根据Broker和CFETS数据源，成交高于估值个券中，“20龙川01”与“22昆明土地MTN001”债券估值价格偏离幅度较大。低估值成交个券中，“18绿城07”估值价格偏离程度最大。卖价高于估值个券中，“22青岛黄岛PPN002”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有所下降，均值有所上升。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上升，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，机械设备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下降幅度最大。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1月6日1月6日信用债异常成交跟踪信用市场日度跟踪2022-01-06摘要根据Broker和CFETS数据源成交高于估值个券中20龙川01与22昆明土地MTN001债券估值价格偏离幅度较大低估值成交个券中18绿城07估值价格偏离程度最大卖价高于估值个券中22青岛黄岛PPN002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有所下降均值有所上升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上升高估值AA城投债及地产债成交笔数占比有所上升分行业看机械设备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下降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20龙川01400Y-19888071039405405AAAAA城投B7734122泰州城投PPN002192Y-052100172851410381AAA城投S9764121长发01821Y-05110488740418411AAAAAA城投C6419121常城07347Y5Y-046100771406383369AAAAAA城投S9851120宣城01346D-025100742466465440AA城投C6469121寿城01548Y-02210012678460453AAAAA城投B7741219赣振02346D-020100401951463443AAAA城投D2519221鹰潭国控MTN001131Y2Y-02099671611493477AAAA城投A9382122浦集05462Y2Y-0209784453345340AA城投S9918221盐控05193Y2Y-01999641004499489AA城投C5234122青信03229Y2Y-0199901846367359AAAAAA城投S9835120九江01213D2Y-018100292717415388AAAA城投C5501122商丘01104Y3Y-01798791731570553A城投A9013120吉林高速MTN001229Y5Y-0159860715475468AAAAAA城投A8999120皖交控MTN001727Y-01410238226355353AAAAAA城投S9849122苏国信MTN003转型254Y-0149915579300294AAA-城投S9890221虞国01148Y2Y-01410017877375366AAAA城投S9589220永兴03297D2Y-014100471395511497BBB城投C6777121雨发01167Y-0139906803447439AAAA城投C6324122北控水集MTN001A204Y2Y-0129984635305299AAA城投A8923222宜昌01287Y2Y-0129956419402398AA-城投A9270122武清经开SCP003123D-01199104137813772AA城投C6106321中车G1163Y2Y-01110033620283277AAA机械设备A9206122中电投MTN025261Y-0109871440300296AAA公用事业S9981222光明MTN003279Y-0109852414303299AA食品饮料S9732122吉安01258Y2Y-0109592450505501AA城投A9467221渝隆02159Y2Y-0109981582396390AAAA城投A8800121宁铁13152Y-01010042583288282AAAAAA城投S9807221浦集02153Y2Y-00910042554288282AAAAAA城投S9918121川发展MTN002A320Y-00910232289320317AAAAAA城投A9079115华能集MTN001235Y5Y-00910231353294290AAAAAA公用事业S9872122中电投MTN028271Y-0099853360301297AAA公用事业S9981122鄂能源MTN002碳中和债219Y-0089931410308304AA公用事业A8926121青城08358Y3Y-0089883212392390AAAAAA城投S9910122中电投MTN017246Y-0089992331296293AAA公用事业S9981118浙能源MTN002100D-007100601975257237AAAAAA城投S9747119滁城02162Y-00710056373411407A城投S9787121两江02357Y-0079988181353351AAAAAA城投S9787222邮政04212Y-0079997292292289AAAAAA交通运输S9901222萧山机场MTN002绿色283Y-0079819270340337AAA交通运输A88931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22昆明土地MTN001206Y-9218736543591400856650AAAA城投C5835422绿城地产MTN001201Y-497898028178945663362AAAAAA房地产C5920822水发物流PPN001254Y4Y-49693004420717673580交通运输C5627421远洋控股PPN001104Y-26074803548238233468460AAA房地产C6051622汉江国投债03497Y-22699885221463410460AAAAAA城投S9887120远洋控股PPN001108D-20589977808140343253335AAA房地产C6051722知识城MTN005252Y2Y-1809628909406397315AAAAAA城投S9701122深业MTN001230Y-18098248339400316319AAAAAA综合S9759121滨州城投PPN002122Y2Y-15799159354569475540AA城投B8095519甘公投MTN004189Y-13896018067650569419AAAAAA城投A9088122大江北PPN001296Y-118100004414520476520AA城投A8955214豫交投MTN001316Y-112113533951387347850AAAAAA城投S9920120大连万达MTN003185D-11295802330315031270660AAAAAA房地产C5973420银川通联MTN001136D-1129688310821197886350AAAA城投C5668222绍兴滨海MTN002293Y-108100274062485444495AA城投B8104222碧桂园MTN002297Y-10499443830450412430AAAAAA房地产C5953221重庆轨交GN004碳中和债340Y-10199493249396363380AAA城投A9266122信阳华信SCP002238D-101987016197706544500AA城投B8021320浙江旅投MTN001309D-100998112404440316420AAAA社会服务C6634222金阳新城01203Y4Y-0939810253560558506AAAA城投B7277122龙城发展MTN005A251Y-09197233906436397318AA-城投S9858222武清国资MTN001333D-091978710793897789650AA城投A8896321安吉两山PPN001155Y2Y-09199805666550494545AA城投B7238220西安高新PPN003B243Y-09197914130631589537AAA城投S9543322眉山发展PPN001230Y2Y-0899839991643633600A城投B7316220涪陵国资PPN001A228Y5Y-08999753524499464495A城投A9282322合川城投PPN001129Y1Y-08998712883547519487AA城投B8428222义乌国资MTN002244Y-08897703855416378316AAAA城投S9885222滁州同创PPN001362D-088100009331575481575AA城投A9226322海安建投PPN006348D-08699819403560465540AA城投A9082322长电MTN001200Y-07999354158324283290AAAAAA公用事业S9869522柳钢集团MTN002科创票据244Y-07995683493486451295AAA钢铁B7142122溧水产投MTN002262Y-07995903286528495357A-城投A8657222建湖城投PPN003130Y-07997536698954887750AA城投C5774421港兴港投MTN001105D-078993526809723455520AAAAAA城投S9757522豫航空港PPN001180Y-07696474597714668500AAA城投S9757122西安高新MTN003266Y-07097112903599570480AAA城投S9543221镇国投PPN001342Y-07099873267500467495AAAAA城投A8622220曲文投MTN001234D-0659717107561000892550AAAA城投C6036420邛崃园区停车项目NPB288Y2Y-065100503582580544600AAAAA城投D47082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18绿城07216D0499890-8222520602335AAAAAA房地产C5920121沛兴01194Y0459940-2507479504447AAAAA城投C6364222泸州窖MTN003431Y0289983-705358365354AAAAAA食品饮料S9771122鄂科投债01465Y10Y0269536-595430436318AAAAAA城投S9667122常熟城投MTN002B462Y0269571-586420426316AA-城投A9201120陕煤二442Y8Y02110164-576395401437AAAAAA煤炭S9957122鲁资06450Y0209851-508383388347AA-城投A9213121乌高新MTN002162Y0169902-985420430357A城投A9275121晋能煤业PPN004181Y01610371-1045450460670AAA煤炭S9903121吴中经发MTN004162Y0149952-911362371332AA城投S9777222沿海D2323D0149970-1464362377329A城投A9238120天恒置业MTN001230Y0149813-586457463370AAAA建筑装饰A8886122川投01225Y2Y0139968-662324331310AA城投A9029122南通一诺01657Y0139685-292436439358AAAAA城投D2029121滨城经开MTN002364Y0119922-339443446420AAAAA城投D3806220启东城投MTN001345D01110075-1238386398470AAAA城投A9127120昆高新债427Y0119971-529402407389AAAA城投A9337122粤桥01484Y5Y0109771-245357359305AAAAAA城投C6513119山西交投MTN001114Y0109977-895400409380AAAAAA城投A8994122沿海D1260D0109910-1010358368230A城投A9238122金桥集团MTN001487Y0109759-207365367310AAA城投A8912121溧阳城建PPN004165Y0099899-535459464395A-城投A9151122北铁01252Y0089741-331430433320AAA城投C6380222芜湖建设MTN005261Y0089681-268406409275A城投S9779221东方新城MTN002104Y2Y00810097-869392401490AAAA城投B7270122金滩01644Y0089686-206465467385AAAAA城投D4456122重庆水务MTN003481Y0089790-167348350300AA城投B8053121武侯产业PPN001173Y2Y00810037-485406411430AAAA城投A8510121怀柔科学PPN001166Y2Y0089945-461414419380A城投A8878122余杭创新PPN002265Y0089699-253410413288AA城投S9800222中燃投资SCP00380D0079986-2997250280183AAA公用事业S9683122蓝星CP003288D0079916-544307312198AAA基础化工A9463219紫金矿业MTN003165Y00710152-520298303395AAAAAA有色金属S9823221信阳华信MTN001194Y2Y0079860-338447450370AAAAA城投B8021121徐州新盛MTN003315Y00710174-251367370427AAAAAA城投S9660122萧县01201Y0079863-369493497420AAAAA城投C6625120鄂长投MTN001204D00710036-1013285295356AAAAAA城投A93751G21定城1106Y2Y00710071-848480488553AA城投D2677121汤山01188Y2Y0069861-389473477395AA城投B8345122南京软件PPN001159Y0069746-310463466294AA城投B71721资料来源qeubee招商证券敬请阅读末页的重要说明4固定收益研究表4卖价高于估值个券卖价高于估值个券剩余期限估值价格偏抛售净价估值收益率卖价收益率评级主主体流动性简称票息行业年离元偏离bp体债项评分22青岛黄岛PPN002261Y2Y-9542441251666525621330A城投B835422南新产投PPN001221Y2Y-903225199371479878440AA城投A933619苏电05173D-862369716819514187965730A商贸零售D153820万科07311D2Y-80012000470948347439350AAAAAA房地产A937820淮安新城PPN001108D-7998200011819814118671449A城投A901021上城02106Y2Y-78922811238815224400480AAAA城投S973120新控04238D2Y-78912000568282858255590AAAAAA房地产D434121豫园商城MTN003246D-77202100525951954278420AA-商贸零售C536520龙湖04216Y2Y-75632000109321412329380AAAAAA房地产C586320龙湖06258Y2Y-7544199086776310000430AAAAAA房地产C586320益田优252D-72922390310530433449450房地产D149422孝感城投PPN001204Y-717027689360399848400A城投A901519龙湖04153Y2Y-5743372486105210000467AAAAAA房地产C586321远洋02172Y2Y-553355571643884691406AAAAAA房地产C605119远洋01120Y-55003353126888016077550AAAAAA房地产C605121龙湖03137Y2Y-5443405487717510000350AAAAAA房地产C586322远洋控股PPN001219Y-490731494990378162532AAA房地产C605119国资01191Y-233075021565821900220AAAA城投D231921虞交01182Y2Y-11218842711881100368AAAA城投B708520娄海情488Y-8107996390391730750AAAA城投D160919遵经02189Y-6118089415702125800AAAA城投D302322宣控04273Y-600905724737709318AA城投B719322文汇优1765Y-5701106452398AA城投B821921GLP07129Y2Y-50696612448721440AAAAAA交通运输D478622抚州05279Y2Y-490911619764709350AA城投A919622上资优881Y-4669832006385299城投D27322润厦优1164Y-45799221348357298AA房地产S986219津投06615Y-450777594691000499AAAAAA城投S986022惠民建投MTN002131Y3Y-3789383329751200670AA城投C5976赣水投1A1772Y-35810002193337305AA-城投A885422曲文投MTN002180Y3Y-3429148221961200650AA城投C603622市中05153Y-3109018239021450700AAAA城投D472421遵桥03121Y2Y-287959726035900540AAAAA城投D393522惠民城建PPN003139Y3Y-2779418228131200730AA城投C597621拱墅投发PPN002191Y2Y-258974414598507363AA城投B797822钱城二473Y2Y-25394666035473345AAA城投C632422惠民城建PPN001111Y3Y-2509532255841200730AA城投C597621苏新国资PPN003179Y-249979814988507387AA城投A911920海资01126D2Y-23899565230399280AAAAAA城投S989222铜建03258Y-23393989951610352AA城投A8930资料来源qeubee招商证券敬请阅读末页的重要说明5固定收益研究表5估值收益率高于8以上的个券估值收益率高于8以上的个券剩余期限估值价格偏成交净价估值收益率成交收益评级主体主体流动简称票息行业年离元偏离bp率债项性评分20世茂0278D2Y-17952300-896475410352323AAAA房地产D348720世茂04125D2Y-10452400-65232789259320AAAA房地产D348722昆明土地MTN001206Y-9218736543591400650AAAA城投C583519津投06615Y-9137400197191103499AAAAAA城投S986020时代09192D2Y-5223000-31769517474594AAAAAA房地产D490322绿城地产MTN001201Y-497898028178945362AAAAAA房地产C592020世茂03221Y2Y-4792266-4911655296390AAAA房地产D348719秦投01206D3Y-453950010774969800AAAA城投D419720柳发01296D2Y-2979309-23956959670AAAA城投D462822滨海投资PPN002104D2Y-2899525-40741814580AA城投C583119贵安G2187Y-2888241187331783600AAAA城投D493621远洋控股PPN001104Y-2607480354823823460AAA房地产C605120时代0583D2Y-2063100-76809168099510AAAAAA房地产D490320远洋控股PPN001108D-2058997780814034335AAA房地产C605116龙湖06189D-151970029933928338AAAAAA房地产C586320大连万达MTN003185D-1129580233031503660AAAAAA房地产C597320银川通联MTN001136D-1129688310821197350AAAA城投C566822武清国资MTN001333D-091978710793897650AA城投A889617昆投0194D-0869770334541377510AAAA城投D492619昆交05168Y-080870155601471550AAAAA城投C590022建湖城投PPN003130Y-07997536698954750AA城投C577420曲文投MTN001234D-0659717107561000550AAAA城投C603620金地MTN002150D-062978016693878330AAAAAA房地产C607020大连万达MTN001101D-0609803221531182489AAAAAA房地产C597321远洋控股PPN00251D-0479555455593642430AAA房地产C605122武清国资CP006344D-04098305100842650AA城投A889618龙湖03208D-03697006600883345AAAAAA房地产C586319资阳凯利PPN001125Y-034902733621717800BBB城投D451318同方MTN00168D-027993415897920585AAAAAA计算机D475018龙湖04223D-02797004554847344AAAAAA房地产C586316联想02350Y-01580005061189460AAAAAA计算机D340422武清经开SCP003123D-01199104137813550AA城投C610620冀峰013D-0089990801521478500AAAAA煤炭C673122泰达投资SCP011231D-00296734661142590AAA城投C608622惠民城建PPN004155Y3Y-0019634-16043828730AA城投C597622滇池投资SCP00288D-00198589281218650AA城投C590522开封文旅SCP0018D000999517889816600AA城投C524516渤水产69D0009850-0201466750AAAA农林牧渔D387716唐金债69D0009940-635915650AAAA城投C5670金地1804142D0019850319904538AAAAAA房地产C6070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-min4594409235309025882015861084508222142231224202261022729229192211102212292214223122420226102272922919221110221229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300250200150100500-20-20-15-15-10-10-5-500200551010151520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3002015200101005002214222152232222426226222782281222919221027221212316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402302201101002214222152232222426226222782281222919221027221212316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35016014300122501020008006150041000200050020机械设备交通运输公用事业石油石化传媒社会服务国防军工环保商贸零售综合建筑材料钢铁医药生物通信有色金属农林牧渔基础化工汽车煤炭食品饮料房地产建筑装饰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3025201510052214222152232222426226222782281222919221027221212316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151005000510152214222152232222426226222782281222919221027221212316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