信用风险与策略跟踪：信用债久期策略显现-20190823-中信证券.pdf

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1、䇱ࡨٰ⭞ؗѻᵕㆌ⮛ᱴ⧦ؗ⭞伄䲟фㆌ⮛䐕䑠Ј2019.8.23ѣؗ䇷࡮⹊ガ䜞Ṯᗹ㿸⛯䍭ⅴᐸ൰ᣛԭ࡟⦽δLPRεᴶ᯦ᇐԭ5ᒪᵕ࡟⦽Ѱ4.85%θ䘇ᵕٰ⭞ؗ5ᒪᵕԛр䮵ٰ⭞ؗ⊿сӄሯ⴮㙂θ㪍ᱴ从䰤㦈ӝ䍺ᙝᶺ㔉θ%9.4㠩ք⦽࡟㺂ਇൽᒩٰㅿ㓝ঐ᭬ⴀθѻᵕ䞃㖤ࡏᴪѰど࿛Ⱦ᱄᱄Ȉٰ㓝ㅿ儎рԛᵕᒪ5θᱴ᱄ौ࠼䍺㷃൰ᐸٰ⭞ؗ࡮ਇ㺂࡟⦽䙆⑆䎦քȾᡇԢ㔕俌ᑣFICC࠼᷆ᐾ䇗Ҽ2019ᒪ6ᴾԛᶛ5ᒪᵕԛрⲺؗ⭞ٰ䮵ٰਇ㺂᛻߫ȾԄ2019ᒪ6ᴾࡦS10105171000018ᴾٰ䮵рԛᵕᒪ5ٰ⭞ؗⲺਇ㺂᛻߫ᶛⵁθާਇ㺂20

2、8ਠθਇ㺂仓ਾ䇗2329.35ӵٰ䮵рԛᵕᒪ10ٰ⭞ؗ࠼䜞㙂Ⱦ%93.4⦽࡟㺂ਇൽᒩθⲺਇ㺂ᡆᵢҕᴪޭՎࣵȾᖾᴿᝅᙓⲺᱥθؗ⭞ٰᐸ൰㷃䍺࠼ौ᱄ᱴθㅿ㓝ૂኔᙝՎࣵᴪѰ᱄ᱴθ൞LPR᭯䶟ᇂ஺᭵ㆌ࠰ਦࢃθ䜞࠼ਇ㺂Ӱੇ䙐䗽⴪᧛㷃䍺㧭਌ᴪք࡟⦽ȾȈ䎻䮵ᵕؗ⭞ٰⲺਇ㺂䳼ѣфAAAㅿ㓝ૂളᴿኔᙝȾфᖶᒪੂᰬᵕሯ∊θ䜞࠼ᶄ᲍ര᭬࠼᷆ᐾਇ㺂ѱ։ਇ㺂ᵕ䲆໔䮵㠩20ᒪθਇ㺂ㅿ㓝ཐ䳼ѣӄAAAθъޢਮٰখ∊ᴪཝθS1010517030002ᒩൽ㷃䍺ᡆᵢ䲃քȾ㙂5ᒪᵕԛр䮵ٰᒩൽਇ㺂࡟⦽ҕԄ2017ᒪԛᶛ䙆↛с䲃θԄ5.91

3、%ࡦ5.79%θ߃ࡦ2019ᒪⲺ4.9%θਇ㺂䮵ٰ㷃䍺ᡆᵢᴪքθ⴮ሯӄ䍭ⅴ࡟⦽ᡆᵢՎࣵᱴ⧦ȾȈޞ䶘᭬㍝൦ӝ㷃䍺ҕѰLPRᵰ࡬᭯䶟ૂ䲃ք㔲ਾ㷃䍺ᡆᵢڐ䬰෡Ⱦ䘇ᵕ൦ӝ䈹᧝᭵ㆌᖦᱴҼѣཤу䎦൦ӝࣖᶖᵼ㘷䐥Ⲻߩᗹθ൦ӝ㷃䍺⧥ູⲺ᭬㍝人䇗ሼᤷ㔣䖹䮵ᰬ䰪θ↚⅗᭬㍝൦ӝ㷃䍺ѰLPRᖘᡆᵰ࡬᭯䶟ᇂ஺ڐ߼༽θ䉞䱨൦ӝ㷃䍺ᢟᕖθሼᴪཐؗ䍭䍺Ⓠੇቅᗤૂ≇㩛Էѐ䞃㖤θ䲃քቅᗤԷѐ㷃䍺ᡆᵢȾȈྸ᷒ᰖ⌋с⊿䍺䍞θ൞޻䜞߼ޛะ⹶р᣿䮵ѻᵕղᡆѰ䞃㖤俌䘿ȾԄٰ࡮ᢎ㇗ᮦᦤᶛⵁθуੂᵕ䲆Ⲻٰ࡮⧥∊䎦ࣵ∊䖹θ5ᒪᵕԛр䮵ᵕٰ࡮൞2019

4、ᒪԛᶛ䞃㖤⧥∊䙆↛䎦儎Ⱦᵰᶺሯӄ䮵ᵕٰ࡮ޭᴿжᇐⲺ䞃㖤䴶≸Ⱦ൞LPR᭵ㆌ࠰ਦࢃθؗ⭞ٰ䮵ٰ㷃䍺ᡆᵢᐨ㔅䖹քθLPRᴶ᯦ᇐԭ5ᒪᵕԛр࡟⦽Ѱ4.85%θ㙂2019ᒪٰ䮵рԛᵕᒪ5ٰ⭞ؗᒩൽਇ㺂࡟⦽ᐨ㔅ք㠩4.9%θ䜞࠼䮵ٰ࡟⦽ԃޭᴿᡆᵢՎࣵȾȈ伄䲟ᨆ⽰φᐸ൰䍺䠇䶘࠰⧦᭬㍝θ䍝ᐷੇؗ⭞Ֆሲу䙐⭻θ߃㷃䍺࠼ौሲ㠪ؗ⭞䘓㓜ㅿȾ䇷࡮⹊ガᣛ઀䈭ࣗᗻ䰻䈱↙ᮽҁ੄Ⲻރ䍙ᶗⅴ22178016/36139/2019082316:50ؗ⭞伄䲟фㆌ⮛䐕䑠Ј2019.7.2410ⴤᖋ䮵ٰਇ㺂਍ࡦڅླ.............

5、................................................................................................1LPR࠰ਦࢃ䮵ٰ㷃䍺ᡆᵢᐨ㔅䖹ք...................................................................................1᭵ㆌ䘔㔣᭬㍝䉞䱨൦ӝ㷃䍺ᢟᕖ.........................................

6、..............................................5᭬㍝൦ӝ㷃䍺ѰLPR᭯䶟ᇂ஺䬰䐥..................................................................................5ᵰᶺ䞃㖤䮵ٰⲺ䏁ࣵ.................................................................................................

7、........6ᨈഴⴤᖋഴ1φуੂᵕ䲆䮵ٰਇ㺂࡟⦽ૂਇ㺂仓.............................................................................1ഴ2φуੂ㓝ࡡ䮵ٰਇ㺂࡟⦽ૂਇ㺂仓.............................................................................1ഴ3φуੂٰ࡮㊱ශ䮵ٰਇ㺂࡟⦽ૂਇ㺂仓..............................

8、........................................2ഴ4φуੂ൦ต䮵ٰਇ㺂࡟⦽ૂਇ㺂仓.............................................................................2ഴ5φ2017ᒪуੂᵕ䲆䮵ٰਇ㺂࡟⦽ૂਇ㺂仓................................................................3ഴ6φ2018ᒪуੂᵕ䲆䮵