固定收益定期报告：5月14日信用债异常成交跟踪

本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 1 2024年5月14日 5月14日信用债异常成交跟踪 固定收益定期报告 根据Wind数据，折价成交个券中，“16联想02”债券估值价格偏离幅度较大。净价上涨成交个券中，“21万科06”估值价格偏离程度靠前。净价上涨成交二永债中，“23光大二级资本债01B”估值价格偏离幅度较大；净价上涨成交商金债中，“22浙商银行小微债03”估值价格偏离幅度靠前。成交收益率高于10%的个券中，地产债排名靠前。 信用债估值收益变动主要分布在[-5,0)区间。非金信用债成交期限主要分布在2至3年，其中0.5年内品种折价成交占比最高；二永债成交期限主要分布在4至5年，其中1年内品种折价成交占比最高。分行业看，通信行业债券平均估值价格偏离最大。 风险提示：统计出现遗漏，高估值个券出现信用风险。 证券研究报告 尹睿哲 分析师 SAC执业证书编号：S1450523120003 yinrz@essence.com.cn 李豫泽 分析师 SAC执业证书编号：S1450523120004 liyz9@essence.com.cn 999563329 固定收益定期报告 本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 2 表1：折价成交跟踪 简称剩余期限(年)估值价格偏离(%)估值净价（元）估值收益率偏离(bp)估值收益率(%)前一日估值收益率(%)隐含评级主体评级行业成交规模（万元）16联想022.14-0.2498.6312.375.285.16A+AAA计算机99524市中024.95-0.19100.024.504.874.83AA-AA城投700124市中014.85-0.18100.414.204.854.81AA-AA城投105123平发042.47-0.08104.153.082.662.63AA(2)AA+城投208124通顺交投MTN0014.95-0.0899.721.662.912.89AA(2)AA+城投397821工投030.63-0.07102.479.583.613.51AA-AA城投81924济运024.81-0.0798.731.684.304.28AA(2)AA+建筑装饰54523铜仁023.56-0.06104.421.875.585.56AA-AA城投1122120津投065.81-0.06102.431.093.753.74AAAAA城投715219津投275.58-0.05106.881.043.713.70AAAAA城投86724咸金012.96-0.0399.581.183.973.96AA-AA电子50019豫园010.54-0.03100.444.914.023.97AA-AAA商贸零售200919联想030.10-0.02100.0813.594.494.36A+AAA计算机2023新惠030.18-0.01100.880.792.472.46AA-AA城投121317东建010.21-0.01100.811.223.283.27AA-AA城投113920咸阳金控PPN0010.51-0.01102.020.483.343.34AA-AA电子102022锡产业MTN0017.92-0.01109.600.152.782.78AA+AAA建筑装饰15377PR信泰债0.47-0.0120.360.103.773.77A+AA城投10222昆产010.02-0.01100.061.303.303.29AA-AA+城投261519新宇010.36-0.01101.260.134.714.71AAA-城投14221河东建设PPN0020.02-0.01100.041.303.253.24AA-AA城投303419饶江010.13-0.01100.400.223.753.75AA-城投420419滨投010.27-0.01100.780.214.344.34A+AA城投45322聚鑫债0.03-0.01100.080.662.412.40AA(2)AA建筑装饰421919陕煤化MTN0010.02-0.01100.057.011.981.91AA+AAA煤炭500324苏交通SCP0050.13-0.0199.995.902.051.99AAAAAA交通运输5999820高密020.04-0.01100.092.083.723.70A+城投83721聊开010.33-0.01100.840.144.664.66A+AA城投32622阳安030.30-0.01100.740.192.802.80AAAA+非银金融504PR安交投0.46-0.0120.230.094.824.82AAA-城投3820桂债010.11-0.01100.231.332.972.95AAAAA非银金融1604219首钢MTN0040.06-0.01100.140.781.991.98AA+AAA钢铁300419株国030.14-0.01100.340.232.342.34AAAA+医药生物200723平安租赁MTN0011.07-0.01101.650.252.312.30AA+AAA非银金融1016519中铝MTN0010.03-0.01100.052.872.001.97AA+AAA有色金属200119南网040.04-0.01100.091.671.991.97AAA+AAA公用事业800619高密010.37-0.01100.750.134.464.46A+AA城投43519国丰020.48-0.01100.980.082.172.17AA+AAA基础化工20219恒健020.25-0.01100.410.292.092.08AAA-AAA城投434821海亮010.46-0.01100.760.104.324.32AA-AA+有色金属250大幅折价个券成交跟踪 资料来源：Wind，国投证券研究中心 固定收益定期报告 本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 3 表2：净价上涨个券成交跟踪 简称剩余期限(年)估值价格偏离(%)估值净价（元）估值收益率偏离(bp)估值收益率(%)前一日估值收益率(%)隐含评级主体评级行业成交规模（万元）21万科062.207.1866.60-405.7724.9729.03AA+AAA房地产182522万科022.816.4663.41-285.8322.6125.46AA+AAA房地产233322万科063.155.9863.10-234.2220.7823.12AA+AAA房地产43522万科043.065.9863.11-240.6821.0523.46AA+AAA房地产82123万科MTN0021.995.9670.00-367.7023.6527.33AA+AAA房地产548323万科MTN0011.945.9670.01-378.6724.2328.02AA+AAA房地产131223万科MTN0042.155.8969.55-334.0322.4225.76AA+AAA房地产64923万科MTN0032.095.8969.56-345.1723.0126.46AA+AAA房地产121021万科042.025.4169.59-333.4124.5827.91AA+AAA房地产206522万科MTN0051.624.2772.26-326.3125.9929.25AA+AAA房地产290722万科MTN0041.594.2772.35-334.0626.4429.78AA+AAA房地产437220万科081.504.1973.68-350.1327.7431.24AA+AAA房地产190822万科071.464.1374.56-350.3126.4829.99AA+AAA房地产1130022万科GN0011.194.1274.73-447.6031.6936.16AA+AAA房地产697921万科021.693.6171.79-266.7026.7229.39AA+AAA房地产317322万科051.153.4678.62-374.1027.2030.94AA+AAA房地产680920万科020.841.7588.52-234.1519.1521.49AA+AAA房地产427620万科041.011.7281.41-207.7926.7128.79AA+AAA房地产790621旭辉020.191.4926.89-589.791290.581296.48CCAAA房地产15622万科MTN0020.761.4782.37-225.9231.4033.66AA+AAA房地产51120万科061.101.4780.32-162.1626.8328.45AA+AAA房地产110822万科031.061.4680.53-166.1626.1527.81AA+AAA房地产9322万科010.811.3688.53-188.5119.5021.38AA+AAA房地产1824PR毕节债1.551.0341.31-101.834.735.75A-AA-城投56022龙湖022.670.9980.27-42.3013.1613.58AA-AAA房地产76121龙湖062.240.8582.04-42.5113.4813.90AA-AAA房地产9921龙湖042.020.7784.11-42.8513.4313.86AA-AAA房地产166016龙湖041.810.7086.18-43.0213.5013.93AA-AAA房地产3521龙湖021.650.6487.69-42.7813.1213.55AA-AAA房地产8820龙湖061.230.4890.70-41.8312.8913.31AA-AAA房地产13822龙湖041.140.4591.18-41.7612.8513.27AA-AAA房地产132322龙湖031.010.4092.10-41.8312.8013.22AA-AAA房地产142624宜昌014.940.3899.90-8.252.722.80AA+AA+城投197324陕煤化MTN0029.800.35100.54-4.183.233.28AA+AAA煤炭200020龙湖040.810.3494.19-42.5811.6012.02AA-AAA房地产129124三峡GN002(碳中和债)29.980.30100.51-1.502.722.73AAA+AAA公用事业500020溪地010.960.2996.96-31.9910.4510.77A+AA城投512PR南充债4.600.2974.63-11.744.324.44AA-AA城投454524诚通控股MTN011B29.930.28101.24-1.503.213.22AA+AAA综合804520龙湖020.680.2895.34-41.5111.4411.86AA-AAA房地产2776大幅正偏离个券成交跟踪 资料来源：Wind，国投证券研究中心 固定收益定期报告 本报告版权属于国投证券股份有限公司，各项声明请参见报告尾页。 4 表3：二永债成交跟踪 简称剩余期限(年)估值价格偏离(%)估值净价（元）估值收益率偏离(bp)估值收益率(%)前一日估值收益率(%)隐含评级主体评级银行分类成交规模（万元）23光大二级资本债01B8.910.2310