根据Broker和CFETS数据源，成交高于估值个券中，“20齐交01”与“22潍坊滨投PPN001”债券估值价格偏离幅度较大。低估值成交个券中，“22海安01”估值价格偏离程度最大。卖价高于估值个券中，“21柳城债”估值价格偏离幅度最大。估值收益率高于8%的个券中，产业债排名靠前。
　　城投债个券流动性评分最小值和均值有所下降。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。信用债平均成交期限有所上升，其中城投债的成交期限有所下降，产业债的成交期限有所上升。AA城投债剩余期限均值环比下降幅度最大。永续债成交笔数上升。
　　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2023年3月1日3月1日信用债异常成交跟踪信用市场日度跟踪2023-3-1摘要根据Broker和CFETS数据源成交高于估值个券中20齐交01与22潍坊滨投PPN001债券估值价格偏离幅度较大低估值成交个券中22海安01估值价格偏离程度最大卖价高于估值个券中21柳城债估值价格偏离幅度最大估值收益率高于8的个券中产业债排名靠前城投债个券流动性评分最小值和均值有所下降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平均成交期限有所上升其中城投债的成交期限有所下降产业债的成交期限有所上升AA城投债剩余期限均值环比下降幅度最大永续债成交笔数上升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齐交01708Y-03310176530375370AAAAAA城投S9955117环太湖MTN001148Y-028101901906460441AAAA城投A9047122青信04269Y-02898471067380369AAAAAA城投S9779123豫水利MTN001299Y-0229972802340332AAA城投B8237121周投02199D1Y-017100133213412380AA城投C6867222宁安01256Y2Y-0169832657335328AAAAAA城投A9184121扬州02347Y-01610036465342337AAAAAA城投S9616322HBST01387Y5Y-0169917418393389AAA城投S9772122赣州发展MTN002270Y2Y-0159830619386380AAA城投A9464220粤海MTN002241Y-01510067657320313AAAAAA城投S9540121枣投01554Y-01510062415474470AAAAA城投D2149323金融街MTN001188Y365D-01410074755337329AAAAAA城投S9786122鞍山钢铁MTN001可持续挂钩191Y-0129956688332325AAA钢铁A9453319豫峡03115Y-01298881059500489AAAA城投A8824120新郑政通PPN002204D-011100271948460441AA城投B7178121住开02179Y-0119982559458452AAAAA房地产B8123121两江03351Y-01010063286340337AAAAAA城投S9715221湖城03164Y2Y-01010063537345340AA城投A9444121兖州煤业MTN001340Y-01010090303351348AAAAAA煤炭B8369121文昌01247D3Y-010100031208485473AAAAA城投D187121豫交运MTN002115Y2Y-00910077790305297AAA城投S9828122中建材MTN002200Y-0079922380316312AAA建筑材料A9281221嘉定工业MTN001155Y2Y-00710021452320315AAAA城投D3971119武汉地铁GN001178Y10Y-00610144318305302AAAAAA城投S9502122HDGJ02255Y-0069861210315313AAA公用事业S9871123南浦口MTN003299Y-00510003188387385AA城投A9302522江门滨江PPN001265Y2Y-0059707234500498AA城投B8293122中信集团MTN001A389Y-0059949135331330AAAAAA综合A9320321星城发展MTN001107Y2Y-00510098416315311AAAA城投A9110122光明MTN003264Y-0059822202318316AAA食品饮料S9681121亦庄01135Y-00510047267305302AAAAAA城投A8565121水务01137Y2Y-00410020257310307AAAAAA城投A8759122辽港集团MTN001189Y-0049987235317315AAA交通运输B8320121北控01114Y-00410058272291288AAAAAA城投A9199422河南航空SCP009182D-0049971907505496AAA城投S9864121苏州生态PPN001项目收益155Y2Y-00410057262370367AAA城投D4567120首机场股MTN001194D-00410047664278271AAAAAA交通运输B7524122中兴国资CP001155D-00499561069345334AA城投A9166223安徽港口SCP001261D-0049962599304298AA交通运输D4061121首都机场MTN002可持续挂钩349Y-00410057117327326AAAAAA交通运输A87221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潍坊滨投PPN001104Y-35289624009117631362585AA城投C5326523长春轨交MTN001287Y-19298457546640565580AAAA城投D4819120淄博城运MTN001199Y-16996899159546454377AAAA城投B7863221远洋控股PPN001326D-16383302406427802540460AAA房地产C6165523即墨城投PPN001363D-1591000016763547379547AA城投A9081523常德城投PPN002199Y3Y-149100008052500419500AA城投S9822421金地MTN007179Y-1458890935511201027404AAA房地产C5723222涪陵交通MTN001204Y-143101067662593516650AA城投B8492622岳阳城投MTN001450Y-13196043249462430363AA城投A8581223日照城投MTN001197Y365D-121100006706579512579AA城投B7485220柳州东投MTN003247D-12094731925415051312680AAAA城投C5094422安踏体育MTN001绿色237Y-11396155100455404280AAA纺织服饰D3003223盐城城南MTN001299Y-108100003957480440480AA城投A9228523武夷投资MTN001B298Y-107100004022599559599AA城投A8940322上饶城投MTN002230Y-10496044957583534395AAAA城投S9701222黄石城发债02204Y4Y-0999824874500491450AAAA城投A9172222怀化城投SCP004193D-095996518653689503630AA城投A8688122津城建MTN013152Y-09595966892870801580AAAAAA城投S9908319阜阳城南PPN001109Y-09599669252632540600AA城投B7405222盐城东方PPN002123Y-09398588011620540500AA城投A8726222昆明公租SCP00147D-0929873713001461748500AA城投C5395222港兴港投MTN005116Y-08598007819634556451AAA城投S9864217淄博资运MTN002165Y-082100735303495442544AAAA城投B7863620景陶专项债414Y-08098414314734691650AAAA城投B7807322乳山国运MTN002266Y-08093923482915880650AA城投C5266322中文天地MTN001187Y-08099104494359314309AAA传媒C6827320九江富和PPN001234D-079998612857513384500AA城投B7999421泰兴城投MTN002171Y-07999984925480431480AA城投A9058223山东公用CP001358D-07799628349630547590AAA-1城投C5404323衡阳城投PPN001B299Y2Y-077100002883549520549AA城投S9837123夷陵经发债02699Y-076100001822600582600AAAAA城投B7724123泰安城投MTN001298Y2Y-070100002600510484510AA城投B7369122济源建投MTN001116Y-070100016381627563630AAAA城投D3704220海兴MTN00217D2Y-069993313597505369470AAAA城投A8779123邵阳城投PPN001188Y3Y-06799532420651627640AA城投S9594223武清国资CP001359D-06598807194859787728AA城投A8956623东方医药PPN001189Y-063100603668654617690AA城投D4523221威海城投MTN003158Y2Y-06199953962379339378AA城投B7784222天泰实业PPN001110Y365D-060100005952798739800AA城投D4944222晋能煤业MTN018科创票据243Y-06097782645455429357AAAAAA煤炭S99284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海安01212Y2Y0599888-3032530560474AAAA城投C5982222启东03244Y2Y0349637-1476460475300AA城投A8697118永钢01209D03110004-5649480536500AAAAA钢铁C6477122保利置业MTN001A230Y0309905-1365360374317AAA房地产B7912122滨湖02224Y0269781-1241454466350AA城投A9474122皖江小微债235Y2Y0249854-1086440451374AAAA城投D3896122徐州交通PPN001264Y0239763-915400409304AA城投S9522121金龙02178Y0239944-1415442456410AAAA城投B8311122首城01225Y2Y0229747-1082490501370AAAAAA城投A8847122梁溪经发PPN001187Y2Y0229904-1240444456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29D2Y0321004097414810040410AAAA城投B834520碧地03207D2Y0339030-150210873438AAAAAA房地产C545819碧地02153D0369350-83542078450AAAAAA房地产C5458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-min6094509240903088208610840822214223822562271228262210272212222322222142238225622712282622102722122223222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350300250200150100500-20-20-15-15-10-10-5-500055101015152020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300201520010100500221422215223222242622622278228122291922102722121231623215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高估值占比成交笔数40230220110100221422215223222242622622278228122291922102722121231623215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4000700635005300042500300220001150001000100250030建筑材料环保食品饮料计算机汽车基础化工通信电子煤炭公用事业综合机械设备电力设备有色金属农林牧渔商贸零售交通运输医药生物石油石化建筑装饰社会服务钢铁房地产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302520151005221422215223222242622622278228122291922102722121231623215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15100500051015211231222142232122425226122772281122916221026221130231523214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MA511010090807060504030201002214222152232322428226822713228172292222113221282311323224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