Investment Rating - The investment rating for the commercial banking sector is "Outperform the Market" (maintained) [1] Core Insights - A new round of deposit rate declines is creating multidimensional impacts on commercial banks' asset-liability management, forcing a transformation in their strategies [3] - On the liability side, the decrease in deposit costs alleviates interest payment pressures, but the low-interest environment intensifies deposit diversion risks, pushing banks to enhance wealth management capabilities [3] - On the asset side, banks face dual challenges of yield compression and structural adjustments, necessitating a shift towards higher-yield retail assets like consumer loans and small business loans [3] - The complexity of interest rate risk management is increasing, requiring banks to utilize derivatives for hedging and optimize duration matching through dynamic gap management [3] - The operational stratification among commercial banks is increasing, with large banks leveraging their national networks and low-cost funding to support large-scale lending, while smaller banks are constrained by regional operations and high deposit costs [3] - The era of multidimensional asset-liability management for commercial banks has arrived, necessitating a shift towards "lightweight" operations and the expansion of non-interest income sources [3] Summary by Sections 1. Framework Objectives: Matching Assets and Liabilities - The goal of asset-liability management is to balance risk and return, maximizing risk-adjusted returns while considering profitability, liquidity, and safety [7][8] 2. Constraint Tools: Optimization Under Multiple Conditions - Asset-liability management involves managing the asset-liability portfolio, liquidity, interest rate risk, and capital management [7][8] 3. System Application: Perception of Liquidity Tightness - Liquidity management indicators include LCR, NSFR, liquidity ratios, and the adequacy of high-quality liquid assets [109][110] 4. Differentiated Characteristics of Different Institutions - Different types of banks exhibit varying asset structures and investment strategies, with large banks focusing on government bonds and large corporate loans, while smaller banks may have a more diversified approach [30][34]

2025 年 05 月 20 日 银行买债的底层逻辑、特征及展望 债 券 策 略 与展望（交易特征篇）——债市机构行为研 究系列之三》 2025-03-24 《全视角透视理财买债：特征与展望（资产 配置篇）——债市机构行为研究系列之二》 2025-03-06 《纯债基金久期全解析——债市机构行为 研究系列之一》 2024-12-26 证券分析师 huangwp@swsresearch.com 栾强 A0230524110003 luanqiang@swsresearch.com 研究支持 王哲一 A0230123100001 wangzy@swsresearch.com 联系人 王哲一 (8621)23297818× wangzy@swsresearch.com 《理财安全垫的过去与未来：理财买债特征 黄伟平 A0230524110002 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 债 券 研 究 证 券 研 究 报 告 ——债市机构行为研究系列之四 ⚫ 当贷款从供给约束转为需求约束，银行先信贷后债券投资的逻辑生变，债券 投资收益成部分银行重要收入来源。 ⚫ 银 ...