2023年5月信用债市场运行报告：信用债净融资由正转负，二级市场收益率整体下行

请务必阅读正文后的免责声明 远东研究·债市运行 2023年6月13日 、 信用债净融资由正转负，二级市场收益率整体下行 ——2023年5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，5月份信用债共发行7,147.05亿元，发行规模环比减少。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2,955.85亿元、2,299.39亿元和1,411.41亿元。当月取消或推迟发行的信用债有20只，涉及金额143.70亿元。 净融资方面，5月份信用债净融资为-1,798.53亿元，净融资规模由正转负，延续上月回落态势。10个重点行业中交通运输行业资金流出规模最大，净融资额为-953.76亿元；AAA、AA+和AA级主体净融资分别为-1,183.35亿元、-80.36亿元和-211.34亿元；国有企业和非国有企业净融资分别为-1,437.98亿元和-360.55亿元；城投债和非城投债净融资分别为-305.57亿元和-1,492.97亿元。 到期压力方面，截至5月末，未来6个月将有46,674.48亿元信用债到期，到期压力迁移系数为0.78，较上月末小幅下降。分行业看，除食品饮料行业信用债到期压力环比上升外，其余重点行业信用债到期压力环比持平或小幅下降。分企业性质看，国有企业、非国有企业信用债到期压力均环比下降。城投债与非城投债比较方面，城投债到期压力环比基本持平，非城投债到期压力环比有所下降。 到期收益率方面，5月份，除3年期AA级城投债到期收益率小幅上行0.21BP外，中短期票据和城投债二级市场到期收益率整体下行。其中，长期限低等级中短期票据和城投债到期收益率下行幅度相对更大。 信用利差方面，5月份1年期产业债信用利差整体收窄，3年期和5年期产业债信用利差整体走阔，中长期限低等级城投债信用利差仍处于自2015年以来的历史高位。 展望未来，二季度仍为地方债发行高峰，或对信用债一级市场发行产生挤出效应；信用债二级市场到期收益率走势将受到利率债收益率走势影响。地产债方面，当前房地产基本面仍处于低位，宽松政策出台节奏放缓，非优质民企或将加速出清，需防范相关债务风险。城投债方面，近期多个区域城投公司出现负面舆情，不同资质城投债信用利差或将继续分化；化解地方政府隐性债务政策基调下，尾部区域城投或面临再融资受阻。 相关研究报告： 1.《2023年4月信用债市场运行报告》，2023.5.12 2.《2023年3月信用债市场运行报告》，2023.4.17 3.《2023年2月信用债市场运行报告》，2023.3.15 4.《2023年1月信用债市场运行报告》，2023.2.14 5.《2022年12月信用债市场运行报告》，2023.1.13 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets June 13th, 2023 Summary In terms of the issuance of China’s corporate bonds, a total of 714.705 billion yuan of corporate bonds were issued in May, 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 295.585 billion yuan, 229.939 billion yuan and 141.141 billion yuan respectively. There were 20 corporate bonds cancelled or postponed in this month, involving an amount of 14.370 billion yuan. In terms of net financing, the net financing of China’s corporate bonds in May was -179.853 billion yuan, which turned negative and continued the downward trend of last month. Among the 10 key industries, the transportation industry has the largest capital outflow, with a net financing amount of -95.376 billion yuan. The net financing of AAA, AA+ and AA level entities was -118.335 billion yuan, -8.036 billion yuan and -21.134 billion yuan respectively. The net financing of state-owned enterprises and non-state-owned enterprises was -143.798 billion yuan and -36.055 billion yuan respectively. The net financing of Local Government Financing Vehicle (LGFV) bonds and non-LGFV bonds was -30.557 billion yuan and -149.297 billion yuan respectively. In terms of maturity pressure, as of the end of May, 4,667.448 billion yuan of China’s corporate bonds will mature in the next six months, and the maturity pressure migration coefficient was 0.78, a slight decrease from the end of last month. From the perspective of industries, except for the rising maturity pressure of the food and beverage industry, the maturity pressure of most key industries remained flat or slightly 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 was basically the same from the previous month, and the maturity pressure of non-LGFV bonds decreased from the previous month. In terms of yield to maturity, in addition to the yield to maturity of 3-year AA-rated LGFV bond increased slightly by 0.21BP, the yields to maturity of short and medium-term notes and LGFV bonds in the secondary market declined as a whole in May. Among them, long-term low-grade short-term notes and LGFV bonds fell more sharply. In terms of credit spreads, in May, the credit spreads of 1-year industrial bonds narrowed, and the credit spreads of 3-year and 5-year industrial bonds widened overall. The credit spread of medium- and long-term low-grade LGFV bonds were still at historical high levels since 2015. The net financing of corporate bonds turned negative, and the yields to maturity in the secondary market declined as a whole ——May 2023 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 June 13th, 2023 Looking ahead, the second quarter is still the issuance peak of local government bonds, it may have a crowding out effect on the issuance