2023年12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

作者：曹晓婧简奖平 、邮箱：research@fecr.com.cn 信用债净融资由正转负，二级市场收益率整体下行 ——2023年12月信用债市场运行报告 摘要 相关研究报告： 1.《2023年11月信用债市场运行报告》，2023.12.14 2.《2023年10月信用债市场运行报告》，2023.11.14 发行方面，12月份信用债共发行7,955.31亿元，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2,776.37亿元、2,739.97亿元和1,980.91 亿元。当月取消或推迟发行的信用债有34只，涉及金额240.59亿元，较上月增加11.83 亿元。 净融资方面，12月份信用债净融资为-2,991.53亿元，净融资规模由正转负。10个重点行业中公用事业行业贡献最多净融资，共实现净融资382.60亿元；AAA、AA+和AA级主体净融资分别为-1,824.67亿元、-205.33亿元和-730.74亿元；国有企业和非国有企业净融资分别为-2,127.21亿元和-864.32亿元；城投债和非城投债净融资分别为-1,153.93亿元和-1,837.60亿元。近期城投债净融资持续下滑，或与本轮特殊再融资债发行、证监会条线公司债券发行新规等因素有关，一些高风险区域城投平台再融资或被限制。 到期压力方面，截至12月末，未来6个月将有44,004.90亿元信用债到期，到期压力迁移系数为0.74，较上月末减少0.01。分行业看，重点行业信用债到期压力环比涨跌不一。分企业性质看，国有企业信用债到期压力环比持平，非国有企业信用债到期压力环比下降。城投债与非城投债比较方面，城投债、非城投债到期压力环比均下降。 到期收益率方面，12月份不同期限与评级的中短期票据和城投债到期收益率均下行。其中，短期限低等级城投债到期收益率大幅下行，或是由于本轮特殊再融资债显示出政府偿债意愿，也缓解了偿债上的流动性压力，对贵州、云南等弱资质地区城投平台风险能起到一定缓释作用，进而估值得到有效改善。 信用利差方面，12月份不同期限与评级的产业债和城投债信用利差环比涨跌不一，除3年期AA-级城投债信用利差大幅收窄36.84BP外，其余期限评级的产业债和城投债信用利差变动幅度不大。从2015年以来的信用利差数据来看，不同期限与评级的产业债和城投债信用利差整体处于历史中低水平。 展望未来，2024年债券市场服务实体经济水平有望提高，国家重点支持的科技创新、先进制造、绿色发展等领域直接融资比例有望提升，多数重点产业的债券净融资流出局面或将改善。在前期持续防范化解重点领域风险背景下，信用债市场风险有所出清，中高等级信用主体的再融资压力或将有所减弱，一级市场发行量有望回升。二级市场方面，地产债、城投债等估值改善下，市场预期有望进一步稳定；但商品房销售市场暂未企稳，“土地财政”暂未有清晰替代模式出台，需继续防范重点化债领域弱资质主体的信用风险。 Author:CaoXiaojing,JianJiangpingE-mail:research@fecr.com.cn Thenetfinancingofcorporatebondsturnednegative,andtheyieldstomaturityinthesecondarymarketdeclinedasawhole ——December2023China'scorporatebondsmarketoperationreport Summary IntermsoftheissuanceofChina’scorporatebonds,atotalof795.531billionyuanofcorporatebondswereissuedinDecember,andtheissuancescaledecreasedmonth-on-month.Amongthem,theshort-termfinancingbills,corporatebonds,andmedium-termnoteswiththelargestissuancevolumewere277.637billionyuan,273.997billionyuan,and198.091billionyuanrespectively.Therewere34corporatebondscancelledorpostponedthismonth,involvinganamountof24.059billionyuan,anincreaseof1.183billionyuanfromthepreviousmonth. Intermsofnetfinancing,thenetfinancingofChina’scorporatebondsinDecemberwas-299.153billionyuan,whichturnedfrompositivetonegative.Amongthe10keyindustries,thepublicutilityindustrycontributedthemostnetfinancing,achievingatotalnetfinancingof38.266billionyuan.ThenetfinancingofAAA,AA+,andAAlevelentitieswas-182.467billionyuan,-20.533billionyuan,and-73.074billionyuanrespectively.Thenetfinancingofstate-ownedenterprisesandnon-state-ownedenterpriseswas-212.721billionyuanand-86.432billionyuanrespectively.ThenetfinancingofLocalGovernmentFinancingVehicle(LGFV)bondsandnon-LGFVbondswas-115.393billionyuanand-183.760billionyuanrespectively.TherecentdeclineinnetfinancingofLGFVbondsmayberelatedtofactorssuchasthisroundofspecialrefinancingbondissuanceandthenewregulationsontheissuanceofcorporatebondsbytheCSRC.TherefinancingofsomeLGFVsinhigh-riskareasmayberestricted. Intermsofmaturitypressure,asoftheendofDecember,4,400.490billionyuanofChina’scorporatebondswillmatureinthenextsixmonths,andthematuritypressuremigrationcoefficientwas0.74,down0.01fromtheendofthepreviousmonth.Fromtheperspectiveofindustries,thematuritypressureofcorporatebondsin10keyindustriesincreasedanddecreasedmonth-on-month.Fromtheperspectiveofenterpriseownership,thematuritypressureofstate-ownedcompanies’bondsremainedthesamemonth-on-monthandthematuritypressureofnon-state-ownedcompanies’bondsdecreasedmonth-on-month.FromtheperspectiveofLGFVbondsandnon-LGFVbonds,thematuritypressureofbothLGFVbondsandnon-LGFVbondsdecreasedmonth-on-month. Intermsofyieldtomaturity,theyieldtomaturityofshortandmedium-termbillsandLGFVbondsofdifferentmaturitiesandratingsfellinDecember.Amongthem,theyieldtomaturityofshort-termandlow-gradeLGFVbondsdroppedsignificantly,orbecausethisroundofspecialrefinancingbondsshowsthegovernment'swillingnesstorepaydebt,italsoalleviatestheliquiditypressureondebtrepayment,whichcanplayacertainroleineasingtheriskofLGFVsinGuizhou,Yunnanandotherweakqualificationareas,andthenthevaluationhasbeeneffectivelyimproved. Intermsofcreditspreads,thecreditspreadsofindustrialbondsandLGFVbondsofdifferentmaturitiesandratingsinDecemberincreasedanddecreasedmonth-on-month.Exceptforthecreditspreadofthe3-yearAA-gradeLGFVbonds,whichnarrowedsignificantlyby36.84BP,thecreditspreadsofindustrialbondsandLGFVbondswiththeremainingmaturitieschangedlittle.Fromthecreditspreaddatasince2015,thecreditspreadsofindustrialbondsandLGFVbondsofdifferentmaturitiesandratingsweregenerallyatahistoricallymediumorlowlevel. Lookingtothefuture,thebondmarket'sabilitytoservetherealeconomyisexpectedtoimprovein2024,theproportionofdirectfinancinginareassuchastechnologicalinnovation,advancedmanufacturing,andgreendevelopmentsupportedbythegovernmentpoliciesisexpectedtoincrease,andtheoutflowofbondfinancinginmostkeyindustriesmayimprove.Inthecontextofcontinuedpreventionandresolutionofrisksinkeyareasintheearlystage,therisksinthecorporatebondmarkethavebeencleared,therefinancingpressureofmediumandhigh-gradecreditentitiesmaybeweakened,andtheissuancevolumeintheprimarymarketisexpectedtorebound.Inthesecondarymarket,withimproved