2022年12月信用債市場運行報告：一級市場凈融資銳減二級市場利差整體走闊

免責聲明摘要摘要融資最多，凈融資額為億元和-453.61億元；國有企業(yè)和非國有企業(yè)凈融資分別為-5,326.10億元和-壓力均環(huán)比下降。到期收益率方面，12月份中短期票據(jù)和城投債二級市場到期收益率均上的中短期票企信用風推高等級產(chǎn)業(yè)債信用利差有望率先企穩(wěn)。：5.《2022年9月利率債市場6.《2022年9月信用債市場一級市場凈融資銳一級市場凈融資銳減，二級市場利差整體走闊告esearchfecrcomcn責聲明Jan13th,2022TheThenetfinancingintheprimarymarketdeclinedsharply,andthesinthesecondarymarketgenerallywidened——December2022China'scorporatebondsmarketoperationreportAuthorCaoXiaojing,JianJiangpingIntermsoftheissuanceofChina’scorporatebonds,atotalof702.997billionyuanofcorporatebondswereissuedinDecember,andtheissuancescaledecreasedmonth-on-month.Amongthem,theshort-termfinancingbills,corporatebondsyuanrespectively.Therewere194corporatebondscancelledorpostponedinthismonth,involvinganamountof120.098billionyuan.rwasbillionyuanwhichshranktoitslowestlevelsince2015.Amongthe10keyindustries,theutilitiesindustryhasachievedthemostnetfinancing,withanetfinancingamountof48.264billionyuan.ThenetfinancingofAAA,AA+andAAlevelentitieswas-488.236billionnrespectivelyThenetfinancingofstateownedenterprisesandnonstateownedenterpriseswas-532.610billionyuanand-79.890billionyuanrespectively.ThenetfinancingofLocalGovernmentnancingVehicleLGFVbondsandnonLGFVbondswasbillionyuanandbillionyuanrespectivelyIntermsofmaturitypressure,asoftheendofDecember,4,297.596billionyuanofChina’scorporatebondswillmatureinthenextsixmonths,andthematuritypressuremigrationcoefficientwas0.79,down0.11fromtheendofpreviousmonth.Fromtheperspectiveofindustries,thematuritypressureofmostkeyindustriesdecreasedmonth-on-month.Fromtheandnonstateownedcompaniesbondsbothdecreasedmonth-on-month.FromtheperspectiveofLGFVbondsandnon-LGFVbonds,thematuritypressureofLGFVbondsandnon-LGFVbondsbothdecreasedmonth-on-month.bothincreasedinDecember.Amongthem,theyieldtomaturityof3-yearshort-termbillshasrisensignificantlymorethanthatof5-yearshort-termbills.cemberCreditspreadsofLGFVbondswithdifferentratingswidened,andthecreditspreadsofAAA,AA+andAALGFVbondsincreasedby43.89BP,70.42BPand102.96BPrespectively,thecreditspreadofAALGFVbondshasrisenmore,whichmayindicatethatthecreditriskdifferentiationoflow-andmedium-qualifiedLGFVbondshasincreased.ThepercentilesofthecreditspreadsofLGFVaveallincreasedsignificantlyAAAAAandAALGFVbondspreadsareathistoriclevelsof92%,98%and84%since2015respectively.Jan13th,2022InDecember,theepidemicpreventionandcontrolpolicyunderwentafundamentalchange,andthemarket'sexpectationforfutureeconomicrecoveryhasincreased.Intermsofrealestatebonds,althoughthe"threearrows"policyhasbeenlementedoneafteranothertheliquidityofsomehighqualityrealestateenterpriseshasbeensubstantiallyeasedbutthetotalsaleofcommercializedbuildingshasnotyetstabilized,thecreditrisksofweaklyqualifiedrealestateenterprisesneedtocontinuetopayattentionto.IntermsofLGFVbonds,ZunyiBridgeandRoad’sdebtrestructuringandreplacementonDecember30hasattractedwidespreadattentioninthemarket.Underthepolicytoneof“reducingthestockandcontrollingtheincrease”oflocalgovernmentdebt,itisnecessarytocontinuetopayattentiontotheriskofthetailLGFVs.Lookingforward,asthemarketstabilizes,thescaleofissuanceintheprimarymarketisexpectedtoincreaserapidlyduetothecollectivecancellationorpostponementofissuanceofpreviousbonds,andthecreditspreadsofhigh-gradeindustrialbondsareexpectedtotaketheleadinstabilizing. (一)一級市場 2 (二)二級市場 9 (三)信用債市場特別關注 14 /1701040104071001040710010407100104071001040710010407100104071001040710場運行(一)一級市場平。00000000,000億元(見表1)。(億元)(億元)(億元)(億元)前兌付量(億元)(億元)量(億元)50司債6567.87期融資券720533059700.0745.2017003.479.7001.00000500-160.48-144.20-261.50003.479.7001.00000500-160.48-144.20-261.50,102.572.AAA級主體凈融資大幅回落，國有企業(yè)融資大幅凈流出(1)多數(shù)行業(yè)凈融資額為負且規(guī)模環(huán)比下降分行業(yè)來看，本文從申萬行業(yè)中選取10個重點行業(yè)統(tǒng)計信用債凈融資情況(見圖2)。12月份僅公用事業(yè)行82.64,269.72建筑裝飾公用事業(yè)交通運輸商貿(mào)零售鋼鐵355.00石化醫(yī)藥生物食品飲料續(xù)產(chǎn)公用事業(yè)炭石化食品飲料75518300//17產(chǎn)公用事業(yè)炭石化食品飲料008900075.89769.72402.5748205055.007000(2)AAA級主體凈融資大幅回落3,815.34億元；AA+級主體凈融資為-728.74億元，較上月減少656.68億元；AA級主體信用債凈融資為-453.61億元，較上月減少253.42億元；AA-級主體信用債凈融資持續(xù)為負。AAAA計6.73.439758.92831.645.697.69102.793282.367461510.3707080910111201020304050607080910111202030405060708091011120708091011120102030405060708091011120203040506070809101112A0000000000000000000000(3)國有企業(yè)融資大幅凈流出降。000000000000000000000000070708091011120102030405060708091011120203040506070708091011120102030405060708091011120203040506070809101112(4)城投債凈融資環(huán)比下降，非城投債融資大幅凈流出凈融資為-5,053.85億元，較上00000000000000000000000000000000000000000017000,000000,000003.信用債總體到期壓力環(huán)比下降元信60,00054,507.397,237.8742,975.96過去6個月ATAE未來6個月到期總量上月末未來6個月到期總量來6個月信用債到期總量較上月末水平下降4,261.91億元，到期壓力遷移(1)大部分重點行業(yè)信用債到期壓力環(huán)比下降平。交通運輸、商貿(mào)零售、煤炭、石油石化、醫(yī)藥生物、食品飲料等行業(yè)到期壓E49,797.3240,125.4649,797.3240,125.4600000ATAE參考線(遷移系數(shù)=1)個月到期總量到期壓力遷移系數(shù)(右軸)上月末到期壓力遷移系數(shù)(右軸)房地產(chǎn)建筑裝飾公用事業(yè)交通運輸商貿(mào)零售鋼鐵煤炭石油石化醫(yī)藥生物食品飲料Wind，遠東資信整理(2)國有企業(yè)與非國有企業(yè)信用債到期壓力均環(huán)比下降000,00000ATAE參考線(遷移系數(shù)=1)上月末到期壓力遷移系數(shù)(右軸)個月到期總量到期壓力遷移系數(shù)(右軸),710.070.5017(3)城投債與非城投債到期壓力均環(huán)比下降,000000000TAE參考線(遷移系數(shù)=1)上月末到期壓力遷移系數(shù)(右軸)個月到期總量到期壓力遷移系數(shù)(右軸)8.0816.06(二)二級市場0102030405060708091011120102030405060701020304050607080910111201020304050607080910111201020304050607080910111201020304-05060708091011120102030405060708-09101112企業(yè)債(億元)公司債(億元)中期票據(jù)(億元)短期融資券(億元)定向工具(億元)000,000002.中短期票據(jù)和城投債到期收益率均上行BPBPAAAA8AAA7654320102010203040506070809101112010203-04-0506070809101112010203040506070809101112不同期限與評級的城投債到期收益率均上行，走勢先升后降(見圖13)。具體A3.重點行業(yè)債券信用利差整體走闊，不同評級城投債信用利差均上行(1)重點行業(yè)債券信用利差整體走闊，AA+地產(chǎn)債上行超100BP興業(yè)研究提供的10個重點行業(yè)不同信用級別產(chǎn)業(yè)債信用利差顯示，12月份重點行業(yè)債券信用利差整體走闊。P藥生物行業(yè)AAA級債項外，12月末各行業(yè)評級債券信用利差均在歷史較高水平(見圖15)。房地產(chǎn)建筑裝飾電力交通運輸商業(yè)貿(mào)易鋼鐵煤炭化工醫(yī)藥生物食品飲料PAAAAAAA%%%房地產(chǎn)建筑裝飾電力交通運輸商業(yè)貿(mào)易鋼鐵煤炭化工醫(yī)藥生物食品飲料。(2)不同評級城投債信用利差均上行，AA+城投債接近歷史峰值A度最大(見圖16)。.89全體城投債