利率周记（9月第2周）：跨期价差策略在国债期货的应用

Core Insights - The report highlights the potential expansion of the cross-period price difference after the expiration of the 2509 contract, emphasizing the impact of cross-period price differences on hedging costs [2][4]. Factors Influencing Cross-Period Basis - Multiple factors affect the cross-period basis, including the theoretical pricing of government bond futures, which is influenced by the net price of the CTD bond, the carry of the CTD bond, and the value of the delivery option [3][4]. - The cross-period price difference is positively correlated with the trend of funding rates. A significantly higher coupon rate on bonds compared to funding rates increases the likelihood of an upward movement in the cross-period price difference [4]. - The value difference of delivery options between near and far-month contracts also affects the cross-period price difference. As the probability of CTD switching increases, the value of the delivery option for the far-month contract rises, leading to potential expansion of the cross-period price difference [4][6]. Calendar Effect on Cross-Period Price Difference - An analysis of the cross-period price difference for the T contract since 2024 indicates a higher probability of upward movement, primarily due to the convergence of basis as the near-month contract approaches expiration [6]. - The report suggests that the T/TL contracts are currently at a high position, recommending a narrow basis strategy, while in the context of the equity market disturbances, a steep curve strategy can still be pursued [6]. Conclusion - The report concludes that in a relatively loose funding environment, it may be appropriate to take a long position on the cross-period basis, particularly observing the liquidity of the 2603 contract as the 2509 contract approaches expiration [6].