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中证指数有限公司
 
中证指数公司从即日起发布国债期货可交割券相关指标
 
    时隔十八年,国债期货于 2013 年 9 月 6 日 重新上市。上市首日,三份合约均呈高开低走态势,累计成交 3.66 万手,其中 12 月合约成交 3.42 万手,占比 93.4% 。据中证估值计算, 5 年合约的 26 只可交割券中,隐含回购利率最大的前 3 位分别是: 05 国债 12 , 10 国债 34 和 13 国债 15 , 05 国债 12 为最便宜可交割券( CTD ),但前两只当日均无交易。 13 国债 15 当日成交较为活跃,累计成交 20.9 亿元,较上日增幅近 1.3 倍,较过去 5 日平均成交增涨 86% 。从日内走势来看,国债期货主力合约与该券有一定相关性,该券首笔成交在 3.98% ,较上日中证估值回落 4bp ,盘中最高上行到 4.01% ,午后呈震荡态势,最后一笔成交在 4.02% ,当日中证估值为 4.02% ,与上日基本持平;比较主力合约与国泰国债 ETF 走势,可发现两者呈高度一致,表明期货价格与一篮子现货价格密切相关。
    为了更好地服务投资者和债券市场,中证指数有限公司于即日起发布 5 年期国债期货可交割券的估值、基差、隐含回购利率等相关指标数据。详见中证指数有限公司网站。
TF1312 可交割券相关指标( 2013-9-6 )
银行间
上交所
深交所
中证估值(净价)
基差
发票价格
隐含回购利率
050012
010512
100512
97.8980
-0.0899
98.3279
3.92%
100034
019034
101034
98.0481
-0.0152
98.5861
3.71%
130015
019315
101315
96.6867
-0.0485
98.2614
3.68%
100031
019031
101031
95.7841
-0.0657
96.6971
3.57%
100024
019024
101024
95.7899
0.0155
96.9966
3.31%
130008
019308
101308
95.7857
0.0490
97.9451
3.17%
100012
019012
101012
95.7298
0.1720
95.8783
2.66%
130003
019303
101303
96.6024
0.2440
99.4411
2.55%
100007
019007
101007
96.4238
0.3197
96.8866
2.22%
100002
019002
101002
96.8415
0.3889
97.7400
2.08%
120016
019216
101216
95.8861
0.4790
96.3331
1.60%
090027
019927
100927
98.2876
0.6482
98.0830
1.33%
090023
019923
100923
97.0492
0.6908
97.2349
0.96%
120010
019210
101210
95.5153
0.6734
96.5195
0.77%
090016
019916
100916
97.3415
0.8418
97.9203
0.50%
090007
019907
100907
95.1654
0.8792
94.6337
-0.14%
120005
019205
101205
97.0753
1.0371
98.7101
-0.26%
090003
019903
100903
95.4881
1.0700
95.2370
-0.81%
110021
019121
101121
98.5080
1.6033
97.5747
-2.01%
080018
019818
100818
98.8433
1.8350
97.8956
-2.87%
110017
019117
101117
98.8485
1.8873
98.6338
-2.96%
130013
019313
101313
96.2920
1.7609
96.2496
-3.20%
110006
019106
101106
99.1367
2.1755
99.9510
-3.86%
130001
019301
101301
96.8124
2.0929
97.6796
-4.26%
110003
019103
101103
99.4727
2.3231
100.5704
-4.26%
080003
019803
100803
100.6271
2.4414
99.1893
-4.54%

TF1312 可交割券相关指标( 2013-9-9 )
银行间
上交所
深交所
中证估值(净价)
基差
发票价格
隐含回购利率
050012
010512
100512
97.7094
0.008585
98.04081
3.58%
100034
019034
101034
97.8629
0.086952
98.2988
3.35%
130015
019315
101315
96.5328
0.081068
97.97792
3.21%
100031
019031
101031
95.6123
0.043378
96.41621
3.18%
100024
019024
101024
95.6304
0.136611
96.71593
2.86%
130008
019308
101308
95.6679
0.211678
97.66458
2.56%
100012
019012
101012
95.6031
0.325318
95.59833
2.07%
130003
019303
101303
96.5216
0.445532
99.15875
1.79%
100007
019007
101007
96.3178
0.495305
96.60496
1.54%
100002
019002
101002
96.7565
0.586516
97.45741
1.31%
120016
019216
101216
95.8601
0.732584
96.05354
0.59%
090027
019927
100927
98.2393
0.885974
97.79694
0.39%
090023
019923
100923
97.0198
0.943732
96.95256
-0.06%
120010
019210
101210
95.5103
0.94628
96.24155
-0.32%
090016
019916
100916
97.3265
1.109558
97.63754
-0.57%
090007
019907
100907
95.1653
1.155384
94.35742
-1.28%
120005
019205
101205
97.0745
1.317746
98.4287
-1.40%
090003
019903
100903
95.4901
1.348702
94.9603
-1.98%
110021
019121
101121
98.4943
1.873519
97.29078
-3.16%
080018
019818
100818
98.8274
2.103312
97.61132
-4.04%
110017
019117
101117
98.8283
2.15117
98.34973
-4.12%
130013
019313
101313
96.2764
2.022302
95.97265
-4.36%
110006
019106
101106
99.1201
2.44297
99.66686
-5.04%
130001
019301
101301
96.8028
2.36087
97.40207
-5.45%
110003
019103
101103
99.4575
2.592538
100.2857
-5.46%
080003
019803
100803
100.6082
2.710162
98.9016
-5.76%

2013年09月10日国债期货可交割券相关指标
银行间 上交所 深交所 中证估值(净价) 基差 发票价格 隐含回购利率
050012 010512 100512 97.5365 -0.0915 97.9506 3.93%
100034 019034 101034 97.6881 -0.0150 98.2072 3.69%
130015 019315 101315 96.3631 -0.0167 97.8871 3.55%
100031 019031 101031 95.4391 -0.0586 96.3338 3.56%
100024 019024 101024 95.4600 0.0374 96.6170 3.16%
130008 019308 101308 95.5181 0.1330 97.5754 2.81%
100012 019012 101012 95.4486 0.2418 95.5120 2.34%
130003 019303 101303 96.3937 0.3892 99.0684 1.94%
100007 019007 101007 96.1753 0.4242 96.5215 1.76%
100002 019002 101002 96.6266 0.5283 97.3566 1.41%
120016 019216 101216 95.7593 0.7027 95.9648 0.62%
090027 019927 100927 98.1293 0.8485 97.7077 0.44%
090023 019923 100923 96.9181 0.9136 96.8692 -0.02%
120010 019210 101210 95.4083 0.9148 96.1539 -0.31%
090016 019916 100916 97.2260 1.0808 97.5353 -0.63%
090007 019907 100907 95.0612 1.1214 94.2735 -1.26%
120005 019205 101205 96.9588 1.2734 98.3386 -1.37%
090003 019903 100903 95.3776 1.3064 94.8801 -1.93%
110021 019121 101121 98.3551 1.8063 97.1988 -3.10%
080018 019818 100818 98.6869 2.0349 97.5262 -3.96%
110017 019117 101117 98.6822 2.0771 98.2574 -4.04%
130013 019313 101313 96.1336 1.9498 95.8855 -4.27%
110006 019106 101106 98.9787 2.3736 99.5743 -5.01%
130001 019301 101301 96.6691 2.2976 97.3144 -5.43%
110003 019103 101103 99.3188 2.5260 100.1925 -5.45%
080003 019803 100803 100.4652 2.6401 98.8145 -5.72%
 
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