国债期货周报：1月信贷大幅增长后续关注地产需求，期债短期区间震荡

2023年2月12号国债期货周报1月信贷大幅增长后续关注地产需求，期债短期区间震荡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•央行逆回购投放增加，资金边际转宽⚫短期来看，1月信贷数据高增但此前市场已经充分计入预期，从信贷数据公布后现券市场走势来看更偏向利空出尽，此外近几个交易日央行增大逆回购投放力度，资金面紧张局面有望缓解，债市可能有小幅回暖，但目前宏观数据指向当前经济处在企稳修复阶段，基本面不支持期债大幅上行，新的信号出现前期债还是处在震荡阶段。后续需要重点关注地产需求恢复情况和2月信贷增长持续性。建议短期单边交易性需求维持中性，T2303运行区间参考99.1-100.5。考虑到2303合约存续期间IRR偏低、节后资金转松，空头移仓压力较大，预期后续集中移仓阶段2303-2306价差存在进一步走阔空间，建议可关注做多跨期价差机会。⚫短期来看，春节消费和出行反弹，1月PMI明显反弹，节后风险偏好有所回升，均对债市情绪有压制。另一方面节后M0回流，资金面预期维持宽松，短端表现或强于长端，总体上期债还是处在区间震荡阶段。建议短期单边交易性需求维持中性，T2303运行区间参考99.1-100.5。考虑到强预期弱现实情况，叠加2303合约存续期间IRR偏低、节后资金转松，空头移仓压力较大，预期2303-2306价差存在进一步走阔空间，建议可关注做多跨期价差机会。利空•1月PMI回升至扩张区间，需求有所好转•春节期间消费和出行数据反弹•1月信贷数据大幅好转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 国债期货主力合约走势T2303合约走势TF2303合约走势TS2303合约走势本周，10年期国债期货主力合约2303上涨了0.11%至100.445，5年期国债期货2303上涨0.03%至101.08，2年期国债期货2303价格上涨0.02%得100.955。成交量方面，上周10年期国债期货成交375,049手，5年期国债期货共成交手298,028手，2年期国债期货成交241,007手。100.6500100.7000100.7500100.8000100.8500100.9000100.9500101.00002022-12-192022-12-212022-12-232022-12-252022-12-272022-12-292022-12-312023-01-022023-01-042023-01-062023-01-082023-01-102023-01-122023-01-142023-01-162023-01-182023-01-202023-01-222023-01-242023-01-262023-01-282023-01-302023-02-012023-02-032023-02-052023-02-072023-02-09100.4000100.5000100.6000100.7000100.8000100.9000101.0000101.1000101.2000101.30002022-12-192022-12-212022-12-232022-12-252022-12-272022-12-292022-12-312023-01-022023-01-042023-01-062023-01-082023-01-102023-01-122023-01-142023-01-162023-01-182023-01-202023-01-222023-01-242023-01-262023-01-282023-01-302023-02-012023-02-032023-02-052023-02-072023-02-0999.200099.400099.600099.8000100.0000100.2000100.4000100.60002022-12-192022-12-212022-12-232022-12-252022-12-272022-12-292022-12-312023-01-022023-01-042023-01-062023-01-082023-01-102023-01-122023-01-142023-01-162023-01-182023-01-202023-01-222023-01-242023-01-262023-01-282023-01-302023-02-012023-02-032023-02-052023-02-072023-02-09 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）持仓量方面，本周10年期国债期货共有191,523手持仓，5年期国债期货共有108,889手持仓，2年期国债期货共有持49,409手。从2303合约持仓量变化来看。本周，T2303减仓15098手，TF2303减仓13966手，TS2303减仓7703手。进入2月2303合约进入移仓换月阶段。050001000015000200002500030000350004000045000500002022-12-202022-12-222022-12-242022-12-262022-12-282022-12-302023-01-012023-01-032023-01-052023-01-072023-01-092023-01-112023-01-132023-01-152023-01-172023-01-192023-01-212023-01-232023-01-252023-01-272023-01-292023-01-312023-02-022023-02-042023-02-062023-02-082023-02-100200004000060000800001000001200002022-12-202022-12-222022-12-242022-12-262022-12-282022-12-302023-01-012023-01-032023-01-052023-01-072023-01-092023-01-112023-01-132023-01-152023-01-172023-01-192023-01-212023-01-232023-01-252023-01-272023-01-292023-01-312023-02-022023-02-042023-02-062023-02-082023-02-100200004000060000800001000001200001400001600001800002022-12-202022-12-222022-12-242022-12-262022-12-282022-12-302023-01-012023-01-032023-01-052023-01-072023-01-092023-01-112023-01-132023-01-152023-01-172023-01-192023-01-212023-01-232023-01-252023-01-272023-01-292023-01-312023-02-022023-02-042023-02-062023-02-082023-02-10 国债期货价差T价差TF价差TS价差跨品种价差0.000.100.200.300.400.500.602023-01-062023-01-162023-01-262023-02-05TS当季-TS下季TS当季-TS隔季TS下季-TS隔季0.000.200.400.600.801.001.201.401.601.802023-01-062023-01-162023-01-262023-02-05T当季-T下季T当季-T隔季T下季-T隔季0.000.200.400.600.801.001.202023-01-062023-01-162023-01-262023-02-05TF当季-TF下季TF当季-TF隔季TF下季-TF隔季-1.00-0.500.000.501.001.502.002.502023-01-062023-01-162023-01-262023-02-05TS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年期国债到期收益率（%）中证10年期国开债到期收益率（%）（中证）本周，10年期国债到期收益率上行0.04bp，报2.8994%。（中证）本周，10年期国开债到期收益率上行了0.55bp，报3.0576%。82.74002.76002.78002.80002.82002.84002.86002.88002.90002.92002.94002022-12-262022-12-282022-12-302023-01-012023-01-032023-01-052023-01-072023-01-092023-01-112023-01-132023-01-152023-01-172023-01-192023-01-212023-01-232023-01-252023-01-272023-01-292023-01-312023-02-022023-02-042023-02-062023-02-082023-02-102.85002.90002.95003.00003.05003.10002022-12-262022-12-282022-12-302023-01-012023-01-032023-01-052023-01-072023-01-092023-01-112023-01-132023-01-152023-01-172023-01-192023-01-212023-01-232023-01-252023-01-272023-01-292023-01-312023-02-022023-02-042023-02-062023-02-082023-02-10 宏观基本面跟踪92 3.2 1月PMI在需求拉动下回升至荣枯线上1月制造业PMI回升至荣枯线上，主要受到需求回暖拉动（%）大中小型企业景气度环比变化情况分化中国1月官方制造业PMI为50.1，升至临界点以上，制造业景气水平明显回升。中国1月官方非制造业商务活动指数为54.4，高于临界点，非制造业景气水平触底回升。国家统计局称，1月份，制造业采购经理指数、非制造业商务活动指数和综合PMI产出指数分别为50.1%、54.4%和52.9%，高于上月3.1、12.8和10.3个百分点，三大指数均升至扩张区间，大中小企业景气度回升，大企业回升至荣枯线上。反映疫情峰值过后经济快速修复，服务业修复弹性更大，但是目前经济修复并不稳固，中小企业仍有很大修复空间，节后生产端可能迎来更快恢复。10-5-4-3-2-1012342018-082018-102018-122019-022019-042019-062019-082019-102019-122020-022020-042020-062020-082020-102020-122021-022021-042021-062021-082021-102021-122022-022022-042022-062022-082022-102022-12新订单生产从业人员供货商配送时间原材料库存制造业PMI4.00 6.50 8.70 2.20 3.10 5.30 2.50 5.40 5.70 0102030405060012345678910PMI生产新订单PMI生产新订单PMI生产新订单大型企业中型企业小型企业2023-1PMI值2023-1PMI环比变化 3.1 1月CPI同比回升但低于预期CPI与PPI（%）猪肉鲜菜价格1月CPI同比上行2.1%，PPI同