根据Broker和CFETS数据源，成交高于估值个券中，“21天运01”与“21金地MTN004”债券估值价格偏离幅度较大。低估值成交个券中，“22扬城建MTN002”估值价格偏离程度最大。卖价高于估值个券中，“21淮北建投PPN001”估值价格偏离幅度最大。估值收益率高于8%的个券中，房地产行业的债券排名靠前。
　　城投债个券流动性评分最小值和均值有所上升。产业债个券流动性评分最小值和均值有所下降。成交估值偏离主要分布在[-5,0)区间。高估值信用债成交笔数占比有所下降，高估值AA城投债及地产债成交笔数占比有所上升。分行业看，房地产行业净价偏离幅度最大。信用债、城投债和产业债的成交期限有所上升。AA+产业债剩余期限均值环比上升幅度最大。永续债成交笔数下降。
　　风险提示：统计出现遗漏，高估值个券出现信用风险。

研究报告全文：证券研究报告固定收益研究2022年12月23日12月23日信用债异常成交跟踪信用市场日度跟踪2022-12-23摘要根据Broker和CFETS数据源成交高于估值个券中21天运01与21金地MTN004债券估值价格偏离幅度较大低估值成交个券中22扬城建MTN002估值价格偏离程度最大卖价高于估值个券中21淮北建投PPN001估值价格偏离幅度最大估值收益率高于8的个券中房地产行业的债券排名靠前城投债个券流动性评分最小值和均值有所上升产业债个券流动性评分最小值和均值有所下降成交估值偏离主要分布在-50区间高估值信用债成交笔数占比有所下降高估值AA城投债及地产债成交笔数占比有所上升分行业看房地产行业净价偏离幅度最大信用债城投债和产业债的成交期限有所上升AA产业债剩余期限均值环比上升幅度最大永续债成交笔数下降风险提示统计出现遗漏高估值个券出现信用风险尹睿哲S1090518110001yinruizhecmschinacomcn李豫泽S1090518080001liyuzecmschinacomcn敬请阅读末页的重要说明固定收益研究表1成交高于估值个券Broker数据源成交高于估值个券Broker数据源主体流剩余期限估值价格偏成交净价估值收益率成交收益估值收益评级主当日成简称行业动性评年离元偏离bp率率体债项交笔数分21天运01105Y-06599796427619555AA城投D4712121靖江滨江PPN003200Y-02998281603518502A-城投B7881121经开02251D3Y-02899533976590550AA城投C6967122杭金投MTN001280Y-0239714924400391AAA城投S9822121武生01183Y2Y-02299381239425413AA城投C5401120兴化债01434Y-0199830927478469AAAAA城投A8936121华发05359D3Y-01899291994574554AAAAAA房地产B8307222张保实业MTN001255Y-0179660785470462A城投B7827122厦贸K1257Y2Y-0099800379433429AAA交通运输A8762118京资0275D3Y-008100441967297277AAAAAA城投S9691121新田投资PPN001122Y-00710001600433427AA城投B8336221中航租赁MTN001110Y-00710077548345340AAAAAA综合S9587220十堰国投债323D2Y-0069978951453443AAAA城投A9051120成都产投MTN002302D-00510042752333325AAAAAA城投A9323122物产中大MTN003271Y-0059719233382380AA交通运输S9637120淮开0283D2Y-00599961430500486AA城投A9308121余创02196Y-0049875212422420AA城投S9724322惠科D1209D-0049899927444435AA城投A8519122吴中灵天MTN002248Y-0039782180430428AA城投B8429120明城01274D-00310037418422418AA城投B8450122南京浦口MTN001207Y-0029807181460458A-城投A9498220乌城投MTN002247Y-0029987099400399AAAAAA城投S9653120余杭城开PPN001268D2Y-00210041316405402AA城投D4114620锡藕02154D2Y-00210005019451451AA城投D4281122铁工投资GN001276Y-0019743072400399AAAA建筑装饰D2991121华电CP00113D-00199993031280250AAA公用事业S9836122香建02285Y2Y-0019610049425425AA城投B7783121泰州城建MTN002132Y00010045011363363AAAA城投S9588122中建三局SCP0135D00099991668240223AA建筑装饰A9166121晋能电力MTN010316D00010106062365364AAA煤炭S9878120连云城建MTN002150D2Y0009968158422420AAAA城投A8591119苏科技城PPN001105Y0009945041450450AA城投A8537121宏桥03240D1Y0009944084470469AAAA有色金属B7319122首创生态SCP003217D0009969016303303AAA城投A9295222宁国建投CP00174D0019984002512512A-城投D4916122三一重工SCP011科创票据5D00199991668260243AAA机械设备A8858122中化工SCP01414D0019997006298298AAA基础化工S9899222湖北港口SCP00242D0019990031345345A城投A9018122即墨旅投SCP003184D0019927099400399A城投B8498122南沙资产SCP00499D0019971674360353AA房地产D31881资料来源qeubee招商证券敬请阅读末页的重要说明2固定收益研究表2成交高于估值个券CFETS数据源成交高于估值个券CFETS数据源主体流剩余期限估值价格偏成交净价估值收益率成交收益估值收益评级主当日成简称票息行业动性评年离元偏离bp率率体债项交笔数分21金地MTN004142Y-1670734015591228951336372AAAAAA房地产C6223418铜仁旅游PPN002354D-103889031289182141852780AA城投D3678720远洋控股PPN001122D-400845314207057214300335AAA房地产C6198822溧水经开PPN005286Y-372924314500648503350A-城投A9191322滇池投资SCP003149D-21495575644217851221650AA城投C6087222泰华信PPN001109Y1Y-195986113068771641698AA城投A8648321沪世博MTN001169Y-180981211273440328323AAA城投C6587121中材科技MTN002165Y-180980111562455340328AAA建筑材料B8214120昆明土地MTN001308D-169966421470969755547AAAA城投C6080221兴蜀投资PPN001158Y2Y-15097862632668641600AAAAA城投C5893321泸州江投PPN001192Y2Y-1509710527635630550AA城投D3125321简阳发展PPN001135Y2Y-1499737180790788700BBB城投B7347322大丰城建PPN001259Y-13796125893666607500A城投D4874322怀化城投SCP004261D-106993915700719562630AA城投B8021522乌经开PPN001233Y-10296764739538491388AA城投C6100322青岛海控PPN003231Y-10197594697466419354AA-城投A8566322青岛城投PPN001221Y-10197614895471422355AA城投S9881321洛阳城投PPN007188Y-10197915712501443382AA城投A9351321江宁国资PPN001173Y-10098036185502441382AA城投A8943321乌经开PPN002145Y-10098787319538465450AA城投C6100321济南高新MTN003183Y-09999035770435378380AAAAAA城投A9482320洛阳城投MTN003307D2Y-09999487944405326386AAAAA城投A9351321远洋控股PPN001108Y-09870501430644564313460AAA房地产C6198222津保投SCP013110D-0959846323861000676485AAA城投A8577122济源投资PPN00167D2Y-09599078916714625668AA城投C5661121淮北建投PPN004310D1Y-095997110426666561650AA城投S9707221淄博城资MTN002392Y-09196302593500474394AAAAAA城投A9156322信阳华信SCP002252D-090986813698699562500AA城投B8054322万州经开PPN001214Y-08896934657821774660AA城投A8791320铜鼓项目NPB433Y-08898554430820776750AA城投D1725222开封城投PPN003165Y-08896205834758700507AA城投A8662222赣州开投MTN001243Y-08696313856565527400AAAA城投A8905122肥西城乡MTN001281Y-08695543301457424285AA城投A9243222吴中城投PPN003265Y-08494733415507473290A城投S9658222太仓资产MTN001453Y-08196022010466446367A城投B8026222广州工控MTN001234Y-08197493714422385308AAA城投A8769222徐州经开MTN005248Y-08196923523458423325A城投A9463222长江开发MTN001206Y-08197894269561518450A-城投B7762222进贤发展债01309Y3Y-08198331500688673640AAAAA城投B7923222武汉车都PPN001216Y-08097074004489449343AA城投A93362资料来源qeubee招商证券敬请阅读末页的重要说明3固定收益研究表3成交低于估值个券成交低于估值个券剩余期限估值价格偏成交净价估值收益率成交收益率估值收益率评级主主体流动当日成简称票息行业年离元偏离bp体债项性评分交笔数22扬城建MTN002452Y0259816-607393399348AAAAAA城投S9812122沪地02237Y0249867-1083366377307AAAAAA城投A9275121邮政MTN007198Y0209989-1074307318301AAA交通运输S9918122杭州湾新MTN001245Y0209736-807415423300AA城投A8809122粤交投MTN001405Y0199907-513348353323AAAAAA城投S9841122南通城建MTN002268Y0189764-693371378277AA城投S9627122华能集MTN001219Y0189937-851314323284AAAAAA公用事业S9894122朝国02416Y2Y0179945-476359364345AAAAAA城投A9365122杭州城发MTN002451Y0179775-406390394335AAAAA城投B8287322紫金矿业MTN004282Y2Y0179786-599360366279AAA-有色金属S97661GC中核01221Y0169923-784320328284AAAAAA综合A9261122深业MTN002287Y0159797-548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2995726386800597AA城投A910522武清国资PPN001176Y1Y-0489625-5030856700AA城投A910521金地01119Y2Y-0468880-63561804393AAAAAA房地产C622321旭辉03265D2Y-0465800-7531122778390AAAAAA房地产C5910资料来源qeubee招商证券敬请阅读末页的重要说明6固定收益研究图1个券流动性评分最小值图2个券流动性评分均值个券流动性评分均值MA5个券流动性评分最小值MA5以当日成交信用债为样本以当日成交信用债为样本城投-ave产业-ave城投-min产业-min4094359230902520881586108450822214222222246225192271228122292622111022122222142222222462251922712281222926221110221222资料来源qeubee招商证券资料来源qeubee招商证券图3当日信用债成交估值偏离分布城投产业当日信用债成交估值偏离分布城投产业城投债成交笔数产业债成交笔数160140120100806040200-20-20-15-15-10-10-5-500200551010151520资料来源qeubee招商证券敬请阅读末页的重要说明7固定收益研究图4高估值信用债成交笔数及其占当日信用债成交总笔数比例的时间序列图高估值信用债成交笔数及其占当日信用债成交总笔数比例的时间序列图城投债高估值成交笔数产业债高估值成交笔数占当日信用债成交总笔数比例MA5右轴600403550030400成交笔数25高估值占比300201520010100500221422215223222242622622278228122291922102722121资料来源qeubee招商证券图5高估值AA城投债及地产债成交笔数及其占当日信用债成交总笔数比例的时间序列图高估值AA城投债及地产债成交笔数及其占当日信用债成交总笔数比例的时间序列图AA城投债高估值成交笔数地产债高估值成交笔数非城投占当日信用债成交总笔数比例MA5右轴704603503成交笔数40230220110100221422215223222242622622278228122291922102722121资料来源qeubee招商证券敬请阅读末页的重要说明8固定收益研究图6各行业产业债成交偏离价均值及成交笔数各行业产业债成交偏离价均值及成交笔数净价偏离-ave右轴成交笔数左轴1601214010120081000680046002400020020房地产建筑装饰医药生物汽车机械设备石油石化国防军工传媒交通运输基础化工食品饮料煤炭公用事业有色金属商贸零售社会服务综合农林牧渔004资料来源qeubee招商证券图7信用债成交期限变化信用债成交期限变化MA5信用债总加权剩余期限年城投债加权剩余期限年产业债加权剩余期限年302520151005221422215223222242622622278228122291922102722121资料来源qeubee招商证券敬请阅读末页的重要说明9固定收益研究图8分等级信用债剩余期限均值环比变化时间序列图分等级信用债剩余期限均值环比变化时间序列图MA5AAA城投年AA城投年AA城投年AAA产业年AA产业年AA产业年15100500051015221422215223222242622622278228122291922102722121资料来源qeubee招商证券图9永续债成交总笔数及高估值成交情况永续债成交总笔数及高估值成交情况AAA城投高估值成交笔数AA城投高估值成交笔数AAA产业高估值成交笔数AA产业高估值成交笔数永续债成交总笔数MA51009080706050403020100221422215223232242822682271322817229222211322128资料来源qeubee招商证券敬请阅读末页的重要说明10固定收益研究分析师承诺负责本研究报告的每一位证券分析师在此申明本报告清晰准确地反映了分析师本人的研究观点本人薪酬的任何部分过去不曾与现在不与未来也将不会与本报告中的具体推荐或观点直接或间接相关尹睿哲中国人民大学金融学博士研究生IMI国际货币研究所研究员2018年加入招商证券现任招商证券研发中心首席债券分析师李豫泽同济大学产业经济学硕士2017年加入招商证券现任招商证券研发中心债券分析师曾为新财富水晶球金牛奖固收团队成员招商证券债券信用评分符号和定义等级符号定义A3偿债主体还债务的能力极强基本不受不利经济环境的影响信用风险极低投资A2偿债主体偿还债务的能力很强受不利经济环境的影响较小信用风险很低档A1偿债主体偿还债务的能力较强较易受不利经济环境的影响信用风险较低B3偿债主体偿还债务的能力一般受不利经济环境影响较大信用风险一般B2偿债主体偿还债务的能力较弱受不利经济环境影响很大有较高信用风险投B1偿债主体偿还债务的能力较大地依赖于良好的经济环境信用风险很高机档C3偿债主体偿还债务的能力极度依赖于良好的经济环境信用风险极高C2偿债主体在破产或重组时可获得保护较小基本不能保证偿还债务C1偿债主体不能偿还债务注债项符号含义与主体符号含义一致重要声明本报告由招商证券股份有限公司以下简称本公司编制本公司具有中国证监会许可的证券投资咨询业务资格本报告基于合法取得的信息但本公司对这些信息的准确性和完整性不作任何保证本报告所包含的分析基于各种假设不同假设可能导致分析结果出现重大不同报告中的内容和意见仅供参考并不构成对所述证券买卖的出价在任何情况下本报告中的信息或所表述的意见并不构成对任何人的投资建议除法律或规则规定必须承担的责任外本公司及其雇员不对使用本报告及其内容所引发的任何直接或间接损失负任何责任本公司或关联机构可能会持有报告中所提到的公司所发行的证券头寸并进行交易还可能为这些公司提供或争取提供投资银行业务服务客户应当考虑到本公司可能存在可能影响本报告客观性的利益冲突本报告版权归本公司所有本公司保留所有权利未经本公司事先书面许可任何机构和个人均不得以任何形式翻版复制引用或转载否则本公司将保留随时追究其法律责任的权利敬请阅读末页的重要说明11