> **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 # 2月9日信用债异常成交跟踪 # 摘要 根据Wind数据，折价成交个券中，“24产融06”债券估值价格偏离幅度较大。净价上涨成交个券中，“H2万科06”估值价格偏离程度靠前。净价上涨成交二永债中，“25农行二级资本债04B(BC)”估值价格偏离幅度较大；净价上涨成交商金债中，“25杭州银行绿债01A”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年内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1年内品种折价成交占比最高。分行业看，食品饮料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>24产融06</td><td>3.09</td><td>-0.37</td><td>75.33</td><td>16.85</td><td>12.97</td><td>12.81</td><td>A</td><td>AA+</td><td>非银金融</td><td>8</td></tr><tr><td>24产融04</td><td>2.97</td><td>-0.36</td><td>76.48</td><td>16.97</td><td>13.04</td><td>12.87</td><td>A</td><td>AA+</td><td>非银金融</td><td>1364</td></tr><tr><td>24产融02</td><td>2.92</td><td>-0.36</td><td>76.92</td><td>17.06</td><td>13.03</td><td>12.85</td><td>A</td><td>AA+</td><td>非银金融</td><td>1072</td></tr><tr><td>23产融13</td><td>2.80</td><td>-0.35</td><td>78.39</td><td>17.29</td><td>12.99</td><td>12.81</td><td>A</td><td>AA+</td><td>非银金融</td><td>3987</td></tr><tr><td>23产融11</td><td>2.75</td><td>-0.34</td><td>78.73</td><td>17.38</td><td>12.97</td><td>12.80</td><td>A</td><td>AA+</td><td>非银金融</td><td>1085</td></tr><tr><td>23产融09</td><td>2.59</td><td>-0.33</td><td>79.69</td><td>17.71</td><td>13.12</td><td>12.94</td><td>A</td><td>AA+</td><td>非银金融</td><td>3332</td></tr><tr><td>23产融K1</td><td>2.46</td><td>-0.31</td><td>80.37</td><td>18.00</td><td>13.07</td><td>12.89</td><td>A</td><td>AA+</td><td>非银金融</td><td>976</td></tr><tr><td>26金象01</td><td>2.97</td><td>-0.28</td><td>99.83</td><td>9.93</td><td>2.55</td><td>2.45</td><td>AA</td><td>AA+</td><td>非银金融</td><td>7000</td></tr><tr><td>26汇兴01</td><td>4.91</td><td>-0.23</td><td>100.70</td><td>5.07</td><td>3.05</td><td>3.00</td><td>AA-</td><td>AA</td><td>城投</td><td>4034</td></tr><tr><td>26华澜02</td><td>4.93</td><td>-0.23</td><td>100.58</td><td>5.13</td><td>3.86</td><td>3.81</td><td>AA-</td><td>AA+</td><td>城投</td><td>1000</td></tr><tr><td>G25金象1</td><td>2.18</td><td>-0.22</td><td>100.22</td><td>10.26</td><td>2.38</td><td>2.27</td><td>AA</td><td>AA+</td><td>非银金融</td><td>1002</td></tr><tr><td>25华澜01</td><td>4.82</td><td>-0.21</td><td>100.52</td><td>4.83</td><td>3.84</td><td>3.79</td><td>AA-</td><td>AA+</td><td>城投</td><td>26634</td></tr><tr><td>26核工华兴MTN001(科创债)</td><td>2.99</td><td>-0.17</td><td>99.84</td><td>6.06</td><td>2.03</td><td>1.97</td><td>AA+</td><td>AA+</td><td>建筑装饰</td><td>5986</td></tr><tr><td>24嘉高04</td><td>3.70</td><td>-0.16</td><td>100.41</td><td>4.49</td><td>2.27</td><td>2.23</td><td>AA</td><td>AA+</td><td>城投</td><td>2012</td></tr><tr><td>24云能投MTN018</td><td>13.50</td><td>-0.14</td><td>90.33</td><td>1.38</td><td>3.94</td><td>3.92</td><td>AA</td><td>AAA</td><td>综合</td><td>3608</td></tr><tr><td>24津投10</td><td>5.18</td><td>-0.14</td><td>107.33</td><td>2.70</td><td>2.46</td><td>2.44</td><td>AA</td><td>AAA</td><td>城投</td><td>3222</td></tr><tr><td>23富阳04</td><td>2.42</td><td>-0.14</td><td>104.11</td><td>5.28</td><td>2.03</td><td>1.98</td><td>AA</td><td>AA+</td><td>城投</td><td>6871</td></tr><tr><td>24新安01</td><td>3.20</td><td>-0.13</td><td>105.73</td><td>4.09</td><td>2.83</td><td>2.79</td><td>AA-</td><td>AA</td><td>城投</td><td>422</td></tr><tr><td>24汇兴01</td><td>3.30</td><td>-0.13</td><td>104.34</td><td>4.01</td><td>2.61</td><td>2.57</td><td>AA-</td><td>AA</td><td>城投</td><td>833</td></tr><tr><td>24汇兴02</td><td>3.42</td><td>-0.13</td><td>102.26</td><td>3.87</td><td>2.65</td><td>2.61</td><td>AA-</td><td>AA</td><td>城投</td><td>512</td></tr><tr><td>23汇兴01</td><td>2.84</td><td>-0.12</td><td>109.46</td><td>3.71</td><td>2.51</td><td>2.47</td><td>AA-</td><td>AA</td><td>城投</td><td>1087</td></tr><tr><td>25铜交01</td><td>4.05</td><td>-0.12</td><td>101.73</td><td>3.10</td><td>2.63</td><td>2.60</td><td>AA(2)</td><td>AA</td><td>城投</td><td>813</td></tr><tr><td>25螺经01</td><td>2.62</td><td>-0.12</td><td>100.77</td><td>4.62</td><td>2.16</td><td>2.11</td><td>AA(2)</td><td>AA</td><td>城投</td><td>2014</td></tr><tr><td>25高密01</td><td>4.09</td><td>-0.12</td><td>104.69</td><td>3.04</td><td>3.98</td><td>3.95</td><td>AA-</td><td>AA</td><td>城投</td><td>606</td></tr><tr><td>25商铁02</td><td>2.35</td><td>-0.12</td><td>100.25</td><td>5.08</td><td>2.36</td><td>2.31</td><td>AA(2)</td><td>AA</td><td>城投</td><td>1003</td></tr><tr><td>25商铁01</td><td>2.30</td><td>-0.11</td><td>100.27</td><td>5.14</td><td>2.35</td><td>2.30</td><td>AA(2)</td><td>AA</td><td>城投</td><td>11990</td></tr><tr><td>26浔新01</td><td>2.97</td><td>-0.11</td><td>99.91</td><td>4.03</td><td>2.23</td><td>2.19</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>1997</td></tr><tr><td>26湖南盐业MTN001</td><td>2.95</td><td>-0.11</td><td>99.75</td><td>3.99</td><td>2.32</td><td>2.28</td><td>AA</td><td>AA+</td><td>食品饮料</td><td>1997</td></tr><tr><td>25淄金Y1</td><td>2.82</td><td>-0.11</td><td>100.53</td><td>4.03</td><td>2.60</td><td>2.56</td><td>AA</td><td>AA+</td><td>城投</td><td>4003</td></tr><tr><td>25华发集团MTN008</td><td>2.50</td><td>-0.11</td><td>97.77</td><td>4.90</td><td>3.37</td><td>3.32</td><td>AA</td><td>AAA</td><td>综合</td><td>1940</td></tr><tr><td>24津城建MTN025</td><td>5.39</td><td>-0.10</td><td>103.19</td><td>1.90</td><td>2.51</td><td>2.49</td><td>AA</td><td>AAA</td><td>城投</td><td>9282</td></tr><tr><td>24产融05</td><td>1.09</td><td>-0.10</td><td>88.05</td><td>20.22</td><td>15.39</td><td>15.19</td><td>A</td><td>AA+</td><td>非银金融</td><td>242</td></tr><tr><td>24商铁04</td><td>1.70</td><td>-0.09</td><td>101.20</td><td>5.11</td><td>2.24</td><td>2.19</td><td>AA(2)</td><td>AA</td><td>城投</td><td>2030</td></tr><tr><td>25商铁05</td><td>1.76</td><td>-0.09</td><td>100.01</td><td>5.13</td><td>2.25</td><td>2.20</td><td>AA(2)</td><td>AA</td><td>城投</td><td>1001</td></tr><tr><td>24津城建MTN026</td><td>3.41</td><td>-0.08</td><td>102.11</td><td>2.22</td><td>2.21</td><td>2.19</td><td>AA</td><td>AAA</td><td>城投</td><td>3047</td></tr><tr><td>24津城建MTN020B</td><td>3.29</td><td>-0.08</td><td>103.97</td><td>2.14</td><td>2.19</td><td>2.16</td><td>AA</td><td>AAA</td><td>城投</td><td>4159</td></tr><tr><td>24津城建MTN030</td><td>5.49</td><td>-0.07</td><td>99.69</td><td>1.40</td><td>2.53</td><td>2.52</td><td>AA</td><td>AAA</td><td>城投</td><td>1993</td></tr><tr><td>24华发集团MTN012</td><td>1.44</td><td>-0.07</td><td>99.10</td><td>5.09</td><td>3.15</td><td>3.10</td><td>AA</td><td>AAA</td><td>综合</td><td>1981</td></tr><tr><td>铁建YK06</td><td>2.36</td><td>-0.07</td><td>103.58</td><td>2.34</td><td>1.88</td><td>1.86</td><td>AAA-</td><td>AAA</td><td>建筑装饰</td><td>43518</td></tr><tr><td>24华发集团MTN007</td><td>1.19</td><td>-0.06</td><td>100.12</td><td>4.91</td><td>3.13</td><td>3.08</td><td>AA</td><td>AAA</td><td>综合</td><td>2991</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>H2万科06</td><td>1.41</td><td>12.27</td><td>50.55</td><td>-1382.03</td><td>68.46</td><td>82.28</td><td>CC</td><td>AAA</td><td>房地产</td><td>1024</td></tr><tr><td>H2万科04</td><td>1.32</td><td>12.27</td><td>50.55</td><td>-1514.35</td><td>73.55</td><td>88.69</td><td>CC</td><td>AAA</td><td>房地产</td><td>663</td></tr><tr><td>H2万科02</td><td>1.06</td><td>12.27</td><td>50.55</td><td>-2129.04</td><td>96.76</td><td>118.05</td><td>CC</td><td>AAA</td><td>房地产</td><td>8</td></tr><tr><td>25环港01</td><td>4.85</td><td>0.47</td><td>101.05</td><td>-10.57</td><td>3.19</td><td>3.30</td><td>AA-</td><td>AA+</td><td>综合</td><td>2885</td></tr><tr><td>25农行二级资本债04B(BC)</td><td>9.78</td><td>0.28</td><td>99.81</td><td>-3.22</td><td>2.42</td><td>2.45</td><td>AAA-</td><td>AAA</td><td>银行</td><td>15914</td></tr><tr><td>25鹤资02</td><td>4.34</td><td>0.27</td><td>100.23</td><td>-6.80</td><td>2.79</td><td>2.86</td><td>AA(2)</td><td></td><td>综合</td><td>3007</td></tr><tr><td>25邢路01</td><td>4.80</td><td>0.27</td><td>100.27</td><td>-6.11</td><td>2.94</td><td>3.00</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>5000</td></tr><tr><td>25农行二级资本债03B(BC)</td><td>9.61</td><td>0.27</td><td>100.67</td><td>-3.17</td><td>2.42</td><td>2.45</td><td>AAA-</td><td>AAA</td><td>银行</td><td>31125</td></tr><tr><td>25广利01</td><td>4.29</td><td>0.26</td><td>101.01</td><td>-6.69</td><td>3.08</td><td>3.15</td><td>AA-</td><td>AA</td><td>城投</td><td>4042</td></tr><tr><td>26长城伟业PPN001B</td><td>4.98</td><td>0.26</td><td>100.68</td><td>-5.64</td><td>2.80</td><td>2.86</td><td>AA</td><td>AA</td><td>城投</td><td>6000</td></tr><tr><td>25农行二级资本债02B(BC)</td><td>9.46</td><td>0.26</td><td>97.80</td><td>-3.02</td><td>2.38</td><td>2.41</td><td>AAA-</td><td>AAA</td><td>银行</td><td>22425</td></tr><tr><td>25建行二级资本债02B(BC)</td><td>9.46</td><td>0.26</td><td>97.88</td><td>-3.01</td><td>2.38</td><td>2.41</td><td>AAA-</td><td>AAA</td><td>银行</td><td>977</td></tr><tr><td>25农行二级资本债01B(BC)</td><td>9.36</td><td>0.26</td><td>97.67</td><td>-3.02</td><td>2.38</td><td>2.41</td><td>AAA-</td><td>AAA</td><td>银行</td><td>16528</td></tr><tr><td>25峨眉01</td><td>3.95</td><td>0.25</td><td>102.25</td><td>-6.94</td><td>2.89</td><td>2.96</td><td>AA-</td><td>AA</td><td>城投</td><td>1022</td></tr><tr><td>25淄川财</td><td>4.87</td><td>0.24</td><td>100.92</td><td>-5.57</td><td>3.29</td><td>3.35</td><td>AA-</td><td>AA</td><td>城投</td><td>5021</td></tr><tr><td>25莱阳V1</td><td>4.85</td><td>0.24</td><td>101.49</td><td>-5.57</td><td>3.14</td><td>3.20</td><td>AA-</td><td></td><td>建筑装饰</td><td>3039</td></tr><tr><td>24工行二级资本债01B(BC)</td><td>8.56</td><td>0.23</td><td>100.56</td><td>-3.06</td><td>2.33</td><td>2.36</td><td>AAA-</td><td>AAA</td><td>银行</td><td>5014</td></tr><tr><td>24蜀道投资MTN010B</td><td>18.44</td><td>0.23</td><td>100.18</td><td>-1.60</td><td>2.64</td><td>2.65</td><td>AA+</td><td>AAA</td><td>城投</td><td>1000</td></tr><tr><td>24蓉欧02</td><td>3.77</td><td>0.23</td><td>102.72</td><td>-6.68</td><td>2.73</td><td>2.80</td><td>AA(2)</td><td>AA</td><td>综合</td><td>1027</td></tr><tr><td>25城发K1</td><td>6.53</td><td>0.23</td><td>100.43</td><td>-3.87</td><td>3.06</td><td>3.09</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>2010</td></tr><tr><td>24农行二级资本债02B</td><td>8.21</td><td>0.22</td><td>101.40</td><td>-2.99</td><td>2.30</td><td>2.33</td><td>AAA-</td><td>AAA</td><td>银行</td><td>1012</td></tr><tr><td>23工行二级资本债02B</td><td>7.56</td><td>0.22</td><td>106.17</td><td>-3.33</td><td>2.28</td><td>2.31</td><td>AAA-</td><td>AAA</td><td>银行</td><td>1060</td></tr><tr><td>25潍海04</td><td>4.89</td><td>0.22</td><td>101.05</td><td>-4.98</td><td>3.75</td><td>3.80</td><td>AA-</td><td>AA+</td><td>城投</td><td>8213</td></tr><tr><td>24广发银行二级资本债01B</td><td>8.49</td><td>0.22</td><td>99.19</td><td>-2.83</td><td>2.41</td><td>2.43</td><td>AA+</td><td>AAA</td><td>银行</td><td>3957</td></tr><tr><td>24浦发银行二级资本债01B</td><td>8.52</td><td>0.22</td><td>99.40</td><td>-2.81</td><td>2.38</td><td>2.41</td><td>AA+</td><td>AAA</td><td>银行</td><td>1985</td></tr><tr><td>26微山01</td><td>4.93</td><td>0.21</td><td>101.53</td><td>-4.88</td><td>3.36</td><td>3.41</td><td>AA-</td><td>AA</td><td>城投</td><td>18185</td></tr><tr><td>23农行二级资本债02B</td><td>7.60</td><td>0.21</td><td>107.37</td><td>-3.29</td><td>2.28</td><td>2.31</td><td>AAA-</td><td>AAA</td><td>银行</td><td>13924</td></tr><tr><td>23工行二级资本债01B</td><td>7.18</td><td>0.21</td><td>108.58</td><td>-3.50</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>银行</td><td>4335</td></tr><tr><td>24浦发银行二级资本债02B</td><td>8.84</td><td>0.21</td><td>99.61</td><td>-2.68</td><td>2.39</td><td>2.42</td><td>AA+</td><td>AAA</td><td>银行</td><td>3976</td></tr><tr><td>23建行二级资本债01B</td><td>7.13</td><td>0.21</td><td>108.75</td><td>-3.48</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>银行</td><td>2170</td></tr><tr><td>25东科01</td><td>2.04</td><td>0.21</td><td>101.40</td><td>-11.22</td><td>3.97</td><td>4.08</td><td>AA-</td><td></td><td>综合</td><td>1028</td></tr><tr><td>23农行二级资本债01B</td><td>7.12</td><td>0.21</td><td>108.74</td><td>-3.48</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>银行</td><td>8682</td></tr><tr><td>23中行二级资本债01B</td><td>7.12</td><td>0.21</td><td>108.73</td><td>-3.48</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>银行</td><td>1085</td></tr><tr><td>24农行二级资本债01B</td><td>8.00</td><td>0.21</td><td>103.69</td><td>-2.99</td><td>2.29</td><td>2.32</td><td>AAA-</td><td>AAA</td><td>银行</td><td>10352</td></tr><tr><td>23交行二级资本债01B</td><td>7.78</td><td>0.21</td><td>107.85</td><td>-3.14</td><td>2.28</td><td>2.32</td><td>AAA-</td><td>AAA</td><td>银行</td><td>9687</td></tr><tr><td>25鲁黄金MTN010(科创债)</td><td>4.68</td><td>0.21</td><td>100.69</td><td>-4.71</td><td>1.99</td><td>2.04</td><td>AAA-</td><td>AAA</td><td>有色金属</td><td>2013</td></tr><tr><td>24农行TLAC非资本债01C(BC)</td><td>8.56</td><td>0.20</td><td>100.65</td><td>-2.61</td><td>2.30</td><td>2.33</td><td>AAA-</td><td>AAA</td><td>银行</td><td>3018</td></tr><tr><td>24郑路03</td><td>3.38</td><td>0.20</td><td>100.43</td><td>-6.38</td><td>3.56</td><td>3.62</td><td>AA(2)</td><td>AA</td><td>城投</td><td>1011</td></tr><tr><td>25晋能煤业MTN020(科创债)</td><td>4.85</td><td>0.19</td><td>100.11</td><td>-4.29</td><td>2.54</td><td>2.59</td><td>AA</td><td>AAA</td><td>煤炭</td><td>8025</td></tr><tr><td>24上饶05</td><td>3.29</td><td>0.19</td><td>102.65</td><td>-6.31</td><td>2.29</td><td>2.35</td><td>AA(2)</td><td>AA+</td><td>城投</td><td>3074</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农行二级资本债04B(BC)</td><td>9.78</td><td>0.28</td><td>99.81</td><td>-3.22</td><td>2.42</td><td>2.45</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>15914</td></tr><tr><td>25农行二级资本债03B(BC)</td><td>9.61</td><td>0.27</td><td>100.67</td><td>-3.17</td><td>2.42</td><td>2.45</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>31125</td></tr><tr><td>25农行二级资本债02B(BC)</td><td>9.46</td><td>0.26</td><td>97.80</td><td>-3.02</td><td>2.38</td><td>2.41</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>22425</td></tr><tr><td>25建行二级资本债02B(BC)</td><td>9.46</td><td>0.26</td><td>97.88</td><td>-3.01</td><td>2.38</td><td>2.41</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>977</td></tr><tr><td>25农行二级资本债01B(BC)</td><td>9.36</td><td>0.26</td><td>97.67</td><td>-3.02</td><td>2.38</td><td>2.41</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>16528</td></tr><tr><td>24工行二级资本债01B(BC)</td><td>8.56</td><td>0.23</td><td>100.56</td><td>-3.06</td><td>2.33</td><td>2.36</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>5014</td></tr><tr><td>24农行二级资本债02B</td><td>8.21</td><td>0.22</td><td>101.40</td><td>-2.99</td><td>2.30</td><td>2.33</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>1012</td></tr><tr><td>23工行二级资本债02B</td><td>7.56</td><td>0.22</td><td>106.17</td><td>-3.33</td><td>2.28</td><td>2.31</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>1060</td></tr><tr><td>24广发银行二级资本债01B</td><td>8.49</td><td>0.22</td><td>99.19</td><td>-2.83</td><td>2.41</td><td>2.43</td><td>AA+</td><td>AAA</td><td>股份行</td><td>3957</td></tr><tr><td>24浦发银行二级资本债01B</td><td>8.52</td><td>0.22</td><td>99.40</td><td>-2.81</td><td>2.38</td><td>2.41</td><td>AA+</td><td>AAA</td><td>股份行</td><td>1985</td></tr><tr><td>23农行二级资本债02B</td><td>7.60</td><td>0.21</td><td>107.37</td><td>-3.29</td><td>2.28</td><td>2.31</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>13924</td></tr><tr><td>23工行二级资本债01B</td><td>7.18</td><td>0.21</td><td>108.58</td><td>-3.50</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>4335</td></tr><tr><td>24浦发银行二级资本债02B</td><td>8.84</td><td>0.21</td><td>99.61</td><td>-2.68</td><td>2.39</td><td>2.42</td><td>AA+</td><td>AAA</td><td>股份行</td><td>3976</td></tr><tr><td>23建行二级资本债01B</td><td>7.13</td><td>0.21</td><td>108.75</td><td>-3.48</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>2170</td></tr><tr><td>23农行二级资本债01B</td><td>7.12</td><td>0.21</td><td>108.74</td><td>-3.48</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>8682</td></tr><tr><td>23中行二级资本债01B</td><td>7.12</td><td>0.21</td><td>108.73</td><td>-3.48</td><td>2.27</td><td>2.30</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>1085</td></tr><tr><td>24农行二级资本债01B</td><td>8.00</td><td>0.21</td><td>103.69</td><td>-2.99</td><td>2.29</td><td>2.32</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>10352</td></tr><tr><td>23交行二级资本债01B</td><td>7.78</td><td>0.21</td><td>107.85</td><td>-3.14</td><td>2.28</td><td>2.32</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>9687</td></tr><tr><td>22交行二级资本债02B</td><td>6.77</td><td>0.18</td><td>106.90</td><td>-3.05</td><td>2.25</td><td>2.28</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>27744</td></tr><tr><td>22工行二级资本债04B</td><td>6.76</td><td>0.18</td><td>106.76</td><td>-3.04</td><td>2.25</td><td>2.28</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>106594</td></tr><tr><td>22建行二级资本债02B</td><td>6.75</td><td>0.18</td><td>106.76</td><td>-3.02</td><td>2.25</td><td>2.28</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>9591</td></tr><tr><td>22中行二级资本债02B</td><td>6.72</td><td>0.17</td><td>106.74</td><td>-2.97</td><td>2.25</td><td>2.28</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>150247</td></tr><tr><td>22光大银行二级资本债01B</td><td>6.56</td><td>0.17</td><td>106.47</td><td>-3.03</td><td>2.27</td><td>2.31</td><td>AA+</td><td>AAA</td><td>股份行</td><td>2122</td></tr><tr><td>22农行二级资本债02B</td><td>6.62</td><td>0.16</td><td>106.67</td><td>-2.84</td><td>2.24</td><td>2.27</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>22368</td></tr><tr><td>25中行二级资本债03A(BC)</td><td>4.87</td><td>0.15</td><td>100.69</td><td>-3.36</td><td>2.07</td><td>2.10</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>145866</td></tr><tr><td>22工行二级资本债03B</td><td>6.54</td><td>0.15</td><td>106.49</td><td>-2.72</td><td>2.24</td><td>2.27</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>15961</td></tr><tr><td>25建行二级资本债03BC</td><td>4.83</td><td>0.15</td><td>100.78</td><td>-3.34</td><td>2.07</td><td>2.10</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>105645</td></tr><tr><td>25中行二级资本债02BC</td><td>4.80</td><td>0.15</td><td>100.42</td><td>-3.33</td><td>2.07</td><td>2.10</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>317878</td></tr><tr><td>25农行二级资本债04A(BC)</td><td>4.78</td><td>0.15</td><td>100.33</td><td>-3.32</td><td>2.07</td><td>2.10</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>252446</td></tr><tr><td>25农行二级资本债03A(BC)</td><td>4.61</td><td>0.14</td><td>100.53</td><td>-3.27</td><td>2.06</td><td>2.09</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>112415</td></tr><tr><td>25华夏银行永续债01</td><td>4.81</td><td>0.12</td><td>100.36</td><td>-2.64</td><td>2.24</td><td>2.27</td><td>AA+</td><td>AAA</td><td>股份行</td><td>35065</td></tr><tr><td>25平安银行永续债02BC</td><td>4.78</td><td>0.12</td><td>100.24</td><td>-2.66</td><td>2.27</td><td>2.29</td><td>AA+</td><td>AAA</td><td>股份行</td><td>165231</td></tr><tr><td>25杭州银行永续债02</td><td>4.80</td><td>0.12</td><td>100.36</td><td>-2.65</td><td>2.24</td><td>2.26</td><td>AA+</td><td>AAA</td><td>城商行</td><td>10005</td></tr><tr><td>25兴业银行永续债02BC</td><td>4.59</td><td>0.12</td><td>100.23</td><td>-2.73</td><td>2.18</td><td>2.21</td><td>AA+</td><td>AAA</td><td>股份行</td><td>18012</td></tr><tr><td>25工行永续债02BC</td><td>4.75</td><td>0.12</td><td>100.35</td><td>-2.63</td><td>2.13</td><td>2.16</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>81163</td></tr><tr><td>25光大银行永续债01</td><td>4.61</td><td>0.12</td><td>100.44</td><td>-2.72</td><td>2.19</td><td>2.21</td><td>AA+</td><td>AAA</td><td>股份行</td><td>31243</td></tr><tr><td>25农行永续债02BC</td><td>4.72</td><td>0.12</td><td>100.62</td><td>-2.65</td><td>2.13</td><td>2.16</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>15073</td></tr><tr><td>25中行永续债02BC</td><td>4.55</td><td>0.12</td><td>100.19</td><td>-2.71</td><td>2.12</td><td>2.14</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>34619</td></tr><tr><td>25江苏银行永续债01BC</td><td>4.18</td><td>0.11</td><td>99.80</td><td>-2.73</td><td>2.13</td><td>2.16</td><td>AA+</td><td>AAA</td><td>城商行</td><td>32894</td></tr><tr><td>25工行永续债01BC</td><td>4.26</td><td>0.11</td><td>99.64</td><td>-2.67</td><td>2.06</td><td>2.08</td><td>AAA-</td><td>AAA</td><td>国有行</td><td>63682</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杭州银行绿债01A</td><td>2.84</td><td>0.04</td><td>100.03</td><td>-1.59</td><td>1.77</td><td>1.78</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>40021</td></tr><tr><td>25华夏银行科创债01</td><td>4.33</td><td>0.04</td><td>99.96</td><td>-0.95</td><td>1.79</td><td>1.80</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>999</td></tr><tr><td>25湖州银行科创债01</td><td>4.37</td><td>0.04</td><td>99.93</td><td>-0.93</td><td>1.97</td><td>1.97</td><td>AA</td><td>AA+</td><td>城商行</td><td>10000</td></tr><tr><td>25宁波银行科创债01</td><td>4.41</td><td>0.04</td><td>99.57</td><td>-0.89</td><td>1.81</td><td>1.82</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>14930</td></tr><tr><td>25桂林银行科创债01</td><td>4.45</td><td>0.04</td><td>99.49</td><td>-0.88</td><td>1.97</td><td>1.98</td><td>AA</td><td>AAA</td><td>城商行</td><td>9957</td></tr><tr><td>25邮储银行科创债01</td><td>4.53</td><td>0.03</td><td>100.03</td><td>-0.80</td><td>1.81</td><td>1.82</td><td>AAA</td><td>AAA</td><td>国有行</td><td>5000</td></tr><tr><td>25平安银行科创债01BC</td><td>2.86</td><td>0.03</td><td>100.09</td><td>-1.21</td><td>1.82</td><td>1.83</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>72025</td></tr><tr><td>25威海银行小微债</td><td>2.87</td><td>0.03</td><td>99.94</td><td>-1.21</td><td>1.87</td><td>1.88</td><td>AA</td><td>AAA</td><td>城商行</td><td>1999</td></tr><tr><td>25徽商银行小微债</td><td>2.84</td><td>0.03</td><td>100.16</td><td>-1.23</td><td>1.81</td><td>1.82</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>19023</td></tr><tr><td>25浦发银行04</td><td>2.84</td><td>0.03</td><td>100.20</td><td>-1.21</td><td>1.81</td><td>1.82</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>125158</td></tr><tr><td>25浦发银行03</td><td>2.84</td><td>0.03</td><td>100.24</td><td>-1.23</td><td>1.76</td><td>1.77</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>26053</td></tr><tr><td>25兴业银行债01</td><td>2.81</td><td>0.03</td><td>100.22</td><td>-1.23</td><td>1.76</td><td>1.77</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>41076</td></tr><tr><td>25江西银行债01</td><td>2.84</td><td>0.03</td><td>100.08</td><td>-1.21</td><td>1.88</td><td>1.89</td><td>AA+</td><td>AAA</td><td>城商行</td><td>3001</td></tr><tr><td>25光大银行债03</td><td>2.75</td><td>0.03</td><td>100.12</td><td>-1.24</td><td>1.75</td><td>1.77</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>29029</td></tr><tr><td>25中信银行三农债01BC</td><td>2.80</td><td>0.03</td><td>100.20</td><td>-1.22</td><td>1.80</td><td>1.81</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>12018</td></tr><tr><td>25瑞丰农商行绿债02</td><td>2.77</td><td>0.03</td><td>99.99</td><td>-1.21</td><td>1.89</td><td>1.91</td><td>AA</td><td>AA+</td><td>农商行</td><td>1000</td></tr><tr><td>25桂林银行绿色债02</td><td>2.77</td><td>0.03</td><td>100.02</td><td>-1.21</td><td>1.89</td><td>1.91</td><td>AA</td><td>AAA</td><td>城商行</td><td>2000</td></tr><tr><td>25三峡银行绿色债01</td><td>2.78</td><td>0.03</td><td>100.09</td><td>-1.21</td><td>1.89</td><td>1.91</td><td>AA</td><td>AA+</td><td>城商行</td><td>10005</td></tr><tr><td>25中信百信银行小微债01</td><td>2.75</td><td>0.03</td><td>100.10</td><td>-1.21</td><td>1.94</td><td>1.95</td><td>AA</td><td>AAA</td><td>其他银行</td><td>14007</td></tr><tr><td>25厦门国际银行债02</td><td>2.73</td><td>0.03</td><td>100.07</td><td>-1.21</td><td>1.91</td><td>1.92</td><td>AA+</td><td>AAA</td><td>城商行</td><td>2001</td></tr><tr><td>25建行小微债01BC</td><td>2.63</td><td>0.03</td><td>100.30</td><td>-1.24</td><td>1.73</td><td>1.74</td><td>AAA</td><td>AAA</td><td>国有行</td><td>10025</td></tr><tr><td>25光大银行债02</td><td>2.41</td><td>0.03</td><td>99.91</td><td>-1.28</td><td>1.72</td><td>1.73</td><td>AAA-</td><td>AAA</td><td>股份行</td><td>12986</td></tr><tr><td>25九江银行绿色债</td><td>2.41</td><td>0.03</td><td>99.96</td><td>-1.29</td><td>1.85</td><td>1.87</td><td>AA</td><td>AAA</td><td>城商行</td><td>9993</td></tr><tr><td>25贵阳银行小微债01</td><td>2.59</td><td>0.03</td><td>100.02</td><td>-1.21</td><td>1.88</td><td>1.89</td><td>AA+</td><td>AAA</td><td>城商行</td><td>37998</td></tr><tr><td>25杭州银行03</td><td>2.58</td><td>0.03</td><td>100.28</td><td>-1.24</td><td>1.76</td><td>1.77</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>6015</td></tr><tr><td>25江苏银行债02BC</td><td>2.39</td><td>0.03</td><td>100.05</td><td>-1.27</td><td>1.74</td><td>1.75</td><td>AAA-</td><td>AAA</td><td>城商行</td><td>6001</td></tr><tr><td>25东莞银行债02</td><td>2.51</td><td>0.03</td><td>100.19</td><td>-1.21</td><td>1.77</td><td>1.78</td><td>AA+</td><td>AAA</td><td>城商行</td><td>8014</td></tr><tr><td>25贵阳银行科创债</td><td>4.78</td><td>0.03</td><td>99.70</td><td>-0.63</td><td>1.96</td><td>1.97</td><td>AA+</td><td>AAA</td><td>城商行</td><td>2990</td></tr><tr><td>25湖南银行科创债</td><td>4.80</td><td>0.03</td><td>99.98</td><td>-0.62</td><td>1.96</td><td>1.97</td><td>AA+</td><td>AAA</td><td>城商行</td><td>2000</td></tr><tr><td>25贵州银行绿色债02</td><td>2.60</td><td>0.03</td><td>100.93</td><td>-1.22</td><td>1.88</td><td>1.89</td><td>AA</td><td>AAA</td><td>城商行</td><td>4035</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>H2万科06</td><td>1.41</td><td>12.27</td><td>50.55</td><td>-1382.03</td><td>68.46</td><td>82.28</td><td>CC</td><td>AAA</td><td>房地产</td><td>1024</td></tr><tr><td>H2万科04</td><td>1.32</td><td>12.27</td><td>50.55</td><td>-1514.35</td><td>73.55</td><td>88.69</td><td>CC</td><td>AAA</td><td>房地产</td><td>663</td></tr><tr><td>H2万科02</td><td>1.06</td><td>12.27</td><td>50.55</td><td>-2129.04</td><td>96.76</td><td>118.05</td><td>CC</td><td>AAA</td><td>房地产</td><td>8</td></tr><tr><td>23产融04</td><td>0.03</td><td>0.19</td><td>99.78</td><td>-291.37</td><td>7.80</td><td>10.71</td><td>A</td><td>AA+</td><td>非银金融</td><td>568</td></tr><tr><td>PR钟山投</td><td>3.10</td><td>0.15</td><td>62.58</td><td>-11.71</td><td>5.07</td><td>5.19</td><td>A+</td><td></td><td>城投</td><td>1269</td></tr><tr><td>23产融08</td><td>0.59</td><td>-0.01</td><td>92.27</td><td>19.96</td><td>17.26</td><td>17.06</td><td>A</td><td>AA+</td><td>非银金融</td><td>1911</td></tr><tr><td>23产融10</td><td>0.75</td><td>-0.02</td><td>90.47</td><td>18.31</td><td>17.30</td><td>17.12</td><td>A</td><td>AA+</td><td>非银金融</td><td>452</td></tr><tr><td>23中航产融MTN001(科创票据)</td><td>0.78</td><td>-0.04</td><td>90.22</td><td>20.15</td><td>17.21</td><td>17.01</td><td>A</td><td>AA+</td><td>非银金融</td><td>12600</td></tr><tr><td>24产融05</td><td>1.09</td><td>-0.10</td><td>88.05</td><td>20.22</td><td>15.39</td><td>15.19</td><td>A</td><td>AA+</td><td>非银金融</td><td>242</td></tr><tr><td>23产融K1</td><td>2.46</td><td>-0.31</td><td>80.37</td><td>18.00</td><td>13.07</td><td>12.89</td><td>A</td><td>AA+</td><td>非银金融</td><td>976</td></tr><tr><td>23产融09</td><td>2.59</td><td>-0.33</td><td>79.69</td><td>17.71</td><td>13.12</td><td>12.94</td><td>A</td><td>AA+</td><td>非银金融</td><td>3332</td></tr><tr><td>23产融11</td><td>2.75</td><td>-0.34</td><td>78.73</td><td>17.38</td><td>12.97</td><td>12.80</td><td>A</td><td>AA+</td><td>非银金融</td><td>1085</td></tr><tr><td>23产融13</td><td>2.80</td><td>-0.35</td><td>78.39</td><td>17.29</td><td>12.99</td><td>12.81</td><td>A</td><td>AA+</td><td>非银金融</td><td>3987</td></tr><tr><td>24产融02</td><td>2.92</td><td>-0.36</td><td>76.92</td><td>17.06</td><td>13.03</td><td>12.85</td><td>A</td><td>AA+</td><td>非银金融</td><td>1072</td></tr><tr><td>24产融04</td><td>2.97</td><td>-0.36</td><td>76.48</td><td>16.97</td><td>13.04</td><td>12.87</td><td>A</td><td>AA+</td><td>非银金融</td><td>1364</td></tr><tr><td>24产融06</td><td>3.09</td><td>-0.37</td><td>75.33</td><td>16.85</td><td>12.97</td><td>12.81</td><td>A</td><td>AA+</td><td>非银金融</td><td>8</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。 客户应当考虑到国金证券存在可能影响本报告客观性的利益冲突，而不应视本报告为作出投资决策的唯一因素。证券研究报告是用于服务具备专业知识的投资者和投资顾问的专业产品，使用时必须经专业人士进行解读。国金证券建议获取报告人员应考虑本报告的任何意见或建议是否符合其特定状况，以及（若有必要）咨询独立投资顾问。报告本身、报告中的信息或所表达意见也不构成投资、法律、会计或税务的最终操作建议，国金证券不就报告中的内容对最终操作建议做出任何担保，在任何时候均不构成对任何人的个人推荐。 在法律允许的情况下，国金证券的关联机构可能会持有报告中涉及的公司所发行的证券并进行交易，并可能为这些公司正在提供或争取提供多种金融服务。 本报告并非意图发送、发布给在当地法律或监管规则下不允许向其发送、发布该研究报告的人员。国金证券并不因收件人收到本报告而视其为国金证券的客户。本报告对于收件人而言属高度机密，只有符合条件的收件人才能使用。根据《证券期货投资者适当性管理办法》，本报告仅供国金证券股份有限公司客户中风险评级高于C3级(含C3级）的投资者使用；本报告所包含的观点及建议并未考虑个别客户的特殊状况、目标或需要，不应被视为对特定客户关于特定证券或金融工具的建议或策略。对于本报告中提及的任何证券或金融工具，本报告的收件人须保持自身的独立判断。使用国金证券研究报告进行投资，遭受任何损失，国金证券不承担相关法律责任。 若国金证券以外的任何机构或个人发送本报告，则由该机构或个人为此发送行为承担全部责任。本报告不构成国金证券向发送本报告机构或个人的收件人提供投资建议，国金证券不为此承担任何责任。 此报告仅限于中国境内使用。国金证券版权所有，保留一切权利。 # 上海 电话：021-80234211 邮箱：researchsh@gjzq.com.cn 邮编：201204 地址：上海浦东新区芳甸路1088号紫竹国际大厦5楼 # 北京 电话：010-85950438 邮箱：researchbj@gjzq.com.cn 邮编：100005 地址：北京市东城区建内大街26号新闻大厦8层南侧 # 深圳 电话：0755-83831378 传真：0755-83830558 邮箱：researchsz@gjzq.com.cn 邮编：518000 地址：深圳市福田区金田路2028号皇岗商务中心18楼1806 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