1. Report Industry Investment Rating - No information about the report industry investment rating is provided in the given content. 2. Core Viewpoints of the Report - To better understand banks' asset - liability allocation behavior and analyze its impact on the bond market, it is necessary to systematically sort out and split bank regulatory indicators. This report focuses on the regulatory requirements in the field of bank liquidity, including the development history of the domestic bank liquidity regulatory system, in - depth analysis of the composition of five regulatory indicators, and a comprehensive introduction of multiple liquidity monitoring indicators [3][19]. 3. Summary According to the Directory 3.1 Liquidity Regulatory Indicators' Introduction and Evolution - After the 2007 - 2009 global financial crisis, Basel III proposed the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) in 2010 to strengthen short - term and medium - long - term liquidity constraints on banks. China's liquidity regulatory system has followed a path of "first monitoring, then regulation, and then systematic improvement". In 2006, liquidity monitoring indicators were proposed; in 2014, regulatory and monitoring indicators were implemented in parallel; in 2015, the content of regulatory indicators was adjusted and monitoring indicators were expanded; in 2018, the "Five regulatory indicators + multiple monitoring indicators" framework was established, and the monthly/quarterly reporting mechanism was clarified [8][21][22]. 3.2 Liquidity Coverage Ratio (LCR) - **Calculation Formula**: LCR = Qualified High - Quality Liquid Assets (HQLA) / Net cash outflow in the next 30 days. The regulatory requirement is that the LCR level should not be less than 100% [9][27]. - **Composition and Calculation of the Numerator**: HQLA is divided into Level 1 assets and Level 2 (2A/2B) assets, calculated by asset × discount coefficient. There are restrictions on the proportion of Level 2 assets, and some special assets such as ordinary financial bonds and inter - bank certificates of deposit are not included [29][30][31]. - **Composition and Calculation of the Denominator**: The denominator is calculated as ∑ expected cash outflows in the next 30 days × conversion rate - ∑ expected cash inflows in the next 30 days × conversion rate. There are also some calculation rules and special considerations [32][33]. 3.3 Net Stable Funding Ratio (NSFR) - **Calculation Formula**: NSFR = Available stable funds / Required stable funds. The regulatory requirement is that the NSFR level should not be less than 100% [10][37]. - **Composition and Calculation of the Numerator**: Available stable funds are obtained by multiplying different types of liabilities and capital by corresponding conversion coefficients. Longer - term, more stable funds have higher coefficients [40]. - **Composition and Calculation of the Denominator**: Required stable funds reflect the occupation of stable funds by assets and off - balance - sheet items. Assets with shorter terms, better liquidity, and higher credit quality have lower coefficients [41]. - **Difference from LCR**: In terms of calculation methods, LCR can be simplified as asset/liability, while NSFR is liability/asset. In terms of regulatory logic, LCR focuses on short - term liquidity, and NSFR focuses on medium - long - term term structure [11][46][48]. 3.4 Other Three Liquidity Regulatory Indicators - **High - Quality Liquid Assets Adequacy Ratio (HQLAAR)**: Designed for small and medium - sized banks with total assets below 200 billion yuan, with a minimum regulatory standard of not less than 100%. It is similar to LCR but has simpler calculation rules [50]. - **Liquidity Matching Ratio (LMR)**: A structural indicator with Chinese characteristics, measuring the term configuration structure of banks' main assets and liabilities, with a minimum regulatory standard of not less than 100%. It is more sensitive to term structure changes compared to NSFR [53]. - **Liquidity Ratio (LR)**: One of the earliest and most common liquidity regulatory indicators, applicable to all commercial banks. It reflects the basic liquidity status under normal conditions, with a minimum regulatory standard of not less than 25% [54][56]. 3.5 Current Situation of Bank Liquidity Regulatory Indicators - **Overall Banking Industry**: The overall LR, LCR, and NSFR of the banking industry show a fluctuating upward trend. LCR generally declines quarter - on - quarter in the third quarter and rebounds in the fourth quarter. The disclosure of the overall NSFR of the banking industry started in the first quarter of 2024, and it has been improving since then [57]. - **By Bank Type**: All four types of banks meet the LCR requirements, but the buffer space of state - owned and joint - stock banks is significantly lower than that of city and rural commercial banks. The NSFR of joint - stock banks is under continuous pressure, and they are more motivated to adjust their asset - liability behavior to improve the NSFR at the end of the quarter [63][68]. 3.6 Liquidity Monitoring Indicators - These indicators are used for continuous observation, cross - verification, and forward - looking identification of banks' liquidity risk status. They do not have a unified hard - line standard but are important for auxiliary judgment. For example, the banking industry's overall loan - to - deposit ratio has been fluctuating upward and stabilized around 80% in 2024 and 2025, and the overall excess reserve ratio has a large fluctuation range, reaching 1.64% at the end of 2025 [73][76].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In 2025, the bond market may mainly rely on increased allocation by bank self - operations. The balance of China's bond market increased by 19.7 trillion in the first 11 months of 2025, and the incremental investment in self - operated bonds by the banking industry in the same period reached 14.3 trillion, accounting for 72.7% of the bond scale increment [2][31]. - Bank self - operated bond investment is mainly in interest - rate bonds, which have a significant impact on the pricing of interest - rate bonds. As of Q3 2025, the proportion of interest - rate bond holdings in bank self - operated bonds was 80.7% [36]. - The bond investment behavior of banks is mainly affected by three types of indicators: capital adequacy ratio requirements, liquidity regulatory indicators, and bank book interest rate risk indicators [3][45]. - Joint - stock banks are the main players in the secondary trading of interest - rate bonds, while the trading scale of large - state - owned banks and policy banks is relatively small. Since Q1 2023, the overall market trading activity has increased, especially significantly after 2025 [3][52]. 3. Summary by Relevant Catalogs 3.1 Bank Self - Operated Financial Investment Composition, Scale Changes, and Structural Characteristics - **Composition and Scale Changes**: As of Q3 2025, the total financial investment scale of 42 listed banks was 101.5 trillion yuan. By statement account, the FVTPL account was 13.23 trillion yuan (13.0%), the FVOCI account was 29.87 trillion yuan (29.4%), and the AC account was 58.40 trillion yuan (57.5%). By asset category as of Q2 2025, bond investment was 79.08 trillion yuan (84.46%), equity investment was 0.86 trillion yuan (0.91%), and funds and other investments were 13.07 trillion yuan (13.96%). From Q4 2023 to Q3 2025, the investment scale of the FVOCI account increased significantly, mainly due to the growth of bond investment [8]. - **Structural Characteristics**: Credit bonds are mainly placed in the FVOCI account, and interest - rate bonds are mainly placed in the AC account. Among different types of banks, the proportion of the three accounts of large - state - owned banks and joint - stock banks is relatively stable, while the proportion of the AC category of city and rural commercial banks has decreased, and the FVOCI category of city commercial banks has increased, indicating a shift from allocation to trading thinking [2][14]. 3.2 Bond Market in 2025 - In 2025, the bond market may rely on increased allocation by bank self - operations. The government issued more bonds in 2025, and the weak credit demand led banks to significantly increase their bond investment. The year - on - year growth rate of the bond investment balance of various types of banks has increased significantly, and bond investment may become the main driving force for the expansion of bank asset scale [31][33]. 3.3 Bank Bond Investment Characteristics - **Investment Portfolio**: As of Q3 2025, bank self - operated bond holdings were 96.5 trillion yuan, mainly interest - rate bonds. Interest - rate bonds accounted for 80.7%, credit bonds accounted for 11.7%, negotiable certificates of deposit accounted for 5.7%, and other bonds accounted for 1.8%. Among interest - rate bonds, treasury bonds accounted for 33.3%, local government bonds accounted for 48.3%, and policy - bank bonds accounted for 17.8% [36]. - **Pricing Influence**: As of Q3 2025, bank self - operated bond holdings accounted for 48.21% of the total bond custody, having a significant impact on the bond market pricing, but the degree of influence varies by bond type. Bank self - operated interest - rate bond holdings accounted for 63.6% of the total interest - rate bond custody, having a significant impact on pricing [44]. 3.4 Bank Bond - Allocation Indicator Constraints - **Capital Adequacy Ratio Requirements**: The risk weights of treasury bonds and policy - bank bonds are 0, the risk weights of local general bonds and special bonds are 10% and 20% respectively, and the risk weights of general corporate bonds and non - bank financial institution ordinary bonds are 75% - 100% [3][47]. - **Liquidity Regulatory Indicators**: The liquidity coverage ratio is relatively relevant to bank self - operated bond investment behavior. Treasury bonds are included in qualified high - quality liquid assets at market price, while credit bonds are given a discount coefficient according to credit ratings [47]. - **Bank Book Interest Rate Risk Indicators**: For large - state - owned banks, joint - stock banks, and Postal Savings Bank, when the maximum economic value change exceeds 15% of their Tier - 1 capital (ΔEVE > 15%), regulatory attention will be drawn [47]. 3.5 Bank Self - Operated Secondary Trading Characteristics - **Interest - Rate Bond Secondary Trading**: Joint - stock banks are the main players in the secondary trading of interest - rate bonds. The trading activity of the whole market has increased since Q1 2023, especially significantly after 2025. The trading scale of large - state - owned banks and policy banks is relatively small [3][52]. - **Credit Bond Secondary Trading**: The trading scale of credit bonds is relatively limited, and the single - quarter trading amount of bank self - operations is generally below 1 trillion yuan [54]. - **Ultra - Long - Term Interest - Rate Bond Secondary Trading**: The secondary trading of ultra - long - term interest - rate bonds in the banking system shows the characteristics of "net reduction trend remains unchanged, and selling pressure converges marginally". Different types of banks have different trading behaviors [56].