2023年2月信用债市场运行报告：国有企业净融资大幅增加二级市场到期收益率下行

免责声明摘要摘要涉及金额424.00亿元。6.62亿元，延续上月增长态业中建筑装饰行业实现净融资最多，净融资额为1,792.76亿元；城投债和非城投债净融资分别为2,191.61亿元和1,095.01亿元。力均环比上升。中短期票据到期收益率下降幅度小于5年期的中短期票信用利差均下行，AAA级、AA+级和AA级城投债信用利差分别下行位数分别为14%、42%和45%。尽管部分受困房企有望从相关政策获得一定流动性支持，团体购房贷款等速存量商品房去化进程，但当前行业优质资产资质城投企业市场化后的风险。1.《2023年1月信用债市场5.《2022年9月信用债市场率下行责声明March15th,2023TheThenetfinancingofstate-ownedcompaniesincreasedsignificantly,eyieldtomaturityinthesecondarymarketdeclined——February2023China'scorporatebondsmarketoperationreportAuthor:CaoXiaojing,JianJiangpingtermnoteswiththelargestissuancevolumewere439.850billionyuan,205.734billionyuanand182.160billionyuanrespectively.Therewere150corporatebondscancelledorpostponedinthismonth,involvinganamountof42.400billionyuan.IntermsofnetfinancingthenetfinancingofChina’scorporatebondsinFebruarywas328.662billionyuan,continuingthegdecorationindustryhasachievedthemostnetfinancing,withanetfinancingamountof179.276billionyuan.ThenetfinancingofAAA,AA+andAAlevelentitieswasprisesandnon-state-ownedenterpriseswas328.500billionyuanand0.162billionyuanrespectively.ThenetfinancingofLocalGovernmentFinancingVehicle(LGFV)bondsandnon-LGFVbondswas219.161billionyuanand109.501billionyuanrespectively.migrationcoefficientwasupfromtheendofpreviousmonthFromtheperspectiveofindustries,thematuritypressureofmostkeyindustriesincreasedmonth-on-month.Fromtheperspectiveofenterpriseownership,thematuritypressureofstate-ownedcompanies’bondsandnon-state-ownedcompanies’bondsbothincreasedmonth-on-month.FromtheperspectiveofLGFVbondsandnon-LGFVbonds,thematuritypressureofLGFVbondsandnon-LGFVbondsbothincreasedmonth-on-month.bothdecreasedinFebruary.Amongthem,theyieldtomaturityof3-yearshort-termbillsfelllessthanthatof5-yearshorttermbills.Intermsofcreditspreads,thecreditspreadsofallkeyindustriesnarrowedinFebruary.CreditspreadsofLGFVbondswithdifferentratingsalldecreased,andthecreditspreadsofAAA,AA+andAALGFVbondsdecreasedby34.74BP,47.80BPand57.30BPrespectively.ThepercentilesofthecreditspreadsofLGFVbondswithdifferentratingsdroppedfromtheMarch15th,2023lestatecompaniesareexpectedtoobtaincertainliquiditysupportfromrelevantpoliciesandthelaunchofinnovativefinancialproductssuchasgrouphomepurchaseloansisexpectedtoacceleratetheprocessofsellingcommercializedbuildings,therearecurrentlyfewhigh-qualityassetsintheindustryandtheriskoffutureprojectsrepaymentisrelativelyhigh,whichmayleadtogreaterdifficultyinraisingfunds,andtheriskoftail-endrealestatebondsstillneedtobeprevented;intermsofLGFVbonds,thecentralgovernmenthasrecentlyissueddocumentsemphasizingthepolicythemesof"resolvinghiddendebtrisksoflocalgovernments","strengtheningthegovernanceoflocalgovernmentfinancingplatforms"and"preventingthe‘platformization’oflocalstate-ownedenterprisesandpublicinstitutions",theriskexposurepossibilityofLGFVbondisstilllowintheshortrun,buttherisksofweaklyqualifiedlocalgovernmentfinancingenterprisesaftermarketizationstillneedtobepreventedinthelongrun. (一)一级市场 2 (二)二级市场 9 (三)信用债市场特别关注 14 /170104010407100104071001040710010407100104071001040710010407100104071001场运行(一)一级市场1.信用债净融资规模延续上月增长态势募。00000000,000亿元(见表1)。(亿元)(亿元)(亿元)(亿元)前兑付量(亿元)(亿元)量(亿元)司债57.340.19期融资券398.5020.9020.900.013.1762333.09.70172.建筑装饰行业净融资贡献最大，城投债净融资环比增加(1)建筑装饰行业净融资贡献最大分行业来看，本文从申万行业中选取10个重点行业统计信用债净融资情况(见图2)。2月份除医药生物行业饮料行业实现净融资65.60亿元，规模较上月减少295.10亿元。其余行业净融资规模较小且环比变化幅度不大。084084053.81002.570房地产建筑装饰公用事业交通运输商贸零售钢铁煤炭石油石化医药生物食品饮料产公用事业炭石化食品饮料8300008900075.89//17产公用事业炭石化食品饮料.64048007(2)各等级主体净融资环比增加AAA元，较上月增加608.06亿元；AA-级主体信用债净融资为-6.42亿元，较上月增加27.25亿元。AAAA计758.92831.645.697.69102.793267.18.8209101112010203040506070809101112010202030405060709101112010203040506070809101112010202030405060708091011120102AAAA计246.31A0000000000000000000000(3)国有企业净融资环比大幅增加000000000000000000000000070910111201020304050607080910111201020203040506070809101112010203040506070809101112010202030405060708091011120102(4)城投债、非城投债净融资环比增加月非000000000000000000000000000000000000000000171,958.7401,958.7403.信用债总体到期压力环比上升E000000,00005,780.52过去6个月ATAE未来6个月到期总量上月末未来6个月到期总量(1)大部分重点行业信用债到期压力环比上升。E0,694.4348,090.600,694.4348,090.6000000ATAE参考线(迁移系数=1)个月到期总量到期压力迁移系数(右轴)上上月末到期压力迁移系数(右轴)房地产建筑装饰公用事业交通运输商贸零售钢铁煤炭石油石化医药生物食品饮料Wind，远东资信整理(2)国有企业与非国有企业信用债到期压力均环比上升表明未来到期压力环比有所上升。000,00000ATAE参考线(迁移系数=1)上月末到期压力迁移系数(右轴)个月到期总量到期压力迁移系数(右轴)417(3)城投债到期压力环比上升平相当；,000000000TAE参考线(迁移系数=1)上月末到期压力迁移系数(右轴)个月到期总量到期压力迁移系数(右轴).16.16.27(二)二级市场1.信用债成交活跃度环比上升，券种以公司债、中期票据为主(见01020304050607080910111201020304050607080102030405060708091011120102030405060708091011120102-0102030405060708091011120102-030405060708091011120102030405-0607-08091011120102企业债(亿元)公司债(亿元)中期票据(亿元)短期融资券(亿元)定向工具(亿元)000,000002.中短期票据和城投债到期收益率均下行3BPBP4.64BP至AAAA8AAA765432010201020304050607080910111201020304050607080910111201-0203-0405060708091011120102A3.重点行业债券信用利差整体收窄，不同评级城投债信用利差均下行(1)重点行业债券信用利差整体收窄兴业研究提供的10个重点行业不同信用级别产业债信用利差显示，2月份重点行业债券信用利差整体收窄。(见图15)。。；其余行业信用利差所处百分位数均处于历史较低水平。房地产建筑装饰电力交通运输商业贸易钢铁煤炭化工医药生物食品饮料AAAAAAA%%%房地产建筑装饰电力交通运输商业贸易钢铁煤炭化工医药生物食品饮料(2)不同评级城投债信用利差均下行AABPAA利差下行47.80BP；AA级城投债信用利差下行57.30BP(见图16)。.0AAA图16：2月末各评级城投债信用利差变动(当月末与上月末相比，单位：BP)从2015年以来的城投债信用利差数据看，2月末各信用评级城投债信用利差所处百分位数较上月均下降。其图17)。%%%%%%AAA数010203040506070809101112010201020304050607080910111201020304