行业报告 | 行业专题研究 银行 证券研究报告 从银行视角看国债买卖重启 在 9 月初财政部与央行联合工作组第二次组长会议召开后，加之市场进一步震荡下跌，投资者对于 重启国债买卖的预期不断升温。在当前阶段，是否已具备相应的条件？ 一般分析央行重启买卖国债的逻辑线索，主要基于 2025Q1 货币政策执行报告中的相关表述。即从 宏观审慎的角度观察、评估债市运行情况，关注国债收益率的变化，视市场供求状况等维度分析： （1）仅以四季度看，重启国债买卖工具，尽管有一定必要性，但并未达到非常紧迫的状态，该工具 重启与不重启在两可之间。（2）上述触发因素，在今年 Q3 同样也具备，甚至紧迫性更强，尤其在 市场调整压力较大的 8-9 月份，但央行并未落地。（3）市场之所以对于该工具期待程度较高：一方 面是财政与央行两部门会议提及了"对国债买卖操作进行了研讨"；另一方面是市场大跌，市场会基 于既有逻辑进行推演，例如继续下跌会引发负反馈，发债成本提升等。 尽管央行并未明确提及国债买卖重启有基于银行维度的考虑，但我们也可从这一视角探讨该工具的 价值。从实际情况看，国债买卖工具的重启，对于增强银行资产负债管理的"稳健性"，有较大助益 ...

Investment Rating - Industry rating is maintained at "Outperform the Market" [7] Core Viewpoints - The report focuses on three main aspects of banks' self-operated investment behavior: redemption pressure, interest rate risk on bank balance sheets, and the demand for profit realization at the end of the quarter [2][12] - Overall, the redemption pressure for banks in the current year is expected to be manageable, but there will be differentiation among institutions, with smaller banks facing relatively higher demands [5][26] Summary by Sections 1. Tax Shield Effect - Public funds enjoy tax advantages, but due to poor performance in the bond market this year, fund asset EVA is generally lower by 50-100 basis points compared to government bonds and other assets [3][14] - Historical data shows that during significant adjustments in the bond market, such as in the second half of 2020 and the first half of 2023, banks' fund investment scales have notably decreased [3][19] - National banks have performed well in revenue completion this year, which helps reduce redemption pressure, while smaller banks, particularly rural commercial banks, may face higher redemption demands due to weaker performance in their lending sectors [24][26] 2. Liquidity Management - National banks have a net lending scale exceeding 4 trillion yuan, indicating a strong liquidity position that reduces the need to redeem funds for liquidity management [5][28] - Open-ended public funds are considered low-impact assets for liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) calculations, thus not imposing hard constraints on liquidity management [29] 3. High-Frequency Trading - The proportion of fund investments held for trading purposes is low among major banks, indicating a preference for medium to long-term bond funds [30][33] - The new regulations regarding redemption fees are not expected to significantly impact banks' self-operated fund investment behaviors [34]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The bond market maintains a volatile trend, with the key being the upper and lower limits of the range. For the 30Y Treasury bond rate, the current top position is not apparent, and the crucial factor is when the allocation buyers will enter the market [1][9]. - The ultra - long bonds lack the support of allocation buyers and it is difficult to resolve this issue in the short term. Meanwhile, the trading buyers still have the momentum and space to sell ultra - long bonds. The ultra - long bond rate is not at its peak, but it doesn't mean a bearish outlook [1][2][5][6]. Summary According to the Directory 1. Ultra - long bonds lack allocation buyers and it is difficult to solve in the short term 1.1 Old problems remain unsolved: The bond - buying efforts of city commercial banks, rural commercial banks, and insurance companies have been continuously weak this year - City commercial banks and rural commercial banks: Their liability expansion has slowed down due to the migration of deposits to non - bank sectors. Many have OCI floating losses, and adjusting bond positions would turn floating losses into real losses, thus limiting their bond - buying space. Also, their business focus has shifted back to deposit and loan operations [10][13][19]. - Insurance companies: The expansion of their liability side has slowed down due to the reduction of the predetermined interest rate of insurance products. The investment income from the bond market may not cover their high - cost liabilities, making the equity market more attractive [21]. 1.2 New problems have emerged: The supply pressure of ultra - long bonds has increased, and the "interest rate risk" of large banks has been continuously accumulating - Bank book interest rate risk: It measures the risk that interest rate changes cause losses to the economic value and overall income of the bank book. Banks need to conduct regular stress tests, and systemically important banks' maximum economic value change loss in six scenarios cannot exceed 15% of their Tier 1 capital [22]. - Reasons for concern this year: There is a resonance of greater supply pressure of ultra - long bonds, stronger selling pressure, and weak allocation buyers. The supply pressure of ultra - long bonds has been rapidly accumulating since the second half of last year, and the issuance rhythm has accelerated this year. At the same time, the selling pressure has concentratedly emerged this year [23]. - Reasons for large banks' bond - buying in the current spot data: Not all banks face interest rate risk problems; buying short - term bonds has little impact on interest rate risk indicators; some banks can still buy bonds as "market - makers" [28]. - Buying short - term bonds cannot hedge interest rate risk: It only affects the slope of the increase in interest rate risk, not the direction [3][35]. 1.3 Difficult to relieve in the short term: Discussion on three paths to relieve "interest rate risk" - Supply - side approach: Reducing the issuance of ultra - long bonds is difficult because the government bond issuance plan is already determined and related to debt - resolution plans. The supply pressure of ultra - long bonds may persist until 2028 [36]. - Demand - side approach: Supplementing bank capital to improve the carrying capacity is not feasible in the short term, and it will further increase the bond market supply pressure [36]. - Monetary policy coordination approach: The central bank's purchase of bonds is mainly for "base money injection and liquidity management", so the purchase term may not be too long [37]. 2. Trading buyers still have the momentum and space to sell ultra - long bonds - Last week, funds net - sold 1128 billion yuan of interest - rate bonds, including 357 billion yuan of bonds with a maturity of over 10 years, the fourth - highest weekly net - selling volume this year. The reasons include the release of the draft for comments on fee adjustment, which increased the concern of bond funds about redemptions; the risk accumulation caused by the duration - extension behavior at the end of August; and the asymmetric stock - bond linkage, which led to the successive selling of pure - bond funds and hybrid bond funds [38]. 3. The ultra - long bond rate is not at its peak, but it doesn't mean a bearish outlook - The bond market is still in a volatile range, but the upper limit of the interest - rate range has been extended. The extension is due to the expected redemptions of bond funds after the fund fee reform and the delayed entry of allocation buyers caused by the decline in the carrying capacity of large banks [43]. - The 10Y Treasury bond rate has no obvious resistance in the range of 1.80% - 1.90%, and the 30Y Treasury bond rate has no apparent top. When judging the allocation value of ultra - long bonds, the key is when the allocation buyers will enter the market [44].

Core Viewpoint - The Financial Regulatory Authority has revised the "Guidelines for Market Risk Management of Commercial Banks" to enhance capital supervision and standardize business operations, thereby improving market risk management levels in commercial banks [1][2]. Group 1: Definition and Scope of Market Risk - Market risk is defined as the risk of loss due to adverse changes in market prices (interest rates, exchange rates, stock prices, and commodity prices) affecting both on-balance and off-balance sheet activities of commercial banks [2][4]. - The revised guidelines clarify that market risk no longer includes interest rate risk related to the banking book, focusing instead on the fluctuations in market prices that impact bank profits and losses [4]. Group 2: New Requirements and Enhancements - The new regulations require banks to manage market risk through a comprehensive process, detailing requirements for risk identification, measurement, monitoring, control, and reporting [1][3]. - The guidelines aim to enhance banks' operational resilience by improving their understanding of the relationship between market risk and banking book interest rate risk, optimizing governance structures, and integrating the implementation of capital management with market risk management [3]. Group 3: Responsibilities and Governance - The responsibilities of the board of directors, supervisory board, and senior management regarding market risk management are clearly defined, emphasizing the need for a risk culture aligned with market risk management requirements [5][6]. - The guidelines specify that business units are the direct bearers and managers of market risk, while a dedicated department must be established to oversee market risk management policies and procedures [6].

Core Viewpoint - The Financial Regulatory Bureau has revised the "Guidelines for Market Risk Management of Commercial Banks" and released the "Measures for Market Risk Management of Commercial Banks," aiming to enhance capital supervision and standardize business operations, thereby improving market risk management levels in commercial banks [1][2]. Summary by Relevant Sections Market Risk Definition and Scope - Market risk is defined as the risk of loss due to adverse changes in market prices (interest rates, exchange rates, stock prices, and commodity prices) affecting both on-balance-sheet and off-balance-sheet operations of commercial banks [2][4]. - The new measures clarify that market risk no longer includes interest rate risk related to the banking book, focusing instead on risks arising from adverse movements in market prices [4]. Responsibilities and Governance - The board of directors, supervisory board, and senior management of commercial banks have clearly defined responsibilities for market risk management, with the board bearing ultimate responsibility [6]. - The supervisory board is tasked with overseeing the board and senior management's performance in risk management, while senior management is responsible for implementing market risk management practices [6]. Enhanced Risk Management Requirements - The new measures require banks to adopt a comprehensive approach to market risk management, detailing requirements for risk identification, measurement, monitoring, control, and reporting [1][3]. - Banks are encouraged to refine their governance structures and policies, enhance their data systems, and strengthen internal controls and audits to improve the precision of market risk management [3]. Internal Control and Audit - The internal audit department is required to conduct independent reviews of the market risk management system at least annually, ensuring its accuracy, reliability, and effectiveness [6].

Core Viewpoint - The Financial Regulatory Bureau has released the "Measures for Market Risk Management of Commercial Banks" to enhance capital regulation and standardize business operations, aiming to improve market risk management levels in commercial banks [1][2]. Group 1: Definition and Scope - The new measures clarify the definition of market risk and specify the applicable scope, excluding interest rate risks related to bank books, thereby strengthening the connection with other regulations [2]. - The measures emphasize that market risk arises from adverse changes in market prices such as interest rates, exchange rates, stock prices, and commodity prices, affecting both on-balance-sheet and off-balance-sheet operations of banks [1]. Group 2: Governance Structure - The measures highlight the need to improve the governance structure for market risk, defining the responsibilities of the board of directors, supervisory board, and senior management, and emphasizing the importance of managing market risk at the group consolidation level [2]. Group 3: Management Requirements - The measures detail the requirements for comprehensive market risk management, including risk identification, measurement, monitoring, control, and reporting, as well as enhancing internal model definitions and stress testing requirements [2]. - The implementation of these measures is expected to help banks better understand the relationship between market risk and bank book interest rate risk, thereby strengthening market risk management awareness and capabilities [3]. Group 4: Market Impact - The measures are anticipated to have positive impacts on market risk management, including optimizing governance structures and policy procedures, improving risk appetite and limit systems, and enhancing internal controls and audits [3]. - Additionally, the measures will facilitate the integration of the implementation of the "Commercial Bank Capital Management Measures" with market risk management, ensuring effective internal model validation and monitoring [3].

Core Viewpoint - The article discusses the increasing pressure on banks due to rising interest rates and the shift towards long-term government bonds, which has led to significant risks in bank balance sheets and profitability challenges [1][2][17]. Group 1: Government Bond Issuance and Interest Rate Risks - In recent years, the issuance of government bonds has increased significantly, with a shift towards longer maturities, which has passively lengthened the duration of bank holdings [2][11]. - Since 2025, interest rates have been fluctuating upwards, intensifying the interest rate risk faced by banks, particularly due to mismatches in asset and liability durations [2][6]. - Regulatory measures have been implemented to manage banks' interest rate risks, including limits on the economic value changes relative to tier one capital [2][6]. Group 2: Impact on Different Types of Banks - State-owned commercial banks have seen an increase in financial investments as a percentage of total assets, and they may resort to releasing accumulated OCI gains to maintain profit growth in the face of declining bond investment returns [7][11]. - City commercial banks are under significant operational pressure, with high OCI revenue ratios and exposure to long-term government bonds, leading to potential strategies to sell long-term bonds to release gains [11][13]. - Listed rural commercial banks have also been affected by declining bond investment returns, but they may utilize OCI reserves to adjust profits, although this strategy may not be sufficient to maintain year-on-year profit growth [13][17]. Group 3: Market Outlook and Future Considerations - The ongoing interest rate risks and pressure to adjust OCI gains are expected to continue affecting long-term bonds in the second quarter of 2025, although these factors are not seen as dominant forces in the bond market [17]. - The decisive factors for bond market trends will still be influenced by central bank monetary policy, with the aforementioned risks acting as disturbances rather than primary drivers [17].