国债期货周报：资金面转松，债市情绪有所企稳

2022年11月20号国债期货周报资金面转松，债市情绪有所企稳本报告中所有观点仅供参考，请务必阅读此报告倒数第二页的免责声明。广发期货APP微信公众号 本周主要观点主要观点本周策略上周策略利多•10月经济数据弱于预期•10月PMI供需走弱•10月社融大幅低于预期•10月核心CPI维持低位•疫情反复⚫上周前半周在赎回压力下期债各品种延续11日的下跌，周四周五赎回压力缓解，在央行大额净投放下资金面转松，隔夜资金利率回到1.5%下方，债市市场情绪有所稳定。我们此前提示当前处在强预期与基本面弱现实交织的阶段，10月新增社融低于预期，地产销售尚未有明显起色，后续政策落地实施效果有待观察，且如果社融连续走弱降准降息仍有可能，因此并不意味着期债走向单边下跌，当前可能出现强预期与弱现实交替主导行情的情况，期债波动幅度将明显放大。利空释放后中期期债走势仍需经济基本面定调。当前税期走款过后资金面边际转松，债市情绪企稳后开始修复此前的超跌，期债或出现阶段性反弹，继续关注资金利率走势，如果隔夜资金利率维持在1.5%下方，期债存在进一步修复空间，10年期国债利率预计可下行至1年期MLF利率2.75%附近。激进投资者可短线参与逢低试多，继续关注资金面变化情况。⚫上周我们预期在MLF续作前由于经济数据大概率偏弱叠加宽货币博弈升温，做多情绪或占上风，实际情况来看经济数据确实弱于预期，但政策端明显超预期，松地产和精准化防疫政策密集出台，利好地产投资和消费，强预期短期重现。但需要指出现实仍弱，疫情仍在上行出口继续放缓，信贷如果连续偏弱降准降息仍有可能。短期在政策刺激下市场稳增长预期偏强，风险偏好或有所回升，期债市场情绪转弱。下周二MLF到期，在偏低的信贷和经济数据下或仍有短期博弈降息行情，前期多单建议逢高减仓，无单建议暂时观望。利空•松地产政策密集出台：银行间交易商协会宣布将继续扩大民营企业债券融资支持工具(第二支箭）；央行和银保监会联合发布稳地产16项具体举措•精准化疫情防控政策出台2 目录3国债期货行情资金面跟踪宏观基本面跟踪01020304观点与策略 国债期货行情41 小结行情小结⚫上周在优化防疫政策、松地产政策出台后，市场对基本面预期上修，债市大幅下跌理财出现净值下跌，引发居民-理财-基金的赎回链条，上周前半周期债各品种延续11日的下跌，周四周五赎回压力缓解市场情绪趋稳期债有所企稳。⚫成交和持仓上，期债波动明显放大，各品种成交量大幅放量，同时临近2212合约交割月，移仓换月明显加快。T2212减仓70670手，TF2212减仓43484手，TS221减仓23435手；T2303增仓72007手，TF2303增仓41931手，TS2303增仓13616手，主力合约切换至2303合约。从席位净持仓看，上周至15日各品种空方力量迅速累积，16-18日T和TF合约多方力量有所回升。5 国债期货主力合约走势T2212合约走势TF2212合约走势TS2212合约走势本周，10年期国债期货主力合约2212下跌了0.62%至100.47，5年期国债期货2212下跌0.48%至101.185，2年期国债期货2212下跌0.3%至100.29。成交量方面，上周10年期国债期货成交1,100,418手，5年期国债期货共成交手655,238手，2年期国债期货成交364,590手。上周成交大幅放量。100.4000100.5000100.6000100.7000100.8000100.9000101.0000101.1000101.2000101.3000101.4000101.50002022-09-272022-09-292022-10-012022-10-032022-10-052022-10-072022-10-092022-10-112022-10-132022-10-152022-10-172022-10-192022-10-212022-10-232022-10-252022-10-272022-10-292022-10-312022-11-022022-11-042022-11-062022-11-082022-11-102022-11-122022-11-142022-11-162022-11-18100.2000100.4000100.6000100.8000101.0000101.2000101.4000101.6000101.8000102.0000102.2000102.40002022-09-272022-09-292022-10-012022-10-032022-10-052022-10-072022-10-092022-10-112022-10-132022-10-152022-10-172022-10-192022-10-212022-10-232022-10-252022-10-272022-10-292022-10-312022-11-022022-11-042022-11-062022-11-082022-11-102022-11-122022-11-142022-11-162022-11-1899.000099.5000100.0000100.5000101.0000101.5000102.00002022-09-272022-09-292022-10-012022-10-032022-10-052022-10-072022-10-092022-10-112022-10-132022-10-152022-10-172022-10-192022-10-212022-10-232022-10-252022-10-272022-10-292022-10-312022-11-022022-11-042022-11-062022-11-082022-11-102022-11-122022-11-142022-11-162022-11-18 国债期货持仓量T2212合约持仓量（日）TF2212合约持仓量（日）TS2212合约持仓量（日）持仓量方面，本周10年期国债期货共有222,076手持仓，5年期国债期货共有132,110手持仓，2年期国债期货共有持69,145手。从2212合约持仓量变化来看。本周，T2212减仓70670手，TF2212减仓43484手，TS221减仓23435手。010000200003000040000500006000070000800002022-09-282022-09-302022-10-022022-10-042022-10-062022-10-082022-10-102022-10-122022-10-142022-10-162022-10-182022-10-202022-10-222022-10-242022-10-262022-10-282022-10-302022-11-012022-11-032022-11-052022-11-072022-11-092022-11-112022-11-132022-11-152022-11-170200004000060000800001000001200001400002022-09-282022-09-302022-10-022022-10-042022-10-062022-10-082022-10-102022-10-122022-10-142022-10-162022-10-182022-10-202022-10-222022-10-242022-10-262022-10-282022-10-302022-11-012022-11-032022-11-052022-11-072022-11-092022-11-112022-11-132022-11-152022-11-170200004000060000800001000001200001400001600001800002000002022-09-282022-09-302022-10-022022-10-042022-10-062022-10-082022-10-102022-10-122022-10-142022-10-162022-10-182022-10-202022-10-222022-10-242022-10-262022-10-282022-10-302022-11-012022-11-032022-11-052022-11-072022-11-092022-11-112022-11-132022-11-152022-11-17 国债期货持仓量T2303合约持仓量（日）TF2303合约持仓量（日）TS2303合约持仓量（日）从2303合约持仓量变化来看。本周，T2303增仓72007手，TF2303增仓41931手，TS2303增仓13616手。050001000015000200002500030000350002022-09-282022-09-302022-10-022022-10-042022-10-062022-10-082022-10-102022-10-122022-10-142022-10-162022-10-182022-10-202022-10-222022-10-242022-10-262022-10-282022-10-302022-11-012022-11-032022-11-052022-11-072022-11-092022-11-112022-11-132022-11-152022-11-1701000020000300004000050000600007000080000900002022-09-282022-09-302022-10-022022-10-042022-10-062022-10-082022-10-102022-10-122022-10-142022-10-162022-10-182022-10-202022-10-222022-10-242022-10-262022-10-282022-10-302022-11-012022-11-032022-11-052022-11-072022-11-092022-11-112022-11-132022-11-152022-11-170200004000060000800001000001200001400002022-09-282022-09-302022-10-022022-10-042022-10-062022-10-082022-10-102022-10-122022-10-142022-10-162022-10-182022-10-202022-10-222022-10-242022-10-262022-10-282022-10-302022-11-012022-11-032022-11-052022-11-072022-11-092022-11-112022-11-132022-11-152022-11-17 国债期货价差T价差TF价差TS价差跨品种价差0.000.100.200.300.400.500.602022-10-212022-10-312022-11-10TS当季-TS下季TS当季-TS隔季TS下季-TS隔季0.000.200.400.600.801.001.201.401.602022-10-212022-10-312022-11-10T当季-T下季T当季-T隔季T下季-T隔季0.000.200.400.600.801.001.202022-10-212022-10-312022-11-10TF当季-TF下季TF当季-TF隔季TF下季-TF隔季-1.00-0.500.000.501.001.502.002022-10-212022-10-312022-11-10TS当季-TF当季TS下季-TF下季TS隔季-TF隔季TF当季-T当季TF下季-T下季TF隔季-T隔季TS当季-T当季TS下季-T下季TS隔季-T隔季 中证现券收益率上行中证10年期国债到期收