当前国债期货跨期价差定价特征与展望

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report analyzes the pricing characteristics and influencing factors of the current Treasury bond futures inter - period spreads, and looks forward to the changes in the new round of inter - period spreads (2509 - 2512). It also points out that the inter - period spreads of different varieties show different trends and are affected by multiple factors such as net basis difference, CTD bond spread, and holding income difference [1][4][10] Summary According to the Table of Contents 1. Performance of the Current Round of Inter - period Spreads - In the past year, the inter - period spreads of Treasury bond futures have fluctuated greatly. The 2506 - 2509 contract inter - period spreads are generally negative. TL and T contracts show a fluctuating downward trend, and the TL contract inter - period spread reaches a record low. TF and TS contracts show a complex trend of first downward, then upward, and then downward. The overall Treasury bond futures market is greatly affected by tariff policies [4] 2. Main Factors Affecting the Current Round of Inter - period Spread Trends (1) TL Contract - The spread of the TL2506 - TL2509 contract in May continued to decline, reaching a low of - 0.85 on May 28. The net basis difference is negative, but it is not the main factor driving the decline. The decline of the inter - period spread is mainly due to the change in the CTD bond spread. The CTD bond of the TL2506 contract is mainly 200012.IB, and that of the TL2509 contract is mainly 210005.IB. Their spread widened in May, leading to a significant increase in the net price difference [11][13] (2) T Contract - The spread of the T2506 - T2509 contract in May also showed a downward trend, reaching a low of - 0.28 on May 28. The net basis difference is negative, but not the main driving factor. The decline of the inter - period spread is mainly caused by the change in the CTD bond spread. The CTD bond of the T2506 contract follows 220003.IB, and that of the T2509 contract is mainly 220010.IB. Their spread increased in April - May, driving the decline of the inter - period spread [17][21] (3) TF Contract - The spread of the TF2506 - TF2509 contract in May is relatively complex and has smaller fluctuations. It is driven by both the net basis difference and theoretical pricing. The net basis difference is affected by interest rate cut expectations and market sentiment, showing an oscillating trend. The theoretical pricing is negative, and its trend is consistent with the inter - period spread. The spread between 240014 - 240020 affects the inter - period spread [23][24] (4) TS Contract - The spread of the TS2506 - TS2509 contract in May shows an inverted N - shaped trend. The net basis difference is affected by interest rate cut expectations, market sentiment, and position - shifting motivation. The theoretical pricing is negative, and its trend is consistent with the inter - period spread. Both contribute to the spread change [31][32][33] 3. Pricing Characteristics and Outlook of Inter - period Spreads (1) Pricing Characteristics of the 2506 - 2509 Contract Inter - period Spreads - Commonalities: All varieties' inter - period spreads are negative. The reasons are that the spreads between the underlying bonds of the near - and far - month contracts are negative, and the positive arbitrage of the 2506 contracts is highly cost - effective, leading to the dominance of long - position holders in the early stage of position - shifting [40] - Differences: The impact of CTD bond spreads on different varieties' inter - period spreads varies, with the order of impact being TL > T > TF > TS. The basis characteristics of different varieties also differ. TL contracts are in a state of futures discount, while TS contracts are in a state of futures premium, which affects the position - shifting behavior and inter - period spread trends [41][42] (2) Changes in the 2509 - 2512 Contract Inter - period Spreads - The tracking of the inter - period spread has switched to the 2509 - 2512 contract. The CTD bond spread is no longer the main factor affecting the TL inter - period spread, and more attention should be paid to market sentiment and holding income. The IRR of each variety has declined, and the impact of arbitrage strategies on position - shifting contradictions may change. Continued tracking of the market is needed [43]