根据Broker和CFETS数据源，成交高于估值个券中，“22迈瑞债”与“22银川通联CP001”债券估值价格偏离幅度较大。低估值成交个券中，“22成华国资PPN001”估值价格偏离程度最大。卖价高于估值个券中，“20滁州城投PPN002”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下降。分行业看，社会服务行业净价偏离幅度最大。信用债平均成交期限有所上升，其中产业债和城投债的成交期限均有所上升。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14日3月14日信用债异常成交跟踪信用市场日度跟踪2023-03-14摘要根据Broker和CFETS数据源成交高于估值个券中22迈瑞债与22银川通联CP001债券估值价格偏离幅度较大低估值成交个券中22成华国资PPN001估值价格偏离程度最大卖价高于估值个券中20滁州城投PPN002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下降分行业看社会服务行业净价偏离幅度最大信用债平均成交期限有所上升其中产业债和城投债的成交期限均有所上升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迈瑞债203Y2Y-06797923628612576AAAA城投B8463121成经债172Y2Y-037100522218515493AA城投B8259221环太湖债515Y-02510320653400393AAAAA城投D2831121湖州城投债02353Y2Y-01810171548345340AAAA城投A9349121苏州文旅MTN001170Y-017100621043340330AA社会服务B7618123苏国01295Y-01510068493335330AA城投A9339123漳九02298Y2Y-01410040452355350AAAAAA城投S9687422滨江房产MTN002170Y-01210009770572564AAA房地产B8490123滨建投SCP005175D-007100001417670656AAA城投S9784123晋能煤业CP003333D-007100081287320307AAA煤炭S9918121潍坊城建MTN001111Y-00710010617430424AAAAAA城投B8337122兴投03101Y365D-0079983553535529AAA城投S9880121中航01351Y-00610128158319317AAAAAA交通运输C6362123中船租MTN001BC可持续挂钩298Y-0069992219333331AAAAAA交通运输D4897221静安01154Y2Y-00610020318323320AAAA城投B7916122溧水经开PPN005264Y-0069688255478475AA城投S9638121SZMC01318D-00610062489283278AAAAAA城投S9929122国惠01348D1Y-0059992581315309AAA城投A9153122国科K3260Y-0059866187324322AAA综合B7307423九江国投MTN001296Y-00510033179359357AAAAAA城投A8846123滨海D2125D-0059983951728718AAA城投S9784122蓉投01212Y2Y-00510005200312310AAAAAA城投A8904121济建G1321D2Y-00510079372292288AAAAAA城投S9662422HDGJ01182Y-0059988222298296AAAAAA公用事业S9860121广越08174Y2Y-00510000227302300AAAAAA城投S9875121蓝天01179Y-0049974201370368AAAAAA城投A9004122湖州城投MTN002乡村振兴206Y2Y-00410031218319317AAAAAA城投A9349121光大环境MTN001BC125Y-00410075312297294AAAAAA公用事业A8653118首发债01125Y6Y-00410062312298295AAAAAA城投A8913321新兴01124Y2Y-00410082213300298AAAAAA钢铁B7194221榕城04168Y2Y-00410012165336334AAA城投S9568119郑控01121Y-00310020150450449AA城投D3333221粤能源MTN001149Y-00310028196290288AAA公用事业B7890120茅台01237D4Y-00310010300280277AAAAAA食品饮料C6422222沪资02231Y-0039957100309308AAA综合A8773118建投0197D-00310018497276271AAAAAA城投A9148122上海大众MTN003174Y-0039992162324322AAA公用事业A8595121香城投资MTN001129Y2Y-00310117176332330AAAA城投A9440121松建01124Y2Y-00310057121300299AAAAAA城投C6246319常熟城投MTN001103Y-00310159182305303AAAA城投B83611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银川通联CP001261D-2009595298441145846550AA城投B75001822信阳华信MTN002268Y2Y-16097572694599572539AA城投B8464222伊宁国资MTN002175Y365D-11499406018773713750AAAA城投C5055123昆交投PPN001189Y-104100006113758697760AAA城投C5533323荆门高新PPN001160Y-104100006751645577645AA城投A8584423曲文投SCP001148D-1039790265081115850580AA城投C54461423昆交投PPN002195Y-099100025662758701760AAA城投C5533822TCL集GN002212Y-09898054916428378330AAAAAA电子A9477221西咸新发PPN001147Y-09599006860521452450AAA城投B7100322如皋经贸MTN003248Y-09295564026502462308AA城投S9560223景国资CP001362D-091100009862588489588AAA-1城投A8897920大余债474Y-09199363859750712725AA-AAA城投C6313222宣城国资PPN003252Y-09097073821438399313AA城投S9760221金堂现代MTN001151Y2Y-08899504688765718750AAAAA城投D4728222滁州同创PPN001295D-0841005010599505399575AA城投A9466322晋能煤业PPN005195Y-083100354563451405470AAA煤炭S9918322长交投债01397Y5Y-0799896757511503496AAAA城投C6653622宁乡城发PPN001199Y-07998854272542500480AA城投D4521223常德城投PPN003B299Y2Y-079100002901500471500AA城投S9840321长兴绿色债01345Y2Y-078100793502468433495AAAA城投A8901322安经开PPN001230Y-07895803838793755588AA城投B7256221建安投资PPN001317D-077100409087437347488AA城投S9629323宁乡城投MTN001295Y2Y-076100032877474446475AA城投A9329322润企投资PPN001133Y-07697606122691630500AA城投B7667222巢湖城镇PPN001198Y2Y-0759852204461459420AA城投A8508322园博园PPN004213Y-07597893775497459390AA城投B8161122晋能山西PPN002140Y-07098595310520467415AA城投C5010220万国资债403Y-07099103931680641630AAAA城投D4136221郴投集团MTN001313D2Y-0681002110189427325435AAAA城投C5397222上饶创新PPN002137Y365D-0689860919563554500AAAAA城投C5146423孝感长兴债01498Y2Y-063100001710680663680AAAA城投D660219涪陵新城MTN001116Y5Y-0611016217059542371574AAAA城投B8245521瀚瑞投资PPN001327D-06099727284738665710AA城投A9340223沛县国资PPN003338D-056100006438518454520AA城投A9184419青白江PPN001146Y-054100833950684644750AA城投C5206223许昌投资PPN001347D-054100066221592530600AA城投A8991423延安城投PPN001360D-050100005368649596650AA城投B7709122春秋淹城PPN003274Y-048100001933493474494AA城投D4376322宜兴经开CP001273D-048100606517361296448AA城投B7874321上虞交通PPN001136Y2Y-048100154409385341390AA城投B80361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成华国资PPN001273Y2Y0729996-2840440468439AA城投B7534120STO0146D0639976-38452495880318AAAA交通运输D2653122福州城投MTN004473Y04510149-1042340350375AAA城投S9568122首开MTN002197Y2Y0389950-2021383403356AAA城投S9766122淮城01241Y0369772-1645481497380AAAA城投D3467122保置06423Y2Y0369963-966374384365AAA房地产B7621122华发集团01260Y2Y0319789-1275465478378AAAAAA城投S9804119兰溪175Y0289932-1753460478420AAAA城投B7863323张家经开MTN001289Y02810175-1042350360415AA城投A8628122汾湖G1262Y0269742-1069405416300AA城投B8274123南安市贸MTN001183Y02510188-1480420435530AA城投B7636122普陀城投MTN001451Y0249714-576390396320AAAA城投D3467122上饶创新PPN001122Y365D02110013-1833525543538AAAAA城投C5146121衡阳城投PPN002109Y02010083-1959379399459AA城投S9847122重庆燃气MTN001264Y0209806-785368376290AAAA公用事业C6727119中信06642Y02010571-377337341438AAAAAA综合A8568123金桥01298Y2Y0209993-732332339330AAA房地产C6331122长建01204Y2Y01910050-1049433443460AA城投A8901122宁波通商MTN002464Y0199846-431333337297AAA城投B7759120中信02696Y01810304-315338341388AAAAAA综合A8568322渝富02964Y01710021-235397399400AAAAAA城投A8801121高淳建设MTN001363D01610157-1800336354500AAAA城投A9102121古运河PPN001174Y0169962-967430440408AA城投C6527120桂交投MTN004207Y01610004-805344352346AAAAAA城投S9856121兰溪城投PPN001113Y01510190-1505421436599AA城投B7863122南岸城建MTN001229Y2Y0159881-682383390328AA城投A8633119龙川02173Y01510400-1098403414650AA城投A9113122恒健MTN003433Y01510011-366331335334AAAAAA城投S9755122滁州经开CP002273D01410113-2072340361500AA城投B7411122河南资源MTN001246Y2Y0149755-608485491378AA城投D4289122北部湾投MTN003252Y2Y0149822-552370376295AAA城投A9133122椒江01437Y2Y0139910-357356360334AAAAA城投B7423122宜昌交旅MTN001346D1Y01310019-1454428443450AA城投B7018122国盛MTN003459Y0139823-304328331286AAA城投S9738123高新01293Y01310131-557500506550AA城投A8775122宁通01182Y01310030-827396404415AA城投B7950121新庐陵PPN001126Y01310115-1110380391477AAAA城投B8196121重庆开投MTN001142Y01310058-960370380414AAAA城投B8108122建投04222Y0139887-618336342283AAA城投A9333221钱江世纪PPN002138Y01210055-933322331365AA城投A92281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20滁州城投PPN00258D2Y-97162751050899211051194369AA城投S965521涪陵03113Y2Y-968331717018798170519443AAAA城投A941721凤城河PPN001146Y-9620379754141075806420AA城投A893123今世缘MTN001295Y-90011000137435814139400AA食品饮料A865919苏电05106D-884658026930419301454730A商贸零售D190421长沙经开MTN001100Y2Y-67283300210825521385390AAAA城投A896221普洛斯MTN001101Y-44949298540191219440AAAAAA交通运输D384020海投01314D1Y-4388999510379697700AAAA城投D182823黄石众邦PPN001311D-4382100109988661680AA城投A859221GLP01317D-426796997907762398AAAAAA交通运输D384023金凤凰SCP002265D-406510000053305305AA城投B795223南通产业SCP001238D-383410000079288289AA城投B837518瑞专债01182D5Y-34601005522840519648AAAA城投C697423江宁水SCP001169D-3058100001032300300AA城投C686020渝旅债47D2Y-1121100012385368394AAAAA城投C635821梁溪经发PPN00146D1Y-1107100049305413460AA城投B768521渭南0146D3Y-1105100008172451483AAAAA城投C588623农谷V2293Y2Y-8118810337311150650AAAA城投D382922鲁商SCP01332D-75399955641624580AA商贸零售D359820荆州海投债30D4Y-746999719281629630AAAA城投D3514崇安寺A1730Y-6799745927396325AAAAA城投B768521咸阳城投MTN00126D1Y-647100062407525640AAAA城投B843522中节江西ABN001优先1433Y-626867456383环保D067华发RH1A1733Y-57193191057603539AAAAAA房地产A887721华瑞优1662Y-55999161574514460AAA城投S980421GLP03360D-4829298550031235437AAAAAA交通运输D384022黔水01235Y2Y-4358886220611272700AA城投D123920浙能源MTN002210Y-415959921356511306AAAAAA城投S968220随州城建MTN00116D2Y-404999618556547479AAAA城投A897521GLP07111Y2Y-4039350404451091440AAAAAA交通运输D384020滨城01222Y-3729269334981300650AAAA城投D235921潍滨02150Y-3669251279401300730AA城投D199923先行控股SCP001200D-310972660128900381AA城投S969719西苑01153Y-3079504225561110750AA城投D271321西安建工MTN001143Y-3049067245381300550AAAA建筑装饰D3952九江2优B1912Y-29696241089423375AAAA城投B758321信地0311D3Y-268970596512710050450AAAA房地产B821616滨旅债252Y-2498682116601200568AAAA城投D317820西苑0213D2Y-243999223249710580AAAAA城投D271322赣州建投MTN003233Y2Y-20598253362550469AAAA城投A8948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15远洋03243Y-5196700280182447500AAAAAA房地产C531519远洋02102Y2Y-2388250-1155421181459AAAAAA房地产C531521融信03114D3Y-2112800-64269756246650AAAAAA房地产D261119远洋01102Y-2048279258032702550AAAAAA房地产C531522银川通联CP001261D-2009595298441145550AA城投B750020滇池投资PPN001170D2Y-1689494-50630812580AA城投D421221旭辉03184D2Y-1573900-24296685313390AAAAAA房地产C537921旭辉01364D2Y-1493750-12702184762440AAAAAA房地产C537923曲文投SCP001148D-1039790265081115580AA城投C544620柳发01229D2Y-0819600-34078842670AAAA城投D457621远洋01116Y2Y-0778000-1318981218420AAAAAA房地产C531520兴安债427Y-075905041081330800AAAA城投D318619中骏01140D-0659600174891688650AAAA房地产D358020碧地04234D2Y-0568900-134940899415AAAAAA房地产B790118津渤海MTN00337D-0409899402171425477AAAAAA城投C554822西宁城投MTN002110Y-033939635361215600AA城投C535921柳州东投PPN002221D1Y-0299562-377211003700AA城投C502622冀中能源SCP00540D-026995024519876430AAA煤炭B744917昆投02218D-023965339731144550AAAA城投C691822西宁城投SCP00234D-0219928231441255515AA城投C535920远洋控股PPN00141D-0189760202802457335AAA房地产C531520旭辉03226D2Y-0163810-20792675279423AAAAAA房地产C537916腾越02221D-014891054052474450AAAAA房地产C510321复星0679D-01299504705808620AAAAAA医药生物D447923泰达投资SCP004152D-007987324771010698AAA城投C557016渤水产2D-0029992362341709750AAAA农林牧渔D372020大连万达MTN00134D-00199653064842489AAAAAA房地产B769420云投G5160D0009832-056810436AAAAAA城投S972218潍坊水务PPN00199D00099082821044750AA城投D367420云投MTN008227D0019786017827480AAAAAA城投S972221碧地03184D2Y0029150-143909820433AAAAAA房地产B790122津城建MTN012145Y0039661-148812559AAAAAA城投S993819泰达01349D0049715-6421020698AAAAAA城投C557023泰达投资SCP005264D0059810-341979698AAA城投C557018远洋01141D0099450-15931878400AAAAAA房地产C531517昆投0127D0179960-21790989510AAAA城投C691820大连万达MTN00281D0209917-6013821470AAAAAA房地产B769421碧地01364D2Y0208472-1293381106480AAAAAA房地产B790119碧地02140D0259450-59741933450AAAAAA房地产B7901旭辉2102136Y2Y0253570-7813854434420AAAAAA房地产C5379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700086000650004400023000020002100040社会服务汽车国防军工食品饮料通信传媒基础化工家用电器公用事业机械设备有色金属煤炭石油石化医药生物钢铁商贸零售建筑装饰纺织服饰电力设备交通运输综合房地产006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