银行自营投资手册（一）：金融投资的三账户分类

1. Report Industry Investment Rating No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The report analyzes the bond - allocation strategies of banks from the perspective of the three - account classification of bank financial investments. It finds that in a low - interest - rate environment, banks reduce the proportion of the allocation portfolio and increase the proportion of the trading portfolio, especially OCI - type assets that have less impact on the income statement. It also suggests paying attention to the marginal changes in the behavior of state - owned large - scale banks, as their investment scale is large and their behavioral changes have a significant impact on the bond market [5]. 3. Summary According to the Directory 3.1 Bank as an Important Participant in the Bond Market - The report uses 135 banks as samples, with a representativeness of 93.5% in terms of total assets. Bank self - operated investment in the asset side has been increasing marginally since 2022, with a significant increase in 2024. In April 2025, commercial banks' bond custody accounted for 53%, making them the largest custody institution type. The self - operated investment of sample banks at the end of 2024 was 106.8 trillion yuan, directly participating in the bond market through bond allocation and indirectly through outsourcing [23][26][29]. 3.2 Performance Contribution Driving Banks to Increase Self - Operated Investment Proportion - Among different types of banks, state - owned large - scale banks had the most obvious increase in the proportion of self - operated investment in the asset side in 2024. From the perspective of asset allocation, banks' asset allocation is structurally inclined to self - operated investment during the recovery of effective credit demand. From the perspective of performance management, due to the pressure on net interest margins and the reduction of intermediate business fees, banks have a strong demand to increase the performance contribution of self - operated investment [10][35]. 3.3 Accounting Classification and Performance Impact of Bank Self - Operated Investment 3.3.1 Account Classification of Bank Self - Operated Investment - Based on the business model and contract cash - flow characteristics of financial assets, bank self - operated investment is classified into three types of accounts in accounting: AC, OCI, and TPL. AC corresponds to bond investment, OCI corresponds to other bond investments and other equity instrument investments, and TPL corresponds to trading financial assets. Based on the measurement methods and trading constraints of the three types of accounts, bank self - operated investment can be divided into the allocation portfolio (AC - type assets) and the trading portfolio (OCI and TPL - type assets) [11][50]. 3.3.2 Impact of Three Accounts on the Bank's Income Statement - TPL - type assets' fair - value fluctuations and coupon income are immediately reflected in the income statement. The coupon income of OCI and AC - type assets is included in the interest income in the income statement, and the capital gains from disposal are included in the investment income. During the holding period, the fair - value fluctuations of OCI - type assets are reflected in other comprehensive income, affecting the bank's capital adequacy ratio, while AC - type assets are not measured at fair value during the holding period [11]. 3.3.3 Differences in the Structure of Three Accounts among Different Types of Banks - At the end of 2024, state - owned large - scale banks had the highest proportion of AC accounts among the four types of banks, rural commercial banks had the highest proportion of OCI - type assets, and joint - stock banks and city commercial banks had a relatively high proportion of TPL accounts [11]. 3.4 Reflection of the Three - Account Structure on Bank Self - Operated Investment Strategies 3.4.1 Reducing the Allocation Portfolio and Expanding the Trading Portfolio in a Low - Interest - Rate Environment - In a low - interest - rate environment, banks gradually reduce the proportion of AC accounts in self - operated investment to reduce passive holding risks. They expand the trading portfolio to capture spread - earning opportunities in market fluctuations. Four types of banks all show the characteristics of compressing the TPL account and increasing the OCI account proportion [75]. 3.4.2 Realizing Floating Profits by Disposing of Assets in AC and OCI Accounts - Banks can sell bonds in OCI or AC accounts when profits are under pressure to realize floating profits and support current performance. In 2024, the investment income from disposing of OCI and AC account assets contributed 2.2% to the current operating income of listed banks [81]. 3.5 Attention to the Changes in the Self - Operated Investment Strategies of State - Owned Large - Scale Banks - Since 2024, the proportion of the trading portfolio of state - owned large - scale banks has been gradually increasing. Their trading can increase market consensus, reduce the volatility of regular trading days in the bond market, but may lead to large fluctuations in the bond market after unexpected events. In the long run, it is beneficial for state - owned large - scale banks to play a greater role in guiding the reasonable pricing of the bond market [97][98].