摘要
　　根据Broker和CFETS数据源，成交高于估值个券中，“22青岛国信MTN006”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，“21丰城城投MTN001”估值价格偏离程度最大。卖价高于估值个券中，“G18龙源1”估值价格偏离幅度最大。估值收益率高于8%的个券中，交运债排名靠前。
　　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下降，高估值AA城投债及地产债成交笔数占比保持不变。分行业看，通信行业净价偏离幅度最大。信用债平均成交期限上升，其中城投债的成交期限有所上升，产业债的成交期限有所下降。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2023年3月6日3月6日信用债异常成交跟踪信用市场日度跟踪2023-03-06摘要根据Broker和CFETS数据源成交高于估值个券中22青岛国信MTN006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21丰城城投MTN001估值价格偏离程度最大卖价高于估值个券中G18龙源1估值价格偏离幅度最大估值收益率高于8的个券中交运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下降高估值AA城投债及地产债成交笔数占比保持不变分行业看通信行业净价偏离幅度最大信用债平均成交期限上升其中城投债的成交期限有所上升产业债的成交期限有所下降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22青岛国信MTN006176Y-033100071934375356AAAAAA城投S9811120青岛国信MTN005221Y-03199341480381366AAAAAA城投S9811120青科01179D4Y-023100284250380338AAAAA城投D289122长轨01217Y7Y-02399031166548536AAAA城投C6971122宜春城投MTN003239Y2Y-0179786801402394AA城投A8764320澴水02203D2Y-017101242194395373AA城投D2013122孝感02262Y2Y-0169721675505498AA城投A8888121临沂投资MTN003165Y-01699431077555544AA城投C5332122汉江国投债02260Y-0149872575341335AAAAAA城投S9856122碧桂园MTN002281Y-01310064492405400AAAAAA房地产C5432322河西02911Y-01210103150403402AAAAAA城投S9793122新建元MTN001228Y2Y-0129934571355349AAA房地产B7002116穗城02338Y-01210161321338335AAAAAA城投S9638123云铁投SCP001143D-012100032894630601AA城投A8613121乌镇债301Y2Y-00910179380400396AAAA城投D4952123江东01285Y-00810257212400398AA城投S9609122衡阳城投MTN003230Y2Y-0089869375400396AA城投S9842122长发D1256D-0079959940550541AAA城投A8688121钱塘03166Y2Y-00710043347389386AAAA城投D2475121保利发展MTN003167Y-00710031417305301AAAAAA房地产A8853120首业0224D2Y-00599898084510429AAA城投A8955221深圳资本MTN001150Y-00510013360310306AAAAAA综合A8966121绍旅02139Y2Y-00510009294389386AA城投B7329122衡阳城投MTN001209Y2Y-0059942275392389AA城投S9842222越秀集团MTN003250Y-0059833239318316AAA城投S9893320华为MTN002205Y-00510012231332329AAAAAA通信S9764320浦建01197Y-00410008180323321AAAA城投C6084122义乌商品MTN002205Y-00410066210346344AA商贸零售B8076118渝高新MTN00144D-004100261422295281AAAAA城投A8759122闽能源MTN001198Y-0049972212310308AAA综合S9546221青岛地铁MTN003165Y2Y-00410022217320318AAA城投A9159122华为MTN001185Y-0039945207327325AAAAAA通信S9764221京能源MTN002可持续挂钩179Y-0039980194306304AAAAAA城投A9417122中铝MTN002转型130Y-0039924308305302AAA有色金属S9511120宁德01165D2Y-00310035254302299AAAA城投C6378221衢基01170Y2Y-00310006126364363AAAA城投D981121华电06155Y-00310014135299298AAAAAA公用事业S9862119川发08675Y-00310594017356356AAAAAA城投A9220123滨建投SCP001102D-00310001975647637AAA城投S96292深能2001262D2Y-00310078080281280AAAAAA城投A86992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MTN001103Y-7779000875991564688440AAAAAA交通运输D3911222甘电投MTN001225Y-250967112032530410372AAAAA城投C6718222镇江交通PPN002198Y-174100009620620524620AA城投A8768121金地MTN005128Y-1709244151811039888379AAAAAA房地产C5670422武清经开MTN001303D-166976521250990777700AA城投C5642423重庆物流MTN001197Y-150100008275598515598AA城投A8644122武清经开CP001289D-145977719530970775680AA城投C5642322镇江城建PPN002356D3Y-1441000015601580424580AA城投S9584121通泰PPN001156Y-13596799685975878750AA城投C5577320桃花源MTN00124D2Y-118989425153756505700AAAAA城投B73761622株洲国投债279Y4Y-104100234641545499550AAAA城投C5088121淄博城运MTN003376Y-10095942972520490399AAAAAA城投B8297222泰达投资SCP00853D-0969841679581652973580AAA城投C5730422开封城投PPN003145Y-09497507086691620507AA城投B7861223即墨城投PPN001358D-094100659886477378547AA城投A8870223浦里开发SCP001243D-092990314967800651650AA城投D42981022海安开投PPN004156Y-08296635702580523350AA城投A8655319德州财金MTN002155Y-07999905329457404452AAAA城投B8325223昆交投PPN001192Y-077100004450759714760AAA城投C5684320达州国资PPN001203D2Y-0761001116419583419590AAAAA城投C6444223南昌金开MTN001185Y-076101014380540496600AAAA城投D4650422长寿开投MTN001340D1Y-07599747178664592650AA城投B8050423宿迁新城MTN001187Y3Y-073100867104559488580AA城投A8901217淄博资运MTN001156Y-070100644738502455548AAAA城投B8297222珞璜建司MTN001249Y-07096803123591559450AA城投D4140322岳阳城投MTN001448Y-06296791541443428363AA城投A8552222淮南建发MTN002205Y2Y-06199301459455441436AA城投A9328222南京奥体MTN001455Y-06096141487439424344AA城投D4038321景国资PPN001B109Y2Y-059100015847599541600AA城投B8392123新郑投资MTN002198Y3Y-059100003200558526558AA城投A9444322巩义国资PPN001130Y3Y-0549930768562554544AA城投B7778322绍兴滨海MTN001401Y-05198101417448434395AA城投B8210322汉江国投债02260Y-05198352082356335289AAAAAA城投S9856120长沙城北PPN002185D-050100059645437341457AA城投B7790321周口小微债02155Y2Y-049100274444491446500AAAA城投A9099221先行控股MTN002147Y-04999713486389355370AA城投S9717223株洲高科MTN001287Y-048100001902679660680AA城投A8899220嘉公路MTN001201Y-04899592523372346350AAAA城投A8968123南浔交投MTN001285Y-048100001850598580599AA城投D4985119富阳城投MTN001117Y-047101564066356315495AAAA城投S98262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21丰城城投MTN001132Y02710126-2264530553635AAAA城投B7718122绍兴滨海MTN002277Y02610243-1034400410495AA城投B8210121闽侯01161Y02410015-1660405422417AA城投D3098122黄岩城投PPN001241Y0249715-1010461471334AA城投D4210121滨江房产MTN001355D0229934-1997527547456AAAAAA房地产B8354222扬城建MTN002432Y02010015-498344349348AAAAAA城投A9411222淮建04262Y0199805-808530538450AA城投A9328123成华棚改MTN001298Y2Y01910027-683390397400AA城投A8962121宣经02174Y2Y0189964-1170425437405AAAAA城投B7387221东龙控股PPN002172Y0179954-1029475485448AA城投A8506121望城经开PPN002171Y2Y0179951-1008434444405AA城投A9110122金东01257Y0169598-649510516340AA城投C5966123华综01297Y2Y01610037-632405411419AAAAAA城投C6864121余姚城投MTN001347Y01510033-481372377383AAAA城投B8206121南开02144Y01510033-1238487499515AAAA城投D4721221嘉善02336Y01510090-530380385410AAAA城投A9268119藏投01175Y0159922-922396405350AA城投A9184122宁安01255Y2Y0149847-586329335266AAAAAA城投A9140122萧山机场MTN001264Y0149853-524332337273AAA交通运输A9300122天山01255Y0149854-569328334268AAAAAA建筑材料C6109122建安投资MTN001185Y0149894-742409416349AA城投S9558120随州城建MTN00254D2Y01310013-5581320376420AAAA城投A8599122建房01237Y3Y0129942-587384390359AAAAAA城投A9157123钱塘01298Y2Y01210000-481368372368AA城投B7387122广铁01387Y0129973-361327331320AAAAAA城投S9864121宣州国资PPN001乡村振兴150Y0129993-815431439428AA城投D3680122河钢集MTN004101Y0119998-1152350362348AAAAAA钢铁S9898122常德经建PPN001201Y0119961-584475481454AA城投S9502123浦开01297Y01110002-437329333330AAA城投B8492121淮开05269D1Y01110086-1949450469580AA城投A9166122徐州经开MTN006238Y0119878-465354359300AA城投S9815122安徽担保PPN001264Y0119780-409396400307AAA城投C6898122滁州经开CP002281D01110090-1611375391500AA城投B7127122诚通K1212Y01110001-577324330325AAAAAA综合S9909220成金0194D2Y01110014-4869560609650AA城投D2428122扬州交通GN001碳中和债256Y0119809-410370374291AAAA城投B7796120武汉城投PPN002220Y01110078-526346351384AAA城投A9119121石控01290Y2Y01010215-457338343418AAAAAA城投A8799122宁沪高MTN002260Y0109830-386318322249AAA交通运输S9853222皖投集MTN001230Y0109944-447323327298AAA城投A92592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体主体流动性评简称票息行业年离元偏离bp债项分G18龙源148D2Y-97312581098298801098574483AAAAAA公用事业S992221金地MTN002101Y-916179811489317115718396AAAAAA房地产C567020温交0127D4Y-9042999510727386337AAAA城投D490619苏电05114D-881958725337789282780730A商贸零售D127422浙兴合MTN001276Y2Y-81649999157450450AA商贸零售C664421杭州农副PPN002243D1Y-79052100546041954952390AA城投C666421信地01189Y365D-695899993380514515AAAA房地产B808821华能MTN001可持续挂钩145Y-617510000215298299AAAAAA公用事业S995821GLP03101Y-44709298529041219437AAAAAA交通运输D391121GLP01325D-431896996646754398AAAAAA交通运输D391118瑞专债01190D5Y-35481005423357525648AAAA城投B732916碧园05180D-33336100108875213260565AAAAAA房地产D261320渝旅债55D2Y-1290100012358368394AAAAA城投C673520淮安交通MTN00142D2Y-1016999011868423350AAAA城投A940920晋桥0139D2Y-955100015236443485AA城投C515420荆州海投债38D4Y-934999620997629630AAAA城投D358921郫国投MTN00134D1Y-8461000511603500578AAAA城投A880820盐投0128D2Y-7141000215497567645AAAA城投B848421GLP07113Y2Y-64896498091774440AAAAAA交通运输D391120余杭城建PPN00220D2Y-499100012570307340AAA城投S950921工投03182Y2Y-4749334302641200776AA城投D223720铁建房产MTN00217D2Y-42399983758368328AAAAAA房地产A918205中信债2276Y-3581000014169459460AAAAAA综合A850422开封03178Y-339980221068800680AAAA城投B786122黔水01237Y2Y-3288877165381272700AA城投D138721西安建工MTN001145Y-2929054234371300550AAAA建筑装饰D418720首业0224D2Y-27399888084510365AAA城投A895522南部新城MTN003245Y2Y-26896781163470329AA城投A924420西苑0221D2Y-246998919955710580AAAAA城投D271918溧水经开MTN00110D2Y-2461000014263438446AAAA城投S966222鲁创K1451Y5Y-24495456040452339AAAAA综合C654019老河口PPN001107Y-2429614254461150750AA城投D425822东营02279Y2Y-242100459618600620AA城投D403816滨旅债254Y-2258672105531200568AAAA城投D339121任兴06300D1Y-2219627297951210730AA城投D259520泰山017D2Y-192999716720495394AA城投A916221龙旅0141D3Y-176998816317640580AAAA城投B717221双龙02136Y2Y-155961012494850540AAAAA城投D329522华发实业ABN001优先1909Y-1271318560550AAA房地产A901022重庆物流MTN001249Y2Y-12596265564595430AAAA城投A8644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21普洛斯MTN001103Y-7779000875991564440AAAAAA交通运输D391120旭辉0184D2Y-7135420-25392993748380AAAAAA房地产C555022惠民建投MTN002115Y3Y-4669302-2021877670AA城投C569119津投06598Y-438773094331025499AAAAAA城投S992721旭辉03192D2Y-2654500-17369254394390AAAAAA房地产C555019秦投02296D3Y-2219710883840750AAAA城投D446816津投03345Y-20883007055955355AAAAAA城投S992721高创投资PPN001122Y-200959818142941580AA城投C505521金地MTN005128Y-1709244151811039379AAAAAA房地产C567022武清经开MTN001303D-166976521250990700AA城投C564221旭辉01102Y2Y-1504150-10045914205440AAAAAA房地产C555022武清经开CP001289D-145977719530970680AA城投C564221旭辉02138Y2Y-1444100-5834663783420AAAAAA房地产C555021通泰PPN001156Y-13596799685975750AA城投C557716鲁商0133D-11099001162211732750AAAA商贸零售D472120柳发01237D2Y-1069560-33189859670AAAA城投D469222泰达投资SCP00853D-0969841679581652580AAA城投C573020兴安债430Y-092901051971349800AAAA城投D339323浦里开发SCP001243D-092990314967800650AA城投D429819中骏01148D-0879555233921753650AAAA房地产D323122寿光城投PPN001151Y365D-0779589-5610886700AAAA城投B746322建湖城投PPN003114Y-03898723689869750AA城投C545521远洋控股PPN001321D-037845076892613460AAA房地产C613823怀化经开PPN001287Y2Y-0329718-2881822750AA城投C525719西宁城投MTN001103Y-022933029981228500AAAA城投C549919泰达01357D-013968514061049698AAAAAA城投C573021豫园商城MTN003187D-01197273961959420AAA商贸零售D482819远洋02104Y2Y-0078400-1239511107459AAAAAA房地产C613818金地06106D-00699102228848570AAAAAA房地产C567021碧地03192D2Y-0059100-142538841433AAAAAA房地产C543220云建投MTN00139D-00599616735800469AAAAAA城投B804818同方MTN00342D-00499635903820524AAAAAA计算机D360222惠民城建PPN003123Y3Y-0039699-17584815730AA城投C569122瀚瑞投资PPN006230Y0009704072844700AA城投A942221昆明公租MTN001289D0009768280923620AAAA城投C536123泰达投资SCP004160D00198659651016698AAA城投C573022唐山金融CP00161D0039949-056868600AA城投C516616渤水产10D0069980-81941312750AAAA农林牧渔D370218远洋01149D00794109511910400AAAAAA房地产C613820七狼0135D0109950-7087985520AAAA纺织服饰D360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-min45944092353090258820158610845082221422312242022610227292291922111022122923224221422312242022610227292291922111022122923224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1400120010008006004002000-20-20-15-15-10-10-5-500200551010151520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300201520010100500221422215223222242622622278228122291922102722121231623217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40230220110100221422215223222242622622278228122291922102722121231623217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160009008140007120006100005004800036000240001000200010通信机械设备电力设备房地产商贸零售医药生物有色金属计算机国防军工电子社会服务石油石化公用事业食品饮料基础化工钢铁传媒汽车建筑装饰综合煤炭农林牧渔交通运输建筑材料002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302520151005221422215223222242622622278228122291922102722121231623217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15100500051015221422215223222242622622278228122291922102722121231623217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