根据Broker和CFETS数据源，成交高于估值个券中，“23济城G3”与“22乳山国运MTN001”债券估值价格偏离幅度较大。低估值成交个券中，“22首股05”估值价格偏离程度最大。卖价高于估值个券中，“21金地MTN002”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和均值有所上升。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，基础化工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7日3月7日信用债异常成交跟踪信用市场日度跟踪2023-03-07摘要根据Broker和CFETS数据源成交高于估值个券中23济城G3与22乳山国运MTN001债券估值价格偏离幅度较大低估值成交个券中22首股05估值价格偏离程度最大卖价高于估值个券中21金地MTN002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和均值有所上升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基础化工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23济城G3297Y2Y-054100681908355336AAAAAA城投S9633422青岛国信MTN002233Y2Y-03198461449385371AAAAAA城投S9804122章控01244Y2Y-03196521367504490AA城投B7163121青信01163Y2Y-02499701462370355AAAAAA城投S9804122衡阳城投MTN004261Y2Y-0169805685415408AA城投S9847321惠通04177Y4Y-01610080857440431AAAA城投B8427122南谯国资PPN001185Y-0159895892460451AA-城投D3017122邯交01256Y2Y-0149692578510504AA城投A8923122云能投MTN002129Y-01499131154550538AAA综合S9711121淮交02162Y-01310103746440433AA城投A9392122国惠01355D1Y-01299871225321309AAA城投A9128222广州开投MTN002266Y2Y-0119829461353348AA城投B8396222国丰集团MTN002A238Y-0109922468328323AAAAAA基础化工S9577322华为MTN002388Y-0109914289350347AAAAAA通信S9802120醴陵债267Y2Y-00910132378508504AAAAA城投D2899123日照能源PPN001184Y365D-00810040479555550AA城投B7172122南集01271Y-0089920272481478AA城投C5254120中海03247D-00610032776287279AAAAAA房地产A8547123晋能煤业CP003340D-006100071176321309AAA煤炭S9924122中航租赁MTN005236Y-0059937247345343AAA综合S9753121海宁01101Y2Y-00510085317312309AA城投A8778321椒发01112Y-00410082270350347AAAA城投C5997120湖城03276D2Y-00410099308310307AA城投A9343121张江03162Y2Y-00410056191300298AAAAAA城投B8167123华为MTN001486Y-0049960086354353AAAAAA通信S9802222中化股MTN003225Y-0049894179317315AAA石油石化S9965222义建01261Y2Y-0049722132439438AA城投C6393121深投05164Y-00410040158300298AAAAAA城投A9395221甬城01106Y2Y-00310081200283281AAAAAA城投B8098121淮北建投MTN002103Y-00310156263470467AAAA城投S9731121徐工集团MTN002165Y-00310060195310308AAA机械设备A8805421广电02128Y2Y-00310080153298296AAAAAA电子C6064120合和01226D2Y-00310048266290287AAAAAA综合D2043122相城02214Y-0039938116350349AA城投A9452122徐工集团MTN001185Y-0039999163314312AAA机械设备A8805322华为MTN003198Y-0039947159327325AAAAAA通信S9802221驻马店投MTN004171Y2Y-00310057150463462AAAA城投A8529123连云工投SCP001215D-00310012414525521AA城投B7456122中化股MTN002216Y-0029938124315314AAA石油石化S99652汉江国资18MTN004181D-00210121176286284AAAA城投S98531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乳山国运MTN001260Y-17993667962933853650AAAA城投C5358622伊宁国资MTN002177Y365D-12199155912783724750AAAA城投C5058420桃花源MTN00123D2Y-117989426229756494700AAAAA城投B7512422润企投资PPN001135Y-10197088100731650500AA城投B7337221齐梁建设MTN001335D-0971000011053646536650AAAA城投D4853222荆门高新PPN001363D365D-09799517755577499550AA城投B8480223浦里开发SCP001242D-096990315689800643650AA城投D4637523许昌投资PPN001354D-095995310668650543600AA城投A8869220黄石众邦PPN002248D-090982013752687550420AA城投A8567223开封城运CP001162D-090994320834720512590AA城投B7853222如皋经贸MTN002224Y-08896914225506464357AA城投S9535421威海中城PPN001233D1Y-0859850646737730640AA城投D4421222广州工控MTN001213Y-08098583962378338308AAA城投A8970319芜湖县建投债01329D5Y-0791012020901734525760AAAA城投D3213621青白江安置房项目NPB373Y2Y-07799232460703679680AAAAA城投D3017222开封城投PPN004270Y-07797203178665633550AA城投B7853321郫国投MTN00133D1Y-076993925656636379578AAAA城投A8801423滕州国资MTN001287Y2Y-070100002712550522550AA城投D4234222荆门高新PPN004136Y365D-06998901979541522492AA城投B8480320渝文资MTN001205Y-062100393201369337389AAAA城投C6633219綦江城投MTN001175Y-06198373872750711650AAAA城投D2859121景国资PPN001B109Y2Y-060100016002599539600AA城投A8632222泰州海陵PPN003101Y-06099316327573510500AA城投B7074223海江投资MTN001294Y-05499891995393373389AA城投A8718523新郑投资MTN002198Y3Y-053100103233556523558AA城投A9430323桐乡城投MTN001297Y-05399581912388369373AA城投A9330421泰州海陵PPN001278D1Y-05399755949559499545AA城投B7074222靖江城投MTN002214Y-05299692625515489500AA城投B8206223昆交投PPN002196Y-051100002913759730760AAA城投C56671021远洋控股PPN001320D-0498450825926192536460AAA房地产C5498319京汽集MTN002B165Y-049100403105393362420AAAAAA汽车A9304119沪地产PPN001171Y-04999193006379349330AAA城投A9462121长兴绿色债01347Y2Y-047100872310466443495AAAA城投A8839221合川投资PPN001356D2Y-043100548585639553660AA城投A9239120白马湖MTN001114D-0421000013158604472630AAAA城投C6691220淮北建投PPN004146D2Y-0421001515406639485648AA城投S9731123苏州高新MTN002298Y-042100001492346331346AAA城投S9898322通泰CP001287D-04099775266720667700AA城投C5552119怀化工投PPN002113Y-03899669921770671740AA城投C6431723蓉经开PPN001287Y2Y-037100021512599584600AA城投B83516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首股05266Y2Y0859874-3466440475390AAA城投S9702321巩义01147Y02710068-2055440461492AAAAA城投B7811120盐城东方MTN001221D02710083-4137400441550AAAA城投A8594121粤高02813Y5Y02610275-399365369405AAAAAA城投B7263119华发集团MTN002322D02410059-2835355383426AAAAAA城投S98351G22国太1238Y0239837-1026384394312AA城投A9030122成都环境MTN001443Y0219890-521345350318AAAAAA城投B7319121诚通10335Y2Y02110097-710345352377AAAAAA综合S9904122宜宾发展02478Y3Y02010349-469349354430AAAAAA城投A8912119阳股02152Y02010019-1416335349350AAAAAA煤炭C5954122袍江工业MTN001186Y0199959-1075403414380AA城投B8024122铁工04426Y01810022-491324329330AAAAAA建筑装饰S9895121龙川控股PPN002172Y01810015-1110415426425AA城投A9152220华发集团MTN005264D01810048-2386355379427AAAAAA城投S9835121吉控03106Y2Y01710099-1855384403483AAAA城投C6112122首钢01254Y0179866-725335342280AAAAAA钢铁S9938121电建地产MTN002112Y01610075-1529348363418AAAAAA房地产A9159117新发集团MTN001448Y0169986-390398402395AAAA城投A9190221诚通12338Y2Y01610054-533347352365AAAAAA综合S9904222金建专项债662Y0159716-356412416343AAAAA城投C6315119TCL01120Y0149951-1280356369315AAAAAA电子S9531122中化02387Y0149927-416330334310AAA石油石化S9965121嵊州投资MTN001181Y01410009-812382390388AA城投A8899121创鸿03143Y2Y01410011-1087352363362AAAAA城投C6738121重庆高新MTN003179Y2Y0149973-805380388365AA城投A8892122广晟MTN001442Y0149882-318349352320AAA有色金属A9366222皖投01266Y0139863-537323328269AAA城投A9312221滨江城建MTN002147Y2Y01310025-953351361370AA城投A8525221肇庆国联MTN002118Y2Y01310086-1181310322386AAAA城投B8006222津城建CP022179D0139854-1530703718408AAA城投S9933621淮安开发MTN002126Y01210154-1022420430550AA城投A9205122外高桥MTN002243Y0129889-492318323270AAAAAA房地产A8569121盐城城投MTN001164Y2Y01110033-736378385400AA城投B7920222渝高速MTN002414Y01110018-293344347349AAAAAA城投S9517122扬开01212Y2Y0119814-579450456357AA城投A9466121嵊州城投PPN002138Y01110008-832440448448AA城投B7686121福投03334Y01110141-379319323365AAAAAA城投S9508122鄂州城投PPN001101Y01010003-1064374385377AA城投B7986122随州城建SCP00181D0109987-3488340375285AA城投A8623220新昌01199Y01010286-685445452600AA城投A85221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21金地MTN002101Y-916579511648336117306396AAAAAA房地产C563719苏电05113D-882159425260416282780730A商贸零售D124023汴京01196Y3Y-698099991460619620AAAAA城投021信地01189Y365D-695499993606514515AAAA房地产B806823城发投资SCP001139D-56334352346071435081490AA城投B741021GLP07113Y2Y-481196696260754440AAAAAA交通运输D397223苏州生态PPN001362D-4797100011476358358AAA-1城投B740821GLP03100Y-44629298531941221437AAAAAA交通运输D397218瑞专债01189D5Y-35351005423336525648AAAA城投B731723江宁水SCP001176D-314210000922300300AA城投B701820渝旅债54D2Y-1269100012458368394AAAAA城投C646421嘉善04166Y2Y-11168916769641100355AAAA城投A931919鲁高速MTN003155Y-10679036783961100395AAAAAA城投S994620淮安交通MTN00141D2Y-993999012714428350AAAA城投A939220晋桥0138D2Y-932100015496443485AA城投C517820荆州海投债37D4Y-910999721378629630AAAA城投D357421兴泸MTN001A149Y2Y-8989123676541000342AAAA城投A910122津保投SCP01336D-8359984492639485AAA城投A937221郫国投MTN00133D1Y-8221000412964509578AAAA城投A880120盐投0127D2Y-688100078904496645AAAA城投A859420涪陵新城PPN00124D2Y-6091000312699477540AA城投B838917株国01115Y-5989571572431000593AAAA城投C501322葛洲优1939Y-5748876198370321综合020赣州城投PPN00119D2Y-477100025315354400AA城投S969920余杭城建PPN00219D2Y-475100013429307340AAA城投S954821工投03181Y2Y-4719335300761200776AA城投D222820铁建房产MTN00216D2Y-39899984405368328AAAAAA房地产A917922开封03178Y-360978622465810680AAAA城投B785322黔水01237Y2Y-3238878162231272700AA城投D136022柔刚债197Y4Y-3179620183971000780AAAA城投D122421西安建工MTN001145Y-2979055236781300550AAAA建筑装饰D415522南部新城MTN003245Y2Y-27396791357470329AA城投A931220首业0223D2Y-26599898333505365AAA城投A897922鲁创K1451Y5Y-25095456174452339AAAAA综合C651522东营02279Y2Y-247100459862600620AA城投D401220滨州0110D2Y-246999817641489490AAAA城投B734820西苑0220D2Y-246998921357710580AAAAA城投D271916滨旅债254Y-2308673106531200568AAAA城投D339421任兴06299D1Y-2259628302881210730AA城投D259218溧水经开MTN0019D2Y-2191000016811438446AAAA城投S9649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旭辉0183D2Y-13404744-30082634624380AAAAAA房地产C552321旭辉03191D2Y-11444050-17465105036390AAAAAA房地产C552321旭辉02138Y2Y-10203790-5349684136420AAAAAA房地产C552320旭辉03233D2Y-9914018-14731944923423AAAAAA房地产C552321旭辉01101Y2Y-7933950-9532394460440AAAAAA房地产C552322柔刚债197Y4Y-439950012260939780AAAA城投D122421津渤海MTN001183Y2Y-4388683-15293977550AAA城投C567721金地04308Y-241850090651020430AAAAAA房地产C563716腾越02228D-2028810393512620450AAAAA房地产C521122乳山国运MTN001260Y-17993667962933650AAAA城投C535819秦投02295D3Y-1269810-1623808750AAAA城投D431720柳发01236D2Y-1099561-33166859670AAAA城投D465320兴安债429Y-098900853931351800AAAA城投D330923浦里开发SCP001242D-096990315689800650AA城投D463722巴中国资MTN001267Y2Y-0969529-3790814690AA城投C522319中骏01147D-0909560229601747650AAAA房地产D311521柳州城投PPN00144D1Y-0869830-44365913750AA城投D465322大连万达MTN002167Y365D-0529540-7415878680AAAAAA房地产B770321远洋控股PPN001320D-049845082592619460AAA房地产C549815远洋03245Y-047700025372203500AAAAAA房地产C549820云投G5167D-047977010465935436AAAAAA城投S968919远洋02104Y2Y-0218400-1238121107459AAAAAA房地产C549819泰达01356D-019968619701049698AAAAAA城投C569918远洋01148D-006941021291920400AAAAAA房地产C549819西宁城投MTN001103Y-00593567481200500AAAA城投C547922泰达投资SCP00852D-003993727691000580AAA城投C569923泰达投资SCP004159D00198705831006698AAA城投C569922泰达投资SCP011171D00198110001001590AAA城投C569921碧地03191D2Y0029119-143258832433AAAAAA房地产B796821北辰科技MTN001321D2Y0059736-21836805700AAAA城投C519116渤水产9D0069986-220351152750AAAA农林牧渔D368120大连万达MTN00288D0219910-6133820470AAAAAA房地产B770317昆投0134D0219947-213211024510AAAA城投C696521碧地02127Y2Y0248145-1136811195480AAAAAA房地产B796821碧地01101Y2Y0338450-1295781113480AAAAAA房地产B796819碧地02147D0369400-86232003450AAAAAA房地产B796819碧地03258D0398900-58472268498AAAAAA房地产B796821新湖01155D15Y0409900-27993816760AAAAA房地产D340521新湖02156D2Y0519899-27635818775AAAAA房地产D340520碧地04241D2Y0628975-139572860415AAAAAA房地产B7968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400350300250200150100500-20-20-15-15-10-10-5-500200551010151520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4001035008300060042500220000150021000450060基础化工通信机械设备国防军工食品饮料环保农林牧渔商贸零售医药生物建筑装饰建筑材料公用事业交通运输石油石化综合有色金属汽车社会服务房地产钢铁电子煤炭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