2月5日信用债异常成交跟踪：根据Wind数据，折价成交个券中，“23淮清02”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2月6日 2月5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淮清02”债券估值价格偏离幅度较大。净价上涨成交个券中，“22不动02”估值价格偏离程度靠前。净价上涨成交二永债中，“23湖北银行永续债01”估值价格偏离幅度较大；净价上涨成交商金债中，“24北部湾银行小微债01”估值价格偏离幅度靠前。成交收益率高于10%的个券中，社会服务行业的债券排名靠前。 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4至5年。分行业看，煤炭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）23淮清021.95-0.34105.3617.143.613.43AA(2)AA+城投845823铜仁023.83-0.2099.556.177.137.07AA-AA城投73223临淄021.13-0.20104.2815.603.072.92AA-AA+建筑装饰935924建湖城投PPN0022.98-0.1498.245.044.144.09AA-AA城投704323云投MTN0051.02-0.09100.838.152.772.68AA(2)AAA城投30323椒江社发MTN0012.41-0.08102.003.102.802.77AA(2)AA城投244724邗建012.97-0.06100.012.143.303.27AAAA城投200023水投022.14-0.06102.972.343.333.31AA(2)AAA城投1338920青山湖科MTN0011.69-0.06100.683.192.782.75AAAA+城投603923水投011.95-0.05103.152.133.303.28AA(2)AAA城投1650621渝合010.11-0.05100.2920.952.892.68AA(2)AA+城投203223豫航空港PPN0040.54-0.05101.155.232.802.75AA(2)AAA城投910122沧港021.64-0.04103.131.743.002.99AA(2)AA城投309323株国091.68-0.04102.161.763.053.04AAAA+医药生物204023津城建SCP0370.10-0.04100.420.322.502.50AAAAA城投803414赣粤020.52-0.04101.791.372.472.46AAAAAA交通运输610521凉山发展MTN0010.78-0.03102.910.192.632.63AA-AA+城投771923大足发展CP0010.08-0.03100.310.152.602.60AA-AA+城投200521津保投MTN0010.83-0.03103.010.072.732.73AA-AAA城投204516贵阳停车场债022.77-0.0345.571.383.243.22AA-AA+城投182222曲文投MTN0020.72-0.03102.440.022.982.98AA-AA+城投555021柳东债0.10-0.03100.280.124.354.35AA-AA+城投1071921筑城010.11-0.03100.330.062.502.50AA-AAA城投200819萍乡汇丰MTN0020.81-0.03102.340.123.983.98AA-AA城投204723路公011.18-0.02101.431.202.782.77AA(2)AA+城投405723云建投SCP0220.09-0.02100.230.142.652.65AA-AAA城投100223云建投SCP021(科创票据)0.06-0.02100.150.072.642.64AA-AAA城投300521津投010.04-0.0299.950.982.502.49AAAAA城投189923青岛世园MTN0010.10-0.02100.190.123.903.90AA-AA+城投100522闽能010.96-0.02100.421.442.482.47AAAAAA40123信阳国信SCP0010.08-0.02100.140.132.852.84AA-AA建筑装饰400623曹妃国控CP0020.73-0.01101.050.092.632.63AA-AA+城投202121陕延油MTN0010.05-0.01100.060.792.452.44AAA-AAA石油石化1501021南电MTN0010.06-0.01100.061.652.332.31AAA+AAA公用事业500322华阳新材MTN0040.05-0.01100.060.822.592.58AAAAA煤炭500323银川通联CP0010.81-0.01100.510.122.832.83AA-AA+城投70421天易080.810.00100.200.155.185.18AA-AA+城投320023沪国资SCP0030.190.0099.982.562.472.44AAA-AAA非银金融999923晋能电力CP0020.050.00100.020.822.542.53AAAAA煤炭500123津城建SCP0560.040.00100.021.022.502.49AAAAA城投5001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）22不动021.250.7889.78-64.3913.2513.89AA-AAA社会服务4721金地010.070.7294.25-0.3893.3393.33BB+AAA房地产1724香城024.960.68101.76-15.293.613.76AA(2)AA+建筑装饰1710721金地MTN0040.310.6575.40-1.00107.87107.88BB+AAA房地产137020鄂联投(疫情防控债)MTN0016.040.65104.10-12.403.793.91AAAAA城投208622不动010.950.6091.87-63.5013.2313.87AA-AAA社会服务14119邹城隆城项目NPB4.950.5556.98-24.357.257.50AA-城投1173G23枝江24.600.53103.87-13.043.523.65AA(2)AA城投519719长城债02BC(品种二)5.220.53107.81-11.713.193.31AA+AAA非银金融3010118GLPR30.250.5093.05-112.3633.6034.73A+AAA交通运输52122广宇011.550.49101.56-33.392.943.27AA(2)AA城投60223延经016.550.48103.36-12.705.605.73AA(2)AA城投102223自投012.220.48106.00-24.363.914.15AA-AA城投734423柳建022.200.48105.28-24.344.905.14AA-AA城投63521GLP070.210.4694.09-112.0533.5934.72A+AAA交通运输156317张家界专项债3.460.4462.08-24.804.544.79AA-AA城投870424福清国资MTN0014.980.42100.54-9.253.063.15AA(2)AA+城投200723湖北银行永续债014.790.41104.68-9.613.133.23AAAAA银行209323兴阳012.790.37105.01-14.924.064.20AA-AA城投739923寿光031.630.36104.80-24.524.174.41AA-AA+城投215623任城041.600.35103.26-24.555.105.35AA-AA城投889723港口019.370.35105.54-4.522.912.96AAA-AAA交通运输105523自贡城投PPN0012.700.35104.78-14.864.574.72AA-AA城投418322水发物流PPN003(项目收益)1.650.35101.60-23.224.855.08AA房地产101123红河032.720.35105.18-14.885.385.53AA-AA+城投208322农行二级资本债02B8.630.34104.32-4.622.772.82AAA-AAA银行623824诚通控股MTN004A9.980.34101.06-4.033.083.13AA+AAA综合403721东湖债1.480.3497.32-24.309.7710.01AAA城投118724信投G29.960.34101.46-3.982.822.86AAAAAA非银金融202424越秀资本MTN001A4.960.34100.67-7.432.852.93AAA-AAA非银金融602422铜都033.880.34106.01-12.014.674.79AA(2)AA城投10423张家经投MTN0012.060.34104.75-18.274.054.23AA-AA城投207720仁水011.430.3398.09-24.358.929.16A+AA城投348624冀建交通MTN001B9.980.33101.43-3.903.043.08AA+AAA城投4046G17龙湖30.080.3399.57-302.238.1411.16AA-AAA房地产103924川能投MTN0019.970.33101.94-3.893.043.08AA+AAA公用事业606624洪市政MTN0019.930.32102.09-3.903.143.18AA+AAA城投610623盐城高新PPN0022.830.32102.14-12.383.063.18AA(2)AA+城投631518粤桥029.790.32114.96-4.162.922.96AAA-AAA交通运输1153123川高速MTN0099.860.32103.36-3.913.043.08AA+AAA城投4134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