2月19日信用债异常成交跟踪：根据Wind数据，折价成交个券中，“22金水01”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02月19日 2月19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金水01”债券估值价格偏离幅度较大。净价上涨成交个券中，“20龙湖04”估值价格偏离程度靠前。净价上涨成交二永债中，“24恒丰银行二级资本债01”估值价格偏离幅度较大；净价上涨成交商金债中，“24平安银行小微债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[-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4至5年内，其中折价成交主要分布在3至4年；分行业看，环保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）22金水010.88-0.28101.3926.193.313.05AA-AA+城投815423金水D10.75-0.21100.6524.193.283.03AA-AA+城投80324伊宁国资MTN0012.95-0.1599.975.443.433.37AA-AA城投100024怀化交投MTN0012.95-0.1599.915.443.533.48AA-AA城投100023京资0314.60-0.15105.031.222.922.91AAAAAA综合1056424川能投MTN0026.95-0.15100.382.353.023.00AA+AAA公用事业200022随高债1.36-0.15104.374.873.143.10AA-AA城投517622綦江新城MTN0011.18-0.15103.995.142.842.78AA-AA城投103222兴阳011.27-0.14105.512.622.972.95AA-AA城投314923津静021.18-0.14105.302.463.143.12AA-AA+城投81122景陶债1.08-0.14104.014.162.802.76AA-AA+城投683922沂投031.28-0.14105.292.613.183.15AA-AA城投420223京国资MTN001B14.76-0.13105.021.042.902.89AAAAAA综合631323兰考021.18-0.12104.492.453.243.22AA-AA城投36623无锡城南MTN0012.48-0.12101.294.662.772.72AA(2)AA+城投405621柳发021.50-0.12103.873.864.544.51AA-AA+城投1023株资V21.28-0.12104.132.613.133.10AA-AA+建筑装饰207020长寿G20.59-0.12102.083.012.732.70AA-AA+城投612423通泰MTN0021.60-0.11104.452.762.982.95AA-AA城投627123曲文021.29-0.11104.162.573.433.41AA-AA+城投31522桂城011.02-0.11103.213.402.782.75AA-AA城投61823国苑011.27-0.11104.062.613.173.15AA-AA+城投204113鄂投024.69-0.11114.521.032.832.82AAAAAA城投344120万州经开MTN0011.38-0.11104.382.293.183.16AA(2)AA+城投207423周城041.18-0.11104.321.312.992.98AA(2)AA城投207222西港021.22-0.11103.682.603.363.33AA-AA城投12622西港051.33-0.11103.932.463.393.37AA-AA+城投1619邳经011.18-0.11104.341.333.943.93AA(2)AA城投620423城资031.35-0.11104.072.324.304.28AA-AA+城投39323安远011.30-0.11103.742.563.183.16AA-AA-城投464820昆交G11.44-0.10102.304.473.473.43AA-AA+城投22423城资021.16-0.10103.602.334.234.21AA-AA+城投7823邵城011.09-0.10104.080.812.972.96AA(2)AA+城投206623城资041.41-0.10104.211.924.324.31AA-AA+城投10420龙城011.10-0.10103.591.743.113.09AA-AA城投31123文蓝011.32-0.10103.632.484.094.07AA-AA+城投10423恒泰011.42-0.10104.151.843.433.41AA-AA城投552923荆楚011.08-0.10103.940.773.423.41AA(2)AA城投312223曹国021.52-0.10105.300.743.173.16AA-AA+城投104420铜梁011.11-0.10103.920.973.433.42AA(2)AA城投456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）20龙湖041.041.5675.41-101.9136.3037.32AA-AAA房地产16722GLP011.051.5081.04-111.8827.5528.67A+AAA交通运输15622龙湖010.901.3477.64-102.2236.2937.32AA-AAA房地产132220龙湖020.911.3277.96-102.2036.2937.32AA-AAA房地产91921GLP110.511.0989.42-114.5027.4928.64A+AAA交通运输921GLP070.170.8995.80-117.8129.2630.44A+AAA交通运输35021龙湖050.480.8793.24-104.6518.4419.49AA-AAA房地产227218GLPR20.140.8696.86-137.8127.5828.96A+AAA交通运输8821GLP050.100.7897.82-117.5227.3628.53A+AAA交通运输136022龙湖041.370.7767.67-1.0538.4438.45AA-AAA房地产719龙湖040.410.7694.92-104.8017.4418.48AA-AAA房地产134320龙湖061.460.7566.19-0.8338.4538.46AA-AAA房地产721GLP030.050.7498.89-117.3027.3428.51A+AAA交通运输169121龙湖062.480.6951.48-0.0136.6536.65AA-AAA房地产43322龙湖022.900.6249.35-1.3634.0234.04AA-AAA房地产20PR攀投债0.430.5919.33-89.8015.0715.97BBBAA-城投30321龙湖030.250.5897.33-106.4514.2015.27AA-AAA房地产3508PR旅投013.600.3960.08-20.817.597.80A+AA城投624华旅012.930.35102.04-13.714.744.87AA-AA城投496123兖投011.070.33103.12-38.713.754.13AA-AA+城投26422酉阳债3.210.33100.44-11.646.636.75A+AA城投59420津投066.040.3296.51-5.894.914.97AAAAA城投194323惠民城建PPN0010.990.31103.14-39.993.724.12AA-AA+城投306324兴岚011.910.31100.29-17.134.344.51AA(2)AA+建筑装饰301721兖州021.760.30104.95-22.194.304.52AA-AA+城投10522昭投013.710.3023.26-9.266.676.77AA-AA城投6924诚通控股MTN004B19.940.28101.97-1.993.253.27AA+AAA综合1217419兖投020.840.28103.12-44.873.654.10AA-AA+城投258824兴市012.900.28101.54-10.883.924.03AA(2)AA城投64323铜仁023.800.2899.84-8.617.047.12AA-AA城投5023万盛032.280.27107.79-16.303.864.02AA-AA+城投58919津投065.020.25101.85-5.734.574.63AAAAA城投14924惠民城建PPN0012.960.2598.88-8.734.925.00AA-AA+城投822024新开元PPN0022.960.2599.27-8.734.274.35AA-AA城投200823益阳交投MTN0031.560.24102.36-18.583.413.59AA(2)AA城投203219津投044.930.24101.90-5.834.514.57AAAAA城投1023兖投021.590.24104.12-20.064.244.44AA-AA+城投81623遵旅022.240.2496.30-9.448.368.45A+AA城投35419津投275.810.24101.28-4.894.844.89AAAAA城投10194PR水高科1.680.2436.05-1.1717.4817.49BBBA+城投41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）24恒丰银行二级资本债014.960.05100.13-1.132.972.98AAAAA股份行200023汉口银行二级资本债024.790.04104.39-1.553.393.41AA-AA+城商行314221网商银行永续债012.280.04101.52-2.734.184.20AA-AAA其他银行91323苏州银行二级014.820.04102.09