新世紀評級-2022年度非金融企業(yè)債務融資工具利差分析

研究12022年度非金融企業(yè)債務融資工具利差分析家楠增A1)。債券類型發(fā)行量發(fā)行規(guī)模發(fā)行量(期)同比(%)發(fā)行規(guī)模(億元)同比(%)超短期融資券4,395-3.7944,236.88-5.65一般短期融資券555-4.645,114.80-2.50中期票據2,648+4.0527,962.60+11.20合計7,59877,314.28+0.04世紀評級整理融資券(1489期)、1年期一般短期融資券(462期)和3年期中期票據(1403。和中期票據。研究2二、非金融企業(yè)債務融資工具利率、利差與信用等級的對應關系2022年，非金融企業(yè)債務融資工具的發(fā)行定價較好地反映了信用等級的差差均值均低于同期限低信用等級的發(fā)行利率、發(fā)行利差均值(圖表2)。各券種圖表3)。債券類型主體信用等級樣本數發(fā)行利率(%)發(fā)行利差(BP)均值標準差均值級差標準差變異系數270天超短期融資券AAA6951.49-6.502.420.7550.19NR72.10AA+5951.80-7.603.07113.5463.350.98AA1.98-7.003.77183.3769.83.230.621年期一般短期融資券AAA1.73-6.103.210.99123.43NR99.040.80AA+2082.07-7.803.68169.7446.31139.550.82AA2.25-6.803.93188.6818.940.593年期中期票據AAA6712.19-7.503.170.5681.99NR54.160.66AA+5410.00-7.703.670.84131.9249.9381.280.62AA2.89-7.704.23187.6155.69.720.59世紀評級整理債券類型主體信用等級樣本數上市首日利率(%)交易利差(BP)均值標準差均值級差標準差變異系數270天超短期融資券AAA6712.95103.57NR120.88AA+5823.70177.1373.56167.050.94AA1.78-25.484.542.20259.9282.79223.930.861年期一般短期融資券AAA2.20-6.993.99202.75NR134.070.66AA+207.664.69271.4568.70181.150.67AA2.79-9.894.91290.8219.37.890.403年期中期票據AAA658.173.750.86139.93NR85.80.61AA+533.994.320.96195.9656.0396.660.49AA2.92-8.374.87251.3455.38107.280.43注：交易利差為超短期融資券的上市首日利率減去與超短期融資券上市日、同期限的中債國債到期收世紀評級整理非金融企業(yè)債務融資工具利差的影響因素分析為檢驗主體信用等級及評級機構是否對非金融企業(yè)債務融資工具利差有影研究3(一)主體信用等級對利差的影響UMann-WhitneyU檢驗類別AAA與AA+AAA與AAAAAA270天超短期融資券發(fā)行利差0.0000.0000.000交易利差0.0000.0000.0001年期一般短期融資券發(fā)行利差0.0010.0000.002交易利差0.0000.0000.0033年期中期票據發(fā)行利差0.0000.0000.000交易利差0.0000.0000.000類別AAA與AA+AAA與AAAAAA270天超短期融資券發(fā)行利差0.0000.0000.000交易利差0.0000.0000.0001年期一般短期融資券發(fā)行利差0.0170.0000.454交易利差0.0000.0000.1393年期中期票據發(fā)行利差0.0000.0000.021交易利差0.0000.0000.101A(二)信用評級機構對利差的影響天超短期融資券研究4高，發(fā)行利差、交易利差越小(圖表6~7)。評級機構新世紀中誠信國際聯合資信大公東方金誠遠東資信中證鵬元總樣本樣本總量25858139497152493AAA樣本量793072182651-697均值36.6745.5958.7475.8456.65-23.7350.12標準差31.3272.8976.5980.487.25-15.3872.01AA+樣本量5444126597均值93.16105.49132.39107.14131.57139.92162.78.62標準差101.698.64131.91101.93.57-120.54AA樣本量437836-均值179.21166.54182.96181.08232.79-263.69183.37標準差127.3597.65106.72.24-.81.23紀評級整理。評級機構新世紀中誠信國際聯合資信大公東方金誠遠東資信中證鵬元總樣本樣本總量25256538196155454AAA樣本量773012092646-673均值73.3897.77107.58161.38129.67-127.00103.27標準差83.54102.03156.6120.56-9120.83AA+樣本量5344131584均值136.39176.69207.97177.84179.05375.61201.13176.84標準差.55168.24194.46202.08120.26-178.9166.85AA樣本量437835-均值261.61222.04231.44295.28352.13-458.66259.92標準差186.76141.22140.86140.86224.26-664.22223.93紀評級整理。研究52.1年期一般短期融資券隨主體信用等級的升高而降低(圖表8~9)。評級機構新世紀中誠信國際聯合資信大公東方金誠中證鵬元總樣本樣本總量67313820464AAA樣本量8467691均值53.78108.39143.92141.2286.3425.58123.43標準差13.99105.0898.736.1135.38099.04AA+樣本量4459512020209均值189.54166.16180.97147.47165.32121.56169.63標準差160.07140.58145.3122.3486.43139.22AA樣本量4036284均值193.59156.67193.86.69332.56170.43187.84標準差141.8578.6.4415.8775.7457.43紀評級整理評級機構新世紀中誠信國際聯合資信大公東方金誠中證鵬元總樣本樣本總量67313820455AAA樣本量8427491均值90.18163.14236.81207.19215.5379.86202.75標準差42.1298.8147.88147.1590.02-134.07AA+樣本量4458512020208均值294.24277.73265.61256.57266.46223.54271.22標準差202.47239.92147.4285.83105.3785.24180.75AA樣本量4034284均值328.99274.06275.97273.45356.78329.55291.26標準差170.1873.89128.6762.7254.93128.5.41紀評級整理研究6顯著差異。3.3年期中期票據交易利差均隨主體信用等級的升高而降低(圖表10~11)。評級機構新世紀中誠信國際聯合資信大公東方金誠遠東資信中證鵬元總計樣本總量231513403355413AAA樣本量9528321930371676均值82.7478.0990.4161.6283.4062.6965.9682.08標準差38.7550.9460.528.2680.89-20.454.19AA+樣本量975850135546均值.41126.20134.92123.44150.89471.70176.86132.91標準差67.9978.1580.869.8695.61-98.8982.15AA樣本量3966432119均值127.25199.77182.12244.58248.86192.66166.77187.61標準差45.31.9988.65121.75158.74-87.41.72紀評級整理評級機構新世紀中誠信國際聯合資信大公東方金誠遠東資信中證鵬元總計樣本總量229504392354390AAA樣本量9527721230371663均值139.22136.90148.13.88148.60109.34108.85139.88標準差53.4981.83102.1944.34102.34-38.9385.59AA+樣本量975750134538均值181.96189.37190.49210.12217.3478