根据Broker和CFETS数据源，成交高于估值个券中，“23西城01”与“22金地MTN001”债券估值价格偏离幅度较大。低估值成交个券中，“22金安01”估值价格偏离程度最大。卖价高于估值个券中，“20湘路01”估值价格偏离幅度最大。估值收益率高于8%的个券中，地产债排名靠前。
　　城投债个券流动性评分最小值有所下降，均值有所上升。产业债个券流动性评分最小值和均值有所上升。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下降，高估值AA城投债及地产债成交笔数占比有所下降。分行业看，汽车行业净价偏离幅度最大。信用债平均成交期限有所上升，其中城投债和产业债的成交期限均有所上升。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2日3月2日信用债异常成交跟踪信用市场日度跟踪2023-3-2摘要根据Broker和CFETS数据源成交高于估值个券中23西城01与22金地MTN001债券估值价格偏离幅度较大低估值成交个券中22金安01估值价格偏离程度最大卖价高于估值个券中20湘路01估值价格偏离幅度最大估值收益率高于8的个券中地产债排名靠前城投债个券流动性评分最小值有所下降均值有所上升产业债个券流动性评分最小值和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下降高估值AA城投债及地产债成交笔数占比有所下降分行业看汽车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和产业债的成交期限均有所上升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23西城01287Y2Y-07299772635358332AA城投A8796123汉江国资MTN001486Y-03710211851408399AAA城投S9855118湘高速299D2Y-034100903979331291AAAAAA城投S9944122东方国际MTN001251Y-02498571005330320AAA商贸零售D2870122汉投01250Y2Y-0239801953380370AAA城投S9855421广越09877Y-02210161281356353AAAAAA城投S9898221上城03361D-017100591661500483AAAA城投S9699121古运河PPN001177Y-01799121004460450AA城投D4221120石国投MTN001A206Y2Y-01610076791335327AAAAAA城投A8908123南浦口MTN003298Y-01410000489388383AA城投A9442122九江债662Y-0129714275450447AAAAAA城投A8736122常城10466Y2Y-0129814255399396AAA城投S9768118首旅债01147Y3Y-00810008556335329AAAAAA社会服务S9869119奉贤南桥MTN001145Y-00810135523312307AAAA城投D4995121粤路01315Y2Y-00710160195323321AAAAAA城投C5980122中建材MTN002199Y-0079922388316312AAA建筑材料A9398121首开02141Y2Y-00710003450325321AAAAAA城投C6957521洛阳城乡PPN007173Y-0079897427472468AA城投A9371122并投01206Y-0079966294390387AA城投A9458122宜宾01462Y-0079839138353352AAAAAA城投A8691122中化股MTN003227Y-0069887307320317AAA石油石化S9971122洋河MTN001A198Y3Y-0069990317320317AAA食品饮料A8696121襄阳高新PPN001125Y-00610006488478473AA城投B7215111国投债1301Y-00610704169321319AAAAAA综合A9490122兴蓉环境MTN001214Y2Y-0069969287323320AAA城投B8107112大唐02167Y-00610318204301298AAAAAA公用事业S9835221苏州生态PPN001项目收益154Y2Y-00510057355370366AAA城投C6856121冀通01179Y-0059985268318315AAAAAA城投B7128120HBST01212Y5Y-00510018219345343AAAAAA城投S9762122东南资产MTN001B385Y-0059992142393392AA城投C6910121青岛地铁MTN003166Y2Y-00510023298320317AAA城投A9064121苏信01119Y-00510053286292289AAAAAA城投S9909113潞矿0154D-005100271336303290AAAAAA煤炭S9790119北排水MTN001154Y-00410135259300297AAAAAA城投A9099321粤电发MTN002171Y-00410007251308305AAA公用事业S9806122中国旅游MTN001227Y-0049926199319317AAA社会服务A9304122洛投02225Y2Y-0049842168412410AA城投A9385222晋能煤业MTN005115Y-00410020354320316AAAAAA煤炭S9922121中铝集MTN003146Y-0049982274307304AAA有色金属S9846123中兴国资SCP001222D-00410019590347341AA城投A92352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金地MTN001198Y-3868678225031142917358AAAAAA房地产C5703222寿光城投CP00116D-19198004283345002718650AAA-1城投B7403322武清经开CP001293D-159977921101964753680AA城投C5686223即墨城投PPN001362D-1581000016784547379547AA城投A89611223常德城投PPN002199Y3Y-151100008164500418500AA城投S9819322涪陵交通MTN001204Y-147101067862593514650AA城投B8462521远洋控股PPN001325D-13383601983927372539460AAA房地产C61611223盐城城南MTN001299Y-113100004157480438480AA城投A9269621北辰建设MTN001156Y-11196867941970890750AA城投D3204719津保投MTN001325D-108966813347949815550AAAAAA城投A9224222京科技园PPN001A138Y365D-0999755047581580469AA综合D4011222港兴港投PPN003154Y-09997196952696626500AAA城投S9866222怀化城投SCP004192D-098996519215690498630AA城投A8765421周口城投PPN002267D3Y-09399295747499441478AA城投A9070221晋能煤业PPN005253D1Y-0921004818167522340554AAA煤炭S9922222惠山高科PPN001273Y-09296653687522485388AA城投B7494220惠通双创债416Y-092100044703527480530AAAA城投B8441321重庆临空PPN001324D2Y-09199698600461375450AA城投A9034219永州经投PPN001130Y-09098577466691616575AA城投D4330222青岛海科PPN002255Y-08196023563745709570AA城投C5438422华诚医学PPN001107Y365D-07998902914728699670AA城投C5610223咸宁高新MTN001198Y365D-077100004232558516558AA城投B8357222黄石城发债02204Y4Y-0739853227491489450AAAA城投A9211223武清国资CP001358D-07098807723859782728AA城投A8945622上饶投资MTN001210Y-06997783553503468390AAAAAA城投A8986223金阳投资MTN001197Y-069100003775563525563AA城投A8941123武夷投资MTN001A197Y-067100003679507470507AA城投A8952219磁湖高新MTN002182Y-06599093896653614600AAAA城投C5648720清浦城投MTN001295D-06199557891687608637AAAA城投C5389123宿州城投MTN001286Y-061101402339496472550AA城投A9229119津城建MTN005B132Y-06195295087855804466AAAAAA城投S9920122平顶发展MTN003251Y-06196732613502476361AA城投B8223217淄博资运MTN002165Y-060100823846489451544AAAA城投B8296221舟城投债01513Y-055101221938406386449AAAA城投A8660223宁经专项01486Y2Y-05599981515600585600AAAA城投A8733121望海潮债01511Y-055101571919380360435AAAA城投C6678219西宁城投MTN002114Y-0549259548112701215535AAAA城投C5505221舟山交投MTN001302Y-054101401927399379449AAAA城投B8274122新城控股MTN003278Y-053100002077429409430AAAAAA房地产D4364220津能源MTN002213Y-05397862651450423343AAAAAA城投D40712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金安01240Y2Y0419760-1852465484358AAAAA城投D2209121瀚瑞投资PPN003348Y0339873-1376473487420AA城投A9382122渝高01452Y0309862-743343350310AAAAAA城投A9008120湛基02223Y02810200-1447400414497AA城投B7976222先行控股PPN002246Y0269661-1085460471312AA城投S9735122两江02276Y2Y02510026-1007345355356AAA城投S9750320大余债477Y02510005-1038721731725AA-AAA城投D3500122长建01207Y2Y02510008-1332455468460AA城投A8778120阜阳建投MTN001204Y02210077-1155398410438AAAA城投B8442122宿州城投PPN001185Y0189935-1048434444397AA城投A9229122金川MTN001198Y01810041-983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G2147Y0019350-085955466AAAAAA城投S965519新城0118D0039980-5628889560AAAAAA房地产D436417昆投02230D0059650-8051120550AAAA城投B7019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35012010300082500620004002150001000200450060商贸零售环保石油石化公用事业建筑材料社会服务综合传媒通信机械设备建筑装饰基础化工房地产钢铁煤炭食品饮料交通运输有色金属医药生物汽车008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