城投新论(十八)：化债新周期城投债“情绪价值”到“供给价值”

内容目录一、城投债供给价值的宏观脉—供需错配下的供给价值 41、城投债发审趋严，净供给趋势性回落 42、收益率下行速度快，合意资产供给不足 4二、以津城建为代表的主体债券三维度改善是城投债供给价值的微观体现 41、津城建短债滚续压力减轻 42、津城建存量债券不断压缩 6三、未来，仍将是供给决定价格 61、2024年城投债供给或将进一步放缓 62、供给收缩下，哪些区域及主体具有供给价值？ 73、城投债金边属性依然较强，拉久期或成为供给价值下的被动选择 11四、风险提示 12图表目录图表1：近两年净融资缩量 4图表2：协会债与交易所债完成注册和通过情况 4图表3：存量估值3以上公募城投债大幅压缩 4图表4：公募固定收益类理财业绩比较基准仍高于3 4图表5：津城建新发债券超短融占比与发/到期比例 5图表6：永煤事件后津城建发债超短融占比开始走高 5图表7：津城建信用利差与短融滚续压力复盘 5图表8：2023年下半年津城建债券融资结构好转 6图表9：津城建分券种认购倍数 6图表10：2021年以来津城建呈现净偿还 6图表11：津城建存量债券变化 6图表12：城投债四种到期类型占比 7图表13：城投债月度回售比例 7图表14：回售城投债调降票面利率的比例不断提升 7图表15：2024年城投债到期回售金额及增速预测 7图表16：各省具有供给价值地市数量 8图表17：重点与非重点省份中有供给价值地市数量 8图表18：适合投资者挖掘并且具有供给价值的地市（单位：亿元） 8图表19：各省具有供给价值区县数量 9图表20：重点与非重点省份中有供给价值区县数量 9图表21：适合投资者挖掘并且具有供给价值的区县（单位：亿元） 9图表22：各省具有供给价值城投数量 10图表23：有供给价值城投分布情况 10图表24：适合投资者挖掘并且具有供给价值的主体（节选） 10图表25：今年以来中长期限城投债发行占比提升 12图表26：中长期城投债获较高认购倍数 12图表27：今年中长期限城投债日均成交笔数明显提升 12图表28：5年以上城投债低估值成交幅度高于平均水平 12一、城投债供给价值的宏观脉络—供需错配下的供给价值1、城投债发审趋严，净供给趋势性回落图表1：近两年净融资缩量 图表2：协会债与交易所债完成注册和通过情况（亿元）0

2017 2018 2019 2020 2021 2022

120%协会债完成注册协会债完成注册占比，右协会债完成注册协会债完成注册占比，右公司债注册通过交易所债注册通过占比，右80%60%40%20%0%来源：， 来源：企业预警通，2、收益率下行速度快，合意资产供给不足3图表3：存量估值3以上公募城投债大幅压缩 图表4：公募固定收益类理财业绩比较基准仍高于3（亿元）200,0000

(2,3] (3,4] (4,5] 5%以上 合计 3%以上占比，右120%100%80%60%40%20%0%2018 2019 2020 2021 2022 2023 目前来源：，（注：为剔除理财赎回潮影响，2022年以11月10 来源：中国理财网日存量债券为基础计算，其余年份均以全年最后一个交易日存量债券计算）二、以津城建为代表的主体债券三维度改善是城投债供给价值的微观体现1、津城建短债滚续压力减轻作为本轮行情的风向标，津城建的供给价值主要体现为供需紧平衡和短融滚续压力减轻两20202021图表5：津城建新发债券超短融占比与发行/到期比例 图表6：永煤事件后津城建发债超短融占比开始走高来源：， 来源：，图表7：津城建信用利差与短融滚续压力复盘（bp） 信用利差 加权平票面永煤事件-6永煤事件-6月恳谈会202109-3月恳谈会202103-理财赎回潮前赎回潮-次年4月高度依赖超短融滚续短久期滚超短融占比保持超短融占比显著下降票面利率和利差升高续略好转高位 信用利差修复票面利率和利差升高202304至今比提升信用利差和票面利率下降超短融占比大幅提升信用利差和票面利率冲高0

（%）876543210来源：DM，2、356920223202352（含超短11+120600bp100bp。2022-011.171.002023-070.830.612022-021.412023-082.1623.562022-031.941.232023-091.432022-011.171.002023-070.830.612022-021.412023-082.1623.562022-031.941.232023-091.431.341.182022-042.982.182.502023-101.461.611.912022-052.041.531.882023-111.3920.482022-061.141.321.262023-121.352022-071.501.302024-012.831.862022-081.301.182024-022.673.982022-091.081.042024-031.142022-101.082022-111.321.002022-121.002023-011.001.002023-021.002023-031.001.022023-041.061.032023-051.021.131.002023-061.001.00月份一般短期融资券超短期融资债券中期票据月份一般短期融资券超短期融资债券中期票据来源：， 来源：，2、津城建存量债券不断压缩此外，20212021334202017711342预计年底通过特殊再融资债偿还后余额仅剩1000亿元左右。存量债券的压缩缓释了债券滚续压力，供需结构改善推动估值向下修复。图表10：2021年以来津城建呈现净偿还 图表11：津城建存量债券变化（亿元） 发行 到期 净融资，右5000-500

（亿元）4003002001000-100

（亿元）18001600140012001000800600400200-2000

2019 2020 2021 2022 2023

-200

02019 2020 2021 2022 2023 目前来源：， 来源：，三、未来，仍将是供给决定价格1、2024年城投债供给或将进一步放缓20242023202310Q11.23.34.5800600400200800600400200080%70%60%50%40%30%20%10%0%90%80%70%60%50%40%30%20%10%

到期 回售 赎回 本金提前兑付2018 2019 2020 2021 2022 2023 2024Q1

（亿元） 回售金额 回售比例，右来源：， 来源：，202381250，可能是由于彼时投资者情绪6090001.220245.72023图表14：回售城投债调降票面利率的比例不断提升 图表15：2024年城投债到期回售金额及增速预测来源：， 来源：，2、供给收缩下，哪些区域及主体具有供给价值？2024-20262021-20232023202132基于上述指标共筛选出90个有供给价值的地市，其中来自重点省份和非重点省份地市分2169图表16：各省具有供给价值地市数量 图表17：重点与非重点省份中有供给价值地市数量非重点省份,69重点省份,21重点省份 非重点省份非重点省份,69重点省份,21来源：， 来源：，25图表18：适合投资者挖掘并且具有供给价值的地市（单位：亿元）省份地市21年到期占比22年到期占比23年到期占比24年到期占比25年到期占比26年到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速公募债存量公募债估值甘肃兰州市34.80%54.79%89.34%29.97%45.50%0.00%59.64%25.16%-21.71%-51.24%-72.45%25.505.35%山东枣庄市46.67%31.44%58.19%34.46%35.42%16.90%45.44%28.92%4.38%-19.53%0.71%25.604.41%四川巴中市25.05%45.81%44.73%49.68%28.59%21.73%38.53%33.33%18.53%-5.16%-1.64%48.944.36%河南鹤壁市14.69%84.04%45.79%65.63%29.28%5.09%48.17%33.33%1.51%-10.79%-6.32%30.003.91%广西柳州市26.41%26.76%66.85%37.00%36.80%23.10%40.01%32.30%22.78%-9.09%-12.62%248.493.57%山东潍坊市23.62%29.04%41.99%44.94%38.73%7.38%31.55%30.35%13.21%8.28%-0.48%500.093.52%湖南张家界28.39%17.29%42.96%35.84%3.93%38.99%29.55%26.25%9.46%11.82%-1.72%74.803.45%陕西渭南市19.90%42.08%40.51%41.23%40.85%9.11%34.16%30.40%20.47%-10.34%6.85%59.203.19%山东济宁市26.29%41.40%38.08%46.67%39.64%10.65%35.26%32.32%17.34%-0.14%13.39%321.473.17%云南昆明市26.66%44.65%57.16%82.80%14.24%1.73%42.82%32.92%26.23%-8.64%-3.23%477.283.17%湖北孝感市32.02%25.07%25.57%21.87%35.46%16.11%27.55%24.48%24.64%5.92%12.22%136.003.12%河南开封市30.65%41.62%38.83%44.81%38.06%10.25%37.03%31.04%88.03%46.66%27.39%81.303.11%四川绵阳市34.25%35.65%27.85%36.47%31.62%25.74%32.58%31.27%-4.99%-2.36%-4.81%165.103.10%湖北随州市36.26%12.86%53.73%27.86%72.14%0.00%34.29%33.33%11.07%30.41%8.50%52.983.08%宁夏银川市22.69%10.84%74.09%46.58%31.88%21.53%35.87%33.33%-3.44%1.47%-0.14%76.403.05%湖南湘潭市29.56%55.81%31.87%35.94%36.33%26.35%39.08%32.87%-26.73%-20.65%-31.94%27.403.02%湖南株洲市28.04%28.26%37.84%44.24%36.44%13.37%31.38%31.35%10.12%-0.82%3.59%428.073.02%江西鹰潭市21.10%32.94%51.06%47.96%35.25%12.83%35.03%32.01%47.09%16.18%11.56%83.342.99%湖北黄石市23.83%31.16%48.50%50.89%37.60%3.25%34.50%30.58%38.24%20.59%9.22%371.522.96%四川泸州市20.73%24.10%33.44%33.71%24.17%19.48%26.09%25.79%18.98%-3.96%1.39%188.652.96%河南焦作市30.36%19.05%52.27%36.94%40.83%22.23%33.89%33.33%41.34%32.97%20.86%35.802.94%黑龙江哈尔滨25.80%44.22%30.74%38.74%50.59%10.67%33.59%33.33%-12.35%19.24%-9.99%59.002.90%河南信阳市43.83%50.41%52.85%71.43%28.57%0.00%49.03%33.33%17.43%-6.17%-34.64%30.002.83%山西临汾市77.43%50.63%41.81%73.37%22.53%4.10%56.62%33.33%-13.41%-10.09%36.10%47.002.83%青海西宁市37.94%49.86%42.18%84.79%15.21%0.00%43.33%33.33%13.45%-16.88%-28.86%33.402.81%来源：，具有供给价值的区县多来自非重点省份，集中分布于江苏、山东和浙江；重点省份中，重庆、贵州和天津具有供给价值的区县较多。图表19：各省具有供给价值区县数量 图表20：重点与非重点省份中有供给价值区县数量50454035302520151050江山浙苏东江

重贵湖庆州北

天湖四河新津南川南疆

安北广徽京东

江福上辽广西建海宁西

重点省份 非重点省份非重点省份非重点省份,116重点省份,27来源：， 来源：，考虑到区县与地市的规模差异，我们要求区县公募债存量不低于10亿元，其他筛选指标38省份地市省份地市区县21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募债公募债估值贵州遵义市仁怀市23.88%17.35%42.67%31.28%44.05%3.14%27.97%26.16%26.50%-3.49%-13.83%23.706.07%山东淄博市临淄区27.44%25.64%49.22%43.72%56.28%0.00%34.10%33.33%13.72%6.64%-30.13%16.804.55%山东泰安市肥城市48.64%0.00%0.00%37.50%0.00%0.00%16.21%12.50%-7.39%-36.97%166.67%10.004.46%山东枣庄市滕州市61.49%20.21%71.11%26.51%32.33%23.09%50.94%27.31%-2.17%-20.21%10.67%25.604.41%山东威海市文登区21.90%26.28%32.75%23.06%21.03%8.49%26.98%17.53%12.30%-7.69%-8.42%62.604.19%山东泰安市新泰市0.00%29.41%50.63%26.09%43.48%1.09%26.68%23.55%183.33%16.18%16.46%18.004.08%湖北荆州市公安县0.00%0.00%9.29%0.00%0.00%0.00%3.10%0.00%-10.92%32.08%-20.71%11.103.85%河南许昌市禹州市31.57%0.00%12.22%14.11%0.00%1.24%14.60%5.12%-38.12%-2.19%-27.80%12.183.79%重庆-铜梁区27.14%14.93%43.59%22.55%36.14%10.59%28.55%23.09%12.70%18.49%4.53%38.643.77%重庆-酉阳县18.18%0.00%62.11%0.00%41.56%0.00%26.76%13.85%-22.42%25.78%-4.35%12.803.74%山东威海市乳山市39.50%43.08%42.21%39.42%31.18%29.40%41.60%33.33%0.13%-1.85%-1.88%27.973.74%江苏盐城市响水县0.00%40.97%39.16%9.04%12.65%30.12%26.71%17.27%48.45%15.28%0.00%16.003.67%山东聊城市东昌府区27.16%38.00%43.41%79.87%12.63%0.00%36.19%30.84%50.86%32.29%0.86%12.503.51%天津-西青区57.21%39.50%27.32%59.00%23.50%17.50%41.34%33.33%-10.10%-3.80%-31.27%15.803.42%重庆-大足区27.57%35.52%36.81%66.28%22.75%0.00%33.30%29.68%22.46%9.36%-17.97%102.753.37%湖南岳阳市湘阴县33.71%12.66%32.00%31.71%29.27%14.63%26.12%25.20%-11.24%-5.06%9.33%10.003.36%山东济宁市任城区21.18%52.04%38.25%45.19%31.21%12.64%37.15%29.68%19.22%-11.48%5.25%32.943.34%重庆-綦江区31.93%35.95%27.72%43.88%22.82%15.77%31.87%27.49%20.50%2.29%3.16%113.773.32%江苏徐州市睢宁县13.47%21.22%41.00%27.86%16.68%17.97%25.23%20.84%126.26%3.58%24.00%59.483.29%山东青岛市李沧区19.91%47.11%35.39%82.33%17.67%0.00%34.14%33.33%56.67%1.34%2.06%67.753.25%江苏淮安市金湖县6.64%30.31%47.43%16.23%55.38%0.00%28.13%23.87%43.84%-13.51%-6.10%10.203.22%湖北宜昌市宜都市30.95%13.47%19.76%22.70%26.97%5.39%21.39%18.35%-8.10%29.79%-11.18%35.703.22%湖北-仙桃市11.49%0.00%50.76%15.80%24.13%0.00%20.75%13.31%100.57%-5.16%25.23%24.903.13%江苏盐城市射阳县28.51%22.79%46.80%5.56%64.99%20.08%32.70%30.21%33.47%4.58%-11.55%15.223.12%湖南郴州市北湖区57.95%0.00%53.40%51.96%19.66%28.38%37.12%33.33%-13.79%5.06%-2.24%34.153.09%省份地市区县21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募债公募债估值湖南株洲市天元区27.33%37.98%40.58%50.74%39.15%10.11%35.30%33.33%-0.59%-10.25%19.03%139.203.09%江苏连云港连云区34.84%50.91%36.70%58.85%11.27%29.88%40.82%33.33%12.70%-10.84%2.22%17.923.04%湖北恩施州恩施市14.44%0.00%5.23%19.49%0.00%0.00%6.55%6.50%2.76%44.19%-13.64%19.503.03%重庆-开州区14.39%30.72%47.30%40.89%31.95%10.00%30.80%27.61%16.95%14.42%5.14%30.002.98%江苏徐州市新沂市32.30%43.75%37.70%40.51%22.65%26.05%37.92%29.74%-2.51%13.71%-1.66%36.182.96%江苏淮安市盱眙县0.00%37.10%12.73%0.00%33.19%0.00%16.61%11.06%-5.56%24.43%-14.55%15.702.92%安徽亳州市利辛县100.00%28.00%0.00%37.68%15.23%0.00%42.67%17.63%190.70%-8.60%39.39%15.002.90%江苏镇江市句容市35.23%32.93%61.26%29.91%26.88%30.16%43.14%28.98%11.83%0.10%2.85%30.102.87%江苏徐州市邳州市49.43%29.95%50.62%56.14%27.49%16.38%43.34%33.33%26.64%-3.91%-29.38%28.862.87%天津-静海区43.55%34.20%48.86%63.22%29.51%7.27%42.20%33.33%17.90%-7.05%15.45%23.702.86%江苏镇江市扬中市15.30%58.77%27.49%24.86%7.77%11.10%33.86%14.58%-1.43%-21.11%-5.46%31.352.86%江苏盐城市建湖县27.38%68.90%39.36%44.25%26.29%13.87%45.21%28.14%10.61%-7.25%0.76%27.182.86%来源：，

158图表22：各省具有供给价值城投数量 图表23：有供给价值城投分布情况2502001501000

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重点省份非重点省份省级地市级区县级园区级AAAAA+AA及以下江 古 是否重点省份 主体评级 行政级别来源：， 来源：，52.857、81016省份主体省份主体行政级别21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募债公募债估值甘肃城投1地市级35.38%53.68%66.67%100.00%0.00%0.00%51.91%33.33%9.62%-53.68%-66.67%11.006.95%重庆城投2区县级55.56%79.27%26.09%12.16%59.57%0.00%53.64%23.91%7.22%66.84%2.17%19.804.50%重庆城投3园区级78.26%23.90%20.19%59.60%40.40%0.00%40.78%33.33%47.83%13.79%-4.04%22.404.17%甘肃城投4地市级0.00%12.77%86.50%0.00%49.15%0.00%33.09%16.38%0.00%0.85%-25.32%14.504.13%贵州城投5园区级22.88%58.20%46.87%28.51%57.35%14.14%42.65%33.33%-6.18%-3.89%-42.63%69.684.03%陕西城投6地市级25.00%27.78%72.22%57.26%27.35%15.38%41.67%33.33%35.00%0.00%8.33%15.423.76%四川城投7地市级35.16%64.72%59.43%48.23%35.33%16.45%53.10%33.33%10.35%-6.68%3.79%26.243.61%广西城投8地市级22.78%35.36%76.11%30.25%37.18%26.65%44.75%31.36%1.23%-10.23%-23.78%65.673.59%浙江城投9区县级0.00%44.35%60.34%42.12%35.90%21.98%34.90%33.33%118.13%-35.01%-21.55%14.803.49%省份主体行政级别21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募债公募债估值广西城投10地市级25.68%22.95%60.66%29.67%45.69%24.65%36.43%33.33%48.50%-8.76%-1.16%62.113.49%湖北城投11地市级15.28%37.56%48.62%32.34%40.89%0.00%33.82%24.41%2.39%-30.05%-21.92%29.803.44%湖南城投12地市级37.45%24.62%57.47%45.87%0.00%26.61%39.85%24.16%1.39%19.02%-12.30%61.303.43%江苏城投13地市级48.93%25.82%55.54%44.82%9.96%31.27%43.43%28.69%-4.28%-5.16%-8.89%13.103.40%重庆城投14区县级29.85%61.47%14.75%32.31%35.38%20.00%35.36%29.23%62.69%11.93%6.56%23.003.33%重庆城投15区县级51.62%39.94%27.52%80.29%2.07%0.00%39.69%27.45%1.66%39.51%-27.52%28.003.28%陕西城投16园区级18.03%58.50%73.87%69.39%30.61%0.00%50.13%33.33%25.12%-2.93%19.30%87.003.27%云南城投17地市级3.52%48.12%53.58%50.46%37.17%0.00%35.08%29.21%5.87%-27.93%-37.76%74.803.23%湖北城投18地市级0.00%28.57%64.29%41.63%17.55%0.00%30.95%19.73%180.00%0.00%75.00%24.903.19%湖北城投19区县级11.49%0.00%50.76%15.80%24.13%0.00%20.75%13.31%100.57%-5.16%25.23%24.903.13%河北城投20地市级53.94%44.40%66.68%65.93%25.89%8.18%55.01%33.33%13.24%22.27%11.87%91.343.03%山东城投21地市级25.00%38.18%44.62%57.75%42.25%0.00%35.93%33.33%37.50%18.18%9.23%66.003.01%云南城投22地市级0.00%54.24%66.94%100.00%0.00%0.00%40.39%33.33%36.07%1.62%1.95%72.413.00%天津城投23省级53.74%32.80%59.30%54.63%38.76%1.40%48.61%31.60%-46.57%-10.28%56.13%189.603.00%湖南城投24园区级27.35%40.35%43.00%43.60%43.68%12.71%36.90%33.33%-6.89%-10.00%38.72%105.902.99%黑龙江城投25地市级47.06%88.53%44.05%78.57%21.43%0.00%59.88%33.33%-14.51%4.13%-22.91%40.002.98%四川城投26区县级28.18%57.22%59.10%35.20%37.52%27.29%48.17%33.33%10.26%-28.34%9.40%32.802.97%湖南城投27地市级21.58%43.23%57.45%100.00%0.00%0.00%40.75%33.33%11.51%-9.03%-9.93%27.592.95%浙江城投28区县级23.67%46.88%19.22%29.07%41.72%0.00%29.92%23.60%15.15%-16.92%-28.83%13.502.94