城投债利差动态跟踪：城投债：继续拉久期下沉-20231231-天风证券-12页_641kb

Fixed Income Report Summary: Credit Spreads of Local Government Bonds

Key Findings

• Date: December 31, 2023
• Market Conditions: The funds market remained loose, causing overall declines in urban investment-grade (CGO) bond yields. Credit bond yield decreases were generally broader than those of concurrent Treasury bonds.
• Short-End Behavior: Short-term credit bonds underperformed interest rates, resulting in wider credit spreads.
• Duration Extension: Institutions continued pulling duration, driving down medium and long-end spread differences.
• Spread Changes: Overall credit spread widened to 9927bp (up 154bp from December 22). Spreads for AAA, AA+, and AA rated bonds increased by 62bp, 167bp, and 214bp respectively.

Provincial Analysis

• Spread Distribution: Spreads categorized into five tiers:
  • Tier 3 (200-300bp): Guizhou, Liaoning, Yunnan.
  • Tier 4 (100-200bp): Includes provinces like Heilongjiang, Guangxi, Sichuan, and others.
  • Tier 5 (<100bp): Notable provinces include Guangdong, Jiangsu, Shandong, and more.
• Spread Changes: Largest increases: Guizhou (+3274bp), Henan, Sichuan. Largest decreases: Heilongjiang (-2649bp), Yunnan, Liaoning.
• Data Highlights: Significant regional disparities, with some provinces seeing sharp spread movements.

Risk and Disclaimer

• Risk: Sample bonds may not fully represent all market conditions.
• Disclaimer: This report is for informational purposes only and does not constitute investment advice.