2022年2月信用债市场运行报告：信用债未来到期压力上升，城投债信用利差收窄

请务必阅读正文后的免责声明 远东研究·债市运行 2022年3月15日 信用债未来到期压力上升，城投债信用利差收窄 ——2022年2月信用债市场运行报告 摘 要 作 者：申学峰 简奖平 邮 箱：research@fecr.com.cn 发行方面，2月份信用债发行规模受春节假期影响环比下降，共发行7296.17亿元。同时，当月取消或推迟发行的债券金额为259.50亿元，环比上升150.80亿元。 净融资方面，2月份信用债共实现净融资3678.31亿元，受春节假期影响而环比下降；综合行业实现净融资最多，共实现净融资799.35亿元；AAA级主体信用债净融资额占比最高，AA-级主体净融资持续为负；国有企业和非国有企业净融资均较上月减少；城投企业净融资环比减少，非城投企业净融资环比增加，当月信用债净融资的增加主要由非城投债贡献。 到期压力方面，截至2月末，未来6个月将有46020.98亿元信用债到期，未来到期压力低于过去12个月平均水平。分行业来看，各重点行业未来到期压力环比均有所上升。分企业性质来看，国有企业债券未来到期压力环比小幅上升，非国有企业债券未来到期压力环比变动不大。城投债与非城投债比较方面，城投债未来6个月到期压力与过去12个月相近，且环比有所上升。 到期收益率方面，2月份中短期票据和城投债二级市场到期收益率均上行，其中5年期各评级中短期票据到期收益率上行19.80BP至20.80BP，5年期各评级城投债到期收益率上行5.33BP至19.33BP。 信用利差方面，2月各行业不同评级产业债信用利差均明显下行，AA+级化工行业信用利差大幅下降；除化工行业AA+与AA级债项、医药生物行业AA+级债项外，各行业不同评级产业债信用利差均处于历史中等或较低水平。城投债平均信用利差收窄6.84BP，其中AA级城投债信用利差大幅收窄23.55BP。此外，2月份有13家企业主体评级被下调，其中8家为建筑装饰或房地产行业企业。 展望未来，加大基建投资、稳房地产、可能的政策利率降低等因素预计会对债券融资有促进作用，信用债一级市场发行规模预计还会增加。但是在经济增长放缓背景下，部分行业经营环境可能变差，未来主体信用级别下调数量或将增加，部分中低等级主体的信用质量可能会恶化甚至违约。 相关研究报告： 1.《2022年1月利率债市场运行报告》，2022.02.15 2.《2022年1月信用债市场运行报告》，2022.02.16 3.《2021年12月利率债市场运行报告》，2022.01.19 4.《2021年12月信用债市场运行报告》，2022.01.17 5.《2021年11月利率债市场运行报告》，2021.12.15 6.《2021年11月信用债市场运行报告》，2021.12.15 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets March 15th, 2022 Summary In terms of the issuance of China’s corporate bonds, the scale of China's corporate bond issuance decreased month-on-month in February due to the Spring Festival holiday, which was about 729.62 billion yuan. At the same time, the amount of canceled or postponed bond issuance was 25.95 billion yuan in February, which increased by 15.08 billion yuan month-on-month. In terms of net financing, the net financing of China’s corporate bond issuance was 367.83 billion yuan in February, which decreased month-on-month due to the Spring Festival holiday. The net financing of the comprehensive industry was the largest, which was 79.94 billion yuan. The net financing of AAA issuers accounted for the largest proportion, and the net financing of AA- issuers continued to be negative. Both state-owned and non-state-owned enterprises' net financing decreased from the previous month. The net financing of Local Government Financing Vehicle (LGFV) bonds decreased month-on-month, and the net financing of non-LGFV bonds increased month-on-month. The net financing of corporate bonds was mainly contributed by non-LGFV bonds in February. In terms of maturity pressure, 4.60 trillion yuan of China’s corporate bonds will mature in the next six months at the end of February. The overall maturity pressure of corporate bond market was lower than the average maturity pressure of the previous 12 months. From the perspective of industries, the maturity pressure of each key industry increased month-on-month. From the perspective of enterprise ownership, the maturity pressure of state-owned enterprise bonds increased slightly month-on-month, while the maturity pressure of non-state-owned enterprise bonds did not change much month-on-month. From the perspective of LGFV bonds and non-LGFV bonds, the maturity pressure of LGFV bonds in the next 6 months was similar to that in the past 12 months, and it has increased month-on-month. In terms of yield to maturity, the yields to maturity of short and medium-term notes and LGFV bonds both increased in February, among which the yield to maturity of the 5-year short-term and medium-term notes of various credit ratings increased by 19.80BP to 20.80BP, and the yield to maturity of the 5-year LGFV bonds of various credit ratings increased by 5.33BP to 19.33BP. In terms of credit spreads, the credit spreads of industry bonds with different ratings in various industries both decreased in February, and the credit spreads of AA+ chemical industry bonds decreased significantly. Except for AA+ & AA bonds of chemical industry and AA+ bonds of pharmaceutical and biological industry, the credit spreads of different ratings and industries were at a historically medium or low level. The average credit spreads of LGFV bonds narrowed by 6.84BP, of The maturity pressure of corporate bonds increased, and the credit spreads of LGFV bonds narrowed ——February 2022 China's corporate bond market operation report Author: Shen Xuefeng, Jian Jiangping E-mail：research@fecr.com.cn 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets March 15th, 2022 which the credit spreads of AA LGFV bonds narrowed sharply by 23.55B