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民生证券:“资本新规”对银行资本水平和投资行为影响几何?

Minsheng Securities: What is the impact of the “new capital regulations” on banks' capital levels and investment behavior?

Zhitong Finance ·  11/13/2023 21:26

On November 1, 2023, the State Financial Supervisory Administration issued the “Commercial Bank Capital Management Measures”. The new capital measures will be officially implemented on January 1, 2024.

The Zhitong Finance App learned that Minsheng Securities released a research report stating that on November 1, 2023, the State Administration of Financial Supervision and Administration issued the “Commercial Bank Capital Management Measures”, and the new capital measures will be officially implemented on January 1, 2024. The bank believes that the introduction of the new capital regulations has a positive impact on the short-term capital adequacy ratio of commercial banks. After the implementation of the new capital regulations, the banking sector's capital adequacy level is generally stable, and the average capital adequacy ratio is rising steadily. In the long run, banks will be guided to better serve entities. New capital regulations guide banks' asset allocation structures through adjustments in risk weighting, support financial service entities, and encourage banks to return to their credit roots. Along with the gradual recovery of the economy, bank credit investment is expected to increase. Maintain the industry's “recommended” rating.

The main views of Minsheng Securities are as follows:

Propose a differentiated supervision system.The new capital regulations divide commercial banks into three levels according to commercial banks' adjusted internal and external asset balances and foreign debt and claim balances. Different regulatory requirements are adopted for banks of different sizes and business styles.

The scope of secondary capital supplements has been expanded.In the new capital regulations, in addition to the current excess loan loss provisions, which can be included in tier 2 capital, it is also stipulated that non-credit asset excess loss provisions can also be included in tier 2 capital. However, considering that the supplement also has upper limit requirements, estimates have found that out of 42 listed banks, there is still room for 9 to benefit from this change.

Asset management products: the more thorough the penetration, the lower the capital consumption.For asset management products in bank books, according to how much penetrating information banks can obtain, the new capital regulations propose three types of measurement rules: penetration law, authorization base law, and 1250% weight method. Specifically, the risk weighting of monetary funds and non-index debt bases may increase, while the risk weights of index debt bases, targeted asset management plans, and customized funds will be less affected. From the perspective of capital pressure, banks may prefer asset management products that are easy to penetrate; the fund company level may be able to actively adapt to changes, such as increasing the layout of products with stable risk weights, detailed information disclosure, etc.

In-table credit: New real estate risk exposure.In the new capital regulations, the overall weight of credit risk tends to decline, leading banks back to their credit roots. For first-tier banks, new investment grades and SME categories have been added to public loans, and the weight has been reduced from 100%; retail loans have proposed a “small, decentralized” regulatory retail concept, and the risk weight of high-quality credit card business has been reduced; in real estate, the risk weight of unprudent housing loans has increased, and the stratification of personal mortgage loans has become more detailed, and the overall weight has tended to decline.

Self-operated investment: mainly affects local government general debt and interbank investment.For tier 1 banks, local government general debt was reduced from 20% to 10%. In terms of interbank investment, considering that most of the counterparty commercial banks are Class A, the risk weight of commercial banks' ordinary bonds and interbank deposits for 3 months or more has been raised from 25% to 40%. Other financial institutions have added investment levels, and the risk weight has been reduced from 100% to 75%. With the exception of policy banks, the weight of the risk of subordinated debt was raised from 100% to 150%. However, banks do not have a high share of their own allocation of second-tier debt, which has limited impact on capital adequacy ratios. Moreover, considering that allocating second-tier bonds is not only affected by capital pressure, it is unlikely that self-operated banks will drastically reduce their holdings of second-tier bonds.

Implications for banks:The capital adequacy ratio has been rising steadily. Using 23H1 data from 42 listed banks for static calculations, the bank found that the core tier 1 capital adequacy ratio of most listed banks had improved to a certain extent. This is also basically in line with feedback from the General Administration of Financial Supervision in response to reporters' questions. According to “Answering Reporters' Questions,” the General Administration of Financial Supervision stated, “Estimates show that after the implementation of the new capital regulations, the banking sector's capital adequacy level was generally stable, and the average capital adequacy ratio increased steadily.”

Disclaimer: This content is for informational and educational purposes only and does not constitute a recommendation or endorsement of any specific investment or investment strategy. Read more
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