国泰海通 · 晨报260116｜固收：考虑政府债久期拉长与存款置换：大行EVE指标空间再测算的四个要点

Core Viewpoint - The article discusses the recalibration of the EVE (Economic Value of Equity) indicators for major banks in light of extended government bond durations and deposit replacements, emphasizing the limited impact on active bond purchases despite regulatory adjustments [2][4]. Group 1: EVE Indicator Dynamics - The recalibration of the ΔEVE indicator should consider not only the regulatory adjustments but also the dynamic increase in the duration of government and local bonds held by major banks, which raises the sensitivity of the EVE indicator [2]. - As of H1 2025, the total assets of major banks in the AC+OCI accounts for bonds with maturities over five years reached 24.91 trillion yuan, accounting for 43.24% of the total, with a growth rate of 22.98% in the OCI accounts [2]. Group 2: Impact of Deposit Repricing - The impact of maturing deposits on the ΔEVE indicator is twofold: if the interest rates decline without significantly changing the maturity profile, it negatively affects the ΔEVE; conversely, if depositors prefer shorter-term deposits, it further compresses the duration of bank liabilities, also negatively impacting the ΔEVE [3]. - By 2026, the amount of time deposits with a maturity of over one year is estimated to be between 40 trillion to 47 trillion yuan, which will influence the ΔEVE indicator depending on depositor behavior [3]. Group 3: Capital Supplementation - Supplementing Tier 1 capital is crucial for alleviating pressure on the ΔEVE indicator, with expected growth of approximately 8.48% in Tier 1 capital net worth for major banks by 2026, providing support from the denominator side of the EVE calculation [4]. - The estimated net remaining space for the ΔEVE indicator for major banks is over 200 billion yuan, corresponding to the potential allocation of over 1.1 trillion yuan in 10-year bonds or around 500 billion yuan in 30-year bonds [4]. Group 4: Market Behavior and Bond Purchases - The reduction in the ΔEVE regulatory threshold primarily serves as a compliance buffer for major banks in a long-duration government bond supply environment, rather than a strong incentive for active secondary market purchases [4]. - Historical data indicates that major banks are not typically significant buyers in the secondary market, which influences their prioritization towards ensuring compliance in primary market responsibilities [4].