新世纪评级-2022年度非金融企业债务融资工具利差分析

研究12022年度非金融企业债务融资工具利差分析家楠增A1)。债券类型发行量发行规模发行量(期)同比(%)发行规模(亿元)同比(%)超短期融资券4,395-3.7944,236.88-5.65一般短期融资券555-4.645,114.80-2.50中期票据2,648+4.0527,962.60+11.20合计7,59877,314.28+0.04世纪评级整理融资券(1489期)、1年期一般短期融资券(462期)和3年期中期票据(1403。和中期票据。研究2二、非金融企业债务融资工具利率、利差与信用等级的对应关系2022年，非金融企业债务融资工具的发行定价较好地反映了信用等级的差差均值均低于同期限低信用等级的发行利率、发行利差均值(图表2)。各券种图表3)。债券类型主体信用等级样本数发行利率(%)发行利差(BP)均值标准差均值级差标准差变异系数270天超短期融资券AAA6951.49-6.502.420.7550.19NR72.10AA+5951.80-7.603.07113.5463.350.98AA1.98-7.003.77183.3769.83.230.621年期一般短期融资券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年期中期票据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世纪评级整理债券类型主体信用等级样本数上市首日利率(%)交易利差(BP)均值标准差均值级差标准差变异系数270天超短期融资券AAA6712.95103.57NR120.88AA+5823.70177.1373.56167.050.94AA1.78-25.484.542.20259.9282.79223.930.861年期一般短期融资券AAA2.20-6.993.99202.75NR134.070.66AA+207.664.69271.4568.70181.150.67AA2.79-9.894.91290.8219.37.890.403年期中期票据AAA658.173.750.86139.93NR85.80.61AA+533.994.320.96195.9656.0396.660.49AA2.92-8.374.87251.3455.38107.280.43注：交易利差为超短期融资券的上市首日利率减去与超短期融资券上市日、同期限的中债国债到期收世纪评级整理非金融企业债务融资工具利差的影响因素分析为检验主体信用等级及评级机构是否对非金融企业债务融资工具利差有影研究3(一)主体信用等级对利差的影响UMann-WhitneyU检验类别AAA与AA+AAA与AAAAAA270天超短期融资券发行利差0.0000.0000.000交易利差0.0000.0000.0001年期一般短期融资券发行利差0.0010.0000.002交易利差0.0000.0000.0033年期中期票据发行利差0.0000.0000.000交易利差0.0000.0000.000类别AAA与AA+AAA与AAAAAA270天超短期融资券发行利差0.0000.0000.000交易利差0.0000.0000.0001年期一般短期融资券发行利差0.0170.0000.454交易利差0.0000.0000.1393年期中期票据发行利差0.0000.0000.021交易利差0.0000.0000.101A(二)信用评级机构对利差的影响天超短期融资券研究4高，发行利差、交易利差越小(图表6~7)。评级机构新世纪中诚信国际联合资信大公东方金诚远东资信中证鹏元总样本样本总量25858139497152493AAA样本量793072182651-697均值36.6745.5958.7475.8456.65-23.7350.12标准差31.3272.8976.5980.487.25-15.3872.01AA+样本量5444126597均值93.16105.49132.39107.14131.57139.92162.78.62标准差101.698.64131.91101.93.57-120.54AA样本量437836-均值179.21166.54182.96181.08232.79-263.69183.37标准差127.3597.65106.72.24-.81.23纪评级整理。评级机构新世纪中诚信国际联合资信大公东方金诚远东资信中证鹏元总样本样本总量25256538196155454AAA样本量773012092646-673均值73.3897.77107.58161.38129.67-127.00103.27标准差83.54102.03156.6120.56-9120.83AA+样本量5344131584均值136.39176.69207.97177.84179.05375.61201.13176.84标准差.55168.24194.46202.08120.26-178.9166.85AA样本量437835-均值261.61222.04231.44295.28352.13-458.66259.92标准差186.76141.22140.86140.86224.26-664.22223.93纪评级整理。研究52.1年期一般短期融资券随主体信用等级的升高而降低(图表8~9)。评级机构新世纪中诚信国际联合资信大公东方金诚中证鹏元总样本样本总量67313820464AAA样本量8467691均值53.78108.39143.92141.2286.3425.58123.43标准差13.99105.0898.736.1135.38099.04AA+样本量4459512020209均值189.54166.16180.97147.47165.32121.56169.63标准差160.07140.58145.3122.3486.43139.22AA样本量4036284均值193.59156.67193.86.69332.56170.43187.84标准差141.8578.6.4415.8775.7457.43纪评级整理评级机构新世纪中诚信国际联合资信大公东方金诚中证鹏元总样本样本总量67313820455AAA样本量8427491均值90.18163.14236.81207.19215.5379.86202.75标准差42.1298.8147.88147.1590.02-134.07AA+样本量4458512020208均值294.24277.73265.61256.57266.46223.54271.22标准差202.47239.92147.4285.83105.3785.24180.75AA样本量4034284均值328.99274.06275.97273.45356.78329.55291.26标准差170.1873.89128.6762.7254.93128.5.41纪评级整理研究6显著差异。3.3年期中期票据交易利差均随主体信用等级的升高而降低(图表10~11)。评级机构新世纪中诚信国际联合资信大公东方金诚远东资信中证鹏元总计样本总量231513403355413AAA样本量9528321930371676均值82.7478.0990.4161.6283.4062.6965.9682.08标准差38.7550.9460.528.2680.89-20.454.19AA+样本量975850135546均值.41126.20134.92123.44150.89471.70176.86132.91标准差67.9978.1580.869.8695.61-98.8982.15AA样本量3966432119均值127.25199.77182.12244.58248.86192.66166.77187.61标准差45.31.9988.65121.75158.74-87.41.72纪评级整理评级机构新世纪中诚信国际联合资信大公东方金诚远东资信中证鹏元总计样本总量229504392354390AAA样本量9527721230371663均值139.22136.90148.13.88148.60109.34108.85139.88标准差53.4981.83102.1944.34102.34-38.9385.59AA+样本量975750134538均值181.96189.37190.49210.12217.3478