2022年5月信用债市场运行报告：信用债到期压力上升，信用利差普遍下行

请务必阅读正文后的免责声明 远东研究·债市运行 2022年6月16日 信用债到期压力上升，信用利差普遍下行 ——2022年5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，5月份信用债共发行6788.14亿元。由于5月份通常是一年内信用债发行低点，因此发行规模季节性下降。其中，发行量最大的为短期融资券和公司债，分别发行2927.85亿元和2035.98亿元。当月取消或推迟发行的信用债金额为55.00亿元，较上月减少114.80亿元。 净融资方面，5月份信用债净融资为-93.08亿元，出现季节性下降。10个重点行业中化工业实现净融资最多，共实现净融资207.00亿元；AAA、AA+和AA级主体净融资额分别环比减少2031.70亿元、256.68亿元和328.50亿元；城投债净融资为156.39亿元，非城投债净融资为-249.47亿元。 到期压力方面，截至5月末，未来6个月将有46790.78亿元信用债到期，到期压力迁移系数为0.94，较上月末上升0.04。分行业看，10个重点行业中大部分行业到期压力环比上升。分企业性质看，国有企业债券和非国有企业债券未来到期压力均环比上升。城投债与非城投债比较方面，城投债和非城投债到期压力均环比上升。 到期收益率方面，5月份中短期票据和城投债二级市场到期收益率均下行。其中，3年期各评级中短期票据到期收益率下行14.37BP至16.37BP，3年期各评级城投债收益率下行12.96BP至18.96BP。 信用利差方面，5月份各行业、各评级产业债信用利差普遍下行，其中化工业AA+级、钢铁行业AA+级债券信用利差分别大幅下降68.55BP、38.72BP。除化工行业AA+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下行，其中AAA级、AA+级和AA级城投债信用利差分别下降6.03BP、9.69BP和21.44BP。 展望未来，在稳经济增长压力下，金融支持实体经济的政策不断出台，债券市场融资规模可能会有所增长。受积极的经济政策驱动，短期内发行人信用可能会保持稳定。但是原材料价格上涨、疫情反复、需求收缩等因素仍会对部分行业构成压力，需关注企业长期信用风险。 相关研究报告： 1.《2022年4月利率债市场运行报告》，2022.05.17 2.《2022年4月信用债市场运行报告》，2022.05.16 3.《2022年3月利率债市场运行报告》，2022.04.13 4.《2022年3月信用债市场运行报告》，2022.04.18 5.《2022年2月利率债市场运行报告》，2022.03.15 6.《2022年2月信用债市场运行报告》，2022.03.16 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets June 16th, 2022 Summary In terms of the issuance of China’s corporate bonds, a total of 678.814 billion yuan of corporate bonds were issued in May. Since May is typically the low point for corporate bonds issuance in a year, the issuance scale decreased seasonally. Among them, the short-term financing bills and medium-term notes with the largest issuance volume were 292.785 billion yuan and 203.598 billion yuan respectively. The amount of corporate bonds cancelled or postponed in the month was 5.500 billion yuan, a decrease of 11.480 billion yuan from the previous month. In terms of net financing, the net financing of China’s corporate bonds was -9.308 billion yuan in May, which decreased seasonally. Among the 10 key industries, the chemical industry achieved the most net financing, with a total net financing of 20.700 billion yuan. The net financing of AAA, AA+ and AA-level entities decreased by 203.17 billion yuan, 25.668 billion yuan and 32.850 billion yuan respectively month-on-month. The net financing of Local Government Financing Vehicle (LGFV) bonds was 15.639 billion yuan, and the net financing of non-LGFV bonds was -24.947 billion yuan. In terms of maturity pressure, 4679.078 billion yuan of China’s corporate bonds will mature in the next six months at the end of May, and the maturity pressure migration coefficient was 0.94, an increase of 0.04 from the end of previous month. From the perspective of industries, the maturity pressure of most of the 10 key industries increased month-on-month. From the perspective of enterprise ownership, the maturity pressure of state-owned companies’ bonds and non-state-owned companies’ bonds both increased month-on-month. From the perspective of LGFV bonds and non-LGFV bonds, the maturity pressure of LGFV bonds and non-LGFV bonds both increased month-on-month. In terms of yield to maturity, the yields to maturity of short and medium-term notes and LGFV bonds both decreased in May, among which the yield to maturity of the 3-year short-term and medium-term notes of various credit ratings decreased by 14.37BP to 16.37BP, and the yield to maturity of the 3-year LGFV bonds of various credit ratings increased by 12.96BP to 18.96BP. In terms of credit spreads, the credit spreads of bonds in various industries and ratings generally fell in May, among which the credit spread of AA+ bonds in chemical industry and AA+ in steel industry fell by 68.55BP and 38.72BP. Except for AA+ chemical industry bonds, the credit spreads of different ratings and industries were at a historically medium or low level. The average credit spreads of LGFV bonds fell, of which the credit spreads of AAA, AA+ and AA LGFV bonds fell by 6.03BP, 9.69BP and 21.44BP respectively. The maturity pressure of corporate bonds has increased, and the credit spreads have generally declined ——May 2022 China's corporate bonds 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 June 16th, 2022 In the future, under the pressure of stabilizing economic growth, financial policies to support the real economy are continuously introduced, and the