2月27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28日 2月27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深圳地铁MTN001”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，“22金华银行二级01”估值价格偏离幅度较大；净价上涨成交商金债中，“23重庆银行小微债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2至3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2至3年，其中1至1.5年品种折价成交占比最高。分行业看，家用电器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 999563366 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深圳地铁MTN00114.99-0.19100.361.602.872.85AAAAAA城投300021昆速011.76-0.14107.847.993.333.25AA-AA+城投73124滨建投MTN0032.93-0.10100.183.583.233.20AA(2)AAA城投400023乌高012.39-0.08102.243.352.812.78AA(2)AA+城投253524北国资债012.86-0.07100.152.712.502.47AAAAAA综合1500822六城041.67-0.05100.893.002.682.65AA(2)AA+城投100823章控021.46-0.05102.942.892.792.76AA(2)AA+城投514化学YK011.30-0.04100.663.402.422.39AAAAA建筑装饰690722隧道011.20-0.04100.633.652.432.39AAAAAA建筑装饰372324浙资运营MTN001(科创票据)2.92-0.04100.591.552.522.50AAAAAA交通运输15079PR百福债2.07-0.0446.153.032.472.44AA-AA城投20524开乾014.93-0.04100.210.834.454.44AA-AA城投51824乳山国运MTN0034.94-0.04100.030.824.494.48AA-AA城投400224长寿开投PPN0024.99-0.0498.720.824.514.50AA-AA+城投200022河口010.46-0.02101.852.313.203.17AA-AA城投203724合建投MTN0016.92-0.02100.410.342.832.83AAAAAA城投703023远东一0.88-0.02101.751.672.832.82AAAAA非银金融711915粤路建6.79-0.02109.300.262.732.73AAAAAA交通运输5524华侨城MTN0012.89-0.02100.440.633.413.40AAA-AAA社会服务3412921河口010.29-0.0270.791.493.173.15AA-AA城投56723潼南032.76-0.01104.360.413.753.74AA-AA城投211523津城建CP0070.13-0.01100.640.202.392.39AAAAA城投1811623华侨城MTN0062.75-0.01101.360.473.403.39AAA-AAA社会服务601414鄂交010.08-0.01100.340.252.222.22AAAAAA城投100324恒信Y11.95-0.01100.230.503.383.37AAAAA非银金融100022海通恒信MTN0041.80-0.01102.420.342.722.72AA+AAA非银金融204922晋能山西MTN0030.03-0.01100.090.573.163.16AAAA+公用事业600523津城建MTN0061.63-0.01103.400.212.822.82AAAAA城投413819晋交投MTN0010.12-0.01100.360.072.392.39AAAA+交通运输401423恒信G12.33-0.01102.010.222.892.89AA+AAA非银金融101921黄城发0.01-0.0188.029.812.632.53AA(2)AA+城投88522北部湾MTN0030.07-0.01100.180.172.782.78AA-AAA商贸零售500919洋河010.13-0.01100.260.602.292.29AA+AAA食品饮料2005PR六交投0.19-0.0120.060.253.713.71A+AA城投11821豫投017.78-0.01106.250.052.992.99AAAAAA综合106222河南资产MTN0011.28-0.01101.220.252.562.56AAAAA非银金融202519首旅MTN0010.10-0.01100.190.242.262.26AA+AAA社会服务100221中建八局MTN0010.07-0.01100.120.172.432.43AAAAA建筑装饰200221青控020.11-0.01100.220.102.542.54AAAAA非银金融200421厦国贸控MTN0010.02-0.01100.010.922.342.33AA+AAA交通运输940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MTN0050.301.2381.99-417.4374.5578.72BB+AAA房地产1032221金地MTN0040.251.2084.60-474.6275.9180.65BB+AAA房地产34522龙湖022.880.9553.20-42.3330.6231.05AA-AAA房地产53123遵旅022.220.9499.50-46.656.737.20A+AA城投1887PR旅投013.580.8862.19-47.015.736.20A+AA城投283120龙湖061.440.8470.56-71.2132.9733.69AA-AAA房地产98921龙湖062.450.8154.60-41.8533.6134.03AA-AAA房地产244PR遵旅041.930.8077.38-46.595.936.39A+AA城投240021龙湖021.860.7763.40-51.5533.9734.48AA-AAA房地产708PR遵旅052.050.7492.23-46.556.807.27A+AA城投54921龙湖042.230.7457.06-41.6634.5234.94AA-AAA房地产360722龙湖031.220.7374.68-71.1932.0832.79AA-AAA房地产74720津投106.140.5498.25-10.134.564.66AAAAA城投305820津投066.020.5398.77-10.114.474.57AAAAA城投2008PR遵旅011.270.5084.57-46.155.546.00A+AA城投12419津投275.790.50103.47-10.074.404.50AAAAA城投315721金地010.010.4699.08-0.98166.05166.05BB+AAA房地产2719津投065.000.44103.71-10.154.154.25AAAAA城投11619津投044.910.43103.69-10.094.104.20AAAAA城投2101PR西工021.920.4139.68-31.628.618.93BBBAA城投12523遵旅010.890.40100.80-46.815.515.98A+AA城投1014PR安方债1.890.4039.55-31.648.678.99AAA-城投77224津城建MTN0052.890.38101.54-14.213.083.22AAAAA城投202524诸水014.890.37103.12-9.175.946.03AA-AA城投166PR水城务1.750.3639.98-31.647.988.30A-AA-城投142PR毕节债1.770.3638.71-31.6610.8911.20A-AA-城投20821遵旅030.800.36101.45-47.025.505.97A+AA城投137923开乾V24.580.35108.56-9.174.955.05AA-AA城投53PR西工011.720.3539.67-31.618.588.90BBBAA城投822不动021.190.3592.93-31.2210.4810.80AA-AAA社会服务106PR筑经012.170.3461.26-31.335.545.85A+AA-城投1922贵经011.160.34102.24-31.235.435.74A+AA-城投268322遵旅030.730.33100.64-47.015.505.97A+AA城投1497PR水高科1.660.3336.58-31.5616.1716.48BBBA+城投9623津城建MTN0152.790.33103.12-12.613.063.19AAAAA城投816424晋能山西MTN0012.870.33102.14-12.243.673.79AA-AA+公用事业1423221钟山014.020.32104.54-9.486.486.57AA-AA城投235222GLP021.580.3276.28-21.3223.8624.07A+AAA交通运输219024邗建012.910.31100.35-11.363.173.28AAAA城投40224山西建投MTN002B2.930.31100.91-11.423.633.75AA-AAA建筑装饰7999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）22金华银行二级013.310.22100.59-7.424.604.67A+AA+城商行200922厦门国际银行永续债012.900.16102.44-6.082.912.97AAAAA城商行