2月29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2月29日 2月29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，“15银川大桥项目NPB”债券估值价格偏离幅度较大。净价上涨成交个券中，“23大横琴MTN003B”估值价格偏离程度靠前。净价上涨成交二永债中，“20浦发银行二级04”估值价格偏离幅度较大；净价上涨成交商金债中，“23光大银行债01”估值价格偏离幅度靠前。成交收益率高于10%的个券中，交通运输行业的债券排名靠前。 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。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 999563357 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）15银川大桥项目NPB1.71-0.17100.9223.223.112.88AA-城投201823中建七局MTN002(科创票据)2.72-0.11101.964.322.842.79AAAAA建筑装饰407724安琪生物MTN0012.89-0.08100.323.052.702.67AA+AAA食品饮料501424绍兴国资MTN0022.87-0.08100.273.052.602.57AA+AA+食品饮料702424华润租赁MTN001(碳中和债)1.92-0.0899.984.182.612.57AA+AAA非银金融400124长投012.90-0.08101.222.753.053.03AA(2)AAA城投3518424峨眉012.98-0.08100.532.714.013.98AA-AA城投1326724芦淞012.93-0.07100.312.673.813.79AA-AA城投349022铁一Y11.78-0.07102.933.752.482.45AAAAA建筑装饰102824乳山国运MTN0034.94-0.0599.931.114.524.50AA-AA城投400421迈瑞031.02-0.05103.293.722.792.75AA(2)AA+城投205720滁同创1.70-0.04102.112.462.812.78AA(2)AA+城投102120滁州同创债3.01-0.0482.652.592.822.79AA(2)AA+城投165122邗江G11.83-0.04104.062.022.592.57AA(2)AA+城投519PR百福债2.06-0.0446.062.942.652.62AA-AA城投4075G23邗江2.09-0.03103.101.372.732.72AA(2)AA+城投309221滁同011.99-0.03101.121.532.862.85AA(2)AA+城投419523濮阳D10.48-0.03100.975.122.742.69AA(2)AA城投201923万盛D10.40-0.02101.931.952.932.91AA-AA城投203623新惠030.39-0.02101.721.992.832.81AA-AA城投90423景旅030.40-0.02101.661.952.832.81AA-AA+城投50822河口010.45-0.02101.831.633.193.18AA-AA城投242923新惠020.34-0.02101.371.982.822.80AA-AA城投201823银城010.47-0.02101.871.422.992.98AA-AA+城投193622潼南020.47-0.02101.811.422.842.83AA-AA城投812G21临川20.34-0.02101.331.722.532.51AA-AA城投101123曹国D20.34-0.02101.231.982.772.75AA-AA+城投202321睢新020.32-0.02101.211.893.263.25AA-AA城投37523昆明交通MTN0020.45-0.02101.741.333.002.99AA-AAA城投101719宝鸡投资PPN0020.48-0.02101.821.263.053.03AA-AA城投203721河口010.28-0.0270.781.703.163.14AA-AA城投184017株洲湘江债0.44-0.0220.331.402.552.54AA-AA+城投20322桓台010.41-0.02101.231.903.343.32AA-AA城投1984019泰达020.28-0.02101.121.622.722.71AA-AAA城投303423兖投D10.43-0.02101.201.793.493.47AA-AA+城投7022铜仁010.40-0.02101.001.954.734.71AA-AA城投275223武清经开SCP0060.20-0.01100.861.292.522.51AA-AA城投201822昆产030.47-0.01101.281.423.593.58AA-AA+城投29820西城020.30-0.01100.921.823.263.24AA-AA+城投302821汇兴020.53-0.01102.160.532.852.84AA-AA城投1420大幅折价个券成交跟踪 资料来源：Wind，国投证券研究中心 eWaZaXhUeWpY9ZcZcVuZ7NbP9PtRmMsQmQjMpPpMeRnNmN6MmNsMwMnOqQMYnQxP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）23大横琴MTN003B9.730.59107.11-7.413.323.39AA+AAA城投214820津投106.130.5499.32-10.264.364.46AAAAA城投3218723大横琴MTN002B9.390.54106.98-6.953.323.39AA+AAA城投107220津投066.010.5399.82-10.124.264.37AAAAA城投516624深圳地铁MTN00114.980.44100.80-3.652.832.87AAAAAA城投1505419津投065.000.40104.59-9.093.964.05AAAAA城投117222不动021.180.3893.63-33.789.8110.15AA-AAA社会服务382224济南能源MTN0014.940.35100.79-7.833.023.10AAAAA社会服务1204322GLP021.570.3576.81-24.1223.3823.62A+AAA交通运输7020浦发银行二级046.550.34110.84-6.002.692.75AA+AAA银行2649524萍创012.900.33101.02-12.243.403.53AA(2)AA+建筑装饰800023荆楚032.750.32102.75-12.593.433.56AA(2)AA城投101521灌江债4.750.31104.45-12.714.314.44AA(2)AA城投2140PR新平011.900.3139.72-24.118.248.48A+AA-城投7123曲文控MTN0011.810.30103.25-17.913.443.61AA(2)AA+城投621123巴中032.660.30106.28-12.574.955.08AA-AA城投605422金沙013.370.3097.54-12.449.029.15A+AA城投15PR安投债0.550.2920.28-53.234.424.95A+AA城投32322不动010.880.2994.94-33.569.7910.12AA-AAA社会服务25223华阳新材MTN0134.570.28103.78-6.812.983.05AAAAA煤炭207216滨旅债1.560.28100.48-19.115.325.51A+AA城投185924青岛城乡PPN0011.990.28100.70-14.733.433.58AAAA+非银金融1101520泉丰021.240.2799.08-23.848.278.51A+AA城投287523柳城022.400.27106.63-12.754.514.64AA-AA+城投24123泉丰021.230.2799.08-23.828.278.50A+AA城投176024农行二级资本债01B9.940.27101.03-3.142.682.71AAA-AAA银行403524株国034.930.27101.36-6.073.483.55AAAA+医药生物611320不动Y11.180.2786.21-23.1918.3718.60AA-AAA社会服务36123农行二级资本债03B9.670.25107.32-3.072.682.71AAA-AAA银行2355223银创022.150.25103.34-12.724.824.94AA-AA+城投3606923中行二级资本债02B9.560.25105.75-3.052.682.71AAA-AAA银行1054723农行二级资本债02B9.540.25105.57-3.052.682.71AAA-AAA银行210622贵安G21.250.2516.89-21.024.354.56AA-AA+城投722GLP011.020.2484.81-23.6422.6422.88A+AAA交通运输2823三峡K219.520.24106.92-1.652.692.71AAA+AAA公用事业10719同建社会债2.470.2461.76-17.292.913.08AA(2)AA城投2471GC三峡K219.770.24108.95-1.642.692.71AAA+AAA公用事业488621中法债1.890.23103.77-13.203.493.62AA(2)AA城投411023安顺014.560.2399.09-6.057.237.29A+AA城投109620贵安G21.170.2358.76-21.034.334.54AA-AA+城投2391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）20浦发银行二级046.550.34110.84-6.002.