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29日 12月28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，“22兖投01”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，“22河北银行永续债”估值价格偏离幅度较大；净价上涨成交商金债中，“22工商银行绿色金融债01”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4至5年品种折价成交占比最高；二永债成交期限主要分布在3至4年，其中4至5年品种折价成交占比最高。分行业看，电力设备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）22兖投011.08-0.17102.1916.154.864.70AA-AA+城投10223豫峡042.94-0.16100.865.963.673.61AA(2)AA+城投401923明宫021.73-0.16102.269.695.765.66AA-AA城投848023铜仁023.94-0.1299.093.577.277.24AA-AA城投200023荆门高新PPN0021.44-0.11103.787.683.503.42AA(2)AA城投103723渝富034.69-0.11100.392.613.083.05AAAAAA城投5715423荆门高新PPN0041.54-0.11103.937.143.513.44AA(2)AA城投207423浦里012.96-0.1099.533.874.974.93AA-AA城投45023弥工012.95-0.10100.453.877.227.18AA-AA城投990823金堂011.25-0.09103.696.844.384.31AA-AA城投618820铜仁011.47-0.09101.566.275.835.77AA-AA城投51023秦汉021.28-0.09102.876.854.754.68AA-AA城投185020乳山011.23-0.08102.116.834.964.90AA-AA城投21423寿远011.64-0.08102.445.265.865.81AA-AA城投48423兖投021.73-0.08100.974.646.376.32AA-AA+城投21823陕旅052.75-0.08102.562.986.156.12AA-AA社会服务25023惠民城建PPN0021.84-0.07100.844.046.486.44AA-AA+城投100123乳山012.23-0.07101.323.386.336.29AA-AA城投38622铜仁010.57-0.07101.3710.684.884.77AA-AA城投56023乳山国运MTN0012.15-0.07101.133.405.915.88AA-AA城投203521兖州021.90-0.07101.293.776.556.51AA-AA+城投59523惠民建投MTN0011.93-0.07100.773.695.465.43AA-AA+城投700020重庆旅投GN0011.93-0.0799.443.643.453.42AAAA城投1311723钱塘产业债012.35-0.06100.572.782.922.89AA+AA+城投201023动能032.84-0.06100.332.123.183.15AA+AAA非银金融2409922济建Y51.93-0.05101.312.643.083.05AA+AAA城投202823电投融和MTN001(碳中和)2.92-0.04100.231.512.852.83AAA-AAA社会服务1000522赣融021.75-0.04100.302.443.002.97AAAAA非银金融1203023淮投011.17-0.04103.732.803.203.17AA(2)AA+城投414822上饶投资MTN0011.28-0.04100.713.033.313.28AA(2)AAA城投120922远景025.67-0.0399.861.087.037.02AA-AA城投60622动能011.83-0.0399.721.883.103.08AA+AAA非银金融498123水发集团CP0010.81-0.03101.213.573.233.19AA(2)AAA城投404423万盛014.23-0.0398.661.016.426.41AA-AA城投1020上饶投资MTN0021.59-0.03101.281.863.353.33AA(2)AAA城投810522万盛011.31-0.03103.541.814.634.61AA-AA城投113723章控021.63-0.03102.501.623.273.25AA(2)AA+城投614623廊控012.96-0.03100.080.993.973.96AA(2)AA+城投600423海瀛041.65-0.03101.911.483.273.25AA(2)AA+城投712923港投072.92-0.03100.780.923.713.70AA(2)AAA城投6064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030.2810.4276.40-4594.71112.52158.47BB+AAA房地产690916金地020.239.8680.35-4969.78107.03156.73BB+AAA房地产469421金地MTN0050.469.7167.87-2897.99103.16132.14BB+AAA房地产245621金地MTN0040.419.6968.00-3259.25115.81148.40BB+AAA房地产27221金地010.179.2485.26-5790.64100.92158.83BB+AAA房地产425221金地MTN0030.248.0779.00-3922.44111.27150.49BB+AAA房地产296821金地MTN0020.206.3881.00-3543.05116.29151.72BB+AAA房地产2048PR安交投0.843.4020.15-420.116.4910.69A-AA-城投26318GLPR20.281.9989.18-728.7746.6553.94A+AAA交通运输2821GLP050.241.7590.60-728.9746.6553.94A+AAA交通运输215921GLP010.081.6998.52-2026.1922.8243.08A+AAA交通运输29921普洛斯MTN0010.221.6491.20-726.7546.6653.93A+AAA交通运输1130521GLP030.191.6292.26-816.7846.6954.86A+AAA交通运输295020韩城021.151.20100.58-113.077.929.05A+AA城投20119昭山经济PPN0010.421.02101.02-24.235.105.35AA-AA城投1011121龙湖030.400.8391.84-210.9925.7527.86AA-AAA房地产106717秭归养老债013.630.4762.56-24.284.875.11AA-AA-城投886123郴新012.750.4097.00-16.277.737.90AA-AA城投30021中金G87.950.40104.53-5.803.033.09AAAAAA非银金融940622嵊南债3.220.39102.73-13.143.343.47AA(2)AA城投205423齐河032.600.3899.88-16.416.816.97AA-AA城投240223柳城022.580.37100.29-16.437.347.51AA-AA+城投76019潍滨专项债022.710.3757.91-24.259.309.54A+AA+城投34122昭投013.850.3722.44-11.247.767.88AA-AA城投44822GLP011.190.3673.36-32.6735.3235.65A+AAA交通运输39022临经013.460.35100.28-13.926.867.00AA-AA城投235923红塔债2.350.35101.26-16.606.887.04AA-AA城投427420惠临031.990.3580.98-21.204.254.46AA-AA城投129823柳建022.310.3498.64-16.618.148.31AA-AA城投49520新际016.280.33105.21-6.043.223.28AAA-AAA钢铁631823安顺014.730.3289.89-8.319.759.84A+AA城投1922PR攀投债0.570.3219.00-54.6916.4316.97BBBAA-城投27023电建地产MTN0042.830.31102.27-11.863.643.75AAAAA房地产178423潍坊滨投PPN0012.940.3097.91-11.637.317.42A+AA+城投2338523电建地产MTN0012.560.30100.15-12.463.583.71AAAAA房地产998522柳城021.960.29101.14-16.416.857.02AA-AA+城投240021GLP110.650.2980.71-40.1741.2241.62A+AAA交通运输20620泉丰021.410.2993.66-21.9012.5912.81A+AA城投50PR筑经012.340.2857.12-23.7411.6011.84A+AA城投16623泉丰021.400.2893.67-21.8912.6112.83A+AA城投293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）22河北银行永续债3.480.20101.50-6.414.124.19AA-AAA城商行407623齐商银行永续债014.960.11100.2