中国机构配置手册（2025版）之银行资产负债篇：平衡的艺术：流动性、效益与风险

Investment Rating - The investment rating for the banking sector is "Outperform" (maintained) [1] Core Insights - A new round of deposit rate declines is creating multi-dimensional impacts on the asset-liability management of commercial banks, forcing a rapid transformation of their strategies [3] - On the liability side, the decrease in deposit costs alleviates interest payment pressures, but the low-interest environment intensifies deposit diversion pressures, pushing banks to enhance wealth management capabilities [3] - On the asset side, banks face dual challenges of yield compression and structural adjustments, necessitating an optimization of asset allocation towards higher-yield retail assets [3] - The complexity of interest rate risk management is increasing, requiring banks to utilize derivatives for hedging and improve the matching of asset-liability durations [3] - The operational stratification of commercial banks is increasing, with significant resource endowment differences between large and small banks [3] - The era of multi-dimensional asset-liability management for banks has arrived, necessitating a shift towards "lightweight" operations and the expansion of non-interest income sources [3] Summary by Sections 1. Framework Objectives: Matching Assets and Liabilities - The goal of asset-liability management is to balance risk and return, maximizing risk-adjusted returns while considering profitability, liquidity, and safety [7][8] 2. Constraint Tools: Optimization Under Multiple Conditions - Asset-liability management involves managing the asset-liability portfolio, liquidity, interest rate risk, and capital management [7][8] 3. System Application: Perception of Liquidity Tightness - The liquidity management framework includes various indicators such as LCR, NSFR, and liquidity ratios to ensure compliance with regulatory requirements [96][98] 4. Differentiated Characteristics of Different Institutions - Different types of banks exhibit distinct asset and liability structures, with large banks relying more on stable deposits and smaller banks facing higher costs [30][59]