根据Broker和CFETS数据源，成交高于估值个券中，“22康佳05”与“19老河口PPN001”债券估值价格偏离幅度较大。低估值成交个券中，“21中交A”估值价格偏离程度最大。卖价高于估值个券中，“21涪陵03”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有所上升，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，家用电器行业净价偏离幅度最大。信用债平均成交期限下降，其中城投债的成交期限有所下降，产业债的成交期限有所下降。AA城投债剩余期限均值环比上升幅度最大。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8日3月8日信用债异常成交跟踪信用市场日度跟踪2023-03-08摘要根据Broker和CFETS数据源成交高于估值个券中22康佳05与19老河口PPN001债券估值价格偏离幅度较大低估值成交个券中21中交A估值价格偏离程度最大卖价高于估值个券中21涪陵03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有所上升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家用电器行业净价偏离幅度最大信用债平均成交期限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下降AA城投债剩余期限均值环比上升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22康佳05261Y-12796855242480428AA家用电器D2602123济城G4497Y-093100872077385364AAAAAA城投S9686220高控02196Y-06498693476592557AAA城投S9737121棕榈01253D3Y-03299574461650605AA城投D1571221岳交02164Y-031101571844480462AA城投A8555122锡建G1944Y-0279843339408405AAAAAA城投A8713121江滨01139Y2Y-017100131217408396AA城投B8457122新郑投资PPN003227Y2Y-0179642857590581AA城投A9428123沪开01284Y-01410064500395390AA房地产D3178222湘建工SCP001科创票据131D-01099602979330300AA城投B7124223金融街MTN002295Y2Y-00810044301351348AAAAAA城投S9773122金禹水利MTN003268Y2Y-0089712327565562AA城投B7768122金融城建GN001可持续挂钩196Y2Y-0079989393335331AAAAA房地产B7476222东风01202Y-0079976312312309AAA汽车C5929223闽西兴杭MTN001293Y-00710041241335333AAA城投A8509118渝高新MTN002139D-007100791403300286AAAAA城投A9005121栖霞建设MTN002170Y-00610135357375371AAAA城投B8368122徐州新盛MTN001183Y-0069994349318315AAA城投A9495121张江高科MTN003169Y-00610025366300296AAA城投B8351223华为MTN002493Y-0069933130355354AAAAAA通信S9817119联投01102Y-00610069417396392AAA城投S9615121胶州专项债01132Y4Y-0059973410420416AAAA城投A9415122鼓风机SCP003131D-00599701510290275AA机械设备B7017120绿投03229D2Y-00410091297380377AA城投A8682121金控0251D-004100071848350332AAAA城投A9041120大双债236D4Y-00410030290580577AAAAA城投D2802121泰城G1164Y2Y-00410063164337335AAAA城投S9742122广晟01202Y2Y-00310047116315314AAA有色金属A9379122沧港01114Y5Y-00310094112490489AA城投B7510121金圆投资MTN001100Y-00310085273297294AAAAAA城投B8062219齐交02171Y-00310122099318317AAAAAA城投S9951118宿州城投MTN001110D-00310090424287283AAAAA城投A9243123拱墅01294Y2Y-00310026061370369AAAAA城投B8444121保利06323Y2Y-00310149051320319AAAAAA房地产A9034119冀交投MTN003102Y-00310134241296294AAAAAA城投S9729118岸资0175D-00310020478286281AAAA城投D2466120甘国投MTN002204Y-0029929130415414AAAAAA城投B7570422厦门市政MTN001200Y-00210029115305304AAA城投B7805118太仓城投MTN001173D-00210113166287285AAAA城投B7652221宁建发114Y-00210077049357357AA城投D15691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19老河口PPN001107Y-2819589295921180884750AA城投D4195220桃花源MTN00122D2Y-279973235917846487700AAAAA城投B7532821金地MTN006168Y-21288501451212121067417AAAAAA房地产C5604322武清经开CP001287D-1679756225321000775680AA城投C55872723即墨城投PPN001356D-1591000017081546375547AA城投A8834422武清经开SCP006186D-1409817289291032743670AA城投C5587220长发集团MTN001215Y-13393256837730662380AAAAAA城投A8900222伊宁国资MTN002176Y365D-09499504899769720750AAAA城投C5068122九江城投PPN001204Y2Y-09299132658404377380AA城投A9203523荆门高新PPN001162Y-088100005602645589645AA城投B8489322丹投PPN002236Y-08698093961575535488AA城投B8101220邯郸交建PPN005157D-084997719897558359520AA城投A8916221瀛洲发展PPN001338D-084100209537614519640AA城投C6691322晋能山西PPN001127Y-08399206866540471475AA城投C5146122皖农垦MTN001乡村振兴254Y-08297443419392358285AA农林牧渔B7158321金地MTN003104Y-08194608803967879398AAAAAA房地产C5604122晋能煤业MTN018科创票据241Y-08197853602452416357AAAAAA煤炭S9920121周口城投PPN001150D3Y-08199255286462409438AA城投A9058522通用MTN001187Y-08098994505351306294AAAAAA医药生物A9399321九江富和PPN002101Y-079100238209484402508AA城投B8427322华阳新材MTN003189Y-079100654430443399480AAA煤炭S9708121许昌小微债01147Y365D-0799808283491488407AAAA城投A8843323中原发展PPN001199Y365D-078100004185492450492AA城投C5190123自贡国资CP001317D-07599679036635545600AA城投B7263322成都国投PPN001212Y2Y-06899141459513499490AA城投A9119321巢湖城投PPN001131Y2Y-0671009810078516415550AA城投B8099222永州城发MTN002243Y-06796813013539509397AA城投B7605321成都国投MTN003147Y2Y-067100175576469413475AAAA城投A9119323商丘发展PPN001364D-067100007075592521592AA城投A9199222建德国资MTN001276Y-06699982585480454480AA城投A8611321马鞍山南MTN001179Y2Y-062101117087546475580AA城投B7618122荣盛MTN002187Y-06198373508523488430AAA基础化工A9038121齐梁建设MTN001334D-060100406872600532650AAAA城投D4610221新沂交投PPN001249D1Y-06099576795725657700AA城投B8404620桂建工MTN00110D-059984030067060963090390AAAAAA建筑装饰D2882523昆交投PPN002196Y-056100003166759728760AAA城投C5636623中船租MTN001BC可持续挂钩299Y-05299441871350331330AAAAAA交通运输D4823123宁乡城投MTN001297Y2Y-052100001913475456475AA城投A9446121上虞交通PPN001138Y2Y-048100064007388347390AA城投B8130114南汇MTN001138Y-048104603552340305689AAAAAA城投D35251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中交A22D4516010002-744388395424AAAAA房地产D4240122首股05265Y2Y0719874-2886440469390AAA城投S9711122苏通04238Y0459774-2014446466345AA城投C6784122光明房产MTN001241Y0379799-1628540556450AAAA房地产B8233122河钢集MTN009128Y0369937-2858365394314AAAAAA钢铁S9904121润企投资MTN002178Y2Y03510071-2123585606630AA城投B7331122吉安01241Y2Y0349699-1517467482333AA城投A9043123华综01296Y2Y03110064-1185395407419AAAAAA城投B70071G21扬新2165Y4Y02910186-2011428448550AAAA城投B7349121诚通14341Y2Y02610048-840342350358AAAAAA综合S9907122宁波舜农MTN001184Y0239978-1314377390365AA城投B7145122晋能电力MTN007275Y0239871-888400409350AAA煤炭S9956121粤珠江MTN001109Y02110097-2010376396470AAA城投A9083121吴兴城投PPN002145Y2Y02010172-1456401416528AA城投B8141122宜宾发展02477Y3Y01910353-460348353430AAAAAA城投A8963122成都国投PPN001212Y2Y01910001-971489499490AA城投A9119222龙泉债442Y2Y0199823-566385391335AAAAA城投B8302123良渚文化MTN001296Y2Y01910005-685360367362AA城投S9713121科城02177Y0189966-1099388399369AAAA城投A8602122创鸿D2105D0169990-5875410469391AA城投B7162122宁安01254Y2Y0169857-672325332266AAAAAA城投A9172122武空03254Y0169690-668460467329AA城投A8507121盐港02349Y01510043-499336341350AAAAAA城投B8496121衡阳城投PPN004148Y01510044-1083422433455AA城投S9851221仙桃债565Y0159948-490472477457AAAAA城投B7398119池州建设MTN001161Y01510257-1018420430590AAAA城投D3915122芜湖建设MTN005244Y0149824-575351357275AA城投S9666121汾湖G2150Y01410048-1026345355380AA城投B8093122建安投资MTN001185Y0149914-760398406349AA城投S9620120芜湖建设MTN003212Y01410020-672340347350AAAA城投S9666121天津港MTN001309D01310088-1665340357450AAAAAA城投A8538122新海连MTN002214Y0139919-644450456410AA城投A9426122海宁城投MTN002A256Y2Y0139843-519355360290AA城投S9553122赣发01264Y2Y0139785-541416421329AAA城投S9526222宜春交通MTN003243Y0139837-535371376300AA城投A8891121深投03340Y01310065-426317321338AAAAAA城投A9397222新海连MTN008244Y0119717-474495500370AA城投A9426122鄂联投MTN004264Y0119856-448423427365AAA城投S9615122中信集团MTN005A412Y01110056-296325328340AAAAAA综合S9739118高淳经开MTN001230D01110201-2030371391709AAAA城投S95511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主体流动性简称票息行业年离元偏离bp体债项评分21涪陵03115Y2Y-967832215934890159685443AAAA城投A931922绍交专项债01411Y2Y-910310000721354354AAAAAA城投B822819苏电05112D-882558325743224287875730A商贸零售D1222G20洞庭1186Y-481253364604945135700AA城投C596721GLP07112Y2Y-480496706676755440AAAAAA交通运输D395323苏州生态PPN001361D-4792100001688358358AAA-1城投B747221GLP03100Y-44589298536601223437AAAAAA交通运输D395318瑞专债01188D5Y-35231005323338525648AAAA城投B746923江宁水SCP001175D-313010000933300300AA城投C699820上投债400Y-20409826300482387AAAAAA城投A906722广安控股MTN002274Y2Y-18558174834761200380AA城投A910720渝旅债53D2Y-1248100012513368394AAAAA城投C644520随州城建MTN00252D2Y-1224100022248395420AAAA城投A878522格力02267Y-1062884845596800305AAA家用电器S960120淮安交通MTN00140D2Y-970999012898429350AAAA城投A946321赣建0337D1Y-9231000514913570670AAAA城投A892320荆州海投债36D4Y-887999721558629630AAAA城投D353623农谷V2294Y2Y-6848915280571100650AAAA城投D3946崇安寺A1731Y-6659744218396325AAAAA城投B760320盐投0126D2Y-6581000314038545645AAAA城投A868022中节江西ABN001优先1435Y-612171456383环保D07820涪陵新城PPN00123D2Y-5811000016109508540AA城投B8222PR红美A11378Y-56545186501756580AAAAAA商贸零售D2266华发RH1A1735Y-5569318330603539AAAAAA房地产A879420随州城建MTN00122D2Y-551999123797599479AAAA城投A878521金地04308Y-4738299181831111430AAAAAA房地产C560421工投03181Y2Y-4709336300871200776AA城投D219720余杭城建PPN00218D2Y-449100014218312340AAA城投S957922开封03177Y-364978722746810680AAAA城投B784822滨投D3265D-3219424480611350500AA城投D240122黔水01236Y2Y-3188880159821272700AA城投D133121西安建工MTN001145Y-3009057238941300550AAAA建筑装饰D4118九江2优B1914Y-2829623370423375AAAA城投B777420首业0222D2Y-26599908998505365AAA城投A895420西苑0219D2Y-246999022086710580AAAAA城投D270619昆租02151Y2Y-2429324181391150645AAAA城投C527016滨旅债254Y-2338674108161200568AAAA城投D337021任兴06298D1Y-2259629304001210730AA城投D258022咸金06179Y2Y-225983213789800700AA电子D478821迈瑞031D3Y-206999817456620508AA城投A8743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03232D2Y-7913800-17226415262423AAAAAA房地产C549121GLP03100Y-5599220632181319437AAAAAA交通运输D395321旭辉03190D2Y-5493900-21654945277390AAAAAA房地产C549120旭辉0182D2Y-5424600-39695814840380AAAAAA房地产C549121旭辉01101Y2Y-4683800-11185564666440AAAAAA房地产C549121津渤海MTN001183Y2Y-4478681-14881978550AAA城投C564623海州湾MTN002298Y-424960016749868710AA城投C503721旭辉02137Y2Y-3943700-6592904249420AAAAAA房地产C549121金地04308Y-3248430122731051430AAAAAA房地产C560419老河口PPN001107Y-2819589295921180750AA城投D419520桃花源MTN00122D2Y-279973235917846700AAAAA城投B753219中骏01146D-2589400675032191650AAAA房地产D303422昆明高新PPN001362D365D-2249348-111761081700AA城投D284521金地MTN006168Y-2128850145121212417AAAAAA房地产C560422惠民城建PPN001345D3Y-2039601-10370853730AA城投C562922武清经开CP001287D-1679756225321000680AA城投C558722武清经开SCP006186D-1409817289291032670AA城投C558720柳发01235D2Y-1119561-33074859670AAAA城投D459820兴安债429Y-100901055121350800AAAA城投D325021金地MTN003104Y-08194608803967398AAAAAA房地产C560419秦投01145D3Y-07199203866825800AAAA城投D438420桂建工MTN00110D-05998403006706096390AAAAAA建筑装饰D288216龙湖04299Y-040860015491005440AAAAAA房地产C539516金地02104Y-03794993917874350AAAAAA房地产C560419远洋02103Y2Y-0288400-1234391108459AAAAAA房地产C545121碧地02127Y2Y-0288110-1116021211480AAAAAA房地产B797515青国投MTN00174D-0229770142071642540AAAA城投B728922大足国资PPN002176Y365D-0189769-3729845750AA城投C540019泰达01355D-018969218741043698AAAAAA城投C566717昆投02224D-010965316351129550AAAA城投C694918龙湖0113D-008998020985878375AAAAAA房地产C539520银川通联MTN00175D-00598983168830350AAAA城投B751421腾越建筑MTN003157D2Y-0049280-139034805469AAAAA房地产C517521碧地03190D2Y-0029120-143081832433AAAAAA房地产B797523泰达投资SCP004158D-002987011661008698AAA城投C566719万盛经开MTN001148Y-0019766105920750AAAA城投D469416渤水产8D0079990-321521042750AAAA农林牧渔D371921碧地01101Y2Y0148440-1287701118480AAAAAA房地产B797517昆投0133D0179945-172701059510AAAA城投C6949柳州城投20PPN002204D2Y0219666-48688878730AA城投D4598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453500403000352500302000251500201000151050050000家用电器汽车通信石油石化电子农林牧渔机械设备医药生物建筑装饰有色金属食品饮料交通运输传媒公用事业基础化工社会服务环保综合建筑材料煤炭国防军工电力设备钢铁房地产500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