4月3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4月4日 4月3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，“24陕煤化MTN002”债券估值价格偏离幅度较大。净价上涨成交个券中，“20旭辉02”估值价格偏离程度靠前。净价上涨成交二永债中，“23烟台银行永续债01”估值价格偏离幅度较大；净价上涨成交商金债中，“24招商银行三农债”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3至4年品种折价成交占比最高；二永债成交期限主要分布在1年内。分行业看，综合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 yinrz@essence.com.cn 李豫泽 分析师 SAC执业证书编号：S1450523120004 liyz9@essence.com.cn 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陕煤化MTN0029.91-0.3699.074.363.413.37AA+AAA煤炭992524山西建投MTN003A2.98-0.2799.769.763.693.59AA(2)AAA建筑装饰2099124延安024.91-0.2099.564.443.603.55AA(2)AA+城投79224合川投资PPN0024.96-0.20100.594.464.064.01AA(2)AA城投735124邵新012.82-0.19101.277.193.523.44AA-AA城投202424长寿投资MTN0022.98-0.19100.186.703.443.37AA-AA+城投600024乌城投MTN0034.92-0.1599.973.392.882.84AA+AAA城投799522静安011.58-0.14100.359.252.612.52AA+AAA城投200722自贡城投MTN0011.49-0.14105.049.022.972.88AA-AA城投314924象屿MTN002B2.98-0.11100.013.983.503.46AAAAA交通运输899522自城011.09-0.10103.639.103.052.95AA-AA城投932523城控032.56-0.10103.754.183.093.05AAAA+城投414824开经012.78-0.10100.473.963.813.77AA(2)AA+城投363122乌城投债013.09-0.08102.542.712.782.75AA+AAA城投2055524北部湾MTN0012.78-0.08100.963.032.832.80AAAAA商贸零售403824潍坊城建MTN003A2.96-0.08100.012.793.313.28AA(2)AAA城投300022东泰021.57-0.07102.024.192.662.62AA(2)AA+城投306024蓝创014.96-0.0799.091.524.864.84AA-AA城投1322724吉控024.80-0.06103.491.403.303.29AA(2)AA+城投829823蓝创011.15-0.06103.964.203.623.57AA-AA城投20423绵控031.21-0.05102.694.052.692.65AA(2)AA+城投205322青岛城阳PPN0011.25-0.05100.964.112.782.74AAAA+城投101024象屿MTN002A1.98-0.05100.102.543.143.11AAAAA交通运输400022粤珠江MTN0041.28-0.04100.693.312.932.90AAAAA城投2014PR安发011.44-0.0441.453.464.694.65AA-AA城投20722远东租赁MTN0091.60-0.04100.932.603.373.35AAAAA非银金融202023漯河020.40-0.04101.496.592.792.73AA-AA城投406022新中泰MTN001(乡村振兴)1.06-0.03101.593.023.453.42AAAA+基础化工26422远东租赁MTN0101.66-0.03101.901.953.433.41AAAAA非银金融509622山西建投MTN005(科创票据)0.35-0.03100.687.762.722.65AA(2)AAA建筑装饰1057224淮北建投MTN0064.97-0.02100.540.423.383.38AA(2)AA+城投402124淮北建投MTN0054.95-0.0299.210.393.383.37AA(2)AA+城投99824温州国投SCP0020.71-0.0199.991.872.442.42AAAA食品饮料699924横店CP0010.70-0.01100.031.792.492.47AAAA+综合1800322远东五0.93-0.01101.020.722.862.85AAAAA非银金融202022新中泰MTN0020.43-0.01100.530.893.153.14AAAA+基础化工402423远东二0.93-0.01100.130.502.852.84AAAAA非银金融6306121华侨城MTN003A0.300.00100.181.052.522.51AAA-AAA社会服务200323远东租赁CP0030.160.00100.260.232.512.51AAAAA非银金融150424大众交通SCP0010.270.00100.020.302.352.35AA+AAA交通运输12001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）20旭辉021.154.3524.00-1192.99256.65268.58CCAAA房地产147922龙湖022.781.4172.12-59.9917.3917.99AA-AAA房地产34621龙湖062.361.3575.32-66.7217.2817.95AA-AAA房地产21321龙湖042.131.3177.57-71.4317.3818.10AA-AAA房地产83916龙湖041.921.2779.55-77.6417.9018.68AA-AAA房地产1821龙湖021.761.2282.99-79.3116.2017.00AA-AAA房地产65621金地MTN0050.201.0794.24-496.3032.6937.66BB+AAA房地产121221金地MTN0040.151.0596.40-659.1128.2634.85BB+AAA房地产19321万科030.130.4499.73-325.115.348.59AA+AAA房地产50920金地011.520.4472.60-32.4628.3728.69BB+AAA房地产3321瑞丽债4.440.38105.15-17.635.235.40AA-AA城投296324陕西金控MTN001B4.950.36100.26-7.902.983.06AAAAA非银金融399224浙金012.980.3299.69-11.222.943.05AA(2)AA城投2000024云能投MTN0072.980.30100.70-11.024.104.21AA-AAA综合2816724诚通控股MTN009A14.960.29100.16-2.503.203.22AA+AAA综合1000024诚通控股MTN007B14.920.2999.35-2.493.193.22AA+AAA综合2289422金地MTN0010.890.2973.82-33.1744.2944.62BB+AAA房地产165218宜昌绿色债NPB4.700.29110.20-7.043.553.62AAAA+城投766121金地042.010.2870.68-14.7224.4424.59BB+AAA房地产62424福建能化MTN0014.990.2899.93-6.012.852.91AA+AAA基础化工1000021通达投资债014.490.27105.52-12.234.074.19AA(2)AA城投315721金地MTN0070.700.2776.38-33.7748.5548.88BB+AAA房地产32823延经016.390.26106.89-7.014.684.75AA(2)AA城投3093PR新平011.810.2640.80-21.406.026.24AA-AA-城投1124蓉江024.950.2599.98-5.543.403.46AA(2)AA城投200024云建投MTN0062.210.25100.15-11.903.483.60AA-AAA城投1800723兴工016.090.25104.00-7.014.834.90AA(2)AA建筑装饰50924三门峡PPN0014.980.25100.90-5.533.763.81AA(2)AA+城投1200020滨旅021.620.23102.41-15.605.375.53AA-AA城投451819瑞丽债2.460.2362.75-16.964.634.80AA-AA城投3223商铁021.140.23102.87-20.973.383.59AA(2)AA城投205124诚通控股MTN003B19.800.22103.19-1.563.223.23AA+AAA综合620924诚通控股MTN004B19.820.22102.47-1.563.223.23AA+AAA综合413616滨旅债1.460.22100.96-15.994.965.12AA-AA城投5123威高012.230.22103.15-10.563.503.61AA(2)AA+建筑装饰199824南充发展PPN0013.980.21100.62-5.893.553.61AA(2)AA+城投400021万交012.200.21105.62-10.784.264.37AA-AA城投208821万科050.310.2198.75-64.187.147.78AA+AAA房地产54322GLP010.930.2196.56-22.948.278.50A+AAA交通运输17624漳龙Y12.970.20100.01-7.222.923.00AA+AAA城投3000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