国债日报：风险偏好回升

70 7 7 A TF TS 100.205 100.820 100.745 -0.05% -0.03% 0.00% 60,686 47,407 33,006 9,602 3,630 3,932 171,212 97,836 57,811 2,067 -770 75 101.50合约走势 101.00 100.50 100.00 101.00 100.90 100.80 100.70 15,000.0000持仓变动 10,000.0000 5,000.0000 0.0000 99.50100.60 -5,000.0000 99.00 100.50 -10,000.0000 -15,000.0000 TFTTS(RHS) TSTFT 100,000.0000主力合约成交量 80,000.0000 60,000.0000 40,000.0000 20,000.0000 0.0000 TSTFT 200,000.0000 160,000.0000 120,000.0000 80,000.0000 40,000.0000 TF T TS(RHS) 0.0000 主力合约持仓量 80,000.0000 60,000.0000 40,000.0000 20,000.0000 0.0000 2年期活跃券基差 0.40 0.30 0.20 0.10 0.00 0.60 0.50 0.40 0.30 0.20 0.10 0.00 102.0 101.5 101.0 100.5 100.0 101.2 TS-TF跨品种价差 101.0 100.8 100.6 100.4 100.2 100.0 99.8 220028200005（RHS）价差（右）元TS2306.CFETF2306.CFE 1.2 5年期活跃券基差 1.0 0.8 0.6 0.4 1.1 1.0 0.9 0.8 0.7 0.6 0.5 0.4 2TS-T跨品种价差 101.0 100.5 100.0 99.5 99.0 303.5 303.0 302.5 302.0 301.5 230002220022（RHS）价差（右）元TS2306.CFET2306.CFE 1.5 1.4 1.3 1.2 1.1 1.0 0.9 0.8 0.7 0.6 10年期活跃券基差 1.8 1.6 1.4 1.2 1.0 0.8 0.6 102.0 101.5 101.0 100.5 100.0 99.5 99.0 2TF-T跨品种价差 102.4 102.2 102.0 101.8 101.6 101.4 101.2 101.0 220017220025（RHS）价差（右）元T2306.CFETF2306.CFE 2.220% 2.529% 2.705% 2.839% 2.871% -4.05 -0.20 0.28 -0.02 -0.25 2.7 2.5 2.3 2.1 1.9 1.7 1Y%3Y%5Y%7Y%（右）10Y%（右） 2.98 2.88 2.78 2.68 2.58 3.0 2.5 2.0 1.5 曲线形态 1Y3Y5Y7Y10Y △bp（右）2023-03-102023-03-09 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 5.00 300.00 4.00 200.00 3.00 100.00 2.00 0.00 1.00 -100.00 0.00 -200.00 %中美利差bp bp美债10-2利差 4107 340 150.00 100.00 50.00 0.00 -50.00 -100.00 200.00 -150.00 中美利差(RHS)美债：10Y国债：10Y DR001 1.814% 43.37 25296.25 -2573.73 DR007 2.025% 9.23 1872.54 1065.31 DR014 2.084% 10.80 126.39 -68.37 R001 1.903% 41.28 59024.19 -4984.37 R007 2.167% 5.15 744.96 1870.20 R014 2.315% 9.11 70.00 -295.63 3.5 2.9 2.3 1.7 1.1 0.5 银存间资金价格走势 %%bp 3.0 资金日变动 50.00 40.00 2.0 1.0 30.00 20.00 10.00 0.00 DR001DR007DR014 千元质押式回购成交量 12,000,000,000.0000 10,000,000,000.0000 8,000,000,000.0000 0.0 DR001DR007DR014DR021DR1MDR2MDR3M Δbp（右）2023-03-10 2023-03-09 bp 75.00 55.00 35.00 15.00 -5.00 -25.00 隔夜七天 资金分层 -10.00 6,000,000,000.0000 4,000,000,000.0000 2,000,000,000.0000 0.0000 2022-12-082023-01-082023-02-082023-03-08 DR001R001