您的浏览器禁用了JavaScript(一种计算机语言,用以实现您与网页的交互),请解除该禁用,或者联系我们。信用市场日度跟踪(2022-9-22):9月22日信用债异常成交跟踪_【发现报告】
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信用市场日度跟踪(2022-9-22):9月22日信用债异常成交跟踪

2022-09-23尹睿哲、李豫泽招商证券意***
信用市场日度跟踪(2022-9-22):9月22日信用债异常成交跟踪

敬请阅读末页的重要说明 证券研究报告 | 固定收益研究 2022年9月22日 信用市场日度跟踪(2022-9-22) 摘要 ❑ 根据Broker和CFETS数据源,成交高于估值个券中,“21筑城02”与“19沪世茂MTN001”债券估值价格偏离幅度较大。低估值成交个券中,“21石狮国投PPN002”估值价格偏离程度最大。卖价高于估值个券中,“22南京地铁SCP002”估值价格偏离幅度最大。估值收益率高于8%的个券中,房地产的债券排名靠前。 ❑ 城投债个券流动性评分最小值和均值有所上升。产业债个券流动性评分最小值有所上升,产业债个券流动性评分均值有所下降。成交估值偏离主要分布在[-5,0) 区间。高估值信用债成交笔数占比有所上升,高估值AA城投债及地产债成交笔数占比有所上升。分行业看,社会服务行业净价偏离幅度最大。信用债、城投债和产业债成交期限都有所下降。AA+产业(年)剩余期限均值环比下降幅度最大。永续债成交笔数下降。 ❑ 风险提示:统计出现遗漏,高估值个券出现信用风险。 尹睿哲 S1090518110001 yinruizhe@cmschina.com.cn 李豫泽 S1090518080001 liyuze@cmschina.com.cn 9月22日信用债异常成交跟踪 敬请阅读末页的重要说明 2 固定收益研究 表1:成交高于估值个券(Broker数据源) 简称剩余期限(年)估值价格偏离(%)成交净价(元)估值收益率偏离(bp)成交收益率(%)估值收益率(%)评级:主体/债项行业主体流动性评分当日成交笔数21筑城021.90Y + 2Y-0.51101.2627.525.274.99AAA/AAA城投A/87.42121华发集团MTN0081.83Y + 2Y-0.43101.4724.413.503.26AAA/AAA城投S/97.25122乌建发债014.41Y + 2Y-0.37105.109.394.204.11AA+/AA+城投A/90.99120中粮022.51Y-0.28101.4111.283.002.89AAA/AAA房地产C/66.90221河钢集MTN004(革命老区)2.01Y-0.26101.1413.343.503.37AAA/AAA钢铁S/99.05122藏投012.30Y + 2Y-0.20101.438.522.792.70AA+/AA+城投A/91.72321温工012.24Y-0.20101.058.733.002.91AA+/综合C/69.03121郑州地产PPN0031.94Y + 2Y-0.20100.9810.543.153.04AA-/城投A/90.72122浙报012.86Y + 2Y-0.18100.106.172.782.72AAA/AAA传媒A/86.27122物产中大MTN0032.96Y-0.1599.615.382.852.80AAA/交通运输S/96.50421洪政033.60Y-0.14103.643.472.902.87AAA/AAA城投S/97.60120兖煤037.47Y-0.14104.681.923.563.54AAA/AAA煤炭A/92.10122广州开投MTN0012.98Y + 2Y-0.14100.144.772.752.70AA+/AA+城投A/88.93219首旅MTN0011.53Y-0.13102.408.202.662.58AAA/AAA社会服务S/96.72222衡阳城投PPN0012.33Y + 2Y-0.12101.225.113.393.34AA+/城投S/97.80120高创038.00Y-0.11106.642.003.933.91AA+/AAA城投A/88.08121牟中01255D-0.11101.6512.213.493.37AA/城投B/70.33121烟台业达MTN0011.69Y + 2Y-0.10102.095.962.562.50AA+/AA+城投C/64.54120咸阳城投PPN001185D-0.10100.9719.693.833.63A+/城投A/92.63120首开MTN002217D + 2Y-0.0999.7815.943.052.89AAA/AAA城投A/93.65222河钢集MTN0061.57Y-0.09100.215.953.153.09AAA/AAA钢铁S/99.05121晋能电力MTN0112.10Y-0.09106.303.813.053.01AAA/AAA煤炭S/98.14121长沙城北PPN0011.68Y-0.09102.284.992.882.83AA/城投B/72.04419邯纾0125D + 2Y-0.08100.0760.183.773.17AA+/AA+城投B/82.63220CATL01116D + 2Y-0.08100.4615.292.031.88AAA/AAA电力设备C/56.60522招商蛇口MTN002A2.45Y-0.08101.303.292.642.61AAA/AAA房地产S/95.90221株洲高科MTN0011.38Y-0.08101.285.494.654.60AA+/AA+城投B/81.67121衡阳城投PPN0021.56Y-0.07102.224.423.103.06AA+/城投S/97.80222河钢集MTN0091.73Y-0.0799.924.303.183.14AAA/AAA钢铁S/99.05121津投1484D + 1Y-0.07100.5317.292.652.48AAA/AAA城投S/99.49121光大环境MTN001BC1.73Y-0.06101.883.462.472.44AAA/AAA公用事业C/64.66122张江高科MTN0012.41Y-0.06100.962.642.502.47AA-/城投S/95.32220南建01312D + 2Y-0.06101.384.892.572.52AA+/城投B/82.21120招商蛇口MTN0031.24Y-0.06101.744.462.312.27AAA/AAA房地产S/95.90320天津轨交MTN002329D-0.06101.155.962.502.44AAA/AAA城投A/94.08122招商蛇口MTN001A(并购)2.35Y-0.06100.622.602.612.58AAA/AAA房地产S/95.90121张江高科MTN0011.85Y-0.06101.423.042.372.34AAA/AAA城投S/95.32119津地铁MTN0011.32Y-0.06101.324.173.103.06AAA/AAA城投B/71.55120浦房01197D + 2Y-0.06100.378.412.252.17AAA/AAA城投B/80.65221济城G23.48Y-0.06104.221.222.842.83AAA/AAA城投S/96.401成交高于估值个券(Broker数据源) 资料来源:qeubee,招商证券 敬请阅读末页的重要说明 3 固定收益研究 表2:成交高于估值个券(CFETS数据源) 简称剩余期限(年)估值价格偏离(%)成交净价(元)估值收益率偏离(bp)成交收益率(%)估值收益率(%)票息(%)评级:主体/债项行业主体流动性评分当日成交笔数19沪世茂MTN00129D-58.8115.10464656.155646.561000.004.24AAA/AAA房地产D/32.13421金地MTN0041.68Y-24.6561.802173.6438.5816.843.72AAA/AAA房地产C/55.00321绿城房产MTN0012.08Y-14.4484.50834.0512.884.543.90AAA/房地产C/53.78122绿城地产MTN0012.30Y-14.1984.00736.8011.974.603.62AAA/AAA房地产C/53.78121南翔贸易MTN0021.21Y + 1Y-2.9097.99184.458.106.267.10AA/综合D/36.12222黄石众邦PPN0031.98Y + 1Y-1.88100.00102.805.204.175.20AA/城投A/92.03419黄石国资绿色债4.01Y-1.30101.2771.345.104.395.80AA/AA+城投A/87.82122光明房产MTN0012.87Y-1.1798.9444.754.904.454.50AA+/AA+房地产B/83.14219复星高科MTN00433D-1.1496.501325.2943.1329.884.79AAA/AAA医药生物C/53.56522湖州产投MTN0012.84Y + 2Y-1.1399.8039.823.723.333.68AA+/城投C/67.21219宜宾国资PPN0021.82Y-1.05102.3060.263.252.654.58AAA/城投A/94.54920大连万达MTN003291D-1.0379.99185.5739.0737.226.60AAA/AAA房地产C/54.94620泰安城乡PPN001291D + 2Y-0.98100.40165.044.813.164.97AA/城投D/35.15318临桂城投MTN001299D-0.98100.42122.885.894.666.50AA/AA城投D/49.04414南汇MTN0011.84Y-0.98106.8055.473.022.476.89AAA/AAA城投C/64.19121金东城投MTN0022.27Y-0.94101.5245.295.164.715.90AA+/城投B/73.51221安阳投资PPN0011.11Y-0.93100.3888.376.025.136.40AA/城投D/48.08222涪陵新城PPN0022.91Y + 2Y-0.9099.8130.994.123.814.08AA/城投A/90.75222武夷投资MTN0012.73Y + 2Y-0.90100.3040.173.613.213.68AA/AA城投A/92.79222西安高新MTN0032.95Y-0.89100.4533.144.634.304.80AAA/城投S/97.63319怀化工投PPN0011.49Y-0.87101.2063.217.566.938.50AA/城投D/43.26222郫国投PPN0012.87Y + 2Y-0.8499.5525.044.103.854.00AA/AA+城投A/87.53122宜昌城发MTN0024.47Y-0.83101.5420.463.393.183.77AA+/AA+城投S/95.79321柳州轨交MTN001308D + 1Y-0.81100.55141.447.155.747.50AA+/AA+城投D/32.79221随州城建MTN0021.59Y + 2Y-0.80103.60177.524.863.095.99AA/AA城投B/75.20222华诚医学PPN0011.52Y + 1Y-0.79100.0158.056.676.096.70AA/城投D/49.41221华靖资产PPN0022.02Y-0.78103.3241.254.253.846.00AA+/城投B/83.03222溧水产投PPN0032.75Y + 2Y-0.78100.0631.553.983.674.00A-/城投B/83.69221长寿开投PPN0041.27Y + 2Y-0.78100.3985.826.355.496.50AA+/城投A/85.02319娄底城投PPN0011.43Y-0.77103.8056.214.473.917.30AA/城投B/77.32222牛首山

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