德意志銀行：2018年中國銀行業展望——監管政策收緊，變革在即

1.又是一個銀行分化之年，依舊利好零售型銀行

中國把防範金融風險列為頭等大事。金融去槓桿的持續時間可能比預想的要長，市場利率會更高，監管日趨嚴格。這會是的信貸規模增長更加溫和，減緩了槓桿的累積，從而降低影響金融穩定的風險。在銀行資產方面，我們預計供給側改革將會持續嚴格推進，國有企業的改革將會加快，從而改善企業的財務狀況。因此，我們對於中國銀行業依舊保持積極樂觀的態度。我們預計零售型銀行（如四大國有銀行、招商銀行、重慶農商行）和其他銀行之間的差距會日趨明顯，因為資金實力仍是形成差異的關鍵因素。基於此，我們將重慶農商行（3618.hk）評級上調為「買入」，同時依舊認為最看好的銀行為中行和農行。

Another year of divergence among banks; still prefer retail-oriented banks.

China has made containing financial risks a top priority. Financial deleveraging may last longer than expected, with higher market rates and more coordinated but tighter regulations. This may lead to moderate credit growth but slower leverage build-up and hence, less financial stability risk. On the banks』 asset side, we expect supply-side reform will be strictly followed and SOE reform may accelerate, leading to improving corporate financial health. Thus, we stay positive on the Chinese bank sector. We expect wider divergence between retail banks (big-4/CMB/CRCB) and the rest, as funding strength remains the key differentiating factor; upgrading CRCB to Buy – top picks: BOC & ABC.

2.金融去槓桿化：市場加息、新的委員會、更加嚴格的監管

在過去的一年中，中國的金融去槓桿取得了一定的進展。然而，由於M2與GDP之比、存貸比兩項指標仍處於高位，因此我們仍然處於去槓桿的前半程階段。我們預計，貨幣政策和宏觀政策將保持緊縮的態勢。我們的利率預測分析師認為，公開市場操作將加息20-45個BPs。資管新規和新的流動性風險管理辦法將逐步實施。在金融穩定發展委員會的領導下，可能會出台更多的監管法規。從銀行業系統宏觀層面看，我們預計信貸增速將放緩，並減少對影子銀行業務和批發資金的依賴。零售型銀行，即擁有存款優勢的銀行，將受益於利率和收益率曲線的上升。其他較小的銀行將持續面臨資金與資本的雙重壓力。

Financial deleveraging: market rate hikes, new committee, tighter regulations

In the past year, China』s financial deleveraging campaign has made progress. Yet we are probably still in the first half of the process, as M2/GDP and creditto-deposit ratios remain elevated. We expect monetary policy and macroprudential policy to stay on the tightening side. Our rates strategist expects a hike total of 20-45bps in OMO rates until 2018 (note). New regulations on asset management (note) and liquidity risks (note) will be phased in. With the Financial Stability and Development Committee – the new committee coordinating financial regulators – leading, more regulations are likely to be followed. System wise, we expect slower credit growth, shrinking shadow banking and less reliance on wholesale funding. Retail banks should benefit from higher rates and yield curve steepening due to solid deposit franchises. The other smaller banks will experience ongoing funding and capital pressure.

3.供給側改革和國企改革將緩解資產質量下行風險。

中國將繼續推行供給側改革。我們最近實地考察發現，地方政府在嚴格執行「去產能」政策，以求達到供需的動態平衡。國企改革也在加速進行，混合所有制改革試點數量在不斷增加，在消除社會責任方面取得了顯著進展。因此，企業財務狀況持續改善，特別是工業企業（佔中國債務總量的22%）和國有企業（佔中國債務總量的35%）。儘管在即將到來的一季度里，企業的盈利增速將會放緩，但財務改善將會持續。這將會帶來不良貸款下降，增加撥備的計提沖回，減少「常青貸款」（即借新還舊）的壓力。我們的研究表明，目前「常青貸款」占所有債務總量的8-13%，比2016年的9%-14%有所減少，2016之前年份佔比更高。

Supply-side and SOE reforms to relieve asset quality risks

China has pledged to deepen supply side reform. Our recent field trips showed that local governments are rigorously carrying out efforts that rebalance supply-demand dynamics. SOE reform has also been accelerating, with a rising number of mixed-ownership pilot runs and notable progress in removing social responsibilities. As a result, the improvement in corporate financial health, especially for industrial enterprises (22% of China』s debt) and SOEs (35%), will probably be sustained in the coming quarters (note), albeit with slower net profit growth. This should lead to less NPLs, rising provision write-backs and reduced asset yield pressure given fewer 「evergreening」 loans. Our proprietary study shows that c. 8-13% of China』s corporate debt was evergreening, dropping from 9-14% in 2016 and likely to decline further.

4.估值分化：盈利預測、估值、催化劑與風險

在2017年，零售型銀行的表現將由於其他銀行28個百分點。我們根據進一步穩定的ROE對各行進行重新評級。我們預測銀行業在2018年和2019年的年均增長率分別為6.5%和8.5%，與之相應是2017年預計增長率為4.3%。考慮到2018年預測數據中，賬麵價值轉換以及匯率調整等因素，我們將H/A股銀行的代表價格TP (Typical Price)提高15%/8%。我們將重慶農商行的評級上調為「買入」，建行（H股）和交行上調為「持有」。我們的最有序列是：中國銀行、農業銀行、建行、工行、重慶農商行。催化劑：引入逆周期緩衝資本（CCyB）、國內系統重要性銀行的監管要求，以及「南向資金」的注入。對於小型銀行，如果人行的政策出現鬆動，我們對其評價會轉為正面。上行風險：取消或者軟化GDP的增長目標、更為積極的國有企業改革。下行風險：無序的去槓桿以及房地產價格調整。

Valuation gap to widen; earnings forecasts, valuation, catalysts and risks

In 2017, retail banks (big-4/CMB/CRCB) have outperformed other banks by 28ppt. We re-rate further on stabilizing ROE. We forecast 6.5%/8.5% yoy growth in 2018/19 vs. 4.3% yoy in 2017E. Reflecting the rollover of book value into 2018E and exchange-rate adjustment, we lift TPs by 15%/8% for H/A share banks. We upgrade CRCB to Buy and CEB-H and BOCQ to Hold. Our pecking order is: BOC/ABC/CCB/ICBC/CRCB. Catalysts include results: introduction of CCyB and D-SIB and Southbound inflow. For smaller banks, we might turn positive if the PBOC starts loosening. Upside risks: removal or softened GDP target and more aggressive SOE reforms. Downside risks: disorderly deleveraging and property price correction.

【專題】金融去槓桿化：市場加息、新的委員會、更加嚴格的監管

中國已經強調了經濟增長目標，並將防範金融風險作為最優先事項。在2017年12月20日結束的中央經濟工作會議中，列出了2018-2020的三項政策最優先事項：防範金融風險、減少貧困和保護環境。這與十九大精神相符，其中政策的制定者們強調了經濟增長的質量要高於數量。

China has de-emphasized the growth target and made containing financial risks a top priority. The Central Economic Work Conference, concluded on 20 December 2017, has listed three policy priorities in 2018-2020: containing and resolving major financial risks, poverty reduction and environmental protection. This is consistent with signals from the 19th party congress, where policymakers emphasized growth quality over quantity.

考慮到中國實體經濟部門和金融部門的槓桿率仍在上升，監管政策環境將偏緊。在金融領域，M2佔GDP之比為207%，而信貸與存款之比為118%。在實體經濟中，我們估計截至2017年9月，非金融部門的債務佔國內生產總值的276%，主要為地方政府和國有企業的高槓桿。當前，去槓桿努力初見成效，槓桿的累積速率下降，但仍在上升的槓桿率使我們不能輕言風險已經消失。同時，該槓桿率仍未到達中國政府對於槓桿的容忍線。經濟增長出人意料，就業環境仍然具有彈性。

The tighter policy bias is warranted by the still-elevated leverage in China』s financial sector and real economy. In the financial sector, M2 balance accounts for 207% of GDP currently, and the credit-to-deposit ratio in the China banking system stands at 118% (Figure 1). In the real economy, we estimate that total non-financial sector debt made up 276% of GDP as of September 2017, with local governments and SOEs highly levered (Figure 2). While the pace of leverage build-up has slowed due to recent financial deleveraging efforts, the elevated leverage suggests that we cannot safely assume that the risks have disappeared. Meanwhile, the tolerance level of the Chinese government has not been reached. Economic growth has surprised on the upside and employment conditions remain resilient.

因此，我們預計未來幾年，去槓桿政策仍然將推行下去。在過去的一年裡，金融監管者提高了市場利率，頒布了大量監管法規。展望未來，在「雙支柱」的貨幣政策框架下，我們預計將會出現中性的貨幣政策與收緊的宏觀審慎監管政策相結合。

As such, we expect China』s financial deleveraging campaign to be carried on in coming years. Over the past year, the financial regulators have lifted market rates and rolled out plenty of new regulations. Looking ahead, under the 「dual-pillar」 monetary framework discussed by President Xi at the party congress, we expect a combination of neutralized monetary policy and tightening macro-prudential policy.

什麼是最有影響力的去槓桿措施？

在這些全面去槓桿措施中，我們認為其中幾個重要的舉措，將形成更為嚴格的監管環境、重塑影子銀行面貌，並降低金融長期風險。

Among these comprehensive financial deleveraging efforts, there have been a couple of important initiatives and regulations, which we believe will form a tighter regulatory environment, to reshape the landscape of shadow banking and lower systemic financial risks over the longer term.

最為重要的變化——「超級監管者」

我們認為，新成立的金融發展穩定委員會將是中國強化金融監管框架和降低系統性風險的關鍵步驟。過去，促使中國影子銀行快速發展的一個重要因素，便是監管體系相對獨立，四個監管主體之間缺乏充分的溝通和協調。在某些情況下，監管機構之間還存在著競爭，這導致了一些資管產品的大規模擴張。新的委員會將由更高級別的領導人負責，並建立在現有的監管框架之上，這將有助於加強監管協調，並通過堵住漏洞和避免監管競爭的方式，遏制金融監管套利行為。我們認為，這應該包括遏制中國影子銀行的過快增長。

We see the establishment of this new committee as a crucial step to strengthen China』s financial regulatory framework and lower systemic risks. In the past, one of the key drivers to proliferation of China』s shadow banking has been its fragmented regulatory framework, as there has been a lack of sufficient communications and coordination among the four financial regulators. In some instances, there was even competition between regulators, leading to aggressive expansion in some asset management products. A new committee led by a more senior leader of government and set above existing regulators should help improve regulatory coordination and curb the regulatory arbitrage of financial institutions by closing loopholes and reducing regulatory competition. In our view, this should contain growth and reduce the murkiness of China』s shadow banking system.

市場加息：提高槓桿玩家的融資成本

中國的貨幣政策逐步轉向緊縮。在2017年初，這個緊縮周期剛剛開始的時候，人民銀行延長了流動性注入的期限。隨後，提高了逆回購、中期借貸便利（MLF）和短期借貸便利（SLF）的利率。在過去的12個月里，人民銀行將上述三項貨幣政策工具的利率提高了25個BPs。這一政策推高了同業拆借利率和債券收益率曲線，隨後逐步傳導至貸款和影子銀行市場。不斷提高的市場利率，使得金融機構的盈利水平有所收窄，有的甚至利差為負，這便迫使小銀行進行去槓桿。

Market rate hikes – lifting funding cost for levered players

China』s monetary policy has shifted gradually towards a tightening stance since the beginning of 2017. At the beginning of this tightening cycle, the PBOC lengthened the duration of liquidity injection. This was followed with higher rates of reverse repo, medium-term lending facilities (MLF) and shortterm lending facilities (SLF). PBOC has hiked rates of monetary tools three times by 25bps in aggregate in the past 12 months. These actions have pushed up interbank rates and bond yields, and subsequently translated gradually to lending and shadow banking market (Figure 5). Higher market rates narrowed the spread earned by levered financial institutions, and in some transactions, the spread is even negative. This forced smaller banks to de-lever.

向前預測，我們的利率策略分析師認為，公開市場操作將加息20-45個BPs直到2018年末，7天回購基準利率的範圍將介於2.85-3.50%。這將進一步推高銀行間拆借利率、債券收益率和貸款收益率。然而，我們並不期望人民銀行上調存貸款基準利率（基準利率為50%的銀行資產和65%的銀行負債進行定價）。實體經濟的槓桿率仍然很高，經濟增長率可能會適度放緩，因此，我們不認為此時上調基準利率是明智之舉。然後，通脹仍然是關鍵風險因素。如果人民銀行為了應對通脹而上調基準利率，那麼市場將對銀行系統的資產質量保持關注。

Looking ahead, our rates strategist Liu Linan expects a hike total of 20-45bps in OMO rates until 2018 and 7D benchmark repo fixing rate to range between 2.85-3.50% (see her note). This should further push up interbank rates, bond yield and loan yield. However, we do not expect PBOC to hike benchmark loan/deposit rates, which anchor the pricing for 50% of banking assets and 65% of liabilities. Leverage in real economy remains high, and economic growth is likely to slow modestly. Thus, we do not believe a hike in benchmark rates is justified. However, inflation is the key risk. If PBOC was forced to hike the rate due to heightened inflation, the market might be concerned on the asset quality issue of the banking system.

更嚴格的監管法規：資管新規、流動性風險管理新規、改進的MPA框架，以及更多

在2017年1季度以來，金融監管已經收緊。這一輪收緊與過去不同的是，新出台的監管法規將更加協調一致，縮小了「金融創新」和監管套利的空間。鑒於其全面性，這一輪的收緊可能會在較長的一段時間內逐步實行。

Tighter regulations – Asset management, liquidity risk management, everevolving MPA framework, and more

Financial regulations have been tightened since 1Q17. What makes this round of tightening different from the past is that the regulations are more coordinated and consistent, leaving limited room for 「financial innovation」 and arbitrage. Given their comprehensiveness, this round of tightening is likely to phase in over a relatively long period of time.

2017年11月17日公布的資管新規徵求意見稿：資管部門是中國影子銀行的一個重要組成部分，其總量大概在102萬億左右，2011年至2016年的複合增長率達到50%。它建議對槓桿進行上限管理、削減SPV和多層嵌套、消除隱性擔保。我們認為，這是進一步去槓桿的重要舉措。短期上看，我們認為它對流動性的影響有限，而且有19個月的寬限期。從長期上看，這是一個利好，因為它提升了金融體系的透明度，並限制了影子銀行的增長。我們預計，它對不同的銀行影響效果不盡相同，即有利於大銀行，但對小銀行形成了經營壓力。

The consultative draft for The Guideline on Asset Management Businesses, released on 17 November 2017, targets the fast-growing asset management sector with a total AUM of Rmb102tr (50% CAGR during 20011-16), an essential part of shadow banking. It proposes capping leverage, reducing duration mismatch, cutting down SPV layers and removing implicit guarantees. We view it as a vital step in continuing financial deleveraging. Near term, we see limited impact on liquidity, as the regulations are largely expected, and there is a 19m grace period. Yet, we see it as a long-term positive, as it raises transparency and caps the growth in shadow banking. We expect a divergent impact on banks, as it favors big banks while adding pressure on smaller ones.

2017年12月6日公布的商業銀行流動性風險管理指引，其符合了巴塞爾III的流動性監管標準（LCR與NSFR），並引入了新的監管措施。我們預計，這一新規將降低銀行的期限錯配，切斷批發資金，減少對影子銀行資產的投資。因此，從長期來看，我們認為其減少了流動性風險。但是在短期內，銀行的批發性融資和影子銀行中心可能會受到來自凈息差的壓力。

The Guideline on Liquidity Risks of Commercial Banks, released on 6 December 2017, matches the Basel III standards of liquidity management (e.g. LCR and NSFR) and introduces new measures. We expect this regulation to lower banks』 duration mismatch, cut off wholesale funding and reduce investment in shadow banking assets. As such, we see a net positive over the longer run as it reduces systemic liquidity risks. However, near term, the banks that are wholesale-funded and shadow-banking-centric are likely subject to NIM pressure.

改進後的MPA框架——將表外理財和大額存單納入範圍

2016年人民銀行退出了宏觀審慎評估框架，以維持金融穩定，強化金融機構的紀律。在MPA框架的七個組成部分中，我們認為，更為廣泛的信貸口徑（不僅包括貸款，還包括債券投資、銀行間資產和影子銀行業務），以及宏觀審慎資本充足率，這兩項最具有影響力，因為其在很大程度上限制了規模較小的金融機構擴充資產的衝動。2017年，MPA框架進行了調整，將表外理財納入廣義信貸，大額存單納入同業負債。

Evolving MPA framework – inclusion of off-BS WMP and interbank CDs. PBOC has introduced a macro-prudential assessment (MPA) framework since 2016 to better monitor financial stability and strengthen discipline in financial institutions. Among the seven components under the MPA framework, we believe the introduction of broader credit (including not only loans, but also bond investments, interbank assets and shadow banking) and macro-prudential capital adequacy are particularly impactful, as these measures largely constrain the aggressive asset expansion of smaller financial institutions. More importantly, the MPA framework has continued to evolve. Two major changes have been made: off-BS WMPs have been included in broader credit since 2017 and interbank CDs will be included in interbank liabilities, which are capped at one-third of total liabilities, starting from 1Q18.

展望未來

市場利率提高，但流動性充足。正如前文所述，我們預計2018年利率將小幅上漲20-45個BPs，然後流動性保持充足，因為我們認為人民銀行的容忍底線是防止出現系統性風險。近期，人民銀行對自動質押融資的放寬表明，央行決定通過向金融機構提供流動性的方式防止出現系統性風險。我們還預計，央行將採取定向降準的措施，以直接資助實體經濟，特別是中小企業和融資部門。

Higher market rates, but ample liquidity. As mentioned, we expect more mini hikes in market rates by 20-45bps in 2018. Yet, liquidity volume should stay ample, as we believe PBOC』s tolerance level is to prevent systemic risk. The recent relaxation on automated pledged financing from the PBOC signals that the central bank is determined to prevent systemic risks by providing liquidity to financial institutions in temporary liquidity troubles. We also expect PBOC to conduct targeted RRR cuts to direct funding to support the real economy, especially SMEs and rural sectors.

更為嚴格的資本要求，推行逆周期資本、國內系統重要性銀行資本要求，這兩項都是在今年國際貨幣基金組織在金融穩定性評估（FSAP）中提到的。雖然大型銀行擁有雄厚的資本基礎，但規模較小的銀行（尤其是股份制銀行）正在承受越來越大的資本壓力。逆周期資本和國內系統重要性銀行資本要求的引入，有助於提高中國金融系統的市場信心，因為其建立了資本緩衝機制。與此同時，我們預計監管機構將允許小銀行發行更多的可轉換債券，或其他二級資本工具。

Potentially stricter capital requirements, with the introduction of counter-cyclical capital buffer (CCyB) and domestic systemically important banks (D-SIBs), both of which were suggested by IMF during its Financial Sector Assessment Program (FSAP) Report on China. While big banks have strong capital bases, the smaller banks – especially joint-stock banks – are under mounting capital pressure (see our report Mounting capital pressure dated 1 May 2017). The introduction of CCyB and D-SIBs should help improve the confidence of the market in China』s financial system, as there is an additional buffer built into the core banking assets. At the same time, we expect regulators to allow smaller banks to issue more convertible bonds and/or other tier-2 capital instruments.

關於理財產品和委託貸款的監管新規。伴隨著資管業務指引，這一自上而下的監管改革，我們預期銀監會將出台更為詳細的監管規則，目的在於規範理財產品（規模為28萬億）和委託貸款（餘額為14萬億）。這些監管條例可能進一步規範資金池業務、期限錯配，規範潛在借款人（例如地方政府和房地產部門），解決撥備不足等問題。

New regulations on banks』 wealth management products and entrusted loans. Following the asset management guideline, which is a top-down regulation, we expect more detailed regulations to be released by the CBRC targeting banks WMPs (Rmb28tr AUM) and entrusted loans (Rmb14tr balance). These regulations are likely to further address issues related to asset-pool operations, duration mismatch, restrictions on underlying borrowers (such as LGFVs and the property sector), undercapitalization and under-provisioning.

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金融監管編譯速遞

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