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            2021年10月債券市場風險監測報告

            作者:黃稚淵 來源:《債券》 發布時間:2021-11-23

             

              一、價格風險監測

               

              202110月,債券指數整體下降,中債新綜合凈價指數下降0.33%100.63點,中債國債凈價指數下降0.56%119.77點,中債信用債凈價指數下降0.09%94.04點。國債收益率曲線趨于陡峭,1年期國債收益率下行2BP2.31%,10年期國債收益率上行10BP2.97%。國債期貨價格下降,10年期國債期貨活躍合約結算價下降0.71%99.19。

               

              債券市場波動高于歷史平均水平。10月中債新綜合凈價指數、1年期國債收益率和10年期國債收益率波動率1分別處于歷史值的63%、20%63%分位數。

               

               

               

               

               

               

               

              二、信用風險監測

               

              10月信用債違約規模下降。新增違約或展期債券28支,規模共計35.71億元,月度違約率0.16%3。本月新增違約或展期企業2家,為景峰醫藥和新力地產,除已違約或展期債券外還存續617.33億元待償債券。

               

              信用利差整體收窄。產業債方面4,5年期AA級產業債-國債利差157BP,環比收窄12BP;5年期AA級產業債-國開債利差129BP,環比收窄13BP。城投債方面,5年期AA級城投債-國債利差126BP,環比收窄10BP;5年期AA級城投債-國開債利差99BP,環比收窄11BP。

               

              本月新發公司信用債隱含評級上升,10月新發公司信用債平均隱含評級得分586.77,環比上升2.28,其中國企發債平均得分為86.94,環比上升2.38,非國企發債平均得分為82.42,環比上升1.94。

               

              非新發公司信用債隱含評級整體下調。10月非新發公司信用債隱含評級指數695.42,環比下降0.08%。其中國企指數97.59,環比下降0.01%,非國企指數78.50,環比下降1.35%。隱含評級調整債券150支,其中下調123支,隱含評級下調率70.57%,環比下降0.33個百分點。隱含評級調整涉及發行主體共32家,其中下調29家,下調主體數量排名前3的行業8分別為房地產業、建筑業、文化體育和娛樂業。

               

               

               

               

               

               

               

              三、流動性風險監測

               

              現券換手率保持穩定。10月中央結算公司日均現券結算量5464億元,環比微降0.27%。日均現券換手率90.65%,環比持平。

               

              貨幣市場利率小幅上升。10月七天基準回購利率(BR00710平均為2.23%,高于上月均值1BP,平均高于公開市場操作利率113BP。月末BR007達到全月最高點2.45%,低于上月高點10BP。

               

              流動性分層幅度整體收窄。10月中小銀行、非銀機構、非法人產品與大型銀行平均融資利差12分別為2BP、13BP12BP,環比收窄1BP、9BP12BP。利率債與非利率債的擔保品利差1317BP,環比收窄4BP。

               

               

               

               

               

              四、債券市場杠桿率監測

               

              債券市場杠桿率小幅下降。10月末總體杠桿率141.12,環比微降0.01,同比上升0.01。月平均杠桿率15高于2倍的投資者有406個,占比3.40%,環比下降0.15個百分點,類型以年金、證券公司資產管理計劃、證券公司為主。分投資者類型看杠桿率,商業銀行、證券公司持平,保險公司上升,信用社、非法人產品下降;商業銀行中,全國性商業銀行、城市商業銀行、農村銀行類機構持平,外資銀行下降;非法人產品中,商業銀行理財產品、證券基金、基金特定客戶資產管理、證券公司資產管理計劃、社;、年金下降,保險產品、信托計劃上升。

               

               

               

               

               

               

               

               

               

              五、債券市場回購風險監測

               

              回購擔保率整體下降。10月末未到期質押式回購總體擔保率16109.21%,環比下降0.61個百分點;未到期買斷式回購總體擔保率為106.69%,環比下降0.61個百分點。

               

              造成100萬元以上風險敞口17的資金融入方共6家,其中證券公司資產管理計劃2家,證券公司、城市商業銀行、農村商業銀行、年金各1家;風險敞口大于100萬元的資金融出方共7家,其中農村商業銀行4家,城市商業銀行、商業銀行理財產品、證券基金各1家。

               

               

               

              撰稿人:中央結算公司統計監測部  黃稚淵

              聯系電話:010-88170711

              電子郵箱:huangzy@chinabond.com.cn

               

              注:

              1.指數波動率是指數日變化率的標準差,其中指數日變化率=當日價格指數值/上一交易日價格指數值-1。收益率波動率是收益率率日變化量的標準差,其中收益率變化量=當日收益率-上一交易日收益率。

              2.統計銀行間市場和交易所市場所有違約或展期債券,數據來源為Wind。

              3.月度違約率=本月新增違約或展期(含交叉違約)的公司信用債規模/本月發生兌付的公司信用債規模,其中公司信用債包括企業債、公司債、中期票據、短期融資券、定向工具、可轉債、可交換債等。剔除交叉違約后本月違約率為0.16%。

              4.產業債和城投債信用利差分別基于中債企業債收益率曲線、中債城投債收益率曲線測算。

              5.隱含評級得分以5分對應一個評級等級,將中債市場隱含評級等級AAA+、AAA、AAA-、AA+、AA、AA-、A+、A、A-、BBB+、BBB、BB、B、CCC、CC、C分別對應至100分、95分、……、25分。無法識別發行人企業屬性的新發債,不在國企和非國企發債平均得分中統計。

              6.公司信用債隱含評級指數是反映存量公司信用債券隱含評級變化情況的指數,以20131月為基期100,逐月滾動計算。T期指數值=T-1期指數值×TT-1期同時存續債券在T期的平均隱含評級得分 / TT-1期同時存續債券在T-1期的平均隱含評級得分)。

              7.公司信用債隱含評級下調率=隱含評級下調公司信用債只數/存續公司信用債只數。

              8.行業分類采用證監會行業分類標準,數據來源為Wind。

              9.日均現券換手率=現券交易量/期末托管量/交易天數。

              10.基準回購利率(Benchmark Repo, BR)是中央結算公司編制和發布的回購市場利率基準,是基于以利率債質押的質押式回購交易計算的成交利率加權中位數;鶞驶刭徖拾ǜ粢购推咛靸蓚品種,分別以BR001BR007表示。利率債包括記賬式國債、央行票據和政策性銀行債。

              11.公開市場操作利率是指人民銀行7天逆回購利率。

              12.平均融資利差基于中央結算公司質押式回購結算數據測算。大型銀行包括政策性銀行、國有大型商業銀行和股份制商業銀行;中小銀行包括其他商業銀行和信用社;非銀機構包括保險機構、證券公司等;非法人產品包括境內各類金融產品。

              13.擔保品利差是指質押不同擔保品的回購利率差異,基于中央結算公司質押式回購結算數據測算。

              14.總體杠桿率=托管量/(托管量-質押式回購待購回余額);谥醒虢Y算公司數據測算。

              15.機構月平均杠桿率=機構月均托管量/(機構月均托管量-機構月均質押式回購待購回余額);谥醒虢Y算公司數據測算。

              16.總體擔保率是未到期回購交易的擔保品市值與到期金額的比值,基于中央結算公司數據測算?傮w擔保率=∑(未到期回購交易質押券或過戶券全價市值)/∑(回購到期金額),擔保率越高代表抵押品越充足。

              17.風險敞口=擔保不足回購交易的到期金額-擔保品市值,其中擔保不足是指回購到期金額大于擔保品市值,回購交易統計未到期的質押式回購和買斷式回購;谥醒虢Y算公司數據測算。

               

               

              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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