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Skillsfixed-income-weekly-brief

fixed-income-weekly-brief

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Updated 10-15 19:55

About this skill

Fixed Income Weekly Report Generation Skill

Skill Overview

This skill is aimed at securities fixed income researchers and automatically generates a standardized fixed income market weekly report. Through gildata-aidata professional financial data services, it acquires authoritative data, covering within one week the funding market, interest rate bonds, credit bonds, interbank certificates of deposit, local government bonds, tier-2 capital bonds, perpetual bonds, ABS, central bank operations, and important policy public opinion, and outputs a professional, structured Markdown-format weekly report.

Unlike daily reports, weekly reports focus more onconfirmation of weekly trends、logical coherenceandforward-looking views for next week, emphasizing connecting a week of high-frequency data into a bond market narrative and providing clear allocation recommendations.

Data Acquisition Process

Step 1: Obtain the current date

Use the time tool to obtain the current date and determine the period covered by the report (usually Monday to Friday or the most recent five trading days).

Step 2: Weekly funding market data

Use finx gildata-aidata MacroIndustryEDB to obtain the core weekly funding market indicators:

# 获取DR系列利率周度数据
finx gildata-aidata MacroIndustryEDB --body '{"query": "DR001 DR007 DR014 银行间质押式回购利率 周度"}'

# 获取R系列利率周度数据
finx gildata-aidata MacroIndustryEDB --body '{"query": "R001 R007 R014 质押式回购利率 周度"}'

# 获取SHIBOR利率周度数据
finx gildata-aidata MacroIndustryEDB --body '{"query": "SHIBOR 隔夜 7天 14天 1个月 周度"}'

# 获取同业拆借利率周度数据
finx gildata-aidata MacroIndustryEDB --body '{"query": "同业拆借利率 隔夜 7天 周度"}'

Step 3: Weekly Treasury yield curve data

Use finx gildata-aidata MostActiveRateBondQuotation to obtain weekly quotes for the most active interest rate bond issues:

# 获取利率债最活跃券周度收益率
finx gildata-aidata MostActiveRateBondQuotation --body '{"query": "国债 活跃券 收益率 1年 3年 5年 7年 10年 30年 周度"}'

Use finx gildata-aidata BondDailyClosingQuotes to obtain weekly Treasury futures data:

# 获取国债期货周度行情
finx gildata-aidata BondDailyClosingQuotes --body '{"query": "国债期货 TS TF T TL 2年期 5年期 10年期 30年期 周度"}'

Step 4: Weekly summary of central bank open market operations

Use finx gildata-aidata MacroIndustryEDB to obtain weekly central bank operation data:

# 获取央行公开市场操作周度汇总
finx gildata-aidata MacroIndustryEDB --body '{"query": "央行公开市场操作 逆回购 MLF 投放 回笼 周度汇总"}'

# 获取LPR报价
finx gildata-aidata MacroIndustryEDB --body '{"query": "LPR 贷款市场报价利率 1年期 5年期"}'

Step 5: Weekly credit bond market data

Use finx gildata-aidata BondDailyClosingQuotes to obtain weekly credit bond quotes:

# 获取信用债周度收益率和利差
finx gildata-aidata BondDailyClosingQuotes --body '{"query": "信用债 城投债 产业债 收益率 信用利差 AAA AA+ AA 周度"}'

Step 6: Weekly interbank certificate of deposit data

Use finx gildata-aidata NCDIssueRate to obtain weekly interbank certificate of deposit issuance rates:

# 获取同业存单发行利率周度数据
finx gildata-aidata NCDIssueRate --body '{"query": "同业存单发行利率 AAA 1M 3M 6M 1Y 周度"}'

Step 7: Weekly local government bond data

Use finx gildata-aidata BondDailyClosingQuotes to obtain weekly local government bond quotes:

# 获取地方债发行和二级市场周度数据
finx gildata-aidata BondDailyClosingQuotes --body '{"query": "地方政府债 发行利率 二级市场收益率 3年 5年 7年 10年 周度"}'

Step 8: Weekly tier-2 capital bond and perpetual bond data

Use finx gildata-aidata BondDailyClosingQuotes to obtain weekly bank capital bond data:

# 获取二级资本债和永续债周度行情
finx gildata-aidata BondDailyClosingQuotes --body '{"query": "二级资本债 银行永续债 收益率 AAA AA+ 3年 5年 周度"}'

Step 9: Weekly asset-backed securities (ABS) data

Use finx gildata-aidata BondDailyClosingQuotes to obtain weekly ABS data:

# 获取ABS市场周度数据
finx gildata-aidata BondDailyClosingQuotes --body '{"query": "ABS 资产支持证券 信贷ABS 企业ABS ABN 发行利率 收益率 周度"}'

Step 10: Weekly summary of important policies and public opinion

Use finx gildata-aidata MacroNewslist to obtain a weekly summary of macroeconomic public opinion:

# 获取宏观舆情周度数据
finx gildata-aidata MacroNewslist --body '{"query": "债券市场 货币政策 央行 利率债 周度"}'

Use finx gildata-aidata NewsInfoList to obtain a weekly summary of public opinion across the entire network:

# 获取债券市场重要新闻周度汇总
finx gildata-aidata NewsInfoList --body '{"query": "债券市场 违约 评级调整 监管政策 周度"}'

Step 11: Weekly convertible bond market data (optional)

Use finx gildata-aidata BondDailyClosingQuotes to obtain weekly convertible bond data:

# 获取可转债周度行情
finx gildata-aidata BondDailyClosingQuotes --body '{"query": "可转债 转债指数 行情 周度"}'

Data Processing and Analysis

Weekly Change Calculation

Perform the following calculations on the acquired interest rate data:

  1. Weekly change: this weekend's interest rate - last weekend's interest rate (unit: BP)
  2. Monthly change: this weekend's interest rate - end of last month's interest rate (unit: BP)
  3. Year-to-date change: this weekend's interest rate - end of last year's interest rate (unit: BP)

Term spread analysis

Calculate key term spreads and their weekly changes:

  1. Government bond term spreads：

    • 10Y-1Y spread and weekly change
    • 10Y-2Y spread and weekly change
    • 30Y-10Y spread and weekly change

  2. Credit spreads：

    • Credit spreads and weekly changes for AAA/AA+/AA ratings
    • Divergence in credit spreads between urban investment bonds and industrial bonds

  3. Curve shape assessment：

    • Determine the curve shape based on term spread changes (bull steepening/bull flattening/bear steepening/bear flattening)
    • Analyze in conjunction with the evolution of the curve shape during the week

Report structure

The report must be generated strictly according to the following template, using a professional, concise fixed income research analyst language style:

# 固定收益市场周报

**报告周期：** YYYY年MM月DD日 ~ YYYY年MM月DD日
**编制时间：** YYYY年MM月DD日 HH:MM
**报告类型：** 固收周报

---

## 一、核心观点

> 用3-4句话概括本周债市核心特征，包括：
> - 资金面整体松紧程度及周度变化
> - 利率债走势及收益率曲线形态变化
> - 信用债市场表现及利差变化
> - 本周核心驱动逻辑（政策/数据/资金/情绪等）

---

## 二、本周债市全景复盘

### 2.1 大类资产周度表现

| 资产类别 | 指标 | 本周最新 | 上周末 | 周变动(BP/%) | 本月变动 |
|---------|------|----------|--------|--------------|----------|
| **利率债** | 1Y国债收益率(%) | | | | |
| | 10Y国债收益率(%) | | | | |
| | 30Y国债收益率(%) | | | | |
| **国债期货** | 10年期主力合约 | | | | |
| **资金面** | DR007(%) | | | | |
| **信用债** | AAA 3Y中票收益率(%) | | | | |
| **同业存单** | AAA 1Y NCD利率(%) | | | | |

### 2.2 本周债市交易主线

[分析本周债市交易的核心逻辑，例如：
- "本周债市围绕'弱现实+宽货币预期'主线交易"
- "资金面持续宽松叠加经济数据不及预期，推动利率下行"
- "供给压力与配置需求博弈，利率震荡整理"
等]

---

## 三、资金面周度监测

### 3.1 银行间质押式回购利率周度走势

| 品种 | 本周末(%) | 上周末(%) | 周变动(BP) | 本周均值(%) | 波动区间(%) |
|------|-----------|-----------|------------|-------------|-------------|
| DR001 | | | | | |
| DR007 | | | | | |
| DR014 | | | | | |
| R001 | | | | | |
| R007 | | | | | |

### 3.2 SHIBOR利率周度变化

| 品种 | 本周末(%) | 上周末(%) | 周变动(BP) |
|------|-----------|-----------|------------|
| 隔夜 | | | |
| 7天 | | | |
| 14天 | | | |
| 1个月 | | | |

### 3.3 资金面周度点评

[分析本周资金面整体特征，包括：
- 资金面松紧程度及日度演变
- 央行公开市场操作周度净投放/回笼情况
- 跨月/跨季/缴税等季节性因素
- 非银机构融资成本变化（R-DR利差）
- 下周资金面展望]

---

## 四、利率债市场周度复盘

### 4.1 国债收益率曲线周度变化

| 期限 | 本周末收益率(%) | 上周末(%) | 周变动(BP) | 本月变动(BP) |
|------|-----------------|-----------|------------|--------------|
| 1Y | | | | |
| 2Y | | | | |
| 3Y | | | | |
| 5Y | | | | |
| 7Y | | | | |
| 10Y | | | | |
| 30Y | | | | |

### 4.2 国债期货周度表现

| 合约 | 周末收盘价 | 上周末收盘价 | 周涨跌幅(%) | 周成交量(万手) |
|------|------------|--------------|-------------|----------------|
| 2年期(TS) | | | | |
| 5年期(TF) | | | | |
| 10年期(T) | | | | |
| 30年期(TL) | | | | |

### 4.3 期限利差周度变化

| 利差 | 本周末(BP) | 上周末(BP) | 周变动(BP) | 形态判断 |
|------|------------|------------|------------|----------|
| 10Y-1Y | | | | |
| 10Y-2Y | | | | |
| 30Y-10Y | | | | |

### 4.4 利率债周度点评

[分析本周利率债走势，包括：
- 收益率曲线形态演变（牛陡/牛平/熊陡/熊平）
- 长端与短端利率驱动因素分化
- 现券成交活跃度与买卖盘力量对比
- 利率债供给压力（国债、政金债发行）
- 配置盘与交易盘行为分析]

---

## 五、央行操作与流动性管理

### 5.1 公开市场操作周度汇总

| 操作类型 | 周投放(亿) | 周到期(亿) | 周净投放(亿) | 操作利率(%) |
|----------|------------|------------|--------------|-------------|
| 逆回购 | | | | |
| MLF | | | | |
| 国库现金定存 | | | | |
| 其他 | | | | |
| **合计** | | | | |

### 5.2 流动性管理点评

[分析本周央行操作意图，包括：
- 流动性管理态度（呵护/中性/收敛）
- 削峰填谷操作效果
- 降准/降息预期变化
- 后续流动性展望]

---

## 六、信用债市场周度分析

### 6.1 信用利差周度监测

| 评级 | 1Y利差(BP) | 3Y利差(BP) | 5Y利差(BP) | 周变动(BP) |
|------|------------|------------|------------|------------|
| AAA | | | | |
| AA+ | | | | |
| AA | | | | |

### 6.2 城投债与产业债分化

| 品种 | 3Y收益率(%) | 周变动(BP) | 信用利差(BP) | 利差周变动 |
|------|-------------|------------|--------------|------------|
| 城投债 AAA | | | | |
| 城投债 AA+ | | | | |
| 产业债 AAA | | | | |
| 产业债 AA+ | | | | |

### 6.3 信用债周度点评

[分析本周信用债市场，包括：
- 信用债成交活跃度与流动性
- 信用利差整体走势及结构分化
- 城投债/产业债相对表现
- 低等级信用债配置需求
- 信用风险事件跟踪（如有）]

---

## 七、同业存单市场周度分析

### 7.1 NCD发行利率周度走势

| 评级 | 1M | 3M | 6M | 9M | 1Y |
|------|----|----|----|----|----|
| AAA | | | | | |
| AA+ | | | | | |

*注：表中数值为本周末利率，括号内为周变动(BP)*

### 7.2 同业存单发行与到期

| 指标 | 本周 | 上周 | 环比变化 |
|------|------|------|----------|
| 发行规模(亿) | | | |
| 到期规模(亿) | | | |
| 净融资(亿) | | | |
| 发行只数 | | | |

### 7.3 同业存单周度点评

[分析本周NCD市场，包括：
- 发行利率走势及驱动因素
- 银行负债端压力变化
- 发行期限结构偏好
- 股份制银行与城农商行分化]

---

## 八、地方政府债周度跟踪

### 8.1 地方债一级发行周度汇总

| 期限 | 本周发行规模(亿) | 本周平均利率(%) | 认购倍数 |
|------|------------------|-----------------|----------|
| 3年 | | | |
| 5年 | | | |
| 7年 | | | |
| 10年 | | | |
| 20年 | | | |
| 30年 | | | |
| **合计** | | | |

### 8.2 地方债二级市场周度表现

| 期限 | 本周末收益率(%) | 上周末(%) | 周变动(BP) | 与国债利差(BP) |
|------|-----------------|-----------|------------|----------------|
| 3年 | | | | |
| 5年 | | | | |
| 7年 | | | | |
| 10年 | | | | |

### 8.3 地方债周度点评

[分析本周地方债市场，包括：
- 发行节奏与全年额度使用进度
- 供给压力对利率债市场的影响
- 地方债与国债利差变化
- 配置需求与投标倍数]

---

## 九、银行资本债周度跟踪

### 9.1 二级资本债周度表现

| 品种 | 期限 | 本周末收益率(%) | 上周末(%) | 周变动(BP) | 信用利差(BP) |
|------|------|-----------------|-----------|------------|--------------|
| AAA二级资本债 | 3Y | | | | |
| AAA二级资本债 | 5Y | | | | |
| AA+二级资本债 | 3Y | | | | |

### 9.2 银行永续债周度表现

| 品种 | 期限 | 本周末收益率(%) | 上周末(%) | 周变动(BP) | 信用利差(BP) |
|------|------|-----------------|-----------|------------|--------------|
| AAA银行永续债 | 3Y | | | | |
| AAA银行永续债 | 5Y | | | | |
| AA+银行永续债 | 3Y | | | | |

### 9.3 资本债周度点评

[分析本周银行资本债，包括：
- 成交活跃度与流动性变化
- 信用利差走势及驱动因素
- 银行资本补充需求与发行节奏
- 监管政策影响（如资本新规等）]

---

## 十、资产支持证券（ABS）周度跟踪

### 10.1 ABS一级市场周度发行

| 类型 | 本周发行规模(亿) | 本周发行只数 | 加权利率(%) |
|------|------------------|--------------|-------------|
| 信贷ABS | | | |
| 企业ABS | | | |
| ABN | | | |
| **合计** | | | |

### 10.2 ABS二级市场周度表现

[描述本周ABS二级市场成交活跃度、优先级/次级利差变化、流动性情况等]

### 10.3 ABS周度点评

[分析本周ABS市场，包括：
- 发行节奏与基础资产类型分布
- 房贷/消费贷/汽车贷款/租赁债权等基础资产表现
- 优先级/次级利差变化
- 流动性与配置需求]

---

## 十一、本周重要事件与政策回顾

### 11.1 宏观数据发布

- **[数据名称]**：[数据值]，[预期值]，[前值] → [解读：超预期/不及预期/符合预期，对债市影响]
- **[数据名称]**：...

### 11.2 政策动态

- **[政策名称]**：[政策要点] → [解读：对债市影响]
- **[政策名称]**：...

### 11.3 信用风险事件（如有）

- **[事件描述]**：[影响分析]

### 11.4 监管动态

- **[监管动态]**：[影响分析]

---

## 十二、下周展望与策略建议

### 12.1 资金面展望

[预测下周资金面松紧程度，考虑因素包括：
- 央行公开市场操作到期情况
- 政府债发行计划
- 税期/跨月等季节性因素
- 降准/降息可能性]

### 12.2 利率债展望

[判断下周利率债走势方向，包括：
- 收益率曲线形态预判
- 关键期限利率波动区间
- 多空逻辑分析]

### 12.3 信用债展望

[预判下周信用债市场，包括：
- 信用利差走势
- 城投/产业债配置价值
- 信用风险关注点]

### 12.4 下周重要日历

| 日期 | 重要数据/事件 | 市场预期/关注点 |
|------|---------------|-----------------|
| 周一 | | |
| 周二 | | |
| 周三 | | |
| 周四 | | |
| 周五 | | |

### 12.5 配置与交易建议

[给出下周固收资产配置与交易建议，包括：
- 利率债交易策略（久期选择、曲线策略）
- 信用债配置建议（等级下沉、期限选择）
- 杠杆策略建议
- 风险提示]

---

## 十三、风险提示

- **货币政策风险**：央行流动性投放不及预期，资金面超预期收敛
- **经济数据风险**：经济数据超预期回暖，基本面修复超预期
- **供给冲击风险**：政府债集中发行，利率债供给压力骤增
- **信用风险**：信用风险事件发酵，引发市场风险偏好下降
- **外部因素**：海外货币政策收紧，中美利差倒挂加深
- **监管政策**：金融监管政策超预期收紧

Data acquisition notes

  1. Data accuracy first: If certain data cannot be obtained, clearly mark "data pending update" or "no data available", and do not fabricate data
  2. Multi-source cross-validation: Key data (such as the 10-year government bond yield) should be cross-validated from multiple tools
  3. Timeliness: Prioritize obtaining data for this weekend (Friday or the most recent trading day); if there is no data for the current day, the most recent trading day's data may be used with a note
  4. Unified units: Interest rates are uniformly expressed in percentage (%), spreads and changes in basis points (BP), and amounts in hundred million yuan
  5. Professionalism: Use professional terms commonly used by fixed income research analysts, such as "funding conditions tightening/easing", "bull steepening/bear flattening curve", "asset shortage", "credit stratification", etc.
  6. Weekly perspective: The weekly report must be based on this week's (usually Monday to Friday) data and news, focusing on summarizing the week's trend changes rather than single-day fluctuations

Handling data acquisition failures

If a data query fails:

  1. Try changing the query keywords
  2. If it still cannot be obtained, mark "data pending update" in the corresponding table
  3. Explain the reason for the missing data in the commentary section
  4. Do not affect the display of data in other completed sections

Output requirements

  1. The report must use standard Markdown format
  2. Table data should be aligned, and numbers should retain reasonable decimal places (interest rates to 2-3 decimal places, BP as integers)
  3. The commentary section should be concise and professional, avoiding lengthy narration
  4. Core views must be refined and easy to read quickly
  5. All data must indicate the data source ("Data source: gildata-aidata")
  6. After the report is generated, display the complete content directly in the conversation; no need to send a file

Advanced features

Scheduled task support

This skill supports automatically generating a fixed income weekly report every week through scheduled tasks. Configuration suggestions:

  • Execution time: Every Friday 18:00-19:00 or Monday 09:00-10:00
  • Task description: Automatically generate last week's fixed income market weekly report

Custom templates

Users can request adjustments to the report structure, such as:

  • Simplified version: Retain only the five sections: core views, funding conditions, interest rate bonds, credit bonds, and next week's outlook
  • Detailed version: Include all sections (local government bonds, tier-2 capital bonds, perpetual bonds, ABS, etc.)
  • Custom version: Adjust the order of chapters or add/remove content according to user needs

Historical comparison function

Users can request adding historical comparison dimensions, such as:

  • Compare with end-of-previous-month/quarter/beginning-of-year data
  • Compare with same period last year data
  • Historical percentile analysis of key indicators

Skill invocation example

User input: "Generate this week's fixed income weekly report"

Skill execution:

  1. Get the current date and determine the reporting period (last weekend to this weekend)
  2. Use gildata-aidata service to query in sequence:
    • MacroIndustryEDB Get weekly funding market rates (DR001/DR007/DR014, R001/R007, SHIBOR)
    • MostActiveRateBondQuotation Get weekly yields of the most active interest rate bonds
    • BondDailyClosingQuotes Get weekly market data for treasury bond futures, credit bonds, local government bonds, tier-2 capital bonds, perpetual bonds, and ABS
    • NCDIssueRate Get weekly issuance rates of interbank negotiable certificates of deposit
    • MacroIndustryEDB Get weekly summary of the central bank's open market operations
    • MacroNewslist and NewsInfoList Get weekly summary of policy public opinion
  3. Calculate weekly changes, term spreads, credit spreads, and other indicators
  4. Organize the data and fill it into the report template
  5. Output the complete weekly report in Markdown format