20230223-东方证券-固定收益专题报告_固收资管产品与资本新规_24页_1mb (1).pdf

|1 22Q4 22Q4 22Q4 2022 22 2.44%2.38%2.22%2 22 10.5 10.7 2%7 1.49%21 0.6%3 22 45 1600 22Q4 88%2.19%2.4%2.22%4 ETF 22 5 223 ETF 5 ETF,3 ETF 22 ETF 0.48%21 5.9%5 3 2019 2022 2.2%+0.7%-2.1%-14.6%2022 1.2%2.44%2.22%6 90%2022 14%11%ETF ETF 1.2%1.9%3.0%1.9%1.6%ETF ETF 2023 02 23 S0860521120001 2023-02-09 23 2023-01-18 2023-01-10|2 1.5 1.1 2022.5 1 5 2 7 3 8 4 ETF ETF 9 5 10 1.2.13 2.15 2.1.15 2.2.15 3.17 3.1 MLF.17 3.2.18 4.20.22|3 1.5 2.5 3%.6 4%.6 5%.6 6.6 7 22%.7 8.7 9 22Q4.7 10.8 11 7%.8 12.9 13 22Q4.9 14%.9 15 ETF.10 16 ETF.10 17 ETF.10 18.11 19.11 20.11 21.11 22 22Q4.12 23.12 24 2022.13 25 2021&2022.13 26.14 27 ETF.14 28 2022.14 29.15 30.15 31 2 20 4585.16 32.16 33.17 34 DR R.17|4 35.17 36 7.17 37.18 38.18 39.18 40.19 41.19 42.19 43.19 44.19 45 PTA.20 46.20 47.20 48.20 49.21 50.21 51.21 52 LME.21 53.21 54.21 55.22 56.22|5 1 1.1 2022 1 22Q4 22Q4 22Q4 7.4 22Q3 8.1 15%22Q3 0.9 22Q4 0.6 1300 1100 22Q4 6207 9380 4%4.68 5000 5500 17 12 1 2 Wind Wind 22Q4 95%0.14pct 0.08 pct 2.1%1.15%21 22Q4 48%50%71%2 pct 22.6%22Q4 3.6%73.7%0.6pct 13.3%0200004000060000800001000001200002021/3/31 2021/6/30 2021/9/30 2021/12/31 2022/3/31 2022/6/30 2022/9/30 2022/12/31()-40-30-20-10010203040502021-03 2021-06 2021-09 2021-12 2022-03 2022-06 2022-09 2022-12(%)|6 3%4%Wind Wind 22Q4 22Q4 2.06 1.72 0.89 0.69 2.05 1.93 120.6%123.7%113%115%110%111%5%6 Wind Wind 2022+22-18%0.9%-4.2%22 2.44%2.38%2.22%505560657075808590951002021/3/31 2021/6/30 2021/9/30 2021/12/31 2022/3/31 2022/6/30 2022/9/30 2022/12/31 60%65%70%75%80%85%90%95%100%100.0105.0110.0115.0120.0125.0130.0 0.000.501.001.502.002.503.002021/3/31 2021/6/30 2021/9/30 2021/12/31 2022/3/31 2022/6/30 2022/9/30 2022/12/31|7 7 22%Wind 2 22 10.5 10.7 2%22 42%36%22%76%13.7%10.5%10.1%3.1%8 9 22Q4 Wind Wind 22 22 105.2%1.2%22 22Q4 73.8 22Q3 5.7 21Q4 1.8 R007 1 1.64%2.04%2.04%2.34%7-20.00-15.00-10.00-5.000.005.0022%020000400006000080000100000120000 3%10%10%76%0%|8 1.49%21 0.6%10 11 7%Wind Wind 3 22 21 12 6 22 22 1600 22 22 45 22Q4 1600 49 22 5 7 21 12 7 22 12 7 88.98 88.93 81.70 60 1011021031041051061071081090102030405060708090%0.001.002.003.004.005.006.00 R007 7|9 12 Wind 22Q4 88%6%5%1%22Q4 119%22Q3 114%22 0.33%2.19%2.4%2.22%13 22Q4 14%Wind Wind 4 ETF ETF 22 ETF 22 5 223 8 9 ETF 22 530 ETF 5 ETF,3 ETF 0-3 3-5 1-5 7-10 05101520253035404550050010001500200025002021/12/31 2022/3/31 2022/6/30 2022/9/30 2022/12/31 88%6%5%1%0.000.100.200.300.400.500.600.700.802022-03 2022-06 2022-09 2022-12|10 ETF-30 ETF 7-10 15 ETF Wind 22 ETF 0.48%21 5.9%-0.54%-0.34%16 ETF 17 ETF Wind Wind 5 2022 2022 27.65 4.7%3 2019 国泰上证5年期国债ETF 2013-03-05 6.1 国债海富通上证城投债ETF 2014-11-13 13.4 信用债国泰上证10年期国债ETF 2017-08-04 6.1 国债富国中证10年期国债ETF 2018-03-19 0.1 国债海富通上证10年期地方政府债ETF 2018-10-12 6.5 地方债平安5-10年期国债活跃券ETF 2018-12-21 9.9 国债平安中债-中高等级公司债利差因子ETF 2018-12-27 52.1 信用债鹏华中证5年期地方政府债ETF 2019-08-23 36.9 地方债海富通上证5年期地方政府债ETF 2019-11-07 5.8 地方债博时中证可转债及可交换债券ETF 2020-03-06 22.1 可转债海富通上证投资级可转债ETF 2020-07-13 1.5 可转债鹏华中证0-4年期地方政府债ETF 2020-07-30 16.0 地方债海富通中证短融ETF 2020-08-03 129.8 信用债华安中债1-5年国开行债券ETF 2022-08-08 46.4 国开债富国中债7-10年政策性金融债ETF 2022-08-19 51.7 政金债博时中债0-3年国开行债券ETF 2022-08-26 104.1 国开债平安中债-0-3年国开行债券ETF 2022-09-01 15.7 国开债招商中证政策性金融债3-5年ETF 2022-09-15 5.4 政金债0100200300400500600700-1-0.500.511.522.52021/3/31 2021/6/30 2021/9/30 2021/12/31 2022/3/31 2022/6/30 2022/9/30 2022/12/31|11 2022 94.5%5.1%0.3%18 19 2022 22.87 4.78 82.71%17.29%2021 8.76 31.68%0.36pct 2022 339-581 12 498 3.53%1 2022 72.60%9.64pct 20 21 2022 29.96 108.20%22 2021 0.83pct|12 2022 2022 4.1pct 50.4%1.11pct 4.70%2.43pct 45.70%21 2022 11.4%17.5%17.8%19.0%22 6.5%3.1%22 22Q4 23+2022 2021 2022 2.2%+0.7%-2.1%-14.6%2022 1.2%2.44%2.2%4.7%45.7%17.5%6.5%19.0%3.1%2.7%(CD)|13 24 2022 25 2021&2022 Wind Wind 1.2(20%10%20%A+A B C A+A B C 30%40%75%150%150%1250%2018 0.15%0.15%90%ETF 2022 9 3 40%1 3 2.2%1.2%0.7%-2.1%-14.6%1.8%2.4%-4.2%-3.9%-20.0%-25%-20%-15%-10%-5%0%5%/+/2022 3.0%4.1%4.6%3.2%5.8%2.2%1.2%0.7%-2.1%-14.6%-20%-15%-10%-5%0%5%10%/+/2021 2022|14 20%A 3M 40%31%ETF ETF ETF 0-1%ETF ETF 16%100%38%47%26 27 ETF Wind Wind 28 2022 Wind 14%11%*银行存款 20%1%2%0%国债 3%3%4%0%政金债 6%40%38%0%其他金融债 1%21%7%40%信用债 6%28%42%100%存单 37%2%1%40%3M以上存单 33%2%1%40%3M以内存单 4%0%0%20%ABS 0%0%0%100%买入返售证券 26%2%4%40%其他资产 1%0%1%0%风险权重综合 31%38%47%银行存款 6%1%1%0%政金债 90%-0%国债-98%1%0%地方债：一般-40%10%地方债：专项-57%20%买入返售证券 3%1%1%40%其他资产 1%0%0%0%风险权重综合 1.1%0.3%15.9%0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%0%5%10%15%20%25%30%35%40%45%50%ETF ETF ETF 2022|15*ETF ETF 1.2%1.9%3.0%1.9%1.6%ETF ETF 29 90%Wind 2 2.1 2 20 1 PCE 1 CPI 2 30 Wind,2.2 2 20 2110 2175 1300 4585 风险权重 31%1%0%16%38%47%2022年收益率 1.7%-1.9%3.2%2.5%2.3%资本占用成本 0.5%0.0%0.0%0.2%0.6%0.7%实际收益率 1.2%-1.9%3.0%1.9%1.6%|16 1 4 3 1 5 10 600 660 650 1 91 2110 2 2175 7 290.9 72 1636.4 3 155.0 2 92.9 3 300 1000 1300 31 2 20 4585 Wind,32 Wind,290.9 7 42.0 1 37.8 1 78.0 1 12.9 1 25.2 1 88.0 1 7.0 1 1636.4 72 44.0 7 500.2 7 60.8 4 114.5 8 27.4 10 105.3 7 217.6 11 129.9 5 333.6 6 103.0 7 155.0 3 123.6 1 25.4 1 6.0 1 92.9 2 91.4 1 1.5 1 2175.2 84|17 3 3.1 MLF MLF 7 16620 18400 2 15 4990 MLF 2.75%210 33 Wind,5.7 4.7 89.3%79.2%7 DR R 2.25%2.72%30.9 63.9bp 34 DR R Wind,35 36 7 Wind,Wind,MLF 7D 14D 7D 14D 1Y 1Y 1M 1M 3M 3M2023/2/13 460 15002023/2/14 910 39302023/2/15 2030 6410 4990 30002023/2/16 4870 45302023/2/17 8350 2030 4990 3000 0 0 0 0 16620 18400 1W 2W 1M 3M 6M 1YDR 34.5 30.9 59.6 21.4R 67.3 63.9 53.6 22.2R-DR 32.8 33.1-6.0 0.8GC 87.9 30.8 25.5 12.6R-89.1 27.1 25.7 10.5SHIBOR 25.0 23.7 37.8 2.4 1.4 1.3 1.4-5.0 3.3 4.5 2.8 0.3 2.2 2.9-0.7-9.5 3.3 4.5-11.220%30%40%50%60%70%80%90%100%10000200003000040000500006000070000800002022-082022-092022-102022-112022-122023-012023-01R001 R007 R014 R021 R1M R001()|18 2 13 6179-755 5677+1012 503-1767-52 714-197 9 1 1M 3M 6M 9M 1Y 5.8%21.1%17.3%32.5%23.3%1 3 6-6.8bp 3.0bp 8.8bp 2.66%37 38 Wind,Wind,3.2 2 15 MLF 0.8bp 2.9bp 2 17 3.0 2959 1 12.2%10.7%2.5 2527 12.3%10.6%39 Wind,1Y 3Y 5Y 7Y 10Y 2.9-0.5 0.2-1.6-0.8 5.5-0.8 0.0-0.5-0.3 3.3 0.0 0.4-0.1 1.1 2.3-0.1-0.2-0.1-1.0|19 40 41 Wind,Wind,42 43 Wind,Wind,44|20 4 78.4%79.5%PTA 76.6%76.9%67.7%71.7%31.2%29.7%2 19-19%-14%2 19 2 19 1419 2 19 30 SCFI CCFI-2.1%-3.5%WTI 3.4/83.0 76.3/LME LME-0.4%-4.1%4.0%2.6%45 PTA 46 Wind,Wind,47 48 Wind,Wind,-100-50050100150%:0100020003000400050006000700080001 2 3 4 5 6 7 8 9 10 11 12()2020 2021 2022 2023|21 49 50 Wind,Wind,51 52 LME Wind,Wind,53 54 Wind,Wind,01000200030004000500060001 2 3 4 5 6 7 8 9 10 11 12 2020 2021 2022 2023|22 55 56 Wind,Wind,|23 Tabl e_Disclai mer 12/15%5%15%-5%+5%-5%5%-5%+5%-5%1%HeadertTabl e_Discl ai mer HeadertTabl e_Address 318 26 021-63325888 021-63326786 Tabl e_Disclai mer