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Report Title: Everbright Fixed Income Credit Spread Database_20220930
Report Release Date: October 1, 2022
Analyst: Zhang Xu Practice Certificate Number: S0930516010001
Analyst: Wei Weixiao Practice Certificate Number: S0930519070001
Summary
Credit spreads rose last week in most industries. Among Shenwan first-level industries, the largest credit spread in the AAA industry is electronics, with an upward 10.5BP, the largest downward 2.1BP; the largest credit spread in the AA+ industry is non-ferrous metals , with an upward 37.5BP, and the largest downward 13.9BP; the largest credit spread in the AA industry is mining, with an upward 13.9BP, and the largest downward 14.2BP.
Last week, the credit spreads of coal and steel rose and fell. The coal credit spreads of three levels of rose by 2BP, down by 5.7BP, and up by 13.9BP, respectively. The credit spreads of steel at AAA and AA+ levels rose by 5BP and down by 1.1BP respectively.
both urban investment and non-urban investment credit spreads rose last week. The credit spreads of urban investment at the three levels of rose by 1.7BP, up by 2.8BP, and up by 6.2BP, respectively; the credit spreads of non-urban investment at the three levels of rose by 2.6BP, up by 0.7BP, and up by 0.6BP, respectively.
Except for the AA+-level central state-owned enterprises' credit spreads declined last week, the credit spreads of state-owned enterprises and private enterprises of other levels rose. The credit spreads of central state-owned enterprises at the three levels of rose by 2.2BP, down by 2.4BP, up by 1.8BP, up by 2.3BP, up by 2.1BP, up by 0.6BP, up by 14.4BP, up by 2BP, up by 2.8BP, up by 2.8BP, up by 14.4BP, up by 2BP, up by 2.8BP, up by 2.
Last week, the credit spread of urban investment in most regions rose.
spread level: The three regions with the highest AAA credit spread last week were Tianjin, Jilin and Yunnan, with credit spreads of 227, 148, and 143BPs respectively; the highest AA+ credit spreads were Gansu, Qinghai and Heilongjiang, with credit spreads of 1897, 859, and 523BPs respectively; the highest AA credit spreads were Guizhou, Yunnan and Tianjin, with credit spreads of 822, 582, and 359BPs respectively.
month-on-month change: Yunnan had the most upward trend of AAA credit spread last week, with 15.5BP, Shaanxi had the most downward trend, with 4.8BP; Jiangxi had the most upward trend, with 29.7BP, Gansu had the most downward trend, with 544.4BP; Shaanxi had the most upward trend, with 41.9BP, Shanxi had the most downward trend, with 31BP.
Credit spread distribution (AAA level)
Credit spread distribution (AA+ level)
Credit spread distribution (AA level)
Note:
1. Each line represents an industry, the darkness of the color indicates the frequency of occurrence at the spread level, the darker the color indicates the more concentrated the distribution; the unit of the first line is %. 2. The data window is from 2014 to present.
3. The data source used in this database is Wind.
4. For details on the database coupon selection standards and algorithms, please refer to the "Detailed Explanation of Credit Spread Algorithm - Explanation of Distribution Database Modeling".
Classification of interest rate spreads by attribute
Note: Please contact the Fixed Income Research Team of Everbright, or click "Read original text" below, extract code: gdgs
points province urban investment
Note: Please contact the Fixed Income Research Team of Everbright, or click "Read original text" below, extract code: gdgs
Key industries credit spread
Note: Please contact the Fixed Income Research Team of Everbright, or click "Read original text" below, extract code: gdgs
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