研 究 员 李 照投资咨询证书号 S0620522080001联 系 方 式 025-58519178邮 箱 zhaoli@njzq.com.cn债券市场的变与不变12一、2023年债券行情回顾二、2024年债券市场的变与不变三、2024年债券市场展望3一、2023年行情回顾41.1 利率债：低位震荡偏多走势◆ 2023年10年期国债震荡区间：2.53%-2.93%（截至12.8），年均2.73%，基本与2022年持平。◆ 全年振幅：40bp◆ 2023年，8月之前市场主要反应的是基本面预期差的行情，之后则主要反应美元、美债影响下国内资金面收紧行情。2023年10年期国债利率走势分析资料来源：同花顺iFind 南京证券研究所整理2.402.502.602.702.802.903.002023-12-082023-11-292023-11-202023-11-092023-10-312023-10-202023-10-112023-09-262023-09-152023-09-062023-08-282023-08-172023-08-082023-07-282023-07-192023-07-102023-06-292023-06-192023-06-082023-05-302023-05-192023-05-102023-04-272023-04-192023-04-102023-03-292023-03-202023-03-092023-02-282023-02-172023-02-082023-01-302023-01-162023-01-05中债国债到期收益率:10年防疫优化，政策推动稳增长预期抬升经济修复不及预期，市场信心逐步下滑汇率压力加码，银行间流动性收紧资金维持偏紧51.2 信用债：化债背景下的牛市资料来源：同花顺iFind 南京证券研究所整理2023-12-222023-01-03变动(bp)当前分位数2023-12-222023-01-03变动当前分位数1Y2.722.65616%3442-914%3Y2.823.14-326%3560-2521%5Y3.013.50-503%4568-2333%1Y2.822.95-1314%4472-289%3Y2.973.52-545%5197-4712%5Y3.223.92-692%67109-4317%1Y2.903.40-5012%52117-657%3Y3.173.97-793%71142-727%5Y3.574.37-791%102154-5310%1Y2.762.81-518%3858-2016%3Y2.873.22-367%4068-2823%5Y3.033.48-462%4766-1921%1Y2.863.05-2017%4882-3516%3Y3.013.64-646%54110-5621%5Y3.193.89-712%63107-4417%1Y2.963.62-6716%58139-8214%3Y3.154.16-1015%68162-9315%5Y3.374.42-1051%81160-788%1Y3.064.13-10813%68190-12310%3Y3.344.61-1274%87207-11910%5Y3.814.90-1093%125208-8213%1Y2.872.85255%4962-1351%3Y2.973.37-4018%5083-3236%5Y3.083.71-646%5289-379%1Y2.872.93-650%4970-2139%3Y2.983.52-5415%5198-4723%5Y3.123.86-744%56104-487%1Y2.953.39-4539%56116-6025%3Y3.134.01-8810%66147-8116%5Y3.294.40-1115%73158-855%1Y2.943.10-1677%5687-3181%3Y3.063.73-6732%59119-6033%5Y3.134.04-916%57121-649%1Y2.963.21-2573%5897-4069%3Y3.093.83-7430%62128-6632%5Y3.204.15-959%64132-689%1Y3.043.71-6749%66147-8229%3Y3.204.33-11320%73178-10526%5Y3.454.65-1200%89182-931%AAA-AA+AA银行永续债AAAA(2)城投债AAA-AA+AA银行二级资本债AA+AA中短期票据信用利差（bp）AAAAA+券种评级收益率（%）期限AAA1Y1030-206%3Y1638-227%5Y2241-2011%1Y1875-577%3Y3683-479%5Y5786-3012%1Y1025-1526%3Y1442-2826%5Y1641-2518%1Y2082-6218%3Y2893-6515%5Y3494-597%1Y30133-10310%3Y47138-9112%5Y78142-6317%1Y08-80%3Y115-140%5Y515-1011%1Y755-471%3Y1664-489%5Y2269-4713%1Y110-90%3Y310-620%5Y711-444%1Y960-510%3Y1460-452%5Y3261-2913%2023-01-03变动(bp) 当前分位数券种期限评级AA+_AAAAA_AAAAA+_AAA中短期票据2023-12-22AA+_AAA-AA_AAA-银行永续债AA_AAAAA(2)_AAA城投债AA+_AAA-AA_AAA-银行二级资本债全年收益率/信用利差基本呈现大幅下行趋势（除个别高资质短端）资质下沉幅度较大，其中以城投债为最，对应城投化债政策利好61.3 银行间流动性较去年有所收敛，汇率贬值压力对流动性形成制约资料来源：同花顺iFind 南京证券研究所资金市场利率年均较去年增加近30bp美元兑人民币汇率2023年呈现单边向上的走势6.00006.20006.40006.60006.80007.00007.20007.40007.60002023-12-082023-11-132023-10-192023-09-222023-08-272023-08-022023-07-062023-06-122023-05-182023-04-222023-03-282023-03-022023-02-062023-01-132022-12-152022-11-182022-10-252022-09-302022-09-042022-08-092022-07-142022-06-202022-05-272022-05-02...
