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7月9日信用债异常成交跟踪

2024-07-10国投证券X***
7月9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07月10日 7月9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,“24东坡01”债券估值价格偏离幅度较大。净价上涨成交个券中,“22龙湖02”估值价格偏离程度靠前。净价上涨成交二永债中,“21中国银行二级02”估值价格偏离幅度较大;净价上涨成交商金债中,“24南京银行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0.5年内,其中0.5至1年期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年内折价成交占比最大。分行业看,交通运输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)24东坡014.95-0.2599.185.503.183.13AA-AA城投179424运城城投MTN0024.80-0.20102.164.592.892.84AA(2)AA+城投1327524潍坊044.87-0.20103.804.543.002.95AA(2)AAA城投205724青平024.88-0.20101.784.533.103.05AA(2)AA+建筑装饰201324青岛少海PPN0012.70-0.16102.636.332.842.78AA-AA城投205124海沧投资MTN0022.98-0.1499.755.032.362.31AA(2)AA+城投1398624淄博城资MTN005B9.99-0.0999.911.083.133.12AA(2)AAA城投200021商资032.43-0.08105.293.802.452.41AA(2)AA+城投105323嵊州021.89-0.07103.613.772.312.27AA(2)AA城投103721嵊州城投PPN0011.72-0.07101.013.922.292.25AA(2)AA城投101223商丘071.11-0.06103.224.832.322.28AA(2)AA+城投29922新余城建MTN0011.13-0.06101.644.782.232.18AA(2)AA城投101722西咸新发PPN0010.95-0.06101.495.532.272.21AA(2)AAA城投101523柳投022.35-0.05109.461.713.253.23AA-AA城投21923红河032.30-0.05109.261.743.243.22AA-AA+城投9923纳兴012.27-0.05108.501.743.443.42AA-AA城投163423广利032.31-0.05108.391.733.543.52AA-AA城投450423新开元PPN0032.33-0.05107.471.722.642.63AA-AA城投43021万交022.30-0.05107.711.743.443.42AA-AA城投640623泰控042.14-0.05108.981.742.622.60AA-AA城投217123晋宁债2.30-0.05107.891.733.843.82AA-AA城投216323百投012.18-0.04108.661.763.773.76AA-AA城投427923阳安债2.47-0.04107.611.612.762.75AA-AA城投106623成阿债2.33-0.04106.931.723.543.53AA-AA城投54123兰考042.40-0.04106.301.672.552.54AA-AA城投42421新安010.03-0.04100.891.652.802.79AA-AA城投399523鲁中012.30-0.04106.521.733.493.47AA-AA城投318323文登012.19-0.04107.111.753.383.36AA-AA城投1623丰开042.20-0.04106.271.752.532.51AA-AA城投105523遂宁柔刚PPN0022.47-0.04106.561.603.663.65AA-AA城投168423潍水012.41-0.04105.681.663.303.29AA-AA+城投419423长寿042.45-0.04105.171.632.562.54AA-AA+城投1052423明升022.22-0.04105.261.752.532.51AA-AA城投1819923盐湖012.35-0.04104.391.712.552.53AA-AA城投104423农谷011.20-0.04104.022.843.043.01AA-AA城投62024红开投2.53-0.04105.381.543.723.70AA-AA城投632721兴安022.07-0.04107.861.693.963.94AA-AA城投147624渝南012.55-0.04104.311.522.722.71AA-AA城投20824创投012.58-0.04104.461.492.782.76AA-AA+城投84323渝园012.08-0.04106.241.704.013.99AA-AA城投1874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龙湖022.520.9183.46-40.8411.9112.32AA-AAA房地产46821龙湖062.090.7785.57-40.9611.8912.30AA-AAA房地产32121龙湖041.870.7087.38-41.1311.8512.26AA-AAA房地产109023宜翠屏2.330.36103.40-16.353.263.42AA(2)AA城投207324鲁路桥MTN003(科创票据)9.960.34100.95-4.012.792.83AA+AAA建筑装饰705224鲁路桥MTN0029.890.33103.26-3.962.792.83AA+AAA建筑装饰309024铁道MTN006B29.990.33100.00-1.582.522.54AAA+AAA交通运输6997224株国104.940.30101.64-6.702.712.78AAAA+医药生物30023金鑫010.960.27103.74-29.613.003.30AA-AA城投309223引江012.440.25102.79-11.153.373.48AA(2)AA城投206824中德联合MTN002B4.960.25100.90-5.513.303.35AA(2)AA城投600024咸阳034.920.25101.07-5.492.953.01AA(2)AA+城投1582021中国银行二级026.690.24112.64-4.172.322.36AAA-AAA银行4381124咸阳024.820.24102.90-5.432.953.00AA(2)AA+城投180622萍昌013.060.23103.63-10.173.433.53AA(2)AA城投204624开经024.710.22106.09-5.363.093.14AA(2)AA+城投105521玉山专项债3.940.2285.92-10.213.263.36AA(2)AA城投345024中德联合MTN0014.720.22106.07-5.363.283.34AA(2)AA城投105823陕旅042.180.22108.62-11.243.153.26AAAA+社会服务54324鲲鹏投资MTN00329.990.2199.80-1.092.962.97AAA-AAA非银金融300024渝富0229.910.21105.19-1.083.003.02AAAAAA城投842123中行二级资本债02B9.200.20107.91-2.592.402.43AAA-AAA银行861424文蓝014.950.20101.84-4.494.084.13AA-AA+城投974324兖投024.790.19103.04-4.463.984.02AA-AA+城投91324巴中044.770.19103.70-4.464.084.12AA-AA城投508923中行二级资本债03B9.290.19109.25-2.362.412.43AAA-AAA银行654224惠民城建PPN0024.650.19100.09-4.443.984.02AA-AA+城投401623中城012.430.19105.02-8.353.263.34AA-AA城投104524乳山014.700.18101.55-4.444.134.17AA-AA城投52824陕西建工MTN0032.930.18101.21-6.723.333.40AAAAA建筑装饰906024潍滨014.700.18103.38-4.444.634.67AA-AA+城投780724陆债024.910.18100.58-3.872.422.46AAAAAA房地产502724晋能电力MTN0069.980.17100.35-2.032.762.78AAAAA煤炭500920永兴011.140.1782.01-20.192.572.77AA(2)AA城投488221建设银行二级027.090.17109.48-2.742.332.36AAA-AAA银行2186024豫水利MTN0029.970.1699.91-1.862.592.61AA+AAA城投100124赣水029.950.16100.17-1.832.642.66AA+AAA城投100524汉江国资MTN0029.950.1699.91-1.842.742.76AA+AAA城投299924四川港投MTN0019.960.16101.20-1.852.742.76AA+AAA城投709121金沙011.540.16103.71-10.943.373.48AA(2)AA城投61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)21中国银行二级026.690.24112.64-4.172.322.36AAA-AAA其他银行4381123中行二级资本债02B9.200.20107.91-2.592.402.43AAA-A