折价幅度靠前50只AA城投债（主体评级）中，“21新开元PPN001”估值价格偏离程度最大。净价跌幅靠前50只个券中，“21新开元PPN001”估值价格偏离幅度最大。净价上涨幅度靠前50只个券中，“ 22潍滨发”估值价格偏离幅度最大。净价上涨幅度靠前50只二永债中，“22中国银行二级01”估值价格偏离程度最大。
　　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9月29日4张表看信用债涨跌925-928债券市场定期报告信用市场周度跟踪折价幅度靠前50只AA城投债主体评级中21新开元PPN001估值价格偏离程度最大净价跌幅靠前只个券中新开元估值价格偏离5021PPN001幅度最大净价上涨幅度靠前50只个券中22潍滨发估值价格偏离幅度最大净价上涨幅度靠前50只二永债中22中国银行二级01估值价格偏离程度最大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折价幅度靠前50只AA城投债主体评级估值收益估值价格当日估值隐含评主体债券名称剩余期限年估值净价率偏离票面利率成交日期偏离收益级评级bp21新开元006-214978921768795700AA-AA2023925PPN00119潍滨城323-02976982094971720AAA202392521瑞丽债496-02696671070907760AA-AA202392623鼎兴01258-0229977962757750AA-AA202392823天门03287-0229913882834800AA-AA202392523鼎兴01258-0219999923748750AA-AA202392723株洲金城251-0219966929702680AA-AA2023926PPN00123城乡V4254-02010067868648680AA-AA202392522金堂01575-02010013624751750AA-AA202392622乳山国运208-01896241008853650AA-AA2023927MTN00223渭南城投090-01899282066432350AA2AA2023927CP00119瑞丽债299-0175970941828800AA-AA202392523綦江01444-0169709451814735AA-AA202392819内投01075-016100482193693750AA-AA202392622乳山国运208-0169658900843650AA-AA2023926MTN00222菏高01204-0169934858665630AA-AA202392822金堂01575-01610013500744750AA-AA202392522乳山国运204-0159673857838650AA-AA2023926MTN00123蓝创04190-0159576906983730AA-AA202392723蓝创05194-0149546821997730AA-AA202392823大足工业198-0139915747727680AA-AA2023925PPN00223蓝创04190-0139563808992730AA-AA202392823淮宏02290-0139844501615550AA-AA202392623淮宏02290-0139809487624550AA-AA202392820豫辉债330-0128135704339432AAAA202392623江油01294-0129573492870700AA-AA202392823天门03286-0129892482843800AA-AA202392823城乡V5154-01210154740550660AA-AA202392523盛世01152-01110155743607720AA-AA202392523蓝创05195-0119584740973730AA-AA202392520乳山01149-0119784857836680AA-AA202392723蓝创04191-0119600734968730AA-AA202392523蓝创05195-0119584671980730AA-AA202392620利民债001-0119999844659650AA-AA202392623滨旅01145-0119695850929700AA-AA202392723星城01157-0109959736774750AA-AA202392521怀交02124-01010183801589750AA-AA202392523蓝创04191-0109600641974730AA-AA202392622淄博城投093-009101261012398530AA-AA2023926MTN00116荆管廊290-0096092477352437AA2AA202392521兰溪01074-009101711162337579AA2AA202392720蒙开02421-00910034460631650AA-AA2023925敬请阅读末页的重要说明2固定收益研究19天门02088-0094068831591800AA-AA202392522渭投01081-00910080958439545AA2AA202392523淄新03196-0079980407661650AA-AA202392723大足工业198-0079896406738680AA-AA2023927PPN00219振湘01035-007101121063402750AA-AA202392522南昌金开172-00610105362377442AA2AA2023928MTN001资料来源Wind招商证券表2净价跌幅靠前50只个券剩余期限估值价格估值收益当日估值票面隐含评主体债券名称估值净价成交日期年偏离率偏离bp收益利率级评级21新开元006-214978921768795700AA-AA2023925PPN00118GLPR3060-1198425252733816509AAAA202392621GLP07057-1168467257763860440AAAA202392621GLP05049-1148557288134104440AAAA202392621普洛斯048-1128591293924133440AAAA2023926MTN00121GLP03045-1118621308564264437AAAA202392620贵安03173-110913274811393730AAA202392620贵安G1130-107936995031393750AAA202392619贵安G2115-1069439105261249750AAA202392622贵安01167-104913072241270600AAA202392620青纾01199-04699534583335387AAAAA202392523珠江02250-032100601388405418AAAAA202392621商资01012-030102381236486520AA2AA202392619潍滨城323-02976982094971720AAA202392516粤桥02799-02810214400338369AAA-AAA202392521瑞丽债496-02696671070907760AA-AA202392620铁发02657-02610195452355385AAA-AAA202392622淄博02361-0239786697503431AA2AAA202392622宿州城投190-02299631222320288AA2AA2023926MTN00223鼎兴01258-0229977962757750AA-AA202392823天门03287-0229913882834800AA-AA202392523海旅01275-02110021824330330AAAA202392619不动04083-021930935951354440AA-AAA202392523鼎兴01258-0219999923748750AA-AA202392722宿州城投213-02199891040339334AA2AA2023927MTN00323株洲金城251-0219966929702680AA-AA2023926PPN00123甬开01297-0219957737328305AAAA202392623城乡V4254-02010067868648680AA-AA202392521建安01289-02010320741369480AA2AA202392622金堂01575-02010013624751750AA-AA202392623常德城投298-01910026702410420AAAA2023928PPN00823威投V1291-0199935740574542AA2AA2023926敬请阅读末页的重要说明3固定收益研究23中化Y6290-0199882689331288AAAAA202392722宿州城投189-01899231013331288AA2AA2023927MTN00223保定国控260-01810127744375420AA2AA2023926PPN00122乳山国运208-01896241008853650AA-AA2023927MTN00223国管02997-0189899214329317AAAAAA202392723粤交投997-01810033214329333AAAAAA2023927MTN004B23渭南城投090-01899282066432350AA2AA2023927CP00122上饶投资392-0179865467433395AA2AAA2023928MTN00219瑞丽债299-0175970941828800AA-AA202392523綦江01444-0169709451814735AA-AA202392819内投01075-016100482193693750AA-AA202392622乳山国运208-0169658900843650AA-AA2023926MTN00222淄博城运339-0169732530482395AA2AAA2023927MTN00222宿州城投145-016101211119314390AA2AA2023926PPN00423周口城投128-016103011143390638AA2AA2023925MTN00122菏高01204-0169934858665630AA-AA202392822金堂01575-01610013500744750AA-AA202392522渝富02910-01610298207361400AAAAAA2023927资料来源Wind招商证券表3净价上涨幅度靠前50只个券估值价格估值收益率当日估值票面利隐含评主体债券名称剩余期限年估值净价成交日期偏离偏离bp收益率级评级22潍滨发1891178520-71681500612AAA202392622潍滨发1891168720-70671431612AAA202392820碧海020811139130-152121794750AAA-202392620碧海020811119336-149491644750AAA-202392720碧海010721119420-164691612750AAA-202392723宏财011271099266-96451441780AAA202392721柳发021901029196-60861166730AAA202392623柳债021560859288-60611213750AAA202392623柳控012310419054-20271220730AAA202392822柳城022220409331-19441102750AAA2023925PR遵旅052470387981-20461471800AAA202392822柳债020590379702-62261190750AAA202392621东湖债1840368803-19941574780AAA-202392520柳州东投1700369327-21671151550AAA2023925MTN00120柳投041920359465-19771083670AAA202392520柳投021730339518-20171075680AAA202392522柳城011560339556-22971097780AAA202392823大足发展1980329818-1806744660AA-AA2023926PPN003敬请阅读末页的重要说明4固定收益研究23大足发展1980329818-1753762660AA-AA2023925PPN00322潍滨发1900308520-14841571612AAA202392522巴中031800309250-18341184700AAA202392723惠民城建1390299539-22521068700AA-AA2023928PPN00123能投010980299982-3009418400AAAAA202392520碧海020820289130-29011946750AAA-202392523长春轨交2990279982-991477470AA2AA2023927MTN002碳中和债23泉港052920279980-999419412AA2AA202392720碧海010730279212-29141944750AAA-202392522晋能装备19102710131-1493386459AAAAA2023927MTN008科创票据21东湖债1840268803-15841558780AAA-202392622巴中031800269199-15821202700AAA202392623豫航空港27902610379-1026461610AA2AAA2023928MTN009B23济南城建45602610091-619345367AAAAA2023927MTN001项目收益22柳城011570269525-17811120780AAA202392718贵安011580259197-15561348760AAA202392523合川投资25402510283-1109526650AA2AA2023928PPN00119兖投021240259644-21791065750AA-AA202392723豫航空港26402510332-1050457595AA2AAA2023928MTN00623巴中011490249389-17661205740AAA202392723万州经开23102410046-1161675700AA-AA2023925PPN00123郴投0124802410049-1079675700AA-AA202392723曹国021920249766-1348802680AA-AA202392623衡阳城投25502410156-997348414AAAA2023925MTN001PR渤海022560234200-1609874410AA-AAA202392623蓝创031830239473-14081044730AA-AA202392622万州经开2090239980-1216659650AA-AA2023925PPN005科创票据21津保投MTN00111802310113-2085547650AA-AAA202392723蓝创021730239517-14551029730AA-AA202392623市中011720239275-14621192720AA-AA202392622北辰科技1780239836-1435886800AA-AA2023926PPN00122寿光011070239981-2248668650AA-AA2023928资料来源Wind招商证券敬请阅读末页的重要说明5固定收益研究表4净价上涨幅度靠前50只二永债估值价格估值收益当日估值隐含主体评债券名称剩余期限年估值净价票面利率成交日期偏离率偏离bp收益评级级22中国银行二级33201710051-560308325AAA-AAA20239280121兴业银行二级31601710137-573315362AAAAA20239280222工商银行二级35401710123-504312350AAA-AAA20239280321建设银行二级32101610125-551306348AAA-AAA20239280522邮储银行永续33101610077-535321346AAA-AAA2023928债0121平安银行二级31201610150-565318369AAAAA202392821中国银行永续31701610136-548318364AAA-AAA2023928债0222农业银行永续34001610083-508323349AAA-AAA2023928债0121农业银行永续31301610172-553317376AAA-AAA2023928债0121广州银行二级26601610247-646331430AAAAA202392821兴业银行二级30701610200-550314383AAAAA20239280121建设银行二级31201610163-540304360AAA-AAA20239280321交通银行永续27001510248-615309406AAA-AAA2023928债21工商银行永续26901510242-616308404AAA-AAA2023928债0121中国银行永续26401510250-622307408AAA-AAA2023928债0122中国银行永续35401510131-457325365AAA-AAA2023928债0122中国银行永续35801510131-445325365AAA-AAA2023928债0223农行二级资本49601510004-325324325AAA-AAA2023928债02A23泰隆商行二级4980159992-331432430AAAAA2023928资本债0221邮储银行永续24801410323-633304442AAA-AAA2023928债0122光大银行二级3920149936-397328310AAAAA2023928资本债01A23民泰商行二级4980149875-332494465AA-AA2023928资本债0122农行永续债3940149957-392329317AAA-AAA20239280222青岛银行永续3800149764-408438370AAAAA2023928债0122建行永续债3920149968-393329320AAA-AAA20239280122南京银行永续4070149901-379359332AAAAA2023928债0121邮储银行二级29001410120-513300344AAA-AAA20239280122建设银行二级37201410101-404315345AAA-AAA20239280121建设银行二级28701410123-512299345AAA-AAA20239280121徽商银行二级30801410155-484355409AAAAA20239270121厦门银行二级31601410106-469358394AAAAA20239270221招商银行永续31901410135-456323369AAAAA2023928债敬请阅读末页的重要说明6固定收益研究22东莞农商行二42501310138-349394430AAAAA2023928级资本债0122广州银行二级42501310294-349374450AAAAA2023928资本债0121重庆农商永续29101310120-486356400AAAAA2023928债21北京银行永续30601310298-467331435AAAAA2023928债0123建行永续债4800139968-296336329AAA-AAA20239280123农行永续债4920139928-284337321AAA-AAA20239280120中国银行永续22101310359-618299470AAA-AAA2023928债0321成都农商二级29601310192-462350420AAAAA20239270123浙商银行二级4670129948-293359347AAAAA2023928资本债0123建行永续债4990129997-275338337AAA-AAA20239280221中信银行永续25801210263-509311420AAAAA2023928债20中国银行永续21401210320-603298455AAA-AAA2023928债0222工行二级资本3900129941-323318302AAA-AAA2023928债03A22中行二级资本4080119930-301321302AAA-AAA2023928债02A22工行二级资本4120119920-296321300AAA-AAA2023928债04A22交行二级资本4130119931-294321303AAA-AAA2023928债02A23工行二级资本45401110106-273323349AAA-AAA2023928债01A20工商银行二级21301110267-559284415AAA-AAA202392802资料来源Wind招商证券敬请阅读末页的重要说明7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8