固定收益定期报告：5月15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15日 5月15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，“24诚通控股MTN011B”债券估值价格偏离幅度较大。净价上涨成交个券中，“22万科06”估值价格偏离程度靠前。净价上涨成交二永债中，“22厦门国际银行永续债01”估值价格偏离幅度较大；净价上涨成交商金债中，“23日照银行小微债”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0.5年内，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3至4年品种折价成交占比最高。分行业看，综合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 999563378 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）24诚通控股MTN011B29.93-0.28100.951.503.223.21AA+AAA综合807614天瑞020.11-0.2897.06296.7033.2230.25A-AA建筑材料62424诚通控股MTN009B29.84-0.28102.461.503.223.21AA+AAA综合1229524苏交通MTN00519.99-0.2399.631.492.832.82AAAAAA交通运输1000024锡产业MTN00319.91-0.22102.711.503.123.10AA+AAA建筑装饰411718宜昌绿色债NPB4.59-0.22112.115.183.083.03AAAA+城投671724诚通控股MTN002B19.67-0.21105.921.483.063.05AA+AAA综合3184424南电MTN0069.94-0.2198.842.412.612.59AAA+AAA公用事业5927GC三峡K219.56-0.21108.751.432.702.68AAA+AAA公用事业163024首钢MTN002B(科创票据)9.98-0.20100.502.402.932.91AA+AAA钢铁866924诚通控股MTN012A9.95-0.2099.922.352.842.82AA+AAA综合200323三峡K219.31-0.20106.811.372.692.68AAA+AAA公用事业42724诚通控股MTN011A9.93-0.20100.352.332.842.81AA+AAA综合8044PR百福债1.85-0.1830.7213.793.102.97AA-AA城投6124诚通控股MTN006A9.79-0.18101.432.122.832.81AA+AAA综合609624泉州城建MTN0019.99-0.17100.222.002.852.83AA+AAA城投100324江西铁航MTN0019.95-0.17100.161.942.852.83AA+AAA城投100324诚通控股MTN002A9.67-0.16103.981.942.822.80AA+AAA综合104124重庆交投MTN0019.86-0.15101.901.812.852.83AA+AAA城投204624鲁公V14.96-0.15101.473.424.023.98AA(2)AA+城投753423城乡V41.91-0.14105.367.433.833.75AA-AA城投5324大足014.79-0.1399.913.024.023.99AA-AA+城投40103三峡债9.21-0.12117.881.592.652.63AAAAAA公用事业236024潍坊水务MTN0014.83-0.1297.162.914.924.89AA-AA+城投1385824华润MTN00314.99-0.12100.121.002.772.76AAAAAA综合603723铜仁023.56-0.11104.303.535.625.58AA-AA城投511024邹城资产PPN0014.94-0.11100.862.544.804.77AA-AA+城投252524城资014.94-0.1199.272.544.804.77AA-AA+城投1277124城资034.98-0.1199.832.444.814.78AA-AA+城投3101423诚通控股MTN001B9.16-0.10106.811.292.802.78AA+AAA综合106924三峡GN001(碳中和债)29.91-0.10102.230.502.732.73AAA+AAA公用事业511623申宏029.08-0.10106.181.242.712.70AAA-AAA非银金融3400923诚通149.15-0.10106.731.242.812.80AA+AAA综合5769523诚通068.92-0.10107.711.232.812.80AA+AAA综合970122申宏068.29-0.09106.251.192.712.69AAA-AAA非银金融1277024中化029.81-0.08100.960.972.742.73AAA-AAA石油石化20216津投032.26-0.08101.963.622.642.60AAAAA城投203624北控K29.92-0.08100.100.912.712.70AAAAAA公用事业701724CHNG2K9.94-0.0898.800.912.682.67AAAAAA公用事业297G22锡交18.21-0.08108.581.082.762.75AA+AAA城投2174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）22万科063.157.4367.79-283.3917.9520.78AA+AAA房地产78922万科043.067.4367.80-291.1018.1421.05AA+AAA房地产214022万科022.807.4068.10-318.1119.4322.61AA+AAA房地产445421万科062.206.9771.24-382.6821.1424.97AA+AAA房地产295622万科MTN0010.705.0786.61-829.4425.1633.45AA+AAA房地产537222万科GN0011.184.6778.22-491.0726.7831.69AA+AAA房地产109621万科042.014.3472.61-262.6021.9524.58AA+AAA房地产193923万科MTN0021.994.3173.02-261.1621.0423.65AA+AAA房地产192722万科MTN0030.783.9785.64-592.4824.7830.70AA+AAA房地产51022万科MTN0020.763.9785.64-608.0325.3231.40AA+AAA房地产665921万科021.693.5074.30-253.9924.1826.72AA+AAA房地产411622万科MTN0051.623.4774.77-260.3823.3925.99AA+AAA房地产657622万科MTN0041.583.4774.86-266.4823.7726.44AA+AAA房地产173620万科041.013.2384.04-385.4622.8626.71AA+AAA房地产342620万科081.502.9775.87-243.9825.3027.74AA+AAA房地产408922万科071.462.9476.75-244.1724.0426.48AA+AAA房地产131420万科061.102.8382.59-312.1423.7126.83AA+AAA房地产184222万科031.062.8282.80-319.8722.9526.15AA+AAA房地产83822万科051.152.1180.28-223.1124.9627.20AA+AAA房地产525920万科020.841.6389.96-215.4916.9919.15AA+AAA房地产341022万科010.801.6389.97-223.8317.2619.50AA+AAA房地产174921金地MTN0070.591.0883.60-205.0537.4539.50BB+AAA房地产123121金地041.900.8375.42-51.7121.3721.88BB+AAA房地产12020龙湖020.670.6996.00-105.1610.3911.44AA-AAA房地产403022龙湖010.670.6895.65-105.1210.3211.38AA-AAA房地产287820金地011.410.6279.50-49.8422.3622.86BB+AAA房地产821龙湖拓展MTN001(项目收益)0.570.5796.86-100.589.3610.37AA-AAA房地产721021潍水011.730.37105.22-23.063.343.57AA-AA+城投105324武清国资MTN002B4.940.3399.58-7.443.793.87AA-AA+城投198524綦江014.950.33100.08-7.484.454.53AA-AA城投300624泰丰024.980.32100.59-7.575.765.83AA-AA煤炭2443824淮金014.850.30103.09-7.174.234.30AA-AA城投2095520溪地010.960.3097.25-33.0910.1210.45A+AA城投126423成金011.830.30105.51-17.784.294.47AA-AA城投234222临公011.240.28104.03-24.113.613.85AA-AA城投760124许建024.870.28102.17-6.524.294.36AA(2)AA城投638123蚌埠中城PPN0012.290.27104.01-12.532.762.89AA(2)AA+建筑装饰31120环资债2.550.25105.23-12.384.915.04AA-A-城投1023223遵旅022.000.22102.27-11.825.285.39A+AA城投131224宏河控股MTN0012.880.21101.79-8.004.024.10AA-AA煤炭5085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。