 1.75% - 1.80% return of 1 - year NCD [3][27] - The main contract is accelerating the switch from TS2506 to TS2509. The reasons may be that institutions such as brokers short TS2506 and long TS2509, and non - traditional investors such as funds mainly use TS2509 for hedging and positive arbitrage [4][28] - The possible switch of the cheapest - to - deliver bond of TS2506 from 240024 to 250006 restricts the performance of TS2506 [5][33] - Outlook: Short - term TS may continue to be weaker than T and TL. The 10 - year - 2 - year treasury bond term spread has reached the lowest point since 2020, and the probability of the short - end spot bond weakening significantly again is small [35]