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图5.基金近一周减持普信债和银行次级债规模超过2022年底
图5.基金近一周减持普信债和银行次级债规模超过2022年底
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所属报告:
宏观研究:兼论收益来源变迁影响:债市盈亏同源的烦恼-241014(17页).pdf
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可能的一种解释是,在应对赎回的过程中,理财使用到季初回流资金及减仓同时,赎回公募基金产品应对。这一轮赎回冲击之下,基金单周减持力度已经超过 2022 年底,1 年以上普信债卖出规模达到 600 亿,银行次级债超 300 亿,这也是 2021 年有可跟踪数据以来,基金单周最大卖出体量,债市所遭受的流动性压力不言自明。
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当前图表所属:
宏观研究:兼论收益来源变迁影响:债市盈亏同源的烦恼-241014(17页).pdf
银行次级债收益快速回落,目前与10年国债的差距在30bp以内
2022年与今年信用债与国债收益构成,信用债收益来源突变
利率债的修复来得比信用债要快,信用利差绝对水平在较高位置
GVN成交占比同样在缓和,3年至5年城投债GVN降幅显著
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