> **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6日信用债异常成交跟踪 # 摘要 根据Wind数据，折价成交个券中，“26盐旅Y1”债券估值价格偏离幅度较大。净价上涨成交个券中，“23万科MTNO03”估值价格偏离程度靠前。净价上涨成交二永债中，“23厦门国际二级资本债01”估值价格偏离幅度较大；净价上涨成交商金债中，“25河北银行绿色债”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0.5至1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3至4年期品种折价成交占比最高。分行业看，通信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>26盐旅Y1</td><td>4.94</td><td>-0.21</td><td>99.98</td><td>4.56</td><td>2.81</td><td>2.77</td><td>AA</td><td>AA+</td><td>医药生物</td><td>6000</td></tr><tr><td>25浏实K1</td><td>4.42</td><td>-0.18</td><td>100.20</td><td>4.43</td><td>2.68</td><td>2.63</td><td>AA</td><td></td><td>综合</td><td>12021</td></tr><tr><td>25中国保利MTN001</td><td>2.39</td><td>-0.15</td><td>99.50</td><td>6.61</td><td>2.02</td><td>1.95</td><td>AAA</td><td></td><td>综合</td><td>1988</td></tr><tr><td>24建控债</td><td>3.44</td><td>-0.15</td><td>97.28</td><td>4.74</td><td>4.67</td><td>4.62</td><td>AA</td><td>AAA</td><td>建筑装饰</td><td>584</td></tr><tr><td>26中兴通讯MTN002</td><td>2.94</td><td>-0.14</td><td>99.47</td><td>4.80</td><td>1.88</td><td>1.83</td><td>AAA-</td><td>AAA</td><td>通信</td><td>2982</td></tr><tr><td>26粤珠江MTN002</td><td>2.88</td><td>-0.13</td><td>99.99</td><td>4.64</td><td>3.22</td><td>3.17</td><td>AA</td><td>AAA</td><td>城投</td><td>14945</td></tr><tr><td>24潼南01</td><td>3.19</td><td>-0.12</td><td>104.50</td><td>3.95</td><td>2.51</td><td>2.47</td><td>AA-</td><td></td><td>城投</td><td>2089</td></tr><tr><td>26CATLK1</td><td>2.94</td><td>-0.11</td><td>99.48</td><td>4.04</td><td>1.87</td><td>1.83</td><td>AA+</td><td>AAA</td><td>电力设备</td><td>1989</td></tr><tr><td>25青资04</td><td>2.64</td><td>-0.10</td><td>101.24</td><td>4.14</td><td>2.85</td><td>2.81</td><td>AA-</td><td>AAA</td><td>综合</td><td>4047</td></tr><tr><td>铁建YK20</td><td>3.68</td><td>-0.10</td><td>101.69</td><td>2.93</td><td>1.97</td><td>1.94</td><td>AAA-</td><td>AAA</td><td>建筑装饰</td><td>815</td></tr><tr><td>25通汇02</td><td>2.28</td><td>-0.10</td><td>100.29</td><td>4.68</td><td>2.22</td><td>2.17</td><td>AA</td><td>AA+</td><td>综合</td><td>2006</td></tr><tr><td>25长产K3</td><td>4.42</td><td>-0.08</td><td>99.95</td><td>1.97</td><td>1.88</td><td>1.86</td><td>AA+</td><td>AAA</td><td>城投</td><td>2199</td></tr><tr><td>25株城Y3</td><td>1.88</td><td>-0.07</td><td>101.12</td><td>3.66</td><td>2.07</td><td>2.03</td><td>AA-</td><td>AA+</td><td>城投</td><td>203</td></tr><tr><td>25金隅MTN007</td><td>4.68</td><td>-0.06</td><td>100.23</td><td>1.47</td><td>2.30</td><td>2.28</td><td>AA+</td><td>AAA</td><td>建筑材料</td><td>30058</td></tr><tr><td>21永兴债01</td><td>1.89</td><td>-0.06</td><td>40.62</td><td>3.98</td><td>2.06</td><td>2.02</td><td>AA(2)</td><td>AA</td><td>城投</td><td>2838</td></tr><tr><td>24诚通控股MTN009A</td><td>13.04</td><td>-0.05</td><td>108.34</td><td>0.42</td><td>2.45</td><td>2.45</td><td>AAA</td><td>AAA</td><td>综合</td><td>2168</td></tr><tr><td>24青岛海创PPN002</td><td>1.25</td><td>-0.04</td><td>101.25</td><td>2.68</td><td>2.17</td><td>2.14</td><td>AA-</td><td>AA+</td><td>城投</td><td>4052</td></tr><tr><td>24蜀道投资MTN010A</td><td>8.37</td><td>-0.03</td><td>101.88</td><td>0.35</td><td>2.32</td><td>2.32</td><td>AA+</td><td>AAA</td><td>城投</td><td>6113</td></tr><tr><td>24福州城投MTN002</td><td>8.42</td><td>-0.03</td><td>100.11</td><td>0.35</td><td>2.33</td><td>2.32</td><td>AA+</td><td>AAA</td><td>城投</td><td>2003</td></tr><tr><td>24蜀道投资MTN013</td><td>8.56</td><td>-0.03</td><td>101.46</td><td>0.34</td><td>2.34</td><td>2.34</td><td>AA+</td><td>AAA</td><td>城投</td><td>8120</td></tr><tr><td>24渝高速MTN004</td><td>8.25</td><td>-0.03</td><td>103.34</td><td>0.34</td><td>2.31</td><td>2.31</td><td>AA+</td><td>AAA</td><td>交通运输</td><td>4131</td></tr><tr><td>25电网MTN019</td><td>9.13</td><td>-0.03</td><td>99.06</td><td>0.31</td><td>2.24</td><td>2.23</td><td>AAA+</td><td>AAA</td><td>公用事业</td><td>5947</td></tr><tr><td>24鄂联投MTN007</td><td>8.42</td><td>-0.03</td><td>96.44</td><td>0.35</td><td>2.95</td><td>2.95</td><td>AA</td><td>AAA</td><td>城投</td><td>3858</td></tr><tr><td>24乌城投PPN002B</td><td>8.79</td><td>-0.02</td><td>100.65</td><td>0.32</td><td>2.71</td><td>2.71</td><td>AA+</td><td>AAA</td><td>城投</td><td>12073</td></tr><tr><td>24电建K1</td><td>7.91</td><td>-0.02</td><td>105.07</td><td>0.32</td><td>2.18</td><td>2.17</td><td>AAA</td><td>AAA</td><td>建筑装饰</td><td>6</td></tr><tr><td>24圆融K2</td><td>8.14</td><td>-0.02</td><td>103.65</td><td>0.31</td><td>2.30</td><td>2.30</td><td>AA+</td><td>AAA</td><td>综合</td><td>1037</td></tr><tr><td>25蜀道K1</td><td>2.28</td><td>-0.02</td><td>100.17</td><td>0.94</td><td>1.74</td><td>1.73</td><td>AA+</td><td>AAA</td><td>城投</td><td>4206</td></tr><tr><td>26蜀道K2</td><td>4.92</td><td>-0.02</td><td>100.18</td><td>0.45</td><td>1.90</td><td>1.90</td><td>AA+</td><td>AAA</td><td>城投</td><td>1703</td></tr><tr><td>25陕租01</td><td>4.39</td><td>-0.02</td><td>99.70</td><td>0.50</td><td>2.47</td><td>2.47</td><td>AA</td><td>AA+</td><td>非银金融</td><td>994</td></tr><tr><td>25江宁交通PPN001</td><td>4.23</td><td>-0.02</td><td>100.23</td><td>0.51</td><td>2.23</td><td>2.23</td><td>AA</td><td>AA+</td><td>城投</td><td>1002</td></tr><tr><td>25诚通控股MTN002B</td><td>14.30</td><td>-0.02</td><td>97.09</td><td>0.16</td><td>2.47</td><td>2.47</td><td>AAA</td><td>AAA</td><td>综合</td><td>5830</td></tr><tr><td>25恒廷K1</td><td>4.13</td><td>-0.02</td><td>101.09</td><td>0.47</td><td>2.37</td><td>2.36</td><td>AA</td><td>AA</td><td>城投</td><td>3021</td></tr><tr><td>25新会04</td><td>4.36</td><td>-0.02</td><td>100.00</td><td>0.44</td><td>2.25</td><td>2.24</td><td>AA</td><td>AA+</td><td>综合</td><td>3991</td></tr><tr><td>25杭州拱墅PPN001</td><td>4.38</td><td>-0.02</td><td>99.79</td><td>0.42</td><td>2.25</td><td>2.25</td><td>AA</td><td></td><td>城投</td><td>1996</td></tr><tr><td>25联投09</td><td>4.39</td><td>-0.02</td><td>100.60</td><td>0.41</td><td>2.50</td><td>2.50</td><td>AA</td><td>AAA</td><td>城投</td><td>14088</td></tr><tr><td>14豫铁投MTN001</td><td>3.70</td><td>-0.02</td><td>110.22</td><td>0.27</td><td>2.01</td><td>2.00</td><td>AA</td><td>AAA</td><td>城投</td><td>2206</td></tr><tr><td>25鲁资K2</td><td>2.08</td><td>-0.02</td><td>100.60</td><td>0.76</td><td>1.78</td><td>1.78</td><td>AA+</td><td>AAA</td><td>综合</td><td>905</td></tr><tr><td>25紫金K1</td><td>2.06</td><td>-0.02</td><td>100.61</td><td>0.75</td><td>1.76</td><td>1.76</td><td>AAA-</td><td>AAA</td><td>有色金属</td><td>503</td></tr><tr><td>25广晟K01</td><td>2.04</td><td>-0.02</td><td>100.73</td><td>0.74</td><td>1.78</td><td>1.77</td><td>AA+</td><td>AAA</td><td>综合</td><td>2015</td></tr><tr><td>25电网MTN015</td><td>9.05</td><td>-0.02</td><td>100.32</td><td>0.19</td><td>2.23</td><td>2.23</td><td>AAA+</td><td>AAA</td><td>公用事业</td><td>14045</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>23万科MTN003</td><td>0.28</td><td>4.73</td><td>50.83</td><td>-2823.71</td><td>340.75</td><td>368.98</td><td>CC</td><td>AAA</td><td>房地产</td><td>609</td></tr><tr><td>25淮开04</td><td>9.72</td><td>0.36</td><td>100.03</td><td>-4.45</td><td>3.67</td><td>3.72</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>4004</td></tr><tr><td>26润投V1</td><td>4.94</td><td>0.29</td><td>100.71</td><td>-6.49</td><td>3.44</td><td>3.50</td><td>AA-</td><td>AA</td><td>商贸零售</td><td>42391</td></tr><tr><td>26润投V2</td><td>4.94</td><td>0.29</td><td>100.49</td><td>-6.49</td><td>3.49</td><td>3.55</td><td>AA-</td><td>AA</td><td>商贸零售</td><td>14132</td></tr><tr><td>25临沭01</td><td>4.75</td><td>0.29</td><td>101.14</td><td>-6.58</td><td>3.15</td><td>3.21</td><td>AA-</td><td>AA</td><td>建筑材料</td><td>7544</td></tr><tr><td>25黄供01</td><td>2.71</td><td>0.28</td><td>100.24</td><td>-10.87</td><td>2.41</td><td>2.51</td><td>AA</td><td>AA+</td><td>基础化工</td><td>1699</td></tr><tr><td>25商丘06</td><td>4.68</td><td>0.26</td><td>100.76</td><td>-6.09</td><td>2.62</td><td>2.69</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>1503</td></tr><tr><td>25开封城投MTN002</td><td>4.54</td><td>0.25</td><td>102.41</td><td>-6.06</td><td>2.82</td><td>2.89</td><td>AA-</td><td>AA</td><td>城投</td><td>2033</td></tr><tr><td>25开封城投MTN001</td><td>4.36</td><td>0.24</td><td>100.10</td><td>-5.90</td><td>2.77</td><td>2.83</td><td>AA-</td><td>AA</td><td>城投</td><td>4989</td></tr><tr><td>25濮阳02</td><td>4.12</td><td>0.22</td><td>102.63</td><td>-5.73</td><td>2.41</td><td>2.47</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>2557</td></tr><tr><td>24濮阳05</td><td>3.46</td><td>0.21</td><td>101.50</td><td>-6.59</td><td>2.43</td><td>2.50</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>1014</td></tr><tr><td>25商丘01</td><td>3.88</td><td>0.21</td><td>101.66</td><td>-5.89</td><td>2.49</td><td>2.55</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>4065</td></tr><tr><td>24濮阳04</td><td>3.13</td><td>0.20</td><td>104.19</td><td>-6.92</td><td>2.37</td><td>2.44</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>2068</td></tr><tr><td>24开经02</td><td>3.05</td><td>0.19</td><td>106.09</td><td>-6.93</td><td>2.41</td><td>2.48</td><td>AA(2)</td><td></td><td>城投</td><td>2119</td></tr><tr><td>24渝南03</td><td>3.27</td><td>0.19</td><td>103.30</td><td>-6.13</td><td>2.53</td><td>2.59</td><td>AA-</td><td>AA</td><td>城投</td><td>1024</td></tr><tr><td>24濮阳投资MTN001</td><td>3.33</td><td>0.18</td><td>102.35</td><td>-5.80</td><td>2.29</td><td>2.34</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>2045</td></tr><tr><td>24黄供01</td><td>1.78</td><td>0.18</td><td>101.19</td><td>-10.33</td><td>2.26</td><td>2.36</td><td>AA</td><td>AA+</td><td>基础化工</td><td>3038</td></tr><tr><td>24泰丰02</td><td>3.17</td><td>0.17</td><td>106.74</td><td>-6.04</td><td>3.61</td><td>3.67</td><td>AA-</td><td></td><td>综合</td><td>1811</td></tr><tr><td>25昆投01</td><td>2.57</td><td>0.13</td><td>101.65</td><td>-5.46</td><td>3.36</td><td>3.42</td><td>AA-</td><td>AA+</td><td>城投</td><td>907</td></tr><tr><td>24郑州03</td><td>1.78</td><td>0.11</td><td>100.83</td><td>-6.51</td><td>2.15</td><td>2.21</td><td>AA(2)</td><td>AA</td><td>城投</td><td>1009</td></tr><tr><td>25苏州轨交MTN001</td><td>5.83</td><td>0.11</td><td>100.05</td><td>-2.00</td><td>1.99</td><td>2.01</td><td>AAA</td><td>AAA</td><td>城投</td><td>5997</td></tr><tr><td>26安租Y1</td><td>0.86</td><td>0.10</td><td>100.50</td><td>-11.46</td><td>1.99</td><td>2.11</td><td>AA</td><td>AAA</td><td>非银金融</td><td>12024</td></tr><tr><td>24诚通控股MTN013A</td><td>8.22</td><td>0.08</td><td>104.33</td><td>-1.11</td><td>2.29</td><td>2.30</td><td>AAA</td><td>AAA</td><td>综合</td><td>3129</td></tr><tr><td>24国新控股MTN001A</td><td>8.12</td><td>0.08</td><td>103.90</td><td>-1.12</td><td>2.20</td><td>2.21</td><td>AAA</td><td>AAA</td><td>非银金融</td><td>4156</td></tr><tr><td>24青莱03</td><td>5.41</td><td>0.08</td><td>98.69</td><td>-1.51</td><td>2.95</td><td>2.97</td><td>AA(2)</td><td></td><td>城投</td><td>1769</td></tr><tr><td>25伊资01</td><td>4.36</td><td>0.07</td><td>100.52</td><td>-1.81</td><td>2.71</td><td>2.73</td><td>AA-</td><td>AA</td><td>城投</td><td>397</td></tr><tr><td>25株资03</td><td>4.29</td><td>0.07</td><td>100.31</td><td>-1.84</td><td>2.69</td><td>2.71</td><td>AA-</td><td>AA+</td><td>城投</td><td>2007</td></tr><tr><td>25阜阳01</td><td>4.33</td><td>0.07</td><td>100.19</td><td>-1.82</td><td>2.85</td><td>2.87</td><td>AA-</td><td></td><td>城投</td><td>2970</td></tr><tr><td>25马经01</td><td>4.32</td><td>0.07</td><td>100.56</td><td>-1.83</td><td>2.70</td><td>2.72</td><td>AA-</td><td>AA</td><td>城投</td><td>4015</td></tr><tr><td>25盱眙03</td><td>4.36</td><td>0.07</td><td>100.98</td><td>-1.82</td><td>2.66</td><td>2.68</td><td>AA-</td><td>AA</td><td>城投</td><td>2018</td></tr><tr><td>25城资06</td><td>4.34</td><td>0.07</td><td>100.18</td><td>-1.82</td><td>3.05</td><td>3.07</td><td>AA-</td><td>AA+</td><td>城投</td><td>1212</td></tr><tr><td>24上饶07</td><td>5.47</td><td>0.07</td><td>101.95</td><td>-1.48</td><td>2.73</td><td>2.74</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>1018</td></tr><tr><td>25柳建04</td><td>4.35</td><td>0.07</td><td>100.53</td><td>-1.82</td><td>3.05</td><td>3.07</td><td>AA-</td><td>AA</td><td>城投</td><td>9016</td></tr><tr><td>25塔城01</td><td>4.45</td><td>0.07</td><td>101.44</td><td>-1.77</td><td>2.73</td><td>2.75</td><td>AA-</td><td>AA</td><td>城投</td><td>4200</td></tr><tr><td>25兖投02</td><td>4.30</td><td>0.07</td><td>100.73</td><td>-1.83</td><td>3.09</td><td>3.11</td><td>AA-</td><td>AA+</td><td>城投</td><td>504</td></tr><tr><td>25常宁01</td><td>4.45</td><td>0.07</td><td>101.52</td><td>-1.77</td><td>2.78</td><td>2.80</td><td>AA-</td><td>AA</td><td>城投</td><td>101</td></tr><tr><td>25晟众01</td><td>4.36</td><td>0.07</td><td>101.08</td><td>-1.81</td><td>3.16</td><td>3.18</td><td>AA-</td><td>AA</td><td>城投</td><td>3015</td></tr><tr><td>25晟鸿01</td><td>4.41</td><td>0.07</td><td>101.08</td><td>-1.80</td><td>3.32</td><td>3.34</td><td>AA-</td><td>AA</td><td>房地产</td><td>3023</td></tr><tr><td>25西经04</td><td>4.27</td><td>0.07</td><td>101.15</td><td>-1.84</td><td>3.19</td><td>3.20</td><td>AA-</td><td></td><td>城投</td><td>1592</td></tr><tr><td>25郑蒲01</td><td>4.21</td><td>0.07</td><td>101.41</td><td>-1.85</td><td>2.62</td><td>2.64</td><td>AA-</td><td>AA</td><td>城投</td><td>2022</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>23厦门国际二级资本债01</td><td>2.35</td><td>0.02</td><td>104.27</td><td>-1.18</td><td>2.07</td><td>2.08</td><td>AA</td><td>AAA</td><td>城商行</td><td>7297</td></tr><tr><td>22中行二级资本债02A</td><td>1.64</td><td>0.02</td><td>102.16</td><td>-1.57</td><td>1.67</td><td>1.69</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>4087</td></tr><tr><td>22建行二级资本债02A</td><td>1.67</td><td>0.02</td><td>102.16</td><td>-1.54</td><td>1.68</td><td>1.69</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>13279</td></tr><tr><td>22工行二级资本债04A</td><td>1.68</td><td>0.02</td><td>102.17</td><td>-1.53</td><td>1.68</td><td>1.69</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>32687</td></tr><tr><td>22农行二级资本债02A</td><td>1.55</td><td>0.02</td><td>102.07</td><td>-1.66</td><td>1.66</td><td>1.68</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>22449</td></tr><tr><td>22交行二级资本债02A</td><td>1.70</td><td>0.02</td><td>102.24</td><td>-1.52</td><td>1.68</td><td>1.69</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>10222</td></tr><tr><td>22工行二级资本债03A</td><td>1.46</td><td>0.02</td><td>101.95</td><td>-1.73</td><td>1.65</td><td>1.67</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>26502</td></tr><tr><td>23中行二级资本债01A</td><td>2.05</td><td>0.02</td><td>103.54</td><td>-1.27</td><td>1.71</td><td>1.73</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>18632</td></tr><tr><td>23农行二级资本债01A</td><td>2.05</td><td>0.02</td><td>103.54</td><td>-1.28</td><td>1.71</td><td>1.73</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>13458</td></tr><tr><td>23光大二级资本债01A</td><td>2.10</td><td>0.02</td><td>103.73</td><td>-1.24</td><td>1.73</td><td>1.74</td><td>AA+</td><td>AAA</td><td>股份行</td><td>10163</td></tr><tr><td>23建行二级资本债01A</td><td>2.06</td><td>0.02</td><td>103.56</td><td>-1.25</td><td>1.71</td><td>1.73</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>4142</td></tr><tr><td>23广州农商行二级资本债01</td><td>2.07</td><td>0.02</td><td>105.76</td><td>-1.38</td><td>1.83</td><td>1.85</td><td>AA</td><td>AAA</td><td>农商行</td><td>1057</td></tr><tr><td>23工行二级资本债01A</td><td>2.10</td><td>0.02</td><td>103.62</td><td>-1.22</td><td>1.72</td><td>1.73</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>13468</td></tr><tr><td>23浙商银行二级资本债01</td><td>2.23</td><td>0.02</td><td>103.68</td><td>-1.13</td><td>1.77</td><td>1.78</td><td>AA+</td><td>AAA</td><td>股份行</td><td>7256</td></tr><tr><td>22工行二级资本债05A</td><td>1.80</td><td>0.02</td><td>103.53</td><td>-1.42</td><td>1.69</td><td>1.70</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>11387</td></tr><tr><td>23成都银行二级资本债01</td><td>2.47</td><td>0.02</td><td>103.63</td><td>-0.94</td><td>1.83</td><td>1.84</td><td>AA</td><td>AAA</td><td>城商行</td><td>6216</td></tr><tr><td>22农业银行二级01</td><td>1.29</td><td>0.02</td><td>102.29</td><td>-1.81</td><td>1.64</td><td>1.66</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>68517</td></tr><tr><td>23工行二级资本债02A</td><td>2.49</td><td>0.02</td><td>103.15</td><td>-0.89</td><td>1.76</td><td>1.77</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>7013</td></tr><tr><td>22建设银行二级01</td><td>1.28</td><td>0.02</td><td>102.28</td><td>-1.80</td><td>1.64</td><td>1.65</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>76482</td></tr><tr><td>25农行二级资本债02B(BC)</td><td>9.39</td><td>0.02</td><td>98.01</td><td>-0.20</td><td>2.36</td><td>2.36</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>7841</td></tr><tr><td>23农行二级资本债02A</td><td>2.53</td><td>0.02</td><td>103.63</td><td>-0.85</td><td>1.77</td><td>1.78</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>13468</td></tr><tr><td>23厦门国际二级资本债02</td><td>2.49</td><td>0.02</td><td>104.24</td><td>-0.89</td><td>2.08</td><td>2.09</td><td>AA</td><td>AAA</td><td>城商行</td><td>19801</td></tr><tr><td>23中行二级资本债02A</td><td>2.55</td><td>0.02</td><td>103.65</td><td>-0.84</td><td>1.77</td><td>1.78</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>2072</td></tr><tr><td>22河北银行永续债02</td><td>1.56</td><td>0.02</td><td>103.71</td><td>-1.47</td><td>1.86</td><td>1.88</td><td>AA</td><td>AAA</td><td>城商行</td><td>12442</td></tr><tr><td>23潍坊银行二级资本债01</td><td>2.49</td><td>0.02</td><td>105.31</td><td>-0.91</td><td>2.54</td><td>2.55</td><td>AA-</td><td>AA+</td><td>城商行</td><td>790</td></tr><tr><td>22贵州银行永续债01</td><td>1.41</td><td>0.02</td><td>103.55</td><td>-1.61</td><td>1.92</td><td>1.94</td><td>AA-</td><td>AAA</td><td>城商行</td><td>8285</td></tr><tr><td>23中行二级资本债03A</td><td>2.64</td><td>0.02</td><td>104.20</td><td>-0.77</td><td>1.78</td><td>1.79</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>1042</td></tr><tr><td>23建行二级资本债02A</td><td>2.64</td><td>0.02</td><td>104.26</td><td>-0.76</td><td>1.78</td><td>1.79</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>1042</td></tr><tr><td>25赣州银行永续债01</td><td>4.65</td><td>0.01</td><td>100.80</td><td>-0.35</td><td>2.84</td><td>2.84</td><td>AA-</td><td>AA+</td><td>城商行</td><td>20146</td></tr><tr><td>23农行二级资本债03A</td><td>2.66</td><td>0.01</td><td>104.28</td><td>-0.75</td><td>1.78</td><td>1.79</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>20852</td></tr><tr><td>23中行永续债01</td><td>2.28</td><td>0.01</td><td>103.31</td><td>-0.84</td><td>1.77</td><td>1.78</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>28922</td></tr><tr><td>23建行二级资本债03A</td><td>2.70</td><td>0.01</td><td>103.94</td><td>-0.70</td><td>1.79</td><td>1.80</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>32216</td></tr><tr><td>23交行二级资本债01A</td><td>2.70</td><td>0.01</td><td>103.95</td><td>-0.70</td><td>1.79</td><td>1.80</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>2079</td></tr><tr><td>22河北银行永续债</td><td>1.29</td><td>0.01</td><td>103.50</td><td>-1.65</td><td>1.83</td><td>1.84</td><td>AA</td><td>AAA</td><td>城商行</td><td>5174</td></tr><tr><td>25农行二级资本债02A(BC)</td><td>4.39</td><td>0.01</td><td>99.70</td><td>-0.33</td><td>1.99</td><td>1.99</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>12959</td></tr><tr><td>23宁波银行永续债01</td><td>2.35</td><td>0.01</td><td>103.63</td><td>-0.76</td><td>1.85</td><td>1.86</td><td>AA+</td><td>AAA</td><td>城商行</td><td>22799</td></tr><tr><td>23建行永续债01</td><td>2.37</td><td>0.01</td><td>103.46</td><td>-0.74</td><td>1.78</td><td>1.79</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>28240</td></tr><tr><td>23贵州银行永续债01</td><td>1.98</td><td>0.01</td><td>105.57</td><td>-1.04</td><td>2.00</td><td>2.01</td><td>AA-</td><td>AAA</td><td>城商行</td><td>2111</td></tr><tr><td>25湖州银行永续债01</td><td>4.70</td><td>0.01</td><td>100.26</td><td>-0.28</td><td>2.60</td><td>2.60</td><td>AA-</td><td>AA+</td><td>城商行</td><td>2418</td></tr><tr><td>23温州银行永续债02</td><td>2.30</td><td>0.01</td><td>106.40</td><td>-0.86</td><td>2.01</td><td>2.02</td><td>AA-</td><td>AAA</td><td>城商行</td><td>3191</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河北银行绿色债</td><td>2.43</td><td>0.07</td><td>100.07</td><td>-2.89</td><td>1.80</td><td>1.83</td><td>AA+</td><td>AAA</td><td>城商行</td><td>5005</td></tr><tr><td>24浙商银行债01</td><td>1.51</td><td>0.03</td><td>100.57</td><td>-1.86</td><td>1.63</td><td>1.64</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>34185</td></tr><tr><td>24中信银行债02BC</td><td>1.67</td><td>0.03</td><td>100.71</td><td>-1.69</td><td>1.62</td><td>1.64</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>2014</td></tr><tr><td>24上海银行小微债01</td><td>1.73</td><td>0.03</td><td>100.66</td><td>-1.62</td><td>1.65</td><td>1.66</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>10066</td></tr><tr><td>24光大银行债02</td><td>1.47</td><td>0.03</td><td>100.67</td><td>-1.90</td><td>1.60</td><td>1.62</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>15097</td></tr><tr><td>24湖南银行小微债01</td><td>1.56</td><td>0.03</td><td>100.54</td><td>-1.71</td><td>1.68</td><td>1.70</td><td>AA+</td><td>AAA</td><td>城商行</td><td>7036</td></tr><tr><td>24中原银行小微债01</td><td>1.55</td><td>0.03</td><td>100.56</td><td>-1.71</td><td>1.73</td><td>1.75</td><td>AA+</td><td>AAA</td><td>城商行</td><td>4021</td></tr><tr><td>25赣州银行债01</td><td>2.75</td><td>0.03</td><td>100.34</td><td>-0.95</td><td>1.82</td><td>1.83</td><td>AA</td><td>AA+</td><td>城商行</td><td>10034</td></tr><tr><td>24西安银行债01</td><td>1.55</td><td>0.02</td><td>100.66</td><td>-1.71</td><td>1.65</td><td>1.67</td><td>AA+</td><td>AAA</td><td>城商行</td><td>20127</td></tr><tr><td>24厦门国际银行01</td><td>1.43</td><td>0.02</td><td>100.32</td><td>-1.82</td><td>1.72</td><td>1.74</td><td>AA+</td><td>AAA</td><td>城商行</td><td>5015</td></tr><tr><td>25浙商银行债01A</td><td>1.95</td><td>0.02</td><td>100.15</td><td>-1.31</td><td>1.67</td><td>1.68</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>16019</td></tr><tr><td>24广州银行小微债01</td><td>1.48</td><td>0.02</td><td>100.66</td><td>-1.78</td><td>1.64</td><td>1.66</td><td>AA+</td><td>AAA</td><td>城商行</td><td>20126</td></tr><tr><td>24工银亚洲债01</td><td>1.52</td><td>0.02</td><td>100.47</td><td>-1.71</td><td>1.73</td><td>1.75</td><td>AA+</td><td>AAA</td><td>其他银行</td><td>3015</td></tr><tr><td>24中信银行债01</td><td>1.35</td><td>0.02</td><td>100.67</td><td>-1.94</td><td>1.59</td><td>1.61</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>41267</td></tr><tr><td>24交行债02BC</td><td>1.56</td><td>0.02</td><td>100.53</td><td>-1.65</td><td>1.60</td><td>1.62</td><td>AAA</td><td>AAA</td><td>国有行</td><td>37185</td></tr><tr><td>25交通银行科创债01</td><td>2.19</td><td>0.02</td><td>100.03</td><td>-1.14</td><td>1.64</td><td>1.65</td><td>AAA</td><td>AAA</td><td>国有行</td><td>39999</td></tr><tr><td>25工行科创债01BC</td><td>2.19</td><td>0.02</td><td>100.03</td><td>-1.14</td><td>1.64</td><td>1.65</td><td>AAA</td><td>AAA</td><td>国有行</td><td>10001</td></tr><tr><td>24南京银行02</td><td>1.33</td><td>0.02</td><td>100.64</td><td>-1.95</td><td>1.61</td><td>1.63</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>28173</td></tr><tr><td>25中国银行科创债01</td><td>2.21</td><td>0.02</td><td>100.02</td><td>-1.13</td><td>1.64</td><td>1.65</td><td>AAA</td><td>AAA</td><td>国有行</td><td>10000</td></tr><tr><td>24建行债02BC</td><td>1.64</td><td>0.02</td><td>100.75</td><td>-1.57</td><td>1.61</td><td>1.63</td><td>AAA</td><td>AAA</td><td>国有行</td><td>66481</td></tr><tr><td>25农业银行三农债01</td><td>1.88</td><td>0.02</td><td>100.20</td><td>-1.31</td><td>1.63</td><td>1.65</td><td>AAA</td><td>AAA</td><td>国有行</td><td>12020</td></tr><tr><td>25宁波通商银行债02</td><td>2.73</td><td>0.02</td><td>100.34</td><td>-0.92</td><td>1.82</td><td>1.83</td><td>AA</td><td>AA+</td><td>城商行</td><td>2006</td></tr><tr><td>24中信银行绿债01</td><td>1.43</td><td>0.02</td><td>100.31</td><td>-1.73</td><td>1.59</td><td>1.60</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>5015</td></tr><tr><td>25杭州银行科创债01</td><td>2.18</td><td>0.02</td><td>100.00</td><td>-1.11</td><td>1.67</td><td>1.68</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>61977</td></tr><tr><td>24交行债03BC</td><td>1.65</td><td>0.02</td><td>100.85</td><td>-1.55</td><td>1.61</td><td>1.63</td><td>AAA</td><td>AAA</td><td>国有行</td><td>1008</td></tr><tr><td>25浙商银行科创债01BC</td><td>2.21</td><td>0.02</td><td>99.93</td><td>-1.09</td><td>1.69</td><td>1.70</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>29975</td></tr><tr><td>25上海银行科创债01</td><td>2.21</td><td>0.02</td><td>100.00</td><td>-1.10</td><td>1.67</td><td>1.68</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>16993</td></tr><tr><td>25长沙银行小微债01</td><td>2.12</td><td>0.02</td><td>100.32</td><td>-1.16</td><td>1.70</td><td>1.71</td><td>AA+</td><td>AAA</td><td>城商行</td><td>25082</td></tr><tr><td>25平安银行小微债01</td><td>2.21</td><td>0.02</td><td>100.11</td><td>-1.09</td><td>1.69</td><td>1.70</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>3003</td></tr><tr><td>25重庆银行小微债01</td><td>2.06</td><td>0.02</td><td>100.56</td><td>-1.21</td><td>1.70</td><td>1.71</td><td>AA+</td><td>AAA</td><td>城商行</td><td>5028</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>23万科MTN003</td><td>0.28</td><td>4.73</td><td>50.83</td><td>-2823.71</td><td>340.75</td><td>368.98</td><td>CC</td><td>AAA</td><td>房地产</td><td>609</td></tr><tr><td>24遵义道桥PPN001</td><td>3.43</td><td>0.04</td><td>96.06</td><td>-1.26</td><td>5.23</td><td>5.24</td><td>AA-</td><td></td><td>城投</td><td>938</td></tr><tr><td>23产融10</td><td>0.68</td><td>0.04</td><td>92.04</td><td>-1.60</td><td>15.88</td><td>15.89</td><td>A</td><td>AA+</td><td>非银金融</td><td>65</td></tr><tr><td>23产融06</td><td>0.31</td><td>0.03</td><td>96.46</td><td>-1.09</td><td>14.48</td><td>14.49</td><td>A</td><td>AA+</td><td>非银金融</td><td>251</td></tr><tr><td>24产融05</td><td>1.02</td><td>0.03</td><td>89.10</td><td>-0.19</td><td>14.96</td><td>14.96</td><td>A</td><td>AA+</td><td>非银金融</td><td>81</td></tr><tr><td>23产融K1</td><td>2.39</td><td>0.03</td><td>79.63</td><td>-0.34</td><td>13.80</td><td>13.81</td><td>A</td><td>AA+</td><td>非银金融</td><td>56</td></tr><tr><td>23产融05</td><td>0.26</td><td>0.03</td><td>97.28</td><td>-1.01</td><td>13.67</td><td>13.68</td><td>A</td><td>AA+</td><td>非银金融</td><td>165</td></tr><tr><td>23产融09</td><td>2.53</td><td>0.03</td><td>79.48</td><td>-0.34</td><td>13.50</td><td>13.50</td><td>A</td><td>AA+</td><td>非银金融</td><td>56</td></tr><tr><td>24产融06</td><td>3.02</td><td>0.03</td><td>77.16</td><td>-0.29</td><td>12.28</td><td>12.28</td><td>A</td><td>AA+</td><td>非银金融</td><td>31</td></tr><tr><td>23产融11</td><td>2.68</td><td>0.03</td><td>79.02</td><td>-0.33</td><td>13.05</td><td>13.06</td><td>A</td><td>AA+</td><td>非银金融</td><td>858</td></tr><tr><td>24产融04</td><td>2.90</td><td>0.03</td><td>77.92</td><td>-0.30</td><td>12.52</td><td>12.52</td><td>A</td><td>AA+</td><td>非银金融</td><td>8</td></tr><tr><td>21金地04</td><td>0.09</td><td>0.01</td><td>99.63</td><td>-1.13</td><td>8.25</td><td>8.26</td><td>BB+</td><td>AAA</td><td>房地产</td><td>100</td></tr><tr><td>24光大嘉宝MTN001</td><td>0.10</td><td>0.00</td><td>99.89</td><td>-0.27</td><td>5.67</td><td>5.68</td><td>AA-</td><td>AA+</td><td>房地产</td><td>9991</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。 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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