2022年9月信用债市场运行报告：房地产债逾期数量持续增加，城投债信用风险累积

请务必阅读正文后的免责声明 远东研究·债市运行 2022年10月17日 房地产债逾期数量持续增加，城投债信用风险累积 ——2022年9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，9月份信用债共发行9,752.49亿元，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3,719.09亿元、3,020.60亿元和2,366.39亿元。当月取消或推迟发行的信用债有36只，涉及金额237.25亿元。 净融资方面，9月份信用债净融资为-682.98亿元，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444.89亿元；AAA、AA+和AA级主体净融资分别为-672.80亿元、259.32亿元和-109.65亿元；国有企业和非国有企业净融资分别为229.51亿元和-888.95亿元；城投债和非城投债净融资分别为170.90亿元和-830.34亿元。 到期压力方面，截至9月末，未来6个月将有45,634.06亿元信用债到期，到期压力迁移系数为0.88，较上月末上升0.04。分行业看，多数重点行业信用债未来到期压力环比上升。分企业性质看，国有企业信用债未来到期压力环比小幅上升。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小幅上升。 到期收益率方面，9月份不同期限与评级的中短期票据到期收益率均在月底出现小幅上行，不同期限与评级的城投债到期收益率也在月底出现小幅上行。但与同期国债到期收益率上升幅度相比，中短期票据和城投债到期收益率上升幅度要更小。 信用利差方面，9月份商业贸易行业AA+级信用利差大幅上升76.59BP，化工行业AA+级信用利差大幅下降59.78BP，其余行业、评级信用利差变动不大。不同信用等级城投债信用利差走势分化，AAA级城投债信用利差下降2.35BP，AA+级和AA级城投债信用利差分别上升0.86BP和7.64BP。AAA级、AA+级和AA级城投债信用利差所处历史百分位数分别为2%、6%和10%，都处于历史低位。 展望未来，房地产行业与城投企业的信用风险仍需要重点关注。9月份逾期信用债大部分属于房地产行业，如果商品房销售额不能有效回升，可能会有更多房企债券违约。房地产行业衰退已经对地方“土地财政”产生冲击，一些城投企业在土地市场积极拿地进行托底，未来可能会因土地项目积压出现资金链紧张。 相关研究报告： 1.《2022年8月利率债市场运行报告》，2022.09.15 2.《2022年8月信用债市场运行报告》，2022.09.14 3.《2022年7月利率债市场运行报告》，2022.08.16 4.《2022年7月信用债市场运行报告》，2022.08.10 5.《2022年6月利率债市场运行报告》，2022.07.19 6.《2022年6月信用债市场运行报告》，2022.07.18 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets October 17th, 2022 Summary In terms of the issuance of China’s corporate bonds, a total of 975.249 billion yuan of corporate bonds were issued in September, and the issuance scale decreased month-on-month. Among them, the short-term financing bills, exchange corporate bonds and medium-term notes with the largest issuance volume were 371.909 billion yuan, 302.060 billion yuan and 236.639 billion yuan respectively. There were 36 corporate bonds cancelled or postponed in the month, involving an amount of 23.725 billion yuan. In terms of net financing, the net financing of China’s corporate bonds in September was -68.298 billion yuan, which decreased month-on-month. Among the 10 key industries, the building decoration industry has achieved the most net financing, with a net financing amount of 44.489 billion yuan. The net financing of AAA, AA+ and AA level entities was -67.280 billion yuan, 25.932 billion yuan and -10.965 billion yuan respectively. The net financing of state-owned enterprises and non-state-owned enterprises was 22.951 billion yuan and -88.895 billion yuan respectively. The net financing of Local Government Financing Vehicle (LGFV) bonds and non-LGFV bonds was 17.090 billion yuan and -83.034 billion yuan respectively. In terms of maturity pressure, as of the end of September, 4,563.406 billion yuan of China’s corporate bonds will mature in the next six months, and the maturity pressure migration coefficient was 0.88, up 0.04 from the end of previous month. From the perspective of industries, the maturity pressure of most key industries increased month-on-month. From the perspective of enterprise ownership, the maturity pressure of state-owned companies’ bonds 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 with different maturities and ratings both rose slightly at the end of August, and the yields to maturity of LGFV bonds with different maturities and ratings also rose slightly at the end of the month. However, compared with the yield to maturity of government bonds, the increase in the yield to maturity of short and medium-term notes and LGFV bonds was smaller. In terms of credit spreads, the credit spreads of AA+ bonds in the commercial trade industry rose sharply by 76.59BP in September, and the credit spreads of AA+ bonds in the chemical industry dropped sharply by 59.78BP, and the credit spreads of the rest of industries and ratings did not change much. The trend of credit spreads of LGFV bonds with different ratings is different. Among them, the credit spreads of AAA LGFV bonds decreased by 2.35BP, and the credit spreads of AA+ and The number of overdue real estate bonds continued to increase, and the credit risk of LGFV bonds have risen ——September 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