信用策略月報：信用利差低位怎么看

內(nèi)容目錄利差的歷史低位和“資產(chǎn)荒” 3信用策略的方向選擇 5利差的走勢和調(diào)整觸發(fā)因素 94.小結(jié) 11圖表目錄圖1：2016年來信用類資產(chǎn)收益率分位數(shù) 3圖2：2016年來信用類資產(chǎn)信用利差分位數(shù) 3圖3：2024-2-2信用利差（bp） 3圖4：城投債收益分布（億元） 4圖5：產(chǎn)業(yè)債收益率分布情況 4圖6：兩只債券持有半年的投資收益對比 5圖7：曲線平移狀態(tài)下的投資收益測算 5圖8：城投債曲線持有3個月的投資回報 7圖9：信用利差低位震蕩的區(qū)間 10表1：隱含評級AAA-及以上、剩余期限5~10年、估值2.9以上產(chǎn)業(yè)債 6表2：隱含評級AA-、剩余期限1年以內(nèi)的產(chǎn)業(yè)債 6表3：估值3.1以上、剩余期限3.5Y以上、隱含AAA/AA+、非永續(xù)債券主體列表 8表4：部分3.1以上、剩余期限1.5年以內(nèi)、非次級、隱含評級AA(2)城投債主體列表 8表5：1.5Y以內(nèi)、隱含AA-、3.1以上、非永續(xù)城投債分地市分布 9表6：2010年以來八次信用利差走闊行情復盤 102.4220利差的歷史低位和“資產(chǎn)荒”中長久期信用債收益率全面低位。我們了各類信用資產(chǎn)2016年以來的收益率分位數(shù)20242220161Y~2Y5-20歷史分位數(shù)水平。圖1：2016年來信用類資產(chǎn)收益率分位數(shù)（截止2024-2-2）AAA1YAA+AAAA-AAAAA+2YAAAA-AAA3YAA+AAAA-AAAAA+5Y短融中票11%10%9%11%6%6%3%3%3%1%0%3%0%企業(yè)債12%12%10%11%7%6%2%3%3%1%0%2%城投債12%11%10%0%7%6%5%0%4%1%0%商業(yè)銀行普通債12%11%9%7%7%6%5%1%4%4%二級資本債16%16%13%1%9%8%6%0%4%銀行永續(xù)債23%20%13%0%13%12%4%0%證券公司普通債13%12%7%-8%6%5%證券公司次級債 - 20%15% - - 11%消費金融ABS11%11%12%11%5%企業(yè)資產(chǎn)ABS8%4% 3%9%個人住房ABS11%- -次級可續(xù)期產(chǎn)業(yè)債非公開發(fā)行城投債-23可續(xù)期產(chǎn)業(yè)債保險資料來源：， 備注：中債銀行永續(xù)債估值數(shù)據(jù)從2021.8.17開始，企業(yè)ABS估值數(shù)據(jù)從2016.7.25開始，次級可續(xù)期產(chǎn)業(yè)債數(shù)據(jù)從2021.8.30開始，保險公司資本補充債數(shù)據(jù)從2017.1.3開始，證券公司次級債從2021.1.4開始，其他估值數(shù)據(jù)從2016.1.1開始進行分位數(shù)統(tǒng)計，下同；品種歷史分位數(shù)5-301YAA-的城投、二永債利差AAA圖2：2016年來信用類資產(chǎn)信用利差分位數(shù)（截止2024-2-2）13.91Y 2Y 3Y 13.9短融中票21.6%16.3%9.7%32.1%18.2%7.9%1.2%25.0%8.3%2.5% 2.3%27.2%16.3%企業(yè)債32.7%21.4%10.7%34.3%26.0%9.5%1.5%24.7%12.4%0.8%0.1%25.4%城投債33.1%20.4%11.0%0.4%22.8%14.3%8.2%4.2%14.4%6.0%4.5%商業(yè)銀行普通債28.5%20.7%12.9%3.1%27.4%11.9%4.4%0.2%22.5%9.7%二級資本債18.7%17.0%6.6%0.1%9.7%9.4%6.2%0.1%5.9%銀行永續(xù)債26.2%22.0%4.3%0.1%14.6%13.5%0.4%0.1%證券公司普通債39.9%24.0%3.5%-35.8%12.6%11.2%證券公司次級債-28.2%17.0%--22.2%消費金融ABS23.8%25.3%27.0%19.2%15.6%企業(yè)資產(chǎn)ABS

5.3%1.5%0.5%個人住房ABS次級可續(xù)期產(chǎn)業(yè)債非公開發(fā)行城投債可續(xù)期產(chǎn)業(yè)債保險

22.5% - -- 35資料來源：，圖3：2024-2-2信用利差（bp）AAAAA+1YAAAA-AAAAA+2YAAAA-AAAAA+3YAAAA-AAAAA+5YAAAA-短融中票33.943.948.9272.927.537.642.6266.626.338.753.2277.235.248.064.0299.0企業(yè)債36.846.952.3276.829.139.144.4268.727.337.351.9277.834.450.268.2300.1城投債40.244.850.866.830.638.146.197.132.139.049.5180.538.145.158.6302.6商業(yè)銀行普通債28.435.442.459.419.926.936.953.919.028.039.056.023.032.047.064.0二級資本債39.541.546.873.831.032.539.366.334.737.944.971.936.539.053.1105.1銀行永續(xù)債46.648.055.096.035.336.045.086.041.043.352.3117.344.247.370.3150.3證券公司普通債36.043.061.0-28.635.571.5-27.836.8100.8-33.253.3118.3-證券公司次級債-39.150.0--40.354.4--46.363.3--62.989.9-消費金融ABS50.966.999.9167.440.759.796.7166.740.466.4106.4177.447.480.4136.4210.4企業(yè)資產(chǎn)ABS53.268.186.2350.247.862.884.8345.350.877.8100.3355.867.8104.1144.8384.8個人住房ABS37.2-------31.2---39.9---次級可續(xù)期產(chǎn)業(yè)債-54.7355.94--45.5447.05--46.7149.86--60.9161.04-非公開發(fā)行城投債49.3755.2761.27102.6642.6549.6357.64133.7544.2351.3761.73228.7455.4964.4779.57339.50可續(xù)期產(chǎn)業(yè)債48.6254.7661.90-39.7147.0055.35-38.8448.0264.68-49.1459.29100.98-保險公司資本補充債-46.3251.3170.31-34.4139.6259.62-41.3346.3467.34-44.3149.3371.33資料來源：，從城投債收益率分布情況來看，估值5以上城投債僅4111億元，占比2.6；估值3.25以上城投債，總規(guī)模有2.46萬億，占比15.7。圖：城投債收益分布（（--）省份公募城投債余額私募城投債余額不同收益階段債券余額(0,2.5](2.5,2.75](2.75,3](3,3.25](3.25,3.5](3.5,3.75](3.75,4](4,4.5](4.5,5](5,+?]YTM>3.25%債券規(guī)模YTM>3.25%債券占比江蘇省15,186.515,727.31,182.711,596.310,815.03,772.1900.2537.2203.8314.8174.013.02,143.17.3%浙江省7,386.512,913.5480.06,918.18,963.12,747.0378.2124.180.657.9--640.83.2%山東省7,778.06,928.5103.04,011.44,411.71,694.1721.2513.3462.6640.5693.5958.13,989.328.1%廣東省5,569.51,189.0770.83,204.31,952.6462.884.423.815.0---123.21.9%四川省6,197.74,449.9195.53,591.32,408.5957.2476.7490.9368.5830.6620.8366.84.330.6%湖北省5,129.62,417.8152.02,229.33,186.9676.8383.8180.6128.7230.5178.113.31,115.015.1%湖南省4,652.03,803.4282.02,421.62,648.91,199.3392.6232.1220.3325.8222.6171.51,564.919.3%北京市2,359.6576.9320.51,708.3715.3123.012.534.0-8.0--54.51.9%江西省4,114.42,748.1327.02,290.01,987.4892.5315.6245.2133.5256.878.034.41,063.516.2%福建省2,906.71,939.1113.42,200.52,018.1306.776.36.322.08.611.44.8129.52.7%上海市1,965.1766.3242.61,818.9589.735.26.0-----6.00.2%安徽省3,146.52,662.761.22,046.22,359.2606.0271.861.8121.195.224.04.0578.010.2%重慶市3,514.53,710.453.01,743.52,236.6856.7654.4306.2226.4395.5368.0160.92,111.430.2%天津市2,913.5644.979.41,702.2589.9201.2215.432.295.675.792.2143.8654.820.3%河南省3,242.43,706.8103.01,859.82,098.41,192.8434.0202.7161.5276.2147.166.41,288.019.7%陜西省1,631.31,599.7-794.7772.5468.6256.3117.7141.9291.0215.473.61,095.935.0%廣西壯族自1,411.81,075.4-319.1523.1173.7121.0121.192.3263.4328.5408.41,334.756.8%云南省834.4508.5-102.4179.9193.341.8127.482.3125.268.8325.6771.161.9%貴州省990.91,156.6-177.0239.5148.836.726.044.1142.398.11,214.81,562.073.4%河北省1,030.31,180.610.0746.7815.3216.1108.2122.256.025.3-5.0316.715.0%新疆維吾爾826.4632.314.0532.9576.1118.555.323.729.427.0-9.0144.410.4%山西省563.2465.4-424.0395.2107.439.923.5-1.84.8-70.07.0%吉林省679.7272.7-207.8459.8120.462.228.45.025.010.07.4138.014.9%甘肅省284.3152.1-190.0106.030.0-3.25.617.021.535.582.820.3%遼寧省155.8123.7-48.025.018.011.444.810.713.740.641.5162.864.1%黑龍江省95.6128.4-4.013.027.032.560.612.927.521.525.0180.080.4%寧夏回族自139.068.5-39.669.056.710.0--4.617.610.042.220.3%內(nèi)蒙古自治56.212.2-20.033.0----15.4--15.422.5%海南省115.057.0-75.055.031.0-------0.0%西藏自治區(qū)111.3137.7-121.3104.5-13.2-5.0---18.27.5%青海省33.534.1--23.5----14.05.018.137.161.2%全國85,021.071,789.34,490.153,143.951,371.617,433.06,111.63,689.32,724.84,509.03,441.74,110.924,587.4占比54.2%45.8%2.9%33.9%32.8%11.1%3.9%2.4%1.7%2.9%2.2%2.6%15.7%資料來源：，產(chǎn)業(yè)債情況類似，估值3.25以上產(chǎn)業(yè)債僅8755.5億元，占比5.0，分行業(yè)來看，除地產(chǎn)外，僅非銀金融3.25以上債券規(guī)模超過1000億元。圖（（4--）SW行業(yè)公募債余額私募債余額不同收益階段債券余額(0,2.5](2.5,2.75](2.75,3](3,3.25](3.25,3.5](3.5,3.75](3.75,4](4,4.5](4.5,5](5,+?]YTM>3.25%債券規(guī)模YTM>3.25%債券占比公用事業(yè)16,901.2145.25,085.99,903.81,377.963.767.111.023.313.713.212.3140.60.8%房地產(chǎn)12,108.11,192.2120.02,161.13,961.61,933.5571.2308.5180.0260.597.91,480.12,898.130.2%非銀金融45,871.45,216.912,356.322,125.610,102.82,318.01,077.5331.7368.6369.4130.8402.52,680.55.5%交通運輸4,474.8352.81,370.52,481.8450.279.054.610.025.013.1-139.0241.75.4%建筑裝飾7,320.81,013.8692.04,058.11,939.0536.9333.3106.279.7132.379.254.0784.69.9%綜合4,529.749.3408.02,952.8618.5388.045.09.7--0.528.783.81.9%煤炭6,048.6507.9327.33,929.81,370.1359.165.030.014.237.553.486.2286.44.6%石油石化3,641.78.01,114.71,888.0305.043.013.0-----13.00.4%鋼鐵3,186.029.3155.01,749.5879.077.05.022.83.037.0-36.0103.83.5%有色金屬2,545.0179.5220.01,674.5406.174.527.054.210.030.0-85.5206.78.3%社會服務1,032.0233.359.0251.1276.392.1256.089.031.026.510.0146.6559.151.2%商貿(mào)零售1,561.9209.8135.0813.9333.979.0167.032.014.321.540.323.2298.318.2%建筑材料1,388.117.2275.0912.0190.85.01.0--10.0-11.422.41.6%基礎(chǔ)化工1,152.376.88.0527.4280.070.573.538.07.560.08.0108.5295.527.5%食品飲料1,424.47.5706.6491.688.211.07.541.8----49.33.7%環(huán)保1,017.734.089.0713.4197.010.013.8----17.531.33.1%電子886.751.340.0561.9292.88.0-5.0-5.3--10.31.1%醫(yī)藥生物474.013.0105.0215.032.017.016.045.05.024.08.03.0101.021.6%機械設(shè)備565.944.8118.0325.122.015.05.07.016.811.0-35.875.614.5%汽車797.59.4-473.5115.050.0-----65.265.210.2%通信545.925.0415.057.417.023.0-5.013.0-3.621.943.58.1%傳媒378.88.059.0214.645.025.0-5.010.015.2-8.038.210.2%計算機247.014.0127.075.0-8.0-6.0--5.040.051.023.1%農(nóng)林牧漁224.130.915.0106.130.05.0-27.51.412.04.054.098.949.2%電力設(shè)備270.738.031.9125.641.010.05.040.05.05.0-15.270.226.6%國防軍工97.5-70.025.5----2.0---2.02.1%輕工制造69.4--5.0-5.0--5.00.910.033.549.4190.7%紡織服飾90.23.0-5.29.518.55.010.0---25.040.083.0%家用電器55.445.0-25.410.0-25.012.0--8.05.050.062.2%銀行商金二級債37,290.43,700.018,625.011,671.5885.0173.0159.059.5410.4258.5352.51,412.93.9%商金永續(xù)21,449.0-13,413.05,174.01,474.0368.0290.0240.093.0252.0145.01,388.06.5%合計118,9079,55627,80390,88840,2368,6843,3741,6961,1141,5889828,755.55.0%資料來源：，信用策略的方向選擇當收益率下行時，長久期利率債有明顯優(yōu)勢。通過對比10Y2.42估值的債券和3Y3.00估值的債券，可以明顯觀察到，當收益率下行時，如果下行5bp，長久期利率債投資收益占優(yōu)。圖6：兩只債券持有半年的投資收益對比資料來源：，狀態(tài)，又該如何選擇投資方向？我們以202422日的收益率為基礎(chǔ)，假設(shè)收益率曲線維持的情況不變，測算利率債和中票、城投、二永債的投資收益。結(jié)果顯示：1、主流底線資產(chǎn)之間差異不大。2~3年AA中票/2~3年AA(2)城投/3~5YAA二級資本債，3個月的投資收益基本都處于0.75~0.85窄區(qū)間，比較難獲取明顯的品種超額收益。2債券曲線整體較平。10Y國開債投資收益相當。3AA-AAA債券具有抵質(zhì)押優(yōu)勢，且隱含評級AAA的債券對應主體多數(shù)情況下也是AAA，如果按照1.2倍杠桿計算，AAA城投債、中票適當拉長久期，也能夠獲得較好的投資收益。圖7：曲線平移狀態(tài)下的投資收益測算關(guān)鍵年期1Y1.5Y2Y2.5Y3Y4Y5Y7Y10Y15Y30Y虛擬券票面利率1.8903%2.2352%2.2799%2.4115%2.4244%2.5065%2.6353%持有期末YTM1.8949%2.2241%2.2684%2.4065%2.4240%2.5024%2.6330%國債0.47%0.59%0.62%0.56%0.58%0.59%0.62%0.63%0.60%0.67%0.70%國開債0.53%0.60%0.64%0.60%0.60%0.70%0.60%0.71%0.68%中短期票據(jù)(AAA)0.62%0.65%0.68%0.70%0.77%中短期票據(jù)(AA)0.65%0.69%0.72%0.77%0.81%0.77%0.89%中短期票據(jù)(AA-)1.20%1.23%1.26%1.31%1.35%1.45%1.43%城投債(AAA)0.64%0.65%0.70%0.70%0.79%城投債(AA(2))0.68%0.79%0.99%0.97%城投債(AA-)0.72%0.88%1.02%1.38%1.63%2.04%1.49%商業(yè)銀行二級資本債0.63%0.65%0.69%0.70%0.72%0.73%0.70%商業(yè)銀行二級資本債(AA+0.63%0.66%0.72%0.73%0.72%0.72%商業(yè)銀行二級資本債(AA)0.65%0.70%0.73%0.76%0.80%0.76%商業(yè)銀行二級資本債(AA-)0.72%0.74%0.77%0.80%0.82%1.04%0.93%銀行永續(xù)(AAA-)0.64%0.65%0.70%0.71%0.75%0.75%0.74%銀行永續(xù)(AA+)0.64%0.66%0.73%0.77%0.75%0.76%銀行永續(xù)(AA)0.66%0.69%0.83%0.92%銀行永續(xù)(AA-)0.76%0.79%0.81%1.01%1.13%1.08%1.16%資料來源：，注：持有久期按照3個月進行的測算；產(chǎn)業(yè)債中有哪些機會值得關(guān)注？AAA2.9表1：隱含評級AAA-及以上、剩余期限5~10年、估值2.9以上產(chǎn)業(yè)債證券簡稱債務主體中文名稱剩余期限(y)發(fā)行人最新評級債券余額[單位]億市場隱含評級(中債)YTM()20中國信達債02BC中國信達資產(chǎn)管理股份有限公司6.13AAA100.0000AAA-3.108720中國信達債01BC中國信達資產(chǎn)管理股份有限公司6.09AAA100.0000AAA-3.105619東方債02BC中國東方資產(chǎn)管理股份有限公司5.56AAA50.0000AAA-3.100222閩港口債01福建省港口集團有限責任公司8.54AAA10.0000AAA-2.945623申宏02申萬宏源集團股份有限公司9.37AAA50.0000AAA-2.959722申宏06申萬宏源集團股份有限公司8.58AAA25.5000AAA-2.946520新際01新興際華集團有限公司6.18AAA16.0000AAA-2.975123港口01福建省港口集團有限責任公司9.39AAA10.0000AAA-2.959820遠發(fā)01中遠海運發(fā)展股份有限公司6.76AAA10.0000AAA-2.927723粵財K3廣東粵財投資控股有限公司9.44AAA7.0000AAA-3.060021遠發(fā)03中遠海運發(fā)展股份有限公司7.70AAA7.0000AAA-2.983119新際04新興際華集團有限公司5.54AAA5.0000AAA-2.938822風電G2中廣核風電有限公司8.10AAA5.0000AAA-2.937023潤置03華潤置地控股有限公司9.43AAA5.0000AAA3.096221廣金05廣州金融控股集團有限公司7.82AAA3.0000AAA-2.984320穗控01廣州金融控股集團有限公司6.20AAA2.0000AAA-2.925319穗灣01廣州金融控股集團有限公司5.90AAA2.0000AAA-2.919820中建材集MTN002B中國建材集團有限公司6.16AAA8.0000AAA-2.914023浙港02浙江省海港投資運營集團有限公司9.54AAA10.0000AAA-2.960423中國信科MTN001中國信息通信科技集團有限公司9.70AAA15.0000AAA-3.043523浙江機場MTN004浙江省機場集團有限公司9.77AAA4.0000AAA-2.993824越秀資本MTN001B廣州越秀資本控股集團股份公司9.98AAA3.0000AAA-3.145024廣發(fā)03廣發(fā)證券股份有限公司9.97AAA14.0000AAA2.909724廣越02廣州越秀集團股份有限公司9.96AAA12.0000AAA3.0001資料來源：，AA-11285億元，680.7604346.8257億元。細看其中的企業(yè)，主流機構(gòu)能夠參與的有限，建議關(guān)注中原金控、新疆金投資產(chǎn)。表2：隱含評級AA-、剩余期限1年以內(nèi)的產(chǎn)業(yè)債企業(yè)債券余額(億)平均收益率()天津渤海國有資產(chǎn)經(jīng)營管理有限公司452.81河南中原金控有限公司203.32柳州市房地產(chǎn)開發(fā)有限責任公司17.66.50中國水發(fā)興業(yè)能源集團有限公司153.90獅橋融資租賃(中國)有限公司154.95天地源股份有限公司147.15云南錫業(yè)集團(控股)有限責任公司106.04昆明鋼鐵控股有限公司105.18山東美晨生態(tài)環(huán)境股份有限公司9.435.39天津市房地產(chǎn)發(fā)展(集團)股份有限公司7.56.31廣西林業(yè)集團有限公司74.97蘭州蘭石集團有限公司76.62安徽省皖北煤電集團有限責任公司6.35.99吉林省信用融資擔保投資集團有限公司6.286.80天津津融投資服務集團有限公司54.47吉林省金融控股集團股份有限公司56.12天津津融資產(chǎn)管理有限公司56.34濟寧礦業(yè)集團有限公司55.68信陽國信發(fā)展集團有限公司52.84洛陽文化旅游投資集團有限公司53.32天津渤?；ぜ瘓F有限責任公司54.96廣西能源股份有限公司54.86西部礦業(yè)集團有限公司3.95.34新疆金投資產(chǎn)管理股份有限公司3.84.82新疆天富集團有限責任公司3.753.92山東宏河控股集團有限公司3.555.30四川華西綠舍建材有限公司35.39武漢光谷融資租賃有限公司2.755.42廣西金融投資集團有限公司2.496.00武漢長江經(jīng)濟聯(lián)合發(fā)展股份有限公司2.25.34江蘇匯鴻國際集團股份有限公司1.86.05總計257.355.04資料來源：，城投債中有哪些機會值得關(guān)注？下沉方向上，2YAA-；拉長久期方向上，5Y及以上AAA/AA+。圖8：城投債曲線持有3個月的投資回報2024/2/2收益率變動(BP)曲線評級初始收益率原始期限-20-15-10-7-3037101520AAA2.7816%51.572%1.350%1.129%0.997%0.820%0.688%0.557%0.381%0.250%0.032%-0.186%AA+2.8512%51.588%1.366%1.145%1.013%0.837%0.705%0.574%0.399%0.268%0.050%-0.167%AA2.9862%51.617%1.397%1.177%1.045%0.870%0.738%0.607%0.433%0.302%0.085%-0.131%AA(2)3.3062%51.688%1.469%1.251%1.120%0.947%0.816%0.687%0.514%0.384%0.169%-0.045%AA-5.4262%52.153%1.947%1.740%1.617%1.453%1.330%1.207%0.718%0.515%AAA2.6891%41.374%1.196%1.019%0.913%0.771%0.666%0.560%0.419%0.314%0.139%-0.036%AA+2.7583%41.390%1.212%1.035%0.929%0.788%0.683%0.577%0.437%0.331%0.156%-0.018%AA2.8983%41.422%1.245%1.068%0.963%0.822%0.717%0.612%0.472%0.367%0.192%0.018%AA(2)3.1483%41.479%1.303%1.128%1.023%0.883%0.778%0.673%0.534%0.430%0.256%0.083%AA-5.1383%41.931%1.595%1.495%1.361%1.261%0.927%0.761%0.596%AAA2.6447%31.181%1.049%0.917%0.838%0.733%0.655%0.576%0.471%0.393%0.263%0.132%AA+2.7136%31.197%1.065%0.934%0.855%0.750%0.672%0.593%0.489%0.410%0.280%0.150%AA2.8186%31.222%1.090%0.959%0.880%0.776%0.697%0.619%0.515%0.436%0.306%0.177%AA(2)2.9286%31.248%1.117%0.986%0.907%0.803%0.724%0.646%0.542%0.464%0.334%0.204%AA-4.1286%31.529%1.401%1.272%1.196%0.838%0.762%0.634%0.508%AAA2.5793%20.978%0.893%0.808%0.757%0.689%0.639%0.588%0.520%0.470%0.385%0.301%AA+2.6539%20.996%0.911%0.826%0.775%0.708%0.657%0.606%0.539%0.488%0.404%0.320%AA2.7339%21.015%0.930%0.846%0.795%0.727%0.677%0.626%0.558%0.508%0.424%0.340%AA(2)2.8239%21.037%0.952%0.868%0.817%0.749%0.699%0.648%0.581%0.530%0.446%0.362%AA-3.2439%21.138%1.053%0.969%0.919%0.852%0.801%0.751%0.684%0.634%0.550%0.467%AAA2.5058%10.768%0.731%0.694%0.672%0.643%0.621%0.599%0.569%0.547%0.510%0.474%AA+2.5517%10.779%0.742%0.706%0.683%0.654%0.632%0.610%0.580%0.558%0.522%0.485%AA2.6117%10.794%0.757%0.720%0.698%0.669%0.647%0.625%0.595%0.573%0.536%0.500%AA(2)2.6817%10.811%0.774%0.737%0.715%0.686%0.664%0.642%0.612%0.590%0.554%0.517%AA-2.7717%10.833%0.796%0.759%0.737%0.708%0.686%0.664%0.634%0.612%0.576%0.539%資料來源：，拉長久期方向，建議關(guān)注大橫琴、西藏開發(fā)投資、英德國資（廣東粵財擔保。表3：估值3.1以上、剩余期限3.5Y以上、隱含AAA/AA+、非永續(xù)債券主體列表行標簽債券余額（億）平均收益率()平均剩余期限（年）河南交通投資集團有限公司813.118.75無錫市交通產(chǎn)業(yè)集團有限公司24.23.139.86無錫市太湖新城發(fā)展集團有限公司23.13.188.39鄭州發(fā)展投資集團有限公司203.134.87濟南軌道交通集團有限公司203.168.57南昌市政公用集團有限公司153.178.96漢江國有資本投資集團有限公司153.144.52無錫城建發(fā)展集團有限公司153.125.45湖北交通投資集團有限公司133.2810.78濟南城市投資集團有限公司133.309.15濟南城市建設(shè)集團有限公司123.389.62珠海大橫琴集團有限公司123.469.17重慶渝富控股集團有限公司113.4114.90長沙先導投資控股集團有限公司103.329.51石家莊國控城市發(fā)展投資集團有限責任公司103.124.75西藏開發(fā)投資集團有限公司8.23.333.91重慶高速公路集團有限公司83.1614.22西安城市基礎(chǔ)設(shè)施建設(shè)投資集團有限公司83.1413.36北京亦莊國際投資發(fā)展有限公司73.139.79杭州西湖城市建設(shè)投資集團有限公司53.146.88泰州市城市建設(shè)投資集團有限公司53.144.98山東鐵路投資控股集團有限公司33.158.11英德市國有資產(chǎn)經(jīng)營管理有限責任公司23.263.75總計340.53.208.46資料來源：Wind，天風證券研究所信用下沉方向上：3.11.5AA的以私募債為主，僅2募債，私募債中，我們認為也可以適當考慮尋券。3.11.5AA(2)慶九龍園、永川高新、金洲新城等。表4：部分3.1以上、剩余期限1.5年以內(nèi)、非次級、隱含評級AA(2)城投債主體列表債券余額(億)青島海創(chuàng)開發(fā)建設(shè)投資有限公司(億)青島海創(chuàng)開發(fā)建設(shè)投資有限公司313.25395水發(fā)集團有限公司203.31245臨沂投資發(fā)展集團有限公司203.205重慶市永川區(qū)興永建設(shè)發(fā)展有限公司19.63.65167瀘州產(chǎn)業(yè)發(fā)展投資集團有限公司193.7733重慶九龍園高新產(chǎn)業(yè)集團有限公司173.7618婁底市城市發(fā)展控股集團有限公司173.5202青島海洋投資集團有限公司153.14227四川港榮投資發(fā)展集團有限公司154.5326綿陽交通發(fā)展集團有限責任公司13.0963.93477榮成市財鑫投資有限公司104.2534萍鄉(xiāng)市投資發(fā)展集團有限公司103.1944榮成市城建投資開發(fā)有限公司104.1775信陽華信投資集團有限責任公司103.3518淄博高新國有資本投資有限公司104.0823許昌市投資集團有限公司103.10895青島市即墨區(qū)丁字灣投資發(fā)展有限公司103.2051重慶市雙福建設(shè)開發(fā)有限公司9.823.26333重慶萬州經(jīng)濟技術(shù)開發(fā)(集團)有限公司9.53.2362重慶永川高新技術(shù)產(chǎn)業(yè)投資發(fā)展集團有限公司54.08長沙金洲新城開發(fā)建設(shè)投資有限公司3.74.3522資料來源：Wind，天風證券研究所1.5YAA-、3.1以上、非次級城投債中，從地市層級來看，基本都是債務壓較大的區(qū)域。建議關(guān)注重點省份債務化解推進情況。表5：1.5Y以內(nèi)、隱含AA-、3.1以上、非永續(xù)城投債分地市分布省份城市債券余額(億元)平均估值()省份城市債券余額(億元)平均估值()云南省昆明市483.64.10貴州省貴陽市73.84.74山東省濰坊市319.94.83江蘇省徐州市73.63.59山東省濟寧市298.34.49山東省威海市70.44.89廣西柳州市296.04.65山東省淄博市70.04.54四川省成都市248.63.93山東省青島市64.64.07陜西省西安市183.14.07河南省開封市62.03.65天津市濱海新區(qū)130.34.26重慶市南川區(qū)57.84.52湖南省株洲市125.63.81湖南省郴州市52.23.66重慶市大足區(qū)111.23.86四川省遂寧市52.24.16江西省上饒市97.13.90重慶市萬盛經(jīng)開52.03.94四川省瀘州市81.93.73重慶市長壽區(qū)50.53.86江蘇省鹽城市77.63.50重慶市潼南區(qū)49.463.44資料來源：，利差的走勢和調(diào)整觸發(fā)因素20162016811月底，信用債利差處于低位震蕩；2019年11月初到20203月中，信用利差底部震蕩，進入疫情期間后，國開債利率大幅下行，但信用債并未進一步跟隨，造成信用利差被動走闊；2020年8月底到2020年11月上旬，利率上行，信用利差在前期被動走闊并回落后，并未跟隨顯著走闊，直至永煤事件發(fā)生；2022年9月初到2022年11月上旬，在資金面寬松狀態(tài)下，信用利差低位震蕩排華，直到防疫政策優(yōu)化