2024-10-22-中证指数-中证债券估值日报20241023_4页_507kb
报告摘要
中证债券估值日报总结（2024年10月23日）
一、市场动态
1. 公开市场操作
- 央行今日开展7927亿元7天逆回购操作，利率维持在1.50%不变。
- 今日有6424亿元7天逆回购到期，公开市场净投放为1503亿元。
2. 货币市场
- Shibor：隔夜Shibor报1.4900%，上行1.30BP；1个月Shibor报1.8200%，持平。
- 银行间市场：隔夜回购加权利率较前日下行至1.50%，7天回购加权利率上行至1.64%。
- 交易所市场：隔夜回购加权利率为1.85%。
3. 债券市场
- 交易所债券成交规模较昨日增加190亿元至1735亿元。
- 公司债成交规模增加91亿元至633亿元。
二、国债期货表现
- 国债期货整体下跌：
- 10年期主力合约下跌0.18%至105.870
- 5年期主力合约下跌0.11%至104.580
- 2年期主力合约下跌0.04%至102.276
三、利率债市场
1. 收益率变动
- 国债收益率整体波动-3BP至+3BP，10年期国债收益率较前日上行2BP至2.16%。
- 国开债收益率整体波动0BP至+3BP，10年期国开债收益率上行2BP至2.23%。
2. 估值净价
四、信用债市场
- 信用债市场收益率整体上行，中短票据、企业债和交易所公司债各等级收益率波动1BP至6BP。
- 信用债品种估值净价均值较前日下跌0.12元。
五、指数变动
- 中证债券指数全线下跌：
- 中证全债指数下跌0.133%，到期收益率为2.098%，修正久期为6.77。
- 跌幅居前的三条指数：
- 中证中票50指数下跌0.323%
- 中证10+债指数下跌0.316%
- 中期信用指数下跌0.194%
六、关键期限收益率
| 曲线 |
0.25Y |
0.5Y |
0.75Y |
1Y |
2Y |
3Y |
5Y |
7Y |
10Y |
15Y |
20Y |
30Y |
| 国债 |
1.42% |
1.44% |
1.42% |
1.43% |
1.57% |
1.68% |
1.84% |
2.05% |
2.16% |
2.27% |
2.36% |
2.36% |
| 国开债 |
1.62% |
1.72% |
1.74% |
1.77% |
1.84% |
1.84% |
1.92% |
2.14% |
2.23% |
2.30% |
2.37% |
2.38% |
| 进出口债 |
1.64% |
1.73% |
1.75% |
1.77% |
1.83% |
1.88% |
1.96% |
2.15% |
2.25% |
2.30% |
2.37% |
- |
| 农发债 |
1.58% |
1.73% |
1.75% |
1.76% |
1.83% |
1.89% |
1.97% |
2.15% |
2.26% |
2.30% |
2.37% |
2.38% |
| 地方政府债 |
1.64% |
1.73% |
1.74% |
1.74% |
1.75% |
1.82% |
1.97% |
2.14% |
2.28% |
2.36% |
2.38% |
2.40% |
| 铁道债 |
1.84% |
1.88% |
1.89% |
1.91% |
2.00% |
2.09% |
2.19% |
2.20% |
2.35% |
2.38% |
2.40% |
2.42% |
| 公司债AAA |
2.00% |
2.02% |
2.03% |
2.08% |
2.18% |
2.24% |
2.34% |
2.37% |
2.53% |
2.60% |
2.64% |
2.65% |
| 公司债AA+ |
2.07% |
2.09% |
2.10% |
2.17% |
2.27% |
2.35% |
2.48% |
2.59% |
2.81% |
2.87% |
2.91% |
2.94% |
| 公司债AA |
2.24% |
2.26% |
2.28% |
2.34% |
2.46% |
2.54% |
2.73% |
2.82% |
3.10% |
3.14% |
3.18% |
3.20% |
| 公司债AA- |
2.82% |
2.91% |
2.98% |
3.07% |
3.33% |
3.48% |
3.82% |
3.85% |
3.98% |
4.03% |
4.08% |
4.08% |
| 商业银行普通债AAA |
1.96% |
1.96% |
1.95% |
1.98% |
2.10% |
2.13% |
2.23% |
2.31% |
2.44% |
2.50% |
- |
- |
| 商业银行普通债AA+ |
1.98% |
2.01% |
2.03% |
2.08% |
2.18% |
2.24% |
2.34% |
2.37% |
2.53% |
2.60% |
2.64% |
2.65% |
| 商业银行普通债AA |
2.04% |
2.10% |
2.10% |
2.15% |
2.29% |
2.36% |
2.50% |
2.57% |
2.67% |
2.76% |
2.82% |
2.82% |
| 商业银行普通债AA- |
2.13% |
2.21% |
2.26% |
2.34% |
2.46% |
2.54% |
2.73% |
2.82% |
3.10% |
3.14% |
3.18% |
3.20% |
| 城投债AAA |
2.00% |
2.05% |
2.06% |
2.07% |
2.19% |
2.25% |
2.39% |
2.41% |
2.55% |
2.62% |
2.63% |
2.65% |
| 城投债AA+ |
2.09% |
2.10% |
2.13% |
2.17% |
2.26% |
2.31% |
2.47% |
2.58% |
2.81% |
2.89% |
2.92% |
2.94% |
| 城投债AA |
2.17% |
2.20% |
2.24% |
2.27% |
2.36% |
2.42% |
2.57% |
2.72% |
3.05% |
3.13% |
3.15% |
3.17% |
| 城投债AA- |
2.48% |
2.56% |
2.66% |
2.67% |
2.77% |
2.94% |
3.58% |
3.97% |
4.28% |
4.54% |
4.59% |
4.65% |
| 产业债AAA |
2.01% |
2.02% |
2.03% |
2.07% |
2.18% |
2.24% |
2.34% |
2.37% |
2.53% |
2.60% |
2.64% |
2.65% |
| 产业债AA+ |
2.08% |
2.10% |
2.11% |
2.16% |
2.27% |
2.35% |
2.47% |
2.59% |
2.81% |
2.88% |
2.91% |
2.94% |
| 产业债AA |
2.25% |
2.27% |
2.28% |
2.35% |
2.47% |
2.53% |
2.73% |
2.82% |
3.10% |
3.14% |
3.18% |
3.20% |
| 产业债AA- |
2.82% |
2.91% |
2.98% |
3.07% |
3.33% |
3.48% |
3.82% |
3.85% |
3.98% |
4.03% |
4.08% |
4.08% |
七、关键期限收益率变动
| 曲线 |
0.25Y |
0.5Y |
0.75Y |
1Y |
2Y |
3Y |
5Y |
7Y |
10Y |
15Y |
20Y |
30Y |
| 国债 |
-0.01% |
-0.02% |
-0.01% |
-0.01% |
-0.02% |
-0.05% |
-0.11% |
-0.15% |
-0.16% |
-0.22% |
-0.32% |
-0.65% |
| 国开债 |
+0.06% |
+0.02% |
+0.02% |
+0.03% |
+0.03% |
+0.00% |
+0.01% |
+0.01% |
+0.02% |
+0.02% |
+0.03% |
+0.03% |
| 进出口债 |
+0.01% |
+0.01% |
+0.02% |
+0.03% |
+0.01% |
+0.03% |
+0.04% |
+0.03% |
+0.02% |
+0.02% |
- |
- |
| 农发债 |
+0.01% |
+0.01% |
+0.01% |
+0.02% |
+0.01% |
+0.04% |
+0.05% |
+0.03% |
+0.02% |
+0.01% |
+0.03% |
+0.03% |
| 地方政府债 |
+0.00% |
+0.02% |
+0.03% |
+0.02% |
+0.02% |
+0.03% |
+0.01% |
+0.01% |
+0.02% |
+0.02% |
+0.03% |
+0.02% |
| 铁道债 |
+0.00% |
+0.00% |
+0.01% |
+0.02% |
+0.01% |
+0.03% |
+0.04% |
+0.03% |
+0.02% |
+0.03% |
+0.01% |
+0.04% |
| 公司债AAA |
+0.01% |
+0.02% |
+0.01% |
+0.02% |
+0.05% |
+0.05% |
+0.06% |
+0.03% |
+0.04% |
+0.04% |
+0.03% |
+0.03% |
| 公司债AA+ |
+0.01% |
+0.02% |
+0.02% |
+0.04% |
+0.04% |
+0.05% |
+0.05% |
+0.06% |
+0.04% |
+0.05% |
+0.07% |
+0.08% |
| 公司债AA |
+0.02% |
+0.03% |
+0.02% |
+0.03% |
+0.04% |
+0.03% |
+0.04% |
+0.05% |
+0.05% |
+0.05% |
+0.05% |
- |
| 公司债AA- |
+0.03% |
+0.01% |
+0.12% |
+0.02% |
+0.03% |
+0.05% |
+0.06% |
+0.05% |
- |
+0.03% |
+0.08% |
- |
| 公司债A+ |
+0.01% |
+0.01% |
+0.02% |
+0.01% |
+0.03% |
+0.08% |
+0.20% |
+0.24% |
- |
+0.01% |
+0.03% |
- |
| 公司债A |
+0.00% |
+0.01% |
+0.01% |
+0.02% |
+0.04% |
+0.07% |
+0.18% |
+0.22% |
- |
- |
+0.05% |
- |
| 公司债A- |
- |
- |
+0.01% |
+0.01% |
+0.03% |
+0.05% |
+0.12% |
- |
- |
+0.14% |
- |
- |
| 公司债BBB |
- |
+0.01% |
- |
- |
+0.01% |
+0.04% |
- |
- |
- |
+0.01% |
- |
- |
| 公司债CCC |
- |
- |
- |
- |
- |
- |
+0.06% |
- |
+0.06% |
+0.01% |
- |
- |
| 商业银行普通债AAA |
- |
+0.02% |
+0.01% |
+0.02% |
+0.07% |
+0.15% |
+0.20% |
- |
- |
- |
- |
- |
| 商业银行普通债AA+ |
- |
+0.02% |
+0.02% |
+0.02% |
+0.08% |
+0.16% |
+0.22% |
+0.06% |
+0.29% |
+0.53% |
- |
+0.74% |
| 商业银行普通债AA |
- |
+0.03% |
+0.01% |
+0.02% |
+0.03% |
+0.15% |
+0.22% |
+0.03% |
+0.22% |
- |
- |
- |
| 商业银行普通债AA- |
- |
+0.02% |
+0.02% |
+0.02% |
+0.07% |
+0.14% |
+0.21% |
+0.05% |
+0.20% |
- |
- |
- |
| 商业银行普通债A+ |
- |
+0.02% |
+0.02% |
+0.03% |
+0.09% |
+0.14% |
+0.21% |
+0.06% |
+0.19% |
- |
- |
- |
| 商业银行普通债A |
- |
- |
+0.01% |
+0.02% |
+0.08% |
+0.13% |
+0.20% |
+0.07% |
+0.18% |
- |
- |
- |
| 商业银行普通债A- |
- |
- |
- |
+0.03% |
+0.05% |
+0.12% |
+0.17% |
+0.11% |
+0.17% |
- |
- |
- |
| 城投债AAA |
+0.00% |
+0.01% |
+0.02% |
+0.02% |
+0.06% |
+0.09% |
+0.18% |
+0.25% |
+0.26% |
+0.40% |
+0.26% |
+0.23% |
| 城投债AA+ |
+0.00% |
+0.02% |
+0.02% |
+0.04% |
+0.07% |
+0.15% |
+0.20% |
+0.16% |
+0.26% |
+0.24% |
- |
- |
| 城投债AA |
+0.01% |
+0.02% |
+0.02% |
+0.15% |
+0.06% |
+0.09% |
+0.14% |
+0.16% |
+0.22% |
+0.07% |
+0.04% |
+0.08% |
| 城投债AA- |
+0.01% |
+0.01% |
+0.02% |
+0.02% |
+0.04% |
+0.15% |
+0.14% |
+0.11% |
+0.09% |
- |
- |
- |
| 产业债AAA |
+0.01% |
+0.01% |
+0.01% |
+0.02% |
+0.05% |
+0.04% |
+0.05% |
+0.03% |
+0.04% |
+0.04% |
+0.03% |
+0.03% |
| 产业债AA+ |
+0.01% |
+0.03% |
+0.02% |
+0.03% |
+0.06% |
+0.09% |
+0.17% |
+0.16% |
+0.30% |
+0.22% |
+0.15% |
+0.41% |
| 产业债AA |
+0.00% |
+0.03% |
+0.01% |
+0.08% |
+0.07% |
+0.08% |
+0.13% |
+0.15% |
+0.20% |
+0.13% |
+0.05% |
- |
| 产业债AA- |
+0.02% |
+0.01% |
+0.09% |
+0.02% |
+0.09% |
+0.11% |
+0.16% |
+0.25% |
+0.16% |
+0.13% |
+0.06% |
- |
八、关键期限估值均价变动
| 曲线 |
0.25Y |
0.5Y |
0.75Y |
1Y |
2Y |
3Y |
5Y |
7Y |
10Y |
15Y |
20Y |
30Y |
| 国债 |
+0.00% |
-0.00% |
- |
-0.01% |
-0.02% |
-0.05% |
-0.11% |
-0.15% |
-0.16% |
-0.22% |
-0.32% |
-0.65% |
| 国开债 |
-0.01% |
-0.02% |
-0.02% |
-0.03% |
-0.04% |
-0.05% |
-0.09% |
-0.11% |
-0.18% |
-0.22% |
-0.23% |
-0.55% |
| 进出口债 |
-0.00% |
-0.01% |
-0.01% |
-0.03% |
-0.04% |
-0.06% |
-0.16% |
-0.10% |
-0.21% |
-0.20% |
-0.03% |
-0.03% |
| 农发债 |
-0.00% |
-0.01% |
-0.01% |
-0.02% |
-0.04% |
-0.11% |
-0.11% |
-0.21% |
-0.18% |
-0.28% |
-0.25% |
-0.62% |
| 地方政府债 |
-0.01% |
-0.01% |
-0.02% |
-0.02% |
-0.02% |
-0.03% |
-0.05% |
-0.03% |
-0.10% |
-0.21% |
-0.20% |
-0.44% |
| 铁道债 |
-0.01% |
- |
-0.01% |
-0.02% |
-0.03% |
-0.06% |
-0.15% |
-0.19% |
-0.29% |
-0.37% |
-0.31% |
-0.54% |
| 公司债AAA |
-0.58% |
-0.16% |
-0.01% |
-0.20% |
-0.06% |
-0.11% |
-0.19% |
-0.21% |
-0.26% |
-0.20% |
-0.12% |
-0.22% |
| 公司债AA+ |
-0.12% |
-0.17% |
-0.01% |
-0.03% |
-0.06% |
-0.08% |
-0.17% |
-0.16% |
-0.28% |
-0.24% |
-0.15% |
-0.08% |
| 公司债AA |
-0.01% |
-0.07% |
-0.34% |
-0.15% |
-0.07% |
-0.07% |
-0.12% |
-0.13% |
-0.09% |
-0.09% |
-0.05% |
- |
| 公司债AA- |
-0.03% |
-0.01% |
-0.12% |
-0.02% |
-0.10% |
-0.11% |
-0.16% |
-0.25% |
- |
-0.03% |
-0.08% |
- |
| 公司债A+ |
-0.01% |
-0.01% |
-2.86% |
-0.01% |
-0.03% |
-0.08% |
-0.20% |
-0.24% |
- |
-0.01% |
-0.03% |
- |
| 公司债A |
-0.00% |
-0.01% |
-0.01% |
-0.02% |
-0.04% |
-0.07% |
-0.18% |
-0.22% |
- |
- |
-0.05% |
- |
| 公司债A- |
- |
- |
-0.01% |
-0.01% |
-0.03% |
-0.05% |
-0.12% |
- |
- |
-0.14% |
- |
- |
| 公司债BBB |
- |
-0.01% |
- |
- |
-0.01% |
-0.04% |
- |
- |
- |
- |
- |
- |
| 公司债CCC |
- |
- |
- |
- |
- |
- |
-2.50% |
- |
-0.06% |
-0.01% |
- |
- |
| 商业银行普通债AAA |
- |
-0.01% |
-0.01% |
-0.02% |
-0.07% |
-0.15% |
-0.20% |
- |
- |
- |
- |
- |
| 商业银行普通债AA+ |
- |
-0.01% |
-0.02% |
-0.02% |
-0.08% |
-0.16% |
-0.22% |
-0.06% |
-0.29% |
-0.53% |
- |
-0.74% |
| 商业银行普通债AA |
- |
-0.02% |
-0.01% |
-0.01% |
-0.03% |
-0.15% |
-0.22% |
-0.03% |
-0.22% |
- |
- |
- |
| 商业银行普通债AA- |
- |
-0.01% |
-0.02% |
-0.02% |
-0.07% |
-0.14% |
-0.21% |
-0.05% |
-0.20% |
- |
- |
- |
| 商业银行普通债A+ |
- |
-0.02% |
-0.02% |
-0.03% |
-0.09% |
-0.14% |
-0.21% |
-0.06% |
-0.19% |
- |
- |
- |
| 商业银行普通债A |
- |
-0.02% |
-0.01% |
-0.02% |
-0.08% |
-0.13% |
-0.20% |
-0.07% |
-0.18% |
- |
- |
- |
| 商业银行普通债A- |
- |
-0.02% |
-0.02% |
-0.04% |
-0.05% |
-0.12% |
-0.17% |
-0.11% |
-0.17% |
- |
- |
- |
| 城投债AAA |
- |
-0.01% |
-0.02% |
-0.02% |
-0.06% |
-0.09% |
-0.18% |
-0.25% |
-0.26% |
-0.40% |
-0.26% |
-0.23% |
| 城投债AA+ |
- |
-0.02% |
-0.02% |
-0.04% |
-0.07% |
-0.15% |
-0.20% |
-0.16% |
-0.26% |
-0.24% |
- |
- |
| 城投债AA |
- |
-0.02% |
-0.02% |
-0.15% |
-0.06% |
-0.09% |
-0.14% |
-0.16% |
-0.22% |
-0.07% |
-0.04% |
-0.08% |
| 城投债AA- |
- |
-0.01% |
-0.04% |
-0.02% |
-0.04% |
-0.15% |
-0.14% |
-0.11% |
-0.09% |
- |
- |
- |
| 产业债AAA |
- |
-0.09% |
-0.02% |
-0.15% |
-0.18% |
-0.11% |
-0.17% |
-0.16% |
-0.26% |
-0.24% |
-0.14% |
-0.35% |
| 产业债AA+ |
- |
-0.09% |
-0.02% |
-0.03% |
-0.06% |
-0.09% |
-0.17% |
-0.16% |
-0.30% |
-0.22% |
-0.15% |
-0.41% |
| 产业债AA |
- |
-0.03% |
-0.15% |
-0.08% |
-0.07% |
-0.08% |
-0.13% |
-0.15% |
-0.20% |
-0.13% |
-0.05% |
- |
| 产业债AA- |
- |
-0.01% |
-0.09% |
-0.02% |
-0.09% |
-0.11% |
-0.16% |
-0.25% |
-0.16% |
-0.13% |
-0.06% |
- |
九、主要观点
- 公开市场操作：央行净
展开完整摘要
试读结束，高清完整版pdf/doc/ppt,请点下载
