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27日 12月27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，“19秦投02”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，“21兴业银行二级03”估值价格偏离幅度较大；净价上涨成交商金债中，“23江苏银行债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年内，其中1.5至2年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，纺织服饰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）19秦投023.00-1.0598.96137.657.906.53AA-AA城投127023红塔债2.36-0.22100.9010.317.046.94AA-AA城投608523兖投011.21-0.21101.0118.115.885.70AA-AA+城投35723惠民城建PPN0011.14-0.20101.8318.095.295.11AA-AA+城投100222兖投011.08-0.19102.3717.994.704.52AA-AA+城投1023连云港MTN0012.14-0.18106.968.513.463.38AA(2)AA+交通运输1607219兖投020.99-0.17102.1217.635.255.07AA-AA+城投69322云港051.74-0.17104.519.723.523.42AA(2)AA+交通运输104723秦汉021.28-0.16102.9613.034.684.55AA-AA城投205622惠民城建PPN0050.81-0.14101.4716.525.034.87AA-AA+城投40323铜仁011.45-0.11102.337.515.745.67AA-AA城投108820铜仁011.48-0.11101.657.425.775.69AA-AA城投236523寿远011.64-0.11102.536.635.815.74AA-AA城投35323悦丰K12.25-0.10101.764.773.583.54AAAA非银金融203223兖投021.74-0.10101.046.176.326.26AA-AA+城投266423惠民建投MTN0011.93-0.10100.845.425.435.37AA-AA+城投800021兖州021.91-0.10101.355.496.516.46AA-AA+城投112923柳州东投MTN0061.98-0.1099.495.296.286.23AA-AA+城投200022铜仁010.58-0.10101.4415.244.774.62AA-AA城投28423齐河011.03-0.08100.977.805.505.42AA-AA城投403423丽开K12.50-0.08100.863.253.433.40AA(2)AA+建筑装饰806222遂天013.97-0.07101.002.077.207.18AA-AA城投37723铜仁023.94-0.0799.202.077.247.21AA-AA城投220022周口011.20-0.06101.505.003.493.44AA(2)AA+城投203216武汉地铁MTN0012.24-0.06103.882.513.063.04AAAAAA城投829923万盛014.24-0.0598.691.676.416.39AA-AA城投15023陕旅052.75-0.05102.632.006.126.10AA-AA社会服务4023武铁Y12.05-0.05101.202.383.053.03AAAAAA城投404823柳州东投MTN0042.93-0.05101.321.705.004.98AA-AA+城投60822万盛011.32-0.04103.572.964.614.58AA-AA城投41223城乡012.89-0.04101.461.615.935.91AA-AA城投202519晋佳010.61-0.04101.545.673.173.12AAAA城投406123万盛052.85-0.0499.981.536.005.99AA-AA城投191923本钢集团MTN003(科创票据)1.99-0.03100.051.793.483.46AA-AAA钢铁500023本钢集团MTN002(科创票据)1.98-0.03100.051.783.473.46AA-AAA钢铁1000020厦轨011.33-0.03100.652.422.772.75AAAAAA城投201223豫峡042.95-0.03101.021.143.613.59AA(2)AA+城投800923滨海020.96-0.03100.033.263.363.33AA(2)AAA城投380023泰控042.67-0.03104.031.075.325.31AA-AA城投257223泰控031.67-0.03103.681.494.444.43AA-AA城投517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030.282.9869.19-1314.70158.47171.62BB+AAA房地产355821金地030.282.9869.19-1314.70158.47171.62BB+AAA房地产355821金地MTN0030.242.8173.10-1339.98150.49163.89BB+AAA房地产28816金地020.232.8173.14-1394.94156.73170.68BB+AAA房地产73921金地010.182.6378.05-1576.50158.83174.59BB+AAA房地产293921金地010.182.6378.05-1576.50158.83174.59BB+AAA房地产293919冶投021.001.57101.57-9.075.755.84AA-AA城投30921GLP110.660.6980.48-117.3241.6242.79A+AAA交通运输34723巴中032.830.46100.67-18.417.267.45A+AA城投311621GLP070.320.4486.12-115.2453.9455.09A+AAA交通运输4419潍滨城2.980.4359.03-24.518.138.37A+AA城投9623巴中021.830.43100.74-25.616.746.99A+AA城投10018GLPR20.280.4187.44-115.0153.9455.09A+AAA交通运输44321GLP050.240.3889.05-114.8153.9455.09A+AAA交通运输189421GLP050.240.3889.05-114.8153.9455.09A+AAA交通运输189422临经023.880.3798.93-13.167.377.50AA-AA城投129021普洛斯MTN0010.220.3789.73-116.9853.9355.10A+AAA交通运输180120潍坊滨投MTN0051.490.3795.14-26.6510.6310.89A+AA+城投20023安顺014.730.3589.60-8.999.849.93A+AA城投30023潍坊滨投PPN0012.950.3497.62-13.167.427.56A+AA+城投1000121GLP030.200.3490.79-114.8554.8656.01A+AAA交通运输99923张通011.850.33101.51-19.304.054.24AA-AA城投504823晋宁债2.830.33100.23-13.507.397.53AA-AA城投774918东湖管廊债1.950.3337.45-25.9413.1613.42AAA-城投320623齐河032.600.3399.50-14.126.977.11AA-AA城投19921金地MTN0020.200.3276.15-4.74151.72151.77BB+AAA房地产195723招商资本MTN001B(科创票据)4.960.32100.32-7.103.283.35AA+AAA非银金融300020惠临031.990.3280.70-19.354.464.66AA-AA城投41623银川通联MTN0022.330.31101.43-14.735.325.46AA-AA+城投1595923巴中011.240.31100.93-27.096.566.83A+AA城投498PR渤海022.310.3144.12-25.405.705.95AA-AAA城投10721南充014.680.31100.10-13.206.846.97AA-AA城投200323柳建022.310.3098.30-14.718.318.45AA-AA城投68220潍坊滨投MTN002B1.170.3098.07-27.246.737.00A+AA+城投4932PR筑经012.340.3056.96-25.3911.8412.09A+AA城投1223滨投011.180.3097.96-27.168.358.62A+AA城投94123乳山012.230.30101.39-14.856.296.44AA-AA城投157020津资011.150.3099.36-27.195.615.88AA-AAA城投24121滨旅032.200.3096.94-14.628.548.69A+AA城投47323乳山国运MTN0012.150.29101.20-14.885.886.03AA-AA城投4072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）21兴业银行二级037.910.23104.44-3.433.213.24AA+AAA股份行2083921建设银行二级027.620.15104.44-2.243.133.16AAA-AAA国有行114772