华泰固收：银行对长端利率债的承接力仍“存远忧”

Core Viewpoint - The essence of banks' bond investment behavior is an optimization problem under multiple constraints, balancing stability and high yield goals while facing stricter constraints [1] Group 1: Market Concerns - Recent market focus has been on "bank balance sheet interest rate risk" or "ΔEVE," which measures banks' ability to withstand shocks [1] - Over the past two years, major banks have taken on a significant amount of long-duration government bonds in the primary market, leading to a passive extension of asset duration [1] Group 2: Duration Mismatch - The duration of liabilities has been shortened due to the trend of deposit normalization, resulting in a mismatch that causes the ΔEVE ratio of most major banks to approach the critical 15% threshold for 2024 [1] - The pressure on this indicator is unlikely to ease in the short term, compounded by increased pressure on bank account management [1] Group 3: Future Outlook - The acceptance of long-duration bonds by banks is expected to weaken, with potential relief coming from relaxed indicator restrictions, special treasury investments, and the expansion of floating-rate bonds [1] - However, the overall outlook for banks' capacity to absorb long-term interest rate bonds remains pessimistic [1]