摘要
　　根据Broker和CFETS数据源，成交高于估值个券中，“23济南城投MTN001A”与“21普洛斯MTN001”债券估值价格偏离幅度较大。低估值成交个券中，“20仙游01”估值价格偏离程度最大。卖价高于估值个券中，“19苏电05”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上升。分行业看，电力设备行业净价偏离幅度最大。信用债平均成交期限有所下降，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3日3月3日信用债异常成交跟踪信用市场日度跟踪2023-3-3摘要根据Broker和CFETS数据源成交高于估值个券中23济南城投MTN001A与21普洛斯MTN001债券估值价格偏离幅度较大低估值成交个券中20仙游01估值价格偏离程度最大卖价高于估值个券中19苏电05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上升分行业看电力设备行业净价偏离幅度最大信用债平均成交期限有所下降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济南城投MTN001A287Y2Y-038100771400351337AAA城投S9588522宁德时代GN001278Y2Y-03398951274330317AAAAAA电力设备D3000222济南城投MTN001A项目收益436Y-0279931693360353AAAAAA城投S9588122渝高速MTN003乡村振兴244Y-0159849691335328AAAAAA城投A9096118首旅01147Y3Y-01510009969334324AAAAAA社会服务S9873121福州城乡MTN001334Y-01410101454342337AAAAAA城投C6303121浦建01167Y2Y-01410028806320312AA城投C5958121上城03360D-013100581103500489AAAA城投S9721119北汽12170Y-01210038668370363AAAAAA汽车A9356121舟投01140Y2Y-01210031775330322AAAA城投C6421122粤海MTN001207Y-0119965544314308AAA城投S9544121平投01539Y-01010104264400397AAAAA城投B8103321佛燃能源MTN002113Y-00910062785310302AAAA公用事业B7811121辽港集团MTN001171Y-00910035531315310AAAAAA交通运输B8461122长春轨交MTN002233Y-0099834436547543AAAA城投D4753122如开D198D-00899723105400369AA城投S9535120新港0164D2Y-00899954968590540AA城投D4042121金城01121Y2Y-00710064493320315AAAA城投C6572122HDGJ01185Y-0079976371305301AAAAAA公用事业S9866223靖江城投SCP001224D-00710073942394385AA城投B7967220豫资1239Y-00710098248355353AAAAAA城投B7512121张江集MTN001152Y-00710021459302297AAAAAA城投A9212122沪城01263Y2Y-0079860266319316AAAAAA城投C6113119国联03170Y-00610157267312309AAAAAA城投S9751122中化股MTN002218Y-0069931327318315AAA石油石化S9971122中化G1186Y-0069974317310307AAAAAA基础化工A8858221航集02322D-00610043546295290AAAAAA交通运输A9174121新田投资MTN001115Y-00610090489318313AA城投B7399320德恒0245D2Y-006100122462450425AAAA城投D1760119兰溪178Y-0069873336495492AAAA城投B7844221越交03319Y2Y-00610153152332330AAAAAA交通运输B8034219绵控01103Y-00610114306480477AA城投A9103121兴杭01154Y-00610029304309306AAAAAA城投B8417122浦集03213Y2Y-0069970243313311AAAAAA城投S9523121粤电发MTN002171Y-00610007331308305AAA公用事业S9815112国航03166D-00510107285275272AAAAAA交通运输B7174122沪港务MTN001213Y-0059909283312309AAA交通运输A9214321天津轨交MTN001104Y-00510050485469464AAAAAA城投S9641122南通城建MTN002249Y-0059872238331329AAA城投S9644218吉高0218D-00510010416308304AAAAAA城投S96621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普洛斯MTN001104Y-7779000873731561687440AAAAAA交通运输D3897222金地MTN001198Y-3878681224901140915358AAAAAA房地产C5673223银川城投MTN001188Y365D-20098579004685595630AA城投C5621621远洋控股PPN001324D-18583202721028102538460AAA房地产C6138420淄博城运MTN001199Y-16596838982550460377AAAA城投B8303423即墨城投PPN001361D-1591000016913547378547AA城投A8969321金地MTN003106Y-1569422163741000836398AAAAAA房地产C5673122武清经开CP001292D-149978019795964766680AA城投C56391021通泰PPN001157Y-13796719730980883750AA城投C5555323盐城城南MTN001299Y-115100004222480438480AA城投A9310222泰兴城投PPN004249Y-10395384522560515357AA城投A9198122滇池投资SCP00379D-09897514801317921312650AA城投D4292223贵州交通MTN001299Y-092100003407550516550AAAAAA城投B8123222芜湖建设MTN004245Y-08197503533396361288AA城投S9648320井开债415Y-08197834341735691620AAAA城投C5045322安徽港航MTN002239Y-08198023588373338286AAA建筑装饰B8116221丰城发投PPN001148Y-08099525714530473498AAAA城投B8209321合川投资PPN001360D2Y-078100109198656564660AA城投A9142322泉州江南PPN001185Y-07798524549667621580AA城投D3715223周口城投MTN001184Y-077100714503595550638AA城投A9103223昆交投PPN001192Y-075100004309759716760AAA城投C5670122港兴港投MTN006121Y-06797595933610551400AAA城投S9877122泰兴城投PPN003240Y-06496302909540511373AA城投A9198121淮安新城PPN003166Y-064100274120530489550AA城投B8296223新郑投资MTN002199Y3Y-060100003291558525558AA城投A9456121泰州海陵PPN001282D1Y-05099755527559503545AA城投B7074223昆交投PPN002198Y-045100002548760734760AAA城投C56701421青岛海控PPN001权益出资149Y-04599633138405373380AAA城投A9318323青岛城投PPN001299Y-043100001556428412428AAA城投S9844323武清国资SCP002261D-04199696264795732750AA城投A8935221周口城投PPN002266D3Y-04099844352482439478AA城投A9103323沧州交通PPN001乡村振兴187Y365D-039100433067483453500AA城投B7249223兴城人居MTN001299Y2Y-03899861165392380389AAAAA城投B7724221淮南建发MTN003173Y2Y-035101486814485417530AAAA城投A9236221洛阳城乡PPN006167Y-03599002193482460420AA城投A9426222西宁城投MTN001350D-0349450408112391198600AAAA城投C5488222苏州高技MTN003246Y-03398481423350336285AAA城投A8951223临沂城发MTN001299Y2Y-032100011195530518530AA城投A87311021崇川城投PPN004145Y-031100002225372350373AA城投B7780221临川绿色债493Y-03199821206687674680AAAA城投C51145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20仙游01187Y08110081-4889650699700AAAA城投C6113121绿城01316D2Y0649908-7300500573392AAAAAA房地产B7644122镇江文旅MTN001150Y365D0529899-3664550587480AA城投C6817120五华公共债411Y0469980-2348445468435AA-AAA城投D1967123宿州城投MTN001286Y04110247-1588455471550AA城投A9321122龙海02258Y0409687-1653476493345AA城投C6630121甘公投MTN004149Y0319749-2091570591391AAA城投A8826121抚高新342D4Y03110131-3621500536650AAAA城投D3668121高要01167Y02910125-1973415435497AAAAA城投C6082123宁乡城投MTN001298Y2Y02810054-1035455465475AA城投A935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0138D0299945-25854985510AAAA城投B700523曲文投SCP001159D0299905-6691802580AA城投C559722柳州投资MTN001362D3Y0419343-60101945740AA城投C513621新湖01159D15Y0449900-28316815760AAAAA房地产D3588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50015450104000535000005300102501520020150251003050350电力设备社会服务基础化工石油石化汽车建筑材料机械设备国防军工电子公用事业交通运输环保商贸零售传媒建筑装饰食品饮料通信煤炭综合有色金属钢铁房地产040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