20231205_民生证券_银行业“补资本”系列专题：“穿透”银行投资基金行为其将如何被资本新规重塑？_29页.pdf
本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 1 2023 12 05 27 1 90%60%2 23H1 92.7%3 84.8%4 0%5 23H1 69.3%17.8pct 11.6pct 18.6pct Table_Author S0100521120003 S0100123070037 1.TLAC-2023/12/04 2.2023 10-2023/11/14 3.-2023/11/13 4.2023-2023/11/02 5.-2023/11/02 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 2 1.3 1.1.3 1.2.4 1.3.5 2.5 2.1.6 2.2.8 2.3.9 3.11 3.1.11 3.2.13 3.3.14 4.16 4.1.17 4.2.19 4.3+.21 4.4.23 4.5.25 5.26 6.27.28.28 1ZAZyRqNoNmNqOtQmRsNqR7N8Q7NnPrRnPmPiNqRtRiNpPrP8OpPwPMYpOpMNZmPmM/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 3 1 1.1 6%25%1 2012 2019-2027 2 6%25%25%6%25%25%6%25%6%12.5%6%25%6%25%6%25%3%/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 4 3 3%3%4 3%3%1.2 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 5 5 140%140%200%200%110%110%100%1.3 IFRS9 2 27 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 6 2.1 90%23H1 63.3%1 iFinD 90%23H1 97.5%2 23H1 90%iFinD 23H1/9,94512,77314,10561.9%61.0%63.3%59%60%61%62%63%64%02,0004,0006,0008,00010,00012,00014,00016,0002021 2022 23H1定制型基金总净值（亿元）定制型基金净值/全部基金（右轴）,97.5%,1.1%,0.9%,0.5%,0.1%/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 7 23H1 7.3%92.7%3 iFinD 84.8%0.5%4.0%3.4%23H1 5538 13.8%1,556 1,797 1,619 14,510 19,155 20,672 05,00010,00015,00020,00025,0002021 2022 23H1货币市场型基金 债券型基金/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 8 4 iFinD 2.2 23H1 41.3%0%23H1 2021 2022 23H1 3397 3972 3996 3.6%2.5%0.1%88.6%5.3%2102 2155 2144 0.8%0.0%0.0%99.2%0.0%1495 1925 1910 2.1%2.6%0.0%76.0%19.4%1138 1758 1784 1.7%2.6%0.4%94.7%0.6%692 1458 1673 7.4%7.3%0.6%82.0%2.6%1197 1356 1391 0.0%1.6%0.0%89.3%9.1%802 1147 1235 1.7%10.9%0.0%86.4%1.0%549 738 924 7.8%0.0%0.9%77.3%14.0%529 638 765 8.8%11.6%5.0%62.4%12.2%472 640 749 2.5%9.1%0.0%88.4%0.0%528 568 707 1.1%0.0%0.0%72.2%26.7%290 691 655 0.0%7.7%0.0%60.0%32.3%311 242 554 5.5%9.8%5.4%63.6%15.7%511 515 543 1.9%0.0%0.0%96.5%1.7%321 578 542 0.0%0.0%0.0%100.0%0.0%224 443 515 2.9%9.7%2.0%85.4%0.0%330 474 479 7.4%1.9%1.5%80.0%9.2%302 493 469 5.4%11.0%0.0%83.6%0.0%268 293 283 0.0%5.5%0.0%94.5%0.0%95 214 265 13.1%7.6%0.0%71.7%7.6%228 231 229 31.1%0.0%0.0%68.9%0.0%91 208 224 0.7%3.9%0.0%79.5%16.0%110 113 112 0.0%0.0%0.0%76.6%23.4%10 30 71 0.0%0.0%0.0%100.0%0.0%46 53 54 0.0%0.0%0.0%96.2%3.8%28 19 18 0.0%0.0%0.0%100.0%0.0%0 0 0 0.0%0.0%0.0%0.0%100.0%16066 20952 22292 3.4%4.0%0.5%84.8%7.3%/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 9 5 23H1 iFinD 2.3 120%6 iFinD 70%200%41.3%22.0%13.0%8.4%1.3%4.4%1.9%1.3%0.0%0.7%2.3%3.0%0.3%5.0%0.4%0.4%0.2%4.3%34.3%0.0%0.4%0.0%0.5%26.6%27.5%0.5%43.8%23.5%13.9%9.0%1.1%2.4%2.0%1.3%0.0%0.8%0.7%1.3%0.3%88.4%3.0%1.2%0.0%0.2%0.2%2.8%0.8%0.0%0.1%0.9%0.8%1.6%35.4%22.6%23.3%10.5%2.2%1.0%0.1%1.6%0.5%1.0%0.9%0.5%0.4%59.9%11.2%1.0%0.2%0.0%4.2%18.7%2.3%0.4%0.0%0.9%1.2%0.0%32.8%9.5%22.5%6.2%14.0%5.0%1.3%2.1%0.0%1.3%0.8%3.8%0.7%42.3%24.5%14.0%9.4%1.0%2.5%1.9%1.3%0.0%0.8%0.7%1.3%0.2%122.6%121.9%124.3%116%118%120%122%124%126%128%130%2021 2022 23H1杠杆率/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 10 7 iFinD 8 iFinD 69.2%70.1%69.3%30.8%29.9%30.7%0%20%40%60%80%100%2021 2022 23H1定开式基金 开放式基金124%123%126%128%127%130%115%115%117%106%106%108%100%105%110%115%120%125%130%135%2021 2022 23H1债基整体杠杆率 定开式基金杠杆率开放式基金杠杆率 货基杠杆率/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 11 9 iFinD 3 3.1 2021 2022 23H1 133%138%138%100%100%100%136%129%137%130%119%127%131%126%135%118%108%104%128%129%132%121%117%121%121%121%130%123%125%126%121%126%120%118%118%119%116%113%117%115%126%122%131%126%103%122%121%130%117%115%122%106%101%118%130%130%127%108%108%116%108%106%114%120%111%111%106%124%112%164%121%154%117%120%125%118%114%123%108%100%107%/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 12 6 1.2.3.1.2.3.1-5 6.1,;2,1.2.3.4.5.6 6.AMC(FVOCI)(FVTPL)/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 13 7 1250%FVTPL AMC FVOCI FVTPL 23H1 69.3%10 23H1 3.2 1250%持有作交易用途35%其他65%/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 14 1 2 1.2 3 4 11 3.3 17.8pct 11.6pct 18.6pct 1 2 min /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 15 12 iFinD 23H1 88.4%0%23H1 66%13 23H1 iFinD 0%0%41.3%5.0%43.8%88.4%35.4%59.9%32.8%42.3%105.9%126.2%22.0%0.4%23.5%3.0%22.6%11.2%9.5%24.5%100%97.5%13.0%0.4%13.9%1.2%23.3%1.0%22.5%14.0%100%97.5%8.4%0.2%9.0%0.0%10.5%0.2%6.2%9.4%100%97.5%1.3%4.3%1.1%0.2%2.2%0.0%14.0%1.0%25%40%4.4%34.3%2.4%0.2%1.0%4.2%5.0%2.5%20%16.0%1.9%0.0%2.0%2.8%0.1%18.7%1.3%1.9%0%0%1.3%0.4%1.3%0.8%1.6%2.3%2.1%1.3%25%40%2.3%26.6%0.7%0.9%0.9%0.9%0.8%0.7%0%0%3.0%27.5%1.3%0.8%0.5%1.2%3.8%1.3%100%100%0.3%0.5%0.3%1.6%0.4%0.0%0.7%0.2%124%108%126%121%128%141%121%126%48.4%21.0%50.3%7.0%60.9%18.0%55.2%51.7%66.2%32.6%68.8%9.2%83.2%28.7%68.8%70.9%17.8 11.6 18.6 2.2 22.3 10.6 13.6 19.25.5 9.2 5.2 0.8 4.9 3.0 2.8 5.4-0.6-0.1-0.7-0.1-0.9-0.8-1.1-0.712.9 2.5 14.0 1.6 18.3 8.3 11.9 14.4 75%25%66%34%机构投资者非机构投资者政金债其他持有人结构 标的结构/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 16+60%4 1 0%2 3 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 17 14 23H1 iFinD 4.1 29.5%14.6%25.6%18.2%2.1%2.8%1.3%0.5%0.0%1.8%1.6%1.6%0.4%76.8%12.5%3.4%6.3%0.0%0.0%0.0%0.0%0.0%0.0%0.8%0.0%0.0%51.4%23.2%1.1%0.4%1.0%6.1%4.7%1.6%0.0%0.2%3.7%6.5%0.2%34.0%22.6%22.6%9.8%0.9%2.7%4.5%1.6%0.0%0.1%0.5%0.3%0.3%63.0%22.7%0.6%2.6%0.2%3.2%2.0%1.6%0.0%0.0%2.0%1.5%0.8%20.0%20.9%26.5%6.5%5.1%7.5%0.8%0.3%0.0%2.2%3.6%6.5%0.0%24.8%18.0%28.0%16.2%1.3%3.0%0.5%3.0%0.3%0.2%1.4%2.9%0.4%19.6%46.9%1.0%16.3%1.0%5.3%1.0%0.8%0.0%1.2%3.7%3.1%0.2%32.6%7.0%31.2%10.9%2.2%5.1%1.6%0.7%0.0%0.2%3.9%4.1%0.4%45.2%41.3%1.7%1.7%0.5%1.2%0.8%2.6%0.0%3.5%0.5%0.8%0.1%41.3%27.1%0.0%0.2%0.3%8.7%3.2%1.3%0.0%0.0%7.7%9.4%0.7%25.1%28.9%0.2%0.1%1.0%12.9%9.2%3.9%0.0%0.1%9.2%9.1%0.3%42.5%14.4%11.5%6.1%1.9%9.3%0.1%3.0%0.0%0.0%3.9%7.2%0.1%32.3%49.9%3.1%6.0%0.3%3.2%2.6%0.9%0.0%0.0%0.7%0.9%0.0%40.2%36.2%3.2%0.5%0.6%13.1%0.0%0.0%0.0%0.0%0.2%5.9%0.0%54.3%32.7%4.0%1.3%0.5%3.0%0.0%2.8%0.0%0.0%0.7%0.7%0.1%40.3%21.4%13.8%3.7%4.1%9.5%0.7%1.0%0.0%0.4%2.5%2.6%0.0%56.5%27.7%2.1%3.8%0.0%6.3%0.1%2.3%0.0%0.0%0.2%0.9%0.0%36.0%42.0%3.7%11.9%0.6%5.6%0.0%0.0%0.0%0.2%0.1%0.0%0.0%58.7%4.5%12.5%9.1%0.6%2.2%0.4%0.7%0.0%0.0%6.0%5.0%0.2%99.5%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.4%0.0%0.1%12.4%10.9%38.9%12.2%2.7%3.6%2.3%4.6%0.0%0.9%5.6%6.1%0.0%32.6%25.8%9.7%4.0%2.0%11.8%0.0%0.3%0.0%5.3%4.9%3.0%0.5%98.0%0.0%0.0%0.0%0.0%0.0%0.0%1.8%0.0%0.0%0.1%0.0%0.0%89.3%7.3%0.0%0.0%0.1%1.3%0.0%0.1%0.0%0.0%0.6%1.0%0.3%57.0%33.5%0.0%0.0%0.0%9.4%0.0%0.0%0.0%0.0%0.2%0.0%0.0%9.6%1.7%0.9%0.1%7.8%22.0%0.0%0.0%0.0%0.0%27.2%30.2%0.6%41.3%22.0%13.0%8.4%1.3%4.4%1.9%1.3%0.0%0.7%2.3%3.0%0.3%/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 18 15 iFinD 60%16 iFinD 17 iFinD 72 512304786897 11123 101171461249924 1013734402004006008001,0001,2001,4001,600被动指数型债券基金混合债券型基金(一级)混合债券型基金(二级)短期纯债券型基金中长期纯债券型基金货币市场基金2021 2022 23H1 2021 76.3%5.1%0.0%1.0%0.2%3.2%3.6%2.5%3.5%2.9%1.6%2022 68.5%17.9%0.3%2.0%0.2%2.7%2.5%1.1%1.5%2.8%0.4%23H1 63.0%22.7%0.6%2.6%0.2%3.2%2.0%1.6%2.0%1.5%0.8%131%126%135%120%125%130%135%140%2021 2022 23H1杠杆率/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 19 10.1pct 17.6pct 18 iFinD 23H1 4.2 0%0%63.0%3.2%64.3%95.0%94.5%58.1%69.2%60.0%105.9%126.2%22.7%0.3%23.2%0.0%0.0%0.0%0.0%27.2%100%97.5%0.6%0.3%0.6%0.0%0.0%0.0%0.0%0.7%100%97.5%2.6%0.2%2.6%0.0%0.0%0.0%0.0%3.1%100%97.5%0.2%8.7%0.0%0.0%0.0%0.0%0.0%0.0%25%40%3.2%38.9%2.4%0.0%0.0%0.0%0.0%2.9%20%16.0%2.0%0.0%2.0%0.0%0.0%41.7%11.0%1.4%0%0%1.6%6.4%1.5%0.2%0.4%0.0%0.1%1.7%25%40%2.0%17.2%1.6%0.6%5.1%0.2%8.2%1.5%0%0%1.5%21.8%1.1%1.3%0.0%0.0%6.1%1.1%100%100%0.8%3.0%0.7%2.8%0.0%0.0%5.5%0.6%135%105%135%124%119%185%119%137%29.8%26.5%29.9%3.0%1.3%8.4%9.8%34.5%47.2%36.7%47.4%3.8%2.4%12.5%12.5%55.5%17.4 10.1 17.6 0.8 1.2 4.1 2.7 21.05.4 8.5 5.3 0.1 0.8 0.0 1.2 6.2-0.2-0.2-0.2 0.0 0.0-1.7-0.4-0.112.1 1.9 12.4 0.8 0.4 5.7 2.0 14.9 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 20 19 iFinD 50%20 iFinD 21 iFinD 17 10 0109537340103113375073918 31145237002004006008001,0001,2001,4001,600被动指数型债券基金混合债券型基金(一级)混合债券型基金(二级)中长期纯债券型基金货币市场基金2021 2022 23H1 2021 54.5%13.4%1.6%1.0%1.2%7.7%5.2%1.4%5.1%6.3%1.6%2022 50.2%18.6%1.3%0.6%1.2%7.2%4.9%1.8%6.2%7.4%0.0%23H1 51.4%23.2%1.1%0.4%1.0%6.1%4.7%1.6%3.7%6.5%0.2%135.8%129.1%136.8%124%126%128%130%132%134%136%138%2021 2022 23H1杠杆率/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 21 9.2pct 22.5pct 22 iFinD 23H1 4.3+23 iFinD 0%0%51.4%5.9%59.4%83.3%100.0%71.9%58.0%105.9%126.2%23.2%0.2%27.2%2.5%0.0%0.0%28.9%100%97.5%1.1%0.0%1.3%8.1%0.0%0.0%1.2%100%97.5%0.4%0.2%0.5%0.0%0.0%0.0%0.5%100%97.5%1.0%5.9%0.1%1.7%0.0%0.0%0.1%25%40%6.1%30.4%1.8%1.7%0.0%0.0%1.9%20%16.0%4.7%0.0%5.5%0.0%0.0%27.9%5.1%0%0%1.6%0.1%1.8%0.5%0.0%0.0%1.9%25%40%3.7%21.0%0.6%0.3%0.0%0.2%0.7%0%0%6.5%35.4%1.4%0.3%0.0%0.0%1.5%100%100%0.2%0.2%0.2%1.6%0.0%0.0%0.2%137%106%144%126%138%188%144%30.6%19.3%32.6%14.6%0.0%5.6%34.2%50.0%28.5%55.2%19.0%0.0%8.6%57.8%19.4 9.2 22.5 4.5 0.0 2.9 23.66.2 7.7 5.9 0.8 0.0 0.0 6.3-0.3-0.2-0.3-0.2 0.0-1.1-0.213.4 1.6 16.9 3.9 0.0 4.0 17.6 27733323354266353921005001,0001,5002,0002,5003,0003,5004,000被动指数型债券基金短期纯债券型基金混合债券型基金(一级)中长期纯债券型基金货币市场基金2021 2022 23H1/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 22 0%100%24 iFinD 25 iFinD+11.7pct 28.9pct 26.7pct 2021 37.8%9.0%19.6%13.2%3.8%4.7%1.3%0.6%2.5%2.9%1.8%2022 34.7%12.1%22.3%16.3%2.4%3.8%1.0%0.4%2.2%2.0%0.1%23H1 29.5%14.6%25.6%18.2%2.1%2.8%1.3%0.5%1.6%1.6%0.4%132.8%137.8%138.2%130%132%134%136%138%140%2021 2022 23H1杠杆率/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 23 26 iFinD 23H1 4.4 27 iFinD 0%0%29.5%5.6%30.5%91.2%19.2%96.3%28.5%105.9%126.2%14.6%0.5%15.2%0.0%21.7%0.0%15.6%100%97.5%25.6%0.9%26.7%0.0%33.8%0.0%27.5%100%97.5%18.2%0.5%18.9%0.0%20.9%0.0%19.6%100%97.5%2.1%4.7%2.0%0.0%2.7%0.0%2.1%25%40%2.8%39.4%1.2%0.0%0.0%0.0%1.3%20%16.0%1.3%0.0%1.4%1.7%0.2%0.0%1.4%0%0%0.5%0.1%0.5%0.2%0.9%2.7%0.5%25%40%1.6%22.7%0.7%2.3%0.4%0.0%0.6%0%0%1.6%24.9%0.6%0.1%0.0%0.0%0.6%100%100%0.4%0.5%0.4%4.4%0.0%1.1%0.3%138%108%140%124%133%124%141%63.2%22.5%64.9%5.4%80.5%1.1%66.7%90.7%34.3%93.8%7.0%111.4%1.3%97.0%27.5 11.7 28.9 1.6 31.0 0.3 30.23.6 9.4 3.4 0.4 4.5 0.0 3.5-1.2-0.2-1.2-0.1-1.4 0.0-1.325.1 2.5 26.7 1.3 27.9 0.3 28.1 2134917185752315087271412980100200300400500600700800被动指数型债券基金中长期纯债券型基金货币市场基金短期纯债券型基金2021 2022 23H1/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 24 28 iFinD 100%29 iFinD 12.4pct 30.7pct 23H1 53.6%2021 26.9%30.6%2.2%7.7%1.0%9.5%0.8%1.4%10.0%5.7%1.2%2022 24.7%44.8%0.2%7.8%1.0%7.4%0.6%0.8%4.8%6.2%0.0%23H1 19.6%46.9%1.0%16.3%1.0%5.3%1.0%0.8%3.7%3.1%0.2%121.0%116.8%120.9%114%115%116%117%118%119%120%121%122%2021 2022 23H1杠杆率/本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 25 30 iFinD 23H1 4.5+0%0%0%19.6%5.2%21.7%61.8%5.0%17.9%105.9%126.2%46.9%0.0%53.6%29.3%11.0%56.4%100%97.5%1.0%0.1%1.1%0.0%38.0%0.8%100%97.5%16.3%0.4%18.6%0.0%16.1%20.4%100%97.5%1.0%6.2%0.2%0.0%22.4%0.0%25%40%5.3%40.3%0.3%0.5%0.0%0.3%20%16.0%1.0%0.0%1.1%0.0%0.0%1.3%0%0%0.8%0.4%0.8%2.6%0.0%0.7%25%40%3.7%26.0%0.5%1.6%0.1%0.4%0%0%3.1%20.5%0.6%3.2%3.0%0.4%100%100%0.2%0.3%0.2%0.0%0.0%0.2%121%108%123%120%121%123%70.5%23.5%77.2%31.6%88.3%81.6%97.8%35.9%107.9%45.3%107.3%114.2%27.3 12.4 30.7 13.8 19.0 32.710.9 10.0 11.0 6.3 2.3 11.6-0.5-0.2-0.5 0.0-1.9-0.616.9 2.6 20.2 7.5 18.6 21.7 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 26 5 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 27 6 1 2 3 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 28 1.6 2 23H1 90%.6 3.7 4.8 5 23H1.9 6.9 7.10 8.10 9.11 10 23H1.13 11.14 12.15 13 23H1.15 14 23H1.17 15.18 16.18 17.18 18.19 19.20 20.20 21.20 22.21 23.21 24.22 25.22 26.23 27.23 28.24 29.24 30.25 1.3 2.3 3.4 4.4 5.5 6.12 7.13 /本公司具 备证券 投资咨 询业务 资格，请务必 阅读最 后一页 免责声 明 证券研究 报告 29。12 A 300 500 15%5%15%-5%5%5%5%-5%5%5%8 1 5F 200120 28 A 18 100005 6001 32 05 518026
