南华国债期货周度报告：基本面与流动性共振修复

11 5 2023 Z0016413 gaoxiang@nawaa.com 1. 1.1 1.1 102.2 102.0 101.8 101.6 101.4 101.2 101.0 T2312.CFETF2312.CFETS212.CFE TL2312.CFE(RHS) 99.0 98.9 98.8 98.7 98.6 98.5 98.4 iFInd T2312102.070.36%TF2312 102.0350.22%TS2312101.10.04%TL2312 98.950.83%5.47bp2.66% 7.13bp2.22% 1 1.1 期货数据 周五结算价 周涨跌幅 10年期国债期货 T2312.CFE 102.070 0.36% T2403.CFE 101.770 0.44% 5年期国债期货 TF2312.CFE 102.035 0.22% TF2403.CFE 101.875 0.25% 2年期国债期货 TS2312.CFE 101.100 0.04% TS2403.CFE 101.095 0.09% 30年期国债期货 TL2312.CFE 98.950 0.83% TL2403.CFE 98.700 0.92% 价差数据 价差 周涨跌 跨期价差 T2312-T2403 0.300 -0.08 TF2312-TF2403 0.160 -0.03 TS2312-TS2403 0.005 -0.05 跨品种价差 2TS-T 302.330 -0.19 2TF-T 102.000 0.08 TS-TF 100.165 -0.14 现券收益率 周五收盘价 周涨跌 国债收益率 1Y国债 2.22% -7.13BP 2Y国债 2.37% -0.94BP 3Y国债 2.42% -3.67BP 5Y国债 2.52% -4.25BP 7Y国债 2.66% -4.90BP 10Y国债 2.66% -5.47BP 国开收益率 1Y国开 2.40% -2.24BP 3Y国开 2.49% -2.42BP 5Y国开 2.58% -3.78BP 7Y国开 2.81% -2.47BP 10Y国开 2.72% -3.52BP 资金利率 最新价 周涨跌 银行间质押回购利率 DR001 1.62% 3.31BP DR007 1.76% -36.66BP DR014 1.90% -62.83BP SHIBOR利率 SHIBOR1M 2.43% 3.40BP SHIBOR3M 2.49% 2.20BP iFind 1.210PMI 103110PMI10PMI49.550.2 50.2 PMI50.65251.7PMI50.752 1.8pct1pct 1pct 6 50 2 PMI: 50.20 50.80 1.210PMI PMI: 50.5920.70 49.60 50.50 48.10 PMI: 47.10 49.50 PMI: 484.080.30 48.10 47.70 48.2048.50 PMI: ifind PMI 10 1-9 PMI 3 2023 11 5 1.3 78.00 73.00 68.00 63.00 58.00 53.00 48.00 43.00 38.00 ifind 1.4 ifind PMI 1.3 7 2021-10 2021-11 2021-12 2022-01 2022-02 2022-03 2022-04 2022-05 2022-06 2022-07 2022-08 2022-09 2022-10 2022-11 2022-12 2023-01 2023-02 2023-03 2023-04 2023-05 2023-06 2023-07 2023-08 2023-09 4 2023-10 2023 11 5 1.5 ifind 1.6 390000 340000 290000 240000 190000 140000 90000 40000 ifind 2006-01 2006-11 2007-09 2008-07 WTO 2009-05 2010-03 2011-01 : : : 2011-11 : : : 2012-09 60% 2013-07 2014-05 : 2015-03 2016-01 2016-11 2017-09 2018-07 2019-05 2020-03 2021-01 2021-11 5 2022-09 2023115 2 20bp 10 BillAckman 15bp 113 3.9% 10 3.8% 1.6 ifind FED 10 31 10 2 11,136 1,435,448 627,698 64,336 5 182,686 1,191,589 10 6 2. 2.1 2.1 T 2.0 1.5 1.0 0.5 0.0 ifind 2.2 2.2 35 30 25 20 15 10 ifind 2023-04-03 2023-04-10 2023-04-17 2023-04-24 2023-05-01 230014.IB 2023-05-08 5Y-2YBP 2023-05-15 2023-05-22 2023-05-29 2023-06-05 2023-06-12 2023-06-19 230012.IB 2023-06-26 2023-07-03 2023-07-10 10Y-5YBP 2023-07-17 2023-07-24 2023-07-31 2023-08-07 2023-08-14 220010.IB 2023-08-21 2023-08-28 2023-09-04 2023-09-11 10Y-2YBP 2023-09-18 202311 2023-09-25 2023-10-02 2023-10-09 2023-10-16 2023-10-23 5 60 55 50 45 40 35 30 7 2023-10-30 2023115 / 136 310008 4008888910 www.nanhua.net 603093