搜索
走向“精耕细作”——2019年春季产业债投资策略证券分析师：孟祥娟A0230511090004研究支持：文晨昕A02301180600012019.03.27主要结论◼从行业超额利差变动把握市场机会：痛点在于违约风险的解除。机会（1）16年过剩产能行业基本面扭转：15-16年煤炭、钢铁、水泥、机械等是违约重灾区，16年中供给侧改革发力，行业触底上行，超额利差大幅下行100BPS左右。机会（2）18年8月开始AAA民企融资改善：18年再融资收紧，民企违约频发推高风险溢价；7月底政策开始发力，8月民企高等级净融资额转正，超额利差下行80BPS。◼19年违约核心矛盾转向盈利边际下行，低等级全面下沉仍需等待。经济承压大多数行业需求走弱，强周期性行业煤炭、有色、钢铁、港口、造纸景气下行；下游消费类休闲旅游、机场、航空运输、汽车需求走弱，医药受降价负面影响；商贸风险较大；公用将受益于煤炭价格下行；水泥、建筑受益于基建发力，机械设备继续置换周期，化工链关注石油价格变动影响；电气设备关注特高压建设、风电投资上行；地产景气一二线好于三四线。再融资方面，地产、综合、商贸、化工、有色中低等级到期量大；关注此类行业中低等级风险暴露。◼17年底之前违约债券本金偿付率为37%，违约后兑付核心仍在是否有优质资产。1）技术性违约暗含流动性压力，后续仍有违约暴露风险。2）自筹兑付主要关注可变现资产、公司偿付意愿。3）第三方救助关注企业优质资产，严重内控问题将影响壳资源价值4）央企母公司救助关注股权结构、子公司重要性、母公司能力等。18年大量上市民企违约，其中很多存在严重内部之类问题，包括大存大贷、实控人侵占资产、财务造假存疑等问题，此类兑付可能极低。◼违约常态化下产业债投资走向“精耕细作”，密切关注内控问题。19年违约风险防范仍是重点，特别是基本面偏弱行业的中低等级主体；内控问题关注母弱子强、大存大贷、盲目投资、隐性担保等。精耕细作关注两个角度：1）基本面较好的水泥、煤炭、钢铁、地产且中高等级仍有一定利差的进行挖掘；电气设备关注特高压龙头及风电龙头。2）筹资改善方向：从民企AAA向民企AA+发展，关注基本面本身较好的AA+民企。主要内容1.从超额利差看2个机会2.大多行业基本面下行3.违约压力核心转向盈利下行4.17年前违约偿付率37%5.低等级违约风险犹在，精选个券3把握产业债超额利差变动机会◼密切跟踪市场定价变化：超额利差◼违约风险预判：三维度排查尾部风险◼探寻投资机会：基本面上行驱动及筹资改善驱动的机会市场风险排查机会挖掘三维度市场定价追踪年开始利差走向分化◼信用债利差逻辑的转变：从同步变动到分化煤炭有色钢铁水泥电气机械建筑化工公用造纸电子港口航空机场地产汽车商贸休旅医药煤炭1.000.860.890.810.730.880.860.880.690.840.620.730.800.730.420.710.700.620.57有色0.861.000.880.930.930.970.990.980.860.950.810.870.800.860.700.890.890.840.84钢铁0.890.881.000.780.750.880.880.870.610.810.680.700.840.740.260.730.640.560.60水泥0.810.930.781.000.890.940.950.950.840.940.850.850.630.790.770.820.930.900.85电气0.730.930.750.891.000.910.930.930.870.900.780.820.700.840.860.900.910.880.86机械0.880.970.880.940.911.000.980.990.850.940.820.850.770.850.610.880.880.830.80建筑0.860.990.880.950.930.981.000.990.870.960.830.890.770.860.650.900.900.840.84化工0.880.980.870.950.930.990.991.000.870.960.820.870.750.850.670.880.910.860.83公用0.690.860.610.840.870.850.870.871.000.870.690.930.630.830.680.900.920.870.87造纸0.840.950.810.940.900.940.960.960.871.000.820.890.670.800.730.860.930.860.88电子0.620.810.680.850.780.820.830.820.690.821.000.720.490.720.560.730.820.750.76港口0.730.870.700.850.820.850.890.870.930.890.721.000.630.800.590.900.880.790.84航空0.800.800.840.630.700.770.770.750.630.670.490.631.000.730.290.720.560.470.53机场0.730.860.740.790.840.850.860.850.830.800.720.800.731.000.470.840.770.750.69地产0.420.700.260.770.860.610.650.670.680.730.560.590.290.471.000.560.900.870.77汽车0.710.890.730.820.900.880.900.880.900.860.730.900.720.840.561.000.850.790.82商贸0.700.890.640.930.910.880.900.910.920.930.820.880.560.770.900.851.000.950.92休旅0.620.840.560.900.880.830.840.860.870.860.750.790.470.750.870.790.951.000.86医药0.570.840.600.850.860.800.840.830.870.880.760.840.530.690.770.820.920.861.00煤炭有色钢铁水泥电气机械建筑化工公用造纸电子港口航空机场地产汽车商贸休旅医药煤炭1.000.240.980.960.220.700.130.060.00-0.18-0.220.05-0.50-0.55-0.61-0.31-0.55-0.04-0.47有色0.241.000.280.350.570.510.650.640.560.550.530.440.230.150.330.470.410.580.43钢铁0.980.281.000.970.340.780.230.150.12-0.08-0.110.06-0.40-0.45-0.53-0.23-0.470.06-0.37水泥0.960.350.971.000.370.770.280.200.17-0.06-0.090.04-0.35-0.43-0.50-0.20-0.430.08-0.33电气0.220.570.340.371.000.830.940.930.940.880.860.500.590.480.560.720.610.890.72机械0.700.510.780.770.831.000.710.660.660.510.490.310.150.070.030.330.100.620.24建筑0.130.650.230.280.940.711.000.970.930.910.900.570.660.590.650.740.720.930.77化工0.060.640.150.200.930.660.971.000.940.940.920.590.680.590.730.770.780.930.82公用0.000.560.120.170.940.660.930.941.000.910.910.490.700.620.690.810.750.910.82造纸-0.180.55-0.08-0.060.880.510.910.940.911.000.980.590.760.680.840.890.880.940.94电子-0.220.53-0.11-0.090.860.490.900.920.910.981.000.540.820.770.840.870.900.950.93港口0.050.440.060.040.500.310.570.590.490.590.541.000.200.220.470.630.490.550.49航空-0.500.23-0.40-0.350.590.150.660.680.700.760.820.201.000.930.840.650.890.730.82机场-0.550.15-0.45-0.430.480.070.590.590.620.680.770.220.931.000.790.590.840.700.75地产-0.610.33-0.53-0.500.560.030.650.730.690.840.840.470.840.791.000.790.970.710.92汽车-0.310.47-0.23-0.200.720.330.740.770.810.890.870.630.650.590.791.000.830.810.90商贸-0.550.41-0.47-0.430.610.100.720.780.750.880.900.490.890.840.970.831.000.800.95休旅-0.040.580.060.080.890.620.930.930.910.940.950.550.730.700.710.810.801.000.84医药-0.470.43-0.37-0.330.720.240.770.820.820.940.930.490.820.750.920.900.950.841.0010-15年底超额利差相关系数普遍超过0.816-18年超额利差相关系数矩阵明显分化年开始利差走向分化◼信用债利差逻辑的转变：从同步变动到分化◼受11年城投风险事件影响超额利差普遍上行◼12年大幅回落，此后震荡上行除煤炭外10-15年超额利差走势基本一致年开始利差走向分化◼钢铁、煤炭、水泥16年冲高后明显回落，基本面扭转，违约风险大幅降低◼18年地产、建筑、化工、医药、商贸等持续上行16年以来行业超额利差走势明显分化背后的原因主要是对违约的担忧◼14年开始出现违约，违约担忧推高风险溢价◼16年是首次大的违约潮，经济持续放缓背景下过剩产能行业经营持续恶化最终违约为主◼18年外部融资收紧叠加到期高峰引起新一轮违约高潮资料来源：申万宏源研究16年是首个违约大年0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%05101520253035404550201420152016201720182019/3/10首次违约主体数量违约率：16年中过剩产能行业利差大幅下降◼15年底开始供给侧改革，过剩产能行业边际开始改善◼16年上半年由于过剩产能行业违约大量爆发超额利差收窄略微滞后于基本面改善资料来源：申万宏源研究资料来源：申万宏源研究钢材价格与钢铁超额利差16年上半年采掘、机械、钢铁大量违约5060708090100110120130140050100150200250钢铁超额利差算术平均钢铁价格综合指数（右轴）