4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4月26日 4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，“24深铁08”债券估值价格偏离幅度较大。净价上涨成交个券中，“22万科06”估值价格偏离程度靠前。净价下跌成交二永债中，“19杭州银行二级”估值价格偏离幅度较小；净价下跌成交商金债中，“19青岛银行债02”估值价格偏离幅度较小。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1.5至2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。分行业看，机械设备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深铁0814.98-0.49100.574.042.842.80AAAAAA城投1199424中国信科MTN00114.90-0.45102.123.822.962.92AAA-AAA通信309024诚通控股MTN007B14.86-0.45101.673.813.002.96AA+AAA综合407124诚通控股MTN009A14.90-0.45102.493.803.002.96AA+AAA综合615724长产029.99-0.4499.365.172.892.84AA+AAA城投1300024长江产业债019.99-0.4499.365.172.892.84AA+AAA城投600024重庆交投MTN0039.98-0.44100.235.152.842.79AA+AAA城投1510224深铁049.85-0.44101.355.152.702.65AAAAAA城投10124渝两江MTN002B9.88-0.44101.495.182.902.85AAAAAA城投203924中车集MTN0029.98-0.4399.574.932.682.63AAAAAA机械设备2199124苏国信MTN0019.95-0.43100.184.942.682.63AAAAAA公用事业200524鲲鹏投资MTN001B9.99-0.4299.664.912.872.82AAA-AAA非银金融399324越秀交通MTN0019.98-0.42100.184.892.822.77AAA-AAA交通运输603824中交K29.96-0.42100.574.872.682.64AAAAAA建筑装饰404824长电K19.88-0.42100.424.852.652.60AAAAAA公用事业72524能建K19.87-0.41100.594.842.652.60AAAAAA建筑装饰304424葛洲坝MTN0019.76-0.41102.864.892.642.59AAAAAA建筑装饰620423深圳地铁MTN0069.51-0.37106.154.602.662.61AAAAAA城投213123深圳地铁MTN0059.46-0.36105.354.482.652.61AAAAAA城投634424晋能煤业MTN0074.98-0.3699.137.942.902.82AAAAA煤炭397821道桥011.74-0.36103.3421.754.934.71AAA+城投8324锡产业MTN0059.98-0.3399.923.902.872.83AA+AAA建筑装饰600924诚通控股MTN011A9.98-0.33100.523.892.822.78AA+AAA综合3222524中化049.99-0.3399.853.842.742.70AAA-AAA石油石化300021遵桥121.62-0.33100.1421.274.894.68AAA+城投10023先导039.27-0.33108.934.162.872.83AA+AAA城投651924诚通控股MTN007A9.86-0.32101.493.742.812.78AA+AAA综合406424中化029.86-0.31101.023.682.732.69AAA-AAA石油石化70921遵桥071.48-0.30103.6620.674.854.64AAA+城投50024万盛经开PPN0034.90-0.2999.186.814.494.42AA-AA城投137924般阳024.88-0.2998.686.804.614.54AA-AA城投213124国苑014.83-0.29100.086.763.983.91AA-AA+城投335424乳山014.90-0.2997.916.824.994.92AA-AA城投1940GC三峡K219.61-0.29109.331.992.662.64AAA+AAA公用事业44724蓝创014.90-0.2997.926.815.145.07AA-AA城投2085824高创024.90-0.2999.826.825.044.97AA-AA+城投12323北控K19.00-0.29106.283.732.662.62AAAAAA公用事业10724潍滨014.90-0.29100.036.825.445.37AA-AA+城投322724开乾014.77-0.28100.946.734.274.21AA-AA城投152024诚通控股MTN003B19.74-0.27105.581.903.063.04AA+AAA综合15858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063.201.9751.83-80.5628.5729.37AA+AAA房地产73422万科051.200.4070.24-36.8138.5438.90AA+AAA房地产3308PR兴义021.570.3040.83-30.105.876.17A+AA城投2121金地MTN0070.640.2580.11-33.2343.0643.40BB+AAA房地产173121龙湖062.290.2577.83-11.3615.9616.07AA-AAA房地产2421龙湖042.070.2480.17-11.8015.9016.02AA-AAA房地产81116龙湖041.850.2382.01-12.7916.3916.52AA-AAA房地产18921万科050.250.2098.76-74.918.098.84AA+AAA房地产83920开远013.410.1984.26-10.904.474.57AA-AA城投17023西高投MTN0011.930.18104.31-10.444.124.23AA-AA-城投157822龙湖022.720.1874.78-6.6416.0916.15AA-AAA房地产5424鑫海012.770.14101.49-5.673.923.97AA(2)AA城投229523沣西022.100.11103.20-5.563.873.93AA(2)AA城投419223西港011.880.10105.09-5.883.944.00AA(2)AA城投468421金地MTN0050.140.1096.71-22.8226.7827.00BB+AAA房地产608322天府F23.420.09109.33-3.044.494.52AA-AA城投717520灞桥债1.500.08101.80-6.053.733.79AA(2)AA城投70720金地MTN001B0.940.0875.43-2.3139.3539.37BB+AAA房地产1432G22眉山11.420.08102.71-6.123.023.08AA(2)AA+城投101624大足工业MTN0014.920.08101.80-1.823.994.01AA-AA城投915523秦汉041.400.08103.44-6.153.613.67AA(2)AA城投52423淄国011.340.08102.49-6.243.553.62AA(2)AA+城投101824曲文投MTN001B4.910.08102.19-1.804.794.80AA-AA+城投606124长寿投资MTN0014.860.07100.03-1.693.733.75AA-AA+城投599722潍滨010.240.06100.45-27.583.784.06AA-AA+城投64324璞泰来SCP0010.510.06100.27-12.812.752.88AAAA+电力设备1023424綦江新城MTN0014.730.06101.81-1.464.074.08AA-AA城投201620龙湖061.280.0688.19-3.0315.0415.07AA-AAA房地产7923巴中010.910.06103.40-7.533.523.59AA-AA城投144921金地MTN0040.080.0698.40-5.0522.2022.25BB+AAA房地产482224津城建MTN0032.200.05101.70-2.572.722.74AAAAA城投508224高淳经开MTN0012.860.05100.83-1.912.672.69AA(2)AA城投201624乌经开MTN0052.990.0599.47-1.772.972.98AA(2)AA+城投298324金港MTN0012.900.05101.04-1.752.592.61AA(2)AA+城投606420龙湖040.850.0592.56-3.0513.4313.46AA-AAA房地产76920龙湖040.850.0592.56-3.0513.4313.46AA-AAA房地产76919天台010.620.04102.18-8.422.382.46AA(2)AA城投224822龙湖010.720.0494.02-3.3212.4112.44AA-AAA房地产73322龙湖010.720.0494.02-3.3212.4112.44AA-AAA房地产73320龙湖020.730.0494.12-3.3412.8812.91AA-AAA房地产1272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）19杭州银行二