2024-08-14-中证指数-中证债券估值日报20240815_5页_498kb

中证债券估值日报总结（2024年08月15日）

核心内容概述

2024年8月15日，中国债券市场整体呈现波动，利率债收益率上行，信用债收益率下行，国债期货整体下跌，股票市场多数上涨。市场流动性有所改善，但债券估值整体承压。

公开市场操作

• 央行今日开展5777亿元7天逆回购操作，利率保持在1.70%不变。
• 今日有71亿元7天逆回购及4010亿元366天MLF到期。
• 公开市场净投放为1696亿元，显示央行对市场流动性有所支持。

货币市场动态

• Shibor：隔夜Shibor报1.7540%，下行8.80BP；1个月Shibor报1.8110%，下行0.10BP。
• 银行间市场：隔夜回购加权利率较前日下行9BP至1.76%，7天回购加权利率下行5BP至1.83%。
• 交易所市场：隔夜回购加权利率为1.85%，显示市场资金价格整体下行。

债券市场表现

• 交易所债券成交规模：较昨日增加63亿元至1313亿元，其中公司债成交规模增加69亿元至536亿元。

国债期货走势

• 国债期货整体下跌，10年期主力合约跌0.16%至105.545；
• 5年期主力合约跌0.14%至104.250；
• 2年期主力合约跌0.06%至102.052。

利率债市场

• 利率债收益率整体上行，国债收益率波动范围为-1BP至2BP，10年国债收益率上行1BP至2.20%；
• 国开债收益率波动范围为0BP至5BP，10年国开收益率上行3BP至2.26%；
• 利率债估值净价均值较前日下跌0.13元。

信用债市场

• 信用债收益率整体下行，中短票据、企业债及交易所公司债各等级收益率波动范围为-2BP至2BP；
• 信用债估值净价均值较前日下跌0.05元。

债券指数变动

• 中证债券指数：多数下跌，跌幅较大的三条指数为：
  • 中证10+债指数下跌0.299%；
  • 中证10债指数下跌0.129%；
  • 中证全债指数下跌0.125%。
• 中证全债指数：指数值为249.209，到期收益率为2.124%，修正久期为6.63。
• 其他指数：
  • 中证3债指数下跌0.024%；
  • 中证7债指数下跌0.088%；
  • 中证50债指数下跌0.122%；
  • 中证1债指数微涨0.005%。

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 | +0.02% | -0.01% | -0.01% | -0.00% | +0.00% | -0.01% | +0.00% | -0.01% | +0.00% | +0.02% | -0.01% | -0.01% |
| 国开债 | +0.02% | +0.01% | -0.01% | +0.01% | +0.04% | +0.05% | +0.01% | -0.01% | +0.02% | +0.03% | +0.03% | +0.03% |
| 进出口债 | +0.02% | +0.04% | +0.01% | +0.01% | +0.01% | +0.00% | +0.02% | -0.01% | +0.03% | +0.02% | -0.01% | -0.02% |
| 农发债 | +0.00% | +0.02% | +0.00% | -0.01% | -0.04% | -0.11% | -0.12% | -0.15% | -0.20% | -0.19% | -0.36% | -0.44% |
| 地方政府债 | +0.05% | +0.01% | +0.01% | +0.03% | +0.04% | +0.07% | +0.11% | +0.14% | +0.13% | -0.33% | -0.47% | -0.55% |
| 铁道债 | -0.01% | -0.01% | -0.01% | -0.00% | -0.01% | -0.02% | -0.02% | -0.01% | -0.02% | -0.01% | -0.02% | -0.01% |
| 公司债AAA | -0.02% | -0.01% | -0.02% | -0.01% | +0.00% | -0.04% | -0.00% | -0.00% | -0.00% | -0.04% | -0.02% | +0.00% |
| 公司债AA+ | -0.02% | -0.01% | -0.01% | -0.00% | -0.01% | +0.00% | -0.02% | -0.02% | -0.03% | -0.01% | -0.01% | -0.01% |
| 公司债AA | -0.02% | -0.01% | -0.01% | -0.01% | -0.04% | -0.00% | +0.01% | +0.01% | +0.00% | +0.01% | +0.01% | -0.00% |
| 公司债AA- | -0.08% | -0.00% | -0.02% | -0.00% | -0.00% | -0.02% | -0.00% | -0.00% | -0.01% | -0.00% | -0.02% | -0.02% |
| 公司债A+ | -0.01% | -0.00% | -0.01% | -0.00% | -0.00% | -0.00% | +0.01% | -0.01% | +0.00% | -0.00% | -0.01% | -0.02% |
| 公司债A | -0.01% | -0.00% | -0.00% | -0.00% | -0.01% | -0.00% | +0.02% | -0.00% | -0.00% | -0.01% | -0.01% | -0.02% |
| 公司债A- | -0.01% | -0.00% | -0.00% | -0.00% | -0.00% | -0.00% | +0.01% | -0.01% | -0.00% | -0.00% | -0.02% | -0.02% |
| 公司债BBB | -0.01% | -0.00% | -0.00% | +0.02% | +0.01% | +0.01% | -0.00% | -0.00% | +0.01% | -0.00% | -0.00% | -0.00% |
| 公司债CCC | -0.01% | -0.00% | -0.00% | -0.00% | -0.04% | -0.00% | +0.00% | +0.00% | -0.25% | +0.00% | -0.00% | -0.00% |
| 商业银行普通债AAA | -0.00% | -0.00% | -0.00% | -0.00% | -0.00% | -0.01% | -0.04% | -0.00% | -0.00% | -0.03% | -0.05% | -0.09% |
| 商业银行普通债AA+ | -0.01% | -0.00% | +0.00% | -0.01% | +0.01% | -0.01% | -0.04% | -0.00% | -0.03% | -0.05% | -0.00% | -0.09% |
| 商业银行普通债AA | -0.00% | -0.00% | -0.01% | +0.00% | +0.00% | -0.07% | -0.04% | -0.00% | -0.06% | -0.00% | -0.00% | -0.00% |
| 商业银行普通债AA- | -0.00% | -0.01% | +0.00% | -0.01% | +0.00% | -0.00% | +0.01% | -0.00% | -0.03% | -0.00% | -0.00% | -0.00% |
| 商业银行普通债A+ | -0.01% | -0.00% | -0.01% | -0.01% | +0.00% | -0.02% | -0.03% | -0.00% | -0.03% | -0.00% | -0.00% | -0.00% |
| 商业银行普通债A | -0.01% | -0.01% | -0.00% | -0.00% | +0.00% | -0.02% | -0.03% | -0.00% | -0.02% | -0.00% | -0.00% | -0.00% |
| 商业银行普通债A- | -0.01% | -0.00% | -0.00% | -0.00% | +0.00% | -0.02% | -0.02% | -0.00% | -0.02% | -0.00% | -0.00% | -0.00% |
| 城投债AAA | -0.03% | -0.01% | +0.01% | -0.00% | +0.01% | -0.02% | -0.05% | -0.04% | -0.01% | -0.12% | -0.01% | -0.01% |
| 城投债AA+ | -0.00% | -0.00% | +0.01% | -0.00% | -0.00% | +0.00% | -0.01% | -0.01% | -0.02% | -0.00% | -0.00% | -0.00% |
| 城投债AA | -0.02% | -0.02% | +0.00% | -0.01% | +0.01% | +0.00% | -0.01% | -0.04% | -0.02% | -0.02% | +0.01% | +0.01% |
| 城投债AA- | -0.03% | -0.01% | -0.01% | -0.00% | -0.02% | +0.00% | -0.02% | -0.03% | -0.03% | -0.00% | -0.03% | -0.02% |
| 产业债AAA | -0.02% | -0.01% | -0.02% | -0.01% | -0.05% | -0.02% | +0.00% | +0.00% | -0.01% | -0.08% | -0.02% | +0.00% |
| 产业债AA+ | -0.02% | -0.01% | -0.01% | -0.00% | -0.01% | -0.00% | -0.02% | -0.02% | -0.02% | -0.04% | -0.01% | -0.00% |
| 产业债AA | -0.02% | -0.06% | -0.00% | -0.01% | -0.01% | -0.01% | +0.00% | +0.00% | -0.06% | -0.01% | +0.01% | -0.00% |
| 产业债AA- | -0.05% | -0.00% | -0.01% | -0.00% | -0.01% | -0.02% | -0.00% | -0.00% | -0.01% | -0.01% | -0.02% | -0.00% |

关键期限估值均价变动

股票市场表现

• 上证综指：上涨0.94%，报2877.36点；
• 深证成指：上涨0.71%，报8370.12点；
• 创业板指：上涨0.53%，报1592.71点；
• 沪深300：上涨0.99%，报3341.95点；
• 科创50：上涨0.94%，报707.55点。

重要声明

• 本材料仅供参考，不构成任何投资建议。
• 中证指数有限公司不保证其准确性或完整性。
• 使用本材料可能导致的任何损失，中证指数有限公司不承担法律责任。
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