国债日报：收益率曲线陡峭化

410 3007 110 2.3% 25bp A 1 CoCo FOMC TF TS 100.490 101.080 100.880 0.01% 0.07% 0.04% 61,341 64,555 47,667 3,061 13,582 11,354 177,945 103,952 62,165 40 -1,049 305 101.50合约走势 101.00 100.50 100.60 99.00 100.50 100.00 99.50 101.00 100.90 100.80 100.70 8,000.0000持仓变动 6,000.0000 4,000.0000 2,000.0000 0.0000 -2,000.0000 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 0.40 0.30 0.20 0.10 0.00 -0.10 2年期活跃券基差 0.50 0.40 0.30 0.20 0.10 0.00 102.0TS-TF跨品种价差 101.5 101.0 100.5 100.0 101.0 100.8 100.6 100.4 100.2 100.0 220028200005（RHS）价差（右）元TS2306.CFETF2306.CFE 1.0 5年期活跃券基差 0.9 0.8 0.7 0.6 0.5 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 2.230% 2.525% 2.684% 2.822% 2.855% -1.99 0.08 0.03 -0.52 -0.09 1Y%3Y%5Y%7Y%（右）10Y%（右） 2.7 2.5 2.3 2.1 1.9 1.7 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）2023-03-172023-03-16 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 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bpbp美债10-2利差 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 2.252% -4.53 19175.49 925.13 DR007 2.113% -9.39 981.58 36.24 DR014 2.246% -0.09 38.51 -24.36 R001 2.353% -9.19 47066.65 1794.03 R007 2.363% -3.43 566.58 -476.65 R014 2.475% 5.84 21.92 -136.76 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 20.00 2.0 1.0 10.00 0.00 -10.00 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）2023-03-17 2023-03-16 bp 75.00 55.00 35.00 15.00 -5.00 -25.00 隔夜七天 资金分层 -20.00 6,000,000,000.0000 4,000,000,000.0000 2,000,000,000.0000 0.0000 2022-12-152023-01-152023-02-152023-03-15 DR001R001