美伊停火谈判，曲线走平
美伊停火谈判，曲线走平 本周（04.06-04.12）国债曲线走平。周二，资金面延续偏松格局，由于短端较为拥挤，机构开始逐渐做多曲线中长端，曲线走平。周三，美伊战争停火后市场对于通胀的担忧明显下降，长端品种顺势走强，曲线继续走平。周四，霍尔木兹海峡再度被封锁，不过对债市影响不大。上午债市仍呈现走平态势，但临近尾盘，部分做平曲线资金似乎出现离场迹象，中短端品种走强。周五，3月PPI同比增速如期转正，但通胀向下转导动力不足，CPI同比增速不及预期，超长债继续走强。截至4月10日收盘，两年、五年、十年和三十年期国债期货06合约结算价分别为102.482、105.935、108.270和112.320元，分别较上周末变动-0.008、-0.040、+0.045和+1.050元。 ★美伊停火谈判，曲线走平 下周市场消息较多，利空扰动开始上升，但起决定性作用的、能够持续利空市场的因素相对不多。资金利率小幅上行难改宽松格局；经济数据能否持续修复尚需观察，且Q1数据超预期后Q2大概率不会有增量政策；能化即使再度涨价，输入性通胀这一利空也不强。交易盘的操作是较为灵活的，上述消息能否成为交易盘集中止盈的依据尚需观察。若做平曲线或是做多TL头寸已经有浮盈，那么可以继续持仓观望，但追涨需要谨慎。 策略方面：1）单边策略：单边多头若有浮盈可以暂持仓观望，但追涨需谨慎。2）曲线策略：若做平曲线有浮盈可以继续持有。3）空头套保：战争进程具有不确定性，仍然建议关注空头套保策略。4）期现策略：TS基差偏高，建议关注做窄基差策略。 ★总结与展望 若做平曲线有浮盈可以继续持有。 ★风险提示： 战争再度升级，通胀上升。 目录 1、一周复盘及观点...................................................................................................................................................................41.1本周走势复盘：国债期货曲线走平...................................................................................................................................41.2下周观点：美伊停火谈判，曲线走平..............................................................................................................................42、利率债周度观察...................................................................................................................................................................52.1一级市场..............................................................................................................................................................................52.2二级市场..............................................................................................................................................................................63、国债期货...............................................................................................................................................................................83.1价格及成交、持仓..............................................................................................................................................................83.2基差、IRR..........................................................................................................................................................................103.3跨期、跨品种价差............................................................................................................................................................114、资金面周度观察.................................................................................................................................................................125、海外周度观察.....................................................................................................................................................................136、通胀高频数据周度观察...................................................................................................................................................137、总结与展望.........................................................................................................................................................................148、风险提示.............................................................................................................................................................................14 图表目录 图表1：当周下周国内重点数据一览.............................................................................................................................................................4图表2：本周利率债净融资额为3183.72亿元..............................................................................................................................................5图表3：本周国债净融资额小幅下降.............................................................................................................................................................5图表4：本周地方债净融资额下降.................................................................................................................................................................6图表5：本周同业存单净融资额下降.............................................................................................................................................................6图表6：本周国债收益率走势分化.................................................................................................................................................................6图表7：关键期限国债估值变化.....................................................................................................................................................................6图表8：10Y-1Y利差走阔，10Y-5Y和30Y-10Y均收窄..............................................................................................................................7图表9：隐含税率下降.....................................................................................................................................................................................7图表10：分机构净买卖时序：国债.................................................................................................................
