Monthly Report on Credit Risk Trends of Chinese Listed Companies – July 2022

The market extended its rally from May to June of this year, and all sectors continued to post strong recoveries since May in terms of market-implied risks and returns. In particular, sectors including Consumer Discretionary and Communication Services, with their absolute risk in May climbing to the highest level this year, have experienced a risk inflection point, showing a clear downward trend this month.

Key highlights:

• Three sectors with the highest market-implied risks were Consumer Discretionary, Communication Services and Industrials, while three sectors with the lowest market-implied risks were Health Care, Information Technology and Real Estate.
• We have seen a number of negative news articles about Real Estate, and its risk did not decline in June like other sectors. Since the beginning of the year, Real Estate has demonstrated an upward trend in risks every month. Whether its risk continues to rise is worthy of attention.
• The rebound trend since May continued this month, with all sectors except Energy (-0.17%) posting a positive median return in June. Top-ranked sectors with the biggest growth in median returns included Information Technology (1.25%), Financials (0.89%) and Consumer Staples (0.86%).