2024年一季度公司債和企業(yè)債利差分析

市場(chǎng)表現(xiàn)研究報(bào)告12024年一季度公司債和企業(yè)債利差分析債券類型主體信用等級(jí)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（%）公司債AAA26249.71%3208.5959.60%AA+49-15.52%361.41-13.99%AA4-76.47%23.00-74.92%合計(jì)31526.00%3593.0042.45%債券類型主體信用等級(jí)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（%）企業(yè)債AAA-53.57%149.50-55.64%AA+-73.68%52.28-82.48%AA8-87.10%44.90-87.90%合計(jì)31-76.15%246.68-75.68%市場(chǎng)表現(xiàn)研究報(bào)告2），期限主體信用等級(jí)樣本量發(fā)行利率（%）發(fā)行利差（BP）均值標(biāo)準(zhǔn)差最小值最大值均值級(jí)差標(biāo)準(zhǔn)差變異系數(shù)3年期AAA2.40-3.802.770.2523.42149.4560.19NR21.400.36AA+242.45-3.602.910.2937.58153.7075.0114.8226.740.365年期AAA732.45-3.652.870.2220.72137.8461.47NR20.730.34AA+202.88-3.803.240.2563.81151.4996.6035.1324.820.26注：發(fā)行利差為公司債的發(fā)行利率減去公司債起息日、同期限的銀行間固定利率國(guó)債到期收益率；變期限主體信用等級(jí)樣本量上市首日利率（%）交易利差（BP）均值標(biāo)準(zhǔn)差最小值最大值均值級(jí)差標(biāo)準(zhǔn)差變異系數(shù)3年期AAA2.44-3.822.790.2423.68151.9163.90NR21.180.33AA+232.45-3.602.930.2839.35154.2678.4014.5026.050.335年期AAA722.45-3.652.880.2123.73143.0763.76NR20.720.33AA+2.89-3.803.260.2671.90149.90101.4337.6724.730.24債券類型主體信用等級(jí)樣本量發(fā)行利率（%）發(fā)行利差（BP）均值標(biāo)準(zhǔn)差最小值最大值均值級(jí)差標(biāo)準(zhǔn)差變異系數(shù)3年期AAA72.55-2.802.680.0948.7068.9757.54NR6.420.11AA+13.60-3.603.60 153.70153.70153.7096.16 5年期AAA32.65-3.152.860.2142.1974.2057.97NR13.070.23AA+32.88-3.002.940.0563.8178.2871.3213.355.920.083差債券類型主體信用等級(jí)樣本量上市首日利率（%）交易利差（BP）均值標(biāo)準(zhǔn)差最小值最大值均值級(jí)差標(biāo)準(zhǔn)差變異系數(shù)3年期AAA72.55-2.802.680.0946.8468.9059.13NR6.950.12AA+13.60-3.603.60 154.26154.26154.2695.13 5年期AAA32.67-3.152.860.2145.8874.3859.14NR0.20AA+22.93-2.952.940.0173.1478.9676.0516.912.910.04用Mann-WhitneyU兩獨(dú)立樣本非參數(shù)檢驗(yàn)方法檢驗(yàn)影響因子的顯著性，Mann-類別AAA與AA+3年期發(fā)行利差差異顯著(p=0.002),(103,24)交易利差差異顯著(p=0.002),(100,23)5年期發(fā)行利差差異顯著(p=0.000),(73,20)交易利差差異顯著(p=0.000),(72,16)市場(chǎng)表現(xiàn)研究報(bào)告4評(píng)級(jí)機(jī)構(gòu)新世紀(jì)中誠(chéng)信國(guó)際聯(lián)合資信大公東方金誠(chéng)中證鵬元總樣本樣本總量8722728AAA樣本量7572225均值57.5458.2569.2053.1670.7949.4260.19標(biāo)準(zhǔn)差6.4220.4027.0411.4417.5411.8421.40AA+樣本量15—3—24均值153.7074.8164.90—66.64—75.01標(biāo)準(zhǔn)差0.0025.089.52—10.90 26.74評(píng)級(jí)機(jī)構(gòu)新世紀(jì)中誠(chéng)信國(guó)際聯(lián)合資信大公東方金誠(chéng)中證鵬元總樣本樣本總量87026289AAA樣本量75522259均值59.1361.5271.9160.9674.3057.4363.90標(biāo)準(zhǔn)差6.9520.6326.612.2917.6011.4321.18AA+樣本量14—3—23均值154.2678.5168.13—66.22—78.40標(biāo)準(zhǔn)差0.0023.859.10—6.26—26.05評(píng)級(jí)機(jī)構(gòu)新世紀(jì)中誠(chéng)信國(guó)際聯(lián)合資信東方金誠(chéng)中證鵬元總樣本樣本總量651246693AAA樣本量338226473均值57.9760.7561.1171.2358.4161.47標(biāo)準(zhǔn)差13.0716.0825.1332.604.5920.73AA+樣本量32—220均值71.32102.09106.42—88.9996.60標(biāo)準(zhǔn)差5.9226.4915.47 0.3924.82市場(chǎng)表現(xiàn)研究報(bào)告5評(píng)級(jí)機(jī)構(gòu)新世紀(jì)中誠(chéng)信國(guó)際聯(lián)合資信東方金誠(chéng)中證鵬元總樣本樣本總量5492464AAA樣本量337226472均值59.1462.2964.2074.7860.95