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2021年10月债券市场风险监测报告

作者:黄稚渊 来源:《债券》 发布时间:2021-11-23

 

  一、价格风险监测

   

  202110月,债券指数整体下降,中债新综合净价指数下降0.33%100.63点,中债国债净价指数下降0.56%119.77点,中债信用债净价指数下降0.09%94.04点。国债收益率曲线趋于陡峭,1年期国债收益率下行2BP2.31%10年期国债收益率上行10BP2.97%国债期货价格下降,10年期国债期货活跃合约结算价下降0.71%99.19

   

  债券市场波动高于历史平均水平。10月中债新综合净价指数、1年期国债收益率和10年期国债收益率波动率1分别处于历史值的63%20%63%分位数。

   

   

   

   

   

   

   

  二、信用风险监测

   

  10月信用债违约规模下降。新增违约或展期债券28支,规模共计35.71亿元,月度违约率0.16%3。本月新增违约或展期企业2家,为景峰医药和新力地产,除已违约或展期债券外还存续617.33亿元待偿债券。

   

  信用利差整体收窄。产业债方面45年期AA级产业债-国债利差157BP,环比收窄12BP5年期AA级产业债-国开债利差129BP,环比收窄13BP。城投债方面,5年期AA级城投债-国债利差126BP,环比收窄10BP5年期AA级城投债-国开债利差99BP,环比收窄11BP

   

  本月新发公司信用债隐含评级上升,10月新发公司信用债平均隐含评级得分586.77,环比上升2.28,其中国企发债平均得分为86.94,环比上升2.38,非国企发债平均得分为82.42,环比上升1.94

   

  非新发公司信用债隐含评级整体下调。10月非新发公司信用债隐含评级指数695.42,环比下降0.08%。其中国企指数97.59,环比下降0.01%,非国企指数78.50,环比下降1.35%。隐含评级调整债券150支,其中下调123支,隐含评级下调率70.57%,环比下降0.33个百分点。隐含评级调整涉及发行主体共32家,其中下调29家,下调主体数量排名前3的行业8分别为房地产业、建筑业、文化体育和娱乐业。

   

   

   

   

   

   

   

  三、流动性风险监测

   

  现券换手率保持稳定。10月中央结算公司日均现券结算量5464亿元,环比微降0.27%。日均现券换手率90.65%,环比持平。

   

  货币市场利率小幅上升。10月七天基准回购利率(BR00710平均为2.23%,高于上月均值1BP,平均高于公开市场操作利率113BP。月末BR007达到全月最高点2.45%,低于上月高点10BP

   

  流动性分层幅度整体收窄。10月中小银行、非银机构、非法人产品与大型银行平均融资利差12分别为2BP13BP12BP,环比收窄1BP9BP12BP。利率债与非利率债的担保品利差1317BP,环比收窄4BP

   

   

   

   

   

  四、债券市场杠杆率监测

   

  债券市场杠杆率小幅下降。10月末总体杠杆率141.12,环比微降0.01,同比上升0.01。月平均杠杆率15高于2倍的投资者有406个,占比3.40%,环比下降0.15个百分点,类型以年金、证券公司资产管理计划、证券公司为主。分投资者类型看杠杆率,商业银行、证券公司持平,保险公司上升,信用社、非法人产品下降;商业银行中,全国性商业银行、城市商业银行、农村银行类机构持平,外资银行下降;非法人产品中,商业银行理财产品、证券基金、基金特定客户资产管理、证券公司资产管理计划、社保基金、年金下降,保险产品、信托计划上升。

   

   

   

   

   

   

   

   

   

  五、债券市场回购风险监测

   

  回购担保率整体下降。10月末未到期质押式回购总体担保率16109.21%,环比下降0.61个百分点;未到期买断式回购总体担保率为106.69%,环比下降0.61个百分点。

   

  造成100万元以上风险敞口17的资金融入方共6家,其中证券公司资产管理计划2家,证券公司、城市商业银行、农村商业银行、年金各1家;风险敞口大于100万元的资金融出方共7家,其中农村商业银行4家,城市商业银行、商业银行理财产品、证券基金各1家。

   

   

   

  撰稿人:中央结算公司统计监测部  黄稚渊

  联系电话:010-88170711

  电子邮箱:huangzy@chinabond.com.cn

   

  注:

  1.指数波动率是指数日变化率的标准差,其中指数日变化率=当日价格指数值/上一交易日价格指数值-1。收益率波动率是收益率率日变化量的标准差,其中收益率变化量=当日收益率-上一交易日收益率。

  2.统计银行间市场和交易所市场所有违约或展期债券,数据来源为Wind

  3.月度违约率=本月新增违约或展期(含交叉违约)的公司信用债规模/本月发生兑付的公司信用债规模,其中公司信用债包括企业债、公司债、中期票据、短期融资券、定向工具、可转债、可交换债等。剔除交叉违约后本月违约率为0.16%

  4.产业债和城投债信用利差分别基于中债企业债收益率曲线、中债城投债收益率曲线测算。

  5.隐含评级得分以5分对应一个评级等级,将中债市场隐含评级等级AAA+AAAAAA-AA+AAAA-A+AA-BBB+BBBBBBCCCCCC分别对应至100分、95分、……25分。无法识别发行人企业属性的新发债,不在国企和非国企发债平均得分中统计。

  6.公司信用债隐含评级指数是反映存量公司信用债券隐含评级变化情况的指数,以20131月为基期100,逐月滚动计算。T期指数值=T-1期指数值×TT-1期同时存续债券在T期的平均隐含评级得分 / TT-1期同时存续债券在T-1期的平均隐含评级得分)。

  7.公司信用债隐含评级下调率=隐含评级下调公司信用债只数/存续公司信用债只数。

  8.行业分类采用证监会行业分类标准,数据来源为Wind

  9.日均现券换手率=现券交易量/期末托管量/交易天数。

  10.基准回购利率(Benchmark Repo, BR)是中央结算公司编制和发布的回购市场利率基准,是基于以利率债质押的质押式回购交易计算的成交利率加权中位数。基准回购利率包括隔夜和七天两个品种,分别以BR001BR007表示。利率债包括记账式国债、央行票据和政策性银行债。

  11.公开市场操作利率是指人民银行7天逆回购利率。

  12.平均融资利差基于中央结算公司质押式回购结算数据测算。大型银行包括政策性银行、国有大型商业银行和股份制商业银行;中小银行包括其他商业银行和信用社;非银机构包括保险机构、证券公司等;非法人产品包括境内各类金融产品。

  13.担保品利差是指质押不同担保品的回购利率差异,基于中央结算公司质押式回购结算数据测算。

  14.总体杠杆率=托管量/(托管量-质押式回购待购回余额)。基于中央结算公司数据测算。

  15.机构月平均杠杆率=机构月均托管量/(机构月均托管量-机构月均质押式回购待购回余额)。基于中央结算公司数据测算。

  16.总体担保率是未到期回购交易的担保品市值与到期金额的比值,基于中央结算公司数据测算。总体担保率=∑(未到期回购交易质押券或过户券全价市值)/∑(回购到期金额),担保率越高代表抵押品越充足。

  17.风险敞口=担保不足回购交易的到期金额-担保品市值,其中担保不足是指回购到期金额大于担保品市值,回购交易统计未到期的质押式回购和买断式回购。基于中央结算公司数据测算。

   

   

  1. Price Risk Tracking

   

  In October 2021, the bond indexes were declining overall. The ChinaBond New Composite Net Price Index decreased 0.33% to 100.63; the ChinaBond Government Bond Net Price Index decreased 0.56% to 119.77; the ChinaBond Credit Bond Net Price Index decreased 0.09% to 94.04. The Chinabond government bond yield curve tended to steep, with the yield of the one-year China government bond down 2BP to 2.31% and the yield of the ten-year China government bond up 10BP to 2.97%. The price of government bond futures went down, with the settlement price of active ten-year government bond future contracts went down 0.71% to 99.19.

   

  The bond market volatility was higher than the historical average. In October, the volatilityof ChinaBond New Composite Net Price Index, the yield of one-year China government bond and the yield of ten-year China government bond were at the 63th, 20th and 63th percentile of the historical band, respectively. 

   

   

   

   

   

   

   

  2. Credit Risk Monitoring

   

  In October 2021, the amount of defaulted credit bond decreased. 8 defaulted or rollover bonds appeared for the first time, with a total amount of RMB 3.57 billion, and the monthly default rate2 was 0.16%. And in this month, 2 defaulted or rollover enterprises appeared for the first time, namely JingFeng Pharmaceutical Co. and XinLi Real Estate, and in addition to defaulted or rollover bonds, there were still 6 outstanding bonds amounted to 1.73 billion.

   

  Credit spreads narrowed. In terms of industrial bonds, the credit spread between 5-year AA industrial bonds and 5-year government bonds decreased 12BP, closed at 157BP; the credit spread between 5-year AA industrial bonds and 5-year CDB bonds remained decreased 13BP, closed at 129BP. And in terms of urban construction bonds, the credit spread between 5-year AA urban construction bonds and 5-year government bonds decreased 10BP, closed at 126BP; the credit spread between 5-year AA urban construction bonds and 5-year CDB bonds decreased 11BP, closed at 99BP.

   

  The Implied Rating of newly issued credit bonds increased in this month. In October, the newly issued credit bonds’ average implied rating score3 increased 2.28 to 86.77. The scores of the SOE increased 2.38 to 86.94, while the score of the non-SOE increased 1.94 to 82.42.

   

  The Implied Ratings of non-newly issued credit bonds were downgraded. The Implied Rating Credit Bond Index4 of non-newly credit bonds decreased 0.08% to 95.42 in October. Among them, the SOE Index decreased 0.01% to 97.59, and the non-SOE Index decreased 1.35% to 78.50. Specifically, the implied rating adjustment involved 150 bonds, among which 123 credit bonds were downgraded, accounting for 0.57% of the total outstanding credit bonds, 0.33 percentage point lower than the last month. The implied rating adjustment involved 32 issuers, 29 of which are downgraded. The top three industries5 of these downgraded companies were Real estate, Construction, and Culture and Entertainment Industry.

   

   

   

   

   

   

   

  3. Liquidity Risk Monitoring

   

  The turnover rate of the cash bond remained stable. In October, the average daily cash bond trading volume settled by CCDC was RMB 546.4 billion, a slight decrease of 0.27% from the last month. The average daily turnover rate6 of cash bond was 0.65%, remaining unchanged compared with the last month.

   

  The rate of the money market was increased slightly. The 7-day Benchmark Repo Rate7 (BR007) was 2.23% in average, 1BP higher than the last month, and 3BP higher than the OMO interest rate8. BR007 peaked at 2.45% in the end of the month, 10BP lower than the highest point of last month.

   

  The differentiation of liquidity narrowed. The financing spreads (compared with big commercial banks) of the small commercial banks, non-bank institutions and unincorporated products were 2BP, 13BP and 12BP, down 1BP, 9BP and 12BP compared with the last month respectively. In addition, the financing cost spread between collaterals9 was 17BP, down 4BP month on month. 

   

   

   

   

   

  4. Bond Market Leverage Ratio Monitoring

   

  The bond market leverage ratio decreased slightly. At the end of October, the total leverage ratio was 1.12, declining 0.01 month on month and up 0.01 year on year. The average leverage ratio10 of 406 institutions were higher than 2, accounting for 3.40%, down 0.15% compared with last month, mainly annuities, securities company asset managements and securities companies.

   

  Specifically, the leverage ratio of the commercial banks and securities companies remained unchanged, the leverage ratio of insurance institutions increased and the leverage ratio of credit cooperatives and unincorporated products decreased. Among commercial banks, the leverage ratio of national commercial banks, city commercial banks and rural banks remained unchanged, while the leverage ratio of foreign bank decreased. Among unincorporated products, the leverage ratio of commercial bank financial products, securities funds, fund specific client asset management and securities company asset management plan, social security funds and annuities decreased, while the leverage ratio of insurance products and trust plan increased. 

   

   

   

   

   

  5. Repo Collateral Risk Tracking

   

  The guarantee rate11 of the Repo decreased overall. At the end of October, the overall guarantee rate of outstanding pledged Repo was 109.21%, down 0.61 percentage point month on month, and the overall guarantee rate of outstanding outright Repo was 106.69%, down 0.61 percentage point month on month.

   

  There were 6 funding parties caused an exposure larger than RMB 1 million, including 2 securities company asset management plans, 1 security company, 1 urban commercial bank, 1rural commercial bank and 1 annuity. There were 7 financial contributors with an exposure larger than RMB 1 million, including 4 rural commercial banks, 1 urban commercial bank, 1 commercial bank financial product and 1 security fund. 

   

   

   

  Contact Information

  China Central Depository & Clearing Co., Ltd.

  Statistics & Market Monitoring Department,

  Huang Zhiyuan(+86-10-88170711, huangzy@chinabond.com.cn)

   

  1.The index volatility is the standard deviation of the index’s daily rate of change, where the index’s daily rate of change = the current day’s price index value / the previous day’s price index value - 1. The volatility of the return rate is the standard deviation of the daily change in return rate, where the change in return rate = the return rate of the current day - the return rate of the previous day. 

  2.The monthly default rate = amount of bonds newly defaulted or rollover this month / amount of all corporate credit bonds redeemed this month.

  3.The ChinaBond Market Implied Rating score stratifies into a level every 5 points, and The ChinaBond Market Implied Rating Level AAA, AAA, AAA-, AA+, AA, AA-, A+, A, A-, BBB+, BBB, BB, B, CCC, CC, C correspond to 100 points, 95 points, ......, 25 points respectively.

  4.The ChinaBond Market Implied Rating Credit Bond Index is an index that reflects the changes in the implicit rating of corporate credit bonds. It is calculate on a monthly basis with a initial value of 100 in January 2013. T period index value = T-1 period index value ×(the average implied rating score of T and T-1 coexisting bonds in T period / the average implied rating score of T and T-1 coexisting bonds in T-1 period). 

  5.The industry classification adopts the standard of China Securities Regulatory Commission.

  6.The average daily turnover rate = spot bond trading volume / end of period custody volume / number of trading days.

  7.The Benchmark Repo Rate, BR, is the benchmark for the repo market interest rate complied and issued by China Central Depository & Clearing Co. LTD(CCDC). It is the weighted median of transaction interest rates calculated based on pledged Repo transactions that interest rate bonds are pledged in the entire market. The Benchmark Repo Rate includes overnight and 7 days, represented by BR001 and BR007 respectively.

  8.The OMO interest rate refers to the 7-day Reverse Repo interest rate.

  9.The spread between collaterals refers to the difference in financing interest rates between pledged non-interest-rate bonds and pledged interest-rate bonds.

  10.The overall leverage ratio = custody volume / (custody volume - balance to be repurchased under pledged Repo), only counts the investors whose repurchased balance is not 0. 

  11.The overall guarantee rate of outstanding Repo is the ratio of the market value of the collaterals to the maturity amount of the outstanding Repo transactions. The overall guarantee rate =∑(the full market value of the pledged bonds or transferred bonds for outstanding Repo transactions)/∑(the maturity amount of outstanding Repo transactions)the higher the overall guarantee rate, the more adequate the collateral.

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