1月3日信用债异常成交跟踪：根据Wind数据，折价成交个券中，“20不动Y1”债券估值价格

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01月03日 1月3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，“20不动Y1”债券估值价格偏离幅度较大。净价上涨成交个券中，“21金地MTN005”估值价格偏离程度靠前。净价上涨成交二永债中，“23海南银行永续债02”估值价格偏离幅度较大；净价上涨成交商金债中，“21杭州银行小微债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(0,5]区间。非金信用债成交期限主要分布在0.5年内，其中0.5至1年期品种折价成交占比最高；二永债成交期限主要分布在1年内，其中4至5年期品种折价成交占比最高。分行业看，环保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）20不动Y11.34-0.7887.9969.5314.9014.20AA-AAA社会服务119222兖投011.07-0.20101.6119.765.395.19AA-AA+城投162723开乾V24.73-0.20104.064.976.086.03AA-AA城投5123晋城国资PPN002B2.91-0.14100.615.013.373.32AA(2)AA+城投200023皖供022.83-0.1399.754.944.994.94AAAA+商贸零售394023皖供012.79-0.13101.304.944.984.93AAAA+商贸零售6122遂天013.95-0.12101.063.687.187.14AA-AA城投235623惠民建投MTN0011.91-0.12100.446.895.655.58AA-AA+城投1000123铜仁023.92-0.1298.953.597.317.28AA-AA城投220023广州地铁MTN0074.88-0.10100.622.162.932.91AAAAAA城投604323南京交建MTN0024.98-0.10100.102.103.093.07AA+AAA城投200422铜仁010.56-0.09101.0615.235.365.21AA-AA城投180123陕延油MTN0014.87-0.09100.502.003.053.03AAA-AAA石油石化201223陕延油MTN0024.87-0.09100.502.003.053.03AAA-AAA石油石化201223延长K74.80-0.09101.132.003.033.01AAA-AAA石油石化516723华山旅游CP0010.82-0.09100.3910.783.463.35AA-AA城投801523渝富034.67-0.09100.432.043.073.05AAAAAA城投50218宜昌绿色债NPB4.95-0.09105.361.994.714.69AAAA+城投3666123河南投资MTN0032.97-0.08100.272.982.892.86AAAAAA综合2006223深铁064.53-0.08100.591.992.912.89AAAAAA城投804723广开032.96-0.08100.202.963.333.30AA+AAA公用事业47118国新YK013.41-0.08101.272.393.103.07AAAAAA非银金融708918华能034.69-0.08109.231.702.912.89AAAAAA公用事业2078铁工YK024.52-0.08101.311.803.073.05AAA-AAA建筑装饰506923京资024.54-0.08100.571.782.892.87AAAAAA综合372120伟驰021.99-0.08101.623.853.353.31AA(2)AA+城投50822广铁G23.72-0.07100.112.102.852.83AAAAAA城投26022华电Y33.32-0.07101.702.312.992.97AAA-AAA公用事业711722铁建Y23.31-0.07101.732.312.992.97AAA-AAA建筑装饰406722光大Y33.40-0.07101.272.263.002.98AAA-AAA银行354222光大Y43.47-0.07101.532.193.002.98AAA-AAA银行507522电网MTN0013.56-0.07101.112.132.722.70AAA+AAA公用事业202422深能Y23.52-0.07101.472.133.012.99AAA-AAA公用事业608623粤财014.31-0.07101.021.772.942.93AAA-AAA非银金融504922铁建Y43.54-0.07101.182.123.012.99AAA-AAA建筑装饰404523光大Y64.39-0.07101.481.733.103.08AAA-AAA银行81422电网MTN0083.66-0.07100.672.032.722.70AAA+AAA公用事业1209022鄂交Y23.15-0.07102.162.323.083.05AAA-AAA城投510622光大Y13.14-0.07101.842.312.982.95AAA-AAA银行305322穗交Y13.54-0.07101.292.073.012.99AAAAAA城投4051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）21金地MTN0050.452.9071.01-824.6192.58100.83BB+AAA房地产97121金地MTN0040.402.8871.34-921.43103.34112.56BB+AAA房地产462521金地030.262.5480.75-1066.2993.05103.72BB+AAA房地产505021金地MTN0030.222.4683.19-1157.5191.48103.06BB+AAA房地产103216金地020.222.4284.54-1180.7786.8698.66BB+AAA房地产202921金地MTN0020.192.4185.00-1318.4695.92109.11BB+AAA房地产237021旭辉010.192.3927.44-1987.221269.741289.61CCAAA房地产60721金地010.162.2889.61-1426.0075.8690.12BB+AAA房地产399220金地011.771.6860.41-127.0038.6539.92BB+AAA房地产2020金地MTN001B1.251.6760.78-192.0554.2756.19BB+AAA房地产273022金地MTN0011.141.6661.42-212.8458.8160.94BB+AAA房地产80921金地MTN0060.861.6362.25-291.3876.8479.75BB+AAA房地产66821金地MTN0070.951.4561.50-237.8972.1474.52BB+AAA房地产1874PR旅投013.730.8558.69-44.098.819.26AAA城投277222巴中031.530.77100.48-54.276.627.16A+AA城投231PR遵旅052.200.7388.14-43.199.539.96AAA城投71823遵旅022.370.7094.27-33.419.279.61AAA城投198PR遵旅042.050.6788.38-43.109.519.94AAA城投23119不动040.560.5594.41-98.8214.9515.93AA-AAA社会服务185619津投065.150.4795.31-10.666.076.18AAAAA城投191721GLP070.300.4487.75-121.3050.0151.23A+AAA交通运输14521不动020.390.4197.06-102.4811.5812.61AA-AAA社会服务51421遵旅030.950.4099.09-44.578.488.92AAA城投40018GLPR20.270.4090.51-120.8143.1644.37A+AAA交通运输11922远东租赁MTN0061.540.3997.79-26.525.165.43AAAAA非银金融1948622遵旅030.880.3898.34-45.048.468.91AAA城投615PR都新城1.770.3740.33-31.487.067.37AA-AA城投421GLP050.220.3591.85-119.2243.1544.35A+AAA交通运输36422遵旅020.800.3598.45-45.448.458.90AAA城投5722GLP011.170.3374.11-29.6934.6634.95A+AAA交通运输821普洛斯MTN0010.200.3392.43-114.8943.1044.25A+AAA交通运输109221GLP030.180.3093.42-117.4043.1544.33A+AAA交通运输1482G23柳控12.430.30100.97-13.696.536.67AA-AA+城投40022潍滨发1.620.2996.21-19.268.698.88A+AA+城投42623柳建022.300.2899.59-13.767.677.81AA-AA城投17623柳控032.240.2899.77-13.757.097.23AA-AA+城投46623明宫021.710.27102.68-17.505.495.67AA-AA城投107120高密040.960.2799.51-29.547.337.62A城投5820高密030.930.2699.22-29.707.327.62A城投226920蓉经开MTN0011.720.26101.29-15.933.313.47AA(2)AA+城投2425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。 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海南银行永续债024.840.0794.66-1.516.106.12A+AA+城商行213923海南银行永续债014.7