20230924_开源证券_银行业深度报告：基于银行资负行为的同业存单利率研究框架_52页.pdf

1/52 2023 09 24-2023.9.15-2023.9.15 8-2023.9.11 S0790523060002 S0790123060024 S0790123060009 2023 1 2 3 2014-2017 2018 MPA 6 NCD 2022 Ri=ERi+1A1+2A2nAn+i 1 Ri 2 ERi MLF SHIBOR 3 4 1 2 3 5 i 9 1 NCD 2-24%-12%0%12%24%2022-09 2023-01 2023-05 300 2/52 1 NCD.6 2 2023.7 2.1.7 2.2.8 2.3.9 2.4.10 3.10 4.13 4.1 2023.13 4.2.14 4.3.15 4.4.16 4.4.1.16 4.4.2.17 4.4.3.17 5.20 5.1.21 5.1.1 FTP.21 5.1.2.22 5.1.3 NCD.23 5.2.27 5.3 2022.28 6.31 6.1 Ri.31 6.2 ERi.31 6.3 A.31 6.3.1 A1.32 6.3.2 A2.32 6.3.3 A3.34 6.3.4 A4.36 6.4.36 6.4.1.37 6.4.2.37 6.4.3.37 6.5.38 6.5.1.38 6.5.2.39 6.5.3 2023 NCD.39 6.6.40 7 9.42 7.1 9.42 7.2.44 7.2.1 MLF.44 ZXDWuNtOtQpOtNtQsPtMoP7NaO8OmOmMtRoNiNnNvMfQnPoQ8OmNnQwMqQoOwMmQsM 3/52 7.2.2.45 8.47 9.47 1.6 2 2023H1.7 3%.7 4 2023Q1%.7 5 2022.8 6 2023 1-3.8 7 2022 4-M2.8 8.9 9 7-8 1M.9 10 2023.9 11.9 12 2023.10 13.11 14 2014-2017.11 15 2016.12 16.12 17 2017.13 18 2022 VS 2023-09.14 19.14 20.14 21 2023H1.15 22 NCD.15 23.16 24.17 25 1M LCR.18 26 6M NSFR.20 27 LMR.20 28.21 29.21 30.21 31 2023H1.22 32 2023H1.22 33 1M LCR.23 34 1 NSFR.23 35 LMR.23 36.24 37 2023 6 30%.27 38 8 2023H1.28 39.29 4/52 40.29 41.30 42.30 43.31 44%.32 45%.33 46%.33 47 2020.34 48.35 49.36 50 9M.36 51 DR007%.36 52.37 53 FTP.38 54 2023H1%.38 55.39 56 2023.39 57 2023.40 58 2023.41 59 2023Q1.41 60 2022 LPR-5Y 35BP%.42 61 2023Q1.42 62 2023 8%.43 63 9.44 64 2023 8-9.44 65.44 66 9%.44 67.45 68 2023Q4.45 69 2023H1.46 70 2023H1.46 1.48 2 2023 6.49 3 2022.50 1 2014-2017.12 2 2018 MPA.12 3 LCR.17 4 LCR 30.18 5 NSFR.19 6 NSFR.19 7.24 8.25 9.25 10 RWA.26 5/52 11.27 12.27 13.28 14.35 15 2000/NSFR LCR 2023H1.35 16.40 17 2023.41 18.41 19.42 20 9.43 21.45 22.47 6/52 1 NCD NCD NCD NCD NCD NCD NCD 1 7/52 2 2023 2.1 2023 15.73 2.02 2019-2021 0.78 2023 4BP 1M 3 28 1 4 67BP 2 2023H1 3%Wind Wind 4 2023Q1%Wind 15.73 2.02-1.0-0.50.00.51.01.52.02.53.0-6-303691215182018H12018H22019H12019H22020H12020H22021H12021H22022H12022H22023H1半年度新增 同比多增（右轴）4.48 4.04.55.05.56.06.57.07.52023-062022-122022-062021-122021-062020-122020-062019-122019-062018-122018-062017-122017-062016-122016-062015-122015-062014-122014-06:1.01.52.02.53.03.54.04.55.05.56.02023-092023-072023-052023-032023-012022-112022-092022-072022-052022-032021-122021-102021-082021-062021-042021-022020-122020-102020-082020-062020-042020-022019-112019-092019-072019-052019-032019-012018-112018-092018-072018-052018-032018-012017-112017-082017-072017-052017-022016-122016-102016-082016-062016-042016-022015-122015-102015-082015-062015-04:1%:3%:6%8/52 2.2 2023 2022Q4 2023 1-3 15.39 4.53 9.90 2.08 5 2022 6 2023 1-3 Wind 2023 1 2023 1-M2-3.2%-M2 2022 4 M2 2023 1 2-3.2%-3.0%7 2022 4-M2 Wind 2 2023 2023Q1 2023Q2 2023 08 24 1M 2.00%-10%-5%0%5%10%-35-25-15-551525352022-072022-082022-092022-102022-112022-122023-012023-022023-032023-042023-052023-062023-072023-082023-09-40,000-20,000020,00040,00060,00080,0002021-012021-032021-052021-072021-092021-112022-012022-032022-052022-072022-092022-112023-012023-032023-052023-07-4.0-3.0-2.0-1.00.01.02.03.04.0-14.0-10.0-6.0-2.02.06.010.014.02020-012020-032020-052020-072020-092020-112021-012021-032021-052021-072021-092021-112022-012022-032022-052022-072022-092022-112023-012023-032023-052023-07中国:社会融资规模存量:同比%中国:M2:同比%社融-M2(右轴）%9/52 2023 8 9 7-8 1M Wind 3 2023 10 2023 11 360 Wind 2.3/2.98%0%1%2%3%4%5%05001000150020002019Q12019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2 2.00%1.5%2.0%2.5%3.0%3.5%4.0%2018-122019-042019-082019-122020-042020-082020-122021-042021-082021-122022-042022-082022-122023-042023-08:1 2%3%4%5%6%7%2020-032020-062020-092020-122021-032021-062021-092021-122022-032022-062022-092022-122023-032023-06 01000020000300004000050000600002022-012022-022022-032022-042022-052022-062022-072022-082022-092022-102022-112022-122023-012023-022023-032023-042023-052023-062023-07 10/52 12 2023 Wind 2.4 3 2013 2013 9 2013 12 2013 1 1M/3M/6M/9M/1Y 0.600.801.001.201.401.601.802.002.202.401.201.702.202.703.203.702020-012020-032020-052020-072020-092020-112021-012021-032021-052021-072021-092021-112022-012022-032022-052022-072022-092022-112023-012023-032023-052023-072023-09:3%:():1%:():(%11/52 13 2014-2017 MLF SLF 2014-2017 14 2014-2017 Wind 2016 6 21%2017 2017 3.25 46%0%50%100%150%200%250%300%350%400%450%500%0200004000060000800001000001200001400001600002015-022015-072015-122016-052016-102017-032017-082018-012018-062018-112019-042019-092020-022020-072020-122021-052021-102022-032022-082023-012023-06 yoy 12/52 15 2016 16 Wind 1 2014-2017 127 2014/4/24 最长期限不得超过三 年 最长期限不得超过一年 不得超过该银行一级资本的 50%资产证券化 同业存单业务试点 46 2017/3/29 利用同业理 财购买本行同业存单 大量发行同业存单 来进行同业理财投资、委外投资、债 市投资 6 2017/4/7 降低对同业存单等同 业融资的依赖度 同业存单增速较快、同业存单占同业 负债比例较高的 控制同业融资规模 53 2017/4/13 同业存单计入同业融出资金余额 一级资本的 50%同业存单计 入同业融入资金余额 三分之一 MPA MPA 2018 MPA 2018Q1 5000/2019Q1 5000 2 2018 MPA N-SIFIs R-SIFIs CFIs)80 Ci(1 Ci+80 2 Ci-4%Ci 48-80 3 0 Ci-4%0 20-/(1 4%+20(2 0 4%0 TLAC/60 M2(1 20%+0 2 0 20%60(1 22%+0(2 0 22%60(1 22%+0(2 0 25%60 0%5%10%15%20%25%0100002000030000400005000060000700002014-062015-022015-042015-062015-082015-102015-122016-022016-042016-062017-062018-122020-122021-12:13/52 15 M2(1 20%+0(2 0 20%60(1 22%+0(2 0 22%60(1 22%+0(2 0 25%60 25/*100%1 33%+0 2 25%33%15-25 3 0 25%60 1 33%+0 2 28%33%15-25 3 0 28%60 1 33%+0 2 30%33%15-25 3 0 30%60 40/30(1 40(2 0 40/(1 100%+40(2 0 20/100(1 0-100(2 0 50(+)/(1)50(2)2pct 5%30-50(3)0 50/(1)150%,+50(2)100%150%)30-50(3 0 100%0 100/(1 100(2 0 60 20 20 40/0-40 30/0-30 30/20 0-30 IMI 17 2017 Wind 4 4.1 2023 2023 2023-09-13 26.5%2022 8.2pct 2023 1Y 8 1Y 1Y 47%0123456-80,000-60,000-40,000-20,000020,00040,00060,00080,0002013-12-312014-03-312014-06-302014-09-302014-12-312015-03-312015-06-302015-09-302015-12-312016-03-312016-06-302016-09-302016-12-312017-03-312017-06-302017-09-302017-12-312018-03-312018-06-302018-09-302018-12-312019-03-312019-06-302019-09-302019-12-312020-03-312020-06-302020-09-302020-12-312021-03-312021-06-302021-09-302021-12-312022-03-312022-06-302022-09-302022-12-312023-03-31()()()(%)14/52 18 2022 VS 2023-09 Wind 19 20 Wind Wind 4.2 05101520252013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 0500010000150002000025000300002023-01 2023-02 2023-03 2023-04 2023-05 2023-06 15/52 21 2023H1 Wind 71 2023 2023 6 4.3 3 1Y 22 NCD Wind 2022 11%1000 0 0 0.000.501.001.502.002.503.003.50 邮储无锡瑞丰紫金苏农江阴张家港常熟工商招商沪农农业兰州建设中国成都西安齐鲁青农青岛长沙平安浙商光大贵阳苏州渝农交通南京中信郑州北京杭州浦发民生重庆上海江苏厦门宁波华夏兴业0%10%20%30%40%50%60%70%80%90%100%55%60%65%70%75%80%85%90%95%100%NCD备用额度使用率（2022年）吸 收 存 款 占 比（2022年末）16/52 23 Wind 3-5Y 4.4 4.4.1 1 4,000 454 454 190 11%7,848 2,460 2,311 220 29%9,320 8,268 7,979 138 86%12,650 10,194 8,162 177 65%11,000 10,611 10,611 130 96%14,000 17,712 12,813 180 92%8,000 7,269 7,059 154 88%9,510 6,291 7,145 131 75%11,000 8,268 9,668 172 88%15,000 8,363 8,836 152 59%3,000 0 0-0%3,500 3,891 3,033 93 87%6,000 799 664 179 11%6,000 533 560 111 9%9,000 10,304 7,467 126 83%9,000 8,462 7,010 146 78%12,127 10,114 8,497 154 70%13,139 6,654 6,953 178 53%9,600 7,621 7,183 161 75%10,600 7,335 6,408 134 60%8,437 8,225 4,496 121 53%8,500 7,188 4,196 133 49%9,050 6,328 5,289 130 58%9,050 5,525 4,417 158 49%8,000 7,966 6,098 151 76%9,500 8,369 6,864 158 72%4,000 4,265 3,294 132 82%4,000 3,823 3,087 136 77%3,300 3,302 2,196 139 67%4,500 3,139 2,249 142 50%3,864 4,192 3,048 166 79%4,570 5,869 3,156 156 69%2,300 7,221 1,872 131 81%2,700 5,093 2,176 84 81%4,800 6,406 3,839 196 80%5,400 4,723 2,547 156 47%4,754 5,540 3,235 110 68%5,177 3,656 2,270 125 44%3,000 2,616 1,324 103 44%3,305 1,540 1,163 156 35%2,960 3,656 1,772 163 60%2,475 3,004 2,004 133 81%1,440 2,007 1,171 150 81%1,700 1,626 1,392 139 82%1,400 1,905 1,127 123 80%1,700 1,858 1,279 128 75%1,127 1,171 781 121 69%1,200 809 772 153 64%1,250 1,445 1,100 177 88%1,480 1,217 1,334 154 90%915 1,247 812 126 89%1,000 989 844 148 84%950 727 652 140 69%1,100 778 737 142 67%800 2,164 640 120 80%900 1,450 528 86 59%700 401 215 127 31%700 172 125 133 18%930 712 609 184 65%930 662 607 173 65%738 1,236 579 172 78%738 639 665 188 90%500 232 180 107 36%500 309 168 136 34%2,500 2,221 1,447 125 58%2,500 1,733 1,270 100 51%1,200 919 677 188 56%1,200 768 698 145 58%819 781 663 141 81%900 1,513 669 156 74%332 246 69 71 21%335 172 81 84 24%170 5 3 138 2%170 0 0 0 0%315 127 63 71 20%315 72 62 179 20%180 130 95 177 53%201 125 95 75 47%206 162 6 37 3%207 93 74 21 36%156 114 30 54 19%177 181 66 40 37%200 18 18 25 9%100 0 0 0 0%7,720 5,812 5,962 157 62%10,418 8,151 7,050 159 68%7,724 6,547 5,020 144 64%8,254 5,670 4,638 144 55%1,908 2,522 1,350 142 69%2,093 2,023 1,280 141 64%608 472 307 103 32%610 466 302 80 35%3675 3367 2547 135 58%4,249 3,309 2,591 130 56%城商行农商行上市银行 2022 2023 2023-09-21国有行股份行 17/52 2=-24 Wind 4.4.2 4.4.3 2018 LCR NSFR LMR LCR=/30 30 3 LCR 100%0%()2A(HQLA 40%)AA-85%20%()2B(HQLA 15%)BBB-A+50%-4-3-2-101234-30000-20000-1000001000020000300002019-122020-012020-022020-032020-042020-052020-062020-072020-082020-092020-102020-112020-122021-012021-022021-032021-042021-052021-062021-072021-082021-092021-102021-112021-122022-012022-022022-032022-042022-052022-062022-072022-082022-092022-102022-112022-122023-012023-022023-032023-042023-052023-062023-072023-08()()()%18/52 4 LCR 30 30 30 5%3%10%30 5%3%10%25%5%3%40%20%100%0 2A 15%0 2B 50%100%30 0 2A 50%2B 50%50%100%0 50%100%30 100%0%/0%100%30 1M LCR LCR 1 1M LCR LCR 1 LCR LCR 25 1M LCR NSFR=ASF RSF 19/52 5 NSFR 1 1 2 1 1 3 1 1 1 100%1 95%1 90%1 1 2 3 1 4 6 1 6 1 50%1 6 2 3 4 0%6 NSFR 1 2 3 6 4 0%0%5%6 10%1 6 10%2 2A 15%1 2B 2 6 1 3 6 1 4 50%5 1 50%1 1 35%2 1 35%65%1 2 1 35%90 3 1 4 85%1 1 2 3 90 1 100%5%1 2 3 4 20/52 26 6M NSFR LMR=100%27 LMR 5 NCD NCD NCD 2023 8 4.79 33%7.95 54%NCD NCD2023 2 NCD 21/52 28 Wind 5.1 5.1.1 FTP FTP 2023 2017 4 2 2022 3 2.3 29 30 Wind Wind 政策性银 行3%保险类金 融机构 0%证券公司1%基金公司0%其他金融 机构4%非法人类 产品54%名义持有人账户(境内)2%境外机构2%国有行7%股份行2%城商行5%农商行14%村镇银行0%信用社3%外资银行0%其他0%存款类金融机构33%2023 年8月末05000100001500020000250002014-102015-042015-102016-042016-102017-042017-102018-042018-102019-042019-102020-042020-102021-042021-102022-042022-102023-04 0%20%40%60%80%100%2014-102015-052015-122016-072017-022017-092018-042018-112019-062020-012020-082021-032021-102022-052022-122023-07 政策性银 行5%保险类金 融机构 0%证券公司1%基金公司0%其他金融 机构5%非法人类 产品57%名义持有人账户(境内)2%境外机构1%国有行7%股份行2%城商行4%农商行12%村镇银行0%信用社3%外资银行0%其他0%存款类金融机构33%2022年12月末 22/52 NCD 1 NCD TPL 2 NCD AC NCD 3 OCI 31 2023H1 32 2023H1 5.1.2 LCR 1M 100%1M 1M 010002000300040005000 0%20%40%60%80%100%TPL AC OCI 23/52 33 1M LCR NSFR 6M 15%6M-1Y 50%NSFR 34 1 NSFR LMR 35 LMR 5.1.3 NCD NSFR 1 24/52 1 AC FVOCI SPPI FVTPL 2 FVTPL,36 1250%1 7 1 25/52 2 1 2 1.2 2 10%10%A 3M 20%30%A 3M 30%110%150%A 40%149%59%8 0-10%0%0%0-10%0 0%0-20%0%20%0-20%10%10%-30%30%150%3M A 10%-30%20%40%20%-40%30%100%20%-40%40%75%10%-40%40%150%3M A 10%-40%40%40%149%59%3 3 NCD 25%40%9 III 0%0%0%20%0%0%10%26/52 20%20%50%20%20%20%0%0%0%/3M 20%/3M 20%-150%/3M 20%-150%/20%/40%30%14%5%3M 25%3M 40%-150%3M 40%-150%/TLAC/100%150%150%250%250%/400%250%100%65%75%1 2 3 3000 100%100%100%65%75%100%100%4 120%160%10 RWA RWA*/RWA 3M 40%3M 27/52 11 1.150 2.4000 3 4(G-SIB)(D-SIB)5 2022 6 90%100=*1.3+*1.2+*1.9+*3.5 5.2 AA+1 2023 6 30%3.8 6.27 37 2023 6 30%Wind 12 20%5%2022-03 2022-06 2022-09 2022-12 2023-03 2023-06 2022-03 2022-06 2022-09 2022-12 2023-03 2023-0638,591 38,897 37,688 39,808 49,010 47,382 35.82%34.01%33.01%35.63%41.17%37.39%23,559 28,556 30,024 24,454 24,481 28,005 21.87%24.97%26.30%21.89%20.57%22.10%45,298 46,325 46,173 47,120 45,204 50,836 42.04%40.51%40.44%42.17%37.98%40.12%292 579 295 355 335 495 0.27%0.51%0.26%0.32%0.28%0.39%107,740 114,357 114,180 111,737 119,030 126,719 100.00%100.00%100.00%100.00%100.00%100.00%33,370 33,180 32,608 35,766 33,207 38,307 30.97%29.01%28.56%32.01%27.90%30.23%1,291 1,728 1,724 1,451 865 671 1.20%1.51%1.51%1.30%0.73%0.53%3,875 4,150 5,202 4,754 5,318 6,359 3.60%3.63%4.56%4.25%4.47%5.02%262 290 257 254 285 429 0.24%0.25%0.23%0.23%0.24%0.34%5,723 6,210 5,678 4,075 4,778 4,417 5.31%5.43%4.97%3.65%4.01%3.49%346 362 395 593 588 488 0.32%0.32%0.35%0.53%0.49%0.38%(ABS)426 401 303 224 159 151 0.40%0.35%0.27%0.20%0.13%0.12%6 6 6 3 3 14 0.01%0.01%0.01%0.00%0.00%0.01%3,587 3,701 4,495 4,103 4,700 5,596 3.33%3.24%3.94%3.67%3.95%4.42%28/52 AA+10%7 7*7 7 7 2 2023 09 20 66 2850 2023 81.62%0.45 1M/3M 1.97%-0.1%4.5%38 8 2023H1 Wind 2023-09-20 2023 5.3 2022 2023 1 2 2023H1 3M 13 2022-03 2022-06 2022-09 2022-12 2023-03 2023-06-4.64-3.98-2.94-14.60%-13.30%-10.60%1.53 1.58 1.76 1.33 1.29 0.90,0.57%,1.22%,0.19%,81.62%,7.10%,6.76%ABS,0.01%,2.53%29/52 2022-03 2022-06 2022-09 2022-12 2023-03 2023-06 18.93%19.25%21.76%15.23%17.74%12.50%4.84 5.06 5.25 5.57 5.48 6.27 19.30%18.88%19.74%21.39%20.52%22.65%3.34 3.32 3.26 3.58 3.32 3.83 30.97%29.01%28.56%32.01%27.90%30.23%Wind 39 Wind CFETS 3M 120 240 3M 2023Q2 12%Q1 40 2023/9/11,-4022023/6/26,-5772023/3/27,-3252023/2/27,-1510.0%0.5%1.0%1.5%2.0%2.5%3.0%-800-600-400-20002004006008002023-092023-082023-072023-072023-062023-052023-052023-042023-032023-022023-02(AAA):1:18.9%19.3%21.8%15.2%17.7%12.5%0%20%40%60%80%100%2022-03 2022-06 2022-09 2022-12 2023-03 2023-06(ABS)30/52 41 AC 42 2022 2023 9 1 2 3 2022 1 2 2023H1 24%39%47%14%31/52 6 Ri=ERi+1A1+2A2nAn+i 6.1 Ri 6.2 ERi MLF SHIBOR MLF MLF 2022 MLF 2017 MLF SHIBOR SHIBOR 43 Wind 360 6.3 A 32/52 6.3.1 A1 1 2 3 2019H1 2022H1 2021Q1 44%Wind 6.3.2 A2 0.00.20.40.60.8-8.0%-6.0%-4.0%-2.0%0.0%2.0%2019-012019-042019-072019-102020-012020-042020-072020-102021-012021-042021-072021-102022-012022-042022-072022-102023-012023-042023-07 1Y AAA-1Y-10000-50000500010000 同业存单发行量同比增量(亿元）33/52 1 45%Wind 2 2020 70%46%Wind 21222324252620.300.400.500.600.700.802019.012019.032019.052019.072019.092019.112020.012020.032020.052020.072020.092020.112021.012021.032021.052021.072021.092021.112022.012022.032022.052022.072022.092022.112023.012023.032023.052023.07 M:3(M)122334505560657075802019-032019-062019-092019-122020-032020-062020-092020-122021-032021-062021-092021-122022-032022-062022-092022-122023-032023-06中国:贷款需求指数 中债商业银行同业存单到期收益率(AAA):1 年（右轴）-20000-1000001000020000同业存单 发行量 同比增 量（亿 元）34/52 6.3.3 A3 1 2020 2020 2%2023 2022 1.91%2023Q1 1.80%47 2020 Wind 2 1.91%1.74%1.6%1.7%1.8%1.9%2.0%2.1%2.2%2.3%-70000-60000-50000-40000-30000-20000-100000100002000030000400002019-012019-032019-052019-072019-092019-112020-012020-032020-052020-072020-092020-112021-012021-032021-052021-072021-092021-112022-012022-032022-052022-072022-092022-112023-012023-032023-052023-07中资全国 性大型 银行:单位 存款:结 构性存款 中资全国 性大型 银行个 人存款:结 构性存款中资全国 性中小 型银行 个人存 款:结构性存 款 中资全国 性中小 型银行 单位存 款:结构性存 款商业银行 净息差-10000-50000500010000同业存单发行量同比增量(亿元）35/52 48 Wind 3 9M NSFR 9M 14 6 6-12 1 100%100%100%95%95%100%90%90%100%50%50%100%0%50%100%15 2000/NSFR LCR 2023H1 301258 231809 129.96%+0.78pct 73222 57741 126.81%+3.46pct 300458 231809 129.61%+0.43pct 73222 57741 126.81%+3.46pct 300458 231809 129.61%+0.43pct 73222 57741 126.81%+3.46pct 2023H1 1 2 9M NSFR 2021 6 2019 NSFR 2021 9M 2022 NSFR 2019 9M 20190.00.10.20.30.40.50.60.70.80.9-30000-20000-1000001000020000300002019-012019-042019-072019-102020-012020-042020-072020-102021-012021-042021-072021-102022-012022-042022-072022-102023-012023-042023-07()-36/52 NSFR 110%9M 50%49 50 9M Wind Wind