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债市行情2022-05-30 | 多数收益率小幅上行,长端调整更多

一图胜千言!小船自己做的债市数据,供大家参考。数据说明:(1)数据来源:Wind(2)历史统计区间:2010年至今(第四部分“债券期限利差”统计区间为2008年至今,其他见图表标题说明)(3)信用债:中债中短期票据到期收益率(4)统计数据含义:mean均值std标准差min最小值25%历史25分位数50%历史中位数75%历史75分位数max最大值一、债券到期收益率走势(1)长久期利率债国债:10年国开债:10年利差2022-05-302.722.950.2310年期国债与国开债历史数据统计国债:10年国开债:10年利差mean3.423.990.57std0.440.650.24min2.482.790.1825%3.123.540.3850%3.423.990.5075%3.664.370.74max4.725.921.35国债:30年2022-05-303.2430年期国债历史数据统计国债:30年mean3.99std0.42min3.0825%3.7250%4.0175%4.21max5.20(2)国债到期收益率走势1年2年5年7年10年2022-05-301.912.232.512.732.72国债到期收益率历史统计1年2年5年7年10年mean2.722.893.183.373.42std0.600.540.480.440.44min1.121.331.792.332.4825%2.302.492.833.043.1250%2.682.853.133.333.4275%3.143.243.503.653.66max4.254.424.534.674.72(3)国开债到期收益率走势1年3年5年7年10年2022-05-301.942.52.72.982.95国开债到期收益率历史统计1年3年5年7年10年mean3.163.573.783.963.99std0.820.750.690.640.65min1.191.692.132.632.7925%2.532.993.273.463.5450%2.943.513.733.933.9975%3.724.004.154.324.37max5.555.855.895.905.92(4)AAA信用债到期收益率走势AAA:1年AAA:2年AAA:3年AAA:5年2022-05-302.342.612.83.21AAA信用债到期收益率历史统计AAA:1年AAA:2年AAA:3年AAA:5年mean3.763.974.114.38std0.930.860.820.75min1.762.072.332.8825%2.973.243.463.7950%3.623.894.034.3575%4.494.584.694.92max6.336.316.306.36(5)AA+信用债到期收益率走势AA+:1年AA+:2年AA+:3年AA+:5年2022-05-302.442.712.953.37AA+信用债到期收益率历史统计AA+:1年AA+:2年AA+:3年AA+:5年mean4.024.264.424.75std1.010.940.900.83min1.962.282.583.2125%3.193.463.714.0850%3.874.194.354.7575%4.784.935.085.35max6.796.796.816.91(6)AA信用债到期收益率走势AA:1年AA:2年AA:3年AA:5年2022-05-302.52.853.183.93AA信用债到期收益率历史统计AA:1年AA:2年AA:3年AA:5年mean4.284.584.795.21std1.071.000.940.84min2.372.713.033.4325%3.433.754.024.5250%4.194.584.755.2075%5.055.235.465.79max7.097.237.277.48(7)AA-信用债到期收益率走势AA-:1年AA-:2年AA-:3年AA-:5年2022-05-304.885.245.576.32(AA-)信用债到期收益率历史统计AA-:1年AA-:2年AA-:3年AA-:5年mean5.495.916.176.64std0.960.850.790.71min2.843.663.984.5925%5.005.535.826.2850%5.485.876.126.6675%6.096.446.626.99max7.707.827.938.23二、资金面(1)银行间质押式回购利率存款类机构质押式回购加权平均利率最新数据DR001DR007DR0142022-05-241.331.541.702022-05-251.351.701.732022-05-261.361.671.712022-05-271.381.711.732022-05-301.391.791.76存款类机构质押式回购加权平均利率历史统计DR001DR007DR014mean2.112.492.85std0.540.530.81min0.591.141.1225%1.812.212.3250%2.092.402.6775%2.532.703.20max3.756.176.39(2)交易所回购利率上交所质押式回购利率最新数据GC001:加权平均GC007:加权平均GC014:加权平均2022-05-241.711.841.812022-05-251.681.921.832022-05-261.631.901.802022-05-271.721.871.792022-05-302.111.891.79上交所质押式回购利率历史统计GC001:加权平均GC007:加权平均GC014:加权平均mean3.513.213.17std2.641.421.13min0.770.211.0225%2.212.352.3750%2.842.902.9275%3.833.723.79max33.6013.3412.11深交所质押式回购利率最新数据R-001:加权平均R-007:加权平均R-014:加权平均2022-05-241.701.851.822022-05-251.671.931.822022-05-261.611.911.822022-05-271.691.861.792022-05-302.071.901.80深交所质押式回购利率历史统计R-001:加权平均R-007:加权平均R-014:加权平均mean3.203.123.18std2.371.341.07min0.810.460.6125%2.002.202.4150%2.572.752.9075%3.463.613.78max26.6712.6010.47三、衍生品行情(1)FR007利率互换FR007利率互换最新数据统计1年5年利差2022-05-242.072.520.442022-05-252.082.520.442022-05-262.042.460.422022-05-272.032.450.422022-05-302.062.490.43FR007利率互换历史数据统计1年5年利差mean2.953.260.31std0.660.630.12min1.371.81-0.6225%2.472.790.2750%2.733.050.3375%3.403.740.38max5.295.350.62(2)Shibor3M利率互换Shibor3M利率互换最新数据统计1年5年利差2022-05-242.322.900.582022-05-252.332.900.572022-05-262.302.850.562022-05-272.302.850.552022-05-302.322.890.57Shibor3M利率互换历史数据统计1年5年利差mean3.563.790.23std0.860.690.26min1.512.07-0.5625%2.913.280.0350%3.313.590.2575%4.354.390.46max5.865.910.70(3)国债期货10年合约5年合约2年合约2TS-T2TF-T2022-05-24100.52101.56101.06101.60102.602022-05-25100.60101.59101.04101.48102.582022-05-26100.96101.84101.17101.38102.722022-05-27100.97101.85101.18101.40102.732022-05-30100.76101.72101.12101.46102.66四、债券期限利差(1)国债期限利差国债期限利差最新数据10vs210vs55vs22vs12022-05-240.510.220.290.292022-05-250.500.220.280.282022-05-260.490.220.270.302022-05-270.480.220.260.302022-05-300.490.210.280.32国债期限利差历史统计10vs210vs55vs22vs1mean0.630.280.350.18std0.430.190.270.12min-0.05-0.06-0.12-0.2625%0.370.150.200.1050%0.500.220.260.1775%0.680.350.380.26max2.041.011.350.69(2)国开债期限利差国开债期限利差最新数据10vs110vs55vs33vs12022-05-240.960.250.210.502022-05-251.000.240.210.552022-05-260.970.250.200.522022-05-270.980.260.200.532022-05-301.010.250.210.55国开债期限利差历史统计10vs110vs55vs33vs1mean0.930.250.240.43std0.490.210.170.21min-0.15-0.09-0.12-0.3325%0.660.120.130.3250%0.850.220.210.4475%1.080.310.290.54max2.711.131.041.00(3)AAA信用债期限利差AAA信用债期限利差最新数据5vs15vs33vs23vs12022-05-240.910.420.200.492022-05-250.880.420.190.462022-05-260.870.420.180.452022-05-270.850.420.180.442022-05-300.870.420.180.46AAA信用债期限利差历史统计5vs15vs33vs23vs1mean0.710.290.180.42std0.490.190.170.33min-0.45-0.07-0.09-0.5425%0.390.160.070.2050%0.660.270.140.3875%0.860.350.220.54max2.220.920.801.58(4)AA+信用债期限利差AA+信用债期限利差最新数据5vs15vs33vs23vs12022-05-240.980.430.250.542022-05-250.930.420.240.512022-05-260.930.430.230.502022-05-270.920.420.240.502022-05-300.930.420.240.51AA+信用债期限利差历史统计5vs15vs33vs23vs1mean0.830.350.200.47std0.530.200.170.35min-0.38-0.04-0.10-0.5225%0.460.220.080.2550%0.790.340.160.4375%1.000.430.260.61max2.481.140.891.87(5)AA信用债期限利差AA信用债期限利差最新数据5vs15vs33vs23vs12022-05-241.490.730.370.752022-05-251.450.740.350.712022-05-261.430.750.330.682022-05-271.430.750.340.682022-05-301.440.750.330.69AA信用债期限利差历史统计5vs15vs33vs23vs1mean1.010.430.250.58std0.550.210.190.39min-0.140.00-0.08-0.3225%0.540.280.090.3050%1.030.440.210.5675%1.260.570.340.73max2.771.000.852.16(6)AA-信用债期限利差AA-信用债期限利差最新数据5vs15vs33vs23vs12022-05-241.480.730.370.742022-05-251.450.740.350.712022-05-261.430.750.330.682022-05-271.430.750.340.682022-05-301.440.750.330.69AA-信用债期限利差历史统计5vs15vs33vs23vs1mean1.210.480.290.73std0.530.210.180.39min-0.070.04-0.05-0.2325%0.880.320.150.4750%1.190.470.260.6975%1.480.630.390.93max2.711.020.832.06信用利差(1)1年期信用利差1年期信用利差最新数据AAAvs国开债AA+vsAAAAAvsAA+AA-vsAA2022-05-240.290.100.052.402022-05-250.360.100.052.392022-05-260.370.100.062.392022-05-270.390.100.052.392022-05-300.400.110.052.391年期信用利差历史统计AAAvs国开债AA+vsAAAAAvsAA+AA-vsAAmean0.600.250.271.20std0.230.110.150.73min0.140.090.050.1025%0.440.170.150.5050%0.550.230.231.0975%0.710.320.342.00max1.780.731.022.40(2)3年期信用利差3年期信用利差最新数据AAA:国开债AA+:AAAAA:AA+AA-:AA2022-05-240.280.150.262.392022-05-250.270.150.252.392022-05-260.300.150.242.392022-05-270.300.160.232.392022-05-300.300.160.232.393年期信用利差历史统计AAA:国开债AA+:AAAAA:AA+AA-:AAmean0.540.310.371.38std0.230.120.150.65min0.120.120.080.1425%0.390.210.260.8150%0.490.290.371.4175%0.640.400.462.01max1.690.710.982.40(3)5年期信用利差5年期信用利差最新数据:AAA:国开债AA+:AAAAA:AA+AA-:AA2022-05-240.490.160.562.392022-05-250.480.150.572.392022-05-260.520.160.562.392022-05-270.520.160.562.392022-05-300.510.160.562.395年期信用利差历史统计:AAA:国开债AA+:AAAAA:AA+AA-:AAmean0.600.370.461.43std0.250.130.150.62min0.130.120.130.2325%0.430.270.370.9350%0.520.350.461.4875%0.720.470.562.04max1.650.741.012.40
2022年5月30日