2016 2016 2016 2016 1 AA 2016 AA+ AAA 0.05 2016 2016 2016 GDP 340637 GDP 6.7% 2015 0.3 2016 1 GDP 54.1% 2015 1.8 59.7% 22.3 2016 6.0% 1 0.2 2016 10.2% 8.1% 4.2 2.1 1
12.1% 32.6% 0.7 1.2 2016 9.7% 1.1% 2016 9.0% 2.8% 2.4 8.6 3.3% 6.4% 8.1% 6.1% 1-5 0.9 6 3.6% 5 2.9 10.3% 73.4% 13.2 111335 3.3% 1 3.6 64027 2.1% 3.6 47307 4.7% 3.7 2016 2016 89165 15.1% 2016 5 2016 9900 34.5% PPP 2016 6 PPP 10 1 23.8% 1 4 5 2016 2016 2 0.5 SLF( ) MLF( ) 2016 M2 149.05 11.8% M1 44.36 24.6% 0.9 20.3 2016 9.75 9618 7.48 8949 1 2 2
2016 1 1 2016 336 376 3245.6 30% 1 2013 2016 2013 2014 2015 2015 2016 2016 2016 % % 861 1078 1109 519 376-27.6% -36.3% 663 784 801 456 336-26.3% -32.0% 8599.8 10853.5 9725 4652.3 3245.6-30.2% -36.0% Wind 2016 239 137 2157.9 1087.7 376 8 1 363 96.5% 1 1 2013 2016 1 本报告短期融资券统计范围限定为一般短期融资券, 数据来源为 Wind 资讯 3
Wind AA A-1 AA 96.0% 2 AAA 41.6% 2015 AA+ AA 2015 27.8% 29.4% AA- 42.7 95.3%, 2 2014 2016 2014 2014 2015 2015 2016 AAA 113 2817 95 2015 86 1989 105 2119 76 1349.5 AA+ 134 1537.6 126 1239.35 129 1166 167 1354.1 109 900.7 AA 191 1267.3 204 1261.1 212 1232.3 261 1437.1 176 952.7 AA- 122 447.8 63 202.48 81 247.6 54 155.6 15 42.7 A+ 17 41.4 13 24.5 11 17.4 3 6.9 - - 577 6111.1 501 4742.43 519 4652.3 590 5072.7 376 3245.6 Wind 2015 1 3 1 2015 2015 AAA AA+ AA 27bp 30bp 11bp AA- 4
13bp AAA 4 6 2.89 1 AA- 4 7.5 AA+ AA 2015 12 AAA AA+ AA- AAA AA+ AA 4 2 2015 Wind 2015 5 5 2016 2 50 2016 2016 MLF MPA 3 3 1 3 1 5
Wind AA- AA- 2010 6 1 AAA AAA AA+ AA- 1 2016 6 2015 12 17bp 16bp 17bp 15bp 4bp AA- AA- 4 2016 Wind AAA AAA 6
199 90 79 97.9% 1737.2 834.6 616.3 98.2% 56 47 26 16 13 42.0% 477.3 409.0 313.0 285.0 225.0 52.7% 2 YTM 376 1 355 - U - U - U P 0.05 AAA AA+ 3 AAA AAA AA+ AAA AAA AA- AA- 2 指 1 年期银行间固定利率国债到期收益率 7
AAA AA+ 11bp 21bp AA AA- 2bp 2bp AAA AA+ 3 2016 % BP BP AAA 73 2.48~6 3.2 98 NA 69.2 0.7 99 NA 81.5 0.8 AA+ 101 2.7~7.39 3.4 112 14.2 75.7 0.7 119 20.4 74.9 0.6 AA 167 2.8~8 4.2 194 81.3 115.6 0.6 201 82.2 115.1 0.6 AA- 14 4.2~7.5 6.1 380 186.7 95.4 0.3 333 131.5 176.5 0.5 355 2.48~8 3.8 158 NA 114.4 0.7 162 NA 116.3 0.7 1. 2.NA Wind AA AA- AA+ AAA AA- AA+ AAA 2015 12 2016 1 2016 5 AA+ AAA 5 2015 7 2016 6 Wind 2016 AA+ AAA 0.05 LSD 0.05 8
4 2016 (Sig) AAA 73 (Sig) AA+ -14.41 0.330-20.36 0.194 AA -95.69 0.000-102.58 0.000 AA- -280.68 0.000-234.08 0.000 AA+ 101 AA -81.28 0.000-82.22 0.000 AA- -266.27 0.000-213.71 0.000 AA 167 AA- -184.99 0.000-131.49 0.000 Wind 4 AAA AA+ 0.05 - U 95% 5 - U - AAA 73 AA+ 101 AA+ 101AA 167 AA 167 AA- 14 P 0.001 0.000 0.000 P 0.002 0.000 0.000 P<0.01 LSD - U AAA AA+ 3 500 100-500 50-100 50 199.0bp 6 2016 (bp) (bp) 28 104 78.6 108 80.0 3 截至 2015 年末数据 9
138 144 101.0 151 101.9 103 157 114.5 162 119.9 86 199 131.3 198 133.7 Wind 0.05 7 2016 (Sig) (Sig) -38.0 0.098-40.6 0.084-53.0 0.025-53.7 0.026-95.0 0.000-89.9 0.000-15.0 0.290-13.1 0.365-57.0 0.000-49.3 0.001-42.0 0.009-36.2 0.027 Wind 10 5 10 5 2016 128bp 8 2016 bp bp 72 128 109.5 135 111.4 96 158 101.7 161 108.8 187 170 120.3 173 120.7 Wind 0.05 9 2016 bp) (bp) (Sig) (Sig) -29.6 0.095-26.3 0.146-41.7 0.008-38.0 0.018 10
-12.1 0.395-11.8 0.419 Wind AA 376 123 32.7% 85 78 75 14 22.6% 20.7% 19.9% 3.7% AAA AA 88 71.5% AA+ AA 66 65 55 13 77.6% 83.3% 73.3% 92.9% 6 Wind 11
T T 4 AAA AA+ AA AA- 10 2016 % % bp) (bp) (bp) (bp) AAA AA+ AA AA- 35 2.55~5.5 3.1 88 57.4 0.7 95 60.5 0.6 7 2.79~3.9 3.1 83 36.5 0.4 84 43.2 0.5 18 2.48~6 3.4 118 92.5 0.8 122 94.3 0.8 13 2.58~4.9 3.3 106 74.4 0.7 85 121.5 1.4 30 2.7~5 3.4 115 66.7 0.6 122 66.5 0.5 22 2.8~7.39 3.4 114 95.1 0.8 120 96.5 0.8 22 2.78~3.7 3.1 81 25.3 0.3 90 24.8 0.3 4 2.73~3.82 3.2 96 36.6 0.4 105 36.1 0.3 23 2.7~6.8 3.7 140 94.6 0.7 146 91.6 0.6 50 2.92~8 4.0 171 104.2 0.6 179 102.2 0.6 39 2.8~7 4.2 191 108.3 0.6 200 109.6 0.5 39 2.88~7.5 4.2 189 121.9 0.6 196 120.8 0.6 9 2.99~6.5 4.1 191 96.5 0.5 200 96.6 0.5 30 2.98~8 4.6 241 132.3 0.6 249 132.5 0.5 3 4.5~7 6.0 377 140.6 0.4 382 135.7 0.4 4 5.95~6.3 6.1 384 18.7 0.0 393 21.1 0.1 1 5.45~5.45 5.5 306 - - 315-0.0 6 4.2~7.5 6.2 392 119.5 0.3 271 253.7 0.9 355 2.48~8 3.8 158 114.4 0.7 162 116.3 0.7 NA Wind AAA AA+ 36.9bp 32.8bp 11 2016 %%bp (bp bp bpbpbp AAA 35 2.55~5.5 3.1 88 NA 57.4 0.7 95 NA 60.5 0.6 AA+ 30 2.7~5 3.4 115 27.0 66.7 0.6 122 27.2 66.5 0.5 AA 50 2.92~8 4.0 171 56.2 104.2 0.6 179 56.9 102.2 0.6 AA- 3 4.5~7 6.0 377 205.5 140.6 0.4 382 202.8 135.7 0.4 4 平均交易利差与主体级别如果呈严格反向关系 ( 即主体级别越高, 交易利差越小 ), 则视为一致 12
AAA 7 2.79~3.9 3.1 83 NA 36.5 0.4 84 NA 43.2 0.5 AA+ 22 2.8~7.39 3.4 114 30.9 95.1 0.8 120 36.0 96.5 0.8 AA 39 2.8~7 4.2 191 77.9 108.3 0.6 200 80.1 109.6 0.5 AA- 4 5.95~6.3 6.1 384 192.9 18.7 0.0 393 193.0 21.1 0.1 AAA 18 2.48~6 3.4 118 NA 92.5 0.8 122 NA 94.3 0.8 AA+ 22 2.78~3.7 3.1 81-36.9 25.3 0.3 90-32.8 24.8 0.3 AA 39 2.88~7.5 4.2 189 107.5 121.9 0.6 196 106.2 120.8 0.6 AA+ 4 2.73~3.82 3.2 96 NA 36.6 0.4 105 NA 36.1 0.3 AA 9 2.99~6.5 4.1 191 95.5 NA NA 200 94.7 NA NA AA- 1 5.45~5.45 5.5 306 114.4 NA NA 315 115.5 NA NA AAA 13 2.58~4.9 3.3 106 NA 74.4 0.7 85 NA 121.5 1.4 AA+ 23 2.7~6.8 3.7 140 34.2 94.6 0.7 146 60.4 91.6 0.6 AA 30 2.98~8 4.6 241 100.4 132.3 0.6 249 102.9 132.5 0.5 AA- 6 4.2~7.5 6.2 392 151.1 119.5 0.3 271 22.7 253.7 0.9 355 2.48~8 3.8 158 NA 114.4 0.7 162 NA 116.3 0.7 1. 2.NA Wind 2015 2016 - U 12 AAA AA+ ( 12 313 (34) (332) (310) (434) AAA AA+ 0.001 0.001 NA NA 0.942 0.854 0.006 0.010 0.001 0.001 AA+ AA 0.000 0.000 0.035 0.025 0.000 0.000 0.000 0.000 0.000 0.000 AA AA- 0.000 0.000 0.001 0.001 0.000 0.000 0.000 0.000 0.000 0.000 1.NA 2. 1 3. Wind 13 13 2016 2 % 121 62 51.2% 56 43 76.8% 122 34 27.9% 121 99 81.8% 122 62 50.8% Wind 13
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