S1851121 S1811563 755-2383825 wangquanrui@fcsc.com 217 5 9 5 217424 217417 217411 4 MPA 217321 3 2 217 22 GC1 218BP 3.3% 1-3 15BP 5-1 1BP 1 4.26% 1 1 17BP 1-3Y 17BP 7BP 2BP 5Y 1Y 5-7BP 7-13BP AA+ R7 FR7 R7 FR7 213 6 216 12 FR7 R7 MPA
First Capital Securities Corporation Limited 1 22OMO 25 24 MLF 23 22 R1 R7 2BP 9BP 2.91% 3.28% DR1 DR7 7.4BP 2BP 2.81% 2.98% GC1 218BP 3.3% 1 2 22 5.3 R1 R7 4.8 4.3 3.8 3.3 2.8 2.3 1.8 3 2 1-1 -2-3 逆回购逆回购到期 MLF 回笼净投放 -1 周一周二 -6 周三周四周五 -6-9 -4 3 GC1 6BP 3.16% 4 DR1 27BP 2.67% 3. 25. 2. 15. 1. 5.. GC1: 加权平均 GC7: 加权平均 5.5 5. 4.5 4. 3.5 3. 2.5 2. 1.5 DR1 DR7 DR14 95% 82875.3-55.3 19% 636 1 36 41-3 2 1 17 3 1BP 4.39% 1 17 5 6BP 4.38% 5 17 6 7BP 4.23% 353.816 1 4.17% 5 4.8% 5BP 1Y 3Y 5Y 7Y 1Y22.5BP 2BP 13.96BP 1.98BP 9.24BP 3.39% 2
First Capital Securities Corporation Limited 3.43% 3.48% 3.58% 3.56%1-3 15BP 5-1 1BP 1 4.26% 1 1 17BP 5 6 变动 BP( 左轴 ) 25. 22.5 19.99 217-5-5 217-4-28 2. 15. 13.96 1.98 1. 9.24 5.. 1y 3y 5y 7y 1y 3.8 3.6 3.4 3.2 3. 2.8 2.6 2.4 2.2 2. 变动 BP( 左轴 ) 217-5-5 217-4-28 16. 14.58 14. 13.7 12. 1. 9.51 8.38 8.5 8. 6. 4. 2.. 1y 3y 5y 7y 1y 4.6 4.4 4.2 4. 3.8 3.6 3.4 3.2 7 8 1BP 3.6 3.4 3.2 3. 2.8 2.6 2.4 2.2 2. 中债国债到期收益率 :1 年中债国债到期收益率 :5 年中债国债到期收益率 :1 年 中债国债到期收益率 :3 年中债国债到期收益率 :7 年 11. 9. 7. 5. 3. 1. -1. 1Y-1Y 国债 1Y-1Y 国开债 2 2.1 43% 29831 473-174.2 AAA 4.92%-5.48% 3-7BP 9 5-174.2 1 5 86.8 3
First Capital Securities Corporation Limited 1 总发行量 ( 亿元 ) 净融资额 ( 亿元 934 ) 778 8 746 643 664 578 591 573 6 521 4 2 284 324 27 17 16 58 11 26-2 -117-13 -164-163 -213-225 -4-325 -363-6 298 5 4 3 2 1-1 -2 总发行量 ( 亿元 ) 净融资额 ( 亿元 ) 386.5 45.8 36 325 28.5 261.5 22 211 13 148 15 42 54.5 4329-32 -61-33.95-135.5-99 35.2 27 24.5 221 87-14.4 11 5 12 5 4 月第 4 周发行额 5 月第 1 周发行额 14 12 1 8 6 4 2 4.2 4 月第 4 周发行额 5 月第 1 周发行额 4 月第 4 周发行利率 ( 右轴 ) 5 月第 1 周发行利率 ( 右轴 ) 6.1 5.7 5.4 4.9 5. 4.6 4.9 4.9 4.9 7. 6. 5. 4. 3. 2. 1.. 12 1 8 6 4 2 4 月第 4 周发行利率 ( 右轴 ) 5 月第 1 周发行利率 ( 右轴 ) 7. 6.3 6.4 5.7 4.9 5.5 8 7 6 5 4 3 2 1 2.2 1Y 3Y 5Y 7BP 13BP 12BP 1-3Y 17BP 7BP 2BP 2BP 5Y 1Y 5-7BP 1 3-5 7-13BP 3-7Y AAA 1Y 7BP 4.46% 1 6BP 4.85% 5 AA+ AA 3BP 6BP AA+ 27% 2259 3% 382 4
First Capital Securities Corporation Limited 1Y 2BP 4.43% 3-7Y 1BP 5Y 1Y 3-35BP 7Y 1Y 1BP 13 AAA 7-13BP 14 4.9 4.8 4.7 4.6 4.5 4.4 4.3 4.2 4.1 变动 BP 217-5-5 217-4-28 12.98 11.78 6.85 AAA-1Y 短融 AAA-3Y 中票 AAA-5Y 中票 14 12 1 8 6 4 2 2 18 16 14 12 1 8 6 4 214-1-26 214-12-26 1 年 AAA 短融信用利差 3 年 AAA 中票信用利差 5 年 AAA 中票信用利差 215-2-26 215-4-26 215-6-26 215-8-26 215-1-26 215-12-26 216-2-26 216-4-26 216-6-26 216-8-26 216-1-26 216-12-26 217-2-26 217-4-26 15 16 3-7Y1-13BP 35 3 25 2 15 1 5 短期融资券 ( 亿元 ) 企业债 ( 亿元 ) 中期票据 ( 亿元 ) 4.9 4.8 4.7 4.6 4.5 4.4 4.3 4.2 4.1 变化 BP( 右轴 ) 217-5-5 217-4-28 12.98 11.78 1.67 6.86 5.91 14. 12. 1. 8. 6. 4. 2.. 17 AAA 18 5 AA+ 5. 4.5 4. 3.5 3. 2.5 企业债 1 年 AAA 企业债 3 年 AAA 企业债 5 年 AAA 企业债 7 年 AAA 企业债 1 年 AAA 4. 3. 2. 1.. -1. -2. -3. -4. -5. 216-1-1 5 年 AA+ 城投 - 中票 5 年 AA 城投 - 中票 216-2-1 216-3-1 216-4-1 216-5-1 216-6-1 216-7-1 216-8-1 216-9-1 216-1-1 216-11-1 216-12-1 217-1-1 217-2-1 217-3-1 217-4-1 5
First Capital Securities Corporation Limited 19 2 1BP 4.8 4.7 4.6 4.5 4.4 4.3 收益率变动 ( 右轴 ) 217-5-5 217-4-28 12.32 11.36 1.17 1.97 14 12 1 8 6 4 2 1 8 6 4 2 AA 级 5Y-1Y 期限利差 AAA 级 5Y-1Y 期限利差 AA+ 级 5Y-1Y 期限利差 4.2 1Y 收益率 3Y 收益率 5Y 收益率 7Y 收益率 2.3 14 16 2 16 1 11 3.75%-1% 4 21.1 9.8 19 6 1 4 1BP 2.4% 18BP -4BP -3BP 4BP 1 3.6% 14.4% 214 216216 R7 1 R7 FR7 6
First Capital Securities Corporation Limited FR7FR7 213 6 216 12 FR7 21 R7 1 25% 2% 15% 1% 5% R7 的波动率 1 年期国债收益率 ( 右轴 ) 5. 4.5 4. 3.5 3. 2.5 2. 1.5 1..5 %. 212-5-3 213-5-3 214-5-3 215-5-3 216-5-3 217-5-3 Wind 22 FR7 7. 1 年国债收益率 1 年国开债收益率 FR7 利率互换定盘曲线 _ 报买 :3M 6. 5. 4. 3. 2. 1. 212-5-21 213-5-21 214-5-21 215-5-21 216-5-21 Wind 1216 11 216 2 217 1 MPA 3 4 5 7
First Capital Securities Corporation Limited 23 R7 1 3.8 3.6 3.4 3.2 3. 2.8 2.6 2.4 2.2 2. 中债国债到期收益率 :1 年 中债国债到期收益率 :1 年 Wind MPA 8
First Capital Securities Corporation Limited 9
First Capital Securities Corporation Limited 1 R1 R7 R14 R21 R1M 217-5-5 2.97 3.2847 4.655 4.82 4.3996 217-4-28 3.187 4.1818 4.4591 4.354 4.3798 BP -2.17-89.71-39.36-26.84 1.98 1y 3y 5y 7y 1y 217-5-5 3.3922 3.4297 3.4813 3.5794 3.5592 217-4-28 3.1672 3.2298 3.3417 3.4696 3.4668 BP 22.5 19.99 13.96 1.98 9.24 1y 3y 5y 7y 1y 217-5-5 3.8573 4.196 4.2952 4.4183 4.2625 217-4-28 3.7115 4.599 4.21 4.3345 4.1775 BP 14.58 13.7 9.51 8.38 8.5 15y 2y 15y 2y 3y 217-5-5 3.8851 3.951 4.4519 4.4719 3.911 217-4-28 3.8617 3.8817 4.391 4.414 3.892 BP 2.34 2.34 6.18 6.15 1.99 AAA-1Y AAA-3Y AAA-5Y AA+/1Y 短融 AA+/3Y 中票 217-5-5 4.464 4.7522 4.83 4.7859 5.939 217-4-28 4.3919 4.6224 4.7122 4.7319 4.9517 BP 6.85 12.98 11.78 5.4 14.22 5Y AA+ 5Y AA 5Y AA- 5YAA+ -5YAA+ 5YAA -5 AA 217-5-5 5.153 5.433 6.53 -.7 8.3 217-4-28 5.76 5.356 5.976 1.84 13.84 BP 8.24 8.24 8.24-2.54-5.54 AAA AAA/1Y AAA/3Y AAA/5Y AAA/7Y AAA/1Y 217-5-5 4.4572 4.7327 4.825 4.8152 4.8475 217-4-28 4.3886 4.629 4.727 4.785 4.7884 BP 6.86 12.98 11.78 1.67 5.91 AA+ AA+/1Y AA+/3Y AA+/5Y AA+/7Y AA+/1Y 217-5-5 4.8327 5.1344 5.2175 5.2194 5.2564 217-4-28 4.7787 4.9922 5.745 5.118 5.1932 BP 5.4 14.22 14.3 1.86 6.32 AA AA/1Y AA/3Y AA/5Y AA/7Y AA/1Y 217-5-5 5.272 5.3127 5.415 5.3952 5.4275 217-4-28 4.9586 5.1629 5.2727 5.2685 5.3484 BP 6.86 14.98 13.78 12.67 7.91 AAA AAA/1Y AAA/3Y AAA/5Y AAA/7Y AAA/1Y 217-5-5 4.436 4.6496 4.748 4.778 3.534 217-4-28 4.419 4.5479 4.6248 4.6572 3.4597 BP 1.97 1.17 12.32 11.36 7.7 AA+ AA+/1Y AA+/3Y AA+/5Y AA+/7Y AA+/1Y 217-5-5 4.8129 5.122 5.641 5.625 5.964 1
First Capital Securities Corporation Limited 217-4-28 4.6788 4.8649 4.9547 4.993 5.633 BP 13.41 14.73 1.94 7.22 3.31 AA AA/1Y AA/3Y AA/5Y AA/7Y AA/1Y 217-5-5 4.9234 5.1733 5.2628 5.2889 5.335 217-4-28 4.8831 5.564 5.1388 5.1867 5.256 BP 4.3 11.69 12.4 1.22 7.9 2 5 5 4 28 ( ) / ( ) (BP) 17 6.9616 1 8,961.63 AA/AAA 5.5987 5.5993 -.7 17 6.9699 99.96 74,983.85 AA/AAA 5.3623 5.3496 1.27 16 5.914 96.29 67,96.99 AA/AA 5.6494 5.9-25.6 15 7.9863 11.79 61,111.9 AA+/AA+ 5.6517 5.636 4.81 16 1 6.5863 94.29 56,576.94 AA/AA 6.4765 6.4964-1.99 11 1.6164 71.6 47,92.1 AA+/AA+ 5.9356 4.423 151.26 15 4.914 15.14 47,818.34 AA/AA 5.7424 5.4563 28.61 15 7.9671 13.49 46,596.57 AA+/AA+ 5.552 5.4382 11.38 14 3.9452 15.79 46,547.82 AA/AA 5.5428 3.983 163.44 14 3.8877 84.79 42,349.6 AA/AA 5.3589 5.1 35.88 14 6.831 98.11 42,63.5 AA/AA 5.4494 5.3471 1.23 13 2.726 14.97 41,985.72 AA+/AA+ 4.8959 4.6544 24.14 15 4.8822 14.8 41,439.52 AA/AA 5.194 5.4147-3.53 9 2.5233 12.53 38,596.79 AAA/AAA 4.894 3.931 99.1 16 8.8795 95 38,18.4 AA/AA 6.345 5.9656 6.89 16 5.9644 96.36 34,69.73 AA/AA+ 6.5937 6.5723 2.14 14 3.9644 83.2 33,234.21 AA+/AA+ 5.513 4.5886 46.28 14 3.9616 82.51 33,5.24 AA/AA 5.9187 5.2356 68.31 14 3.9616 82.46 32,984.56 AA/AA 5.812 5.31 49.12 16 6.1315 96 32,693.8 AA/AA 7.678 6.9422 12.56 16 5.9452 97.15 31,75.58 AA/AA 5.9413 5.1553 78.59 12 6 4.937 99 29,629.43 AAA/AAA 4.7112 4.5514 15.99 15 8.627 97.19 29,158.74 AA/AA 5.282 5.1899 9.3 16 5.737 97.8 28,713.31 AA/AA 5.7516 5.7498.18 16 NPB 4.5178 93.77 28,25.4 /AA 7.548 7.488 1.69 17 6.9562 12.1 28,118.87 AA/AAA 4.9853 5.4792-49.39 16 2 6.4795 92.79 27,838.2 AA/AA 7.299 7.5224-22.34 16 1 5.726 95.9 27,762.3 AA+/AA+ 5.2994 5.1218 17.76 15 5.6384 97 27,157.18 AA/AA+ 5.933 5.9219.84 12.227 1.28 27,75.25 AAA/AAA 4.5911 3.2217 136.94 14 4.463 1.79 26,238.24 AA/AA 5.634 5.417 23.23 14 5.126 15.4 25,74.13 AA/AA 5.531 5.3987-34.56 14 3.8877 15.16 25,5.79 AA-/AA- 7.296 7.2844-25.48 17 6.9562 1 24,992.9 AA/AAA 5.6485 5.6491 -.7 11
First Capital Securities Corporation Limited 3 4 21 4 14 / ( ) ( ) (BP) 12 1.74 1 34,374.17 AAA/AAA 3.5556 3.8773-32.17 16 1 3.8466 93.7 18,977.67 AA+/AA+ 6.154 6.119 4.85 16 3 3.8795 93.2 14,347.88 AA+/AA+ 6.95 5.9951 9.99 15 2 3.3836 98.3 13,762. AA+/AA+ 5.464 4.9445 1.19 16 3 4.211 94.25 11,695.8 AAA/AAA 4.773 4.222 74.81 13 2 2.596 99.8 11,417.96 AA/AA 5.8722 5.9135-4.13 15 2 2.1753 1.1 9,31.12 AAA/AAA 5.398 5.2941 1.57 13 1 1.4685 98.69 9,195.9 AA/AA 7.9157 8.84-9.26 11 1.1233 1.8 8,934.43 AAA/AAA 4.256 4.2511-4.56 16 2 4.463 94.48 8,53.2 AAA/AAA 4.4659 4.6354-16.95 16 3 3.8274 95.14 8,276.4 AAA/AAA 4.557 4.3841 17.29 16 2 3.8274 97.9 7,734.1 AA+/AA+ 4.6445 4.6127 3.18 15 1 3.1233 1.3 7,598.94 AAA/AAA 5.2643 5.2678 -.35 16 5 3.8849 94.3 7,172.23 AAA/AAA 4.7154 4.5452 17.2 15 3.389 1 7,19. AA/AA 6.9743 6.9741.2 15 2 3.6 98.99 6,945.7 AA+/AA+ 4.5717 4.247 32.47 16 2 4.4712 95.91 6,713.7 AAA/AAA 4.1141 3.9729 14.12 16 1 3.8822 99.1 6,639.9 AA+/AAA 4.8149 4.818 -.31 13 1.2548 1.62 6,498.46 AA+/AA+ 6.687 6.623 8.47 11 2.3178 99.65 6,15.16 AA/AA 7.3213 7.2676 5.37 15 1 1.3726 99 6,9.77 AAA/AAA 4.448 4.375 7.3 16 1 4.557 97.93 5,875.8 AA/AA 4.4748 4.2915 18.34 16 2 8.8959 96.94 5,816.4 AA/AAA 5.2355 5.3731-13.76 15 5 5.4658 99 5,69.57 AA+/AA+ 5.4141 5.93 32.38 15 2 1.541 1.53 5,6.69 AAA/AAA 6.3328 6.4579-12.51 15 1 1.341 1.3 5,577.72 AAA/AAA 6.2786 6.3221-4.35 12 2 3.255 1.5 5,431.38 AA/AA+ 6.3844 6.3839.6 16 3 4.314 1 5,94.5 AA/AA 6.8814 6.881.4 15 3.4438 98.72 4,936. AA+/AA+ 4.3883 3.985 4.78 13 2.2164 1.86 4,921.76 AAA/AAA 8.3892 8.3661 2.31 16 2 1.8795 1.44 4,917.77 AAA/AAA 6.3446 6.362-1.56 16 1 4.4795 97.83 4,891.5 AA/AA 4.3155 4.15 16.55 16 1 6.168 96.32 4,816. AAA/AAA 4.1822 3.487 69.52 16 2 4.5753 97 4,66. AA/AA 5.4271 5.3222 1.49 16 1 3.831 97.58 4,149.43 AAA/AAA 4.626 3.7539 3.87 15 3 5.1753 13.89 4,137.6 AAA/AAA 6.1613 6.1362 2.51 16 1 9.537 91 4,96.7 AAA/AAA 5.1111 4.6125 49.86 G16 1 4.493 98.1 4,21.77 AA/AA 5.3939 5.249 14.49 16 4.427 1 4,. AA/AA+ 4.2715 4.2715. 12
First Capital Securities Corporation Limited 6 2% 6 5-2% 6 ±5% 65% 115 15-2 TEL:755-25832583 FAX:755-25831718 P.R.China:51828 www.firstcapital.com.cn 9 8 TEL: 1-63197788 FAX: 1-63197777 P.R.China:114 53 TEL:21-68551658 FAX:21-68551281 P.R.China:2135