2022年7月信用债市场运行报告：信用债收益率和利差均下行，房地产债券大量逾期

请务必阅读正文后的免责声明 远东研究·债市运行 2022年8月9日 信用债收益率和利差均下行，房地产债券大量逾期 ——2022年7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，7月份信用债共发行9960.98亿元，发行规模环比下降。其中，发行量最大的为短期融资券、公司债和中期票据，分别发行4261.98亿元、2502.28亿元和2357.10亿元。当月取消或推迟发行的信用债仅有1只，金额为4.20亿元。 净融资方面，7月份信用债净融资为332.80亿元，净融资规模环比下降。10个重点行业中建筑装饰行业实现净融资最多，净融资额为946.12亿元；AAA、AA+和AA级主体净融资分别为-195.21亿元、575.44亿元和170.42亿元；国有企业和非国有企业净融资分别为315.10亿元和17.69亿元；城投债和非城投债净融资分别为827.66亿元和-494.87亿元。 到期压力方面，截至7月末，未来6个月将有46609.53亿元信用债到期，到期压力迁移系数为0.92，较上月末上升0.06。分行业看，大部分重点行业未来到期压力环比下降。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下降。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下降。 到期收益率方面，7月份不同期限与评级的中短期票据收益率均下行。不同期限与评级的城投债收益率均下行，其中3年期城投债到期收益率降幅显著大于5年期城投债到期收益率。 信用利差方面，7月份大部分重点行业债券信用利差下行。其中，交通运输行业AA级债券信用利差大幅下降210.17BP，商业贸易行业AA+级债券信用利差下降88.96BP，煤炭行业AA+级债券信用利差下降58.19BP。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。不同信用等级城投债信用利差均下行。其中，AAA级、AA+级和AA级城投债信用利差分别下降11.25BP、14.68BP和9.85BP。AAA级和AA+级城投债信用利差创2015年以来新低。 展望未来，房地产行业及相关领域信用风险仍需重点关注。7月份全国商品房销售面积又明显回落，此前购房政策放宽只产生了脉冲式的短暂复苏，后期商品房销售面积可能继续下降。目前多家房地产开发企业债券展期，如果不能成功进行债务重组，实质性违约或难以避免。 相关研究报告： 1.《2022年6月利率债市场运行报告》，2022.07.19 2.《2022年6月信用债市场运行报告》，2022.07.18 3.《2022年5月利率债市场运行报告》，2022.06.14 4.《2022年5月信用债市场运行报告》，2022.06.16 5.《2022年4月利率债市场运行报告》，2022.05.17 6.《2022年4月信用债市场运行报告》，2022.05.16 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets August 9th, 2022 Summary In terms of the issuance of China’s corporate bonds, a total of 996.098 billion yuan of corporate bonds were issued in July, and the issuance decreased month-on-month. Among them, the short-term financing bills, exchange corporate bonds and medium-term notes with the largest issuance volume were 426.198 billion yuan, 250.228 billion yuan and 235.710 billion yuan respectively. Only one bond was cancelled or postponed in the month, with an amount of 420 million yuan. In terms of net financing, the net financing of China’s corporate bonds in July was 33.208 billion yuan, which decreased month-on-month. Among the 10 key industries, the building decoration industry achieved the most net financing, with a net financing of 94.618 billion yuan. The net financing of AAA, AA+ and AA level entities was -19.521 billion yuan, 57.544 billion yuan and 17.042 billion yuan respectively. The net financing of state-owned enterprises and non-state-owned enterprises was 31.510 billion yuan and 1.769 billion yuan respectively. The net financing of Local Government Financing Vehicle (LGFV) bonds and non-LGFV bonds was 82.766 billion yuan and -49.487 billion yuan respectively. In terms of maturity pressure, as of the end of July, 4660.953 billion yuan of China’s corporate bonds will mature in the next six months, and the maturity pressure migration coefficient was 0.92, a decrease of 0.06 from the end of previous month. From the perspective of industries, the maturity pressure of most key industries decreased month-on-month. From the perspective of enterprise ownership, the maturity pressure of state-owned companies’ bonds and non-state-owned companies’ bonds both decreased month-on-month. From the perspective of LGFV bonds and non-LGFV bonds, the maturity pressure of LGFV bonds and non-LGFV bonds both decreased month-on-month. In terms of yield to maturity, the yields of short and medium-term notes with different maturities and ratings both declined in July. The yields of LGFV bonds with different maturities and ratings both declined, among which the yield to maturity of the 3-year LGFV bonds fell significantly more than the yield to maturity of the 5-year LGFV bonds. In terms of credit spreads, the credit spreads of most key industries fell in July. Among them, the credit spread of AA bonds in the transportation industry dropped sharply by 210.17BP, the credit spread of AA+ bonds in the commercial trade industry decreased by 88.96BP, and the credit spread of AA+ bonds in the coal industry decreased by 58.19BP. Except for AA+ bonds in the chemical industry, the credit spreads of industrial bonds with different ratings in all industries are at historically medium or low levels. The credit spreads of LGFV bonds with different ratings both declined. Among them, the credit spread of AAA, AA+ and AA LGFV bonds decreased by 11.25BP, 14.68BP and 9.85BP respectively. The credit spreads of AAA and AA+ LGFV bonds hit a new low since 2015. The yields and credit spreads of corporate bonds both fell, and a large number of real estate bonds were overdue ——July 2022 China's corporate bonds market operation report Author: Shen Xuefeng, Jian Jiangping E-mail：research@fecr.com.cn