理财持仓全景扫描系列（五）：理财的配债思路与赎回压力再评估

请务必参阅正文后面的信息披露和法律声明1/26 银行l理财投资行为是信用债市场的重要变量 36%24%12% 0%-12%-24% 36%24%12% 0%-12%-24%2023-112024-032024-07数据来源：聚源市级为主；隐含评级上，理财子大多下沉到AA(2)，非理财子则下沉到AA-。2023-112024-032024-07数据来源：聚源《新发按揭贷款利率或阶段企稳—行《新发按揭贷款利率或阶段企稳—行银行资产质量观察—行业深度报告》财配债节奏或偏平稳。l资产端严监管下，理财将迎再配置压力l总结：理财欠配压力短期缓解，信用债仍是基本盘l风险提示：经济增速不及预期；理财监管趋严；理财子牌照发放收紧等。 行业深度报告请务必参阅正文后面的信息披露和法律声明2/261、理财投资行为是信用债市场的重要变量 41.1、市场总览：2024Q2末理财持有信用债约13万亿元 41.2、配债偏好：净值化转型后，理财偏好3Y以内中短债 51.3、策略变迁：业绩基准仍较高，票息策略需搭配交易策略+品种下沉 71.3.1、城投债：区县级占比最高，地市级次之 91.3.2、二永债：直投国股行3Y以内，委外或有拉久期 2、负债端稳定性，是理财配债行为的出发点 2.1、历史复盘：信用利差&理财规模显著反向变动 2.1.1、净值化转型+负债端不稳定，理财经历多重考验 2.1.2、高息存款整改后，理财重回信用债市场，信用利差快速收窄 2.2、后市展望：理财欠配压力略缓解，赎回压力或来自股市 2.2.1、理财增长放缓，“股债跷跷板”具有不确定性 2.2.2、信用债调整20BP→破净率超5%→赎回压力显现，但安全垫或较充足 3、资产端严监管下，理财将迎再配置压力 3.1、品种分化：存款到期及信托整改，或提升中短债拥挤度 3.1.1、协议存款：2万亿元或集中到期+关注同业存款监管变化 3.1.2、信托计划：若整改落地，对长久期低评级债券影响较大 203.2、机构分化：中小银行理财“退场”对低评级债券影响较大 214、总结：理财欠配压力短期缓解，信用债仍是基本盘 225、风险提示 23附表：全市场理财前十大持仓扫描（分为穿透前、后） 24图1：非法人产品（包含理财）为信用债的主要持有者（均截至2024-06末） 4图2：截至2024-06末，理财共持有12.57万亿元信用债（不含公募基金中的信用债持仓占比为41.13% 4图3：2019-2021年末，净值化率显著提升 5图4：2021年末，非净值型产品余额降至2万亿元 5图5：除了现金管理类和封闭式产品外，其余产品均需使用市值法估值 6图6：新发理财产品的平均业绩比较基准（费后）总体下降，但仍为较高水平 7图7：2024年初以来各评级信用债收益率均下行较多，高票息资产稀缺 8图8：截至2024Q2末，理财前十大持仓中的城投债以区县级占比最大（亿元） 9图9：截至2021年2月末，银行间二级资本债的持有者中25%为银行理财产品 图10：2024Q2末理财前十大持仓中，二永债合计占2.1%（穿透前） 图11：2024Q2末理财前十大持仓中，二永债合计占5.5%（穿透后） 图12：随着理财规模扩大，二永债信用利差通常收窄（右轴逆序） 图13：理财前十大持仓中的银行二永债行权剩余期限平均为2~3年（年） 图14：理财底层信托计划投资的二永债行权剩余期限或拉长至3~5年 图15：2024年商业银行二级资本债到期量较大 图16：2024年国有行二级资本债发行5000亿元（亿元） 图17：2024年商业银行永续债面临首批赎回期 图18：2024年国有行永续债发行量约2500亿元（亿元） 请务必参阅正文后面的信息披露和法律声明3/26图19：2024年国有行二级资本债到期量较大的月份为3月、4月、8月、9月、11月（亿元） 图20：2024年国有行永续债到期量较大的月份为1月、7-9月、11月（亿元） 图21：负债端稳定性将直接影响理财的投债策略 图22：随着理财规模扩大，信用利差通常收窄（右轴逆序） 图23：2024-04-08“手工补息”被禁止后R007与DR007利差持续收窄 图24：3YAA中短票据-3Y国开债的信用利差在2024年7月收敛至历史最低分位数 图25：2024年10月第三周理财规模正缓慢恢复中（万亿元） 图26：存款挂牌利率下调（图中黄色为下调时点）对理财规模提升效果短期不明显 图27：通过观察“信用债收益率上行→理财破净率上升→理财规模下降”传导链条，预判理财赎回压力 图28：2024Q2末全市场理财产品前十大持仓中，信托计划占比仍较高 图29：截至2023年末组合类保险资管产品的资金来源中，理财资金共4.36万亿元 图30：3年期协议存款与1年期同业存款的利差可达100BP以上 20图31：部分理财通过信托计划平滑净值、增厚收益等 20图32：截至2024年6月末，非理财子的理财规模为4.19万亿元，市场份额为14.71%（左轴单位：万亿元） 21表1：监管对于理财的债券投资限制主要为流动性资产比例、现金管理类产品投向等 5表2：全市场理财前十大持仓中，金融债行权剩余期限平均为3年以内，非金融债的信用债平均为2年以内 7表3：全市场理财前十大持仓中，金融债多数为AAA-及以上，信用债多数为AA(2)及以上 8表4：理财前十大持仓来看，非理财子在城投债投资上更为下沉，隐含评级AA-占比明显高于理财子 9表5：理财前十大持仓来看，非理财子在二永债上更为下沉，银行评级AA及AA-占比明显高于理财子 表6：2024-10-18六大国有行和招商银行新一轮下调了存款挂牌利率 表7：理财前十大持仓来看，非理财子的金融债和信用债持仓更为下沉 21表8：理财前十大持仓来看，非理财子的金融债和信用债剩余期限（行权剩余期限）差异不大 22表9：2024Q3末，理财底层的基金占比较2024Q2末显著下降（统计截至2024-11-04披露） 23附表：全市场理财前十大持仓中，资管产品占比仍较大（分为穿透前、穿透后） 24 行业深度报告请务必参阅正文后面的信息披露和法律声明4/26数据来源：Wind、中债登、开源证券研究所（注：上清所债券的“其他”指政策性银行+基金公司+其他金融机构+非金融机构法人+ 行业深度报告请务必参阅正文后面的信息披露和法律声明5/26“资管新规”出台后，监管主要对现金管理类产品的投向做出了较多限制（久期、例 例金管理类理财产品管理有关），例年末至2021年末（资管新规过渡期至2021年末2019年末-2021年末，理财净值化率从43%显著上升至93%，非净值型产品余额从13万92.97%97.61%43.29%83.80%43.29%83.80%——全市场净值化率——其中：银行机构净值化率0.830.682.041.661.430.830.682.041.661.433.765.418.468.4613.2713.2750 行业深度报告请务必参阅正文后面的信息披露和法律声明6/26券估值的细则，目前除了现金管理类和封闭式产品中持有到期的债券可使用摊余成分产品可通过期限错配、信用下沉增厚收益，但为了控制净值波动和应对不稳定的负债端，理财投资经理通常偏好中短债、谨慎 行业深度报告请务必参阅正文后面的信息披露和法律声明7/26表2：全市场理财前十大持仓中，金融债行权剩余期限平均为3年以内，非金融债的信用债平均为2年以内行权剩余期限（平均，年）全市场理财现金管理类固定收益类2020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-06地方政府债政金债利率债2.853.552.253.842.571.802.853.552.253.842.571.802.853.571.953.842.841.802.853.571.953.842.841商业银行银行二级银行永续银行TLAC银行普通银行专项证券公司保险公司其它金融机构金融债(不含政金债)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政府支持机构债国际机构债一般企业债一般公司债私募债债务融资工具超短期融资券(SCP)短期融资券(CP)中期票据(MTN)定向工具(PPN)项目收益票据(PRN)资产支持票据(ABN)标准化票据(SDN)ABS信用债(不含金融债)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：城投债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投资者，若下降较多容易对销售产生不利影响，因此其下降势必是多方博弈、循序渐进的过程，投资经理的业绩压力仍然较大。随着高票息资产获取难度加大，波段交易和品种下沉是可选项：一方面在债牛行情中加大波段交易，获取资本利得；另一方面适度品种下沉，安全性高+品种溢价的城投债和二永债受到理财的关注。3.963.05 2.88 行业深度报告请务必参阅正文后面的信息披露和法律声明8/26中债中短期票据到期收益率(AA):3年%中债中短期票据到期收益率(AA-):3年%中债城投债到期收益率(AA(2)):3年%3.532.572.392.26表3：全市场理财前十大持仓中，金融债多数为AAA-及以上，信用债多数为AA(2)及以上级金融债(不含政金债)信用债(不含金融债)其中：城投债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%未评级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%合计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%数据来源：普益标准、Wind、开源证券研究所券隐含评级未公开，默认为AAA；2024-06持仓包含截至2024-08-04披露2024Q2投资报告的理财产品） 行业深度报告请务必参阅正文后面的信息披露和法律声明9/26沉到区县级的比例较大，其余多数省份基本仅下沉到地市级。隐含评级上，理财子地市级,地市级,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城投债隐含评级非理财子理财子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%未评级9.45%4.14%0.00%0.00%0.00%0.00%9.67%2.81%0.02%0.03%0.01%0.00%合计100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00% 行业深度报告请务必参阅正文后面的信息披露和法律声明10/26投资高流动性二永债，成为理财控制波动的方法之一。在信用债和非标供给不城市商业银行城市商业银行,3%支行,24%新规过渡期结束后，现金管理类产品已无法新增二永债，其余类型产品均可继续投图10：2024Q2末理财前十大持仓中，二永债合计占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%2020-122021-122022十大持仓中该类资产总规模÷全市场理财前十大持仓总规模，图11：2024Q2末理财前十大持仓中，二永债合计占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%请务必参阅正文后面的信息披露和法律声明11/26管政策出台，理财投资协议存款和信托计划相对收紧，叠加“手工补息”叫停后存款资产获取难度增加，理财欠配压力在Q2-Q3集前十大持仓中持有的银行二永债，发现隐含评级多在AA2.312.082.312.082020-122021-122022-122023-122024-03——银行二级——银行永续可通过信托等资管产品拉久期、信用下沉增厚收益。由于多数产品并未披露资管产品底层持仓，因此通过拆解底层99%以上均为信托计划的理财穿透后前十持仓（个别理财子会同时披露）。以某理财子某定开产品为例，截至请务必参阅正文后面的信息披露和法律声明12/26为银行二级资本债，其中5只行权剩余期限为3~5年，隐含评级多在AA+以上。某理财子开放式产品第16期（1年定开）穿透前前十持仓穿透后前十持仓（信托计划的底层）2.37行权剩余期限（年）2.37行权剩余期限（年）资产规模（万元）中债隐含评级 序号资产名称资产类别华润信托·润日昇昌12号集合2024-06资金信托计划,3.51%4.80%二级资本债4.34%二级资本债4.13%证券公司债4.12%二级资本债3.82%二级资本债3.52%二级资本债3.36%华润信托·润日昇昌12号集合2024-06资金信托计划,3.51%4.80%二级资本债4.34%二级资本债4.13%证券公司债4.12%二级资本债3.82%二级资本债3.52%二级资本债3.36%二级资本债3.33%二级资本债2.91%二级资本债2.90%二级资本债AA848.19766.81729.52727.40674.63621.98594.75588.54514.93512.782.402.11华润信托润日昇昌1号集合资金信托计划,30.58%3.08420工商银行二级01520建设银行二级620浦发银行二级华润信托润日昇昌1号集合资金信托计划,30.58%3.08722杭联农商行二级资本债02华润信托润日昇昌5号集合资金信托计划,65.90%821建设银行二级01920中国银行二级0110华润信托润日昇昌5号集合资金信托计划,65.90%2.61合计2.61合计6579.5337.23%资产规模（万元）行权剩余期限（年）中债隐含评级 序号资产名称资产类别华润信托·润日昇昌12号集合资金信托计划,3.44%1华润信托·润日昇昌12号集合资金信托计划,3.44%121平安银行二级AA3.39857.464.89%二级资本债846.454.83%二级资本债667.843.81%二级资本债599.103.42%二级资本债588.193.36%证券公司债479.672.74%二级资本债475.452.71%二级资本债475.352.71%二级资本债857.464.89%二级资本债846.454.83%二级资本债667.843.81%二级资本债599.103.42%二级资本债588.193.36%证券公司债479.672.74%二级资本债475.452.71%二级资本债475.352.71%二级资本债473.642.70%二级资本债6418.0736.62%3.482024-033.612.654.16622国海024.16华润信托润日异昌1号集合资金信托计划,40.18%3.33华润信托润日异昌5号集合资金信托计划,56.37%2.361021建设银行二级01华润信托润日异昌1号集合资金信托计划,40.18%3.33华润信托润日异昌5号集合资金信托计划,56.37%2.361021建设银行二级01合计资产名称资产规模（万元）资产类别行权剩余期限（年）中债隐含评级23盐城投控03,24.22%序号资产名称资产规模（万元）资产类别行权剩余期限（年）中债隐含评级23盐城投控03,24.22%序号23盐城投控01,9.05%ABN买入返售ABSABS证券公司债大额存单大额存单大额存单大额存单23盐城投控01,9.05%ABN买入返售ABSABS证券公司债大额存单大额存单大额存单大额存单大额存单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华润信托润日异昌12号集合资金信托计划,5.47%--AA0.080.16--AA0.080.161.540.300.300.640.720.892023-123中企优A2023-124PR创优522国海02华润信托润日异昌5号集合资金信托计划,55.83%华润信托润日异昌1号集合资金信托计划,5.37%623浦发银行CD201723浦发银行CD081823建设银行CD204923光大银行CD207华润信托润日异昌5号集合资金信托计划,55.83%华润信托润日异昌1号集合资金信托计划,5.37% 合计非理财子在二永债上更为下沉。地方性银行之间通过理财“互持”二永债的现隐含评级理财子·二永债非理财子·二永债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%未评级0.00%0.04%0.06%0.00%0.11%0.13%0.00%0.00%0.00%0.00%0.00%0.00%合计100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00%100.00% 行业深度报告请务必参阅正文后面的信息披露和法律声明13/26永债到期量较大，净融资额基本保持平稳，总体二永 2019202020212022202数据来源：Wind、开源证券研究所（注：2024年数据截至00 201920202021202220232024总发行量(亿元)95095085050030030000201920202021202220232006500650300080080085075060040004000 行业深度报告请务必参阅正文后面的信息披露和法律声明14/26负债端稳定性将直接影响理财配债行为。理财负债端主要是个人投资者和实体企业投资者，流动性要求高、风险偏好较低，相较于有较多机构投资者的公募基金来说，理财负债端更加不稳定，理财投资者多为存款客户转化而来，负债期限主要券仓位降幅有限；2022年底债市“负反馈”出现，理财5023.5015.7723.5015.7710.2422.0425.8625.8025.3423.4026.8012.55%1.69%28.5229.5429.0529.1529.0028.3727.9527.65全市场理财产品存续规模（万亿元）——yoy（右轴）历史行情来看，信用利差通常与理财规模呈反向变动。我们拟合理财规模和信 行业深度报告请务必参阅正文后面的信息披露和法律声明15/262024年中非银“钱多”及季末回表时点，——理财存续规模（万亿元）——信用利差BP（右轴，右轴逆序）临近资管新规过渡期末+估0平均数变频为月度，2024-10截至2014-10-21；2024-10理财规模——R007%DR007%——利差BP（右轴）0央行提示长端利率风险并进行压力测试，利率债利率快速上行。但随着偏弱的金融 行业深度报告请务必参阅正文后面的信息披露和法律声明16/26利差处于历史最低分位数，但在央行回笼流动性和季末流动性管理的影响下，基金0——信用利差（BP）——自2019-01-02以来历史分位数（右轴）前的水平。我们认为后续股市资金能否继续回流至理财具有一定不确定性，需关注29.9028.9629.3029.38 行业深度报告请务必参阅正文后面的信息披露和法律声明17/26有行和招行开启新一轮存款挂牌利率下调，其中活期存款利率下调5BP，其余期限部分定期存款尚未自然到期，流入理财是一个循序渐进的过程。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数据来源：普益标准、银行官网、开源证券研究所（如何预判理财负债端的赎回压力？“破净率”可作为重要的观察指标。理财投数量比例）成为预判理财负债端赎回压力的重要指标。信用债是理财资产端的基本盘，我们可通过观察“信用债收益率上行→理财破净率上升→理财规模下降”的传导链条，来预判理财负债端的赎回压力，进而预估理财赎回基金的情况、信用债何 行业深度报告请务必参阅正文后面的信息披露和法律声明18/26潮（彼时信用债调整10BP对应破净率上升约2.5低波资产比例显著提升，且使用信托盈余进行回补，破净率得以及时“踩刹车”。率上升至3%~5%时，或有少数理财产品规模下降，但全市场理财规模仍但由于盈余“安全垫”或较为充足，可较好抵御债市小幅调整。理财前期有较模仍然较大，且目前整改细节尚未落地，我们判断“安全垫”仍然较厚，能够较好低于债市波动。因此短期内的债市波动并不构成理 行业深度报告请务必参阅正文后面的信息披露和法律声明19/26全市场理财前十持仓货币市场类穿透前占比11.9%2021-1210.1%13.1% 2023-126.2% 2024-036.1% 2024-066.7%固定收益类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%组合类保险资管产品5.8%7.3% 2.9% 信托计划保险资管计划基金资管计划券商资管计划期货资管计划0.1%4.6% .14.3%. .07%6.4%7.1%4.9%7.2%09%0.9%4.0%7.0%17%私募基金资管产品.....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%权益类0.4%0.6%0.5%0.2%0.2%0.3%金融衍生品类0.0%0.0%0.0%0.0%0.0%0.0%QDII0.4%0.3%0.2%0.1%0.1%0.1%合计100.0%100.0%100.0%100.0%100.0%100.0%市场理财前十大持仓总规模，2024-04截至2024-08-04披露2024Q2投资报告的理财产品）4.364.362.460.84其他资金理财资金（银行及理财子）第三方保险资金系统内保险资金议存款的意愿显著下降，2026年初存量到期后，理财若续作存款或仅可 行业深度报告请务必参阅正文后面的信息披露和法律声明20/26信托存量整改尚处于观望，需关注后续整改对于长久期“平滑专户”帮助理财产品管理净值。但由于“资管新规”明确理财产品需“三单监管局向辖内信托公司发布《关于进一步加强信托公司与理财公司合作业务合规管托仍处于观望状态，短期内对信托底层长久期、低评级的债券影响有限，但需关注落地时间表及整改力度，2024Q2末前十大持仓中信托占比约24%，若以此模拟 行业深度报告请务必参阅正文后面的信息披露和法律声明21/26债比例也明显高于理财子，未来或将较多受到中小银行理财“退场”的影响。而在5096.58%96.58%其中：银行机构银行机构占比（右轴）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理财子非理财子隐含评级金融债(不含政金债)信用债(不含金融债)金融债(不含政金债)信用债(不含金融债)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%未评级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%合计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% 行业深度报告请务必参阅正文后面的信息披露和法律声明22/26行权剩余期限（平均，年）理财子非理财子2020-122021-122022-122023-122024-032024-062020-122021-122022-122023-122024-032024-06地方政府债政金债利率债--------4.064.064.062.152.152.362.363.503.50