請務必參閱正文后面的信息披露和法律聲明1/26 銀行l(wèi)理財投資行為是信用債市場的重要變量 36%24%12% 0%-12%-24% 36%24%12% 0%-12%-24%2023-112024-032024-07數(shù)據(jù)來源：聚源市級為主；隱含評級上，理財子大多下沉到AA(2)，非理財子則下沉到AA-。2023-112024-032024-07數(shù)據(jù)來源：聚源《新發(fā)按揭貸款利率或階段企穩(wěn)—行《新發(fā)按揭貸款利率或階段企穩(wěn)—行銀行資產(chǎn)質量觀察—行業(yè)深度報告》財配債節(jié)奏或偏平穩(wěn)。l資產(chǎn)端嚴監(jiān)管下，理財將迎再配置壓力l總結：理財欠配壓力短期緩解，信用債仍是基本盤l風險提示：經(jīng)濟增速不及預期；理財監(jiān)管趨嚴；理財子牌照發(fā)放收緊等。 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明2/261、理財投資行為是信用債市場的重要變量 41.1、市場總覽：2024Q2末理財持有信用債約13萬億元 41.2、配債偏好：凈值化轉型后，理財偏好3Y以內(nèi)中短債 51.3、策略變遷：業(yè)績基準仍較高，票息策略需搭配交易策略+品種下沉 71.3.1、城投債：區(qū)縣級占比最高，地市級次之 91.3.2、二永債：直投國股行3Y以內(nèi)，委外或有拉久期 2、負債端穩(wěn)定性，是理財配債行為的出發(fā)點 2.1、歷史復盤：信用利差&理財規(guī)模顯著反向變動 2.1.1、凈值化轉型+負債端不穩(wěn)定，理財經(jīng)歷多重考驗 2.1.2、高息存款整改后，理財重回信用債市場，信用利差快速收窄 2.2、后市展望：理財欠配壓力略緩解，贖回壓力或來自股市 2.2.1、理財增長放緩，“股債蹺蹺板”具有不確定性 2.2.2、信用債調(diào)整20BP→破凈率超5%→贖回壓力顯現(xiàn)，但安全墊或較充足 3、資產(chǎn)端嚴監(jiān)管下，理財將迎再配置壓力 3.1、品種分化：存款到期及信托整改，或提升中短債擁擠度 3.1.1、協(xié)議存款：2萬億元或集中到期+關注同業(yè)存款監(jiān)管變化 3.1.2、信托計劃：若整改落地，對長久期低評級債券影響較大 203.2、機構分化：中小銀行理財“退場”對低評級債券影響較大 214、總結：理財欠配壓力短期緩解，信用債仍是基本盤 225、風險提示 23附表：全市場理財前十大持倉掃描（分為穿透前、后） 24圖1：非法人產(chǎn)品（包含理財）為信用債的主要持有者（均截至2024-06末） 4圖2：截至2024-06末，理財共持有12.57萬億元信用債（不含公募基金中的信用債持倉占比為41.13% 4圖3：2019-2021年末，凈值化率顯著提升 5圖4：2021年末，非凈值型產(chǎn)品余額降至2萬億元 5圖5：除了現(xiàn)金管理類和封閉式產(chǎn)品外，其余產(chǎn)品均需使用市值法估值 6圖6：新發(fā)理財產(chǎn)品的平均業(yè)績比較基準（費后）總體下降，但仍為較高水平 7圖7：2024年初以來各評級信用債收益率均下行較多，高票息資產(chǎn)稀缺 8圖8：截至2024Q2末，理財前十大持倉中的城投債以區(qū)縣級占比最大（億元） 9圖9：截至2021年2月末，銀行間二級資本債的持有者中25%為銀行理財產(chǎn)品 圖10：2024Q2末理財前十大持倉中，二永債合計占2.1%（穿透前） 圖11：2024Q2末理財前十大持倉中，二永債合計占5.5%（穿透后） 圖12：隨著理財規(guī)模擴大，二永債信用利差通常收窄（右軸逆序） 圖13：理財前十大持倉中的銀行二永債行權剩余期限平均為2~3年（年） 圖14：理財?shù)讓有磐杏媱澩顿Y的二永債行權剩余期限或拉長至3~5年 圖15：2024年商業(yè)銀行二級資本債到期量較大 圖16：2024年國有行二級資本債發(fā)行5000億元（億元） 圖17：2024年商業(yè)銀行永續(xù)債面臨首批贖回期 圖18：2024年國有行永續(xù)債發(fā)行量約2500億元（億元） 請務必參閱正文后面的信息披露和法律聲明3/26圖19：2024年國有行二級資本債到期量較大的月份為3月、4月、8月、9月、11月（億元） 圖20：2024年國有行永續(xù)債到期量較大的月份為1月、7-9月、11月（億元） 圖21：負債端穩(wěn)定性將直接影響理財?shù)耐秱呗?圖22：隨著理財規(guī)模擴大，信用利差通常收窄（右軸逆序） 圖23：2024-04-08“手工補息”被禁止后R007與DR007利差持續(xù)收窄 圖24：3YAA中短票據(jù)-3Y國開債的信用利差在2024年7月收斂至歷史最低分位數(shù) 圖25：2024年10月第三周理財規(guī)模正緩慢恢復中（萬億元） 圖26：存款掛牌利率下調(diào)（圖中黃色為下調(diào)時點）對理財規(guī)模提升效果短期不明顯 圖27：通過觀察“信用債收益率上行→理財破凈率上升→理財規(guī)模下降”傳導鏈條，預判理財贖回壓力 圖28：2024Q2末全市場理財產(chǎn)品前十大持倉中，信托計劃占比仍較高 圖29：截至2023年末組合類保險資管產(chǎn)品的資金來源中，理財資金共4.36萬億元 圖30：3年期協(xié)議存款與1年期同業(yè)存款的利差可達100BP以上 20圖31：部分理財通過信托計劃平滑凈值、增厚收益等 20圖32：截至2024年6月末，非理財子的理財規(guī)模為4.19萬億元，市場份額為14.71%（左軸單位：萬億元） 21表1：監(jiān)管對于理財?shù)膫顿Y限制主要為流動性資產(chǎn)比例、現(xiàn)金管理類產(chǎn)品投向等 5表2：全市場理財前十大持倉中，金融債行權剩余期限平均為3年以內(nèi)，非金融債的信用債平均為2年以內(nèi) 7表3：全市場理財前十大持倉中，金融債多數(shù)為AAA-及以上，信用債多數(shù)為AA(2)及以上 8表4：理財前十大持倉來看，非理財子在城投債投資上更為下沉，隱含評級AA-占比明顯高于理財子 9表5：理財前十大持倉來看，非理財子在二永債上更為下沉，銀行評級AA及AA-占比明顯高于理財子 表6：2024-10-18六大國有行和招商銀行新一輪下調(diào)了存款掛牌利率 表7：理財前十大持倉來看，非理財子的金融債和信用債持倉更為下沉 21表8：理財前十大持倉來看，非理財子的金融債和信用債剩余期限（行權剩余期限）差異不大 22表9：2024Q3末，理財?shù)讓拥幕鹫急容^2024Q2末顯著下降（統(tǒng)計截至2024-11-04披露） 23附表：全市場理財前十大持倉中，資管產(chǎn)品占比仍較大（分為穿透前、穿透后） 24 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明4/26數(shù)據(jù)來源：Wind、中債登、開源證券研究所（注：上清所債券的“其他”指政策性銀行+基金公司+其他金融機構+非金融機構法人+ 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明5/26“資管新規(guī)”出臺后，監(jiān)管主要對現(xiàn)金管理類產(chǎn)品的投向做出了較多限制（久期、例 例金管理類理財產(chǎn)品管理有關），例年末至2021年末（資管新規(guī)過渡期至2021年末2019年末-2021年末，理財凈值化率從43%顯著上升至93%，非凈值型產(chǎn)品余額從13萬92.97%97.61%43.29%83.80%43.29%83.80%——全市場凈值化率——其中：銀行機構凈值化率0.830.682.041.661.430.830.682.041.661.433.765.418.468.4613.2713.2750 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明6/26券估值的細則，目前除了現(xiàn)金管理類和封閉式產(chǎn)品中持有到期的債券可使用攤余成分產(chǎn)品可通過期限錯配、信用下沉增厚收益，但為了控制凈值波動和應對不穩(wěn)定的負債端，理財投資經(jīng)理通常偏好中短債、謹慎 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明7/26表2：全市場理財前十大持倉中，金融債行權剩余期限平均為3年以內(nèi)，非金融債的信用債平均為2年以內(nèi)行權剩余期限（平均，年）全市場理財現(xiàn)金管理類固定收益類2020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-06地方政府債政金債利率債2.853.552.253.842.571.802.853.552.253.842.571.802.853.571.953.842.841.802.853.571.953.842.841商業(yè)銀行銀行二級銀行永續(xù)銀行TLAC銀行普通銀行專項證券公司保險公司其它金融機構金融債(不含政金債)2.812.812.742.852.112.062.183.27 2.723.482.092.322.441.73 1.733.112.782.342.031.60 2.543.082.712.041.982.020.380.382.750.450.270.870.520.420.330.28 2.161.340.470.310.320.29 2.511.640.800.420.340.28 2.813.312.882.122.072.19 2.372.812.622.07 4.183.81 2.262.402.181.65 2.763.562.412.252.271.69 1.703.202.912.402.071.65 2.553.122.752.072.022.08政府支持機構債國際機構債一般企業(yè)債一般公司債私募債債務融資工具超短期融資券(SCP)短期融資券(CP)中期票據(jù)(MTN)定向工具(PPN)項目收益票據(jù)(PRN)資產(chǎn)支持票據(jù)(ABN)標準化票據(jù)(SDN)ABS信用債(不含金融債)2.152.154.154.073.523.493.89 3.563.102.852.262.102.00 1.662.852.743.924.535.282.154.304.252.154.304.253.523.903.89 3.573.132.872.272.122.01 1.662.972.894.134.805.602.300.402.300.400.480.320.290.380.540.340.350.400.330.280.280.300.260.22 0.420.370.530.420.370.530.380.510.310.460.26其中：城投債1.811.561.491.331.811.561.491.331.401.451.541.241.541.240.420.440.340.231.821.821.561.501.341.411.45投資者，若下降較多容易對銷售產(chǎn)生不利影響，因此其下降勢必是多方博弈、循序漸進的過程，投資經(jīng)理的業(yè)績壓力仍然較大。隨著高票息資產(chǎn)獲取難度加大，波段交易和品種下沉是可選項：一方面在債牛行情中加大波段交易，獲取資本利得；另一方面適度品種下沉，安全性高+品種溢價的城投債和二永債受到理財?shù)年P注。3.963.05 2.88 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明8/26中債中短期票據(jù)到期收益率(AA):3年%中債中短期票據(jù)到期收益率(AA-):3年%中債城投債到期收益率(AA(2)):3年%3.532.572.392.26表3：全市場理財前十大持倉中，金融債多數(shù)為AAA-及以上，信用債多數(shù)為AA(2)及以上級金融債(不含政金債)信用債(不含金融債)其中：城投債2021-122022-122023-122024-032024-062021-122022-122023-122024-032024-062021-122022-122023-122024-062024-032024-060.00%0.00%0.00%0.00%0.00%0.80%0.74%0.17%0.34%0.19%0.19%2.97%0.53%0.05%2.74%0.39%0.12%3.09%0.53%0.10%2.65%0.42%0.05%2.74%0.39%0.12%3.09%0.53%0.10%2.65%0.42% 25.38% % ..7.15% .54%6.16%5.69%6.58%5.96%5.87%5.05% 36.56% 36.55% 34.32% 33.36% 8.21%AAAA(2)AA-7%% 20.43%27.11%27.11%20.110.90%10.13%10.92%10.67%7.64%8.43%8.53%.82%96.36%7.64%8.43%8.53%.82%9 0.00%3.02% 0.00%3.48% 0.00%3.02% 0.00%3.48% 0.00%3.54% 0.00%4.88% 24.97% 23.96% 26.89% 26.89% 39.78% 42.93%2.48% 3% 3% 22.00%33.11%31.43%31.55%50.57%49.75%49.22%7.17%7.39%7.88%9.39%9.83%10.39%0.71%0.68%0.75%0.82%1.07%0.97%0.67%0.14%0.11%0.15%0.98%0.59%0.12%0.10%0.09%A0.05%0.00%0.03%0.00%0.07%0.05%0.00%0.03%0.00%0.07%0.00%0.08%0.00%0.36%0.03%0.12%0.01%0.05%0.36%0.03%0.12%0.01%0.05%0.01%0.04%0.01%0.39%0.00%0.09%0.00%0.07%0.39%0.00%0.09%0.00%0.07%0.00%0.07%0.00%BBB+BBBBBB+B0.00%0.00%0.00%0.00%0.00%0.01%0.00%0.00%0.00%0.00%0.00%0.00%0.01%0.00%0.00%0.00%0.00%0.01%0.00%0.00%0.00%0.00%0.02%0.00%0.00%0.00%0.00%0.02%0.06%0.03%0.00%0.03%0.00%0.01%0.02%0.06%0.03%0.00%0.03%0.00%0.01%0.01%0.00%0.00%0.00%0.03%0.00%0.00%0.00%0.00%0.02%0.00%0.00%0.00%0.00%0.08%0.00%0.00%0.00%0.00%0.00%0.00%0.08%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%CCCCCC0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.06%0.39%1.05%0.00%0.25%0.62%0.00%0.15%0.06%0.39%1.05%0.00%0.25%0.62%0.00%0.15%0.21%0.00%0.19%0.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%未評級0.07%0.11%0.01%0.21%0.26%2.89%0.34%0.40%0.14%0.22%3.57%0.01%0.01%0.00%0.00%合計100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%數(shù)據(jù)來源：普益標準、Wind、開源證券研究所券隱含評級未公開，默認為AAA；2024-06持倉包含截至2024-08-04披露2024Q2投資報告的理財產(chǎn)品） 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明9/26沉到區(qū)縣級的比例較大，其余多數(shù)省份基本僅下沉到地市級。隱含評級上，理財子地市級,地市級,42.09%42.09%2020-122021-122022-122023-122024-032024-062020-122021-122022-122020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-06城投債隱含評級非理財子理財子AAA+AAAAAA-0.00%3.05%0.12%0.24%2.93%0.48%0.53%5.82%0.93%0.02%3.45%0.55%0.02%4.07%0.75%0.00%3.52%0.57%0.07%2.17%0.35%0.12%3.02%0.61%0.29%1.72%0.44%0.13%1.19%0.03%0.32%1.11%0.07%0.30%0.90%0.14%AA+AAAA(2)AA-18.23% 39.13% 23.92%5.50%31.06%14.99%32.41%30.40%30.32%30.83%23.98%30.07%19.32%21.34%34.83%23.47%7.17%17.41%5.81%18.05%6.38%6.12%16.02%17.59%43.51%41.98%51.53%49.46%49.67%44.40%48.47%50.32%48.33%6.39%3.23%1.96%2.22%2.49%26.95%25.68%25.26%26.27%A+AA-0.48%0.12%0.00%0.25%0.09%0.00%0.09%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%1.96%0.69%0.12%1.94%0.79%0.00%1.39%0.22%0.00%0.38%0.23%0.00%0.29%0.22%0.00%0.28%0.07%0.00%BBB+BBBBBB+B0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.06%0.06%0.02%0.00%0.00%0.00%0.19%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%CCCCCC0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%未評級9.45%4.14%0.00%0.00%0.00%0.00%9.67%2.81%0.02%0.03%0.01%0.00%合計100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00% 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明10/26投資高流動性二永債，成為理財控制波動的方法之一。在信用債和非標供給不城市商業(yè)銀行城市商業(yè)銀行,3%支行,24%新規(guī)過渡期結束后，現(xiàn)金管理類產(chǎn)品已無法新增二永債，其余類型產(chǎn)品均可繼續(xù)投圖10：2024Q2末理財前十大持倉中，二永債合計占3.1%2.0%4.6%1.7%1.4%1.3%0.8%1.2%0.8%1.3%0.7%2.7%3.1%2.0%4.6%1.7%1.4%1.3%0.8%1.2%0.8%1.3%0.7%2.7%2020-122021-122022十大持倉中該類資產(chǎn)總規(guī)?！氯袌隼碡斍笆蟪謧}總規(guī)模，圖11：2024Q2末理財前十大持倉中，二永債合計占3.9%4.7%3.9%4.7%2.8%4.6%4.6%3.9%1.8%4.4%4.8%3.9%1.6%1.5%請務必參閱正文后面的信息披露和法律聲明11/26管政策出臺，理財投資協(xié)議存款和信托計劃相對收緊，疊加“手工補息”叫停后存款資產(chǎn)獲取難度增加，理財欠配壓力在Q2-Q3集前十大持倉中持有的銀行二永債，發(fā)現(xiàn)隱含評級多在AA2.312.082.312.082020-122021-122022-122023-122024-03——銀行二級——銀行永續(xù)可通過信托等資管產(chǎn)品拉久期、信用下沉增厚收益。由于多數(shù)產(chǎn)品并未披露資管產(chǎn)品底層持倉，因此通過拆解底層99%以上均為信托計劃的理財穿透后前十持倉（個別理財子會同時披露）。以某理財子某定開產(chǎn)品為例，截至請務必參閱正文后面的信息披露和法律聲明12/26為銀行二級資本債，其中5只行權剩余期限為3~5年，隱含評級多在AA+以上。某理財子開放式產(chǎn)品第16期（1年定開）穿透前前十持倉穿透后前十持倉（信托計劃的底層）2.37行權剩余期限（年）2.37行權剩余期限（年）資產(chǎn)規(guī)模（萬元）中債隱含評級 序號資產(chǎn)名稱資產(chǎn)類別華潤信托·潤日昇昌12號集合2024-06資金信托計劃,3.51%4.80%二級資本債4.34%二級資本債4.13%證券公司債4.12%二級資本債3.82%二級資本債3.52%二級資本債3.36%華潤信托·潤日昇昌12號集合2024-06資金信托計劃,3.51%4.80%二級資本債4.34%二級資本債4.13%證券公司債4.12%二級資本債3.82%二級資本債3.52%二級資本債3.36%二級資本債3.33%二級資本債2.91%二級資本債2.90%二級資本債AA848.19766.81729.52727.40674.63621.98594.75588.54514.93512.782.402.11華潤信托潤日昇昌1號集合資金信托計劃,30.58%3.08420工商銀行二級01520建設銀行二級620浦發(fā)銀行二級華潤信托潤日昇昌1號集合資金信托計劃,30.58%3.08722杭聯(lián)農(nóng)商行二級資本債02華潤信托潤日昇昌5號集合資金信托計劃,65.90%821建設銀行二級01920中國銀行二級0110華潤信托潤日昇昌5號集合資金信托計劃,65.90%2.61合計2.61合計6579.5337.23%資產(chǎn)規(guī)模（萬元）行權剩余期限（年）中債隱含評級 序號資產(chǎn)名稱資產(chǎn)類別華潤信托·潤日昇昌12號集合資金信托計劃,3.44%1華潤信托·潤日昇昌12號集合資金信托計劃,3.44%121平安銀行二級AA3.39857.464.89%二級資本債846.454.83%二級資本債667.843.81%二級資本債599.103.42%二級資本債588.193.36%證券公司債479.672.74%二級資本債475.452.71%二級資本債475.352.71%二級資本債857.464.89%二級資本債846.454.83%二級資本債667.843.81%二級資本債599.103.42%二級資本債588.193.36%證券公司債479.672.74%二級資本債475.452.71%二級資本債475.352.71%二級資本債473.642.70%二級資本債6418.0736.62%3.482024-033.612.654.16622國海024.16華潤信托潤日異昌1號集合資金信托計劃,40.18%3.33華潤信托潤日異昌5號集合資金信托計劃,56.37%2.361021建設銀行二級01華潤信托潤日異昌1號集合資金信托計劃,40.18%3.33華潤信托潤日異昌5號集合資金信托計劃,56.37%2.361021建設銀行二級01合計資產(chǎn)名稱資產(chǎn)規(guī)模（萬元）資產(chǎn)類別行權剩余期限（年）中債隱含評級23鹽城投控03,24.22%序號資產(chǎn)名稱資產(chǎn)規(guī)模（萬元）資產(chǎn)類別行權剩余期限（年）中債隱含評級23鹽城投控03,24.22%序號23鹽城投控01,9.05%ABN買入返售ABSABS證券公司債大額存單大額存單大額存單大額存單23鹽城投控01,9.05%ABN買入返售ABSABS證券公司債大額存單大額存單大額存單大額存單大額存單AA5.89%5.75%3.06%2.74%2.70%2.62%2.62%2.60%2.59%2.58%33.15%0.671,534.261,495.91795.97713.42703.18681.74681.70676.09674.87672.148629.27華潤信托潤日異昌12號集合資金信托計劃,5.47%--AA0.080.16--AA0.080.161.540.300.300.640.720.892023-123中企優(yōu)A2023-124PR創(chuàng)優(yōu)522國海02華潤信托潤日異昌5號集合資金信托計劃,55.83%華潤信托潤日異昌1號集合資金信托計劃,5.37%623浦發(fā)銀行CD201723浦發(fā)銀行CD081823建設銀行CD204923光大銀行CD207華潤信托潤日異昌5號集合資金信托計劃,55.83%華潤信托潤日異昌1號集合資金信托計劃,5.37% 合計非理財子在二永債上更為下沉。地方性銀行之間通過理財“互持”二永債的現(xiàn)隱含評級理財子·二永債非理財子·二永債2020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-06AAA0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00% 55.49% 52.32% 74.08% 55.49% 52.32%0.00%0.00%52.76%0.00% 0.00% 48.34%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%49.43%22.26.31.0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%49.43%22.26.31.99%46%50.60%24.08%AAAA(2) 24.12%0.94%0.00%0.86%l5.61%0.00%0.10%l5.78%0.00%0.23%5.81%0.00%0.44%7.29%0.00%l5.61%0.00%0.10%l5.78%0.00%0.23%5.81%0.00%0.44%7.29%0.00%1.48% 38. 40. 41. 42.69%56%76%50% 33.99%8.63% 0.00%6.13% 31.76%9.14% 0.00%6.50% 26.85% 24.09%0.00% 19.20% 28.66%0.00% 19.89% 26.69%0.00%38% 22.08%38%22.22.0.00% .21% 24. .29% .88%AA-0.00%0.00%0.00%0.21%0.00%0.00%0.00%0.00%0.00%0.21%0.00%0.00%0.05%0.00%0.00%0.12%0.00%0.00%0.11%0.00%0.00%0.05%0.00%4.51%0.17%0.00%0.11%0.05%0.00%4.51%0.17%0.00%0.11%0.00%5.46%0.30%0.00%5.23%0.26%0.00%BBB+BBBBBB+B0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.11%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.11%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.11%0.00%0.00%0.00%0.00%0.05%0.00%0.00%0.00%0.00%0.15%0.00%0.00%0.00%0.00%CCCCCC0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%未評級0.00%0.04%0.06%0.00%0.11%0.13%0.00%0.00%0.00%0.00%0.00%0.00%合計100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00% 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明13/26永債到期量較大，凈融資額基本保持平穩(wěn)，總體二永 2019202020212022202數(shù)據(jù)來源：Wind、開源證券研究所（注：2024年數(shù)據(jù)截至00 201920202021202220232024總發(fā)行量(億元)95095085050030030000201920202021202220232006500650300080080085075060040004000 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明14/26負債端穩(wěn)定性將直接影響理財配債行為。理財負債端主要是個人投資者和實體企業(yè)投資者，流動性要求高、風險偏好較低，相較于有較多機構投資者的公募基金來說，理財負債端更加不穩(wěn)定，理財投資者多為存款客戶轉化而來，負債期限主要券倉位降幅有限；2022年底債市“負反饋”出現(xiàn)，理財5023.5015.7723.5015.7710.2422.0425.8625.8025.3423.4026.8012.55%1.69%28.5229.5429.0529.1529.0028.3727.9527.65全市場理財產(chǎn)品存續(xù)規(guī)模（萬億元）——yoy（右軸）歷史行情來看，信用利差通常與理財規(guī)模呈反向變動。我們擬合理財規(guī)模和信 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明15/262024年中非銀“錢多”及季末回表時點，——理財存續(xù)規(guī)模（萬億元）——信用利差BP（右軸，右軸逆序）臨近資管新規(guī)過渡期末+估0平均數(shù)變頻為月度，2024-10截至2014-10-21；2024-10理財規(guī)模——R007%DR007%——利差BP（右軸）0央行提示長端利率風險并進行壓力測試，利率債利率快速上行。但隨著偏弱的金融 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明16/26利差處于歷史最低分位數(shù)，但在央行回籠流動性和季末流動性管理的影響下，基金0——信用利差（BP）——自2019-01-02以來歷史分位數(shù)（右軸）前的水平。我們認為后續(xù)股市資金能否繼續(xù)回流至理財具有一定不確定性，需關注29.9028.9629.3029.38 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明17/26有行和招行開啟新一輪存款掛牌利率下調(diào)，其中活期存款利率下調(diào)5BP，其余期限部分定期存款尚未自然到期，流入理財是一個循序漸進的過程。期定-25-25-25-25-25-25-25-40-25-25-25-25-25-25-25-40-25-25-25-25-25-25-25-40-25-25-25-25-25-25-25-40-25-25-25-25-25-25-25-40-25-26-28-25-25-25-25-40-25-25-25-25-25-25-25-40數(shù)據(jù)來源：普益標準、銀行官網(wǎng)、開源證券研究所（如何預判理財負債端的贖回壓力？“破凈率”可作為重要的觀察指標。理財投數(shù)量比例）成為預判理財負債端贖回壓力的重要指標。信用債是理財資產(chǎn)端的基本盤，我們可通過觀察“信用債收益率上行→理財破凈率上升→理財規(guī)模下降”的傳導鏈條，來預判理財負債端的贖回壓力，進而預估理財贖回基金的情況、信用債何 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明18/26潮（彼時信用債調(diào)整10BP對應破凈率上升約2.5低波資產(chǎn)比例顯著提升，且使用信托盈余進行回補，破凈率得以及時“踩剎車”。率上升至3%~5%時，或有少數(shù)理財產(chǎn)品規(guī)模下降，但全市場理財規(guī)模仍但由于盈余“安全墊”或較為充足，可較好抵御債市小幅調(diào)整。理財前期有較模仍然較大，且目前整改細節(jié)尚未落地，我們判斷“安全墊”仍然較厚，能夠較好低于債市波動。因此短期內(nèi)的債市波動并不構成理 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明19/26全市場理財前十持倉貨幣市場類穿透前占比11.9%2021-1210.1%13.1% 2023-126.2% 2024-036.1% 2024-066.7%固定收益類54.3%54.3%45.4%45.4%37.8%37.8%34.7%34.7%32.632.6%35.3%35.3%公募基金1.3%1.6%1.1%0.6%0.7%0.9%組合類保險資管產(chǎn)品5.8%7.3% 2.9% 信托計劃保險資管計劃基金資管計劃券商資管計劃期貨資管計劃0.1%4.6% .14.3%. .07%6.4%7.1%4.9%7.2%09%0.9%4.0%7.0%17%私募基金資管產(chǎn)品.....0.6%0.2%0.0%0.0%0.0%0.0%......0.6%0.2%0.0%0.0%0.0%0.0%60.2%60.2%56.8% 42.0% 58.2% 47.2%31.7%權益類0.4%0.6%0.5%0.2%0.2%0.3%金融衍生品類0.0%0.0%0.0%0.0%0.0%0.0%QDII0.4%0.3%0.2%0.1%0.1%0.1%合計100.0%100.0%100.0%100.0%100.0%100.0%市場理財前十大持倉總規(guī)模，2024-04截至2024-08-04披露2024Q2投資報告的理財產(chǎn)品）4.364.362.460.84其他資金理財資金（銀行及理財子）第三方保險資金系統(tǒng)內(nèi)保險資金議存款的意愿顯著下降，2026年初存量到期后，理財若續(xù)作存款或僅可 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明20/26信托存量整改尚處于觀望，需關注后續(xù)整改對于長久期“平滑專戶”幫助理財產(chǎn)品管理凈值。但由于“資管新規(guī)”明確理財產(chǎn)品需“三單監(jiān)管局向轄內(nèi)信托公司發(fā)布《關于進一步加強信托公司與理財公司合作業(yè)務合規(guī)管托仍處于觀望狀態(tài)，短期內(nèi)對信托底層長久期、低評級的債券影響有限，但需關注落地時間表及整改力度，2024Q2末前十大持倉中信托占比約24%，若以此模擬 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明21/26債比例也明顯高于理財子，未來或將較多受到中小銀行理財“退場”的影響。而在5096.58%96.58%其中：銀行機構銀行機構占比（右軸）74.21%61.20%51.02%40.72%34.34% 10.0119.57%18.45%16.15%14.71%:39.13%2019-122020-122021-062021-092021-122022-032022-0620理財子非理財子隱含評級金融債(不含政金債)信用債(不含金融債)金融債(不含政金債)信用債(不含金融債)2021-122022-122023-122024-032024-062021-122022-122023-122024-03024-062021-122022-122023-122024-032024-062021-122022-122023-122024-032024-060.00%0.00%0.00%0.00%0.00%0.59%0.80%0.13%0.35%0.13%7.27%6.63%0.00% 0.00%0.00%0.00%0.00% 2.34%23.78%2.10%2.34%23.78%2.10%26.80% 30.62% 25.86% 0.63%l4.32%2.11%0.31%2.52%1.51%0.34%0.31%2.52%1.51%0.34%2.31%1.06%2.87% 27.97%36.12%36.12% 29.68%38.62%38.62% 28.28%36.13%36.13% 30.61% 34.64% 34.13%29.93%.24%.86%% .92% 37.02%6.26% 30.57%l4.62%0.00%0.54% 26.45%l4.49%0.00% 30.57%l4.62%0.00%0.54% 26.45%l4.49%0.00%0.52% 29.87%5.16%0.00%0.49% 28.79%5.11%0.00%0.68%0.00% %26.83%26.08% 22.37%29.06%29.06% 23.94%28.96% 24.02%29.90%29.90% 23.91%8.20% 0.00%l4.69% 87% 27.19% 87% 23.86%0.00% 0% 20.99%81%42%22.22. 25.97% 20.99%81%42%22.22. 0.00%0.00%23% 23% .76%.15% 0.40%..22.19%..24.76%24.76% 27.57%0.00% 20.94%22.422.431.62%23.3 23.37%4.56% 20.56%2.21%31.44%2.00%28.63%29.50%27% 20.06%27%37.73%38.89%36.74%2.21%2.30%0.14%0.00%0.00%0.10%0.02%0.00%0.08%0.14%0.00%0.00%0.10%0.02%0.00%0.08%0.00%0.00%0.09%0.00%0.00%0.44%0.23%0.00%0.31%0.11%0.00%0.03%0.00%0.44%0.23%0.00%0.31%0.11%0.00%0.03%0.00%0.01%0.02%0.00%0.01%3.70%0.13%0.00%0.09%0.00%4.67%0.48%3.70%0.13%0.00%0.09%0.00%4.67%0.48%0.00%4.57%0.43%0.00%0.53%0.07%0.44%0.18%0.00%0.33%0.16%0.00%0.46%0.05%0.00%0.53%0.07%0.44%0.18%0.00%0.33%0.16%0.00%0.46%0.05%0.00%BBB+BBBBBB+B0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.02%0.00%0.03%0.00%0.00%0.00%0.00%0.02%0.00%0.02%0.00%0.03%0.00%0.00%0.00%0.00%0.02%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.09%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.09%0.00%0.00%0.00%0.00%0.04%0.00%0.00%0.00%0.00%0.13%0.00%0.00%0.00%0.00%0.02%0.14%0.04%0.00%0.08%0.00%0.05%0.00%0.00%0.02%0.14%0.04%0.00%0.08%0.00%0.05%0.00%0.00%0.00%0.00%0.09%0.00%0.00%0.00%0.01%0.06%0.00%0.00%0.00%CCCCCC0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.30%0.18%0.00%0.01%0.01%0.00%0.00%0.30%0.18%0.00%0.01%0.01%0.00%0.01%0.01%0.00%0.00%0.01%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.16%0.52%2.28%0.00%0.54%0.75%0.00%0.68%0.85%0.00%0.79%0.16%0.52%2.28%0.00%0.54%0.75%0.00%0.68%0.85%0.00%0.79%0.98%未評級0.03%0.12%0.00%0.07%0.13%3.17%0.23%0.34%0.11%0.21%0.12%0.07%0.08%0.87%0.69%l2.51%0.58%0.57%0.23%0.24%合計100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00% 行業(yè)深度報告請務必參閱正文后面的信息披露和法律聲明22/26行權剩余期限（平均，年）理財子非理財子2020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-06地方政府債政金債利率債--------4.064.064.062.152.152.362.363.503.50