3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03月27日 3月26日信用债异常成交跟踪 固定收益定期报告 根据Wind数据，折价成交个券中，“PR安发02”债券估值价格偏离幅度较大。净价上涨成交个券中，“22万科01”估值价格偏离程度靠前。净价上涨成交二永债中，“22工行二级资本债03B”估值价格偏离幅度较大；净价上涨成交商金债中，“21华侨永亨中国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(0,5]区间。非金信用债成交期限主要分布在0.5年内，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2至3年，其中1.5至2年，3至4年，以及4至5年品种均以折价成交。分行业看，家电行业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 yinrz@essence.com.cn 李豫泽 分析师 SAC执业证书编号：S1450523120004 liyz9@essence.com.cn 999563352 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）PR安发021.69-0.3541.4930.254.664.36AA-AA城投312PR安发011.46-0.2941.5129.474.614.32AA-AA城投58423巴中032.59-0.26107.9110.524.244.14AA-AA城投161224淮北建投MTN0064.99-0.25101.015.443.283.22AA(2)AA+城投500023城资071.50-0.24104.7716.523.953.78AA-AA+城投694623城资061.49-0.24104.7316.483.943.78AA-AA+城投205724蓉欧014.93-0.24100.075.403.483.43AA(2)AA建筑装饰35024黔江012.80-0.24103.449.053.683.59AA-AA城投205523龙岩汇金MTN0012.23-0.23101.4210.942.732.62AA(2)AA+城投101424宏建014.91-0.23100.735.404.634.58AA(2)建筑装饰838323城资051.39-0.22104.6916.233.913.75AA-AA+城投63023城资041.31-0.21104.5016.133.893.73AA-AA+城投869923城资031.25-0.20104.3316.093.873.71AA-AA+城投660924万盛经开PPN0034.98-0.19100.064.414.294.24AA-AA城投900623开封041.64-0.19102.9911.963.092.97AA-AA城投615724般阳024.97-0.19100.294.384.234.19AA-AA城投151024大足永晟MTN0014.97-0.19100.284.364.244.19AA-AA城投100024潍坊水务MTN0014.96-0.19100.064.354.234.19AA-AA+城投2160024梧城024.97-0.1999.634.384.534.49AA-AA+建筑装饰240524宝投024.96-0.19100.384.364.384.34AA-AA城投270023曹国041.61-0.19104.2311.853.133.01AA-AA+城投103624万盛经开PPN002B4.95-0.1999.644.314.284.24AA-AA城投1000124大足014.93-0.19100.304.273.933.89AA-AA+城投714423巴中021.59-0.19105.0811.793.823.71AA-AA城投52524国苑014.91-0.19100.314.243.933.89AA-AA+城投235024康佳011.84-0.18100.3810.033.783.68AAAA家用电器400023城资021.06-0.18103.7516.373.833.67AA-AA+城投11323城资010.96-0.17103.3916.943.813.64AA-AA+城投304123曹国021.43-0.16105.1011.323.072.96AA-AA+城投525523柳城022.33-0.16107.997.143.843.77AA-AA+城投10722巴中国资MTN0011.62-0.16104.979.893.673.57AA-AA城投147223万盛021.99-0.16107.787.953.403.32AA-AA城投53823乳山011.98-0.16106.417.923.593.51AA-AA城投138522巴中031.30-0.15104.0411.113.743.63AA-AA城投85524唐控016.96-0.1598.503.364.344.31AA-AA+城投204424景国资MTN0012.81-0.14100.715.233.193.14AA(2)AA+城投605923环保Y42.66-0.14100.955.382.872.81AAA-AAA环保201723曲文021.19-0.14104.0111.103.313.20AA-AA+城投35924陕煤化MTN003(科创票据)9.97-0.1499.501.603.063.04AA+AAA煤炭498524兖矿K19.97-0.1499.571.603.083.06AA+AAA煤炭199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）22万科010.941.7686.95-215.7319.5421.70AA+AAA房地产254222万科MTN0020.891.1488.83-142.3117.3118.74AA+AAA房地产955022万科MTN0010.841.1489.10-150.4417.8019.30AA+AAA房地产591522GLP021.501.1090.88-80.2311.0711.87A+AAA交通运输1021万科MTN0030.451.0595.51-237.4013.4815.85AA+AAA房地产465121万科050.331.0398.28-302.778.3011.33AA+AAA房地产286322龙湖022.800.8367.36-35.4220.3020.65AA-AAA房地产16021龙湖062.380.8270.41-40.6120.6221.02AA-AAA房地产62021龙湖042.150.7572.82-40.7120.8121.22AA-AAA房地产500422GLP010.950.7395.36-81.819.6210.44A+AAA交通运输11716龙湖041.940.6874.89-40.8021.5521.96AA-AAA房地产12421龙湖021.780.6378.14-40.6520.1020.51AA-AAA房地产26020龙湖061.370.5085.58-40.1716.9117.31AA-AAA房地产175322龙湖041.280.4786.92-40.2416.1916.59AA-AAA房地产2722酉阳债3.110.35105.30-12.754.925.05AA-AA城投21421GLP110.410.3597.84-82.449.5310.35A+AAA交通运输17822遂天013.720.30108.87-9.434.834.92AA-AA城投971G22内投13.500.29106.59-9.344.424.51AA-AA+城投125824开晟012.960.2899.75-10.012.842.94AA(2)AA+城投99824津城建MTN0132.990.28100.08-9.853.073.17AAAAA城投200020万科020.970.2484.53-25.2022.7723.03AA+AAA房地产112424津城建MTN0102.930.2499.77-8.703.073.16AAAAA城投1200023安顺014.490.24102.87-6.366.236.30AA-AA城投100623威投V12.410.22102.33-10.104.374.47AA(2)AA建筑装饰101923沭东022.390.22102.63-10.103.823.92AA(2)AA城投203923柳投012.600.22107.42-9.564.404.50AA-AA城投107922眉资011.160.21101.72-19.484.434.63AA(2)AA+城投283523纳兴012.560.21104.55-9.285.435.52AA-AA城投141220开远013.490.2183.31-11.745.205.32AA-AA城投9124红谷滩MTN0014.980.21100.34-4.573.333.37AA(2)AA+城投100423蓝创011.170.21103.58-18.874.004.19AA-AA城投258621空港债012.400.21104.07-9.202.602.70AAAA+城投207524延安城投MTN0024.980.20100.32-4.564.084.12AA(2)AA+城投400023邹城资5.820.20106.49-6.165.545.60AA-AA+城投169923筑铁012.120.19104.10-10.084.434.53AA(2)AA城投119721威海013.940.18101.42-5.083.013.06AAAA+城投811322湖口011.010.18101.63-19.344.324.51AA(2)AA城投309222仁微债0.950.17101.87-19.273.743.93AA(2)AA城投204921东昱011.860.17102.77-9.933.934.02AA(2)城投312222上控013.610.17104.34-5.133.013.06AA(2)AAA城投1042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工行二级资本债03B8.410.02104.54-0.292.712.71AAA-AAA国有行209021张家