2月26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26日 2月26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，“21开福01”债券估值价格偏离幅度较大。净价上涨成交个券中，“21金地MTN005”估值价格偏离程度靠前。净价上涨成交二永债中，“21龙江银行二级01”估值价格偏离幅度较大；净价上涨成交商金债中，“23杭州银行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年内，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2至3年，其中1年内品种折价成交占比最高。分行业看，机械设备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 999563339 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）21开福012.00-0.4199.6032.332.712.38AAAA+城投1190核建YK024.58-0.16102.733.602.802.77AAA-AAA建筑装饰205423柳建022.15-0.13106.705.194.164.11AA-AA城投115124冀中能源MTN003(科创票据)2.93-0.11100.233.863.803.76AA-AAA煤炭100222苏通041.41-0.10100.886.812.802.73AA(2)AA城投302624乳山国运MTN0034.95-0.08100.061.854.484.47AA-AA城投1725824长寿开投PPN0024.99-0.0898.761.834.504.48AA-AA+城投80023津城建MTN0081.66-0.08103.303.862.832.79AAAAA城投413522枣新011.83-0.08103.183.592.982.95AA(2)AA+城投206323津城建MTN0101.69-0.08102.683.892.842.80AAAAA城投513923鲁高Y42.49-0.07101.152.962.692.66AAA-AAA城投202123津城建MTN0131.75-0.06101.333.432.862.82AAAAA城投608520盐高013.51-0.0684.642.002.952.93AA(2)AA+城投253522晋能煤业MTN012B(科创票据)1.40-0.06103.333.012.702.67AAAAA煤炭206722晋能煤业MTN0231.57-0.06102.952.722.742.71AAAAA煤炭103022迈瑞G11.63-0.05102.102.712.852.83AA(2)AA+城投204122前进齿轮MTN0010.99-0.05100.954.512.502.45AAAA机械设备50522晋能煤业MTN015(科创票据)1.38-0.05101.602.962.502.47AAAAA煤炭406323海资010.99-0.05101.713.412.592.55AAAAA城投1830520长寿G20.57-0.05102.003.042.742.71AA-AA+城投5609PR夷陵010.52-0.0520.402.852.542.51AA-AA城投16219夷陵经发债012.08-0.0562.951.022.792.78AA-AA城投315014汕头投资债0.02-0.0415.011.912.442.42AAAA+城投180223西游发1.15-0.04101.513.042.832.80AAA城投608923曹国D20.35-0.04101.244.112.812.77AA-AA+城投1264023迈瑞G21.42-0.04103.411.852.822.80AA(2)AA+城投206623秦发021.04-0.04102.972.162.742.72AA(2)AA城投308821申太010.50-0.04101.433.682.802.76AA(2)AA城投202816临投010.05-0.04100.220.272.832.83AA-AA+城投1002PR合建投0.17-0.0415.121.232.422.40AAAAAA城投119合川010.26-0.04101.161.142.672.65AA(2)AA城投202323滨D130.07-0.04100.310.712.612.61AA(2)AAA城投100017迈瑞010.40-0.04100.974.322.742.69AA(2)AA+城投605723景城D30.30-0.04101.270.962.822.81AA(2)AA城投1604523景城D20.26-0.04101.091.142.822.80AA(2)AA城投404323曹妃国控PPN0010.14-0.04100.524.542.772.73AA-AA+城投201123漯投030.31-0.04101.260.812.882.87AA(2)AA+城投70020江津021.37-0.04102.311.692.792.77AA(2)AA+城投409023滨海D40.04-0.04100.131.362.602.58AA(2)AAA城投100020清浦010.06-0.04100.210.902.712.70AA(2)AA城投16758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MTN0050.312.5380.99-777.5278.7286.50BB+AAA房地产175621金地030.112.1794.31-1490.8955.6670.57BB+AAA房地产718522GLP021.581.5276.04-108.2824.0725.15A+AAA交通运输17621金地MTN0070.801.5067.59-221.9764.8967.11BB+AAA房地产161521金地MTN0060.711.4768.89-232.0768.6170.93BB+AAA房地产486921金地010.011.3798.63-2.22166.05166.08BB+AAA房地产922龙湖022.881.0952.71-43.7531.0531.48AA-AAA房地产73422GLP011.031.0584.22-108.1423.3324.41A+AAA交通运输4620龙湖041.021.0080.17-103.1029.0230.05AA-AAA房地产351820龙湖061.450.9969.98-73.5233.6934.42AA-AAA房地产50816龙湖042.020.9760.66-52.5334.5935.11AA-AAA房地产721龙湖062.460.9654.16-42.8934.0334.46AA-AAA房地产29122龙湖041.360.9571.42-73.6033.5634.30AA-AAA房地产377520不动Y11.190.9185.73-80.2018.8319.63AA-AAA社会服务98721龙湖021.860.9162.92-52.7234.4835.01AA-AAA房地产99021龙湖042.230.8956.64-42.5834.9435.36AA-AAA房地产234422龙湖010.880.8982.16-102.5028.7229.75AA-AAA房地产324820龙湖020.890.8882.50-102.5328.7629.79AA-AAA房地产298822龙湖031.230.8874.14-73.6032.7933.52AA-AAA房地产17921龙湖拓展MTN001(项目收益)0.780.8185.11-100.1826.4127.41AA-AAA房地产88021GLP110.490.6391.46-107.5023.2824.36A+AAA交通运输13420津投106.140.5797.73-10.744.664.77AAAAA城投2002620津投066.020.5498.26-10.364.574.67AAAAA城投399919津投275.790.50102.96-10.204.504.61AAAAA城投104521金地MTN0020.040.4597.87-2.2258.3158.33BB+AAA房地产781919津投044.910.45103.25-10.494.204.31AAAAA城投1039PR安方债1.890.4239.39-32.588.999.31AAA-城投161PR黔南1.850.4138.67-32.5410.7611.09BBB+AA城投42824浦里开发MTN0012.930.40101.58-14.743.423.57AA-AA城投2218PR水高科1.660.3836.46-32.7416.4816.81BBBA+城投9618GLPR30.190.3796.28-108.4023.8624.94A+AAA交通运输15716金地020.070.3697.10-2.2247.4747.49BB+AAA房地产148921金地MTN0030.080.3596.69-2.2246.9847.00BB+AAA房地产861623柳债062.660.35105.77-15.045.095.24AA-AA+城投1644623贵安012.500.34101.52-15.085.325.47AA-AA+城投29820金地MTN001B1.100.3366.02-3.3550.9350.97BB+AAA房地产11421GLP070.150.3397.04-108.0023.8424.92A+AAA交通运输121023国新控股MTN001B19.320.32109.45-2.262.942.96AAAAAA非银金融3270222不动021.190.3192.60-23.5610.8011.03AA-AAA社会服务5823任城022.380.31103.63-14.635.315.46AA-AA城投5424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）21龙江银行二级011.980.20101.23-10.944.144