本报告版权属于安信证券股份有限公司，各项声明请参见报告尾页。 1 2023年12月26日 12月26日信用债异常成交跟踪 定期报告 根据Wind数据，折价成交个券中，“23红塔债”债券估值价格偏离幅度较大。净价上涨成交个券中，“21金地03”估值价格偏离程度靠前。净价上涨成交二永债中，“23厦门国际二级资本债02”估值价格偏离幅度较大；净价上涨成交商金债中，“23光大银行债02”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至1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2至3年，其中4至5年品种折价成交占比最高。分行业看，基础化工行业的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 李豫泽 分析师 SAC执业证书编号：S1450523120004 固定收益专题报告 本报告版权属于安信证券股份有限公司，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）23红塔债2.36-0.25101.1211.716.946.82AA-AA城投23685PR轩达012.08-0.1962.3717.143.643.47AA-AA城投187223发展Y31.36-0.15100.3211.354.234.12AAAA+商贸零售200423惠华011.96-0.1399.887.034.364.29AA-AA城投100023柳州东投MTN0061.99-0.1399.587.046.236.16AA-AA+城投600023昌新021.74-0.13101.287.563.393.31AAAA城投161923昌新011.67-0.12100.987.413.383.30AAAA城投70723寿远011.64-0.11102.646.685.745.68AA-AA城投30521浔投010.50-0.10101.0919.333.463.26AA-AA城投607223柳债051.79-0.10101.416.126.596.53A+AA+城投655522远东五1.20-0.1099.318.874.594.51AAAAA非银金融595023柳债021.31-0.08101.136.626.536.47A+AA+城投171223柳债011.24-0.08101.026.606.536.46A+AA+城投100723三门峡PPN0020.93-0.07101.297.773.233.15AA(2)AA+城投405023奉投012.33-0.07100.893.113.093.06AAAA+城投909322陕西交通MTN0078.83-0.06102.400.823.423.41AA+AAA城投1025520柳州011.06-0.0699.986.276.516.45A+AA+城投60123远东一1.05-0.06100.725.394.184.13AAAAA非银金融1215PR19柳东0.58-0.0625.109.215.615.52AA-AA+城投2522焦投011.66-0.06100.103.473.513.47AA(2)AA+城投800620常投011.23-0.05101.953.963.243.20AAAA+城投407723通威GN001(科创票据)1.81-0.05100.132.723.022.99AAAAA电力设备100122厦贸031.75-0.05100.042.803.163.13AA+AAA交通运输6000G22锡交18.60-0.04103.880.593.413.40AA+AAA城投207823津渤海SCP0180.55-0.04100.246.983.323.25AA-AAA城投501320西咸集团债011.33-0.04102.522.723.413.38AA(2)AAA城投205023福建漳州MTN0041.33-0.04101.262.553.143.12AA(2)AA+城投202521红发040.72-0.03101.304.055.024.98AA-AA+城投252622任城040.74-0.03100.764.025.975.93AA-AA城投46823津渤海SCP0170.42-0.03100.696.553.313.25AA-AAA城投1107823陕旅052.76-0.03102.691.146.106.08AA-AA社会服务102923津渤海SCP0160.39-0.03100.836.203.313.25AA-AAA城投605223任城041.72-0.03101.091.776.586.56AA-AA城投35422福建漳州MTN0010.93-0.03101.382.753.133.10AA(2)AA+城投263520蓉城轨交MTN0011.17-0.03100.902.342.922.90AAAAAA城投1008923张家城投SCP0020.10-0.0399.9229.333.393.10AAAA+城投99921恒健010.28-0.03100.198.452.812.73AAA-AAA城投400723甘肃建设SCP0040.30-0.02100.187.173.383.31AAAAA城投601223红河032.83-0.02102.290.826.576.56AA-AA+城投479123津渤海SCP0110.19-0.02100.696.303.323.26AA-AAA城投302大幅折价个券成交跟踪 资料来源：Wind，安信证券研究中心 固定收益专题报告 本报告版权属于安信证券股份有限公司，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金地030.281.5167.19-598.09171.62177.60BB+AAA房地产333621金地MTN0030.241.4371.10-600.22163.89169.89BB+AAA房地产43516金地020.241.4371.14-619.55170.68176.87BB+AAA房地产199323安顺014.731.2789.29-33.329.9310.26A-AA城投30021金地MTN0020.201.1675.90-504.80151.77156.81BB+AAA房地产90223贵安012.670.9397.44-38.927.077.46A+AA+城投380221金地010.180.8376.05-321.82174.59177.81BB+AAA房地产3628PR安交投0.850.8319.47-104.4110.7711.81A-AA-城投19920贵安041.540.55100.49-38.546.917.29A+AA+城投153923巴中032.840.47100.22-18.877.457.64A+AA城投480819潍滨城2.980.4258.78-23.908.378.61A+AA城投3618GLPR20.290.4187.08-113.5555.0956.23A+AAA交通运输110023银川通联MTN0022.330.39101.11-18.265.465.65AA-AA+城投363021GLP050.250.3888.71-113.4655.0956.22A+AAA交通运输232019贵安G20.900.3899.79-44.256.216.65A+AA+城投53421普洛斯MTN0010.230.3789.40-114.8855.1056.25A+AAA交通运输88023贵控042.470.36102.41-16.064.925.08AA(2)AAA城投821423潍坊滨投PPN0012.950.3697.29-13.827.567.69A+AA+城投2083722潍滨发1.640.3694.56-23.689.8210.06A+AA+城投65222潍滨发1.640.3694.56-23.689.8210.06A+AA+城投65222天易021.320.35102.65-28.454.374.65AA-AA+城投617823晋宁债2.840.3599.90-14.207.537.67AA-AA城投140221GLP030.200.3490.48-112.7656.0157.14A+AAA交通运输13022巴中031.550.3498.45-23.558.068.29A+AA城投15023巴中011.240.33100.62-28.406.837.11A+AA城投838022天易011.220.32102.54-28.274.284.57AA-AA+城投720021饶创031.970.32103.80-17.955.715.88AA-AA+城投206723泉丰021.410.3093.09-23.4013.1013.33A+AA城投10123景旅051.830.30104.95-18.084.214.40AA-AA+城投1524923通泰MTN0021.750.30103.76-18.183.613.79AA-AA城投103823安龙012.340.2998.38-14.027.767.90A+AA-城投41123新金K12.640.29103.14-11.933.603.72AAAA+综合514423柳建022.320.2998.00-14.028.458.59A+AA城投73722贵经011.330.2994.63-23.3812.0312.27A+AA城投6018GLPR10.120.2893.57-112.3960.2761.39A+AAA交通运输3023宏河债1.270.28100.74-23.386.146.37AA-AA煤炭24020兴安011.750.2848.20-24.2110.7110.95A+AA城投7321GLP070.320.2785.74-53.5455.0955.63A+AAA交通运输38523乳山012.230.26101.08-13.126.446.57AA-AA城投829923滨投011.190.2697.67-23.468.628.86A+AA城投718大幅正偏离个券成交跟踪 资料来源：Wind，安信证券研究中心 固定收益专题报告 本报告版权属于安信证券股份有限公司，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厦门国际二级资本债024.680.24101.70-5.803.453.51AAAAA城商行1015623厦门国际二级资本债014.540.24102.12-5.803.433.49AAAAA城商行1223621徽商银行二级012.830.13102.94-4.932.9