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2025Q2上市银行△EVE占一级资本的比例(假设利率上升225bps)
2025Q2上市银行△EVE占一级资本的比例(假设利率上升225bps)
行业数据
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图片格式:PNG
图片大小:485KB
图片尺寸:3882*1315
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所属报告:
银行业因势而谋重构平衡:商业银行债券配置回顾与展望-251215(24页).pdf
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相关数据
一线城市租金回报率为1.81%,与30年国债利差为-41bps(单位:%)
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行业数据
2026-07-02
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齐鲁银行存款成本始终低于同业约20bps
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行业数据
2026-07-01
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图30、霍顿(DHI.N)BPS&PB
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行业数据
2026-05-11
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YoY availability changes (bps) by market
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行业数据
2026-04-20
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上市银行2025年△EVE/一级资本较年初变化
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行业数据
2026-04-20
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上市险企净资产对利率下降50bps敏感性(单位:%)
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行业数据
2026-04-09
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图22、2001年债券基金分销成本下降至33bps
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2026-03-09
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图21、2001年权益基金分销成本下降至40bps
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2026-03-09
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估算若年内LPR调降10bps,则定期存款利率有必要下降15-20bps予以对冲对息差的影响
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2026-01-29
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图1410Y-2Y美国国债利差,%,bps
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2026-01-20
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图1510Y-2Y中国国债利差,%,bps
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行业数据
2026-01-20
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摩根士丹利财富管理产品平均费率(bps)
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2026-01-07
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对于最优降息策略理论的检验,三个概念的影响都是重要的(久期单位为月,降息幅度单位为bps)
### 不同情景设定下的参数比较（基于最优降息策略理论检验）

#### 情景A  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 6.0  | 3.0  | 15.0           | 10.0           | 2.3          | (2.4)        | 4.4          | 4.2      | 53.2%        | -56.4%       | 103.2%       | 0.5          | 0.7          | 1.5          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 6.0  | 3.0  | 15.0           | 10.0           | 2.0          | (0.7)        | 5.3          | 6.6      | 30.2%        | -10.5%       | 80.2%        | 0.4          | 0.7          | 1.8          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 6.0  | 3.0  | 15.0           | 10.0           | 1.1          | 0.6          | 3.8          | 5.4      | 19.7%        | 10.7%        | 69.7%        | 0.2          | 0.3          | 1.3          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 6.0  | 3.0  | 15.0           | 10.0           | 1.2          | 0.1          | 3.8          | 5.1      | 24.1%        | 1.8%         | 74.1%        | 0.2          | 0.3          | 1.3          |


#### 情景B  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 3.0  | 6.0  | 15.0           | 10.0           | 4.5          | (4.8)        | (4.4)        | (4.6)    | -97.1%       | 102.9%       | 94.2%        | 0.9          | 1.3          | 1.5          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 3.0  | 6.0  | 15.0           | 10.0           | 4.0          | (1.4)        | (5.3)        | (2.7)    | -148.6%      | 51.4%        | 197.2%       | 0.8          | 1.4          | 1.8          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 3.0  | 6.0  | 15.0           | 10.0           | 2.1          | 1.2          | (3.8)        | (0.5)    | -438.0%      | -238.0%      | 776.0%       | 0.4          | 0.5          | 1.3          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 3.0  | 6.0  | 15.0           | 10.0           | 2.5          | 0.2          | (3.8)        | (1.1)    | -216.5%      | -16.5%       | 332.9%       | 0.5          | 0.6          | 1.3          |


#### 情景C  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 3.0  | 6.0  | 10.0           | 15.0           | (4.5)        | (3.2)        | (2.9)        | (10.6)   | 42.5%        | 30.0%        | 27.5%        | 0.9          | 0.9          | 1.0          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 3.0  | 6.0  | 10.0           | 15.0           | (4.0)        | (0.9)        | (3.5)        | (8.4)    | 47.3%        | 10.9%        | 41.8%        | 0.8          | 0.9          | 1.2          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 3.0  | 6.0  | 10.0           | 15.0           | (2.1)        | 0.8          | (2.5)        | (3.9)    | 55.0%        | -19.9%       | 64.9%        | 0.4          | 0.4          | 0.8          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 3.0  | 6.0  | 10.0           | 15.0           | (2.5)        | 0.1          | (2.5)        | (4.9)    | 50.6%        | -2.6%        | 51.9%        | 0.5          | 0.4          | 0.8          |


#### 情景D  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 8.8  | 6.7  | (2.0)| 15.5 | 6.0  | 3.0  | 15.0           | 10.0           | 2.2          | (1.6)        | 5.1          | 5.8      | 38.4%        | -26.8%       | 88.4%        | 0.4          | 0.8          | 1.7          |
| 股份行 | 8.8  | 10.1 | 1.3  | 18.9 | 6.0  | 3.0  | 15.0           | 10.0           | 1.5          | 0.7          | 5.1          | 7.3      | 20.4%        | 9.2%         | 70.4%        | 0.3          | 0.5          | 1.7          |
| 城商行 | 12.1 | 14.0 | 1.9  | 26.1 | 6.0  | 3.0  | 15.0           | 10.0           | 1.1          | 0.5          | 3.7          | 5.3      | 20.2%        | 9.6%         | 70.2%        | 0.2          | 0.3          | 1.2          |
| 农商行 | 12.0 | 18.7 | 6.7  | 30.7 | 6.0  | 3.0  | 15.0           | 10.0           | 0.8          | 1.3          | 3.7          | 5.9      | 13.6%        | 22.8%        | 63.6%        | 0.2          | 0.2          | 1.2          |


#### 情景E  
| 银行   | D    | L    | L-D  | M*D  | M_D  | M_L  | 存款降息(bps) | 贷款降息(bps) | 对冲比例影响 | 久期错配影响 | 相机决策影响 | 合计影响 | 对冲比例占比 | 久期错配占比 | 相机决策占比 | 对冲比例系数 | 久期错配系数 | 相机决策系数 |
|--------|------|------|------|------|------|------|----------------|----------------|--------------|--------------|--------------|----------|--------------|--------------|--------------|--------------|--------------|--------------|
| 国有行 | 10.3 | 6.7  | (3.6)| 17.0 | 6.0  | 3.0  | 10.0           | 20.0           | (4.5)        | (1.6)        | 2.9          | (3.2)    | 141.5%       | 50.0%        | -91.5%       | 0.5          | 0.4          | 1.0          |
| 股份行 | 8.5  | 7.5  | (1.0)| 16.0 | 6.0  | 3.0  | 10.0           | 20.0           | (4.0)        | (0.5)        | 3.5          | (0.9)    | 433.7%       | 50.0%        | -383.7%     | 0.4          | 0.5          | 1.2          |
| 城商行 | 11.9 | 14.0 | 2.2  | 25.9 | 6.0  | 3.0  | 10.0           | 20.0           | (2.1)        | 0.4          | 2.5          | 0.8      | -276.0%      | 50.0%        | 326.0%       | 0.2          | 0.2          | 0.8          |
| 农商行 | 11.8 | 12.1 | 0.3  | 24.0 | 6.0  | 3.0  | 10.0           | 20.0           | (2.5)        | 0.1          | 2.5          | 0.1      | -1973.3%     | 50.0%        | 2023.3%      | 0.2          | 0.2          | 0.8          |


**资料来源：wind，东北证券**
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行业数据
2026-01-07
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2021年以来历次LPR和存款利率下降、四类银行反应均值、以及六大行的详细情况(单位为bps)
| 季度分布 | 确切日期       | LPR_1Y_Δ | LPR_5Y_Δ | 存款降息的确切日期 | 活期 | 3M   | 6M   | 1Y   | 2Y   | 3Y   | 5Y   | 上市银行 | 国有行 | 股份行 | 城商行 | 农商行 | 市银行 | 国有行 | 股份行 | 城商行 | 农商行 | 工行 | 建行 | 农行 | 中行 | 交行 | 邮储 | 工行 | 建行 | 农行 | 中行 | 交行 | 邮储 |
|----------|----------------|----------|----------|--------------------|------|------|------|------|------|------|------|---------|--------|--------|--------|--------|--------|--------|--------|--------|--------|------|------|------|------|------|------|------|------|------|------|------|------|
| 3Q19     | 2019-08-20/09-20 | (11)     | (11)     |                    |      |      |      |      |      |      |      | 5       | (1)    | 1      | 9      | 5      | (12)   | (12)   | (14)   | (9)    | (17)   | (8)  | (9)  | (6)  | (19)  | (24)  | (11)  | 4     | 1     | (7)   | (11)  | (4)  | 2     |
| 4Q19     | 2019/11/20     | (5)      | (5)      |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 1Q20     | 2020/2/20      | (10)     | (5)      |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 2Q20     | 2020/4/20      | (20)     | (10)     |                    |      |      |      |      |      |      |      | 5       | (2)    | 2      | (5)    | (2)    | 0      | (0)    | (3)    | 4      | 4      | (8)   | (11) | (1)  | 4    | (11)  | (10)  | 3     | (2)   | 1     | 1     | (9)   | (11)  | 2     |
| 3Q20     |                |          |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 4Q20     |                |          |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 1Q21     |                |          |          |                    |      |      |      |      |      |      |      | 4       |        | 2      | (11)   | 13     | 2      | (16)   | (12)   | (14)   | (18)   | (18)  | (9)  | (12) | (13) | (12)  | (22)  | (3)   | 0     | 8     | 6     | (5)   | (9)   | 5     |
| 2Q21     |                |          |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 3Q21     |                |          |          |                    |      |      |      |      |      |      |      | 9       |        | 0      | 1      | 19     | 4      | 11     | (2)    | (6)    | 31    | (0)  | (1)  | (2)  | (2)   | (1)   | 0     | (4)   | 1     | 0     | 2     | (1)   | (1)   |
| 4Q21     | 2021/12/20     | (5)      |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 1Q22     | 2022/1/20      | (10)     | (5)      |                    |      |      |      |      |      |      |      | 2       | 5      | 5      | 3      | 1      | 2      | (11)   | (4)    | (13)   | (13)  | (8)  | (1)  | (5)  | 0     | 3     | (5)   | (7)   | 8     | 5     | 6     | 4     | 4     | 0     |
| 2Q22     | 2022/5/20      | (15)     | (15)     |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 3Q22     | 2022/8/22      | (5)      | (15)     | 2022/9/15          | (5)  | (10) | (10) | (10) | (20) | (15) | (10) |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 4Q22     |                |          |          |                    |      |      |      |      |      |      |      | 1       | 2      | 2      | 3      | (1)    | 0      | 14     | (9)    | 46     | 20    | (13) | (10) | (3)  | (14)  | 4     | (7)   | (13)  | 5     | 1     | 3     | 9     | 5     | (2)   |
| 1Q23     |                |          |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 2Q23     | 2023/6/20      | (10)     | (10)     | 2023/6/8           | (5)  |      |      |      |      |      |      | 1       | 7      | 7      | 5      | (3)    | (2)    | (18)   | (19)   | (14)   | (19)  | (22) | (10) | (23) | (22)  | 15    | (14)  | (24)  | 15    | 4     | 7     | 19    | 16    | (7)   |
| 3Q23     | 2023/8/21      | (10)     |          | 2023/9/1           |      | (10) | (20) | (25) | (25) | (25) |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 4Q23     |                |          |          | 2023/12/22         |      | (10) | (10) | (10) | (20) | (25) | (25) | (0)     | (1)    | (1)    | (1)    | (1)    | (1)    | (11)   | (11)   | (12)   | (7)   | (19) | (14) | (12) | (8)   | (12)  | (11)  | (1)   | 0     | 1     | 1     | 5     | (2)   | (1)   |
| 1Q24     | 2024/2/20      |          | (25)     |                    |      |      |      |      |      |      |      | (9)     | (7)    | (8)    | (8)    | (9)    | (10)   | (28)   | (25)   | (30)   | (27)  | (29) | (29) | (27) | (25)  | (27)  | (22)  | (24)  | (5)   | (5)   | (8)   | (3)   | (12)  | (5)   |
| 2Q24     |                |          |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 3Q24     | 2024/7/22      | (10)     | (10)     | 2024/7/25          | (5)  | (10) | (10) | (10) | (20) | (20) | (20) | (6)     | (8)    | (8)    | (8)    | (5)    | (4)    | (13)   | (12)   | (14)   | (10)  | (16) | (12) | (12) | (13)  | (14)  | (12)  | (11)  | (12)  | (7)   | (7)   | (7)   | (9)   | (4)   |
| 4Q24     | 2024/10/21     | (25)     | (25)     | 2024/10/18         | (5)  | (25) | (25) | (25) | (25) | (25) | (25) | (6)     | (8)    | (8)    | (8)    | (5)    | (4)    | (13)   | (12)   | (14)   | (10)  | (16) | (12) | (12) | (13)  | (14)  | (12)  | (11)  | (12)  | (7)   | (7)   | (7)   | (9)   | (4)   |
| 1Q25     |                |          |          |                    |      |      |      |      |      |      |      |         |        |        |        |        |        |        |        |        |        |      |      |      |      |      |      |      |      |      |      |      |      |
| 2Q25     | 2025/5/20      | (10)     | (10)     | 2025/5/20          | (5)  | (15) | (15) | (15) | (15) | (25) | (25) | (25)    | (24)   | (27)   | (26)   | (24)   | (39)   | (46)   | (45)   | (45)   | (35)  | (35) | (48) | (47) | (44)  | (49)  | (45)  | (48)  | (27)  | (25)  | (21)  | (25)  | (27)  | (21)  |
| 2019     |                | (16)     | (5)      |                    | 0    | 0    | 0    | 0    | 0    | 0    | 0    | 0       | 0      | 0      | 0      | 0      | 0      | 0      | 0      | 0      | 0      | 0     | 0    | 0    | 0     | 0     | 0     | 0     | 0     | 0     | 0     | 0     | 0     |
| 2020     |                | (30)     | (15)     |                    | 0    | 0    | 0    | 0    | 0    | 0    | 0    | 2       | (3)    | (3)    | (4)    | 6      | 5      | (13)   | (15)   | (10)   | (5)   | (25) | (19) | (10)  | (2)   | (30)  | (34)  | (8)   | 2     | 2     | 2     | (6)   | (20)  | (15)  | 4     |
| 2021     |                | (5)      | 0        |                    | 0    | 0    | 0    | 0    | 0    | 0    | 0    | 13      | 2      | 2      | (10)   | 33     | 6      | (5)    | (14)   | (21)   | 13    | (18) | (10) | (14)  | (15)  | (13)  | (22)  | (7)   | 1     | 8     | 8     | 6     | (10)  | 4     |
| 2022     |                | (15)     | (35)     |                    | (5)  | (10) | (10) | (10) | (20) | (15) | (10) | 3       | 7      | 7      | 5      | (1)    | 2      | 3      | (13)   | 33     | 7     | (21) | (11) | (8)   | (14)  | 7     | (12)  | (20)  | 13    | 6     | 9     | 13    | 9     | (2)   |
| 2023     |                | (20)     | (10)     |                    | (5)  | (10) | (10) | (20) | (50) | (65) | (65) | 1       | 6      | 6      | 4      | (2)    | (3)    | (29)   | (30)   | (26)   | (27)  | (40) | (24) | (35)  | (30)  | 7     | (26)  | (35)  | 14    | 4     | 8     | 24    | 14    | (8)   |
| 2024     |                | (35)     | (60)     |                    | (10) | (35) | (35) | (35) | (45) | (45) | (45) | (15)    | (15)   | (16)   | (14)   | (14)   | (40)   | (37)   | (44)   | (36)   | (45)  | (41) | (39) | (38)  | (41)  | (41)  | (34)  | (35)  | (17)  | (12)  | (15)  | (10)  | (21)  | (9)   |
| 2025     |                | (10)     | (10)     |                    | (5)  | (15) | (15) | (15) | (15) | (25) | (25) | (25)    | (24)   | (27)   | (26)   | (24)   | (39)   | (46)   | (45)   | (45)   | (35)  | (35) | (48) | (47)  | (44)  | (49)  | (45)  | (48)  | (27)  | (25)  | (21)  | (25)  | (27)  | (21)  |
| 2022-2025 |              | (131)    | (135)    |                    | (25) | (70) | (70) | (80) | (130) | (150) | (145) | (21)    | (26)   | (47)   | (4)    | (28)   | (123)  | (155)  | (113)  | (83)   | (185) | (153)| (153)| (143) | (119) | (173) | (153) | (14)  | (17)  | (17)  | (24)  | (50)  | (32)  |

数据来源：wind，东北证券
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行业数据
2026-01-07
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按照存款降息冲击模拟,加权得到的存款降息的季度累计效果,2026年末累计降幅9.5bps,单位(bps)
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2026-01-07
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