> **来源：[研报客](https://pc.yanbaoke.cn)** 固定收益组 分析师：尹睿哲 (执业S1130525030009) yinruizhe@gjzq.com.cn 固定收益组 分析师：李豫泽 (执业S1130525030014) liyuze@gjzq.com.cn # 3月3日信用债异常成交跟踪 # 摘要 根据Wind数据，折价成交个券中，“23发展01”债券估值价格偏离幅度较大。净价上涨成交个券中，“H3万科01”估值价格偏离程度靠前。净价上涨成交二永债中，“25长沙银行二级资本债01”估值价格偏离幅度较大；净价上涨成交商金债中，“25江苏银行债04BC”估值价格偏离幅度靠前。成交收益率高于 $5\%$ 的个券中，地产债排名靠前。 信用债估值收益变动主要分布在[-5,0)区间。非金信用债成交期限主要分布在2至3年，其中3至4年期品种折价成交占比最高；二永债成交期限主要分布在4至5年，其中4至5年期品种折价成交占比最高。分行业看，建筑装饰行业的债券平均估值价格偏离最大。 # 风险提示 统计数据偏差或遗漏，高估值个券出现信用风险 图表1：折价成交跟踪 <table><tr><td colspan="11">大幅折价个券成交跟踪</td></tr><tr><td>简称</td><td>剩余期限(年)</td><td>估值价格偏离(%)</td><td>估值净价(元)</td><td>估值收益率偏离(bp)</td><td>估值收益率(%)</td><td>前一日估值收益率(%)</td><td>隐含评级</td><td>主体评级</td><td>行业</td><td>成交规模(万元)</td></tr><tr><td>23发展01</td><td>0.00</td><td>-19.73</td><td>80.27</td><td>26.96</td><td>1.94</td><td>1.67</td><td>AA</td><td>AA+</td><td>建筑装饰</td><td>4000</td></tr><tr><td>23产融09</td><td>2.53</td><td>-0.55</td><td>79.36</td><td>26.33</td><td>13.54</td><td>13.28</td><td>A</td><td>AA+</td><td>非银金融</td><td>1508</td></tr><tr><td>23产融13</td><td>2.74</td><td>-0.38</td><td>78.30</td><td>17.25</td><td>13.24</td><td>13.07</td><td>A</td><td>AA+</td><td>非银金融</td><td>1564</td></tr><tr><td>25湘建03</td><td>4.72</td><td>-0.25</td><td>100.17</td><td>5.63</td><td>2.30</td><td>2.24</td><td>AA</td><td></td><td>建筑装饰</td><td>4000</td></tr><tr><td>24中化12</td><td>8.47</td><td>-0.24</td><td>99.12</td><td>3.21</td><td>2.57</td><td>2.53</td><td>AAA-</td><td>AAA</td><td>综合</td><td>6950</td></tr><tr><td>24中化05</td><td>8.19</td><td>-0.22</td><td>101.11</td><td>3.05</td><td>2.55</td><td>2.52</td><td>AAA-</td><td>AAA</td><td>综合</td><td>10</td></tr><tr><td>24中化02</td><td>8.01</td><td>-0.22</td><td>102.31</td><td>3.11</td><td>2.53</td><td>2.50</td><td>AAA-</td><td>AAA</td><td>综合</td><td>6150</td></tr><tr><td>24中化04</td><td>8.14</td><td>-0.22</td><td>101.29</td><td>3.06</td><td>2.54</td><td>2.51</td><td>AAA-</td><td>AAA</td><td>综合</td><td>405</td></tr><tr><td>25连金01</td><td>4.25</td><td>-0.22</td><td>100.30</td><td>5.47</td><td>2.47</td><td>2.42</td><td>AA</td><td></td><td>非银金融</td><td>4012</td></tr><tr><td>23华综01</td><td>1.98</td><td>-0.20</td><td>100.32</td><td>10.31</td><td>2.08</td><td>1.98</td><td>AA</td><td>AAA</td><td>城投</td><td>1984</td></tr><tr><td>25潍恒01</td><td>4.23</td><td>-0.20</td><td>101.73</td><td>5.03</td><td>3.01</td><td>2.96</td><td>AA-</td><td></td><td>城投</td><td>7117</td></tr><tr><td>25北新Y1</td><td>2.14</td><td>-0.19</td><td>100.45</td><td>9.49</td><td>3.65</td><td>3.56</td><td>AA-</td><td>AA</td><td>建筑装饰</td><td>9803</td></tr><tr><td>26路桥Y3</td><td>2.94</td><td>-0.12</td><td>99.98</td><td>4.24</td><td>2.16</td><td>2.12</td><td>AA</td><td>AAA</td><td>建筑装饰</td><td>9994</td></tr><tr><td>25津投06</td><td>6.37</td><td>-0.11</td><td>99.99</td><td>1.98</td><td>2.65</td><td>2.63</td><td>AA</td><td>AAA</td><td>城投</td><td>7007</td></tr><tr><td>25辽成大MTN001</td><td>2.81</td><td>-0.11</td><td>98.61</td><td>4.26</td><td>3.53</td><td>3.48</td><td>AA</td><td>AA+</td><td>医药生物</td><td>8883</td></tr><tr><td>23发控01</td><td>1.86</td><td>-0.09</td><td>100.36</td><td>5.15</td><td>1.90</td><td>1.85</td><td>AA</td><td>AAA</td><td>城投</td><td>2009</td></tr><tr><td>路建YK08</td><td>2.49</td><td>-0.08</td><td>100.47</td><td>3.45</td><td>2.08</td><td>2.05</td><td>AA</td><td>AAA</td><td>建筑装饰</td><td>6432</td></tr><tr><td>24华综01</td><td>1.72</td><td>-0.08</td><td>100.45</td><td>4.93</td><td>2.06</td><td>2.01</td><td>AA</td><td>AAA</td><td>城投</td><td>4001</td></tr><tr><td>25沪建工MTN002</td><td>2.55</td><td>-0.07</td><td>100.85</td><td>2.65</td><td>2.07</td><td>2.05</td><td>AA+</td><td>AAA</td><td>建筑装饰</td><td>5450</td></tr><tr><td>25京东方集MTN001(科创票据)</td><td>9.14</td><td>-0.05</td><td>97.92</td><td>0.67</td><td>2.49</td><td>2.48</td><td>AAA-</td><td>AAA</td><td>电子</td><td>2934</td></tr><tr><td>25电控K4</td><td>4.36</td><td>-0.05</td><td>99.62</td><td>1.29</td><td>1.89</td><td>1.88</td><td>AAA-</td><td></td><td>电子</td><td>199</td></tr><tr><td>25BOEK1</td><td>4.28</td><td>-0.05</td><td>99.81</td><td>1.26</td><td>1.99</td><td>1.97</td><td>AAA-</td><td>AAA</td><td>电子</td><td>2995</td></tr><tr><td>17张家界专项债</td><td>1.39</td><td>-0.05</td><td>31.15</td><td>4.36</td><td>2.06</td><td>2.02</td><td>AA-</td><td>AA</td><td>城投</td><td>4357</td></tr><tr><td>PR栾川01</td><td>1.33</td><td>-0.05</td><td>41.46</td><td>4.33</td><td>2.00</td><td>1.96</td><td>AA-</td><td>AA</td><td>城投</td><td>2487</td></tr><tr><td>24惠民城建PPN001</td><td>0.93</td><td>-0.04</td><td>101.81</td><td>4.00</td><td>2.43</td><td>2.39</td><td>AA-</td><td>AA+</td><td>城投</td><td>1120</td></tr><tr><td>21国投02</td><td>5.11</td><td>-0.04</td><td>109.81</td><td>0.80</td><td>1.92</td><td>1.92</td><td>AAA</td><td>AAA</td><td>公用事业</td><td>2198</td></tr><tr><td>21中化04</td><td>0.74</td><td>-0.04</td><td>101.22</td><td>4.49</td><td>1.74</td><td>1.69</td><td>AAA-</td><td>AAA</td><td>综合</td><td>2025</td></tr><tr><td>25陕金01</td><td>2.12</td><td>-0.04</td><td>100.40</td><td>1.83</td><td>1.90</td><td>1.88</td><td>AA</td><td>AAA</td><td>非银金融</td><td>201</td></tr><tr><td>25中科01</td><td>2.11</td><td>-0.04</td><td>100.49</td><td>1.82</td><td>2.00</td><td>1.98</td><td>AA</td><td>AAA</td><td>社会服务</td><td>10052</td></tr><tr><td>26保利久联SCP002</td><td>0.42</td><td>-0.04</td><td>99.90</td><td>8.80</td><td>3.44</td><td>3.35</td><td>AA-</td><td></td><td>基础化工</td><td>1997</td></tr><tr><td>26沪盛01</td><td>4.95</td><td>-0.03</td><td>99.79</td><td>0.72</td><td>1.94</td><td>1.94</td><td>AAA</td><td>AAA</td><td>社会服务</td><td>116771</td></tr><tr><td>20渤水02</td><td>4.80</td><td>-0.03</td><td>110.04</td><td>0.65</td><td>4.15</td><td>4.14</td><td>AA-</td><td>AA</td><td>农林牧渔</td><td>1093</td></tr><tr><td>26邢江01</td><td>4.88</td><td>-0.03</td><td>100.44</td><td>0.63</td><td>2.41</td><td>2.41</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>10045</td></tr><tr><td>25浙港02</td><td>4.80</td><td>-0.03</td><td>100.75</td><td>0.60</td><td>1.93</td><td>1.93</td><td>AAA-</td><td>AAA</td><td>交通运输</td><td>1008</td></tr><tr><td>24延长K1</td><td>3.79</td><td>-0.03</td><td>100.21</td><td>0.74</td><td>1.86</td><td>1.85</td><td>AAA-</td><td>AAA</td><td>石油石化</td><td>10</td></tr><tr><td>25广物01</td><td>2.37</td><td>-0.03</td><td>99.70</td><td>1.13</td><td>1.93</td><td>1.92</td><td>AA</td><td>AAA</td><td>商贸零售</td><td>997</td></tr><tr><td>25蓉产04</td><td>4.62</td><td>-0.03</td><td>100.99</td><td>0.57</td><td>1.98</td><td>1.98</td><td>AA+</td><td>AAA</td><td>城投</td><td>3031</td></tr><tr><td>26盐旅Y1</td><td>4.95</td><td>-0.02</td><td>100.13</td><td>0.54</td><td>2.78</td><td>2.78</td><td>AA</td><td>AA+</td><td>医药生物</td><td>2000</td></tr><tr><td>26汇鑫01</td><td>4.94</td><td>-0.02</td><td>100.27</td><td>0.55</td><td>3.31</td><td>3.30</td><td>AA-</td><td>AA</td><td>建筑装饰</td><td>1003</td></tr><tr><td>G26迁安2</td><td>4.92</td><td>-0.02</td><td>99.91</td><td>0.55</td><td>2.96</td><td>2.95</td><td>AA-</td><td>AA+</td><td>社会服务</td><td>5006</td></tr></table> 来源：Wind，国金证券研究所 图表2：净价上涨个券成交跟踪 <table><tr><td colspan="11">大幅正偏离个券成交跟踪</td></tr><tr><td>简称</td><td>剩余期限(年)</td><td>估值价格偏离(%)</td><td>估值净价(元)</td><td>估值收益率偏离(bp)</td><td>估值收益率(%)</td><td>前一日估值收益率(%)</td><td>隐含评级</td><td>主体评级</td><td>行业</td><td>成交规模(万元)</td></tr><tr><td>H3万科01</td><td>0.39</td><td>1.90</td><td>52.05</td><td>-733.45</td><td>232.68</td><td>240.01</td><td>CC</td><td>AAA</td><td>房地产</td><td>908</td></tr><tr><td>H1万科04</td><td>0.21</td><td>1.90</td><td>52.05</td><td>-1057.17</td><td>415.02</td><td>425.59</td><td>CC</td><td>AAA</td><td>房地产</td><td>63</td></tr><tr><td>H1万科06</td><td>0.40</td><td>1.90</td><td>52.05</td><td>-718.97</td><td>227.77</td><td>234.96</td><td>CC</td><td>AAA</td><td>房地产</td><td>10</td></tr><tr><td>24产融05</td><td>1.03</td><td>0.34</td><td>89.00</td><td>-34.02</td><td>14.98</td><td>15.32</td><td>A</td><td>AA+</td><td>非银金融</td><td>9</td></tr><tr><td>25淮开04</td><td>9.73</td><td>0.24</td><td>99.65</td><td>-3.00</td><td>3.72</td><td>3.75</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>1470</td></tr><tr><td>26润投V1</td><td>4.95</td><td>0.24</td><td>100.42</td><td>-5.39</td><td>3.50</td><td>3.56</td><td>AA-</td><td>AA</td><td>商贸零售</td><td>24041</td></tr><tr><td>25豫峡01</td><td>4.81</td><td>0.24</td><td>101.20</td><td>-5.33</td><td>2.71</td><td>2.76</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>2013</td></tr><tr><td>26沂蒙V1</td><td>4.87</td><td>0.20</td><td>100.62</td><td>-4.47</td><td>3.51</td><td>3.55</td><td>AA-</td><td>AA</td><td>建筑装饰</td><td>5027</td></tr><tr><td>25沂蒙01</td><td>4.72</td><td>0.19</td><td>100.81</td><td>-4.52</td><td>3.31</td><td>3.35</td><td>AA-</td><td>AA</td><td>建筑装饰</td><td>4034</td></tr><tr><td>25惠科Y2</td><td>4.08</td><td>0.19</td><td>101.82</td><td>-5.00</td><td>2.43</td><td>2.48</td><td>AA</td><td>AA+</td><td>建筑装饰</td><td>12220</td></tr><tr><td>25江铜MTN001(科创债)</td><td>9.20</td><td>0.19</td><td>99.76</td><td>-2.33</td><td>2.72</td><td>2.74</td><td>AA+</td><td>AAA</td><td>有色金属</td><td>9950</td></tr><tr><td>25荆楚01</td><td>4.02</td><td>0.18</td><td>103.38</td><td>-5.02</td><td>2.67</td><td>2.72</td><td>AA(2)</td><td>AA</td><td>城投</td><td>1444</td></tr><tr><td>25蓟州02</td><td>3.86</td><td>0.18</td><td>103.29</td><td>-5.15</td><td>2.85</td><td>2.91</td><td>AA-</td><td>AA</td><td>城投</td><td>2051</td></tr><tr><td>25凯文01</td><td>4.04</td><td>0.18</td><td>104.59</td><td>-5.01</td><td>3.56</td><td>3.61</td><td>AA-</td><td></td><td>城投</td><td>2085</td></tr><tr><td>25淮北矿MTN002(科创债)</td><td>9.39</td><td>0.18</td><td>98.31</td><td>-2.16</td><td>2.81</td><td>2.83</td><td>AA</td><td>AAA</td><td>煤炭</td><td>985</td></tr><tr><td>25甘电投MTN003</td><td>9.24</td><td>0.18</td><td>99.76</td><td>-2.19</td><td>2.92</td><td>2.94</td><td>AA</td><td>AAA</td><td>城投</td><td>199</td></tr><tr><td>24任兴01</td><td>3.36</td><td>0.17</td><td>101.89</td><td>-5.56</td><td>2.70</td><td>2.75</td><td>AA-</td><td></td><td>城投</td><td>5298</td></tr><tr><td>24京投K6</td><td>28.47</td><td>0.17</td><td>102.14</td><td>-0.86</td><td>2.43</td><td>2.44</td><td>AAA</td><td>AAA</td><td>城投</td><td>2045</td></tr><tr><td>24内投02</td><td>3.32</td><td>0.17</td><td>102.71</td><td>-5.58</td><td>2.49</td><td>2.54</td><td>AA-</td><td>AAA</td><td>城投</td><td>1521</td></tr><tr><td>24华阳新材MTN009</td><td>8.47</td><td>0.17</td><td>95.39</td><td>-2.28</td><td>3.32</td><td>3.34</td><td>AA</td><td>AAA</td><td>煤炭</td><td>7599</td></tr><tr><td>24交通01</td><td>3.29</td><td>0.17</td><td>100.97</td><td>-5.60</td><td>3.48</td><td>3.54</td><td>AA-</td><td>AAA</td><td>建筑装饰</td><td>10507</td></tr><tr><td>24营海02</td><td>3.35</td><td>0.17</td><td>102.01</td><td>-5.57</td><td>3.65</td><td>3.70</td><td>AA-</td><td></td><td>城投</td><td>510</td></tr><tr><td>24桂投资MTN007</td><td>8.42</td><td>0.17</td><td>95.50</td><td>-2.25</td><td>3.17</td><td>3.19</td><td>AA</td><td>AAA</td><td>有色金属</td><td>2858</td></tr><tr><td>24云能投MTN015</td><td>8.36</td><td>0.16</td><td>99.21</td><td>-2.20</td><td>3.45</td><td>3.47</td><td>AA</td><td>AAA</td><td>综合</td><td>1983</td></tr><tr><td>24饶资01</td><td>3.44</td><td>0.16</td><td>100.24</td><td>-4.77</td><td>2.39</td><td>2.43</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>4018</td></tr><tr><td>24十堰城控PPN002</td><td>3.37</td><td>0.15</td><td>101.23</td><td>-4.74</td><td>2.28</td><td>2.32</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>1011</td></tr><tr><td>24泰安城投PPN001</td><td>3.34</td><td>0.15</td><td>101.61</td><td>-4.73</td><td>2.27</td><td>2.32</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>2027</td></tr><tr><td>24越秀资本MTN002B</td><td>8.22</td><td>0.15</td><td>103.25</td><td>-2.02</td><td>2.46</td><td>2.48</td><td>AAA-</td><td>AAA</td><td>非银金融</td><td>1032</td></tr><tr><td>24江铜MTN001(科创票据)</td><td>8.16</td><td>0.14</td><td>103.36</td><td>-1.99</td><td>2.31</td><td>2.33</td><td>AAA-</td><td>AAA</td><td>有色金属</td><td>6198</td></tr><tr><td>24中车集MTN003</td><td>8.34</td><td>0.14</td><td>101.73</td><td>-1.88</td><td>2.24</td><td>2.26</td><td>AAA</td><td>AAA</td><td>机械设备</td><td>2033</td></tr><tr><td>24鲁高速MTN004</td><td>8.12</td><td>0.14</td><td>103.24</td><td>-1.92</td><td>2.33</td><td>2.35</td><td>AAA</td><td>AAA</td><td>城投</td><td>1031</td></tr><tr><td>24广州发展MTN004</td><td>13.39</td><td>0.14</td><td>100.18</td><td>-1.23</td><td>2.48</td><td>2.50</td><td>AAA-</td><td>AAA</td><td>公用事业</td><td>11999</td></tr><tr><td>24诚通控股MTN011A</td><td>8.13</td><td>0.14</td><td>104.19</td><td>-1.92</td><td>2.31</td><td>2.33</td><td>AAA</td><td>AAA</td><td>综合</td><td>4166</td></tr><tr><td>24首都机场MTN002B</td><td>8.43</td><td>0.14</td><td>100.43</td><td>-1.81</td><td>2.24</td><td>2.26</td><td>AAA</td><td>AAA</td><td>交通运输</td><td>4012</td></tr><tr><td>24荷工02</td><td>3.16</td><td>0.14</td><td>104.01</td><td>-4.68</td><td>2.54</td><td>2.59</td><td>AA(2)</td><td>AA+</td><td>建筑装饰</td><td>1031</td></tr><tr><td>24沪港务MTN003</td><td>8.47</td><td>0.14</td><td>100.57</td><td>-1.77</td><td>2.24</td><td>2.26</td><td>AAA</td><td>AAA</td><td>交通运输</td><td>7029</td></tr><tr><td>24鲁公V1</td><td>3.16</td><td>0.13</td><td>106.04</td><td>-4.69</td><td>2.34</td><td>2.39</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>10587</td></tr><tr><td>24苏州高技MTN003A</td><td>1.48</td><td>0.13</td><td>100.64</td><td>-9.30</td><td>1.79</td><td>1.89</td><td>AA+</td><td></td><td>城投</td><td>3015</td></tr><tr><td>24中节能MTN004B</td><td>8.40</td><td>0.13</td><td>100.64</td><td>-1.70</td><td>2.55</td><td>2.57</td><td>AA</td><td>AAA</td><td>公用事业</td><td>6026</td></tr><tr><td>25津投08</td><td>4.72</td><td>0.12</td><td>99.91</td><td>-2.82</td><td>2.27</td><td>2.30</td><td>AA</td><td>AAA</td><td>城投</td><td>3993</td></tr></table> 来源：Wind，国金证券研究所 图表3：二永债成交跟踪 <table><tr><td colspan="11">二永债成交跟踪</td></tr><tr><td>简称</td><td>剩余期限(年)</td><td>估值价格偏离(%)</td><td>估值净价(元)</td><td>估值收益率偏离(bp)</td><td>估值收益率(%)</td><td>前一日估值收益率(%)</td><td>隐含评级</td><td>主体评级</td><td>银行分类</td><td>成交规模(万元)</td></tr><tr><td>25长沙银行二级资本债01</td><td>4.75</td><td>0.04</td><td>100.66</td><td>-0.82</td><td>2.21</td><td>2.22</td><td>AA</td><td>AAA</td><td>城商行</td><td>10065</td></tr><tr><td>25唐山银行二级资本债01</td><td>4.73</td><td>0.03</td><td>100.15</td><td>-0.80</td><td>2.52</td><td>2.52</td><td>AA-</td><td>AAA</td><td>城商行</td><td>17014</td></tr><tr><td>25华润银行二级资本债02</td><td>4.70</td><td>0.03</td><td>99.90</td><td>-0.78</td><td>2.37</td><td>2.38</td><td>AA</td><td>AAA</td><td>城商行</td><td>25943</td></tr><tr><td>25苏州银行二级资本债01</td><td>4.64</td><td>0.03</td><td>101.12</td><td>-0.73</td><td>2.19</td><td>2.20</td><td>AA</td><td>AAA</td><td>城商行</td><td>10110</td></tr><tr><td>25顺德农商二级资本债01</td><td>4.40</td><td>0.02</td><td>99.77</td><td>-0.46</td><td>2.15</td><td>2.16</td><td>AA</td><td>AAA</td><td>农商行</td><td>3992</td></tr><tr><td>25稠州商行二级资本债01</td><td>4.32</td><td>0.02</td><td>98.85</td><td>-0.44</td><td>2.84</td><td>2.84</td><td>AA-</td><td>AA+</td><td>城商行</td><td>9903</td></tr><tr><td>25天津农商行二级资本债01</td><td>4.27</td><td>0.02</td><td>99.49</td><td>-0.43</td><td>2.63</td><td>2.63</td><td>AA-</td><td>AAA</td><td>农商行</td><td>2984</td></tr><tr><td>25西安银行二级资本债02</td><td>4.30</td><td>0.02</td><td>100.15</td><td>-0.42</td><td>2.26</td><td>2.26</td><td>AA</td><td>AAA</td><td>城商行</td><td>1001</td></tr><tr><td>25北部湾银行二级资本债01</td><td>4.23</td><td>0.02</td><td>99.85</td><td>-0.42</td><td>2.52</td><td>2.52</td><td>AA-</td><td>AAA</td><td>城商行</td><td>4990</td></tr><tr><td>25吉林银行二级资本债01</td><td>4.19</td><td>0.02</td><td>99.30</td><td>-0.41</td><td>2.76</td><td>2.76</td><td>AA-</td><td>AAA</td><td>城商行</td><td>991</td></tr><tr><td>24四川银行二级资本债</td><td>3.78</td><td>0.01</td><td>100.12</td><td>-0.39</td><td>2.17</td><td>2.17</td><td>AA</td><td>AAA</td><td>城商行</td><td>44020</td></tr><tr><td>24天津农商行二级资本债01</td><td>3.36</td><td>0.01</td><td>100.75</td><td>-0.43</td><td>2.35</td><td>2.36</td><td>AA-</td><td>AAA</td><td>农商行</td><td>7049</td></tr><tr><td>24兰州银行二级资本债01</td><td>3.31</td><td>0.01</td><td>100.31</td><td>-0.42</td><td>2.49</td><td>2.49</td><td>AA-</td><td>AAA</td><td>城商行</td><td>38907</td></tr><tr><td>24台州银行二级资本债01</td><td>3.57</td><td>0.01</td><td>101.15</td><td>-0.40</td><td>2.05</td><td>2.05</td><td>AA</td><td>AAA</td><td>城商行</td><td>506</td></tr><tr><td>24重庆银行二级资本债01</td><td>3.47</td><td>0.01</td><td>100.82</td><td>-0.40</td><td>1.98</td><td>1.99</td><td>AA</td><td>AAA</td><td>城商行</td><td>4033</td></tr><tr><td>24济宁银行二级资本债01</td><td>3.37</td><td>0.01</td><td>101.48</td><td>-0.43</td><td>2.31</td><td>2.31</td><td>AA-</td><td>AA+</td><td>城商行</td><td>12176</td></tr><tr><td>24中原银行二级资本债01</td><td>3.36</td><td>0.01</td><td>100.67</td><td>-0.40</td><td>2.14</td><td>2.14</td><td>AA</td><td>AAA</td><td>城商行</td><td>1006</td></tr><tr><td>24天津银行二级资本债01</td><td>3.22</td><td>0.01</td><td>101.43</td><td>-0.39</td><td>2.28</td><td>2.29</td><td>AA</td><td>AAA</td><td>城商行</td><td>4058</td></tr><tr><td>24东莞银行二级资本债01</td><td>3.19</td><td>0.01</td><td>102.11</td><td>-0.39</td><td>1.93</td><td>1.93</td><td>AA</td><td>AAA</td><td>城商行</td><td>1532</td></tr><tr><td>24汉口银行二级资本债01</td><td>3.16</td><td>0.01</td><td>102.71</td><td>-0.40</td><td>2.10</td><td>2.11</td><td>AA-</td><td>AAA</td><td>城商行</td><td>8216</td></tr><tr><td>22农行二级资本债02A</td><td>1.56</td><td>0.01</td><td>102.03</td><td>-0.87</td><td>1.69</td><td>1.70</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>29586</td></tr><tr><td>24龙湾农商行二级资本债01</td><td>3.15</td><td>0.01</td><td>102.95</td><td>-0.40</td><td>2.10</td><td>2.10</td><td>AA-</td><td>AA+</td><td>农商行</td><td>10294</td></tr><tr><td>22中行二级资本债02A</td><td>1.65</td><td>0.01</td><td>102.12</td><td>-0.80</td><td>1.70</td><td>1.71</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>33697</td></tr><tr><td>22建行二级资本债02A</td><td>1.68</td><td>0.01</td><td>102.13</td><td>-0.77</td><td>1.70</td><td>1.71</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>1021</td></tr><tr><td>22工行二级资本债04A</td><td>1.69</td><td>0.01</td><td>102.14</td><td>-0.76</td><td>1.70</td><td>1.71</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>149100</td></tr><tr><td>22交行二级资本债02A</td><td>1.70</td><td>0.01</td><td>102.20</td><td>-0.76</td><td>1.71</td><td>1.71</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>17371</td></tr><tr><td>25农行二级资本债01B(BC)</td><td>9.30</td><td>0.01</td><td>97.90</td><td>-0.10</td><td>2.352.36</td><td></td><td>AAA-</td><td>AAA</td><td>国有行</td><td>3914</td></tr><tr><td>22建设银行二级01</td><td>1.29</td><td>0.01</td><td>102.25</td><td>-1.04</td><td>1.67</td><td>1.68</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>57281</td></tr><tr><td>22农业银行二级01</td><td>1.30</td><td>0.01</td><td>102.26</td><td>-1.04</td><td>1.67</td><td>1.68</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>29653</td></tr><tr><td>23中行永续债01</td><td>2.29</td><td>0.01</td><td>103.28</td><td>-0.53</td><td>1.79</td><td>1.80</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>9294</td></tr><tr><td>23建行永续债01</td><td>2.38</td><td>0.01</td><td>103.43</td><td>-0.51</td><td>1.80</td><td>1.80</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>29993</td></tr><tr><td>24农行二级资本债02A</td><td>3.15</td><td>0.01</td><td>101.42</td><td>-0.28</td><td>1.85</td><td>1.85</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>17239</td></tr><tr><td>22中国银行永续债02</td><td>1.15</td><td>0.01</td><td>102.25</td><td>-1.10</td><td>1.66</td><td>1.67</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>9202</td></tr><tr><td>22中国银行永续债01</td><td>1.11</td><td>0.01</td><td>102.17</td><td>-1.13</td><td>1.66</td><td>1.67</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>29626</td></tr><tr><td>22南京银行永续债01</td><td>1.64</td><td>0.01</td><td>102.45</td><td>-0.69</td><td>1.79</td><td>1.80</td><td>AA+</td><td>AAA</td><td>城商行</td><td>11273</td></tr><tr><td>22农行永续债02</td><td>1.51</td><td>0.01</td><td>102.17</td><td>-0.73</td><td>1.70</td><td>1.71</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>102</td></tr><tr><td>22富滇银行永续债</td><td>1.14</td><td>0.01</td><td>102.29</td><td>-1.04</td><td>2.72</td><td>2.73</td><td>AA-</td><td>AAA</td><td>城商行</td><td>2046</td></tr><tr><td>22民生银行永续债01</td><td>1.29</td><td>0.01</td><td>103.06</td><td>-0.97</td><td>1.77</td><td>1.78</td><td>AA+</td><td>AAA</td><td>股份行</td><td>4123</td></tr><tr><td>22贵州银行永续债01</td><td>1.42</td><td>0.01</td><td>103.51</td><td>-0.88</td><td>1.96</td><td>1.97</td><td>AA-</td><td>AAA</td><td>城商行</td><td>6212</td></tr><tr><td>22农业银行永续债01</td><td>0.98</td><td>0.01</td><td>101.77</td><td>-1.04</td><td>1.65</td><td>1.66</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>16282</td></tr></table> 来源：Wind，国金证券研究所 图表4：商金债成交跟踪 <table><tr><td colspan="11">商金债成交跟踪</td></tr><tr><td>简称</td><td>剩余期限(年)</td><td>估值价格偏离(%)</td><td>估值净价(元)</td><td>估值收益率偏离(bp)</td><td>估值收益率(%)</td><td>前一日估值收益率(%)</td><td>隐含评级</td><td>主体评级</td><td>银行分类</td><td>成交规模(万元)</td></tr><tr><td>25江苏银行债04BC</td><td>2.81</td><td>0.03</td><td>100.32</td><td>-1.14</td><td>1.74</td><td>1.75</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>10028</td></tr><tr><td>25光大银行科创债01</td><td>2.79</td><td>0.03</td><td>100.34</td><td>-1.11</td><td>1.75</td><td>1.76</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>20063</td></tr><tr><td>25平安银行科创债01BC</td><td>2.80</td><td>0.03</td><td>100.19</td><td>-1.11</td><td>1.78</td><td>1.79</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>2003</td></tr><tr><td>25徽商银行小微债</td><td>2.78</td><td>0.03</td><td>100.26</td><td>-1.11</td><td>1.77</td><td>1.78</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>16041</td></tr><tr><td>25民生银行债02</td><td>2.76</td><td>0.03</td><td>100.30</td><td>-1.07</td><td>1.77</td><td>1.78</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>20050</td></tr><tr><td>25兴业银行债01</td><td>2.75</td><td>0.03</td><td>100.32</td><td>-1.08</td><td>1.72</td><td>1.73</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>88253</td></tr><tr><td>25南京银行债02BC</td><td>2.72</td><td>0.03</td><td>100.16</td><td>-1.04</td><td>1.74</td><td>1.75</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>6009</td></tr><tr><td>25威海银行小微债</td><td>2.81</td><td>0.03</td><td>100.08</td><td>-0.95</td><td>1.82</td><td>1.83</td><td>AA</td><td>AAA</td><td>城商行</td><td>57023</td></tr><tr><td>25江西银行债01</td><td>2.78</td><td>0.02</td><td>100.17</td><td>-0.86</td><td>1.84</td><td>1.85</td><td>AA+</td><td>AAA</td><td>城商行</td><td>2003</td></tr><tr><td>25温州银行债03A</td><td>2.74</td><td>0.02</td><td>100.07</td><td>-0.86</td><td>1.84</td><td>1.85</td><td>AA</td><td>AAA</td><td>城商行</td><td>5002</td></tr><tr><td>25宁波通商银行债02</td><td>2.74</td><td>0.02</td><td>100.28</td><td>-0.86</td><td>1.84</td><td>1.85</td><td>AA</td><td>AA+</td><td>城商行</td><td>4012</td></tr><tr><td>25三峡银行绿色债02</td><td>2.72</td><td>0.02</td><td>100.12</td><td>-0.83</td><td>2.03</td><td>2.04</td><td>AA</td><td>AA+</td><td>城商行</td><td>3002</td></tr><tr><td>25三峡银行绿色债01</td><td>2.72</td><td>0.02</td><td>100.23</td><td>-0.84</td><td>1.84</td><td>1.85</td><td>AA</td><td>AA+</td><td>城商行</td><td>4008</td></tr><tr><td>25桂林银行绿色债02</td><td>2.71</td><td>0.02</td><td>100.15</td><td>-0.82</td><td>1.84</td><td>1.85</td><td>AA</td><td>AAA</td><td>城商行</td><td>21026</td></tr><tr><td>25广州农商行债01</td><td>2.73</td><td>0.02</td><td>100.10</td><td>-0.79</td><td>1.81</td><td>1.82</td><td>AA+</td><td>AAA</td><td>农商行</td><td>10008</td></tr><tr><td>25齐鲁银行小微债</td><td>2.70</td><td>0.02</td><td>100.18</td><td>-0.74</td><td>1.76</td><td>1.77</td><td>AA+</td><td>AAA</td><td>城商行</td><td>1002</td></tr><tr><td>25杭州联合农商小微债01</td><td>2.69</td><td>0.02</td><td>100.15</td><td>-0.73</td><td>1.76</td><td>1.77</td><td>AA+</td><td>AAA</td><td>农商行</td><td>5008</td></tr><tr><td>25上海银行债02</td><td>2.55</td><td>0.02</td><td>100.39</td><td>-0.75</td><td>1.73</td><td>1.74</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>20077</td></tr><tr><td>25厦门国际银行债02</td><td>2.67</td><td>0.02</td><td>100.15</td><td>-0.69</td><td>1.88</td><td>1.89</td><td>AA+</td><td>AAA</td><td>城商行</td><td>6008</td></tr><tr><td>25杭州银行03</td><td>2.52</td><td>0.02</td><td>100.34</td><td>-0.69</td><td>1.73</td><td>1.74</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>1003</td></tr><tr><td>24中信银行绿债01</td><td>1.44</td><td>0.02</td><td>100.28</td><td>-1.19</td><td>1.61</td><td>1.62</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>15037</td></tr><tr><td>24浙商银行债01</td><td>1.52</td><td>0.02</td><td>100.54</td><td>-1.16</td><td>1.65</td><td>1.66</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>20101</td></tr><tr><td>24光大银行债02</td><td>1.47</td><td>0.02</td><td>100.64</td><td>-1.19</td><td>1.62</td><td>1.64</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>56339</td></tr><tr><td>24南京银行02</td><td>1.34</td><td>0.02</td><td>100.61</td><td>-1.29</td><td>1.63</td><td>1.65</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>43250</td></tr><tr><td>24中信银行债01</td><td>1.36</td><td>0.02</td><td>100.64</td><td>-1.28</td><td>1.61</td><td>1.63</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>79487</td></tr><tr><td>24北京农商行债01</td><td>1.30</td><td>0.02</td><td>100.57</td><td>-1.31</td><td>1.65</td><td>1.67</td><td>AA+</td><td>AAA</td><td>农商行</td><td>39215</td></tr><tr><td>24杭州联合农商小微债01</td><td>1.30</td><td>0.02</td><td>100.59</td><td>-1.31</td><td>1.65</td><td>1.67</td><td>AA+</td><td>AAA</td><td>农商行</td><td>52297</td></tr><tr><td>24东莞农商行小微债01</td><td>1.28</td><td>0.02</td><td>100.64</td><td>-1.34</td><td>1.65</td><td>1.66</td><td>AA+</td><td>AAA</td><td>农商行</td><td>4025</td></tr><tr><td>24厦门国际银行01</td><td>1.44</td><td>0.02</td><td>100.29</td><td>-1.14</td><td>1.74</td><td>1.75</td><td>AA+</td><td>AAA</td><td>城商行</td><td>2005</td></tr><tr><td>24交行债01</td><td>1.23</td><td>0.02</td><td>100.72</td><td>-1.40</td><td>1.60</td><td>1.62</td><td>AAA</td><td>AAA</td><td>国有行</td><td>2014</td></tr></table> 来源：Wind，国金证券研究所 图表5：成交收益率高于 $5\%$ 的个券 <table><tr><td colspan="11">高收益成交个券跟踪</td></tr><tr><td>简称</td><td>剩余期限(年)</td><td>估值价格偏离(%)</td><td>估值净价(元)</td><td>估值收益率偏离(bp)</td><td>估值收益率(%)</td><td>前一日估值收益率(%)</td><td>隐含评级</td><td>主体评级</td><td>行业</td><td>成交规模(万元)</td></tr><tr><td>H3万科01</td><td>0.39</td><td>1.90</td><td>52.05</td><td>-733.45</td><td>232.68</td><td>240.01</td><td>CC</td><td>AAA</td><td>房地产</td><td>908</td></tr><tr><td>H1万科04</td><td>0.21</td><td>1.90</td><td>52.05</td><td>-1057.17</td><td>415.02</td><td>425.59</td><td>CC</td><td>AAA</td><td>房地产</td><td>63</td></tr><tr><td>H1万科06</td><td>0.40</td><td>1.90</td><td>52.05</td><td>-718.97</td><td>227.77</td><td>234.96</td><td>CC</td><td>AAA</td><td>房地产</td><td>10</td></tr><tr><td>24产融05</td><td>1.03</td><td>0.34</td><td>89.00</td><td>-34.02</td><td>14.98</td><td>15.32</td><td>A</td><td>AA+</td><td>非银金融</td><td>9</td></tr><tr><td>24产融08</td><td>3.12</td><td>0.10</td><td>76.07</td><td>-2.96</td><td>12.33</td><td>12.36</td><td>A</td><td>AA+</td><td>非银金融</td><td>15</td></tr><tr><td>24产融04</td><td>2.91</td><td>0.09</td><td>78.02</td><td>-2.58</td><td>12.44</td><td>12.47</td><td>A</td><td>AA+</td><td>非银金融</td><td>987</td></tr><tr><td>23产融11</td><td>2.69</td><td>0.06</td><td>79.01</td><td>-1.83</td><td>13.03</td><td>13.05</td><td>A</td><td>AA+</td><td>非银金融</td><td>1263</td></tr><tr><td>23产融08</td><td>0.53</td><td>0.04</td><td>93.62</td><td>-2.05</td><td>15.88</td><td>15.90</td><td>A</td><td>AA+</td><td>非银金融</td><td>102</td></tr><tr><td>23产融10</td><td>0.69</td><td>0.04</td><td>91.93</td><td>-1.03</td><td>15.92</td><td>15.93</td><td>A</td><td>AA+</td><td>非银金融</td><td>186</td></tr><tr><td>23产融06</td><td>0.32</td><td>0.03</td><td>96.45</td><td>-0.41</td><td>14.21</td><td>14.21</td><td>A</td><td>AA+</td><td>非银金融</td><td>647</td></tr><tr><td>23产融05</td><td>0.27</td><td>0.03</td><td>97.27</td><td>-0.41</td><td>13.39</td><td>13.40</td><td>A</td><td>AA+</td><td>非银金融</td><td>321</td></tr><tr><td>21金地04</td><td>0.10</td><td>0.01</td><td>99.59</td><td>-1.68</td><td>8.28</td><td>8.29</td><td>BB+</td><td>AAA</td><td>房地产</td><td>80</td></tr><tr><td>23产融13</td><td>2.74</td><td>-0.38</td><td>78.30</td><td>17.25</td><td>13.24</td><td>13.07</td><td>A</td><td>AA+</td><td>非银金融</td><td>1564</td></tr><tr><td>23产融09</td><td>2.53</td><td>-0.55</td><td>79.36</td><td>26.33</td><td>13.54</td><td>13.28</td><td>A</td><td>AA+</td><td>非银金融</td><td>1508</td></tr><tr><td>H1碧地03</td><td>0.53</td><td>-1.50</td><td>10.00</td><td>27438.83</td><td>9999.00</td><td>9724.61</td><td>CC</td><td></td><td>房地产</td><td>2</td></tr></table> 来源：Wind，国金证券研究所 图表6：当日信用债成交估值偏离分布 来源：Wind，国金证券研究所 图表7：当日非金信用债成交期限分布（城投+产业） 来源：Wind，国金证券研究所 图表8：当日二永债成交期限分布 来源：Wind，国金证券研究所 图表9：各行业非金信用债折价成交比例及成交规模 来源：Wind，国金证券研究所 # 风险提示 1、统计数据偏差或遗漏：报告基于CFETS、交易所债券成交数据进行统计，或与当日撮合成交结果存在一定偏差，也存在因统计时间造成数据遗漏的可能。 2、高估值个券出现信用风险：估值价格偏离较大的个券，需关注其主体资质变化。 # 特别声明： 国金证券股份有限公司经中国证券监督管理委员会批准，已具备证券投资咨询业务资格。 本报告版权归“国金证券股份有限公司”（以下简称“国金证券”）所有，未经事先书面授权，任何机构和个人均不得以任何方式对本报告的任何部分制作任何形式的复制、转发、转载、引用、修改、仿制、刊发，或以任何侵犯本公司版权的其他方式使用。经过书面授权的引用、刊发，需注明出处为“国金证券股份有限公司”，且不得对本报告进行任何有悖原意的删节和修改。 本报告的产生基于国金证券及其研究人员认为可信的公开资料或实地调研资料，但国金证券及其研究人员对这些信息的准确性和完整性不作任何保证。本报告反映撰写研究人员的不同设想、见解及分析方法，故本报告所载观点可能与其他类似研究报告的观点及市场实际情况不一致，国金证券不对使用本报告所包含的材料产生的任何直接或间接损失或与此有关的其他任何损失承担任何责任。且本报告中的资料、意见、预测均反映报告初次公开发布时的判断，在不作事先通知的情况下，可能会随时调整，亦可因使用不同假设和标准、采用不同观点和分析方法而与国金证券其它业务部门、单位或附属机构在制作类似的其他材料时所给出的意见不同或者相反。 本报告仅为参考之用，在任何地区均不应被视为买卖任何证券、金融工具的要约或要约邀请。本报告提及的任何证券或金融工具均可能含有重大的风险，可能不易变卖以及不适合所有投资者。本报告所提及的证券或金融工具的价格、价值及收益可能会受汇率影响而波动。过往的业绩并不能代表未来的表现。 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