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债市机构行为研究系列之四:银行买债的底层逻辑、特征及展望
Group 1 - The report highlights a shift in banks' asset allocation logic from supply constraints to demand constraints, making bond investment a significant income source for banks, especially smaller ones [11][10][3] - Banks are the largest investors in China's bond market, favoring government bonds and local government bonds, with different accounts having distinct allocation strategies and functions [3][20][22] - The report indicates that during a bond bull market, banks tend to focus on trading, while in a bear market, they prioritize allocation, particularly evident in joint-stock banks and city commercial banks [3][9][10] Group 2 - The report discusses how banks' self-operated investments are primarily directed towards government bonds and local government bonds, with income not being the sole objective [16][20][22] - It notes that banks' investment strategies are influenced by regulatory requirements, such as liquidity coverage ratios and risk asset weightings, which favor government bonds due to their tax-exempt interest income [22][23][24] - The report emphasizes that banks' investment behavior can be observed through bond custody data, balance sheets, and secondary market trading, although each data type has its limitations [60][61][3] Group 3 - The report outlines the impact of the FTP mechanism, which encourages banks to hold bonds for interest income rather than capital gains, although extreme circumstances may lead banks to buy bonds below FTP prices to meet regulatory requirements [3][4][5] - It highlights that banks' long-term bond allocation is constrained by profit targets, regulatory pressures, and the conversion of wealth management products into demand deposits, particularly noted in the first quarter of 2025 [3][5][6] - The report anticipates that banks will increase their allocation to long-term government bonds in the second and third quarters of 2025, driven by a surge in government bond supply [3][5][6]