南华国债期货周度报告：预期纠偏，债市修复

12 4 PSL 9 2023 Z0016413 gaoxiang@nawaa.com 1. PMI 1.1 1.1 102.2 102.0 101.8 101.6 101.4 101.2 101.0 100.8 T2403.CFETF2403.CFETS2403.CFE TL2403.CFE(RHS) 99.5 99.4 99.3 99.2 99.1 99.0 98.9 98.8 iFInd T2403101.950.26%TF2403 101.8550.15%TS2403100.9820.06%TL2403 99.310.41%3.27bp2.67% 2.02bp2.42% 1.1 期货数据 周五结算价 周涨跌幅 10年期国债期货 T2312.CFE 102.030 0.23% T2403.CFE 101.950 0.26% 5年期国债期货 TF2312.CFE 101.755 0.11% TF2403.CFE 101.855 0.15% 2年期国债期货 TS2312.CFE 100.818 0.03% TS2403.CFE 100.982 0.06% 30年期国债期货 TL2312.CFE 99.270 0.31% TL2403.CFE 99.310 0.41% 价差数据 价差 周涨跌 跨期价差 T2312-T2403 0.080 -0. 03 TF2312-TF2403 -0.100 -0. 04 TS2312-TS2403 -0.164 -0. 02 跨品种价差 2TS-T 301.978 -0. 04 2TF-T 101.760 0.0 4 TS-TF 100.109 -0. 04 现券收益率 周五收盘价 周涨跌 国债收益率 1Y国债 2.35% 1.45BP 2Y国债 2.42% -2.02BP 3Y国债 2.47% -0.52BP 5Y国债 2.57% -1.79BP 7Y国债 2.66% -3.41BP 10Y国债 2.67% -3.27BP 国开收益率 1Y国开 2.50% 1.50BP 3Y国开 2.57% 0.09BP 5Y国开 2.67% 0.47BP 7Y国开 2.85% 0.63BP 10Y国开 2.78% 0.08BP 资金利率 最新价 周涨跌 银行间质押回购利率 DR001 1.61% -25.27BP DR007 1.80% -42.23BP DR014 1.86% -90.66BP SHIBOR利率 SHIBOR1M 2.50% 0.90BP SHIBOR3M 2.53% 0.40BP iFind 1.2 10 PMI CPI 10 CPI 3.9% 10 11 1.2 datayes 11 MLF 1.3 ifind 9 1.3 ( 16 PSL PSL 2. 2.1 2.1 T 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 ifind 2.2 2.2 35 30 25 20 15 10 ifind 2023-04-24 2023-05-01 2023-05-08 2023-05-15 2023-05-22 230014.IB 2023-05-29 5Y-2YBP 2023-06-05 2023-06-12 2023-06-19 2023-06-26 2023-07-03 2023-07-10 230012.IB 2023-07-17 2023-07-24 2023-07-31 10Y-5YBP 2023-08-07 2023-08-14 2023-08-21 2023-08-28 2023-09-04 220010.IB 2023-09-11 2023-09-18 2023-09-25 2023-10-02 10Y-2YBP 2023-10-09 202312 2023-10-16 2023-10-23 2023-10-30 2023-11-06 2023-11-13 4 60 55 50 45 40 35 30 5 2023-11-20 2023124 / 136 310008 4008888910 www.nanhua.net 603093