2月20日信用债异常成交跟踪

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20日 2月20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，“24青岛海创PPN001”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，“23工行二级资本债01A”估值价格偏离幅度较大；净价上涨成交商金债中，“22江苏银行三农债01B”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2至3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，其中1.5至2年品种折价成交占比最高。分行业看，食品饮料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 999563312 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）24青岛海创PPN0011.95-0.18100.379.863.593.49AA(2)AA+城投1000023金水D10.75-0.16100.4921.703.493.28AA-AA+城投100523广能K22.53-0.10101.984.313.463.42AAAA+公用事业304223青岛金水SCP0030.54-0.09100.1916.743.142.98AA-AA+城投799623金瓯Y12.57-0.09101.183.683.803.77AA-AAA非银金融402024彭泽022.96-0.0799.562.453.843.82AA-AA城投500424邵新012.94-0.07101.172.413.573.55AA-AA城投462524炬能F12.95-0.0799.722.433.833.81AA-AA城投5185324青资012.95-0.0799.842.435.065.03AA-AAA基础化工600224长寿投资PPN0012.89-0.0699.712.274.074.05AA-AA+城投445322世园010.07-0.05100.0368.004.073.39AA-AA+城投201222长资030.67-0.05102.256.452.992.93AA-AA+城投474922长资011.18-0.05103.823.853.133.09AA-AA+城投207623金水010.18-0.05100.5420.693.403.19AA-AA+城投50223长寿K11.50-0.05105.562.543.133.11AA-AA+城投422121康佳020.25-0.05100.1617.213.263.09AAAA家用电器60122长资020.59-0.05101.786.202.992.93AA-AA+城投45824南川城投MTN0012.96-0.04100.261.453.513.49AA-AA城投1000724武清经开MTN0022.96-0.04100.121.453.663.64AA-AA城投600023青岛海创MTN0010.52-0.04100.996.543.253.19AA(2)AA+城投301624浦里开发MTN0012.94-0.04100.851.393.693.67AA-AA城投1607524电建K19.95-0.0399.980.402.882.88AAAAAA建筑装饰300721长兴城投PPN0020.86-0.03101.792.972.632.60AA(2)AA+城投101822苏国信GN001(碳中和债)0.93-0.03100.363.182.412.37AAAAAA公用事业100422京投Y11.51-0.03100.211.752.582.57AAAAAA城投100219夷陵大保护绿色NPB0.78-0.0362.111.732.852.83AA-AA城投186022大足国资PPN0020.80-0.02103.441.673.053.03AA-AA城投1855319兖投020.84-0.02103.101.413.663.65AA-AA+城投104422泾河020.80-0.02102.361.684.354.33AA-AA城投102122兴投030.07-0.02100.1518.992.542.35AA(2)AAA城投400722饶创010.85-0.02103.191.343.123.10AA-AA+城投51422铜都020.74-0.02102.321.673.193.18AA-AA城投431321柳城债0.86-0.02102.921.263.723.71AA-AA+城投266221遂开030.67-0.02102.501.453.543.53AA-AA城投1229321渝园020.82-0.02102.161.554.714.69AA-AA城投20421富源010.82-0.02102.071.584.814.79AA-AA城投30121扬中城投PPN0010.84-0.02102.491.403.513.50AA-AA城投408121柳投030.80-0.02101.781.685.055.03AA-AA城投30419绵阳停车项目NPB010.73-0.0291.871.623.993.98AA-城投2757114赣粤020.48-0.02101.692.032.382.36AAAAAA交通运输0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030.131.1588.31-744.83103.10110.55BB+AAA房地产129716金地020.081.0992.63-1040.0297.22107.62BB+AAA房地产110521金地MTN0020.051.0893.28-1343.95130.52143.96BB+AAA房地产139422GLP011.040.9981.85-113.2326.4227.55A+AAA交通运输5320龙湖041.040.8676.06-103.2235.2736.30AA-AAA房地产201321龙湖030.250.7898.09-303.7711.1714.20AA-AAA房地产244920龙湖020.910.7778.56-102.9935.2636.29AA-AAA房地产100422龙湖010.900.7778.23-102.9635.2636.29AA-AAA房地产113421龙湖拓展MTN001(项目收益)0.800.7181.27-101.9233.0534.07AA-AAA房地产336021GLP110.510.5789.94-114.0426.3527.49A+AAA交通运输7521龙湖050.480.5093.70-103.9917.4018.44AA-AAA房地产126921金地010.030.4496.01-1.79166.12166.14BB+AAA房地产3419龙湖040.410.4495.34-103.9416.4017.44AA-AAA房地产488PR旅投013.600.4060.32-21.747.387.59A+AA城投32119贵阳经开债012.190.3560.59-32.426.576.89A+AA-城投11753PR筑经012.190.3560.59-32.426.576.89A+AA-城投259PR水高科1.680.3536.17-32.7617.1517.48BBBA+城投4020兴安011.600.3349.56-33.028.318.64A+AA城投63620济中城建MTN0011.710.32103.67-20.374.514.71AA-AA城投104723巴中032.680.32105.17-13.465.415.54AA-AA城投149023贵安012.520.31100.91-13.615.595.72AA-AA+城投110023渝南022.330.30104.11-14.515.455.60AA-AA+城投75118GLPR30.210.3095.15-113.9028.1429.28A+AAA交通运输23324巩义国资MTN0012.960.29100.26-10.343.483.59AA(2)AA城投1000018兰轨道债024.100.28109.17-8.135.255.33AA-AA城投1974519邹城隆城项目NPB4.900.2858.07-12.476.396.52AA-城投235921钟山014.040.27103.50-8.106.786.86AA-AA城投657324兴岚011.900.27100.56-15.234.184.34AA(2)AA+建筑装饰202523乳山012.080.27105.90-14.383.984.12AA-AA城投941722不动021.200.2791.62-23.2411.6911.92AA-AAA社会服务1923兴工026.420.26103.52-6.895.565.63AA(2)AA建筑装饰233122贵安011.270.2628.95-21.605.285.50AA-AA+城投14321GLP070.170.2696.05-114.1628.1229.26A+AAA交通运输86221抚高新3.970.2681.03-11.163.643.75AA(2)AA城投244423惠民建投MTN0011.780.25103.47-15.413.833.99AA-AA+城投929621金地MTN0040.270.2576.39-3.81117.29117.33BB+AAA房地产120823新城控股MTN0012.430.25100.66-10.823.703.81AAAAA房地产1405722新蒲040.760.2498.45-32.928.909.23A+AA+城投44822巴中国资MTN0011.720.24103.99-15.424.414.57AA-AA城投1017S20酉011.860.24100.47-14.015.525.66AA-AA城投2049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工行二级资本债01A4.140.12103.00-3.152.712