2022年11月信用债市场运行报告：信用债利差整体走阔，超百只债券取消发行

请务必阅读正文后的免责声明 远东研究·债市运行 2022年12月14日 信用债利差整体走阔，超百只债券取消发行 ——2022年11月信用债市场运行报告 摘 要 作 者：曹晓婧 简奖平 邮 箱：research@fecr.com.cn 发行方面，11月份信用债共发行8,644.71亿元，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3,576.01亿元、2,452.31亿元和2,083.40亿元。当月取消或推迟发行的信用债有107只，涉及金额839.20亿元。 净融资方面，11月份信用债净融资为-1,479.36亿元，净融资规模环比下降。10个重点行业中公用事业行业实现净融资最多，净融资额为388.49亿元；AAA、AA+和AA级主体净融资分别为-1,067.02 亿元、-72.06亿元和-200.19亿元；国有企业和非国有企业净融资分别为-951.12亿元和-528.24亿元；城投债和非城投债净融资分别为-119.62亿元和-1,359.74亿元。 到期压力方面，截至11月末，未来6个月将有47,237.87亿元信用债到期，到期压力迁移系数为0.89，较上月末下降0.05。分行业看，多数重点行业信用债未来到期压力环比下降。分企业性质看，国有企业与非国有企业信用债到期压力均环比小幅下降。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小幅下降。 到期收益率方面，11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 3 年期的中短期票据到期收益率上行幅度显著大于 5 年期的中短期票据到期收益率。 信用利差方面，11月份大部分重点行业债券信用利差上行，但建筑装饰行业 AA级产业债信用利差大幅下降151.86BP。不同评级城投债信用利差均走阔，AAA级、AA+级和AA级城投债信用利差分别上升22.49BP、38.46BP和40.15BP。不同评级城投债信用利差所处百分位数均大幅提升，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31%、48%和33%。 展望未来，需继续关注低评级房地产及城投企业信用风险。在房地产业“三支箭”政策陆续落地后，优质房地产企业获得资金注入，迎来信用修复，而弱资质房企或将加速出清。“化隐债”“促经济”等宏观调控背景下，城投企业资金压力有望缓解，但仍需关注低评级城投企业短期债务偿还压力。此外，信用债抛售潮后，预计随着地产企稳、经济提速，未来信用债净融资额有望由负转正。 相关研究报告： 1.《2022年10月利率债市场运行报告》，2022.11.16 2.《2022年10月信用债市场运行报告》，2022.11.15 3.《2022年9月利率债市场运行报告》，2022.10.17 4.《2022年9月信用债市场运行报告》，2022.10.17 5.《2022年8月利率债市场运行报告》，2022.09.15 6.《2022年8月信用债市场运行报告》，2022.09.14 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets Dec 14th, 2022 Summary In terms of the issuance of China’s corporate bonds, a total of 864.471 billion yuan of corporate bonds were issued in November, and the issuance scale decreased month-on-month. Among them, the short-term financing bills, corporate bonds and medium-term notes with the largest issuance volume were 357.601 billion yuan, 245.231 billion yuan and 208.340 billion yuan respectively. There were 107 corporate bonds cancelled or postponed in this month, involving an amount of 83.920 billion yuan. In terms of net financing, the net financing of China’s corporate bonds in November was -147.936 billion yuan, which decreased month-on-month. Among the 10 key industries, the utilities industry has achieved the most net financing, with a net financing amount of 38.849 billion yuan. The net financing of AAA, AA+ and AA level entities was -106.702 billion yuan, -7.206 billion yuan and -20.019 billion yuan respectively. The net financing of state-owned enterprises and non-state-owned enterprises was -95.112 billion yuan and -52.824 billion yuan respectively. The net financing of Local Government Financing Vehicle (LGFV) bonds and non-LGFV bonds was -11.962 billion yuan and -135.974 billion yuan respectively. In terms of maturity pressure, as of the end of November, 4,723.787 billion yuan of China’s corporate bonds will mature in the next six months, and the maturity pressure migration coefficient was 0.89, down 0.05 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 to maturity of short and medium-term notes and LGFV bonds in the secondary market both increased in November. Among them, the yield to maturity of 3-year short-term bills has risen significantly more than that of 5-year short-term bills. In terms of credit spreads, the credit spreads of most key industries increased in November, while the credit spread of AA- bonds in the building decoration industry dropped sharply by 151.86BP. Credit spreads of LGFV bonds with different ratings widened, and the credit spreads of AAA, AA+ and AA LGFV bonds increased by 22.49BP, 38.46BP and 40.15BP respectively. The percentiles of the credit spreads of LGFV bonds with different ratings have all increased significantly, AAA, AA+ and AA LGFV bond spreads are at historic levels of 31%, 48% and 33% respectively. Spreads of credit bonds widened as a whole, and more than 100 bond issues were cancelled ——November 2022 China's corporate bonds market operation report Author: Cao Xiaojing, 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 Dec 14th, 2022 Looking forward, the credit risks of low-rated real estate e