存款利率如期调降，如何影响债市债券研究周报-20250526

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The recent reduction in deposit interest rates has two characteristics: a relatively large adjustment range and fast follow - up by banks, indicating significant net interest margin pressure on banks. For banks, on the asset side, the requirement for interest rate levels will decrease, and the motivation to allocate bonds will increase due to weak credit issuance and improved bond cost - effectiveness. However, on the liability side, the scale of funds flowing out of the balance sheet may be large, and the pressure on the liability side may increase, making the scale of bond allocation uncertain. For generalized asset management, the demand for 1 - 3Y credit bonds will increase, and the spread of 3Y credit bonds will narrow about 3 - 4 weeks after the interest rate cut, with the outflow process lasting 2 - 3 months. For investors, credit bonds are a more certain choice, and for interest - rate bonds, new marginal changes need to be observed. Considering the possibility of further interest rate cuts this year, investors can gradually increase their allocation of 10Y Treasury bonds when the yield is above 1.7% [2][13]. 3. Summary According to the Table of Contents 3.1 Deposit Interest Rate Cut and Its Impact on the Bond Market - Characteristics of the Current Cut: The adjustment range is large. With the 1Y and 5Y LPR both cut by 10BP, the deposit interest rate cuts of large - scale banks are 15BP and 25BP respectively, higher than previous levels. Also, banks have followed up quickly. As of May 22, 2025, 12 joint - stock banks have completed the adjustment, and some city and rural commercial banks are following suit, reflecting the large net interest margin pressure on banks [13]. - Impact on Institutional Behavior: - Banks: On the asset side, after the deposit interest rate cut, the average liability cost of the six major banks is expected to decrease by 10.3BP. With a large number of fixed - term deposits maturing in the next two years, the liability - side cost pressure will further ease, and the requirement for asset - side yields will decrease. Also, weak credit issuance and the improved cost - effectiveness of bonds increase the motivation to allocate bonds. On the liability side, the large - scale deposit interest rate adjustment may lead to a significant outflow of funds, and the liability - side pressure may increase, making the scale of bond allocation uncertain [17][21][25]. - Generalized Asset Management: Referring to previous interest rate cuts, after funds flow out of the balance sheet, the demand for 1 - 3Y credit bonds increases, usually leading to a narrowing of the 3Y credit bond spread. The spread starts to narrow about 3 - 4 weeks after the interest rate cut, and the outflow process lasts 2 - 3 months [26]. - Investment Opportunities in the Bond Market: Credit bonds are a more certain choice for investors, supported by coupon advantages and increased demand from funds flowing out of the balance sheet. Interest - rate bonds are in an oscillating upward phase and need new marginal changes to determine the direction. Considering the possibility of further interest rate cuts this year, investors can gradually increase their allocation of 10Y Treasury bonds when the yield is above 1.7% [30]. 3.2 Institutional Bond Custody No specific content provided in the given text. 3.3 Institutional Fund Tracking - Fund Prices: In the week of May 19 - 23, 2025, liquidity slightly eased. R007 closed at 1.63%, unchanged from the previous week, DR007 closed at 1.59%, down 5BP from the previous week, and the 6 - month national - share transfer discount rate closed at 1.14%, down 4BP from the previous week [40]. - Financing Situation: The balance of inter - bank pledged reverse repurchase this week was 108,111.6 billion yuan, up 0.2% from the previous week. For generalized asset management, the net financing of fund companies and bank wealth management products was - 848 million yuan and - 5.326 billion yuan respectively [43]. 3.4 Quantitative Tracking of Institutional Behavior - Fund Duration: This week, the measured durations of high - performance interest - rate bond funds and general interest - rate bond funds in the market were 6.53 and 5.09 respectively, increasing by 0.18 and 0.25 compared to the previous week [48]. - Asset Scarcity Index: The "asset scarcity" index slightly increased, with a smaller index value indicating looser liquidity, lower credit bond supply, and higher credit bond demand [58]. - Institutional Behavior Trading Signals: Trading signals for secondary capital bonds, ultra - long - term Treasury bonds, and 10Y local bonds are provided, with gray areas indicating bullish signals [61][65][67]. - Institutional Leverage: The overall market leverage ratio remained unchanged at 106.8% this week. Among generalized asset management institutions, the leverage ratio of insurance institutions was 113.3%, up 0.6 percentage points from the previous week; the fund leverage ratio was 101.9%, down 0.4 percentage points; and the securities firm leverage ratio was 184.9%, down 2.6 percentage points [68]. - Bank Self - investment Comparison Table: A comparison table for bank self - investment is provided, showing the nominal yields, tax costs, capital occupation costs, and post - tax and risk - adjusted returns of various assets such as general loans, 10Y Treasury bonds, and 10Y local bonds [73]. 3.5 Asset Management Product Data Tracking - Funds: No specific analysis content provided, only relevant charts are mentioned [75]. - Bank Wealth Management: The overall market wealth management product break - even rate slightly decreased this week, with the break - even rate of all products at 2.0% [78]. 3.6 Treasury Futures Trend Tracking No specific analysis content provided, only relevant charts are mentioned [83]. 3.7 Generalized Asset Management Landscape No specific analysis content provided, only relevant charts are mentioned [88].