3月4日信用债异常成交跟踪：根据Wind数据，折价成交个券中，“23延平02”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03月04日 3月4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，“23延平02”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中信银行二级资本债01A”估值价格偏离幅度较大；净价上涨成交商金债中，“23工商银行绿色金融债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2至3年，其中0.5至1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年内品种折价成交占比最高。分行业看，传媒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 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）23延平021.72-0.16101.679.392.892.80AA-AA城投199924重南新城PPN0012.92-0.14100.454.953.022.97AA(2)AA+城投1006023延平011.32-0.13104.528.252.762.68AA-AA城投213224山西建投MTN0014.90-0.13101.972.883.403.38AA(2)AAA建筑装饰305824蜀道投资MTN0039.98-0.1099.621.112.972.96AA+AAA城投1800120亳宜011.83-0.0984.104.743.123.07AA-AA城投5967G24厦轨19.89-0.09101.760.992.832.82AAAAAA城投1019624赣交019.87-0.08101.850.972.832.82AAAAAA城投1021323银川通联MTN0022.14-0.08105.973.113.073.04AA-AA+城投1905524锡公019.84-0.08103.510.942.972.96AA+AAA城投1451723济南城投MTN003B9.75-0.07106.420.833.223.21AA+AAA城投1492923大横琴MTN003B9.72-0.07107.110.793.323.31AA+AAA城投645219临川城投债011.98-0.0742.971.992.802.78AA-AA城投90323贾汪城投MTN0022.32-0.07106.492.083.133.11AA-AA城投425623晋能煤业MTN0112.77-0.06102.262.212.942.91AAAAA煤炭102024晋能煤业MTN0022.88-0.06100.792.272.752.73AAAAA煤炭201620柳东债1.82-0.06105.672.333.903.88AA-AA+城投424024晋能煤业MTN0012.86-0.06100.822.262.752.72AAAAA煤炭1009223南新021.47-0.06102.013.652.782.74AA(2)AA+城投611820长建011.08-0.06102.304.362.612.57AA(2)AA+城投2864PR海发021.95-0.0642.521.972.792.77AA-AA城投490322秦投011.89-0.06102.652.755.485.45AA-AA城投162424泰达011.97-0.06100.283.092.952.92AA-AAA城投862123深圳地铁MTN0059.60-0.06104.330.662.782.77AAAAAA城投8353PR昆空港1.90-0.0541.961.923.833.81AA-AA+城投58822伊资020.42-0.05101.824.042.822.78AA-AA城投1221718宜国控债011.67-0.0542.281.292.782.77AA-AA城投84523深铁139.55-0.05103.980.602.782.77AAAAAA城投832423济南城建MTN0039.53-0.05107.970.593.123.11AA+AAA城投647920开乾投资MTN0011.65-0.05106.211.322.792.77AA-AA城投2865119谷城建投债012.14-0.0562.721.712.882.86AA-AA城投375719井冈国资债2.08-0.0562.471.893.013.00AA-AA-城投131323晋能煤业MTN0091.68-0.05101.132.612.602.57AAAAA煤炭202221临汾投资MTN0020.15-0.05100.579.462.592.49AA-AA+城投201122梁山债1.69-0.05104.491.563.453.44AA-AA建筑装饰2070国新YK028.25-0.04107.110.543.013.01AAAAAA非银金融534PR兰陵债2.07-0.0461.991.914.164.14AA-AA城投609123津投150.41-0.04102.180.012.412.41AAAAA城投2452519钟城投债2.34-0.0462.921.023.653.64AA-AA城投2531618景德镇专债011.48-0.0441.830.362.682.68AA-AA城投1289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030.101.0596.63-730.3638.8746.17BB+AAA房地产295422GLP011.010.9685.77-99.9921.4622.46A+AAA交通运输50620津投106.120.57100.48-10.794.144.25AAAAA城投406119津投275.770.50105.38-10.234.034.14AAAAA城投107721平安不动MTN0010.460.4597.84-90.068.038.93AA-AAA社会服务48924惠民城建PPN0012.920.40100.56-15.064.294.44AA-AA+城投573924诸水014.870.40104.62-10.015.595.69AA-AA城投280120不动Y11.170.4086.79-30.3217.8018.10AA-AAA社会服务33222不动021.170.3794.26-30.279.229.52AA-AAA社会服务15323渝富029.030.37109.54-4.932.973.02AAAAAA城投438323红塔2.810.35103.80-14.375.495.64AA-AA城投2617G19青州3.290.3462.59-21.654.955.17AA-AA城投104118GLPR30.170.3296.89-99.5522.0023.00A+AAA交通运输53120金地MTN001B1.080.3166.54-0.1350.8650.86BB+AAA房地产258523巴中032.650.30107.05-13.214.654.78AA-AA城投2339721GLP070.130.2997.60-99.2421.9822.97A+AAA交通运输169124冀能股份MTN001B2.990.28100.21-10.133.083.18AAAA+煤炭400022不动010.870.2895.44-29.589.209.50AA-AAA社会服务54824陕西旅游MTN0022.980.28100.35-10.123.583.68AAAA+社会服务2541924溧开Y22.980.28100.09-9.943.273.37AA(2)AA城投9228GC三峡K219.760.28108.80-1.902.702.72AAA+AAA公用事业43424冀中能源MTN003(科创票据)2.910.27100.72-10.133.613.72AA-AAA煤炭100323青白江PPN0062.540.27107.24-12.423.753.87AA-AA城投917522遵桥011.840.2798.70-15.485.755.90AAA+城投50124鲁公012.880.27101.71-10.133.663.76AA(2)AA+城投623116金地020.050.2798.72-90.8528.9729.87BB+AAA房地产208322金沙013.360.2797.98-10.998.838.94A+AA城投480PR新平011.890.2639.91-20.187.858.06A+AA-城投823利民041.310.25103.59-21.774.114.33AA-AA城投52223陕西旅游MTN0022.700.25103.28-10.373.693.80AAAA+社会服务204023潍坊滨投PPN0012.760.25102.39-10.395.535.63A+AA+城投209618GLPR20.100.2598.28-99.1821.3122.30A+AAA交通运输257723柳控011.870.24105.84-15.094.004.15AA-AA+城投626G23柳控12.260.24106.59-12.473.894.01AA-AA+城投106524开乾014.920.22100.67-5.004.344.39AA-AA城投1007520金地011.610.2165.77-0.4935.1635.17BB+AAA房地产2821龙湖042.210.2157.40-0.6234.3534.36AA-AAA房地产156823乳山022.730.21104.87-8.864.084.16AA-AA城投501823贵安022.700.21100.73-8.585.195.28AA-AA+城投353023航天012.070.21105.81-11.773.433.55AA(2)AA+城投2124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中信银行二级资本债01A4.790.14102.33-3.342.672.70AA+AAA股份行5111123华兴银行二级资本债014.470.1