信用债异常成交跟踪：根据Wind数据，折价成交个券中，“23镇交05”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8日 2月8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镇交05”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兴业银行二级01”估值价格偏离幅度较大；净价上涨成交商金债中，“21中国银行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0.5至1年，其中3至4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4至5年品种折价成交占比最高。分行业看，社会服务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镇交051.78-0.16100.349.053.082.99AA(2)AA+城投100323水投022.13-0.09102.734.173.443.40AA(2)AAA城投205721象港开发PPN0011.99-0.08100.674.122.872.83AA(2)AA+城投503221象港开发PPN0020.87-0.04101.414.202.632.59AA(2)AA+城投50723平安租赁SCP0110.16-0.01100.016.252.572.51AA+AAA非银金融1800306三峡债2.25-0.01103.660.292.462.45AAA+AAA公用事业383123京国资MTN001B14.79-0.01105.160.072.892.89AAAAAA综合210323三峡K219.57-0.01105.190.052.802.80AAA+AAA公用事业420GC三峡K219.83-0.01107.170.062.802.80AAA+AAA公用事业32122平安租赁MTN0030.18-0.01100.143.032.562.53AA+AAA非银金融10024京国资MTN001B14.99-0.0199.640.052.892.89AAAAAA综合999522黔投033.740.0090.160.368.588.57A+AA城投1140022谷财023.630.00102.990.063.073.07AAAA城投63716中油021.950.00101.930.052.472.47AAA+AAA石油石化1187821穗交042.740.00102.210.052.612.61AAAAAA城投51123苏交通MTN0032.510.00100.250.132.592.59AAAAAA交通运输400922华侨城MTN0053.490.0098.280.133.733.73AAA-AAA社会服务491922扬子043.770.00101.440.042.902.90AA+AAA城投202923义乌国资MTN0032.580.00101.990.012.982.98AAAAA城投510022常交通MTN0013.200.00102.460.012.832.83AAAA+城投112722岳阳城投MTN0013.560.00101.870.023.063.06AAAA+城投611222海城建设MTN0013.690.00101.640.022.872.87AAAA+城投81324武汉城投MTN0013.980.00100.190.022.732.73AAAAAA城投800622京保033.730.00100.880.012.722.72AAAAAA城投10090建工KY052.350.00100.930.012.772.77AA+AAA建筑装饰201824河钢集GN0022.990.00100.280.022.902.90AA+AAA钢铁3302024中交二公MTN001B(科创票据)2.990.00100.110.022.862.86AAAAA建筑装饰100023大兴发展MTN0012.620.00100.530.012.682.68AA+AAA城投301623JTYK012.540.00100.590.012.672.67AAAAAA城投311924格力MTN0012.980.00100.090.012.852.85AAA-AAA建筑装饰500822钟山资产MTN0010.320.00100.15-0.462.652.65AAAA+城投801523靖投010.950.00102.94-0.922.792.80AA(2)AA城投534224大横琴MTN0022.980.00100.12-0.012.962.96AAAAA城投500619泰山投资MTN0010.400.00100.29-0.492.622.62AA(2)AA+城投441323甬交投MTN0012.010.00102.28-0.152.892.89AAAAA建筑装饰409121川能投MTN002B0.510.00100.67-0.712.582.58AA+AAA公用事业100723云投SCP0380.110.00100.20-5.262.532.58AA(2)AAA城投100224财通012.980.0099.910.002.982.98AA+AAA非银金融1000PR六交投0.240.0020.08-2.173.913.93A+AA城投37121德清建设MTN0020.220.00100.40-2.192.582.60AA(2)AA+城投1004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金地030.162.3686.89-1441.6794.23108.65BB+AAA房地产328222贵经011.211.1499.58-101.877.848.86A+AA-城投297PR筑经012.221.1159.71-100.467.908.90A+AA-城投13622GLP011.080.4979.80-52.0028.6829.20A+AAA交通运输6022不动010.940.4692.95-51.9711.9212.44AA-AAA社会服务4818GLPR30.240.3193.93-102.1730.4631.48A+AAA交通运输21219不动060.530.2997.63-53.048.799.32AA-AAA社会服务8824上饶012.960.28100.23-10.053.193.29AA(2)AA+城投100321GLP070.200.2794.89-102.7830.4431.47A+AAA交通运输11819金凤凰2.530.2562.41-18.144.754.94AA-AA城投29319不动040.460.2597.97-52.878.799.32AA-AAA社会服务62920柳投051.860.23103.96-13.715.105.24AA-AA城投16021金地MTN0040.300.2275.85-1.86108.10108.12BB+AAA房地产43216金地020.120.2191.19-4.6784.9584.99BB+AAA房地产343224中交投MTN001B9.990.18100.17-2.183.233.25AAA-AAA房地产200321天地一0.890.18100.70-21.896.626.84AA-AA房地产135720津投066.070.1796.18-3.204.975.00AAAAA城投95324鲁宏桥CP0020.990.16100.18-16.503.003.17AAAA+有色金属50024浙湖012.980.14100.31-5.043.143.19AA(2)AA城投301024开乾014.980.1399.39-3.034.644.67AA-AA城投100422酉阳债3.240.1199.97-3.986.806.84A+AA城投106623伊资021.610.11104.86-7.833.143.22AA-AA城投104923任城041.600.11103.73-7.784.784.86AA-AA城投40618GLPR20.170.1195.94-23.5829.1829.41A+AAA交通运输37220龙湖041.070.0974.20-2.0137.3337.35AA-AAA房地产152623青白江PPN0062.610.09106.09-4.114.274.31AA-AA城投783222龙湖031.280.0969.86-1.7637.8437.86AA-AAA房地产2123红塔债2.240.09104.25-4.665.415.46AA-AA城投21224武清经开MTN0022.990.09100.17-3.243.643.67AA-AA城投500024邵新012.970.09101.00-3.263.643.67AA-AA城投80024万盛022.980.09100.02-3.264.494.53AA-AA+城投30224自高012.980.09100.42-3.254.354.38AA-AA城投108023城乡V42.170.09104.29-4.634.664.71AA-AA城投10423鲁旅022.890.09100.88-3.435.655.69AA-AA城投401720龙湖061.490.0965.64-1.2438.4738.48AA-AAA房地产30723潍经012.120.09102.35-4.555.785.82AA-AA城投10123滇度债2.900.09102.13-3.406.176.20AA-AA+城投522龙湖010.930.0876.55-1.9537.3237.34AA-AAA房地产231924临沂城投MTN0013.990.0799.60-2.023.303.32AAAAA城投500020龙湖020.940.0776.89-1.9737.3237.34AA-AAA房地产79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）22兴业银行二级012.930.04102.21-1.502.662.67AA+AAA股份行3062721北京农商二级2.880.04102.48-1.4