债券市场日评(2023/11/15)
11月15日,中国人民银行公告称,为维护银行体系流动性合理充裕,对冲税期高峰、政府债券发行缴款等短期因素的影响,同时适当供应中长期基础货币,2023年11月15日人民银行开展4950亿元7天期公开市场逆回购操作和14500亿元1年期中期借贷便利(MLF)操作,中标利率分别为1.80%、2.50%。今日有4740亿元逆回购和8500亿元MLF到期,当日实现净投放6210亿元。
资金面方面,银行间同业拆放利率(Shibor)涨跌互现,隔夜shibor报1.8630%,下跌5.00个基点;7天shibor报1.8960%,下跌7.10个基点;14天shibor报2.2840%,上涨7.70个基点;1月shibor报2.2270%,下跌0.70个基点;3月shibor报2.4530%,上涨0.10个基点。 银行间回购定盘利率涨跌互现。FR001报1.99%,跌4个基点;FR007报2.22%,涨2个基点;FR014报2.3%,跌10个基点。
银银间回购定盘利率涨跌互现。FDR001报1.88%,跌4.67个基点;FDR007报2.05%,涨3.87个基点;FDR014报2.28%,涨13个基点。
253D 230016 2.25 ,
345D 230024 2.16 ,
1.33Y(休2) 230005 2.33-2.355,
1.52Y(休1) 220011 2.36 ,
1.78Y 220018 2.36-2.38,
1.86Y 230020 2.33-2.3525 ,
2.25Y(休1/8) 230003 2.385-2.3925,
2.72Y 160017 2.39 ,
2.75Y(休2) 230017 2.3925-2.395 ,
3Y(休1) 230025 2.405 ,
3.55Y 200008 2.43-2.44 ,
4.92Y(休1) 230022 2.50-2.51
5.58Y(休3) 220012 2.6025-2.61 ,
6.51Y 200006 2.6525-2.655
6.83Y(休1) 230019 2.6575-2.67,
7.53Y 210009 2.605 ,
8.01Y 210017 2.65 ,
9.52Y 230012 2.665-2.675
9.78Y 230018 2.655-2.675,
29.42Y 230009 2.964-2.975
29.92Y 230023 2.9475-2.955
362D 210218 2.395 ,
2.16Y(休1) 230202 2.45-2.453
2.3Y 210203 2.47 ,
2.64Y 230207 2.49-2.50 ,
3.58Y 220208 2.555 ,
4.16Y 230203 2.56-2.5725 ,
4.52Y 230208 2.56-2.575,
4.64Y 180210 2.6425-2.645 ,
4.73Y 210209 2.6725 ,
5.51Y 190210 2.7025 ,
5.85Y 190215 2.73 ,
6.93Y(休1) 200215 2.795 ,
7.29Y(休2) 210205 2.825 ,
8.17Y(休2) 220205 2.86 ,
8.67Y(休1) 220215 2.858 ,
8.94Y(休1) 220220 2.855 ,
9.31Y(休1) 230205 2.84-2.8475 ,
9.52Y(休1) 230210 2.756-2.765 ,
9.82Y(休1) 230215 2.72-2.73 ,
17.98Y 210220 3.005 ,
28.01Y(休1) 210221 3.078
国债期货多数收涨,2年期国债期货(TS)主力合约跌0.02%,5年期国债期货(TF)主力合约涨0.01%,10年期国债期货(T)主力合约涨0.03%,30年期国债期货(TL)主力合约涨0.12%。
今日市场短融交投情绪一般,成交主要集中在AAA和AA+的短融产品。
部分成交如下:
23悦达SCP011(113D,AAA)在3.10%成交,低于中债估值11.29bp;
23沪电力SCP020(2D,AAA)在2.35%成交,高于中债估值10.08bp;
23大唐租赁SCP007(15D,AA+)在2.32%成交,低于中债估值1.21bp;
23东航股SCP013(15D,AAA)在2.25%成交,低于中债估值0.86bp;
23西安高新SCP012(131D,AAA)在2.80%成交,低于中债估值8.46bp;
23高淳国资SCP004(174D,AAA)在2.81%成交,低于中债估值5.09bp;
总体而言,今日短融成交收益率较上个交易日有所回落。
本日中票交投情绪较为活跃,市场成交主要集中在 1Y以内以及1-3Y左右的券种,部分活跃成交如下:
1Y以内:
19娄城高新MTN001 (AA+, 60D),成交在2.72%,高于中债估值9.76bp;
23豫航空港MTN004 (AAA, 151D),成交在2.95%,高于中债估值0.21bp;
21鄂能源MTN002 (AAA, 243D),成交在2.7%,高于中债估值0.65bp;
22中铝MTN004 (AAA, 312D+N),成交在2.87%,低于中债估值5.03bp;
1-3Y:
21晋能电力MTN006 (AAA, 1.01Y),成交在2.83%,低于中债估值0.54bp;
21格力MTN001 (AAA, 1.04Y),成交在2.98%,低于中债估值6.02bp;
21蜀道投资MTN008 (AAA, 1.09Y+N),成交在2.89%,低于中债估值3.51bp;
22中电投MTN043 (AAA, 1.1Y+N),成交在2.83%,低于中债估值3.07bp;
23云能投MTN003 (AAA, 1.44Y),成交在3.25%,低于中债估值7.63bp;
22光大集团MTN002A (AAA, 1.61Y),成交在2.77%,低于中债估值0.62bp;
23桂投资MTN002 (AAA, 1.83Y),成交在3.55%,低于中债估值4.19bp;
23惠山高科MTN002 (AA+, 2.28Y),成交在3.12%,低于中债估值7.35bp;
23中交建MTN001 (AAA, 2.68Y),成交在2.87%,低于中债估值0.04bp;
23湖州经开MTN002 (AA+, 2.76Y+2Y),成交在3.55%,低于中债估值5.83bp;
23新兴际华MTN002(科创票据) (AAA, 2.96Y+N),成交在3.54%,低于中债估值0.68bp;
17武汉地铁GN001 (AAA, 3.69Y+5Y),成交在3%,高于中债估值1.96bp;
总体而言,今日中期票据市场震荡下行。
今日公司债&企业债交投情绪较为活跃,市场成交主要集中在2Y内AAA类券种,部分成交如下:
21南水02(AAA,65D+2Y)成交数笔在2.57%,偏离估值-4.16bp;
19鄂科01(AAA,114D+5Y+5Y)成交在2.8%,偏离估值6.76bp;
21长城06(AAA,255D(休2))成交在2.69%,偏离估值-3.3bp;
电投Y20(AAA,275D+N)成交在2.75%,偏离估值-4.35bp;
21山证01(AAA,342D)成交数笔在2.7%,偏离估值-3.94bp;
21东方02(AAA,1Y)成交在2.93%,偏离估值-3.71bp;
22诚通01(AAA,1.16Y(休1))成交在2.8%,偏离估值-3.07bp;
22申证01(AAA,1.18Y)成交在2.7%,偏离估值-1.85bp;
23海通03(AAA,1.31Y)成交数笔在2.73%,偏离估值-0.1bp;
22申宏01(AAA,1.31Y(休2))成交在2.76%,偏离估值-2.7bp;
20风电04(AAA,1.33Y(休1))成交在2.76%,偏离估值-2.94bp;
22兴业01(AAA,1.4Y)成交在2.74%,偏离估值-2.61bp;
22深投03(AAA,1.58Y(休2))成交数笔在2.79%,偏离估值1.51bp;
22深投05(AAA,1.72Y)成交在2.79%,偏离估值-0.12bp;
23深铁14(AAA,1.92Y)成交在2.82%,偏离估值0.71bp;
22临城02(AAA,1.95Y(休1))成交在3.15%,偏离估值-1.42bp;
23川金01(AAA,2.75Y)成交在3.09%,偏离估值-1.5bp。
整体而言,今日公司债&企业债平均成交收益率较上一个交易日有明显下降。
今日商金债市场情绪较为活跃,市场主要关注1Y-3Y的银行永续和二级债,基金和券商为市场主力交投方。部分热门成交展示如下:
1Y内:
19长安银行二级01(AAA,77D+5Y)成交在3.35%,低于估值6.82bp;
19农业银行二级02(AAA,125D+5Y)成交在2.69%,低于估值0.5bp;
19农业银行二级02(AAA,125D+5Y)成交在2.695%,与估值一致;
21杭州银行小微债01(AAA,146D)成交在2.54%,高于估值0.75bp;
19农业银行二级04(AAA,148D+5Y)成交在2.71低于估值2bp;
19工商银行二级03(AAA,163D+5Y)成交在2.725%,低于估值1.21bp;
19兴业银行二级01(AAA,286D+5Y)成交在2.75%,低于估值2bp。
1Y-3Y:
22浦发银行01(AAA,1.19Y)成交在2.65%,低于估值0.29bp;
22长沙银行小微债(AAA,1.3Y)成交在2.72%,低于估值0.11bp;
20邮储银行永续债(AAA,1.34Y+N)成交在2.89%,高于估值0.38bp;
20中信银行二级(AAA,1.75Y+5Y)成交在2.91%,低于估值0.49bp;
20工商银行二级01(AAA,1.86Y+5Y)成交在2.87%,低于估值2.08bp;
20工商银行二级01(AAA,1.86Y+5Y)成交在2.88%,低于估值1.08bp;
22长沙银行债01(AAA,2Y)成交在2.78%,低于估值1.1bp;
20中国银行永续债02(AAA,2.01Y+N)成交在2.99%,低于估值0.4bp;
22浙商银行三农债(AAA,2.08Y)成交在2.76%,低于估值1.04bp;
21邮储银行永续债01(AAA,2.35Y+N)成交在3.03%,低于估值1.46bp;
21河北银行永续债01(AAA,2.37Y+N)成交在4.5%,低于估值22.33bp;
23华夏银行债01(AAA,2.37Y)成交在2.76%,低于估值1.23bp;
23华夏银行债01(AAA,2.37Y)成交在2.7625%,低于估值0.98bp;
21邮储银行二级01(AAA,2.77Y+5Y)成交在3.02%,低于估值1.77bp;
23渣打银行01(AAA,2.86Y)成交在3.05%,低于估值1.8bp;
23华夏银行债04(AAA,2.95Y)成交在2.8%,低于估值0.98bp;
23华夏银行债04(AAA,2.95Y)成交在2.81%,低于估值0.02bp;
21建设银行二级03(AAA,2.98Y+5Y)成交在3.07%,低于估值0.5bp;
23光大银行债03(AAA,2.98Y)成交在2.8%,低于估值1bp;
21建设银行二级03(AAA,2.98Y+5Y)成交在3.05%,低于估值0.5bp;
23光大银行债03(AAA,2.98Y)成交在2.8%,低于估值1bp。
3Y-5Y:
21工商银行二级02(AAA,3.08Y+5Y)成交在3.09%,低于估值0.09bp;
21工商银行二级02(AAA,3.08Y+5Y)成交在3.07%,低于估值2.09bp;
22兴业银行二级01(AAA,3.16Y+5Y)成交在3.17%,高于估值0.45bp;
22中国银行二级01(AAA,3.19Y+5Y)成交在3.1%,低于估值0.7bp;
22农行二级资本债02A(AAA,3.86Y+5Y)成交在3.175%,低于估值1.36bp;
23建行永续债01(AAA,4.67Y+N)成交在3.34%,低于估值0.29bp;
23国开行二级资本债01A(AAA,4.94Y+5Y)成交在3.17%,与估值一致;
23建行二级资本债02A(AAA,4.95Y+5Y)成交在3.28%,低于估值1.37bp。
总体来看,今日商金债整体成交收益率较前日下行。