证券研究报告 | 固定收益点评 gszqdatemark 2025 12 26 年 月 日 固定收益点评 如何看待银行承接长债指标压力，如何缓解？ 11 月中下旬以来，长债尤其是超长债大幅调整，银行可能是背后重要的抛 售力量，这与银行年末面临的久期指标约束有关。明年银行的相关指标能 否缓解，银行还有多少增配空间，本文对此展开研究。 近年来，由于银行负债端降久期、资产端拉久期，银行资负久期错配问题 加剧，部分国有行银行账簿利率风险指标或逼近监管上限。由于 2024 年 叫停"手工补息"、2025-2026 年高息定存集中到期、以及挂牌存款利率 持续下调，银行负债端整体缩久期、降成本。同时，政府债发行期限结构 不断拉长，国股行作为政府债的重要承接力量，预计资产端久期将会拉长。 这导致银行资产负债久期错配的问题加剧，2024 年，农业银行（-14.31%）、 工商银行（-14.71%）、建设银行（-14.73%）的ΔEVE/一级资本净额接 近-15%的监管上限。 当前银行账簿利率风险适用 2017 年发布的监管指引标准，2026 年大概 率将迎来调整。2016 年，巴塞尔银行监管委员会发布了关于银行账簿利 率风险的 ...

格隆汇12月13日｜华泰固收指出，银行投债行为本质是多重约束条件下的最优化问题，在兼顾稳定、较 高收益目标的同时，也面临更为严苛的约束条件。近日市场颇为关注的"银行账簿利率风 险"或"ΔEVE"便是其中之一，其本质是对银行抵御冲击能力的衡量。近两年大行在一级市场承接不少长 久期政府债，资产久期被动拉长，而负债端久期因存款活期化等趋于缩短，这一错配导致2024年多数大 行的"ΔEVE"比例逼近15%的"红线"。考虑到今年、明年财政基调更为积极且前置，指标压力短期难 解，叠加银行账户摆布压力升级，其对长久期的接受度弱化或难免。期间若指标限制放宽、特别国债注 资、浮息债扩容等有望"解近渴"，只是空间不宜太乐观，银行对长端利率债的承接力仍"存远忧"。 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Year - end allocation of ultra - long bonds is weak. The problem of insufficient ultra - long bond underwriting has intensified this week, driving up the 30Y Treasury bond rate. Although some institutions have increased their allocation, funds still have weak buying power due to redemption pressure [1][10]. - Banks' willingness to allocate ultra - long bonds in the secondary market has decreased due to primary underwriting and IRRBB assessment pressure. Insurance funds continue the trend of stock - bond rebalancing and focus on local bonds and long - term credit bonds [1]. - There are feasible paths to solve the ultra - long bond underwriting problem, such as controlling the duration of new government bonds, central bank's purchase of ultra - long Treasury bonds, guiding non - bank funds to participate in subscriptions, and reducing the pressure on banks' book interest rate risk indicators [2]. - The central bank maintains a supportive attitude. The carry trade strategy is dominant, and investors can moderately participate in band trading after adjustments [2]. 3. Summary by Relevant Catalogs 3.1 Review Summary and Bond Market Outlook - This week, the bond market sentiment was weak, with the 10Y and 30Y Treasury bond rates rising by 1bp and 7bp respectively. The market showed different trends on different days due to factors such as PMI data, stock market performance, and policy expectations [9]. - The allocation of ultra - long bonds at the year - end is weak. Banks' willingness to allocate ultra - long bonds in the secondary market has decreased, and insurance funds focus on local bonds and long - term credit bonds [1][10]. - There are feasible paths to solve the ultra - long bond underwriting problem, and the central bank's supportive attitude remains unchanged. The carry trade strategy is dominant, and investors can moderately participate in band trading [2][24]. 3.2 Bond Market Review 3.2.1 Funding Situation - The central bank conducted a net withdrawal, and funding rates declined. From December 1st to 5th, the central bank's net withdrawal was 8480 billion yuan. R007 and DR007 decreased by 3bp compared to November 28th [28][29]. 3.2.2 Secondary Market Trends - Yields first rose and then fell this week. Except for the 1Y and 3Y Treasury bonds, the rates of other key - term Treasury bonds increased. The 10Y and 30Y Treasury bond yields rose by 1bp and 7bp respectively compared to November 28th [37]. 3.2.3 Bond Market Sentiment - The 30Y - 10Y Treasury bond term spread widened significantly, and the duration of bond funds decreased. The 30Y Treasury bond weekly turnover rate continued to rise to 35%, and the inter - bank leverage ratio rose to 107.3% [43]. 3.2.4 Bond Supply - This week, the net financing of interest - rate bonds decreased compared to last week. The net financing of Treasury bonds increased, while that of local government bonds and policy - bank bonds decreased. The net financing of inter - bank certificates of deposit turned positive, and the average issuance rate increased [57][63]. 3.3 Economic Data - Since December, movie consumption has been significantly stronger than seasonal trends, and the freight rate index has weakened. Real estate, consumption, export, and industrial production show different trends [69]. - Infrastructure and price high - frequency data show that the mill operation rate has rebounded, inventory indicators have continued to decline marginally, and most price indicators have increased [72]. 3.4 Overseas Bond Market - US consumer confidence slightly increased in December, and the expectation of the Fed's interest rate cut has risen. US bonds, Japanese and Korean bond markets declined. The 10Y - 2Y US Treasury bond spread widened, and the Sino - US 10Y Treasury bond spread widened [77][78][81]. 3.5 Major Asset Classes - The Shanghai - Shenzhen 300 index rebounded this week. Shanghai copper rose significantly, and the Nanhua live - hog index weakened. The performance of major asset classes is: Shanghai copper > rebar > Shanghai - Shenzhen 300 > Shanghai gold > CSI 1000 > Chinese - funded US dollar bonds > crude oil > Chinese bonds > convertible bonds > US dollar > live hogs [82]. 3.6 Policy Review - On December 5th, relevant policies such as the adjustment of insurance company risk factors, the management method of financial leasing company business, and articles on capital market development were released. On December 4th, an article on the construction of the monetary policy system was published. On December 1st, the list of infrastructure REITs project industries was released [86][90][91].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In recent years, the mismatch between the duration of banks' assets and liabilities has intensified, with the duration of the asset side lengthening and that of the liability side shortening. This has put pressure on some liquidity indicators and constrained banks' asset allocation behavior. The increase in long - term bond holdings has also increased the pressure on interest rate risk indicators. The report analyzes the current indicator constraints on banks' bond allocation and the prospects of these indicator pressures [1]. 3. Summary by Related Catalogs 3.1 Liability - side Duration Reduction and Asset - side Duration Extension - **Net Interest Margin Pressure**: Since 2022, the net interest margin of commercial banks has continued to decline, from 2.08% at the end of December 2021 to 1.42% at the end of June 2025, compressing banks' profit margins [9]. - **Liability - side Duration Reduction**: - **Deposit**: Since 2023, the duration of new deposits has significantly shortened. High - cost, long - term deposits have been significantly reduced due to the expiration of high - interest fixed deposits in 2025 - 2026 and the suspension of "manual interest compensation" in 2024. Banks tend to guide customers to transfer to short - term deposits, and customers are less attracted to long - term deposits. New deposits are concentrated within 1 year [10]. - **Inter - bank Liabilities**: In 2025, banks mostly reduced the issuance of 9M and 1Y certificates of deposit (CDs) and increased the issuance of 3M and 6M CDs [15]. - **Asset - side Duration Extension**: Since 2019, the loan growth rate of listed banks has continued to decline, and financial investment has become an important alternative asset on the asset side. Bond investment is a major part of financial investment, with government bonds accounting for a relatively high proportion. From 2023 - 2025, the average duration of local government bonds has lengthened from 12.39 years to 15.62 years, and it is expected that the duration of the asset side of national and joint - stock banks will lengthen [17]. 3.2 What Indicator Constraints Do Banks Face in Bond Allocation? 3.2.1 Liquidity Risk: Low NSFR Index for Joint - stock Banks - **Liquidity Regulatory Indicators**: Chinese banks need to meet five liquidity regulatory indicators, including LMR, LR, NSFR, LCR, and HQLAAR. The report mainly analyzes LR, NSFR, and LCR. In mid - 2025, the LR and LCR of listed banks generally had sufficient safety margins, while the NSFR safety cushions of joint - stock banks (except China Merchants Bank) and some city commercial banks were relatively thin [3][22]. - **Reasons for Low NSFR in Joint - stock Banks**: The core reason lies in the liability side. Retail deposits are not advantageous, the proportion of inter - bank liabilities is high, and deposits tend to be short - term. This leads to a low Available Stable Funds (ASF) [41]. - **Measures to Deal with NSFR Pressure**: - **Increase the Numerator**: In October, joint - stock banks significantly increased the issuance of 1Y CDs. The net financing of joint - stock bank CDs in October reached 62.44 billion yuan, and the issuance scale of 1Y CDs was significantly increased [45]. - **Reduce the Denominator**: From January to September this year, joint - stock banks basically maintained a monthly net reduction of CDs and increased the allocation of interest - rate bonds, which is conducive to reducing the Required Stable Funds (RSF) and improving the NSFR [48]. 3.2.2 Interest Rate Risk: The ΔEVE/First - tier Capital of Some State - owned Banks Approaches the Upper Limit - **Regulatory Requirements**: According to the "Administrative Measures for the Interest Rate Risk of Commercial Banks' Banking Books (Revised)", when the economic value change of state - owned large commercial banks exceeds 15% of their first - tier capital, the banking regulatory authority should pay attention and conduct follow - up evaluations [53]. - **Interest Rate Risk of Banking Books**: In 2024, under six standardized interest rate shock scenarios, the maximum economic value change losses of Agricultural Bank of China (- 14.31%), Industrial and Commercial Bank of China (- 14.71%), and China Construction Bank (- 14.73%) as a percentage of their first - tier capital were close to - 15%. This has objectively constrained bond - allocation behavior and will affect the volume and duration of state - owned banks' bond investments [55].

Investment Rating - The industry rating is "Outperform" (maintained rating) [7] Core Viewpoints - The report discusses the increasing expectations for the resumption of government bond trading following the joint meeting of the Ministry of Finance and the central bank in early September, highlighting the need for a stable funding injection for banks [2][3][58] - The resumption of government bond trading is seen as beneficial for enhancing the stability of banks' asset-liability management, especially given the current pressures on deposit duration and interest rate risks [3][58] - The report emphasizes that while there is a necessity for the resumption of government bond trading, it is not deemed extremely urgent at this stage [57] Summary by Sections 1. Background of Government Bond Trading - Government bond trading was officially launched in August 2024 but was suspended in January 2025 due to market conditions [14][30] 2. Operation Methods Before Resumption - The central bank previously employed a "buy and lend" strategy for government bonds, impacting its balance sheet and liquidity management [22][26] 3. Reasons for Suspension Earlier This Year - The central bank suspended government bond purchases to avoid exacerbating supply-demand imbalances and market volatility, as the broad interest rates were declining too rapidly [30][34] 4. Three Conditions for Resumption - The report outlines three main conditions for the resumption of government bond trading, focusing on macro-prudential assessments, interest rate changes, and market supply-demand dynamics [37][41] 5. Bank Perspective on Resumption - The resumption of government bond trading is crucial for banks to manage their asset-liability structures effectively, especially in light of the pressures on deposit durations and the need for stable funding sources [58]

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].