1月22日信用债异常成交跟踪：根据Wind数据，折价成交个券中，“PR红果债”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1月22日 1月22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，“PR红果债”债券估值价格偏离幅度较大。净价上涨成交个券中，“21旭辉02”估值价格偏离程度靠前。净价上涨成交二永债中，“21汉口银行永续债01”估值价格偏离幅度较大；净价上涨成交商金债中，“22中信银行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2至3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4至5年，其中1年内品种折价成交占比最高。分行业看，传媒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 相关报告 固定收益研究 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）PR红果债1.05-0.8039.45165.0510.538.88A+AA-城投77723新中泰集MTN0012.87-0.21100.707.694.234.15AAAA+基础化工100723滕投021.34-0.14102.949.183.983.89AA-AA城投20520栾川钼业MTN0011.35-0.13101.419.633.113.01AAAAA有色金属81223亳交012.16-0.10103.934.333.233.19AA(2)AA城投207823鲁中012.76-0.09103.193.385.225.18AA-AA社会服务1014924綦江新城MTN0014.99-0.0899.721.884.564.54AA-AA城投2000423津保030.27-0.05101.104.663.063.02AA-AAA城投1011023津投070.21-0.04100.971.172.682.67AAAAA城投30323津投030.08-0.04100.226.132.662.60AAAAA城投300823津城建MTN0061.72-0.04103.201.353.063.05AAAAA城投205219大同煤矿MTN0030.39-0.04101.630.732.852.84AAAAA基础化工813223津投020.04-0.04100.137.882.662.58AAAAA城投600020润田010.10-0.03100.401.493.133.12AA(2)AA城投200821彭泽010.11-0.03100.391.343.033.02AA-AA城投436021齐梁建设MTN0010.04-0.03100.145.932.732.67AA(2)AA城投200321长交010.17-0.03100.444.052.602.56AA(2)AA+城投662922曹国010.09-0.03100.282.473.083.05AA-AA+城投25562PR新宇021.57-0.0340.731.446.176.15BBBAA-城投45320商古010.10-0.03100.331.492.982.97AA(2)AA城投50123驻产D20.09-0.03100.272.462.982.95AA(2)AA+城投100321鹤山010.04-0.03100.116.312.822.76AA(2)AA城投50121淮开010.01-0.03100.038.412.672.58AA(2)AA+城投406122华诚医学MTN0010.02-0.03100.047.603.383.30AA(2)AA城投2217620天生债0.14-0.03100.410.072.612.61AA-AA城投200721涪陵新城MTN0010.05-0.03100.125.222.682.62AA(2)AA+城投200321郫都国资PPN0010.03-0.02100.086.943.073.00AA(2)AA城投595822十堰聚鑫PPN0010.02-0.02100.047.783.123.04AA(2)AA城投40421抚高新0.05-0.02100.125.223.783.72AA(2)AA城投1012619连云港MTN0010.08-0.02100.221.842.582.56AA(2)AA+交通运输160419蒙高路MTN0010.10-0.02100.270.562.582.58AA(2)AA+交通运输1002722柳控010.01-0.02100.033.344.474.43AA-AA+城投2097919金华融盛MTN0010.08-0.02100.192.602.632.60AA(2)AA城投601121郑地010.21-0.02100.274.772.742.69AA+AAA城投1303523昌阳投资SCP0010.11-0.02100.280.242.642.63AA(2)AA+城投401121红河010.02-0.02100.037.814.774.69AA-AA城投229523淄博财金PPN001(科创票据)2.30-0.02102.430.614.364.35AAAA+公用事业30723丰住D10.10-0.02100.231.662.832.82AA(2)AA城投40021航天010.11-0.02100.260.894.144.13AA(2)AA+城投300819乐清国投MTN0010.02-0.02100.057.392.502.42AAAA+城投6003大幅折价个券成交跟踪 资料来源：Wind，国投证券研究中心 固定收益研究 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旭辉020.502.8926.48-1150.59533.05544.55CCAAA房地产69223陕旅052.680.52104.93-22.015.175.39AA-AA+社会服务19823陕旅042.640.51105.12-21.945.165.38AA-AA+社会服务10623安顺014.660.3793.66-9.518.708.79A+AA城投292123陕延油MTN006B4.910.37101.42-8.253.143.23AA+AAA石油石化5038PR西工011.810.3637.98-28.4112.2812.57BBBAA城投33221兰州建投MTN0010.550.3499.06-60.377.788.38AAA+城投202123远东租赁MTN0022.400.32100.76-14.424.945.09AAAAA非银金融403024万盛012.960.3199.74-11.745.395.51AA-AA+城投798621汉口银行永续债012.420.31102.71-14.013.603.74AA-AA+银行819316金阳专项债012.820.3144.38-17.955.275.45AA-AA+城投11662PR金阳012.820.3144.38-17.955.275.45AA-AA+城投22223渝富0414.920.30103.45-2.693.573.59AAAAAA城投103623红塔2.920.30101.12-11.726.566.68AA-AA城投14221GLP070.250.2991.01-0.3743.3143.31A+AAA交通运输712221开州F11.930.29101.23-16.244.274.43AA-AA城投1656721衡建011.990.29101.79-15.703.553.71AA(2)AA城投818121昆速011.860.29105.14-17.945.025.20AA-AA+城投193G23柳控12.370.29102.77-13.625.705.83AA-AA+城投385021祁阳经投014.820.28105.87-11.784.304.42AA(2)AA城投1501424晋能电力MTN0014.970.28100.86-6.283.243.30AAAAA煤炭302122远东租赁MTN0071.540.2899.63-18.923.834.02AAAAA非银金融199423郴新012.680.2899.12-11.566.856.96AA-AA城投307719金凤凰2.570.2760.82-19.176.616.80AA-AA城投138523天津港MTN001(科创票据)4.770.27102.04-6.283.333.39AAAAA交通运输1217021GLP050.170.2794.49-1.8137.5237.54A+AAA交通运输70621GLP030.130.2696.06-2.2036.4036.42A+AAA交通运输71023豫交投MTN0074.610.26102.57-6.363.193.25AAAAA城投2050陕煤KY064.890.26101.88-5.943.133.19AA+AAA煤炭610619冶投020.930.26102.35-31.354.755.06AA-AA城投90518GLPR20.210.2693.26-0.6637.5437.55A+AAA交通运输73721昆明轨道MTN003(绿色)0.820.25100.82-31.893.033.35AA-AAA城投100823紫金财险资本补充债014.890.25101.00-5.653.273.33AA-AAA非银金融604820龙湖041.110.2472.95-0.2937.8037.81AA-AAA房地产25623深铁129.620.23102.22-2.882.942.97AAAAAA城投407520红塔021.630.23102.85-16.145.595.75AA-AA城投515622龙湖031.320.2368.97-0.3937.8337.83AA-AAA房地产32124赣交019.980.23100.86-2.682.952.98AAAAAA城投1600023红塔债2.280.22103.06-11.276.006.12AA-AA城投229424锡交通MTN0019.960.22100.50-2.693.283.31AA+AAA城投2015大幅正偏离个券成交跟踪 资料来源：Wind，国投证券研究中心 固定收益研究 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）21汉口银行永续债012.420.31102.71-14.013.603.74A