城投新論(十八)：化債新周期城投債“情緒價(jià)值”到“供給價(jià)值”

內(nèi)容目錄一、城投債供給價(jià)值的宏觀脈—供需錯(cuò)配下的供給價(jià)值 41、城投債發(fā)審趨嚴(yán)，凈供給趨勢性回落 42、收益率下行速度快，合意資產(chǎn)供給不足 4二、以津城建為代表的主體債券三維度改善是城投債供給價(jià)值的微觀體現(xiàn) 41、津城建短債滾續(xù)壓力減輕 42、津城建存量債券不斷壓縮 6三、未來，仍將是供給決定價(jià)格 61、2024年城投債供給或?qū)⑦M(jìn)一步放緩 62、供給收縮下，哪些區(qū)域及主體具有供給價(jià)值？ 73、城投債金邊屬性依然較強(qiáng)，拉久期或成為供給價(jià)值下的被動(dòng)選擇 11四、風(fēng)險(xiǎn)提示 12圖表目錄圖表1：近兩年凈融資縮量 4圖表2：協(xié)會(huì)債與交易所債完成注冊(cè)和通過情況 4圖表3：存量估值3以上公募城投債大幅壓縮 4圖表4：公募固定收益類理財(cái)業(yè)績比較基準(zhǔn)仍高于3 4圖表5：津城建新發(fā)債券超短融占比與發(fā)/到期比例 5圖表6：永煤事件后津城建發(fā)債超短融占比開始走高 5圖表7：津城建信用利差與短融滾續(xù)壓力復(fù)盤 5圖表8：2023年下半年津城建債券融資結(jié)構(gòu)好轉(zhuǎn) 6圖表9：津城建分券種認(rèn)購倍數(shù) 6圖表10：2021年以來津城建呈現(xiàn)凈償還 6圖表11：津城建存量債券變化 6圖表12：城投債四種到期類型占比 7圖表13：城投債月度回售比例 7圖表14：回售城投債調(diào)降票面利率的比例不斷提升 7圖表15：2024年城投債到期回售金額及增速預(yù)測 7圖表16：各省具有供給價(jià)值地市數(shù)量 8圖表17：重點(diǎn)與非重點(diǎn)省份中有供給價(jià)值地市數(shù)量 8圖表18：適合投資者挖掘并且具有供給價(jià)值的地市（單位：億元） 8圖表19：各省具有供給價(jià)值區(qū)縣數(shù)量 9圖表20：重點(diǎn)與非重點(diǎn)省份中有供給價(jià)值區(qū)縣數(shù)量 9圖表21：適合投資者挖掘并且具有供給價(jià)值的區(qū)縣（單位：億元） 9圖表22：各省具有供給價(jià)值城投數(shù)量 10圖表23：有供給價(jià)值城投分布情況 10圖表24：適合投資者挖掘并且具有供給價(jià)值的主體（節(jié)選） 10圖表25：今年以來中長期限城投債發(fā)行占比提升 12圖表26：中長期城投債獲較高認(rèn)購倍數(shù) 12圖表27：今年中長期限城投債日均成交筆數(shù)明顯提升 12圖表28：5年以上城投債低估值成交幅度高于平均水平 12一、城投債供給價(jià)值的宏觀脈絡(luò)—供需錯(cuò)配下的供給價(jià)值1、城投債發(fā)審趨嚴(yán)，凈供給趨勢性回落圖表1：近兩年凈融資縮量 圖表2：協(xié)會(huì)債與交易所債完成注冊(cè)和通過情況（億元）0

2017 2018 2019 2020 2021 2022

120%協(xié)會(huì)債完成注冊(cè)協(xié)會(huì)債完成注冊(cè)占比，右協(xié)會(huì)債完成注冊(cè)協(xié)會(huì)債完成注冊(cè)占比，右公司債注冊(cè)通過交易所債注冊(cè)通過占比，右80%60%40%20%0%來源：， 來源：企業(yè)預(yù)警通，2、收益率下行速度快，合意資產(chǎn)供給不足3圖表3：存量估值3以上公募城投債大幅壓縮 圖表4：公募固定收益類理財(cái)業(yè)績比較基準(zhǔn)仍高于3（億元）200,0000

(2,3] (3,4] (4,5] 5%以上 合計(jì) 3%以上占比，右120%100%80%60%40%20%0%2018 2019 2020 2021 2022 2023 目前來源：，（注：為剔除理財(cái)贖回潮影響，2022年以11月10 來源：中國理財(cái)網(wǎng)日存量債券為基礎(chǔ)計(jì)算，其余年份均以全年最后一個(gè)交易日存量債券計(jì)算）二、以津城建為代表的主體債券三維度改善是城投債供給價(jià)值的微觀體現(xiàn)1、津城建短債滾續(xù)壓力減輕作為本輪行情的風(fēng)向標(biāo)，津城建的供給價(jià)值主要體現(xiàn)為供需緊平衡和短融滾續(xù)壓力減輕兩20202021圖表5：津城建新發(fā)債券超短融占比與發(fā)行/到期比例 圖表6：永煤事件后津城建發(fā)債超短融占比開始走高來源：， 來源：，圖表7：津城建信用利差與短融滾續(xù)壓力復(fù)盤（bp） 信用利差 加權(quán)平票面永煤事件-6永煤事件-6月懇談會(huì)202109-3月懇談會(huì)202103-理財(cái)贖回潮前贖回潮-次年4月高度依賴超短融滾續(xù)短久期滾超短融占比保持超短融占比顯著下降票面利率和利差升高續(xù)略好轉(zhuǎn)高位 信用利差修復(fù)票面利率和利差升高202304至今比提升信用利差和票面利率下降超短融占比大幅提升信用利差和票面利率沖高0

（%）876543210來源：DM，2、356920223202352（含超短11+120600bp100bp。2022-011.171.002023-070.830.612022-021.412023-082.1623.562022-031.941.232023-091.432022-011.171.002023-070.830.612022-021.412023-082.1623.562022-031.941.232023-091.431.341.182022-042.982.182.502023-101.461.611.912022-052.041.531.882023-111.3920.482022-061.141.321.262023-121.352022-071.501.302024-012.831.862022-081.301.182024-022.673.982022-091.081.042024-031.142022-101.082022-111.321.002022-121.002023-011.001.002023-021.002023-031.001.022023-041.061.032023-051.021.131.002023-061.001.00月份一般短期融資券超短期融資債券中期票據(jù)月份一般短期融資券超短期融資債券中期票據(jù)來源：， 來源：，2、津城建存量債券不斷壓縮此外，20212021334202017711342預(yù)計(jì)年底通過特殊再融資債償還后余額僅剩1000億元左右。存量債券的壓縮緩釋了債券滾續(xù)壓力，供需結(jié)構(gòu)改善推動(dòng)估值向下修復(fù)。圖表10：2021年以來津城建呈現(xiàn)凈償還 圖表11：津城建存量債券變化（億元） 發(fā)行 到期 凈融資，右5000-500

（億元）4003002001000-100

（億元）18001600140012001000800600400200-2000

2019 2020 2021 2022 2023

-200

02019 2020 2021 2022 2023 目前來源：， 來源：，三、未來，仍將是供給決定價(jià)格1、2024年城投債供給或?qū)⑦M(jìn)一步放緩20242023202310Q11.23.34.5800600400200800600400200080%70%60%50%40%30%20%10%0%90%80%70%60%50%40%30%20%10%

到期 回售 贖回 本金提前兌付2018 2019 2020 2021 2022 2023 2024Q1

（億元） 回售金額 回售比例，右來源：， 來源：，202381250，可能是由于彼時(shí)投資者情緒6090001.220245.72023圖表14：回售城投債調(diào)降票面利率的比例不斷提升 圖表15：2024年城投債到期回售金額及增速預(yù)測來源：， 來源：，2、供給收縮下，哪些區(qū)域及主體具有供給價(jià)值？2024-20262021-20232023202132基于上述指標(biāo)共篩選出90個(gè)有供給價(jià)值的地市，其中來自重點(diǎn)省份和非重點(diǎn)省份地市分2169圖表16：各省具有供給價(jià)值地市數(shù)量 圖表17：重點(diǎn)與非重點(diǎn)省份中有供給價(jià)值地市數(shù)量非重點(diǎn)省份,69重點(diǎn)省份,21重點(diǎn)省份 非重點(diǎn)省份非重點(diǎn)省份,69重點(diǎn)省份,21來源：， 來源：，25圖表18：適合投資者挖掘并且具有供給價(jià)值的地市（單位：億元）省份地市21年到期占比22年到期占比23年到期占比24年到期占比25年到期占比26年到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速公募債存量公募債估值甘肅蘭州市34.80%54.79%89.34%29.97%45.50%0.00%59.64%25.16%-21.71%-51.24%-72.45%25.505.35%山東棗莊市46.67%31.44%58.19%34.46%35.42%16.90%45.44%28.92%4.38%-19.53%0.71%25.604.41%四川巴中市25.05%45.81%44.73%49.68%28.59%21.73%38.53%33.33%18.53%-5.16%-1.64%48.944.36%河南鶴壁市14.69%84.04%45.79%65.63%29.28%5.09%48.17%33.33%1.51%-10.79%-6.32%30.003.91%廣西柳州市26.41%26.76%66.85%37.00%36.80%23.10%40.01%32.30%22.78%-9.09%-12.62%248.493.57%山東濰坊市23.62%29.04%41.99%44.94%38.73%7.38%31.55%30.35%13.21%8.28%-0.48%500.093.52%湖南張家界28.39%17.29%42.96%35.84%3.93%38.99%29.55%26.25%9.46%11.82%-1.72%74.803.45%陜西渭南市19.90%42.08%40.51%41.23%40.85%9.11%34.16%30.40%20.47%-10.34%6.85%59.203.19%山東濟(jì)寧市26.29%41.40%38.08%46.67%39.64%10.65%35.26%32.32%17.34%-0.14%13.39%321.473.17%云南昆明市26.66%44.65%57.16%82.80%14.24%1.73%42.82%32.92%26.23%-8.64%-3.23%477.283.17%湖北孝感市32.02%25.07%25.57%21.87%35.46%16.11%27.55%24.48%24.64%5.92%12.22%136.003.12%河南開封市30.65%41.62%38.83%44.81%38.06%10.25%37.03%31.04%88.03%46.66%27.39%81.303.11%四川綿陽市34.25%35.65%27.85%36.47%31.62%25.74%32.58%31.27%-4.99%-2.36%-4.81%165.103.10%湖北隨州市36.26%12.86%53.73%27.86%72.14%0.00%34.29%33.33%11.07%30.41%8.50%52.983.08%寧夏銀川市22.69%10.84%74.09%46.58%31.88%21.53%35.87%33.33%-3.44%1.47%-0.14%76.403.05%湖南湘潭市29.56%55.81%31.87%35.94%36.33%26.35%39.08%32.87%-26.73%-20.65%-31.94%27.403.02%湖南株洲市28.04%28.26%37.84%44.24%36.44%13.37%31.38%31.35%10.12%-0.82%3.59%428.073.02%江西鷹潭市21.10%32.94%51.06%47.96%35.25%12.83%35.03%32.01%47.09%16.18%11.56%83.342.99%湖北黃石市23.83%31.16%48.50%50.89%37.60%3.25%34.50%30.58%38.24%20.59%9.22%371.522.96%四川瀘州市20.73%24.10%33.44%33.71%24.17%19.48%26.09%25.79%18.98%-3.96%1.39%188.652.96%河南焦作市30.36%19.05%52.27%36.94%40.83%22.23%33.89%33.33%41.34%32.97%20.86%35.802.94%黑龍江哈爾濱25.80%44.22%30.74%38.74%50.59%10.67%33.59%33.33%-12.35%19.24%-9.99%59.002.90%河南信陽市43.83%50.41%52.85%71.43%28.57%0.00%49.03%33.33%17.43%-6.17%-34.64%30.002.83%山西臨汾市77.43%50.63%41.81%73.37%22.53%4.10%56.62%33.33%-13.41%-10.09%36.10%47.002.83%青海西寧市37.94%49.86%42.18%84.79%15.21%0.00%43.33%33.33%13.45%-16.88%-28.86%33.402.81%來源：，具有供給價(jià)值的區(qū)縣多來自非重點(diǎn)省份，集中分布于江蘇、山東和浙江；重點(diǎn)省份中，重慶、貴州和天津具有供給價(jià)值的區(qū)縣較多。圖表19：各省具有供給價(jià)值區(qū)縣數(shù)量 圖表20：重點(diǎn)與非重點(diǎn)省份中有供給價(jià)值區(qū)縣數(shù)量50454035302520151050江山浙蘇東江

重貴湖慶州北

天湖四河新津南川南疆

安北廣徽京東

江福上遼廣西建海寧西

重點(diǎn)省份 非重點(diǎn)省份非重點(diǎn)省份非重點(diǎn)省份,116重點(diǎn)省份,27來源：， 來源：，考慮到區(qū)縣與地市的規(guī)模差異，我們要求區(qū)縣公募債存量不低于10億元，其他篩選指標(biāo)38省份地市省份地市區(qū)縣21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募債公募債估值貴州遵義市仁懷市23.88%17.35%42.67%31.28%44.05%3.14%27.97%26.16%26.50%-3.49%-13.83%23.706.07%山東淄博市臨淄區(qū)27.44%25.64%49.22%43.72%56.28%0.00%34.10%33.33%13.72%6.64%-30.13%16.804.55%山東泰安市肥城市48.64%0.00%0.00%37.50%0.00%0.00%16.21%12.50%-7.39%-36.97%166.67%10.004.46%山東棗莊市滕州市61.49%20.21%71.11%26.51%32.33%23.09%50.94%27.31%-2.17%-20.21%10.67%25.604.41%山東威海市文登區(qū)21.90%26.28%32.75%23.06%21.03%8.49%26.98%17.53%12.30%-7.69%-8.42%62.604.19%山東泰安市新泰市0.00%29.41%50.63%26.09%43.48%1.09%26.68%23.55%183.33%16.18%16.46%18.004.08%湖北荊州市公安縣0.00%0.00%9.29%0.00%0.00%0.00%3.10%0.00%-10.92%32.08%-20.71%11.103.85%河南許昌市禹州市31.57%0.00%12.22%14.11%0.00%1.24%14.60%5.12%-38.12%-2.19%-27.80%12.183.79%重慶-銅梁區(qū)27.14%14.93%43.59%22.55%36.14%10.59%28.55%23.09%12.70%18.49%4.53%38.643.77%重慶-酉陽縣18.18%0.00%62.11%0.00%41.56%0.00%26.76%13.85%-22.42%25.78%-4.35%12.803.74%山東威海市乳山市39.50%43.08%42.21%39.42%31.18%29.40%41.60%33.33%0.13%-1.85%-1.88%27.973.74%江蘇鹽城市響水縣0.00%40.97%39.16%9.04%12.65%30.12%26.71%17.27%48.45%15.28%0.00%16.003.67%山東聊城市東昌府區(qū)27.16%38.00%43.41%79.87%12.63%0.00%36.19%30.84%50.86%32.29%0.86%12.503.51%天津-西青區(qū)57.21%39.50%27.32%59.00%23.50%17.50%41.34%33.33%-10.10%-3.80%-31.27%15.803.42%重慶-大足區(qū)27.57%35.52%36.81%66.28%22.75%0.00%33.30%29.68%22.46%9.36%-17.97%102.753.37%湖南岳陽市湘陰縣33.71%12.66%32.00%31.71%29.27%14.63%26.12%25.20%-11.24%-5.06%9.33%10.003.36%山東濟(jì)寧市任城區(qū)21.18%52.04%38.25%45.19%31.21%12.64%37.15%29.68%19.22%-11.48%5.25%32.943.34%重慶-綦江區(qū)31.93%35.95%27.72%43.88%22.82%15.77%31.87%27.49%20.50%2.29%3.16%113.773.32%江蘇徐州市睢寧縣13.47%21.22%41.00%27.86%16.68%17.97%25.23%20.84%126.26%3.58%24.00%59.483.29%山東青島市李滄區(qū)19.91%47.11%35.39%82.33%17.67%0.00%34.14%33.33%56.67%1.34%2.06%67.753.25%江蘇淮安市金湖縣6.64%30.31%47.43%16.23%55.38%0.00%28.13%23.87%43.84%-13.51%-6.10%10.203.22%湖北宜昌市宜都市30.95%13.47%19.76%22.70%26.97%5.39%21.39%18.35%-8.10%29.79%-11.18%35.703.22%湖北-仙桃市11.49%0.00%50.76%15.80%24.13%0.00%20.75%13.31%100.57%-5.16%25.23%24.903.13%江蘇鹽城市射陽縣28.51%22.79%46.80%5.56%64.99%20.08%32.70%30.21%33.47%4.58%-11.55%15.223.12%湖南郴州市北湖區(qū)57.95%0.00%53.40%51.96%19.66%28.38%37.12%33.33%-13.79%5.06%-2.24%34.153.09%省份地市區(qū)縣21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募債公募債估值湖南株洲市天元區(qū)27.33%37.98%40.58%50.74%39.15%10.11%35.30%33.33%-0.59%-10.25%19.03%139.203.09%江蘇連云港連云區(qū)34.84%50.91%36.70%58.85%11.27%29.88%40.82%33.33%12.70%-10.84%2.22%17.923.04%湖北恩施州恩施市14.44%0.00%5.23%19.49%0.00%0.00%6.55%6.50%2.76%44.19%-13.64%19.503.03%重慶-開州區(qū)14.39%30.72%47.30%40.89%31.95%10.00%30.80%27.61%16.95%14.42%5.14%30.002.98%江蘇徐州市新沂市32.30%43.75%37.70%40.51%22.65%26.05%37.92%29.74%-2.51%13.71%-1.66%36.182.96%江蘇淮安市盱眙縣0.00%37.10%12.73%0.00%33.19%0.00%16.61%11.06%-5.56%24.43%-14.55%15.702.92%安徽亳州市利辛縣100.00%28.00%0.00%37.68%15.23%0.00%42.67%17.63%190.70%-8.60%39.39%15.002.90%江蘇鎮(zhèn)江市句容市35.23%32.93%61.26%29.91%26.88%30.16%43.14%28.98%11.83%0.10%2.85%30.102.87%江蘇徐州市邳州市49.43%29.95%50.62%56.14%27.49%16.38%43.34%33.33%26.64%-3.91%-29.38%28.862.87%天津-靜海區(qū)43.55%34.20%48.86%63.22%29.51%7.27%42.20%33.33%17.90%-7.05%15.45%23.702.86%江蘇鎮(zhèn)江市揚(yáng)中市15.30%58.77%27.49%24.86%7.77%11.10%33.86%14.58%-1.43%-21.11%-5.46%31.352.86%江蘇鹽城市建湖縣27.38%68.90%39.36%44.25%26.29%13.87%45.21%28.14%10.61%-7.25%0.76%27.182.86%來源：，

158圖表22：各省具有供給價(jià)值城投數(shù)量 圖表23：有供給價(jià)值城投分布情況2502001501000

江浙山四重湖湖江河陜安貴廣天廣新云福上山北河黑吉甘青內(nèi)寧西遼蘇江東川慶南北西南西徽州東津西疆南建海西京北龍林肅海蒙夏藏寧

100%90%80%70%60%50%40%30%20%10%0%

重點(diǎn)省份非重點(diǎn)省份省級(jí)地市級(jí)區(qū)縣級(jí)園區(qū)級(jí)AAAAA+AA及以下江 古 是否重點(diǎn)省份 主體評(píng)級(jí) 行政級(jí)別來源：， 來源：，52.857、81016省份主體省份主體行政級(jí)別21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募債公募債估值甘肅城投1地市級(jí)35.38%53.68%66.67%100.00%0.00%0.00%51.91%33.33%9.62%-53.68%-66.67%11.006.95%重慶城投2區(qū)縣級(jí)55.56%79.27%26.09%12.16%59.57%0.00%53.64%23.91%7.22%66.84%2.17%19.804.50%重慶城投3園區(qū)級(jí)78.26%23.90%20.19%59.60%40.40%0.00%40.78%33.33%47.83%13.79%-4.04%22.404.17%甘肅城投4地市級(jí)0.00%12.77%86.50%0.00%49.15%0.00%33.09%16.38%0.00%0.85%-25.32%14.504.13%貴州城投5園區(qū)級(jí)22.88%58.20%46.87%28.51%57.35%14.14%42.65%33.33%-6.18%-3.89%-42.63%69.684.03%陜西城投6地市級(jí)25.00%27.78%72.22%57.26%27.35%15.38%41.67%33.33%35.00%0.00%8.33%15.423.76%四川城投7地市級(jí)35.16%64.72%59.43%48.23%35.33%16.45%53.10%33.33%10.35%-6.68%3.79%26.243.61%廣西城投8地市級(jí)22.78%35.36%76.11%30.25%37.18%26.65%44.75%31.36%1.23%-10.23%-23.78%65.673.59%浙江城投9區(qū)縣級(jí)0.00%44.35%60.34%42.12%35.90%21.98%34.90%33.33%118.13%-35.01%-21.55%14.803.49%省份主體行政級(jí)別21到期占比22到期占比23到期占比24到期占比25到期占比26到期占比21-23到期占比均值24-26到期占比均值21存量增速22存量增速23存量增速存量公募債公募債估值廣西城投10地市級(jí)25.68%22.95%60.66%29.67%45.69%24.65%36.43%33.33%48.50%-8.76%-1.16%62.113.49%湖北城投11地市級(jí)15.28%37.56%48.62%32.34%40.89%0.00%33.82%24.41%2.39%-30.05%-21.92%29.803.44%湖南城投12地市級(jí)37.45%24.62%57.47%45.87%0.00%26.61%39.85%24.16%1.39%19.02%-12.30%61.303.43%江蘇城投13地市級(jí)48.93%25.82%55.54%44.82%9.96%31.27%43.43%28.69%-4.28%-5.16%-8.89%13.103.40%重慶城投14區(qū)縣級(jí)29.85%61.47%14.75%32.31%35.38%20.00%35.36%29.23%62.69%11.93%6.56%23.003.33%重慶城投15區(qū)縣級(jí)51.62%39.94%27.52%80.29%2.07%0.00%39.69%27.45%1.66%39.51%-27.52%28.003.28%陜西城投16園區(qū)級(jí)18.03%58.50%73.87%69.39%30.61%0.00%50.13%33.33%25.12%-2.93%19.30%87.003.27%云南城投17地市級(jí)3.52%48.12%53.58%50.46%37.17%0.00%35.08%29.21%5.87%-27.93%-37.76%74.803.23%湖北城投18地市級(jí)0.00%28.57%64.29%41.63%17.55%0.00%30.95%19.73%180.00%0.00%75.00%24.903.19%湖北城投19區(qū)縣級(jí)11.49%0.00%50.76%15.80%24.13%0.00%20.75%13.31%100.57%-5.16%25.23%24.903.13%河北城投20地市級(jí)53.94%44.40%66.68%65.93%25.89%8.18%55.01%33.33%13.24%22.27%11.87%91.343.03%山東城投21地市級(jí)25.00%38.18%44.62%57.75%42.25%0.00%35.93%33.33%37.50%18.18%9.23%66.003.01%云南城投22地市級(jí)0.00%54.24%66.94%100.00%0.00%0.00%40.39%33.33%36.07%1.62%1.95%72.413.00%天津城投23省級(jí)53.74%32.80%59.30%54.63%38.76%1.40%48.61%31.60%-46.57%-10.28%56.13%189.603.00%湖南城投24園區(qū)級(jí)27.35%40.35%43.00%43.60%43.68%12.71%36.90%33.33%-6.89%-10.00%38.72%105.902.99%黑龍江城投25地市級(jí)47.06%88.53%44.05%78.57%21.43%0.00%59.88%33.33%-14.51%4.13%-22.91%40.002.98%四川城投26區(qū)縣級(jí)28.18%57.22%59.10%35.20%37.52%27.29%48.17%33.33%10.26%-28.34%9.40%32.802.97%湖南城投27地市級(jí)21.58%43.23%57.45%100.00%0.00%0.00%40.75%33.33%11.51%-9.03%-9.93%27.592.95%浙江城投28區(qū)縣級(jí)23.67%46.88%19.22%29.07%41.72%0.00%29.92%23.60%15.15%-16.92%-28.83%13.502.94