根据Broker和CFETS数据源，成交高于估值个券中，“22联投02”与“20柳州城投MTN001”债券估值价格偏离幅度较大。低估值成交个券中，“20随州城建MTN001”估值价格偏离程度最大。卖价高于估值个券中，“22北京国资SCP006”估值价格偏离幅度最大。估值收益率高于8%的个券中，城投债排名靠前。
　　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，建筑材料行业净价偏离幅度最大。信用债平均成交期限有所下降，其中产业债的成交期限有所上升，城投债的成交期限不变。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13日3月13日信用债异常成交跟踪信用市场日度跟踪2023-03-13摘要根据Broker和CFETS数据源成交高于估值个券中22联投02与20柳州城投MTN001债券估值价格偏离幅度较大低估值成交个券中20随州城建MTN001估值价格偏离程度最大卖价高于估值个券中22北京国资SCP006估值价格偏离幅度最大估值收益率高于8的个券中城投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建筑材料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产业债的成交期限有所上升城投债的成交期限不变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联投02260Y2Y-05096882072500479AAA城投S9660123景德城投CP002347D-038100524027630590AAA-1城投A8698122绿发01278Y2Y-02899071052335324AAAAAA房地产D2735218鄂联投MTN006572Y-02610195524529524AAAAAA城投S9660123联投01196Y365D-022101821076460449AAA城投S9660122淮建03247Y-0209696901530521AA城投S9535122苏城02419Y-0209971499335330AAAAAA城投A9148121衢城01130Y-017100491246350338AAAA城投D2346221绍国01109Y2Y-01210075926335326AA食品饮料C5827122湖州01196Y2Y-0119971522320315AAAAAA城投A9359122广州开投MTN002265Y2Y-0109825407355351AA城投A8587122粤海MTN001204Y-0089992426300296AAA城投S9748119鲁信MTN001133Y-00810152516315310AAAAAA城投S9630221徐工集团MTN002163Y-00810068471305300AAA机械设备A8965120荆门城投MTN00114D2Y-007999816150455294AAAA城投A9199521北部湾MTN006163Y-00710117405382378AAAAAA城投A8531123黄冈F1285Y2Y-0079932231425423AA城投D752121金街05153Y2Y-00610017354320316AAAAAA城投S9789118粤控01148D-006100151190281269AAAAAA城投S9748121南平01134Y-00610072311440437AA城投B7066122蛇口07268Y-0059925194304302AAAAAA房地产S9515122中电投MTN023239Y-0059897252304301AAA公用事业S9975121拱墅05140Y2Y-00510025295328325AA城投B8433122中电投MTN021234Y-0059948239303301AAA公用事业S9975123徐州矿务MTN001295Y-0059989183354352AA煤炭B7781123嘉兴城投MTN001298Y-00510019177332330AAA城投S9546222滁州城投MTN001184Y2Y-0059989287330327AA城投S9644121三峡GN001333D-00510059469278273AAAAAA公用事业S9798123华阳新材MTN003198Y-00510000255392389AAA煤炭S9666122环球租赁MTN003248Y-0059864229378376AAA综合S9818118金隅02121D2Y-00510067316280277AAAAAA建筑材料S9522121甬城投MTN001165Y-00510045275296293AAAAAA城投B8200122鲁资06432Y-0059935096363362AAA城投A9045121金牛环境MTN002113Y2Y-00410116308310307AA城投A9374121苏港01147Y3Y-00410016232307305AAAAAA城投B7859222荆门城投PPN001251Y2Y-0049664243510508AA城投A9199118福建漳州MTN0013D-004100021045260250AAAA城投S9579120茅台01238D4Y-00410010437280276AAAAAA食品饮料C6354222深业MTN002265Y-0049937165325323AAA综合S9684218同煤0379D-00410039180300298AAA煤炭S99183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20柳州城投MTN001199Y-12938700696211891119419AAAA城投D4536423宝城投MTN001198Y365D-514950020767919711720AAAAA城投B7363223海州湾MTN002297Y-420960016635868702710AA城投C5086321昆明新都PPN002228D-3229600545461281736620AA城投D4184423中骏集团MTN001285Y-290975211174505393410AA房地产D3263122临汾投资MTN001113Y365D-20697398637786700650AA城投D3993622武清经开MTN001296D-1859739243021030787700AA城投C5508423延安城投PPN001361D-176987119129791599650AA城投B7387823大足发展CP001359D-152986116619801635649AAA-1城投C5330723日照城投MTN001193Y365D-150100008427579494579AA城投B7347522抚州国资PPN001229Y-11096965218521469378AA城投A9495223曲文投SCP001149D-1049787268971120851580AA城投C54331523昆交投PPN001190Y-101100005896759700760AAA城投C5529222泰兴城投PPN003238Y-09796314441542497373AA城投A9181222株洲高科SCP00267D-088990048639955469415AA城投A9041220益阳交投MTN002185D2Y-08699409008583493558AAAA城投D3939222宣城国资PPN003252Y-08597063614438402313AA城投S9768121上饶投资PPN004150Y2Y-0809873772466459427AAA城投A9005322赣水投MTN001203Y-08099424138358317328AAA城投A9032321瀚瑞投资PPN001328D-07999459492770675710AA城投A9344221华靖资产MTN001138Y2Y-079100829658512415540AAAA城投B8437420萍投专项债453Y-079100773505613578650AAAA城投B7685321凉山发展MTN001168Y2Y-078100105505645590650AAAA城投D4870222巢湖城镇PPN001199Y2Y-0729852026461461420AA城投B8495122园博园PPN004213Y-07197883633497460390AA城投B7919122通泰CP001281D-06999589198746654700AA城投C5408322滁州同创MTN001187Y-06899613859468430447AA城投A9477321吴兴城投PPN005167Y-067100674201454412498AA城投B8451222泰达投资SCP011165D-0669755158401147988590AAA城投C5566222平顶发展MTN003248Y-06597012849491462361AA城投A8774221柯岩建设PPN002166Y-062100203923461421475AA城投B7732221润企投资MTN002176Y2Y-059100094004626586630AA城投B7650322滁州同创PPN001296D-059100757332474400575AA城投A9477222伊宁国资MTN001161Y365D-05999121986712692676AAAA城投C5026219涪陵新城MTN001116Y5Y-0591016116695542375574AAAA城投B8259123银川城投MTN001185Y365D-057100323964617577630AA城投C5457223武清国资CP001347D-05599216149815754728AA城投A8593222豫航空港PPN001162Y-05397663577654618500AAA城投S9877222凤城河PPN001224Y-05297762528477452370AA城投A8847222泰兴城投PPN002199Y-05198812734504477440AA城投A91812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随州城建MTN00117D2Y09510100-207332-1707366479AAAA城投A8841120兖煤03700Y04810227-826391399429AAAAAA煤炭B8190123太经01297Y0479952-1718390407373AA城投C6773121首开MTN005170Y2Y0429974-2547380405365AAA城投S9728421长发06861Y02910349-434390394439AAAAAA城投C6748121赣州发展MTN001291Y02710460-1069367378537AAAAAA城投S9617122九江国控债01659Y0269784-626433439380AAAAAA城投A8727121融盛01104Y02410222-2799404432630AA城投A8999222岳阳城建PPN002229Y0239906-1046403413360AA城投A9186222岳建04237Y0239849-1042406416339AA城投A9186120久事MTN001745Y02210322-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3523泰达投资SCP005265D0009808621981698AAA城投C556616渤水产3D0049993-38461315750AAAA农林牧渔D3719云投20MTN008228D0089786-835826480AAAAAA城投S9720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-min4594409235309025882015861084508222142231522519227222292622121232102214223152251922722229262212123210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10009008007006005004003002001000-20-20-15-15-10-10-5-500200551010151520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200004180003160140002120001100800006000140002200建筑材料机械设备综合房地产汽车食品饮料纺织服饰公用事业社会服务石油石化基础化工商贸零售有色金属交通运输建筑装饰电力设备家用电器传媒医药生物通信钢铁煤炭003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