-一文讀懂地方債投資框架

固定收益?zhèn)泄潭ㄊ找鎮(zhèn)醒芯奎S偉平S0190514080003融資債發(fā)行創(chuàng)歷史新高——2023年全年地方債觀察新增債提前批額度下達(dá)可期未來(lái)發(fā)行放量可期——2023項(xiàng)債或?qū)⒗^續(xù)放量——20238-9月或迎新增專項(xiàng)債年內(nèi)發(fā)新型再融資債重啟可能——季度再融資債或?qū)⒎帕俊觐~度高達(dá)3.8萬(wàn)億元——一文讀懂地方債投資框架地方債的供給有何特征？年度發(fā)行規(guī)模皆超過(guò)了7萬(wàn)億元，當(dāng)前存量債規(guī)模已突破41萬(wàn)億元。發(fā)行期限和發(fā)行利率：地方債的發(fā)行期限較為豐富，10、7、5年期是發(fā)行主力軍，19年以來(lái)10年及以上期限發(fā)行也逐漸放量；在經(jīng)濟(jì)增速放緩和利率中樞下行的背景下，地方債的發(fā)行票面利率在2018年以來(lái)也呈現(xiàn)趨勢(shì)下行的態(tài)勢(shì)。地方債的需求有何特征？從投資者結(jié)構(gòu)來(lái)看，商業(yè)銀行是地方債最主要的配置力量（占比超80%）。整體來(lái)看，地方債的配置屬性更強(qiáng)，但近年來(lái)廣義基金的投資占比也有所提升。從CFETS披露的各機(jī)構(gòu)凈買入地方債的情況來(lái)看，各類機(jī)構(gòu)對(duì)地方債一二級(jí)市場(chǎng)的參與方式不盡相同，且投資的地方債久期偏好也有所分化。地方債如何進(jìn)行定價(jià)？一級(jí)發(fā)行定價(jià)：地方債投標(biāo)利率下限在同期限國(guó)債基礎(chǔ)上固定加點(diǎn)開(kāi)始于2018年8月，近年來(lái)呈現(xiàn)“固定加點(diǎn)下移、區(qū)域趨于分化”的特征。我國(guó)主要期限品種的地方債一、二級(jí)收益率呈現(xiàn)出一定的倒掛特征，尤其是10、15和20年期，這或是非市場(chǎng)化發(fā)行因素和投資機(jī)構(gòu)一級(jí)投標(biāo)沖量的結(jié)果。二級(jí)成交走勢(shì)：地方債的收益率與國(guó)債走勢(shì)整體類似，地方債相較同期限國(guó)債的利差則主要由流動(dòng)性溢價(jià)、銀行風(fēng)險(xiǎn)資本占用、機(jī)構(gòu)行為等因素共同影響。投資策略：關(guān)注地方債的配置價(jià)值和逐漸提升的交易價(jià)值以10年期地方債為觀察的錨，2018年以來(lái)利差的調(diào)整頂部或在發(fā)行加點(diǎn)下限的基礎(chǔ)上上浮20-25BP左右，底部或在發(fā)行加點(diǎn)下限附近。未來(lái)地方債與國(guó)債利差壓縮的頂部或在35BP上下，底部或在5-10BP上下，當(dāng)前為21BP左右。結(jié)合地方債的估值比價(jià)和各機(jī)構(gòu)配置地方債的實(shí)際收益率水平，對(duì)于銀行自營(yíng)、保險(xiǎn)、券商自營(yíng)等機(jī)構(gòu)來(lái)說(shuō)，當(dāng)前地方債仍具不錯(cuò)的配置價(jià)值。建議重點(diǎn)關(guān)注5年及以上期限地方債的配置價(jià)值，尤其是15年期更具配置性價(jià)比。年11月以來(lái)地方債成交活躍度出現(xiàn)明顯提升。綜合考慮地方債的票息、騎乘收益和成交活躍度，對(duì)于公募基金、理財(cái)?shù)葯C(jī)構(gòu)來(lái)說(shuō)，當(dāng)前地方債的交易價(jià)值在提升，可以擇機(jī)把握地方債的投資機(jī)會(huì)。建議可以重點(diǎn)關(guān)注5年期、7年期、15年期（騎乘收益較為可觀，同時(shí)成交活躍度較好）以及20-30年期（絕對(duì)票息高、成交活躍度高）地方債的參與機(jī)會(huì)。同時(shí)，我們深化了各維度下地方債區(qū)域間的差異性分析，詳見(jiàn)報(bào)告正文！風(fēng)險(xiǎn)提示：貨幣政策放松不達(dá)預(yù)期；政策落地不達(dá)預(yù)期；數(shù)據(jù)統(tǒng)計(jì)可能存在一定偏差。請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-2-1、地方債的供給有何特征？ 2、地方債的需求有何特征？ 4、投資策略：關(guān)注地方債的配置價(jià)值和逐漸提升的交易價(jià)值 圖表11：2015年以來(lái)各發(fā)行票面利率地方債的發(fā)行規(guī)模和加權(quán)票面利率走勢(shì)（月 圖表25：各地區(qū)地方債發(fā)行利率與發(fā)行前五日同期限國(guó)債收益率均值的平均利差 請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-3- 圖表48：對(duì)于銀行配置盤，扣除稅收和風(fēng)險(xiǎn)權(quán)重，當(dāng)前各類資產(chǎn)的實(shí)際收益率水平 請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-4-基于此，本文旨在搭建完整的地方債投資框架，從地方債的供需特征分析出發(fā)，進(jìn)一步剖析地方債一二級(jí)定價(jià)的原理和特征，并對(duì)地方債當(dāng)前估值比價(jià)和投資策略提出我們的看法。同時(shí)，我們深化了各維度下地方債區(qū)域間的差異性分析，為具體擇方政府一般債務(wù)和專項(xiàng)債務(wù)的發(fā)行辦法出臺(tái)，地方債正式開(kāi)啟了各地區(qū)自圖表1：2015年以來(lái)地方債余額走勢(shì)圖表2：2015年以來(lái)地方9876543210數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金融研究院整理數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金融研究院整理請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-5-20/0220/0520/0820/0220/0520/0820/1121/0221/0521/0821/1122/0222/0522/0822/1123/0223/0523/0823/1124/020數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金2500020000150001000050000新增一般新增專項(xiàng)一般置換一般再融資專項(xiàng)置換專項(xiàng)再融資數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-6-從發(fā)行期限來(lái)看，地方債的發(fā)行期限較為豐富，10、7、5年期是發(fā)行主力軍，數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金5000數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-7-從發(fā)行票面利率來(lái)看，在經(jīng)濟(jì)增速放緩和利率中樞下行的背景下，地方債的發(fā)3.4%-3.8%3.8%-4.2%4.2%-4.6%4.62.2%-2.6%數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金融研究院整理數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金融研究院整理01.8-2.22.2-2.62.6-33-3.4數(shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-8-發(fā)行規(guī)模（億元）發(fā)行規(guī)模（億元）凈融資規(guī)模（億元）2015年2016年2017年2018年2019年2020年2021年2022年2023年24年1-2月2015年2016年2017年2018年2019年2020年2021年2022年2023年24年1-2月1588.03499.71845.82481.32056.13639.26151.85265.76168.71053.91588.03465.21802.82288.11792.02928.34540.13993.94187.2743.61994.03865.42231.62173.02328.43932.24910.24522.45514.11138.61994.03865.42231.61662.01500.52990.12901.63071.43390.8921.91420.02320.81527.72123.42288.32999.63288.63577.84681.9633.31088.02104.81057.71534.41383.72273.02049.02524.83175.3623.91395.03488.01965.41993.02560.22550.22996.52807.14680.2100.01395.03488.01965.41747.21520.81636.81820.81797.72798.7100.03194.04511.72878.42681.92852.34181.23701.93813.64579.9512.73194.04511.72878.41983.11874.22376.11799.91733.82044.4512.71294.11687.31462.12247.91628.02329.02815.02694.54483.4185.31294.11465.11462.11808.41393.61654.82002.41714.92404.7185.32350.02589.72099.02145.21346.32522.62275.82082.24128.3375.62350.02589.72099.01693.4870.51314.7904.5603.02654.1324.61424.91903.91978.41325.91817.12728.43413.43999.64079.0773.21424.91903.91978.41080.91448.31907.32618.62709.42759.5509.51790.02890.62808.92183.72213.23543.33695.03873.04042.9655.41790.02890.62808.91661.71356.42164.72529.42463.82134.7508.72243.63582.71559.31661.92018.32882.93639.43684.03938.6759.92243.63548.71515.81294.81401.22093.52399.22406.02354.5476.91567.42065.71929.91567.21488.52293.32282.32456.13702.4210.71567.42065.71929.91257.81132.91563.31392.61145.52323.8-15.8565.01667.3848.7980.61171.71805.22255.81446.63612.1240.5349.01174.3464.7690.7757.01409.11316.9762.12469.8-4.4922.01439.61716.61403.11033.41840.11622.41963.43207.2256.2922.01439.61716.61222.6890.01284.4968.51152.01823.8205.21483.02644.01223.01351.11987.12899.83010.02945.43156.0236.01483.02402.01223.0959.81435.22006.01880.31963.31722.7162.8824.01570.41310.01014.41253.31696.02517.62116.82999.6433.5824.01570.41310.0883.5951.01184.41830.71458.62188.6329.51476.52502.31310.11144.31233.51847.31565.41381.82984.0216.51476.52502.31310.1981.0904.11052.9658.1443.91731.3116.51601.52393.21659.71158.01100.11239.01882.41557.12795.168.21601.52393.21417.7722.4150.2305.8723.7554.01546.059.2978.01054.41215.61082.41171.62287.62290.72589.32729.4320.9978.0794.41215.6717.2947.41793.51860.01834.41843.6257.91259.01788.11442.5894.0895.91592.92190.52175.92402.6339.31259.01788.11184.5840.6549.0982.21277.91469.71553.8296.5765.0910.21146.4795.6762.31383.91394.01525.12379.0765.0910.21146.4740.6693.4884.61065.3906.81711.70.01260.02031.01300.41303.51403.51532.82196.61934.12136.729.31260.02031.01300.41012.1795.5882.61308.01098.11064.529.3792.01104.8965.31238.5905.31350.91387.01272.92102.8792.0648.8731.3796.2487.8933.5890.3760.71209.7-11.0693.01055.21079.41012.81019.61461.31456.41714.61727.6541.01055.21079.4876.2810.91039.71006.01219.51102.6-71.91178.01166.41070.0644.91401.51676.33293.52931.61712.5259.5753.0987.4831.0431.01009.01088.02707.61795.1811.6112.0482.7666.6587.7604.2776.21123.41255.81497.21619.8482.7666.6587.7554.8721.7821.4977.71189.31021.90.0609.9787.6780.6681.9757.01408.61145.51348.71269.119.1609.9533.6780.6627.2661.01098.8821.7871.6794.7-31.61212.02200.0783.1705.91267.51754.81211.11802.11119.61060.02165.0738.6488.3732.61179.6465.91193.3293.8-156.1223.0551.3536.2535.9433.4566.4695.6721.3878.9143.5223.0551.3536.2519.2329.9399.2399.5429.5570.6102.5227.0413.8287.5323.3345.5568.0721.3702.3796.8210.921.0413.877.5305.5310.9477.4501.8520.7540.7188.9278.0423.9645.4621.4134.8313.3574.7467.2670.511.0278.0423.9645.4565.450.089.8311.3175.6352.911.0553.0482.3432.1424.6225.6486.7596.4594.8609.6322.0482.3199.1314.6128.6241.8393.8337.0363.80.020.052.4314.0482.0536.2668.9578.00.0-11.06.534.4283.7450.9489.4613.0515.9-6.7328.0469.0462.9473.8467.0511.6503.9495.0569.8328.0469.0462.9414.3381.7349.0353.2256.9294.10.0289.0366.7318.2405.8374.9315.6259.4257.8462.936.4289.0366.7318.2346.8266.2198.159.970.1237.636.490.0349.197.0100.0192.0372.0457.7400.0436.4224.890.0349.197.091.0156.9323.9318.1341.6353.0212.860.0273.0181.0474.4144.2162.60.00.00.060.0273.0181.0474.4144.2146.6-11.215.856.155.0128.0140.0162.3125.7135.70.015.856.155.0121.6120.9123.772.3113.80.0地區(qū)廣東山東河北湖南江蘇安徽貴州河南四川浙江云南天津廣西湖北重慶內(nèi)蒙古遼寧江西福建吉林陜西黑龍江新疆北京甘肅山西上海海南青島大連寧波深圳青海寧夏廈門新疆兵團(tuán)西藏?cái)?shù)據(jù)來(lái)源：iFinD，興業(yè)證券經(jīng)濟(jì)與金加權(quán)平均利率加權(quán)平均利率(%)加權(quán)發(fā)行期限（年）2015年2016年2017年2018年2019年2020年2021年2022年2023年24年1-2月2015年2016年2017年2018年2019年2020年2021年2022年2023年24年1-2月3.42.93.94.03.43.33.43.13.02.66.96.66.46.18.112.613.216.817.013.53.32.83.83.83.53.33.43.03.02.66.96.87.48.710.814.111.411.815.514.73.32.94.04.03.63.43.43.13.02.65.55.55.55.712.015.012.213.215.413.32.73.83.73.23.43.33.13.05.56.74.64.713.311.210.812.83.43.04.03.93.43.33.43.13.02.66.96.96.56.58.412.813.316.415.912.63.43.03.93.83.43.43.43.13.02.75.96.26.44.78.215.612.014.815.315.53.53.03.93.93.43.63.53.13.07.07.05.96.48.121.116.015.612.63.63.04.03.83.43.33.33.03.02.76.95.96.05.48.212.711.013.413.38.74.03.83.63.43.23.012.021.616.910.513.313.13.22.83.83.83.43.53.33.03.02.47.06.96.57.08.312.111.711.812.15.03.84.13.43.33.43.12.95.011.38.611.112.214.815.03.42.83.93.93.73.63.43.12.96.26.26.67.514.019.810.711.612.23.43.04.03.83.63.53.43.12.96.96.55.86.013.516.614.114.211.93.52.94.03.93.63.43.43.02.92.56.05.56.15.910.312.611.513.313.17.03.43.04.03.73.43.23.43.12.96.56.56.67.08.113.514.317.417.83.42.93.93.73.53.63.53.02.92.66.56.56.45.812.923.618.115.111.916.43.52.94.14.03.43.23.22.92.92.66.96.46.36.18.210.37.610.011.614.83.43.04.13.83.43.53.43.12.92.67.27.26.86.38.015.312.513.812.716.93.42.94.03.93.63.53.63.22.92.56.26.56.45.511.217.616.718.013.09.43.73.14.03.83.43.43.32.92.92.66.96.96.95.56.712.210.611.912.815.13.53.04.23.93.83.63.43.12.92.56.26.26.15.720.518.310.414.412.85.03.42.84.13.93.63.53.43.12.92.56.95.95.56.313.714.514.915.612.45.03.33.04.04.03.73.73.53.12.95.86.26.46.215.121.912.514.011.53.42.93.94.03.63.53.43.02.92.66.26.26.15.816.616.412.712.19.511.13.33.03.93.93.43.33.33.02.92.66.56.66.65.97.614.410.411.710.45.03.42.83.93.83.33.33.43.02.92.46.26.26.05.97.212.211.413.014.07.23.42.93.94.03.43.53.43.12.92.66.16.05.85.57.216.411.412.510.515.73.42.93.83.93.63.43.43.02.92.65.85.66.17.312.415.713.813.912.113.43.32.94.03.93.73.43.32.92.92.55.75.65.65.216.412.49.310.511.07.63.42.93.73.83.43.53.33.02.92.56.86.76.97.410.515.312.313.813.712.53.32.93.93.93.43.43.33.02.82.76.46.26.15.69.213.310.412.412.617.83.33.04.13.93.53.73.23.02.82.56.45.96.66.612.023.07.312.77.77.03.42.93.93.93.53.43.23.02.86.66.66.57.211.216.97.911.68.83.53.04.03.93.43.43.32.92.82.66.86.55.65.37.513.410.110.87.64.93.43.14.14.03.53.13.32.92.82.66.86.76.67.613.89.68.78.26.48.33.22.83.93.73.33.33.12.82.86.86.66.56.26.310.69.08.711.13.42.83.73.73.33.13.02.62.62.36.55.96.07.05.710.36.04.75.84.3地區(qū)江西廈門四川西藏廣東山東吉林湖北新疆兵團(tuán)山西深圳新疆甘肅陜西寧波重慶海南福建廣西青島大連湖南黑龍江貴州云南江蘇安徽河北遼寧浙江河南寧夏青海天津內(nèi)蒙古上海北京請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-9-商業(yè)銀行投資占比高達(dá)81.7%，其次是廣義基金和保險(xiǎn)機(jī)構(gòu)（占比分別為業(yè)銀行及其分支行（國(guó)股行）占據(jù)絕對(duì)主導(dǎo)地位（占比83.7%其次是城廣義基金保險(xiǎn)機(jī)構(gòu)信用社證券公司其他商業(yè)銀行，右軸截至2024年1月末信用社證券公司保險(xiǎn)機(jī)構(gòu)4.3%截至2021年2月末行行行行銀行及其分請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-10-行或同時(shí)通過(guò)一二級(jí)市場(chǎng)參與地方債投資。以農(nóng)商農(nóng)商行在二級(jí)市場(chǎng)中對(duì)各期限地方債整體凈買入力量有所增000請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明0基金公司及產(chǎn)品凈買入-地方政府債，億元0理財(cái)子公司及理財(cái)類產(chǎn)品凈買入-地方政府債，億元來(lái)呈現(xiàn)“固定加點(diǎn)下移、區(qū)域趨于分化”的特征。地方債投標(biāo)下限較國(guó)債基準(zhǔn)上浮利差的變化請(qǐng)務(wù)必閱讀正文之后的信息披露和重要聲明-12-4.54.03.53.02.52.0發(fā)行加點(diǎn)發(fā)行加點(diǎn)40BP或以上發(fā)行加點(diǎn)25-40BP15/0515/1116/0516/1117/0517/1118/0518/1119/0519/1120/0520/1121/0521/1122/0522/1123/0523/11與同期限國(guó)債利差（BP）右軸地方債發(fā)行利率%同期國(guó)債收益率%60504030200圖表23：2015年以來(lái)各地區(qū)地方債發(fā)行利率與發(fā)行前五日同期限國(guó)債收益率均值的平均地區(qū)2015年2016年