交易退潮 配置当道：债市薄利让中小银行被迫转身

Core Insights - The bond investment strategies of small and medium-sized banks are shifting from capital gains to a focus on stable coupon income due to narrowing yields and limited risk management tools [1][2][3] - Banks are adopting a strategy of shortening duration, controlling positions, and focusing on short-term bonds, which reflects a broader trend affecting the entire bond market's funding structure [1][2] Group 1: Investment Strategy Adjustments - Many banks are strictly limiting long-duration trades and primarily investing in short-duration bonds while selectively using leverage [2] - Some banks have maintained their duration but reduced trading volumes, opting for other assets like deposits and interbank certificates during periods of inactivity [2] - The overall strategy has shifted towards a balanced approach due to internal profit pressures and market volatility, with state-owned banks enhancing trading attributes while rural commercial banks significantly reduce bond market allocations [2][3] Group 2: Market Conditions and Challenges - The bond market is characterized by limited returns, with the ten-year government bond yield expected to fluctuate within a narrow range of 30 basis points in 2025, leading to reduced coupon income [3] - Most small and medium-sized banks lack risk hedging tools, making them vulnerable to market fluctuations, as they do not have the qualifications for derivative trading [3][4] - The reliance on adjusting cash positions rather than utilizing sophisticated risk management tools has led to a cycle of forced selling during downturns and missed opportunities during upswings [4] Group 3: Asset Allocation Trends - There is a clear stratification in bond asset allocation among different types of banks, with state-owned banks being the primary holders of government bonds, reflecting their focus on asset safety and liquidity [6] - Joint-stock banks and city commercial banks have similar holding structures, primarily investing in government and local bonds, while rural commercial banks maintain a higher proportion of financial and credit bonds in pursuit of better yields [6] - The pressure to achieve profit targets often leads to a shift of funds into financial markets when credit lending falls short, but the subdued bond market limits the potential returns on these investments [6] Group 4: Future Outlook - The ten-year government bond yield has decreased from approximately 2.82% at the beginning of 2023 to 1.68% by the end of 2024, resulting in significant floating profits for banks [7] - As net interest margins continue to narrow and bond risk-reward ratios decline, banks are increasingly pressured to realize floating profits to secure returns [7] - If a rate cut window opens in 2026, the pressure to realize floating profits may ease as the bond market enters a phase of declining interest rates [7]