摘要
　　根据Broker和CFETS数据源，成交高于估值个券中，“20牟中01”与“23中骏集团MTN001”债券估值价格偏离幅度较大。低估值成交个券中，“22溧阳高新PPN001”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，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上升，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，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9日3月9日信用债异常成交跟踪信用市场日度跟踪2023-03-09摘要根据Broker和CFETS数据源成交高于估值个券中20牟中01与23中骏集团MTN001债券估值价格偏离幅度较大低估值成交个券中22溧阳高新PPN001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上升高估值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20牟中01318D1Y-053100046341637574AA城投B7267223沪开01284Y-032100501180400388AA房地产C6300122青信03212Y2Y-03298831544380365AAAAAA城投S9796120青岛国信MTN005220Y-02999371392380366AAAAAA城投S9796222晋中01200Y2Y-02599071291427414AA城投C6957121人居债107Y2Y-021101091822320302AAAAA城投B7812122上饶城投MTN002227Y-02097061000535525AAAA城投S9719223常德城投PPN002197Y3Y-01610157832415407AA城投S9845122孝感02261Y2Y-0159730623502496AA城投A9035222延安01102Y3Y-014100311214615603AA城投D2380122广开01196Y6Y-0139919665338331AAAAAA城投S9695221郓城专项债516Y-0139632499685680AAAAA城投D1984122兴投03102Y365D-01199781028540530AAA城投S9863123云铁投SCP001140D-010100002587638612AA城投B7589221东南资产MTN001126Y2Y-01010082762320312AA城投B7015122许昌投资MTN001189Y2Y-0089722480525520AAAA城投A8818222闽电子SCP006129D-00799392803598570AAA通信B7531219信债02353D-00710088682290283AAAAAA综合A8541122常城07433Y2Y-0079900162393391AAA城投S9768121钟投01183Y-0079934318617614AAAAA城投D3100122驻马店投PPN003113Y365D-0069857617525519AA城投A8802123豫水利MTN001297Y-0059991194333331AAA城投B8319121青岛城投PPN001110Y-00510043455355350AAA城投S9841122盐城城资PPN002188Y-0059964287400397AAA城投A9132123福建港口MTN001295Y-00510014173322320AAA城投B8375321淄博城资MTN001125Y-0059921472442437AAAAAA城投A8601120莲湖01116D2Y-00410035440330326AAAA城投D1058121奉贤交通MTN001101Y2Y-00410083364297293AAAA城投D3818222湘新01242Y2Y-0049868163326324AAA城投B7967119鲁信MTN001134Y-00410153245315313AAAAAA城投S9524121太新04340Y-00410029085348347AAAAAA城投S9606522鞍山钢铁MTN001可持续挂钩188Y-0049978201320318AAA钢铁S9542221鲁黄金MTN008151Y-00310031222313311AAA有色金属S9790120岳交01168D-00310053221350348AAAAA城投A8611120奉化0298D2Y-00310025137328327AA城投B8027121广州工投MTN001317D-00310063408303299AAAAAA城投A8893121诚通控股MTN006164Y2Y-00310058171315313AAAAAA综合S9909121保利发展MTN003166Y-00310047170295293AAAAAA房地产A9063118肥西建投MTN001256D-00310152238298296AAAA城投B8249123张江01342D2Y-0039997212285283AAA城投B84282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23中骏集团MTN001287Y-285975110939505396410AA房地产D2921122武清经开MTN001300D-2129721275601050774700AA城投C5536219磁湖高新MTN002180Y-183981111160714602600AAAA城投B7843223常德城投PPN002197Y3Y-171100009325500407500AA城投S9845220淄博城运MTN001197Y-15696868554549464377AAAA城投A8601223大足发展CP001363D-148986016033801641649AAA-1城投C50822122伊宁国资MTN002176Y365D-13499166743783715750AAAA城投C5002822眉山发展PPN001213Y2Y-12898783800634596600AA城投D4891423库尔勒PPN001342D1Y-1171000013423550415550AA城投D4539222宁乡国资PPN001114Y365D-11798866132595534538AA城投C5062222瀚瑞投资PPN006229Y-10496505165872820700AA城投A9382223曲文投SCP001153D-1039784258861115856580AA城投C5470321金地MTN003104Y-1009400107351034927398AAAAAA房地产C5542420曲文投MTN001172D-0989752213711071857550AAAA城投C5470223中原发展MTN001193Y3Y-096100005436538483538AA城投C5122220昆明产投MTN001234D-09495551616212751113550AAAA城投C6898617淄博资运MTN001156Y-091100526168510448548AAAA城投A8601222桂阳城投01198Y3Y-09098631985646626600AAAAA城投C6628221西咸新发PPN001148Y-09098956452523459450AAA城投B7053322威宁投资MTN002201Y2Y-09098651355498485460AA城投B7489322建湖城投PPN003113Y-08998408614901815750AA城投C5354320涪陵国资PPN001A211Y5Y-088100726958483413495AA城投A9305322晋能山西PPN001127Y-08599207106540469475AA城投C5058121清浦城投PPN002281D1Y-085999011531708593705AA城投C5290223平度城投MTN001298Y2Y-08599462424563538550AA城投B7259523吉林高速MTN002299Y2Y-084100003118510479510AAAAAA城投S9610123中原发展PPN001199Y365D-084100004548492446492AA城投C5122322华阳新材MTN003189Y-084100654726443396480AAA煤炭S9688121重庆开投MTN001143Y-08099585851444385414AAAA城投B8160322平顶发展MTN003249Y-07896753393502468361AA城投A8638223宜春发展PPN001185Y3Y-077101138285448365475AA城投A9278321远洋控股PPN001318D-07384401165826482531460AAA房地产C5372322新盛投资MTN001229Y-07397743450515481409AA城投B7106220清浦城投MTN001288D-07399559535687592637AAAA城投C5290222瀚瑞投资PPN002316D-07199408640767680700AA城投A9382221邳州润城MTN001319D-068101357959481401646AAAA城投A8769122邳州润城MTN002239Y-06597132933529500399AA城投A8769123南浔交投MTN001285Y-062100002445598574599AA城投D4923222浙兴合MTN001275Y2Y-06299601839459441450AA商贸零售B7006523长寿开投PPN001310D4Y-0629918484670665650AA城投B79872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溧阳高新PPN001240Y0429764-1853445464340AA城投B7850123海淀国资MTN001293Y02810148-1042395405450AAA城投S9871121华能04825Y02210358-335346349397AAAAAA公用事业S9958122吉安城建MTN001266Y0209747-797425433323AA城投A9063121滨建投MTN001204D0209892-397762766580AAA城投S9710122宣控04256Y0199760-787418426318AA城投B8069122建机01108Y3Y01910072-1999477497550AAAA机械设备D2294123龙城发展PPN002286Y01810076-682400407429AAA城投S9630122吴中灵天MTN001214Y0169983-774352360344AA城投A8899221吴兴城投PPN004156Y01510145-1018400410500AA城投B8277121赣铁航债01292Y5Y01410271-538330335429AAAAAA城投A8906322静安置业MTN001262Y0149817-547353358279AA城投B7121122粤环保MTN002252Y0149868-563320326265AAA城投A9283121粤珠江MTN002146Y01410123-1008395405485AAA城投A9165122石狮国资PPN001346D01310015-1351462476480AA城投C6623122广铁G2454Y0139832-319328331288AAA城投S9894121萧山经开PPN001168Y12Y01310023-791345353360AA城投A8507119望城城投MTN001164Y01210419-872350359619AAAA城投B7511121桂投资MTN002128Y01210157-1040369379498AAAAAA城投S9602322铁建房产MTN003246Y2Y0129895-518380385335AAA房地产A9276122住宅02121Y0129949-1059330341287AAA城投C6486122洛阳城乡PPN001183Y0129889-659482489418AA城投A9311121赣交02311Y01110182-423313317376AAAAAA城投S9887122宜春交通MTN001202Y01110019-567350356360AAAA城投A8953123闽漳龙MTN001283Y01110112-417375379418AA城投A9205122滁州同创PPN001300D00910136-1277399412575AA城投A9440122镜湖建投PPN001219Y0099836-421460464380AA城投B7597222松国01225Y2Y0099884-441352356298AAA城投B8315122运投D1237D0099995-1669650667660AA城投B8399121铁建房产MTN001359D2Y00910098-794313321417AAAAAA房地产A9276123达州投资CP001314D00910113-1116355366493AA城投B8359222朝阳国资MTN001253Y0099865-344326329270AAAAAA城投S9626120平原0486D2Y00910025-3198500532640AAAAA城投B7332120淮开07262D2Y00810140-1425430444642AA城投A9216122深航03208Y0089837-413423427340AA交通运输A8919122盐城海瀛MTN001104Y365D00810078-857540549620AAAA城投B7381122凤凰01267Y0089873-325319322269AAA传媒A8631219江东控股MTN001150Y00810176-604335341459AAAA城投S9608122河钢集MTN005204Y0089948-402412416385AAAAAA钢铁S9905121冀交07179Y00810039-526341346365AAA城投S97321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涪陵03114Y2Y-968131916179519162129443AAAA城投A930519苏电05111D-882858125977749290492730A商贸零售D181120鲁钢铁MTN004130D-8411158912672182127002478AAAAAA钢铁S984923今世缘MTN001296Y-836910000102400400AA食品饮料A850523平度城投MTN001298Y2Y-8262100001157550550AA城投B725922冀中能源SCP00545D-7894210028492271285554430AAA煤炭B718123海资01196Y365D-7138100005183435436AAA城投B759821GLP07112Y2Y-479696706715755440AAAAAA交通运输D387323苏州生态PPN001360D-4787100001912358358AAA-1城投B740921GLP01322D-430096997224757398AAAAAA交通运输D387318瑞专债01187D5Y-35191005622872519648AAAA城投B739820渝旅债52D2Y-1228100012543368394AAAAA城投C6388赣水投1A1755Y-121998446133410305AAAAAA城投A889722格力02267Y-1066884945778800305AAA家用电器S959220淮安交通MTN00139D2Y-951999210413409350AAAA城投A943820荆州海投债35D4Y-864999721568629630AAAA城投D3457崇安寺A1731Y-6729744558396325AAAAA城投B760420盐投0125D2Y-6341000315071545645AAAA城投A872422中节江西ABN001优先1435Y-619506456383环保D06922丽思优1732Y-5819879259384330AAA综合D227821GLP03365D-5819198661851348437AAAAAA交通运输D3873华发RH1A1735Y-5639318673603539AAAAAA房地产A873320涪陵新城PPN00122D2Y-5551000017010516540AA城投B823321华瑞优1663Y-5409916258514460AAA城投S983020随州城建MTN00121D2Y-532999518685546479AAAA城投A873521普洛斯MTN001102Y-4789298525411208440AAAAAA交通运输D387321工投03181Y2Y-4689336299951200776AA城投D212820滨城01223Y-3699261328701300650AAAA城投D237121潍滨02152Y-3609244272441300730AA城投D170521西安建工MTN001144Y-3029058241391300550AAAA建筑装饰D404321迈瑞03300Y-300997218002620610AA城投A8698九江2优B1914Y-2889623704423375AAAA城投B767522南部新城MTN003245Y2Y-28396791838470329AA城投A925119昆租02151Y2Y-2489325186131150645AAAA城投C519120西苑0218D2Y-246999023055710580AAAAA城投D264420高密01139Y365D-1938924163631600690AAAA城投D386820深能源MTN001197Y-186989810020399344AAAAAA城投A866021双龙02135Y2Y-177961214244850540AAAAA城投D318721金地04308Y-176844967051044430AAAAAA房地产C554221龙旅0138D3Y-175998916740640580AAAA城投D4712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21GLP03365D-5409240610421296437AAAAAA交通运输D387322武清经开MTN001300D-2129721275601050700AA城投C553621金地04308Y-188844070991047430AAAAAA房地产C554223大足发展CP001363D-148986016033801649AAA-1城投C508221旭辉02137Y2Y-1313700-7029674252420AAAAAA房地产C542120柳发01234D2Y-1159560-32620860670AAAA城投D455922瀚瑞投资PPN006229Y-10496505165872700AA城投A938223曲文投SCP001153D-1039784258861115580AA城投C547019津投06598Y-10180002102953499AAAAAA城投S993421金地MTN003104Y-1009400107351034398AAAAAA房地产C554220曲文投MTN001172D-0989752213711071550AAAA城投C547020昆明产投MTN001234D-0949555161621275550AAAA城投C689819中骏01145D-0909565232801748650AAAA房地产D292122建湖城投PPN003113Y-08998408614901750AA城投C535421柳州城投PPN00142D1Y-0899833-43124911750AA城投D455921远洋控股PPN001318D-0738440116582648460AAA房地产C537215远洋03245Y-064700034212207500AAAAAA房地产C537220兴安债429Y-061905033431326800AAAA城投D318422东阳光SCP00574D-041996619654840700AA综合D281419远洋02103Y2Y-0358400-1231271108459AAAAAA房地产C537221碧地02127Y2Y-0228120-1118231207480AAAAAA房地产B794321旭辉01101Y2Y-0183800-12456244670440AAAAAA房地产C542121碧地04283D2Y-0178800-1239491156630AAAAAA房地产B794317昆投02223D-013965322541131550AAAA城投C689818同方MTN00339D-00599655961820524AAAAAA计算机D388621碧地01101Y2Y-0058430-1279821123480AAAAAA房地产B794319泰达01354D-00497103031023698AAAAAA城投C560522重庆园业PPN001186Y2Y-0049800-5511811750AA城投D291816腾越02226D-002900027392250450AAAAA房地产C512821柳州建投MTN001156Y00095480581048725AAAA城投D499123怀化经开PPN001286Y2Y0029768-3499809750AA城投D496416渤水产7D0059990-266341085750AAAA农林牧渔D369117昆投0132D0099940-92261132510AAAA城投C689819远洋01103Y0188445-18752428550AAAAAA房地产C537219豫园01172Y0189520-1215801495AAAAAA商贸零售D468120碧地03199D2Y0219100-142530843438AAAAAA房地产B794319碧地02145D0379410-91361995450AAAAAA房地产B794321新湖02154D2Y0499900-27386818775AAAAA房地产D339020碧地04239D2Y0508975-139017861415AAAAAA房地产B7943远洋1801146D0809499-201831694400AAAAAA房地产C5372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350300250200150100500-20-20-15-15-10-10-5-500200551010151520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4001035008006300042500220000150020041000650080通信房地产食品饮料综合商贸零售环保纺织服饰建筑装饰石油石化建筑材料医药生物煤炭电力设备农林牧渔有色金属公用事业交通运输钢铁家用电器机械设备社会服务传媒010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