20240111_招商证券_银行业：2024年TLAC债及资本债供给怎么看？_23页.pdf

|2024 01 11/2025 G-SIBs TLAC/2.5%TLAC 2024 G-SIBs TLAC 1.7/0.4 G-SIBs 2023 11 FSB 2023 G-SIBs 2022 2022 TLAC TLAC G-SIBs TLAC 2025=TLAC 16%+2.5%+1.5%-TLAC 0-2.5%=17.5%20%12%5.5 3 2027 TLAC TLAC 2016 2023 11 TLAC 2.72 0.49 TLAC Investment Advisor Investment Advisor TLAC 80%TLAC 10%TLAC 5-10 TLAC 64%TLAC 1)2 3 4 pre-funded TLAC/RWA 16%/18%TLAC RWA 2.5%/3.5%2020 4.7 G-SIBsRWA 3.5%1996-2009/2.5%TLAC 2024 G-SIBs TLAC 1.7/0.4 2023 1.08 2024 0.61 23Q4 0.29 2024 0.76 2024 2024 2024 5Y 2.8%2.9%TLAC%40 0.8 6748.8 9.2 6629.7 10.3%1m 6m 12m 1.2-1.7-7.4 4.8 13.1 11.1 1 12 12 2024-01-06 2-2023 12 12 2024-01-06 3 2024 2023-12-29 S1090521010002 S1090523070003-20-15-10-50510Jan/23 May/23 Aug/23 Dec/23(%)银行 沪深3002024 TLAC 2.4 G-SIBs TLAC.7 TLAC.12 1 TLAC.12 2 G-SIBs TLAC.13 3 TLAC.15.19 1 2024.19 2 2024.20.22 1.4 2 TLAC.7 3 TLAC.7 4 TLAC.8 5%.8 6 10.10 7.11 8 23Q3 G-SIBs TLAC/RWA.13 9 24 1 8 AAA-AAA%17 1 G-SIBs.5 2 2023 G-SIBs.5 3 2019 G-SIBs TLAC/RWA 9 4.9 5 2019 G-SIBs TLAC 11 6 G-SIBs TLAC.11 7 TLAC.12 1ZBYvMqNsRpOoQtQmRtMqRbR9RaQoMnNtRqMeRoOmNkPoPmO9PrRvNuOmPzRuOnMvN 3 8.13 9 1.06.14 10 TLAC.15 11.15 12 TLAC.16 13 TLAC.16 14 TLAC.19 15 23Q3.19 4 2008 too-big-to-fail Systemically important financial institutions SIFIs 2015 11 FSB TLAC Principles on Loss-absorbing and Recapitalisation Capacity of G-SIBs in Resolution Total Loss-absorbing Capacity(TLAC)Term Sheet G-SIBs bail-in bail-out G-SIBs Total Loss-absorbing Capacity TLAC 2018 G-SIBs 1 2 3 G-SIB 1 BIS FSB 2011 Global Systemically Important Banks G-SIBs G-SIBs G-SIBs/20%130 G-SIBs G-SIBs 5 2013 G-SIBs 130 G-SIBs G-SIBs 530-629/3.5%/1.75%5 430-529/2.5%/1.25%330-429/2.0%/1%230-329/1.5%/0.75%130-229/1%/0.5%G-SIBs 1 G-SIBs 530-629 3.5%1.75%430-529 2.5%1.25%330-429 2.0%1.00%230-329 1.5%0.75%130-229 1.0%0.50%Global systemically important banks:revised assessment methodology and the higher loss absorbency requirement 2018 2011 FSB G-SIBs 11 29-30 2023 11 FSB 2023 G-SIBs 2022 2022 2 2023 G-SIBs 2016 2017 2018 2019 2020 2021 2022 2023 442 467 441 437 421 441 447 454 430 410 377 382 369 377 371 391 416 410 410 425 393 369 367 368 340 347 326 323 312 291 331 347 329 311 315 314 306 333 345 336 257 266 283 288 297 303 293 306 223 246 254 287 295 287 293 288 308 291 284 276 275 250 281 259 269 287 281 307 302 292 269 252 210 251 225 224 241 236 224 249 356 334 363 295 264 262 258 248 252 254 242 236 225 232 266 241 191 176 183 180 195 216 203 235 209 200 204 198 195 204 223 229 212 213 222 206 207 221 206 208 6 167 161 180 188 197 201 201 204 190 184 189 182 177 178 198 195 202 193 209 201 199 192 174 190 154 180 173 186 197 193 180 178 129 139 146 153 166 167 172 178 250 242 238 234 220 176 172 170 167 187 194 194 202 219 181 166 103 117 126 131 144 142 137 153 160 152 153 152 156 160 156 150 ING 140 159 161 169 160 155 149 148 148 149 147 140 142 146 146 144 133 132 131 140 140 130 142 140 148 107 118 120 121 125 127 134 126 126 130 129 128 128 138 132 274 228 211 196 190 186 168 124 148 134 142 142 146 145 123 115 BIS 2023 2022 G-SIBs FSB G-SIBs Higher capital buffer Total Loss Absorption Capacity Resolvability Higher supervisory expectations TLAC G-SIBs TLAC TLAC G-SIBs 2019 1 1 TLAC TLAC 16%6%2022 1 1 18%6.75%TLAC TLAC 33%TLAC TLAC 5.33%6.00%6 TLAC 6 2025 1 1 2028 1 1()GDP 55%G-SIBs 2025 2028 TLAC TLAC TLAC 2021 10 29 TLAC TLAC TLAC 7 G-SIBs TLAC TLAC TLAC 2016 2023 11 TLAC 2.72 0.49 TLAC TLAC G-SIBs TLAC TLAC 2 TLAC Bloomberg 2023 2023 11 20 TLAC TLAC 5641 25%2023 12 1 TLAC Investment Advisor Investment Advisor TLAC 80%TLAC 10%3 TLAC 01000200030004000500060002016 年 2017 年 2018 年 2019 年 2020 年 2021 年 2022 年 2023 年TLAC 债发行规模 资本债发行规模Investment Advisor80%Bank10%Insurance Company4%Unclassified1%Government1%Pension Fund1%Brokerage1%Private Equity1%Hedge Fund Manager1%Other0%8 Bloomberg 2023 12 1 TLAC TLAC TLAC 3 3-5 5-10 10 TLAC 17%44%33%TLAC 5-10 5-10 TLAC 64%4 TLAC Bloomberg 2023 11 20 TLAC TLAC TLAC TLAC 100BP 5%Bloomberg TLAC ISIN US48128GYS38 US06423AAJ25 US48128BAF85 TLAC 2-3 年6%3-5 年17%5-10 年44%10 年以上33%0.001.002.003.004.005.006.007.008.009.0020180904 20190904 20200904 20210904 20220904 20230904十年国债到期收益率 摩根大通18年TLAC 债摩根大通18年二级资本债 摩根大通19年永续债 9 2019 TLAC TLAC/RWA 19.78%21.17%21.77%16%3 2019 G-SIBs TLAC/RWA 2.50%2.50%2.50%0.04%0.09%0.04%1.50%1.00%1.00%RWA 1,151,242 614,795 632,200 12.69%16.38%11.92%14.55%17.89%14.75%16.84%20.08%17.48%TLAC/RWA 19.78%27.17%21.77%TLAC Credible ex-ante commitments TLAC 16%/18%TLAC 2.5%/3.5%TLAC 1)2 3 4 pre-funded 4 Total Loss-absorbing Capacity(TLAC)Term Sheet The FSAs Approach to Introduce the TLAC Framework Second version,Japan Credible ex-ante commitments to recapitalise a G-SIB in resolution as necessary to facilitate an orderly resolution and,in particular,to provide continuity of the firms critical functions,from those authorities which may be required to contribute both to resolution funding costs(to cover losses and meet recapitalisation needs)and temporary resolution funding may count towards a firms Minimum TLAC,subject to the agreement of the relevant authorities,and so long as there are no legal impediments to so doing,including that there is no requirement that senior creditors are exposed to loss when such a contribution is made,and that there is no particular limit specified in law in respect of the amount which may be contributed.Such commitments must be pre-funded by industry contributions and may account for an amount equivalent to 2.5%RWA toward the resolution entitys Minimum TLAC when the TLAC RWA Minimum is 16%and for an amount equivalent to 3.5%RWA when the RWA Minimum is 18%.Under the TLAC Term Sheet,certain credible ex-ante commitments to recapitalise a G-SIB in resolution as necessary to facilitate an orderly resolution may count towards a firms minimum external TLAC.As the Japanese Deposit Insurance Fund Reserves fulfil the requirements for such a commitment,the FSA,in accordance with the TLAC Term Sheet,intends to allow the 4SIBs Domestic Resolution Entities to count towards their External TLAC the amount equivalent to 2.5%of the groups consolidated RWAs in cases where the minimum External TLAC requirement for the Domestic Resolution Entity is set at 16%of the consolidated RWAs and 6%of Basel III leverage exposure;and 3.5%of the groups consolidated RWAs in cases where the minimum External TLAC for the Domestic Resolution Entity is set at 18%of the consolidated RWAs and 6.75%of Basel III leverage exposure.16%2.5%18%3.5%Principles on Loss-absorbing and Recapitalisation Capacity of G-SIBs in Resolution Total Loss-absorbing Capacity(TLAC)Term Sheet The FSAs Approach to Introduce the TLAC Framework 10 Deposit Insurance Corporation of Japan Funding for the deposit insurance system is provided on an ex ante basis 1998 2023 3 1.1 0.1 1 6 10 Deposit Insurance Corporation of Japan 1996-2009 2020 4.73 20 1996 11 7 Deposit Insurance Corporation of Japan=/Liability reserves 2019 4.36 RWA 3.78%7.09%6.89%TLAC/RWA 19.78%27.17%21.77%TLAC/RWA 4.48%8.18%5.33%TLAC 5.2 5.0 3.4 13.6 935 5 2019 G-SIBs TLAC 4.04%3.59%3.54%12.69%16.38%11.92%14.55%17.89%14.75%16.84%20.08%17.48%TLAC/RWA 19.78%27.17%21.77%TLAC/RWA 4.48%8.18%5.33%TLAC 51,576 50,290 33,696 TLAC G-SIBs TLAC Bloomberg 2019 TLAC 1200 TLAC GLOBAL TLAC 956 TLAC 1003 6 G-SIBs TLAC DOMESTIC EURO MTN EURO NON-DOLLAR EURO-DOLLAR GLOBAL PRIV PLACEMENT US DOMESTIC AUD 14 5 14 32 EUR 125 33 159 0.00%0.10%0.20%0.30%0.40%0.50%0.60%0.70%0.80%0.90%-5-4-3-2-101234561971197319751977197919811983198519871989199119931995199719992001200320052007200920112013201520172019存款保险基金余额 保费费率（右轴）12 DOMESTIC EURO MTN EURO NON-DOLLAR EURO-DOLLAR GLOBAL PRIV PLACEMENT US DOMESTIC HKD 1 1 JPY 7 7 USD 6 7 3 942 40 5 1,003 13 147 38 3 956 40 5 1,201 Bloomberg TLAC 1 TLAC TLAC TLAC TLAC 2021 10 29“TLAC”TLAC G-SIBs 2025 1 1 16%2028 1 1 18%TLAC 2.5%0-2.5%1%-3.5%=-100%2025 1 1 6%2028 1 1 6.75%=-100%7 TLAC TLAC TLAC TLAC RWA 2.5%2025/3.5%2028 TLAC TLAC/RWA 16%2025/18%2028 TLAC TLAC 2%1%5%buffer 2.5%0-2.5%0%-3.5%TLAC 13 G-SIBs TLAC 2022 4 29 4 29 TLAC TLAC TLAC RWA 2.5%2025/3.5%2028 2022 487 911 2022 549 8 2018 2019 2020 2021 2022 480 821 1,216 620 960 341 395 424 582 500 0 0-1,031-242-911 821 1,216 620 960 549 2023 G-SIBs FSB 2023 G-SIBs 1.5%1%2022 1 1 2022 1 1 2025 TLAC 2 G-SIBs TLAC TLAC=+TLAC/RWA=-2.5%+1.5%+0-2.5%23Q3 TLAC/RWA 13.3%12.6%14.8%13.6%10.7%2025 16%2.5%23Q3 TLAC/RWA 15.8%15.1%17.3%16.1%TLAC/RWA 2027 8 23Q3 G-SIBs TLAC/RWA 10.0%12.0%14.0%16.0%18.0%10.00%12.00%14.00%16.00%18.00%农业银行 工商银行 建设银行 中国银行 交通银行23Q3TLAC/RWA 比率 2025 年初监管要 求 14 Wind 2.5%2024 G-SIBs TLAC/TLAC 1)23Q4-2024 RWA 2022 23Q3-1%RWA 2024 RWA RWA RWA 1 2)2023 3Q23-1%2024 3Q23-2%2023 30%3)0 4)0.8 1.06”23H1 1.06 0.6-0.9 9 1.06 242,443 218,749 217,377 181,507 87,360 44,740 38,053 35,322 31,100 12,730 18.45%17.40%16.25%17.13%14.57%224,821 203,936 203,157 170,524 80,521 148,299 140,110 137,327 153,531 59,314 76,522 63,826 65,830 16,993 21,208 2,286 1,229 2,197 921 2,707 15,336 13,584 12,023 10,062 4,132 1.06 139,905 132,179 129,554 144,841 55,956 1.06 234,049 210,818 209,604 172,817 84,003 1.06 19.12%18.05%16.85%18.00%15.15%0.66%0.65%0.60%0.86%0.58%23H1 1.06”TLAC 2025 G-SIBs 16%TLAC/RWA 0.5 16.5%TLAC“”=TLAC/RWA 16.5%+2.5%+0-2.5%0+1.5%-0-2.5%15 2027 2024 A TLAC 2024 1000 B TLAC 2.5%A B 2024 G-SIBs/TLAC 1.7 0.4 10 TLAC A B 农业银行 7,957 2,796 工商银行 463 建设银行 4,774 中国银行 3,211 交通银行 1,173 712 17,115 3508 2023 1.08 2024 0.61 2023 0.29 2024 0.76 TLAC TLAC TLAC 11 2023/11/11 0 2400 2400 2023/8/28 400 2000 1600 2023/10/30 900 2500 1600 2023/12/4 1600 3000 1400 2023/5/16 0 1500 1500 2023/11/16 1000 2000 1000 2023/9/26 1000 1200 200 2022/6/8 0 30 30 2022/11/15 0 400 400 2023/11/17 300 1000 700 3 TLAC TLAC TLAC TLAC TLAC TLAC TLAC G-SIBs 16 12 TLAC TLAC TLAC TLAC TLAC 1 TLAC TLAC 5 5 TLAC 10%10%G-SIBs 10%2030 G-SIBs TLAC 150%TLAC TLAC G-SIBs;13 TLAC TLAC 1 2 3 4 5 6 7 8 9:1 2 3 17 TLAC 10 TLAC“5+5”“10+5”TLAC 3-5 TLAC 1 TLAC TLAC 3+1 4+1 1 TLAC 150%2 TLAC TLAC 5-10 5+5 10+5 3 TLAC“”2024 1 8 3 AAA 2.64%3 2.84%TLAC G-SIBs TLAC 3 3 TLAC 2.7%5+5 20BP 9 24 1 8 AAA-AAA%TLAC TLAC 150%21 2 30%TLAC 2021 2 30.9%26.1%AAA-AAA 18 10 2021 2 G-SIBs TLAC TLAC G-SIBs TLAC TLAC“”G-SIBs TLAC G-SIBs TLAC G-SIBs G-SIBs TLAC 10%10%G-SIBs 2030 2025 1 1 2029 12 31 TLAC/150%10%G-SIBs G-SIBs TLAC 30 5%10%G-SIBs G-SIBs G-SIBs TLAC G-SIBs G-SIBs TLAC 10%TLAC G-SIBs G-SIBs TLAC TLAC G-SIBs TLAC 10%商业银行29.57%保险机构5.49%资管产品35.68%理财产品24.98%政策性银行2.32%其他1.96%19 14 TLAC TLAC G-SIBs G-SIBs 30 5%10%G-SIBs 2030 G-SIBs 150%G-SIBs G-SIBs 10%G-SIBs TLAC 10%2024 2024 5Y 2.8%2.9%1 2024 2023 9 A 10%-17%1 15 23Q3 13.37%15.23%17.38%8.25%5.12%5.98%6.13%13.25%13.28%15.69%7.50%5.75%4.78%5.19%13.18%13.88%15.62%7.50%5.68%5.38%5.12%9.87%12.42%15.53%7.50%2.37%3.92%5.03%9.72%11.15%15.26%7.75%1.97%2.40%4.51%9.73%11.43%14.45%7.50%2.23%2.93%3.95%11.29%12.32%14.43%7.50%3.79%3.82%3.93%11.03%12.28%14.17%7.50%3.53%3.78%3.67%12.96%12.97%14.17%7.50%5.46%4.47%3.67%10.21%10.21%13.99%7.50%2.71%1.71%3.49%12.81%12.82%13.96%7.50%5.31%4.32%3.46%9.58%11.67%13.84%7.75%1.83%2.92%3.09%9.46%11.19%13.83%8.00%1.46%2.19%2.83%9.47%10.64%13.78%8.25%1.22%1.39%2.53%20 10.24%10.31%13.70%7.50%2.74%1.81%3.20%9.23%10.95%13.52%7.75%1.48%2.20%2.77%9.25%12.28%13.46%7.75%1.50%3.53%2.71%9.11%11.28%13.42%7.75%1.36%2.53%2.67%10.09%11.65%13.38%7.50%2.59%3.15%2.88%9.40%11.21%13.30%7.75%1.65%2.46%2.55%9.60%11.03%13.27%7.50%2.10%2.53%2.77%10.63%10.63%13.18%7.50%3.13%2.13%2.68%9.37%10.84%13.15%7.50%1.87%2.34%2.65%9.25%10.15%13.13%7.75%1.50%1.40%2.38%8.23%9.03%13.10%7.50%0.73%0.53%2.60%9.68%11.99%13.05%7.50%2.18%3.49%2.55%8.94%10.74%12.99%7.75%1.19%1.99%2.24%9.10%10.80%12.94%8.00%1.10%1.80%1.94%9.05%10.71%12.85%7.75%1.30%1.96%2.10%8.31%9.85%12.81%7.50%0.81%1.35%2.31%8.37%10.08%12.78%7.50%0.87%1.58%2.28%9.33%10.30%12.76%7.50%1.83%1.80%2.26%8.81%10.59%12.65%8.00%0.81%1.59%1.65%9.40%10.29%12.48%7.50%1.90%1.79%1.98%10.30%10.30%11.98%7.50%2.80%1.80%1.48%8.87%10.18%11.96%7.75%1.12%1.43%1.21%8.28%9.62%11.83%7.50%0.78%1.12%1.33%8.29%9.79%10.99%7.50%0.79%1.29%0.49%Wind 23H1 TLAC 7000 2024 2 2024 2022 2023 11 7.85%10.05%2023 0.1%0.2%0.25%3 2%2.2%1.95%2024 21 11 Wind 2023 11 2.3 1.9 86%2023 11 12.2 20.3%44.7%2022 3.7 2019 1 25 7 2022 0.7 2023 0.9 2024 23Q3 853 1927 23H1 184 324 538 173 12 2023 27 2024 30 0%10%20%30%40%50%0510152025302013-042013-092014-022014-072014-122015-052015-102016-032016-082017-012017-062017-112018-042018-092019-022019-072019-122020-052020-102021-032021-082022-012022-062022-112023-042023-09保险资金运用余额 保险资金运用余额:债券投资债券投资占比（右轴）050010001500200025003000350023Q1 23H1 23Q3二级资本债 永续债 22 13 E e 23Q3 2021 2023 9 2919 23H1 282 2007 912 14 Wind TLAC-5.00 10.00 15.00 20.00 25.00 30.00 35.00理财规模050010001500200025003000350017Q117Q217Q317Q418Q118Q218Q318Q419Q119Q219Q319Q420Q120Q220Q320Q421Q121Q221Q321Q422Q122Q222Q322Q423Q123H123Q3基金前五大持仓二级资本债规模 基金前五大持仓银行永续债规模 23 6-12 A 300 500 20%5-20%5%5%