2012年3月8日
中国：银行
证券研究报告
同业市场（五）：市场利率可能在2012年下半年接近历史均值（摘要）
市场利率可能在2012年下半年接近历史均值我们认为，2011年流动性的收紧除了缘于M2增速放缓之外，2009/2010年发放了大量长期贷款致使贷款循环减速也是原因之
一，这从M1的快速下降即可见一斑。
虽然我们认为货币政策将保持稳健，但我们认为以下三个因素有助于在2012年下半年时压低市场利率、使之贴近历史均值：1)2011年短期贷款占比上升，有望提高中国银行业的现有贷款分配速度，从而推动M1增速反弹至15%左右；2)高盛全球经济、商品和策略研究团队预计今年下半年通胀压力缓解，流动性需求将随之降低；3)随着存款准备金率的下调，M2增速从现在的12.4%温和反弹至13%。
上半年虽有起伏，但方向未改我们仍然认为上半年流动性状况的改善步伐将慢于市场预测，因为：1)平稳的就业状况允许监管部门保持稳健的货币政策；2)监管当局对创新同业/表外信贷产品最终将采取什么样的行动仍存变数，这也会影响流动性的改善速度；3)我们的贷款结构分析显示，贷款循环速度可能要等到年中时才会显著提高。
不过，我们认为政府手中拥有很多工具可以避免流动性严重恶化。
仍看好银行股，但下半年的领先优势可能收窄我们仍然看好银行股，因为：1)我们的研究显示银行往往在M1增速反弹的初期表现领先，因M1增速反弹将缓解对不良贷款和银行流动性风险的担忧；2)由于流动性相对紧张仍对银行净息差构成利好，中国银行业一季度乃至上半年业绩有望超出预期。
但是，鉴于我们认为下半年市场利率将出现更明显回落，从而给净息差带来压力，因此我们认为下半年银行股的领先优势可能收窄。
看好估值较低且有望从M1增速反弹中受益更多的银行股我们将兴业银行的评级上调至买入（加入强力买入名单），将中信银行A股和民生银行H股评级上调至买入，并将中信银行H股加入强力买入名单，因为我们认为：1)围绕流动性/不良贷款风险的担忧缓解将令这些股票受益；2)短期内兴业银行和民生银行的资本金担忧暂告解除；以及3)估值较同业存在折让。
我们将浦发银行的评级上调为中性，因为同业/中小企业贷款风险缓解，同时我们出于估值考虑而将民生银行A股评级下调为中性。
我们将研究范围内银行股2011E-13E每股盈利预测平均调整了5%-8%，并将A/H股12个月目标价格平均调整了4%-9%。
我们还推出了2014年预测。
M2增幅假设 NewRmbloanFXinflowsPBOCOMOoutflowsFiscaldepositsreleaseNewreserveInterbankloans/bondissuanceNewRRRonmargindepositstotalyoygrowth 2012Base8,0001,50050002001,000-20011,00013.0% 2012Bear8,0001,0005000200700-20010,20012.0% 2012Bull8,5001,50050006001,000-20011,90014.0% 银行贷款循环提速有助于推高M1（人民币10亿元） ReallocationofM2orM2velocityEndingsystemloanbalance 201047,920 201154,794 2012E62,794 Loansmaturingwithin1year 38% 42% 43% M2/fundreallocationviaLOWcostchannels: LoanreallocationCorporatebondInterbankloanreallocation 17,293976 1,000 18,3861,295500 23,0141,295800 M2/fundreallocationviaHIGHcostchannels: Entrustedloans 2,119 Trustloans 962 Equityissuance 586 Undergroundloans 3,594 2,8541,009 4384,286 2,6451,009 4384,072 TotalvelocityofexistingM2Change(%)Changevs.NominalGDPgrowthM1growth(%)Lowcostfundsas%oftotal 26,53019.1%1.3%21.2%72.6% 28,7698.4%-9.0%7.9% 70.2% 33,27215.7%2.2%15.0%75.5% 预计2012年下半年经需求因素调整的M1同比增幅将恢复至正常水平 3025201510 5
(5)(10)(15) M1yoy-norminalGDPyoy 资料来源：CEIC、高华证券研究预测 *全文翻译随后提供 徐然,CFA(联系人)执业证书编号:S06+86(10)6627-3192richard.xu@北京高华证券有限责任公司马宁(分析师)执业证书编号:S14+86(10)6627-3063ning.ma@北京高华证券有限责任公司程博为(分析师)执业证书编号:S01+86(10)6627-3095bowei.cheng@北京高华证券有限责任公司 北京高华证券有限责任公司及其关联机构与其研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。
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北京高华证券有限责任公司 投资研究 2012年3月8日 中国：银行 Tableofcontents Bumpyroad,butratescouldbeclosetohistoricalaverageby2H12
3 Issueswithtotalsocialfinancingandloangrowthasliquidityindicators 13 Staypositiveonbanks,butoutperformancetomoderatein2H 16 Reviseupearningsonhigherbalancesheetgrowthandlowercreditcosts 17 IndustrialBank(601166.SS):UptoBuy(CL)onearningsvisibility 21 CNCBAuptoBuy/CNCBHaddtoCL-Buyonfavorablerisk-reward 23 Minsheng(1988.HK,Buy):SwitchBuytoH-sharefromA-share 25 SPDB(600000.SS):UptoNeutralasinterbank/SMEriskeases 28 Appendix:Keyinterestratesvs.historicaltrends 31 DisclosureAppendix 33 PricesinthisreportarebasedonthemarketcloseofMarch6,2012,unlessstatedotherwise. Exhibit1:ValuationsummaryofourChinabankscoverage 6-MarMktCap P/B(X) P/E(X) H-shares(HKD) Rating Price(US$bn)2011E2012E2011E ICBC(H) 1398.HK Buy 5.26 235 1.561.34 7.3 BOC(H) 3988.HK Buy 3.23 116 1.010.90 6.2 CCB(H) 0939.HK Neutral 6.23 200 1.561.40 8.1 ABC(H) 1288.HK Buy 3.65 122 1.471.30 7.3 BoCom(H) 3328.HK Sell 6.08 44 1.151.00 6.4 CMB(H) 3968.HK Neutral 16.50 46 1.791.49 8.3 CNCB(H) 0998.HK Buy* 4.95 30 1.080.94 6.0 Minsheng(H) 1988.HK Buy 7.08 24 1.231.02 5.7 CQRCB 3618.HK Buy 4.29
5 1.261.11 8.0 H-shareaverage 1.351.17 6.9 ExcludingCMBH-shares 1.291.13 6.7 A-shares(Rmb) ICBC(A) 601398.SSBuy 4.34 230 1.591.36 7.5 BOC(A) 601988.SSNeutral 3.02 128 1.171.04 7.2 CCB(A) 601939.SSBuy 4.81 182 1.491.33 7.7 ABC(A) 601288.SSBuy 2.71 107 1.351.19 6.7 BoCom(A) 601328.SSNeutral 4.93 42 1.161.01 6.4 CMB(A) 600036.SSBuy 12.58 41 1.681.40 7.8 CNCB(A) 601998.SSBuy 4.58 32 1.241.07 6.8 Minsheng(A) 600016.SSNeutral 6.49 26 1.391.16 6.5 SPDB 600000.SSNeutral 9.44 27 1.221.02 6.5 Industrial 601166.SSBuy* 13.88 23 1.371.12 5.9 SZDB 000001.SZNeutral 16.95
9 1.201.02 8.4 HuaXia 600015.SSSell 11.23
8 1.261.11 8.6 BONB 002142.SZSell 9.81
4 1.571.35 8.7 BOBJ 601169.SSNeutral 10.71 10 1.401.21 7.3 BONJ 601009.SSSell 9.49
4 1.351.18 9.1 CEB 601818.SSNeutral 3.03 19 1.321.14 6.8 A-shareaverage 1.361.17 7.4 Bigbanksaverage 1.401.23 7.3 Shareholdingbanksaverage 1.321.12 7.1 CityBankAverage 1.441.25 8.4 *ThisstockisonourregionalConvictionList Note:Forimportantdisclosures,pleasegoto. 2012E6.45.46.75.95.87.15.24.86.55.95.7 6.56.26.45.45.86.75.95.55.64.96.67.17.96.47.35.96.36.16.07.2 Source:Datastream,GaoHuaSecuritiesResearchestimates. P/PPOP(X) 2011E5.03.95.05.94.05.43.93.55.94.64.5 2012E4.33.34.44.33.54.63.33.04.83.83.7 5.1 4.4 4.5 3.8 4.7 4.2 5.4 3.9 4.0 3.5 5.1 4.4 4.4 3.8 4.0 3.4 4.3 3.6 4.1 3.2 6.2 5.6 4.6 4.7 6.1 5.3 5.0 4.1 6.1 5.2 5.9 4.3 5.0 4.2 4.9 4.1 4.7 4.1 5.8 4.9 Div
yld(%) 2011E4.85.64.64.82.82.84.23.33.24.04.3 2012E5.56.55.25.93.32.54.84.34.04.75.1 4.7 5.4 4.9 5.6 4.9 5.5 5.2 6.5 3.6 4.3 3.0 2.6 3.7 4.2 2.9 3.8 2.0 2.2 3.6 4.3 0.0 0.0 2.9 3.5 2.0 2.2 3.7 4.7 2.3 2.6 5.3 5.1 3.4 3.9 4.9 5.7 3.0 3.3 2.7 3.2 EPS
growth(%) 2011E19.912.415.737.816.030.045.650.74.428.528.3 2012E14.315.420.924.710.416.715.918.823.317.117.2 19.912.415.737.816.030.045.650.742.238.0 5.59.340.335.033.341.629.621.531.036.2 14.315.420.924.710.416.715.918.814.818.828.219.7 9.313.825.614.517.618.817.516.2 ROE(%) 2011E22.917.222.121.919.523.421.023.216.521.421.1 2012E22.517.721.923.418.422.719.423.117.521.220.9 22.917.222.121.919.523.421.023.220.425.419.518.619.220.416.520.820.721.021.318.7 22.517.721.923.418.422.719.423.119.825.116.716.518.320.417.320.720.321.420.318.7 高华证券投资研究
2 2012年3月8日 中国：银行 AswehighlightedintheinterbankIVreport,thepaceofliquidityimprovementhasmoderatedpost4Q11,withinterbankrates,corporateandgovernmentbondyieldsallreboundingin1Q12(seeAppendix).Inaddition,therearemixedactionsfromregulatorsincludingmoreintensescrutinyonbanks’off-balancesheetactivities/innovativeproductsandRRRcutbyPBOC. Inthisreport,wehavedoneadetailedanalysisonbinedimpactofthevariousfactorsthatinfluenceliquidityconditionsinChinaanditsoutlookfor2012. Bumpyroad,butratescouldbeclosetohistoricalaverageby2H12 WhileM2growth,whichmeasuresthequantityofnewliquiditycreation,remainsthemostimportantfactorforliquidityconditionsinChinainourview,webelievethebelowtwofactorsalsohavestronginfluenceonliquidityconditionsandmarketinterestratelevels. 1)VelocityofliquidityorM2allocationbythevariousfinancialinstitutions,particularlybanks,whichstilldominateliquidity/fundingallocationandcontrolaround90%offinancialassets. 2)Demandforliquidity/fundsinfluencedbyeconomicgrowthandInflationlevels. Webelievetheefficiencyofliquidityallocationhasworsenedinthepastyeardespitethesurgeofmanynewformsoffundingallocationsuchastrustloans,entrustedloansandevenexpandinginformallendingchannels.ThisispartlyreflectedindecliningM1as%ofM2in2011. Inaddition,thesurgeininflationarypressuresandhighGDPgrowthasaresultofthestimuluspackagein2009hasledtohigherfundingdemand.Thesetwofactors,binedwithslowerM2growth,havedrivenM1growthtoaround10%belownominalGDPgrowthandexacerbatedliquiditytightnessin2H11.ThishelpsanswerthequestionwhyratesremainwellabovehistoricalaveragelevelsdespiteM2growthpickingupin4Q11. Exhibit2:WeexpectyoyM1growth–nominalGDPgrowthtoreturnto-1%in2H12fromaround-10%inrecentquarters(%) Exhibit3:YoyM2growth–nominalGDPgrowthshouldbebacktomodestnegativelevelsaswell(%) M1yoy-norminalGDPyoy3025201510 5
(5)(10)(15) Source:PBOC,GaoHuaSecuritiesResearchestimates. M2yoy-norminalGDPyoy25201510 5
(5)(10) Source:PBOC,GaoHuaSecuritiesResearchestimates, Weexpectthreekeydriversfornormalizationofliquidityconditionsandinterestratestolate2010levelsby2H12: 高华证券投资研究
3 2012年3月8日高华证券投资研究 中国：银行 1)thepotentialimprovementinfundingallocationvelocity/efficiencyatChinabanksstartingin2Q12toleadtoapickupofmoneyvelocityandM1growth,whichweexpecttooutpaceM2growthin2012. 2)Lowerinflationarypressuresin2H12toreduceliquiditydemand.Notably,ourECSteamexpectsnominalGDPgrowthtomoderateto16.5%by4Q12fromnear18%levelnow,whilerealGDPgrowthremainsstable. 3)ImprovedM2growthalbeitstillsomeneartermvolatility,whichcouldsupportedbysomeRRRcutsifFXinflowremainsweak. However,giventheuncertaintiesonregulatoryscrutinyoninterbankassetgrowth,particularlyInterbankEntrustedPayments(fordetails,refertoourreporttitledInterbankmarketIV:Rapidgrowthbringsscrutinyandliquidityrisk,datedJan16,2012),wethinkmeaningfulinterestratesdeclinemaybedelayedto2Q12fromlate1Q12.(seeExhibit17forourscenarioanalysisonexcessM1andM2growthprojectionsandhistoricaltrends). 1)Reducedbankloanvelocityhasexacerbatedliquiditytightnessin2011,butshouldbegintoimprovein2Q12 InadditiontonewliquiditycreationreflectedinM2growthachievedvialoangrowth,FXinflows,somenewbondissuance,andinterbankassetgrowth,webelievetheefficiencyonreallocating/distributionofexistingM2isalsoakeyinfluencingfactorforliquidityconditions. Exhibit4:ChartsshowingtheconnectionbetweenM2andexistingM2allocation(figuresareourestimatesfor2012E) KeychannelsfornewM2 FXinflows(Rmb1tn) Newloans(Rmb8tn)&NewCorp. bondsissuedto banks Interbankloans (Rmb1tn) KeychannelsforexisingM2reallocation M2 Trust/Entrustloans (Rmb3.6tn) Informalloans (Rmb4.3) M1:Cash+CorporateDemand CompanyA CompanyB Bondissuancetononbanks(Rmb1.0tn) Equityissuance(Rmb0.4tn) Banksreallocate38%-50%ofexistingloanseachyear(est.Rmb23tn) Source:GaoHuaSecuritiesResearchestimates. Velocityofexistingloanbookatbankshasweakenedmeaningfullyin2011AsshowninExhibit8,webelievemanyfinancingchannelssuchastrustloansandentrustedloansserveasliquidity(M2)re-distributorsalthoughtheydonotcreatenewliquidity.
4 2012年3月8日 中国：银行 However,thebiggestliquidity/M2redistributors,whichareoftenoverlooked,mercialbanks.Theyredistributenearlyhalfofoutstandingloanseachyearasthoseloansmature.Whileweacknowledgethatamajorportionofmaturedloansmayberedistributedtothesameborrowers(wenotethesenewloansalsogenerateM1atthemomentwhenloansaredisbursed),butwedobelieveamajorportionwasalsoredistributedtonewborrowers. Exhibit5:Midtolongtermloansas%oftotalloanshasincreasedmeaningfullyin2009and2010(Rmbbn) Exhibit6:Higherbonddurationin2009and2010hasreduced%oftotalcorporatebondsmaturingwithin1yearattheendof2009and2010 MidtolongtermloansMidtolongtermloans%oftotalNewM/LtermloansNewM/Ltermloans%oftotalnewloans Source:PBOC. 200713,453 51.4%2,49368.5% 200815,912 52.4%2,45858.9% 200922,953 57.4%7,04273.1% 201029,793 62.2%6,84086.0% 201132,814 59.9%3,02143.9% Durationofnewlyissuedcorp.bonds(yrs)Avg.durationofoutstandingcorp.bonds(yrs)%ofbondsmaturewithin1yearTotalcorp.bondBalance(Rmbbn) Source:Wind. 20083.24.638%1,114 20094.04.321%2,225 20104.03.924%3,266 20113.33.627%4,421 Webelievethreefactorshavemeaningfullyweakenedtheefficiencyofthismechanismin2011including: 1)Duetotheinfrastructuredrivenlendingboomin2009and2010midtolongtermloansas%oftotalloansandtotalnewloanshasincreasedsharply(seeExhibit5). 2)DuetomaturitymismatchforaportionofLGFVloans,therealloanmaturityhaslikelyincreasedmorethanreportedbybanksasbanksstartedtorestructuretheseloanstomatchprojectmaturityfrom2H11. 3)Evenaveragecorporatebondmaturityhasincreasedduring2010and2011asshowninExhibit5. Asaresult,%ofloansand%ofcorporatebondsmaturingwithinoneyearhavesharplydeclinedfrom50%/38%atendof2008to41%/24%attheendof2010impairingloanvelocityin2011(seeExhibits6and7). Inaddition,ifweadjustforamajorportionofLGFVloansthatmaturedin2011,whichwereessentiallyextendedtomatchtruerepaymentcapability,weestimatethatthe%ofoutstandingloansmaturedin2011wasaround38%oftotalloans. Webelievethereiskeydifferenceinrenewalofshorttermworkingcapitalloansandextensionoflongtermloansastheformerstillsupportsrealbusinessactivitywhereasbusinessactivitysupportedbylongtermloanswerelargelydoneduringthefirst1-2yearsoftheloanduration. 高华证券投资研究
5 2012年3月8日 中国：银行 Exhibit7:%ofoutstandingloansmaturingwithoneyearhasdeclinedfromabout50%asofend-2008to41%asofend-2010,reducingtheefficiencyoffundingallocationbybanks (Years)ICBCCCBBOCABCCMBCNCBMinshengCEBIndustrialSPDBSZDBHuaxiaCQRCBNingboNanjingBeijingWeightedaverage 200647%42%45% 64%68%64%59% 54%74%66%65% 71% 51% Source:Companydata. 200744%41%43%53%59%67%66%52%59%50%71%65%72% 91%67%53%50% Loanmaturingwithinoneyear 200842%41%43%55%61%63%68%58%58%57%70%66%73%52%89%67%54%50% 200937%36%41%49%45%53%60%49%47%39%55%56%55%49%75%51%42%43% 201035%34%39%45%42%49%57%59%45%39%51%56%57% 75%50%45%41% 1H1138%36%42%47% 51%59%63%50%42%51%59%59% 80%59%49%44% Changesfrom2007to2010 -10%-7%-4%-8%-17%-17%-9%7%-14%-11%-19%-9%-15%0%-15%-17%-7%-10% HigherinformalloanscannotoffsetlowerfundallocationvelocityatbanksThemarketseemstoperceivethatthegrowthofinformalloanssuchastrustloans,entrustedloansandinformallendingshouldmorethanoffsettheweakenedefficiencyatbanks,andPBOCdataseemstosupportthisschoolofthoughtaswell. However,asshowninExhibit8,ourstudyshowsotherwise: 1)Duetosheersizeofthebankingsystem,despitetherisingalternativefundingchannels,thegrowthofloansreallocatedin2011havedeclinedtoaround8%from19%in2010and29%in2009(seeExhibit8). 2)GrowthoftotalM2reallocatedin2011significantlylaggednominalGDPgrowth. 3)%oflowcostfunds(relativetotrustandinformallending)providedbybanksandbondissuancehasdeclinedto70%in2011totalfundreallocatedfrom78%in2008. Exhibit8:GrowthofamountofM2reallocatedin2011hasslowedsharplydespiterisingtrust/entrustedloansduetotheweakenedfundallocationefficiencyatbanks(Rmbbn) RmbbnReallocationofM2orM2velocity Endingsystemloanbalance Loansmaturingwithin1year 200726,169 50% 200830,339 50% 200939,968 43% 201047,920 38% 201154,794 42% 2012E Comment 62,794` Assume50%ofLGFVloansmaturingin'11&'12Eare43%extended M2/fundreallocationviaLOWcostchannels: LoanreallocationCorporatebondInterbankloanreallocation 11,413199- 12,983364- 15,231922800 17,293976 1,000 18,3861,295500 23,0141,295800 %ofloansmaturingwithinoneyearattheendofthepreviousyearXendingloanbalanceofthepreviousyear Assumestablebondissuance Assumesomereboundininterbank M2/fundreallocationviaHIGHcostchannels: Entrustedloans 638 Trustloans 221 Equityissuance 480 Undergroundloans 1,832 8314202862,331 1,329751452 2,798 2,119962586 3,594 2,8541,009 4384,286 2,6451,009 4384,072 AssumecontractionofentrustedloansAssumestablebalancew/reallocationofmaturingloansAssumeinlinewith2011Assumecontractionofundergroudloans TotalvelocityofexistingM2Change(%)Changevs.NominalGDPgrowthM1growth(%)Lowcostfundsas%oftotal 14,78322.9%0.0%21.0%78.5% 17,21516.5%-1.7%9.1%77.5% 22,28429.4%20.9%32.4%76.1% Source:PBOC,Companydata,andGaoHuaSecuritiesResearchestimates 26,53019.1%1.4%21.2%72.6% 28,7698.4%-9.1%7.9% 70.2% 33,272Expectreboundinfundvelocityin201215.7%2.2%15.0%75.5%Expectreboundinlowcostfundreallocation 高华证券投资研究
6 2012年3月8日 中国：银行 Keyassumptions: 1)%oftotalsystemloansmaturingwith12monthsarethesameaslistedbankswhichcontributemorethan70%ofsystemloans. 2)%ofloansmaturingwithin12monthsatendof2010wereadjustedlowerby3%byassuming50%ofLGFVloansmaturedin2011wereextended. 3)Averagetrustmaturityof1.5yearsandaverageentrustedloanmaturingof2years. LowerM2/bankfundingallocationvelocityalsowasreflectedinM1/M2trendsWebelievethelesseffectiveliquidityallocationwasreflectedinlowermoneyvelocityevidencedinmorerapidslowdowninM1growththanM2growth(seeExhibit9),whichdroveM1as%ofM2tonearhistoricallowlevels(seeExhibit10). Thishasledtotheboostofinformallendingactivitiesandinnovativeproductsofferedbythetrust. Whilemoneyvelocitywasevenlowerin2008,webelieveitwaspartlyduetotheglobalfinancialcrisis.For2011,webelievethetwosharpdeclinesinM1as%M2in1Q11and3Q11werelargelyduetolessefficientliquidityallocationandovertighteningonM2growthasmajoreconomicindicatorswerelargelystableatthattime. Exhibit9:M1growthslowedmorethanM2growthin2011... Exhibit10:...andM1as%ofM2hasreachedthelowestpointinthepast15years M1yoy M2yoy 40 35 30 25 20 15 10
5 0 M1as%ofM2 avgsince1997 40% 39% 38% 37% 36% 35% 34% 33% 32% 31% 30% Source:CEIC.高华证券投资研究 Source:CEIC. CouldtheslowerM1growthbedrivenbyslowereconomyandlowerinvestmentneedsratherthanbylowerloanvelocity?
Historically,M1hastendedtoslowmorethanM2duringaneconomicdownturn—M1growthslowedto8%-9%in2H08vs.M2yoybetween15%-17%.CouldtheslowerM1growthbealsodrivenbyslowerinvestmentneedsandfunddemand?
Whileslowerdemandforinvestmentcouldbeareason,webelieveitisnotthemainreasonthistime.In2008,theslowerM1growthwascoupledwithlowerloanpricingpowerandlowermarketinterestratessignalingslowerdemand.However,marketsratesincreasedsharplywhenM1slowedin2H11showingmajorsupplyconstraints. 1)M1growthtooutpaceM2startinginlate2Q12onloanvelocityimprovementWebelievemoneyvelocitywillpickupin2012,startinglate2Q12,onmodestimprovementoffundallocationefficiencyatChinabanksasbanksresumedfocusonshorttermloanextensionin2011.
7 2012年3月8日 中国：银行 Newloanstructurehasnotablyimprovedstartingin2Q11,evidencedbylowermidtolong-termloansas%oftotalnewloans(seeExhibit11).Wethinkthiswilllikelystarthelpingtheoverallfundingallocationefficiencybybanksandmoneyvelocityin2Q12. Exhibit11:Newloanstructurehasnotablyimprovedstarting2Q11,evidencedbylowermidtolong-termloansas%oftotalnewloans,whichshouldhelploanvelocityin2H12 300%Midtolongtermloans/totalnewloans Averagesince06 250% 200% 150% 100% 50% 0% -50% Dec-06Mar-07Jun-07Sep-07Dec-07Mar-08Jun-08Sep-08Dec-08Mar-09Jun-09Sep-09Dec-09Mar-10Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11 Source:PBOC. Exhibit12:Loansmaturingwithinoneyearas%oftotalloanshasbeguntoreboundin2Q11,aidedbyimprovednewloanmix WeightedAverage%ofloansmaturingwithin12months 60% 51% 50% 50% 50% 43%41%44% 40% 30% 20% 10% 0%2006 2007 2008 2009 2010 Source:Companydata,GaoHuaSecuritiesResearch. 1H11 Exhibit13:Loansmaturingwithin3monthswilllikelystartimprovingin2Q12 WeightedAverage%ofloansmaturingwithin3months 18% 17% 16%16%15%14% 14% 13% 13% 12% 10% 8% 6% 4% 2% 0%2006 2007 2008 2009 2010 1H11 Source:Companydata,GaoHuaSecuritiesResearch. 高华证券投资研究
8 2012年3月8日 中国：银行 AsshowninExhibit12,%ofloansmaturingwithinoneyearhasreboundedto44%ofloansatlistedbanksfrom41%attheendof2010,andwebelievethisnumbercouldrisefurthertoaround46%-47%bytheendof2011onmoreshorttermloanextensionin2H11. Evenadjustedfor3%-4%ofLGFVloansthatmayneedtobeextendedsimilartoouradjustmentdoneto2011M2allocationcalculation,ourstudyshowsthatthequantityofexistingM2thatwillberedistributedwillincrease15%in2012vs.7%in2011,whichwillleadtohighermoneyvelocityandM1growth,inourview. Inaddition,asM1startstoimproveitwillalsoleadtobetterbusinessactivitiesanddrivevoluntarymovementoffundsfromtimetodemandatcorporations,whichwillenforcetheM1improvementtrends. ordingly,webelieveM1as%ofM2couldrisetoaround35%from32%currently,whichwilldrivecloseto16%ofM1growthin2012ifM2growthstaysat13%. 2)Inflation/demandadjustedM1/M2growthbacktonormallevels Webelievecreditdemand,whichisheavilyinfluencedbyeconomicgrowthandInflationlevels,alsohasamajorimpactonliquidityconditionsandinterestrates. AsshowninExhibit2/3,excessM1/M2growthrates,calculatedbysubtractingnominalGDPgrowthratefromM1andM2growthrates,havereached-10%/-5%in3Q11and4Q11,whichwerebothnearhistoricaltroughlevelssimultaneously. Exhibit14:OurglobalECSteamexpectsCPIinChinatomoderateto2.4%by4Q12from4.6%in4Q11... Exhibit15:....andnominalGDPgrowthtoslowto16.5%by4Q12frommorethan20%in4Q11 CPIyoy3025201510 50-
5 Source:CEIC,GaoHuaSecuritiesResearchestimates,GSGlobalECSResearchestimates QtrlyGDPyoy18.016.014.012.010.0 8.06.04.02.00.0 Source:CEIC,GaoHuaSecuritiesResearchestimates,GSGlobalECSResearchestimates 1-Jan-901-Jan-911-Jan-921-Jan-931-Jan-941-Jan-951-Jan-961-Jan-971-Jan-981-Jan-991-Jan-001-Jan-011-Jan-021-Jan-031-Jan-041-Jan-051-Jan-061-Jan-071-Jan-081-Jan-091-Jan-101-Jan-11 1Q12E1Q13E1-Jan-901-Jan-911-Jan-921-Jan-931-Jan-941-Jan-951-Jan-961-Jan-971-Jan-981-Jan-991-Jan-001-Jan-011-Jan-021-Jan-031-Jan-041-Jan-051-Jan-061-Jan-071-Jan-081-Jan-091-Jan-101-Jan-111Q12E1Q13E Webelievethepotentialgradualmoderationofinflationarypressurein2H12couldalsohelpeaseliquidityconditionsinChina.Notably,ourECSteamexpectsnominalGDPgrowthtomoderateto16.5%by4Q12fromnear18%levelnowwhilerealGDPgrowthremainsstable. ThiswillbringexcessM1growthtomodestpositiveterritoriesandbringexcessM2growthmodestlybelowzero,whichwouldbothbeclosetohistoricalaveragelevelsifChinaweretoachieve14%M2growthin2012. 高华证券投资研究
9 2012年3月8日高华证券投资研究 中国：银行 3)StillhealthyM2growthof12%-14%likelyin2012 WebelievetherearefivekeysourcesofM2growthincluding:1)loangrowth,2)PBOCarypolicies,includingRRRandopenmarketoperations,3)FXflows,4)interbankassetgrowth,and5)Corporatebondissuance(particularlypurchasedbybanks).WebelieveFXinflows,whichcontributedclosetoRmb3tnofM2growthin2011,andinterbankloangrowthremainthelargestuncertaintiesamongtheaforementionedfactorsfor2012.Inaddition,webelievethereisstilldebatewithinthegovernmentonthelevelandpaceofproactiveliquidityloosening(e.g.RRRcuts)asalooseliquidityenvironmentisnotgoodtodriveeconomicstructurechangeandcouldleadtoresurgenceofinflationarypressures.WhilePBOCtargets14%M2growththisyear,webelieveitcantoleratemodestlylowerM2growthifeconomicgrowthremainsstable.Hence,webelieveM2growthfor2012willlikelybearound12%-14%oraroundRmb10.5-12tntomaintainstableandrelativelyrapideconomicgrowthwhilepreventingaresurgenceofinflationarypressures. CanChinaachieve12%-14%M2growthtargetifFXinflowsremainweak?
Asweindicatedearlier,therecouldbemanydifferentpathstoreach12%-14%M2growthgivenmorechannelsavailableforliquiditygenerationinChina,anddemandwillbeanotherkeyfactorinadditiontothefactorsthatwementionedearlier.WebelievethebelowfactorsmayhelpoffsetpotentiallyweakerFXinflowsorFXoutflows1)CorporatebondissuancetobanksWebelievenewcorporateissuancepurchasedbybankscouldalsoimproveoverallmarketliquidityandaddtoM2growthasitalsohasmoneymultipliereffectsandgeneratesadditionaldeposits.WebelievecorporatebondspurchasedbybankshavethesamecontributiontoliquidityandM2growthloansbutarenotsubjecttoloantodepositratiorequirementandloanquota.AsmultipleregulatorsindicatedthewillingnesstofurtherdevelopthebondmarketinChina,morebondissuancein2012couldalsooffsetweakerFXinflowsifregulatorsweretochangethestructureofdirectandindirectfundraisingandapprovemorebondissuancein2012.However,theoverallliquidityimpactfrombondissuancemaybeweakerthaninterbankassetgrowthasonlybondspurchasedbybankswillhavethemoneymultipliereffects.2)RRRcutamoreeffectivewaytosupportM2growthGiventheveryhighRRRinChina,RRRcutislikelythemosteffectivewaytohelpsupportM2growthincaseofweakFXinflows.WebelieveRRRcutwillhavefollowingbenefits:1)Providesaclearindicationofpolicydirection,givingconfidencetothemarketpanies.2)HelpsimproveliquidityconditionsandsupportsM2withouttoomuchbankinnovationandrelatedpotentialrisks.3)Interbankassetsmaystillbeacontributor,althoughlikelytoremainvolatileWhileinterbankbusinessistypicallyviewedaslending/borrowingbetweenbanksandhencedoesnotprovidefundingandliquiditytonon-financialinstitutions,ithasnotbeenthecaseinChina.AswementionedinourinterbankreportI-III,interbankassetgrowthhasbeenakeyliquidity/M2contributorin2009/2010/1H11and4Q11.WebelieveinterbankassetgrowthwilllikelyremainasakeyM2contributorin2012asthisbusinessisnotsubjecttoloanquotaandloantodepositratiorequirement. 10 2012年3月8日高华证券投资研究 中国：银行 Scenarioanalysisfor12%-14%M2growthin2012 WehavemappedoutapotentialpathonhowM2growthcanachieve12%-14%growthin2012ifPBOCkeepsloanquotaatRmb8.0-8.5tnandFXinflowremainsrelativelyweak.GivenmanyuncertaintiesforkeyfactorsthatinfluenceM2growth,wehavethreescenarios: Basecase:M2growthof13.0%onfourRRRcuts Keyassumptions:2012fullyearloanquotaofRmb8.0tnwithquarterlyallocationof3:3:2:
2 FXinflowsofRmb1.5tnvs.Rmb3tnin2011 InterbankassetgrowthofRmb1tnin2012 FourRRRcutsin2012thatledtonoincreaseindepositreserveatPBOCdespiteourestimatedaroundRmb10tnnewdepositgrowthin2012 Rmb500bnofliquidityreleasedviaopenmarketoperations Exhibit16:Detailedassumptionsforour12%-14%M2growthforecastsunder3scenarios NewRmbloanFXinflowsPBOCOMOoutflowsFiscaldepositsreleaseNewreserveInterbankloans/bondissuanceNewRRRonmargindepositstotalyoygrowth 20107,9533,268683-304-3,1553,118 011,56319.7% 20117,4862,7802,022 -88-2,058 615-67710,07913.6% 2012Base8,0001,50050002001,000-20011,00013.0% 2012Bear8,0001,0005000200700-20010,20012.0% 2012Bull8,5001,50050006001,000-20011,90014.0% Source:PBOC,GaoHuaSecuritiesResearchestimates. Bearcase:M2growthof12.0%onlowerFXinflowsandsomeregulatoryscrutinyoninterbanklendingactivities Keyassumptions:2012fullyearloanquotaofRmb8.0tnwithquarterlyallocationof3:3:2:
2 FXinflowsofRmb1.0tnvs.Rmb3tnin2011 InterbankassetgrowthofRmb0.5tnin2012duetosomeregulatorscrutinyoninterbanklendingactivities FourRRRcutsin2012thatledtonoincreaseindepositreserveatPBOCdespiteourestimatedaroundRmb10tnnewdepositgrowthin2012 Rmb500bnofliquidityreleasedviaopenmarketoperations Bullcase:M2growthof14.0%onhigherloanquotaofRmb8.5tnandmoreRRRcut Keyassumptions:2012fullyearloanquotaofRmb8.5tnwithquarterlyallocationof3:3:2:2FXinflowsofRmb1.5tnvs.Rmb3tnin2011InterbankassetgrowthofRmb1.0tnin2012 11 2012年3月8日高华证券投资研究 中国：银行 FiveRRRcutsin2012thatleadtoreleaseofRmb500bndepositreserveatPBOCdespiteourestimatedaroundRmb10tnnewdepositgrowthin2012 Rmb500bnofliquidityreleasedviaopenmarketoperations ExcessM1growthandkeymarketrateslikelyclosetohistoricallevelsby2H12,although1H12stillrelativelytight WeexpectM1as%ofM2willreboundin2012asloanfundingallocationvelocityimprovesatChinabanks—weexpectM1growthtoreboundto14%-18%by4Q12basedonourM2growthscenarios. Exhibit17:WebelieveM1growthcouldreboundto14%-18%by4Q12basedonourM2growthscenarioof12%-14% 2005-122006-32006-62006-92006-122007-32007-62007-92007-122008-32008-62008-92008-122009-32009-62009-92009-122010-32010-62010-92010-122011-32011-62011-92011-121Q12E2Q12E3Q12E4Q12E M1yoyBasecase11.812.713.915.717.519.820.922.121.018.314.29.49.117.024.829.532.429.924.620.921.215.013.18.97.98.711.319.215.6 Bearcase 11.812.713.915.717.519.820.922.121.018.314.29.49.117.024.829.532.429.924.620.921.215.013.18.97.97.210.217.513.8 Bullcase 11.812.713.915.717.519.820.922.121.018.314.29.49.117.024.829.532.429.924.620.921.215.013.18.97.912.013.221.818.2 M2yoyBasecase 17.618.818.416.816.917.317.118.516.716.317.415.317.825.528.529.327.722.518.519.019.716.615.913.013.612.212.214.313.0 Bearcase 17.618.818.416.816.917.317.118.516.716.317.415.317.825.528.529.327.722.518.519.019.716.615.913.013.611.311.513.312.0 Bullcase 17.618.818.416.816.917.317.118.516.716.317.415.317.825.528.529.327.722.518.519.019.716.615.913.013.612.512.815.114.0 Source:CEIC,GaoHuaResearchestimates. Whenwealsofactorinthedemandsideoftheequation,webelieveexcessM1andM2growth,calculatedbysubtractingnominalGDPgrowthfromM1andM2growth,willreturntoaround0%and-3%,respectively. Historically,binationcorrespondedwith4%3monthinterbankrateswithnewloanyieldataround14%abovebenchmarkorclosetohistoricalaverage.Hence,webelievethethree 12 2012年3月8日 中国：银行 monthinterbankratecouldgraduallytrendbackto4.0%-4.5%in2H11fromcurrentlylevelof5.5%if13%ofM2growthisachievedin2012andinterbankratescouldreturnto4.5%-5.0%inabearcasescenarioof12%M2growth. Althoughmorenotableimprovementwilllikelytakeplaceinlate2Q12basedonourbankfundingallocationvelocityanalysisasthegovernmentwilllikelystillkeeprelativeprudentM2growthrate,inourview. Exhibit18:Weexpect4Q11liquiditytoimprovenotablyover3Q11evenfactoringinthenewRRRonmargindeposits 2005-122006-32006-62006-92006-122007-32007-62007-92007-122008-32008-62008-92008-122009-32009-62009-92009-122010-32010-62010-92010-122011-32011-62011-92011-121Q12E2Q12E3Q12E4Q12E Averageloanyieldabovebenchmark 17.8%16.3%16.0%16.5%15.8%14%14%14%13%13%24%14%15%12%12%11%12%11%14%14%14%16%17%19%19%18%17%14%14% Interbank3mrate 2.232.242.912.982.952.963.323.725.034.514.474.392.901.671.432.282.092.303.162.904.474.265.675.755.895.505.004.204.00 M1yoy-norminalGDPyoy(3.89)(3.18)(2.56)(0.63)0.51(1.02)(0.64)(0.16)(1.87)(2.80)(6.91)(11.07)(9.09)11.7119.2922.9323.8011.786.563.203.41(2.54)(4.62)(8.98)(9.55)(9.15)(6.30)2.22(0.93) BearcaseBullcase (3.89)(3.18)(2.56)(0.63)0.51(1.02)(0.64)(0.16)(1.87)(2.80)(6.91)(11.07)(9.09)11.7119.2922.9323.8011.786.563.203.41(2.54)(4.62)(8.98)(9.55)(10.68)(7.37)0.50(2.67) (3.89)(3.18)(2.56)(0.63)0.51(1.02)(0.64)(0.16)(1.87)(2.80)(6.91)(11.07)(9.09)11.7119.2922.9323.8011.786.563.203.41(2.54)(4.62)(8.98)(9.55)(5.89)(4.44)4.791.75 M2yoy-norminalGDPyoy1.902.911.930.50(0.03)(3.56)(4.50)(3.78)(6.16)(4.76)(3.73)(5.21)(0.33)20.1822.9522.7319.134.330.461.291.94(0.92)(1.82)(4.79)(3.85)(5.70)(5.37)(2.73)(3.49) BearcaseBullcase 1.902.911.930.50(0.03)(3.56)(4.50)(3.78)(6.16)(4.76)(3.73)(5.21)(0.33)20.1822.9522.7319.134.330.461.291.94(0.92)(1.82)(4.79)(3.85)(6.60)(6.11)(3.71)(4.55) 1.902.911.930.50(0.03)(3.56)(4.50)(3.78)(6.16)(4.76)(3.73)(5.21)(0.33)20.1822.9522.7319.134.330.461.291.94(0.92)(1.82)(4.79)(3.85)(5.40)(4.83)(1.95)(2.51) Source:CEIC,GaoHuaResearchestimates. Issueswithtotalsocialfinancingandloangrowthasliquidityindicators Toaddressthegapbetweenloangrowthandthetruemarketliquiditycondition,PBOCintroducedtheconceptoftotalsocialfinancingwhichincludesanumberoftypesoffinancialinstruments. Webelievetotalsocialfinancinghasimprovedourunderstandingoftheplicationofcreditrisks,butmaynotbethebestgaugeofmarketliquiditysupplyortotalleverage. AsshowninExhibit19,webelieveponentsoftotalsocialfinancingincreaseliquidityandleverage,butothersareessentiallyreallocating/redirectingexistingliquidityinthesystem. Inaddition,TSFneithercapturesallkeychannelsthatgeneratenewM2/liquiditynorallkeychannelsthatreallocateM2. FornewM2creation,thetotalsocialfinancingdoesnotincludeinterbankactivities,andforM2reallocation,thetotalsocialfinancingdoesnotincludeloanreallocationbybanksandinformallendingchannels. 高华证券投资研究 13 2012年3月8日 中国：银行 Notably,therecentliquiditytrendsreflectedbymarketinterestrateshavedivergedquitemeaningfullyfromwhatmarketliquidityconditionshouldbeimpliedbythetrendsoftotalsocialfinancing. Exhibit19:Ouranalysisofliquidityimpactfromtotalsocialponents Rmbbn RmbloansForexloansEntrustedloansTrustloansBankeptancesCorporatebondsissueNonfinancialinstitutionequitiesOthersTotalfinancingTotaldebtfinancingLetterofcreditBankwealthmgmtproductsInformalloanM2InterbankliabilitiesnotinM2 2008 Growth 2009 2010 2011 Outstandingbalance200820092010 Addsnewliquidity2011&driveM2growth AdditionalComments 4,17052 362268 93472286 9,629933679438467 1,301452 7,951415 1,130386 2,3311,201 586 7,470571 1,300201 1,0301,370 438 30,3391,6651,3005211,0171,0571,094 39,9682,5911,9799601,4842,3581,547 47,9203,0033,1091,3463,8153,5592,133 54,794 yes,directly 3,3424,4091,5474,8454,9292,571 yes,indirectlyNo,butredistributes liquidityNo,butredistributes liquidity Partially PartiallyNo,butredistributes liquidity indirectlyincreasesM2reflectedinFXinflow Itincreasesandplicatesoverallmarketcreditrisks ItincreasesandplicatesoverallmarketcreditrisksIncreasescreditrisksandaddstoliquidtyifbankereptancesarediscountedbybanksAddfreshliquidityandM2whenbondspurchasedbybanks 1345,839 5,419
(6) 8997,156 1,144 25514,154 13,447232500(332) 14,0561,294 300 450 524 779 1,079 14,30012,83037,51951,66565,963 13,41411,94335,90149,34062,751 431 379 458 690 1,121 1,500 2,000 - 500 2,000 1,196 1,338 2,731 2,398 3,594 11,630
10,07949,39663,45175,081 1,023 2,933 3,258 4,552 5,575 1,437 No 77,874 73,8661,5004,0004,932 PartiallyNo,butredistributes liquidityNo,butredistributes liquidity IncreasescreditrisksandaddtoliquidtyifletterofcredithelpdriveloanorinterbankassetgrowthItincreasesandplicatesoverallmarket creditrisksItincreasesandplicatesoverallmarket creditrisks 85,160 8,508 Itdependsonmultiplefactors Source:PBOC,GaoHuaSecuritiesResearch. Loansfarpleteinlightofbankinnovations ItiswellknownbythemarketthatloangrowthisanpleteindicatorofliquidityconditionsinChinaalthoughmonthlyloannumbersremainoneofthefocusareasofthemarket.WeexpectbondissuanceandinterbankassetgrowthtoeincreasinglyimportantliquiditycontributorsinChinainthenextthreeyears. Interbankassets:LikelylongtermtrendsdespitecurrentscrutinyAswehighlightedinourpreviousinterbankreports,interbankassets/liabilitieshaveeanincreasinglyimportantsourceofliquiditytotherealeconomyandM2growth. 高华证券投资研究 14 2012年3月8日 中国：银行 Exhibit20:Interbankassetsas%oftotalassetshasincreasedmateriallyinthepasttwoyears,whichcouldbeatrendthatishardtoreverse Interbankclaimsas%ofmercialbanksassets20% 18% 18% 16% 14% 12% 13% 13% 12% 11%10% 8% Exhibit21:InterbankloancontributiontoM2/depositgrowthhasalsopickedinrecentyearsduetomoreactivebankinnovation Newdeposits-newloan-FXpurchase+newFCdepositsRmbbn 2000 1,684 15001000 500 1,092 613300 0-500-1000-1500 2003-259 2004-424 2005 2006-688 2007-289 2008 2009 -1,027 2010 2011 Mar-05Jun-05Sep-05Dec-05Mar-06Jun-06Sep-06Dec-06Mar-07Jun-07Sep-07Dec-07Mar-08Jun-08Sep-08Dec-08Mar-09Jun-09Sep-09Dec-09Mar-10Jun-10Sep-10Dec-10Mar-11 Source:CEIC,panyreports. Source:Companydata,GaoHuaSecuritiesResearch. Whileinterbankbusinesshasbeentypicallyviewedasliquiditytransferbetweenbanks,ouranalysisindicatesthatamajorportionofinterbanktransactionsbetweenbanksorbetweenbanksandotherfinancialinstitutionsdirectlyorindirectlysupportsliquidityandM2growthfortherealeconomy. AsshowninExhibit21,therecentvolatilityininterbankassetshasbeenthemostimportantdriverforvolatilityinM2growthinrecentquarters. Despitethetemporarymoderationininterbankassetgrowthin3Q11,webelieveinterbankassetsandliabilitiesas%oftotalwilllikelygraduallytrendhigheratChinabankslongertermgiventhefollowingincentiveforbanks: 1)Moremarketorientedpricingonbothassetsandfundingdrivestrongmarketdemand. 2)Doeunderthepurviewofcertainregulationssuchasloanquotaandloantodepositratiorequirement. 3)HighmultipliereffectsgivennoRRRrequirement,whichhelpsgenerateliquidityanddepositgrowth. Webelieveitmaybeatrendthatishardtoreverse,andwilllikelydriveOn-Balance-Sheetfinancialdisintermediationwithinterbankassets,bondsandinterbankfundinggraduallyreplacingaportionofloansanddeposits. WedonotbelieveChinaregulatorswillallowthefullscaleoffinancialmarketdisintermediationliketheUSfinancialmarket.However,webelievetheonbalancesheetfinancialdisintermediationcouldbeapathforChina’sfinancialmarketsimilartothatofGermany. 高华证券投资研究 15 2012年3月8日 中国：银行 Exhibit22:Loansas%oftotalassetsatGermanbankshavesteadilydeclinedoverthepastdecades... loans/totalbankingassetsinGermany90%80%70%60%50%40%30%20%10% 0% Exhibit23:...sohavedepositsas%oftotalfundingliabilitiesatGermanbanks deposits/totalbankingliabilitiesinGermany 50%45%40%35%30%25%20%15%10% 5%0% 1/1/19501/1/19531/1/19561/1/19591/1/19621/1/19651/1/19681/1/19711/1/19741/1/19771/1/19801/1/19831/1/19861/1/19891/1/19921/1/19951/1/19981/1/20011/1/20041/1/20071/1/20101/1/19501/1/19531/1/19561/1/19591/1/19621/1/19651/1/19681/1/19711/1/19741/1/19771/1/19801/1/19831/1/19861/1/19891/1/19921/1/19951/1/19981/1/20011/1/20041/1/20071/1/2010 Source:DeutscheBundesbank,GaoHuaSecuritiesResearch Source:DeutscheBundesbank,GaoHuaSecuritiesResearch. Staypositiveonbanks,butoutperformancetomoderatein2H 1)OurstudyshowsthatbankstendtooutperformduringearlystageofM1growthrebound,whichwilleaseconcernsonNPLandbankliquidityrisks,and 2)strongconsensusbeating1Q12andpotentially1H12earningsaidedbystillhealthyNIMgivenrelativelytightliquidity. However,asweexpectmarketratestodeclinemorenotablyin2H12,whichwilllikelybeduetothepressureonNIMofChinabanks(allassetsensitive),webelievebankoutperformancecouldmoderatein2H12(seeExhibit25). Exhibit24:BankstendtooutperformduringearlystageofM1growthreboundgivenreducedconcernsonliquidityandcreditqualityrisks M1yoy 45 CMBAshareprice 40 Mar05Oct05 May07 35 30 25 20 15 10
5 0 GSCAyoyCorporatelossesyoy(RHS)-100 Nov08 Feb10 -50
0 50 100 150 200 Exhibit25:Historically,banks’relativeperformancetendedtomoderateduringquarterswithNIMpressuresexceptintheveryearlystageofeconomicrecovery 30%20%10% 0%-10%-20%-30% Relativereturn AverageqtrlyNIM(RHS) 2.9%2.7%2.5%2.3%2.1%1.9%1.7%1.5% Jan-04May-04Sep-04Jan-05May-05Sep-05Jan-06May-06Sep-06Jan-07May-07Sep-07Jan-08May-08Sep-08Jan-09May-09Sep-09Jan-10May-10Sep-10Jan-11May-11Sep-11Jan-12 Source:Datastream,GaoHuaSecuritiesResearch,GSGlobalECSResearch Source:Datastream,CEIC,GaoHuaSecuritiesResearch 高华证券投资研究 16 2012年3月8日 中国：银行 Exhibit26:Averageyieldonnewloansarenow19% abovebenchmarkwhichiswellabovehistoricalaverageandwilllikelymoderateasliquidityconditionseasestarting2Q12 Averagerates/benchmarkrates%1.41.41.31.31.21.21.11.11.0 AveragesinceJan08 Jan-08Apr-08Jul-08Oct-08Jan-09Apr-09Jul-09Oct-09Jan-10Apr-10Jul-10Oct-10Jan-11Apr-11Jul-11Oct-11 Source:PBOC. Exhibit27:Ourexpectationsonlowermarketratescouldalsopressuretheinterbankspread,whichhadbeenpositivelycorrelatedwithprevailinginterbankrate interbankspread(%)3minterbankrate 1H91.68% 2H92.00% 1H102.32% 2H103.12% ICBCCCBABCBOCBoCOMCMBSPDBCNCBMinshengIndustrialSZDBHuaxiaBOBJBONJBONBaverage -0.41%-0.75%0.00%0.34%-0.76%-0.38%-1.11%-0.59%0.67%0.52%2.66%2.66%-0.95%-0.43%0.12%-0.38% -0.14%-0.54%-1.40%0.34%-1.07%-0.57%-1.14%-1.22%0.22%0.49%1.47%1.47%-0.55%0.02%3.02%-0.14% 0.38%-0.16%0.06%0.08%-1.36%-0.40%-0.56%-0.02%-0.23%0.74%1.43%1.43%-0.68%0.68%0.73%0.06% 0.57%0.37%1.23%0.00%-1.03%0.19%-0.33%0.94%-0.74%0.88%0.70%0.70%-0.52%-0.79%-0.07%0.19% Source:Companydata,GaoHuaSecuritiesResearch. 1H11 4.97% 0.25%1.28%0.39%0.12%-1.45%-0.73%0.29%0.87%1.12%0.46%1.36%1.36%-0.36%0.62%-0.46%0.39% Raiseearningsonhigherbalancesheetgrowth,lowercreditcosts Threekeyreasonsforourestimaterevisions Weraiseour2011E/2012E/2013EEPSforshareholdingandcitybanksby13%/17%/12%,largelyonthefollowingthreefactors: 1)Raisingbalancesheetgrowthestimatesforshareholdingbanksduetoheightenedinterbankactivitiesin4Q11:Banksfoundnewwaystofinancecorporateusinginterbankproducts(fordetails,refertoournoteInterbankmarketIV:Rapidgrowthbringsscrutinyandliquidityrisk,datedJan16,2012)andinterbankassetssawa12%momincreaseinDec2011. ordingly,weraiseourearningsassetgrowthforecastforA-sharebanksbyanaverageof5%/0%/0%for2011E/2012E/2013Erespectively,andlowerourdepositgrowthforecastsforAsharebanksby1%/2%/2%. 2)ReducingprovisionestimateNPLformationratioturnedouttobemuchlowerthanweexpectedin2011asafewkeyriskswereaverted: CBRCreleased4Q11sectorNPLdatarecently,withoverallNPLratioat1.0%asofYE11up0.1%qoqanddown0.1%yoy;NPLbalancedropped1.3%yoybutrose4.9%qoq.ordingtoourcalculation,NPLformationwas-2bpformercialbanksvs.our2011Eestimateforalllistedbanksof40bp. Thereforewelowerourestimateforprovisionsbyanaverageof20%/19%in2012E/2013EandNPLformationto47/48bpfrom67/62bp. 3)LoweringNIMassumptiononlowerloanpricingpower/interbankspread However,wealsomodestlycutourNIMforecastsforthesebanksin2012E/2013E,asweexpecttheliquiditylooseningin2012willcontributetolowerpricingpowerandinterestspreadintheinterbankmarket. WealsointroduceFY14Eestimates. 高华证券投资研究 17 2012年3月8日 中国：银行 Exhibit28:Wereviseupour2011E/2012E/eby9%/12%/8% Earningrevision Keyitems(Rmbmn)NetinteresteNon-interesteOperatingrevenuesOperatingexpensesPreprovoperatingprofitsProvisionchargesPretaxprofitsTaxesNetprofitsNIM(bps)CreditCosts(bps)LoangrowthDepositgrowthEarningassetsgrowth ICBC%chgfrompriorest.2011E2012E2013E -2%4%-1%1%-2%-15%0%1%0%
(7)(9)2%-2%2% -1%4%0%2%-1%-12%0%0%1%
(5)(8)0%-2%-2% -2%4%0%2%-2%-17%1%1%1%
(2)(12)0%-2%-2% CCB %chgfrompriorest. 2011E 2012E 2013E -1%4%0%1%-1%-10%1%1%1% 0(6)0%-4%-3% -1%2%-1%2%-2%-22%2%3%2% 5(15)-1%-1%-2% -3%1%-2%2%-4%-17%-1%0%-2% 5(10)-1%-1%-1% BOC %chgfrompriorest. 2011E 2012E 2013E -3%0%-2%-2%-2%-10%-1%1%0%
(4)(5)1%0%0% 0%-1%0%0%-1%-20%4%6%5% 4(12)-1%0%0% -1%-1%-1%0%-2%-22%3%4%3% 4(12)-1%0%0% ABC BOCOM %chgfrompriorest. %chgfrompriorest. 2011E 2012E 2013E 2011E 2012E 2013E Keyitems(Rmbmn) 0% -2% -2%
N -2% 0% -1% 1% -1% 8%
N 7% 10% 9% 0% -2% 0%
O 0% 2% 1% 0% 1% -2%
O 1% 6% 7% 1% -3% 1%
P -1% 0% -3% 4% -20% -22%
P -14% -12% -4% 0% 2% 7%
P 3% 4% -3% 0% 3% 8%
T 3% 4% -3% -1% 2% 7%
N 3% 4% -3%
1
(2)
(4)
N
(6)
(1)
(4)
2 (20) (20)
C
(9)
(8)
(2) 2% -1% -1%
L 0% -1% -1% -1% -2% -2%
D 0% 0% 0% 1% -1% -1%
E 0% 0% 0% CMB %chgfrompriorest. 2011E 2012E 2013E 2% 1% 0% 15% 27% 31% 4% 6% 6% 7% 10% 12% 2% 3% 2% -2% -6% -2% 2% 4% 3% 5% 8% 7% 2% 3% 1%
4 2
1
(1)
(3)
(1) 0% 0% 0% 0% 0% 0% 0% 0% 0% CNCB %
chgfrompriorest. 2011E 2012E 2013E 1%12% 3%-1%5%-36%17%20%16%10(24)-2%-3%0% 0%5%0%-4%3%-36%15%15%15% 1(26)-2%-2%-1% -4%-2%-4%-7%-1%-33%8%8%8%
(4)(23)-1%-3%-2% ReutersconsensusNPATGSestimatesvs.cons. 204,842-1% 228,4002% 259,3764% 166,8060% 185,0242% 208,5453% 120,856-3% 129,7304% 144,9626% 128,485.96145,804.80167,248.77 2% 12% 18% 48,036.35-1% 54,072.04-3% 59,324.93-2% 33,876.892% 40,063.3445,707.23 1% 5% 28,662.8031,952.5335,321.64 9% 14% 15% Keyitems(Rmbmn)NetinteresteNon-interesteOperatingrevenuesOperatingexpensesPreprovoperatingprofitsProvisionchargesPretaxprofitsTaxesNetprofitsNIM(bps)CreditCosts(bps)LoangrowthDepositgrowthEarningassetsgrowth ReutersconsensusNPATWINDconsensusNPAT GSestimatesvs.cons. Keyitems(Rmbmn)NetinteresteNon-interesteOperatingrevenuesOperatingexpensesPreprovoperatingprofitsProvisionchargesPretaxprofitsTaxesNetprofitsNIM(bps)CreditCosts(bps)LoangrowthDepositgrowthEarningassetsgrowthReutersconsensusNPATWINDconsensusNPATGSestimatesvs.cons. Industrial%chgfrompriorest.2011E2012E2013E SPDB %chgfrompriorest. 2011E 2012E 2013E 14%9% 13%14%12%-46%26%24%26% 6(28)0%0%28%22,089 24%0% 20%22%19%-31%33%34%33%
(6)(23)0%0%4%26,053 22%-8%17%18%16%-37%32%32%32%(15)(27)0%0%2%32,732 15% 14% 3% BONB%chgfrompriorest.2011E2012E2013E 7%8%8%5%10%-31%21%20%21% 4(18)0%0%13%24,889.61 9%5%9%5%12%-34%28%29%28%
(8)(24)-1%0%3%29,442.11 7%0%7%2%10%-35%28%28%28%(18)(25)-1%-1%3%36,013.31 10% 6% -3% Minsheng %chgfrompriorest. 2011E 2012E 2013E 2%42% 6%-1%13%-14%18%4%22%16
(8)-1%-3%-16%3,045.52 1%-2%1%-8%8%-30%18%19%17%38(19)-2%-2%5%3,433.29 -2%-19% -4%-10% 1%-30%10%11%10% 22(20)-1%-2%1%4,484.95 7% 4% -12% 8%37%12% 9%14%-5%20%28%17% 16
(2)-3%-5%5%26,052.84 5%35% 9%7%12%-21%22%32%19% 5(13)-1%-3%-1%29,149.14 2%38% 8%5%10%-21%20%29%18%
(0)(13)-2%-2%-1%32,496.54 2% 9% 13% SZDB %
一，这从M1的快速下降即可见一斑。
虽然我们认为货币政策将保持稳健，但我们认为以下三个因素有助于在2012年下半年时压低市场利率、使之贴近历史均值：1)2011年短期贷款占比上升，有望提高中国银行业的现有贷款分配速度，从而推动M1增速反弹至15%左右；2)高盛全球经济、商品和策略研究团队预计今年下半年通胀压力缓解，流动性需求将随之降低；3)随着存款准备金率的下调，M2增速从现在的12.4%温和反弹至13%。
上半年虽有起伏，但方向未改我们仍然认为上半年流动性状况的改善步伐将慢于市场预测，因为：1)平稳的就业状况允许监管部门保持稳健的货币政策；2)监管当局对创新同业/表外信贷产品最终将采取什么样的行动仍存变数，这也会影响流动性的改善速度；3)我们的贷款结构分析显示，贷款循环速度可能要等到年中时才会显著提高。
不过，我们认为政府手中拥有很多工具可以避免流动性严重恶化。
仍看好银行股，但下半年的领先优势可能收窄我们仍然看好银行股，因为：1)我们的研究显示银行往往在M1增速反弹的初期表现领先，因M1增速反弹将缓解对不良贷款和银行流动性风险的担忧；2)由于流动性相对紧张仍对银行净息差构成利好，中国银行业一季度乃至上半年业绩有望超出预期。
但是，鉴于我们认为下半年市场利率将出现更明显回落，从而给净息差带来压力，因此我们认为下半年银行股的领先优势可能收窄。
看好估值较低且有望从M1增速反弹中受益更多的银行股我们将兴业银行的评级上调至买入（加入强力买入名单），将中信银行A股和民生银行H股评级上调至买入，并将中信银行H股加入强力买入名单，因为我们认为：1)围绕流动性/不良贷款风险的担忧缓解将令这些股票受益；2)短期内兴业银行和民生银行的资本金担忧暂告解除；以及3)估值较同业存在折让。
我们将浦发银行的评级上调为中性，因为同业/中小企业贷款风险缓解，同时我们出于估值考虑而将民生银行A股评级下调为中性。
我们将研究范围内银行股2011E-13E每股盈利预测平均调整了5%-8%，并将A/H股12个月目标价格平均调整了4%-9%。
我们还推出了2014年预测。
M2增幅假设 NewRmbloanFXinflowsPBOCOMOoutflowsFiscaldepositsreleaseNewreserveInterbankloans/bondissuanceNewRRRonmargindepositstotalyoygrowth 2012Base8,0001,50050002001,000-20011,00013.0% 2012Bear8,0001,0005000200700-20010,20012.0% 2012Bull8,5001,50050006001,000-20011,90014.0% 银行贷款循环提速有助于推高M1（人民币10亿元） ReallocationofM2orM2velocityEndingsystemloanbalance 201047,920 201154,794 2012E62,794 Loansmaturingwithin1year 38% 42% 43% M2/fundreallocationviaLOWcostchannels: LoanreallocationCorporatebondInterbankloanreallocation 17,293976 1,000 18,3861,295500 23,0141,295800 M2/fundreallocationviaHIGHcostchannels: Entrustedloans 2,119 Trustloans 962 Equityissuance 586 Undergroundloans 3,594 2,8541,009 4384,286 2,6451,009 4384,072 TotalvelocityofexistingM2Change(%)Changevs.NominalGDPgrowthM1growth(%)Lowcostfundsas%oftotal 26,53019.1%1.3%21.2%72.6% 28,7698.4%-9.0%7.9% 70.2% 33,27215.7%2.2%15.0%75.5% 预计2012年下半年经需求因素调整的M1同比增幅将恢复至正常水平 3025201510 5
(5)(10)(15) M1yoy-norminalGDPyoy 资料来源：CEIC、高华证券研究预测 *全文翻译随后提供 徐然,CFA(联系人)执业证书编号:S06+86(10)6627-3192richard.xu@北京高华证券有限责任公司马宁(分析师)执业证书编号:S14+86(10)6627-3063ning.ma@北京高华证券有限责任公司程博为(分析师)执业证书编号:S01+86(10)6627-3095bowei.cheng@北京高华证券有限责任公司 北京高华证券有限责任公司及其关联机构与其研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。
因此，投资者应当考虑到本公司可能存在可能影响本报告客观性的利益冲突，不应视本报告为作出投资决策的唯一因素。
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北京高华证券有限责任公司 投资研究 2012年3月8日 中国：银行 Tableofcontents Bumpyroad,butratescouldbeclosetohistoricalaverageby2H12
3 Issueswithtotalsocialfinancingandloangrowthasliquidityindicators 13 Staypositiveonbanks,butoutperformancetomoderatein2H 16 Reviseupearningsonhigherbalancesheetgrowthandlowercreditcosts 17 IndustrialBank(601166.SS):UptoBuy(CL)onearningsvisibility 21 CNCBAuptoBuy/CNCBHaddtoCL-Buyonfavorablerisk-reward 23 Minsheng(1988.HK,Buy):SwitchBuytoH-sharefromA-share 25 SPDB(600000.SS):UptoNeutralasinterbank/SMEriskeases 28 Appendix:Keyinterestratesvs.historicaltrends 31 DisclosureAppendix 33 PricesinthisreportarebasedonthemarketcloseofMarch6,2012,unlessstatedotherwise. Exhibit1:ValuationsummaryofourChinabankscoverage 6-MarMktCap P/B(X) P/E(X) H-shares(HKD) Rating Price(US$bn)2011E2012E2011E ICBC(H) 1398.HK Buy 5.26 235 1.561.34 7.3 BOC(H) 3988.HK Buy 3.23 116 1.010.90 6.2 CCB(H) 0939.HK Neutral 6.23 200 1.561.40 8.1 ABC(H) 1288.HK Buy 3.65 122 1.471.30 7.3 BoCom(H) 3328.HK Sell 6.08 44 1.151.00 6.4 CMB(H) 3968.HK Neutral 16.50 46 1.791.49 8.3 CNCB(H) 0998.HK Buy* 4.95 30 1.080.94 6.0 Minsheng(H) 1988.HK Buy 7.08 24 1.231.02 5.7 CQRCB 3618.HK Buy 4.29
5 1.261.11 8.0 H-shareaverage 1.351.17 6.9 ExcludingCMBH-shares 1.291.13 6.7 A-shares(Rmb) ICBC(A) 601398.SSBuy 4.34 230 1.591.36 7.5 BOC(A) 601988.SSNeutral 3.02 128 1.171.04 7.2 CCB(A) 601939.SSBuy 4.81 182 1.491.33 7.7 ABC(A) 601288.SSBuy 2.71 107 1.351.19 6.7 BoCom(A) 601328.SSNeutral 4.93 42 1.161.01 6.4 CMB(A) 600036.SSBuy 12.58 41 1.681.40 7.8 CNCB(A) 601998.SSBuy 4.58 32 1.241.07 6.8 Minsheng(A) 600016.SSNeutral 6.49 26 1.391.16 6.5 SPDB 600000.SSNeutral 9.44 27 1.221.02 6.5 Industrial 601166.SSBuy* 13.88 23 1.371.12 5.9 SZDB 000001.SZNeutral 16.95
9 1.201.02 8.4 HuaXia 600015.SSSell 11.23
8 1.261.11 8.6 BONB 002142.SZSell 9.81
4 1.571.35 8.7 BOBJ 601169.SSNeutral 10.71 10 1.401.21 7.3 BONJ 601009.SSSell 9.49
4 1.351.18 9.1 CEB 601818.SSNeutral 3.03 19 1.321.14 6.8 A-shareaverage 1.361.17 7.4 Bigbanksaverage 1.401.23 7.3 Shareholdingbanksaverage 1.321.12 7.1 CityBankAverage 1.441.25 8.4 *ThisstockisonourregionalConvictionList Note:Forimportantdisclosures,pleasegoto. 2012E6.45.46.75.95.87.15.24.86.55.95.7 6.56.26.45.45.86.75.95.55.64.96.67.17.96.47.35.96.36.16.07.2 Source:Datastream,GaoHuaSecuritiesResearchestimates. P/PPOP(X) 2011E5.03.95.05.94.05.43.93.55.94.64.5 2012E4.33.34.44.33.54.63.33.04.83.83.7 5.1 4.4 4.5 3.8 4.7 4.2 5.4 3.9 4.0 3.5 5.1 4.4 4.4 3.8 4.0 3.4 4.3 3.6 4.1 3.2 6.2 5.6 4.6 4.7 6.1 5.3 5.0 4.1 6.1 5.2 5.9 4.3 5.0 4.2 4.9 4.1 4.7 4.1 5.8 4.9 Div
yld(%) 2011E4.85.64.64.82.82.84.23.33.24.04.3 2012E5.56.55.25.93.32.54.84.34.04.75.1 4.7 5.4 4.9 5.6 4.9 5.5 5.2 6.5 3.6 4.3 3.0 2.6 3.7 4.2 2.9 3.8 2.0 2.2 3.6 4.3 0.0 0.0 2.9 3.5 2.0 2.2 3.7 4.7 2.3 2.6 5.3 5.1 3.4 3.9 4.9 5.7 3.0 3.3 2.7 3.2 EPS
growth(%) 2011E19.912.415.737.816.030.045.650.74.428.528.3 2012E14.315.420.924.710.416.715.918.823.317.117.2 19.912.415.737.816.030.045.650.742.238.0 5.59.340.335.033.341.629.621.531.036.2 14.315.420.924.710.416.715.918.814.818.828.219.7 9.313.825.614.517.618.817.516.2 ROE(%) 2011E22.917.222.121.919.523.421.023.216.521.421.1 2012E22.517.721.923.418.422.719.423.117.521.220.9 22.917.222.121.919.523.421.023.220.425.419.518.619.220.416.520.820.721.021.318.7 22.517.721.923.418.422.719.423.119.825.116.716.518.320.417.320.720.321.420.318.7 高华证券投资研究
2 2012年3月8日 中国：银行 AswehighlightedintheinterbankIVreport,thepaceofliquidityimprovementhasmoderatedpost4Q11,withinterbankrates,corporateandgovernmentbondyieldsallreboundingin1Q12(seeAppendix).Inaddition,therearemixedactionsfromregulatorsincludingmoreintensescrutinyonbanks’off-balancesheetactivities/innovativeproductsandRRRcutbyPBOC. Inthisreport,wehavedoneadetailedanalysisonbinedimpactofthevariousfactorsthatinfluenceliquidityconditionsinChinaanditsoutlookfor2012. Bumpyroad,butratescouldbeclosetohistoricalaverageby2H12 WhileM2growth,whichmeasuresthequantityofnewliquiditycreation,remainsthemostimportantfactorforliquidityconditionsinChinainourview,webelievethebelowtwofactorsalsohavestronginfluenceonliquidityconditionsandmarketinterestratelevels. 1)VelocityofliquidityorM2allocationbythevariousfinancialinstitutions,particularlybanks,whichstilldominateliquidity/fundingallocationandcontrolaround90%offinancialassets. 2)Demandforliquidity/fundsinfluencedbyeconomicgrowthandInflationlevels. Webelievetheefficiencyofliquidityallocationhasworsenedinthepastyeardespitethesurgeofmanynewformsoffundingallocationsuchastrustloans,entrustedloansandevenexpandinginformallendingchannels.ThisispartlyreflectedindecliningM1as%ofM2in2011. Inaddition,thesurgeininflationarypressuresandhighGDPgrowthasaresultofthestimuluspackagein2009hasledtohigherfundingdemand.Thesetwofactors,binedwithslowerM2growth,havedrivenM1growthtoaround10%belownominalGDPgrowthandexacerbatedliquiditytightnessin2H11.ThishelpsanswerthequestionwhyratesremainwellabovehistoricalaveragelevelsdespiteM2growthpickingupin4Q11. Exhibit2:WeexpectyoyM1growth–nominalGDPgrowthtoreturnto-1%in2H12fromaround-10%inrecentquarters(%) Exhibit3:YoyM2growth–nominalGDPgrowthshouldbebacktomodestnegativelevelsaswell(%) M1yoy-norminalGDPyoy3025201510 5
(5)(10)(15) Source:PBOC,GaoHuaSecuritiesResearchestimates. M2yoy-norminalGDPyoy25201510 5
(5)(10) Source:PBOC,GaoHuaSecuritiesResearchestimates, Weexpectthreekeydriversfornormalizationofliquidityconditionsandinterestratestolate2010levelsby2H12: 高华证券投资研究
3 2012年3月8日高华证券投资研究 中国：银行 1)thepotentialimprovementinfundingallocationvelocity/efficiencyatChinabanksstartingin2Q12toleadtoapickupofmoneyvelocityandM1growth,whichweexpecttooutpaceM2growthin2012. 2)Lowerinflationarypressuresin2H12toreduceliquiditydemand.Notably,ourECSteamexpectsnominalGDPgrowthtomoderateto16.5%by4Q12fromnear18%levelnow,whilerealGDPgrowthremainsstable. 3)ImprovedM2growthalbeitstillsomeneartermvolatility,whichcouldsupportedbysomeRRRcutsifFXinflowremainsweak. However,giventheuncertaintiesonregulatoryscrutinyoninterbankassetgrowth,particularlyInterbankEntrustedPayments(fordetails,refertoourreporttitledInterbankmarketIV:Rapidgrowthbringsscrutinyandliquidityrisk,datedJan16,2012),wethinkmeaningfulinterestratesdeclinemaybedelayedto2Q12fromlate1Q12.(seeExhibit17forourscenarioanalysisonexcessM1andM2growthprojectionsandhistoricaltrends). 1)Reducedbankloanvelocityhasexacerbatedliquiditytightnessin2011,butshouldbegintoimprovein2Q12 InadditiontonewliquiditycreationreflectedinM2growthachievedvialoangrowth,FXinflows,somenewbondissuance,andinterbankassetgrowth,webelievetheefficiencyonreallocating/distributionofexistingM2isalsoakeyinfluencingfactorforliquidityconditions. Exhibit4:ChartsshowingtheconnectionbetweenM2andexistingM2allocation(figuresareourestimatesfor2012E) KeychannelsfornewM2 FXinflows(Rmb1tn) Newloans(Rmb8tn)&NewCorp. bondsissuedto banks Interbankloans (Rmb1tn) KeychannelsforexisingM2reallocation M2 Trust/Entrustloans (Rmb3.6tn) Informalloans (Rmb4.3) M1:Cash+CorporateDemand CompanyA CompanyB Bondissuancetononbanks(Rmb1.0tn) Equityissuance(Rmb0.4tn) Banksreallocate38%-50%ofexistingloanseachyear(est.Rmb23tn) Source:GaoHuaSecuritiesResearchestimates. Velocityofexistingloanbookatbankshasweakenedmeaningfullyin2011AsshowninExhibit8,webelievemanyfinancingchannelssuchastrustloansandentrustedloansserveasliquidity(M2)re-distributorsalthoughtheydonotcreatenewliquidity.
4 2012年3月8日 中国：银行 However,thebiggestliquidity/M2redistributors,whichareoftenoverlooked,mercialbanks.Theyredistributenearlyhalfofoutstandingloanseachyearasthoseloansmature.Whileweacknowledgethatamajorportionofmaturedloansmayberedistributedtothesameborrowers(wenotethesenewloansalsogenerateM1atthemomentwhenloansaredisbursed),butwedobelieveamajorportionwasalsoredistributedtonewborrowers. Exhibit5:Midtolongtermloansas%oftotalloanshasincreasedmeaningfullyin2009and2010(Rmbbn) Exhibit6:Higherbonddurationin2009and2010hasreduced%oftotalcorporatebondsmaturingwithin1yearattheendof2009and2010 MidtolongtermloansMidtolongtermloans%oftotalNewM/LtermloansNewM/Ltermloans%oftotalnewloans Source:PBOC. 200713,453 51.4%2,49368.5% 200815,912 52.4%2,45858.9% 200922,953 57.4%7,04273.1% 201029,793 62.2%6,84086.0% 201132,814 59.9%3,02143.9% Durationofnewlyissuedcorp.bonds(yrs)Avg.durationofoutstandingcorp.bonds(yrs)%ofbondsmaturewithin1yearTotalcorp.bondBalance(Rmbbn) Source:Wind. 20083.24.638%1,114 20094.04.321%2,225 20104.03.924%3,266 20113.33.627%4,421 Webelievethreefactorshavemeaningfullyweakenedtheefficiencyofthismechanismin2011including: 1)Duetotheinfrastructuredrivenlendingboomin2009and2010midtolongtermloansas%oftotalloansandtotalnewloanshasincreasedsharply(seeExhibit5). 2)DuetomaturitymismatchforaportionofLGFVloans,therealloanmaturityhaslikelyincreasedmorethanreportedbybanksasbanksstartedtorestructuretheseloanstomatchprojectmaturityfrom2H11. 3)Evenaveragecorporatebondmaturityhasincreasedduring2010and2011asshowninExhibit5. Asaresult,%ofloansand%ofcorporatebondsmaturingwithinoneyearhavesharplydeclinedfrom50%/38%atendof2008to41%/24%attheendof2010impairingloanvelocityin2011(seeExhibits6and7). Inaddition,ifweadjustforamajorportionofLGFVloansthatmaturedin2011,whichwereessentiallyextendedtomatchtruerepaymentcapability,weestimatethatthe%ofoutstandingloansmaturedin2011wasaround38%oftotalloans. Webelievethereiskeydifferenceinrenewalofshorttermworkingcapitalloansandextensionoflongtermloansastheformerstillsupportsrealbusinessactivitywhereasbusinessactivitysupportedbylongtermloanswerelargelydoneduringthefirst1-2yearsoftheloanduration. 高华证券投资研究
5 2012年3月8日 中国：银行 Exhibit7:%ofoutstandingloansmaturingwithoneyearhasdeclinedfromabout50%asofend-2008to41%asofend-2010,reducingtheefficiencyoffundingallocationbybanks (Years)ICBCCCBBOCABCCMBCNCBMinshengCEBIndustrialSPDBSZDBHuaxiaCQRCBNingboNanjingBeijingWeightedaverage 200647%42%45% 64%68%64%59% 54%74%66%65% 71% 51% Source:Companydata. 200744%41%43%53%59%67%66%52%59%50%71%65%72% 91%67%53%50% Loanmaturingwithinoneyear 200842%41%43%55%61%63%68%58%58%57%70%66%73%52%89%67%54%50% 200937%36%41%49%45%53%60%49%47%39%55%56%55%49%75%51%42%43% 201035%34%39%45%42%49%57%59%45%39%51%56%57% 75%50%45%41% 1H1138%36%42%47% 51%59%63%50%42%51%59%59% 80%59%49%44% Changesfrom2007to2010 -10%-7%-4%-8%-17%-17%-9%7%-14%-11%-19%-9%-15%0%-15%-17%-7%-10% HigherinformalloanscannotoffsetlowerfundallocationvelocityatbanksThemarketseemstoperceivethatthegrowthofinformalloanssuchastrustloans,entrustedloansandinformallendingshouldmorethanoffsettheweakenedefficiencyatbanks,andPBOCdataseemstosupportthisschoolofthoughtaswell. However,asshowninExhibit8,ourstudyshowsotherwise: 1)Duetosheersizeofthebankingsystem,despitetherisingalternativefundingchannels,thegrowthofloansreallocatedin2011havedeclinedtoaround8%from19%in2010and29%in2009(seeExhibit8). 2)GrowthoftotalM2reallocatedin2011significantlylaggednominalGDPgrowth. 3)%oflowcostfunds(relativetotrustandinformallending)providedbybanksandbondissuancehasdeclinedto70%in2011totalfundreallocatedfrom78%in2008. Exhibit8:GrowthofamountofM2reallocatedin2011hasslowedsharplydespiterisingtrust/entrustedloansduetotheweakenedfundallocationefficiencyatbanks(Rmbbn) RmbbnReallocationofM2orM2velocity Endingsystemloanbalance Loansmaturingwithin1year 200726,169 50% 200830,339 50% 200939,968 43% 201047,920 38% 201154,794 42% 2012E Comment 62,794` Assume50%ofLGFVloansmaturingin'11&'12Eare43%extended M2/fundreallocationviaLOWcostchannels: LoanreallocationCorporatebondInterbankloanreallocation 11,413199- 12,983364- 15,231922800 17,293976 1,000 18,3861,295500 23,0141,295800 %ofloansmaturingwithinoneyearattheendofthepreviousyearXendingloanbalanceofthepreviousyear Assumestablebondissuance Assumesomereboundininterbank M2/fundreallocationviaHIGHcostchannels: Entrustedloans 638 Trustloans 221 Equityissuance 480 Undergroundloans 1,832 8314202862,331 1,329751452 2,798 2,119962586 3,594 2,8541,009 4384,286 2,6451,009 4384,072 AssumecontractionofentrustedloansAssumestablebalancew/reallocationofmaturingloansAssumeinlinewith2011Assumecontractionofundergroudloans TotalvelocityofexistingM2Change(%)Changevs.NominalGDPgrowthM1growth(%)Lowcostfundsas%oftotal 14,78322.9%0.0%21.0%78.5% 17,21516.5%-1.7%9.1%77.5% 22,28429.4%20.9%32.4%76.1% Source:PBOC,Companydata,andGaoHuaSecuritiesResearchestimates 26,53019.1%1.4%21.2%72.6% 28,7698.4%-9.1%7.9% 70.2% 33,272Expectreboundinfundvelocityin201215.7%2.2%15.0%75.5%Expectreboundinlowcostfundreallocation 高华证券投资研究
6 2012年3月8日 中国：银行 Keyassumptions: 1)%oftotalsystemloansmaturingwith12monthsarethesameaslistedbankswhichcontributemorethan70%ofsystemloans. 2)%ofloansmaturingwithin12monthsatendof2010wereadjustedlowerby3%byassuming50%ofLGFVloansmaturedin2011wereextended. 3)Averagetrustmaturityof1.5yearsandaverageentrustedloanmaturingof2years. LowerM2/bankfundingallocationvelocityalsowasreflectedinM1/M2trendsWebelievethelesseffectiveliquidityallocationwasreflectedinlowermoneyvelocityevidencedinmorerapidslowdowninM1growththanM2growth(seeExhibit9),whichdroveM1as%ofM2tonearhistoricallowlevels(seeExhibit10). Thishasledtotheboostofinformallendingactivitiesandinnovativeproductsofferedbythetrust. Whilemoneyvelocitywasevenlowerin2008,webelieveitwaspartlyduetotheglobalfinancialcrisis.For2011,webelievethetwosharpdeclinesinM1as%M2in1Q11and3Q11werelargelyduetolessefficientliquidityallocationandovertighteningonM2growthasmajoreconomicindicatorswerelargelystableatthattime. Exhibit9:M1growthslowedmorethanM2growthin2011... Exhibit10:...andM1as%ofM2hasreachedthelowestpointinthepast15years M1yoy M2yoy 40 35 30 25 20 15 10
5 0 M1as%ofM2 avgsince1997 40% 39% 38% 37% 36% 35% 34% 33% 32% 31% 30% Source:CEIC.高华证券投资研究 Source:CEIC. CouldtheslowerM1growthbedrivenbyslowereconomyandlowerinvestmentneedsratherthanbylowerloanvelocity?
Historically,M1hastendedtoslowmorethanM2duringaneconomicdownturn—M1growthslowedto8%-9%in2H08vs.M2yoybetween15%-17%.CouldtheslowerM1growthbealsodrivenbyslowerinvestmentneedsandfunddemand?
Whileslowerdemandforinvestmentcouldbeareason,webelieveitisnotthemainreasonthistime.In2008,theslowerM1growthwascoupledwithlowerloanpricingpowerandlowermarketinterestratessignalingslowerdemand.However,marketsratesincreasedsharplywhenM1slowedin2H11showingmajorsupplyconstraints. 1)M1growthtooutpaceM2startinginlate2Q12onloanvelocityimprovementWebelievemoneyvelocitywillpickupin2012,startinglate2Q12,onmodestimprovementoffundallocationefficiencyatChinabanksasbanksresumedfocusonshorttermloanextensionin2011.
7 2012年3月8日 中国：银行 Newloanstructurehasnotablyimprovedstartingin2Q11,evidencedbylowermidtolong-termloansas%oftotalnewloans(seeExhibit11).Wethinkthiswilllikelystarthelpingtheoverallfundingallocationefficiencybybanksandmoneyvelocityin2Q12. Exhibit11:Newloanstructurehasnotablyimprovedstarting2Q11,evidencedbylowermidtolong-termloansas%oftotalnewloans,whichshouldhelploanvelocityin2H12 300%Midtolongtermloans/totalnewloans Averagesince06 250% 200% 150% 100% 50% 0% -50% Dec-06Mar-07Jun-07Sep-07Dec-07Mar-08Jun-08Sep-08Dec-08Mar-09Jun-09Sep-09Dec-09Mar-10Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11 Source:PBOC. Exhibit12:Loansmaturingwithinoneyearas%oftotalloanshasbeguntoreboundin2Q11,aidedbyimprovednewloanmix WeightedAverage%ofloansmaturingwithin12months 60% 51% 50% 50% 50% 43%41%44% 40% 30% 20% 10% 0%2006 2007 2008 2009 2010 Source:Companydata,GaoHuaSecuritiesResearch. 1H11 Exhibit13:Loansmaturingwithin3monthswilllikelystartimprovingin2Q12 WeightedAverage%ofloansmaturingwithin3months 18% 17% 16%16%15%14% 14% 13% 13% 12% 10% 8% 6% 4% 2% 0%2006 2007 2008 2009 2010 1H11 Source:Companydata,GaoHuaSecuritiesResearch. 高华证券投资研究
8 2012年3月8日 中国：银行 AsshowninExhibit12,%ofloansmaturingwithinoneyearhasreboundedto44%ofloansatlistedbanksfrom41%attheendof2010,andwebelievethisnumbercouldrisefurthertoaround46%-47%bytheendof2011onmoreshorttermloanextensionin2H11. Evenadjustedfor3%-4%ofLGFVloansthatmayneedtobeextendedsimilartoouradjustmentdoneto2011M2allocationcalculation,ourstudyshowsthatthequantityofexistingM2thatwillberedistributedwillincrease15%in2012vs.7%in2011,whichwillleadtohighermoneyvelocityandM1growth,inourview. Inaddition,asM1startstoimproveitwillalsoleadtobetterbusinessactivitiesanddrivevoluntarymovementoffundsfromtimetodemandatcorporations,whichwillenforcetheM1improvementtrends. ordingly,webelieveM1as%ofM2couldrisetoaround35%from32%currently,whichwilldrivecloseto16%ofM1growthin2012ifM2growthstaysat13%. 2)Inflation/demandadjustedM1/M2growthbacktonormallevels Webelievecreditdemand,whichisheavilyinfluencedbyeconomicgrowthandInflationlevels,alsohasamajorimpactonliquidityconditionsandinterestrates. AsshowninExhibit2/3,excessM1/M2growthrates,calculatedbysubtractingnominalGDPgrowthratefromM1andM2growthrates,havereached-10%/-5%in3Q11and4Q11,whichwerebothnearhistoricaltroughlevelssimultaneously. Exhibit14:OurglobalECSteamexpectsCPIinChinatomoderateto2.4%by4Q12from4.6%in4Q11... Exhibit15:....andnominalGDPgrowthtoslowto16.5%by4Q12frommorethan20%in4Q11 CPIyoy3025201510 50-
5 Source:CEIC,GaoHuaSecuritiesResearchestimates,GSGlobalECSResearchestimates QtrlyGDPyoy18.016.014.012.010.0 8.06.04.02.00.0 Source:CEIC,GaoHuaSecuritiesResearchestimates,GSGlobalECSResearchestimates 1-Jan-901-Jan-911-Jan-921-Jan-931-Jan-941-Jan-951-Jan-961-Jan-971-Jan-981-Jan-991-Jan-001-Jan-011-Jan-021-Jan-031-Jan-041-Jan-051-Jan-061-Jan-071-Jan-081-Jan-091-Jan-101-Jan-11 1Q12E1Q13E1-Jan-901-Jan-911-Jan-921-Jan-931-Jan-941-Jan-951-Jan-961-Jan-971-Jan-981-Jan-991-Jan-001-Jan-011-Jan-021-Jan-031-Jan-041-Jan-051-Jan-061-Jan-071-Jan-081-Jan-091-Jan-101-Jan-111Q12E1Q13E Webelievethepotentialgradualmoderationofinflationarypressurein2H12couldalsohelpeaseliquidityconditionsinChina.Notably,ourECSteamexpectsnominalGDPgrowthtomoderateto16.5%by4Q12fromnear18%levelnowwhilerealGDPgrowthremainsstable. ThiswillbringexcessM1growthtomodestpositiveterritoriesandbringexcessM2growthmodestlybelowzero,whichwouldbothbeclosetohistoricalaveragelevelsifChinaweretoachieve14%M2growthin2012. 高华证券投资研究
9 2012年3月8日高华证券投资研究 中国：银行 3)StillhealthyM2growthof12%-14%likelyin2012 WebelievetherearefivekeysourcesofM2growthincluding:1)loangrowth,2)PBOCarypolicies,includingRRRandopenmarketoperations,3)FXflows,4)interbankassetgrowth,and5)Corporatebondissuance(particularlypurchasedbybanks).WebelieveFXinflows,whichcontributedclosetoRmb3tnofM2growthin2011,andinterbankloangrowthremainthelargestuncertaintiesamongtheaforementionedfactorsfor2012.Inaddition,webelievethereisstilldebatewithinthegovernmentonthelevelandpaceofproactiveliquidityloosening(e.g.RRRcuts)asalooseliquidityenvironmentisnotgoodtodriveeconomicstructurechangeandcouldleadtoresurgenceofinflationarypressures.WhilePBOCtargets14%M2growththisyear,webelieveitcantoleratemodestlylowerM2growthifeconomicgrowthremainsstable.Hence,webelieveM2growthfor2012willlikelybearound12%-14%oraroundRmb10.5-12tntomaintainstableandrelativelyrapideconomicgrowthwhilepreventingaresurgenceofinflationarypressures. CanChinaachieve12%-14%M2growthtargetifFXinflowsremainweak?
Asweindicatedearlier,therecouldbemanydifferentpathstoreach12%-14%M2growthgivenmorechannelsavailableforliquiditygenerationinChina,anddemandwillbeanotherkeyfactorinadditiontothefactorsthatwementionedearlier.WebelievethebelowfactorsmayhelpoffsetpotentiallyweakerFXinflowsorFXoutflows1)CorporatebondissuancetobanksWebelievenewcorporateissuancepurchasedbybankscouldalsoimproveoverallmarketliquidityandaddtoM2growthasitalsohasmoneymultipliereffectsandgeneratesadditionaldeposits.WebelievecorporatebondspurchasedbybankshavethesamecontributiontoliquidityandM2growthloansbutarenotsubjecttoloantodepositratiorequirementandloanquota.AsmultipleregulatorsindicatedthewillingnesstofurtherdevelopthebondmarketinChina,morebondissuancein2012couldalsooffsetweakerFXinflowsifregulatorsweretochangethestructureofdirectandindirectfundraisingandapprovemorebondissuancein2012.However,theoverallliquidityimpactfrombondissuancemaybeweakerthaninterbankassetgrowthasonlybondspurchasedbybankswillhavethemoneymultipliereffects.2)RRRcutamoreeffectivewaytosupportM2growthGiventheveryhighRRRinChina,RRRcutislikelythemosteffectivewaytohelpsupportM2growthincaseofweakFXinflows.WebelieveRRRcutwillhavefollowingbenefits:1)Providesaclearindicationofpolicydirection,givingconfidencetothemarketpanies.2)HelpsimproveliquidityconditionsandsupportsM2withouttoomuchbankinnovationandrelatedpotentialrisks.3)Interbankassetsmaystillbeacontributor,althoughlikelytoremainvolatileWhileinterbankbusinessistypicallyviewedaslending/borrowingbetweenbanksandhencedoesnotprovidefundingandliquiditytonon-financialinstitutions,ithasnotbeenthecaseinChina.AswementionedinourinterbankreportI-III,interbankassetgrowthhasbeenakeyliquidity/M2contributorin2009/2010/1H11and4Q11.WebelieveinterbankassetgrowthwilllikelyremainasakeyM2contributorin2012asthisbusinessisnotsubjecttoloanquotaandloantodepositratiorequirement. 10 2012年3月8日高华证券投资研究 中国：银行 Scenarioanalysisfor12%-14%M2growthin2012 WehavemappedoutapotentialpathonhowM2growthcanachieve12%-14%growthin2012ifPBOCkeepsloanquotaatRmb8.0-8.5tnandFXinflowremainsrelativelyweak.GivenmanyuncertaintiesforkeyfactorsthatinfluenceM2growth,wehavethreescenarios: Basecase:M2growthof13.0%onfourRRRcuts Keyassumptions:2012fullyearloanquotaofRmb8.0tnwithquarterlyallocationof3:3:2:
2 FXinflowsofRmb1.5tnvs.Rmb3tnin2011 InterbankassetgrowthofRmb1tnin2012 FourRRRcutsin2012thatledtonoincreaseindepositreserveatPBOCdespiteourestimatedaroundRmb10tnnewdepositgrowthin2012 Rmb500bnofliquidityreleasedviaopenmarketoperations Exhibit16:Detailedassumptionsforour12%-14%M2growthforecastsunder3scenarios NewRmbloanFXinflowsPBOCOMOoutflowsFiscaldepositsreleaseNewreserveInterbankloans/bondissuanceNewRRRonmargindepositstotalyoygrowth 20107,9533,268683-304-3,1553,118 011,56319.7% 20117,4862,7802,022 -88-2,058 615-67710,07913.6% 2012Base8,0001,50050002001,000-20011,00013.0% 2012Bear8,0001,0005000200700-20010,20012.0% 2012Bull8,5001,50050006001,000-20011,90014.0% Source:PBOC,GaoHuaSecuritiesResearchestimates. Bearcase:M2growthof12.0%onlowerFXinflowsandsomeregulatoryscrutinyoninterbanklendingactivities Keyassumptions:2012fullyearloanquotaofRmb8.0tnwithquarterlyallocationof3:3:2:
2 FXinflowsofRmb1.0tnvs.Rmb3tnin2011 InterbankassetgrowthofRmb0.5tnin2012duetosomeregulatorscrutinyoninterbanklendingactivities FourRRRcutsin2012thatledtonoincreaseindepositreserveatPBOCdespiteourestimatedaroundRmb10tnnewdepositgrowthin2012 Rmb500bnofliquidityreleasedviaopenmarketoperations Bullcase:M2growthof14.0%onhigherloanquotaofRmb8.5tnandmoreRRRcut Keyassumptions:2012fullyearloanquotaofRmb8.5tnwithquarterlyallocationof3:3:2:2FXinflowsofRmb1.5tnvs.Rmb3tnin2011InterbankassetgrowthofRmb1.0tnin2012 11 2012年3月8日高华证券投资研究 中国：银行 FiveRRRcutsin2012thatleadtoreleaseofRmb500bndepositreserveatPBOCdespiteourestimatedaroundRmb10tnnewdepositgrowthin2012 Rmb500bnofliquidityreleasedviaopenmarketoperations ExcessM1growthandkeymarketrateslikelyclosetohistoricallevelsby2H12,although1H12stillrelativelytight WeexpectM1as%ofM2willreboundin2012asloanfundingallocationvelocityimprovesatChinabanks—weexpectM1growthtoreboundto14%-18%by4Q12basedonourM2growthscenarios. Exhibit17:WebelieveM1growthcouldreboundto14%-18%by4Q12basedonourM2growthscenarioof12%-14% 2005-122006-32006-62006-92006-122007-32007-62007-92007-122008-32008-62008-92008-122009-32009-62009-92009-122010-32010-62010-92010-122011-32011-62011-92011-121Q12E2Q12E3Q12E4Q12E M1yoyBasecase11.812.713.915.717.519.820.922.121.018.314.29.49.117.024.829.532.429.924.620.921.215.013.18.97.98.711.319.215.6 Bearcase 11.812.713.915.717.519.820.922.121.018.314.29.49.117.024.829.532.429.924.620.921.215.013.18.97.97.210.217.513.8 Bullcase 11.812.713.915.717.519.820.922.121.018.314.29.49.117.024.829.532.429.924.620.921.215.013.18.97.912.013.221.818.2 M2yoyBasecase 17.618.818.416.816.917.317.118.516.716.317.415.317.825.528.529.327.722.518.519.019.716.615.913.013.612.212.214.313.0 Bearcase 17.618.818.416.816.917.317.118.516.716.317.415.317.825.528.529.327.722.518.519.019.716.615.913.013.611.311.513.312.0 Bullcase 17.618.818.416.816.917.317.118.516.716.317.415.317.825.528.529.327.722.518.519.019.716.615.913.013.612.512.815.114.0 Source:CEIC,GaoHuaResearchestimates. Whenwealsofactorinthedemandsideoftheequation,webelieveexcessM1andM2growth,calculatedbysubtractingnominalGDPgrowthfromM1andM2growth,willreturntoaround0%and-3%,respectively. Historically,binationcorrespondedwith4%3monthinterbankrateswithnewloanyieldataround14%abovebenchmarkorclosetohistoricalaverage.Hence,webelievethethree 12 2012年3月8日 中国：银行 monthinterbankratecouldgraduallytrendbackto4.0%-4.5%in2H11fromcurrentlylevelof5.5%if13%ofM2growthisachievedin2012andinterbankratescouldreturnto4.5%-5.0%inabearcasescenarioof12%M2growth. Althoughmorenotableimprovementwilllikelytakeplaceinlate2Q12basedonourbankfundingallocationvelocityanalysisasthegovernmentwilllikelystillkeeprelativeprudentM2growthrate,inourview. Exhibit18:Weexpect4Q11liquiditytoimprovenotablyover3Q11evenfactoringinthenewRRRonmargindeposits 2005-122006-32006-62006-92006-122007-32007-62007-92007-122008-32008-62008-92008-122009-32009-62009-92009-122010-32010-62010-92010-122011-32011-62011-92011-121Q12E2Q12E3Q12E4Q12E Averageloanyieldabovebenchmark 17.8%16.3%16.0%16.5%15.8%14%14%14%13%13%24%14%15%12%12%11%12%11%14%14%14%16%17%19%19%18%17%14%14% Interbank3mrate 2.232.242.912.982.952.963.323.725.034.514.474.392.901.671.432.282.092.303.162.904.474.265.675.755.895.505.004.204.00 M1yoy-norminalGDPyoy(3.89)(3.18)(2.56)(0.63)0.51(1.02)(0.64)(0.16)(1.87)(2.80)(6.91)(11.07)(9.09)11.7119.2922.9323.8011.786.563.203.41(2.54)(4.62)(8.98)(9.55)(9.15)(6.30)2.22(0.93) BearcaseBullcase (3.89)(3.18)(2.56)(0.63)0.51(1.02)(0.64)(0.16)(1.87)(2.80)(6.91)(11.07)(9.09)11.7119.2922.9323.8011.786.563.203.41(2.54)(4.62)(8.98)(9.55)(10.68)(7.37)0.50(2.67) (3.89)(3.18)(2.56)(0.63)0.51(1.02)(0.64)(0.16)(1.87)(2.80)(6.91)(11.07)(9.09)11.7119.2922.9323.8011.786.563.203.41(2.54)(4.62)(8.98)(9.55)(5.89)(4.44)4.791.75 M2yoy-norminalGDPyoy1.902.911.930.50(0.03)(3.56)(4.50)(3.78)(6.16)(4.76)(3.73)(5.21)(0.33)20.1822.9522.7319.134.330.461.291.94(0.92)(1.82)(4.79)(3.85)(5.70)(5.37)(2.73)(3.49) BearcaseBullcase 1.902.911.930.50(0.03)(3.56)(4.50)(3.78)(6.16)(4.76)(3.73)(5.21)(0.33)20.1822.9522.7319.134.330.461.291.94(0.92)(1.82)(4.79)(3.85)(6.60)(6.11)(3.71)(4.55) 1.902.911.930.50(0.03)(3.56)(4.50)(3.78)(6.16)(4.76)(3.73)(5.21)(0.33)20.1822.9522.7319.134.330.461.291.94(0.92)(1.82)(4.79)(3.85)(5.40)(4.83)(1.95)(2.51) Source:CEIC,GaoHuaResearchestimates. Issueswithtotalsocialfinancingandloangrowthasliquidityindicators Toaddressthegapbetweenloangrowthandthetruemarketliquiditycondition,PBOCintroducedtheconceptoftotalsocialfinancingwhichincludesanumberoftypesoffinancialinstruments. Webelievetotalsocialfinancinghasimprovedourunderstandingoftheplicationofcreditrisks,butmaynotbethebestgaugeofmarketliquiditysupplyortotalleverage. AsshowninExhibit19,webelieveponentsoftotalsocialfinancingincreaseliquidityandleverage,butothersareessentiallyreallocating/redirectingexistingliquidityinthesystem. Inaddition,TSFneithercapturesallkeychannelsthatgeneratenewM2/liquiditynorallkeychannelsthatreallocateM2. FornewM2creation,thetotalsocialfinancingdoesnotincludeinterbankactivities,andforM2reallocation,thetotalsocialfinancingdoesnotincludeloanreallocationbybanksandinformallendingchannels. 高华证券投资研究 13 2012年3月8日 中国：银行 Notably,therecentliquiditytrendsreflectedbymarketinterestrateshavedivergedquitemeaningfullyfromwhatmarketliquidityconditionshouldbeimpliedbythetrendsoftotalsocialfinancing. Exhibit19:Ouranalysisofliquidityimpactfromtotalsocialponents Rmbbn RmbloansForexloansEntrustedloansTrustloansBankeptancesCorporatebondsissueNonfinancialinstitutionequitiesOthersTotalfinancingTotaldebtfinancingLetterofcreditBankwealthmgmtproductsInformalloanM2InterbankliabilitiesnotinM2 2008 Growth 2009 2010 2011 Outstandingbalance200820092010 Addsnewliquidity2011&driveM2growth AdditionalComments 4,17052 362268 93472286 9,629933679438467 1,301452 7,951415 1,130386 2,3311,201 586 7,470571 1,300201 1,0301,370 438 30,3391,6651,3005211,0171,0571,094 39,9682,5911,9799601,4842,3581,547 47,9203,0033,1091,3463,8153,5592,133 54,794 yes,directly 3,3424,4091,5474,8454,9292,571 yes,indirectlyNo,butredistributes liquidityNo,butredistributes liquidity Partially PartiallyNo,butredistributes liquidity indirectlyincreasesM2reflectedinFXinflow Itincreasesandplicatesoverallmarketcreditrisks ItincreasesandplicatesoverallmarketcreditrisksIncreasescreditrisksandaddstoliquidtyifbankereptancesarediscountedbybanksAddfreshliquidityandM2whenbondspurchasedbybanks 1345,839 5,419
(6) 8997,156 1,144 25514,154 13,447232500(332) 14,0561,294 300 450 524 779 1,079 14,30012,83037,51951,66565,963 13,41411,94335,90149,34062,751 431 379 458 690 1,121 1,500 2,000 - 500 2,000 1,196 1,338 2,731 2,398 3,594 11,630
10,07949,39663,45175,081 1,023 2,933 3,258 4,552 5,575 1,437 No 77,874 73,8661,5004,0004,932 PartiallyNo,butredistributes liquidityNo,butredistributes liquidity IncreasescreditrisksandaddtoliquidtyifletterofcredithelpdriveloanorinterbankassetgrowthItincreasesandplicatesoverallmarket creditrisksItincreasesandplicatesoverallmarket creditrisks 85,160 8,508 Itdependsonmultiplefactors Source:PBOC,GaoHuaSecuritiesResearch. Loansfarpleteinlightofbankinnovations ItiswellknownbythemarketthatloangrowthisanpleteindicatorofliquidityconditionsinChinaalthoughmonthlyloannumbersremainoneofthefocusareasofthemarket.WeexpectbondissuanceandinterbankassetgrowthtoeincreasinglyimportantliquiditycontributorsinChinainthenextthreeyears. Interbankassets:LikelylongtermtrendsdespitecurrentscrutinyAswehighlightedinourpreviousinterbankreports,interbankassets/liabilitieshaveeanincreasinglyimportantsourceofliquiditytotherealeconomyandM2growth. 高华证券投资研究 14 2012年3月8日 中国：银行 Exhibit20:Interbankassetsas%oftotalassetshasincreasedmateriallyinthepasttwoyears,whichcouldbeatrendthatishardtoreverse Interbankclaimsas%ofmercialbanksassets20% 18% 18% 16% 14% 12% 13% 13% 12% 11%10% 8% Exhibit21:InterbankloancontributiontoM2/depositgrowthhasalsopickedinrecentyearsduetomoreactivebankinnovation Newdeposits-newloan-FXpurchase+newFCdepositsRmbbn 2000 1,684 15001000 500 1,092 613300 0-500-1000-1500 2003-259 2004-424 2005 2006-688 2007-289 2008 2009 -1,027 2010 2011 Mar-05Jun-05Sep-05Dec-05Mar-06Jun-06Sep-06Dec-06Mar-07Jun-07Sep-07Dec-07Mar-08Jun-08Sep-08Dec-08Mar-09Jun-09Sep-09Dec-09Mar-10Jun-10Sep-10Dec-10Mar-11 Source:CEIC,panyreports. Source:Companydata,GaoHuaSecuritiesResearch. Whileinterbankbusinesshasbeentypicallyviewedasliquiditytransferbetweenbanks,ouranalysisindicatesthatamajorportionofinterbanktransactionsbetweenbanksorbetweenbanksandotherfinancialinstitutionsdirectlyorindirectlysupportsliquidityandM2growthfortherealeconomy. AsshowninExhibit21,therecentvolatilityininterbankassetshasbeenthemostimportantdriverforvolatilityinM2growthinrecentquarters. Despitethetemporarymoderationininterbankassetgrowthin3Q11,webelieveinterbankassetsandliabilitiesas%oftotalwilllikelygraduallytrendhigheratChinabankslongertermgiventhefollowingincentiveforbanks: 1)Moremarketorientedpricingonbothassetsandfundingdrivestrongmarketdemand. 2)Doeunderthepurviewofcertainregulationssuchasloanquotaandloantodepositratiorequirement. 3)HighmultipliereffectsgivennoRRRrequirement,whichhelpsgenerateliquidityanddepositgrowth. Webelieveitmaybeatrendthatishardtoreverse,andwilllikelydriveOn-Balance-Sheetfinancialdisintermediationwithinterbankassets,bondsandinterbankfundinggraduallyreplacingaportionofloansanddeposits. WedonotbelieveChinaregulatorswillallowthefullscaleoffinancialmarketdisintermediationliketheUSfinancialmarket.However,webelievetheonbalancesheetfinancialdisintermediationcouldbeapathforChina’sfinancialmarketsimilartothatofGermany. 高华证券投资研究 15 2012年3月8日 中国：银行 Exhibit22:Loansas%oftotalassetsatGermanbankshavesteadilydeclinedoverthepastdecades... loans/totalbankingassetsinGermany90%80%70%60%50%40%30%20%10% 0% Exhibit23:...sohavedepositsas%oftotalfundingliabilitiesatGermanbanks deposits/totalbankingliabilitiesinGermany 50%45%40%35%30%25%20%15%10% 5%0% 1/1/19501/1/19531/1/19561/1/19591/1/19621/1/19651/1/19681/1/19711/1/19741/1/19771/1/19801/1/19831/1/19861/1/19891/1/19921/1/19951/1/19981/1/20011/1/20041/1/20071/1/20101/1/19501/1/19531/1/19561/1/19591/1/19621/1/19651/1/19681/1/19711/1/19741/1/19771/1/19801/1/19831/1/19861/1/19891/1/19921/1/19951/1/19981/1/20011/1/20041/1/20071/1/2010 Source:DeutscheBundesbank,GaoHuaSecuritiesResearch Source:DeutscheBundesbank,GaoHuaSecuritiesResearch. Staypositiveonbanks,butoutperformancetomoderatein2H 1)OurstudyshowsthatbankstendtooutperformduringearlystageofM1growthrebound,whichwilleaseconcernsonNPLandbankliquidityrisks,and 2)strongconsensusbeating1Q12andpotentially1H12earningsaidedbystillhealthyNIMgivenrelativelytightliquidity. However,asweexpectmarketratestodeclinemorenotablyin2H12,whichwilllikelybeduetothepressureonNIMofChinabanks(allassetsensitive),webelievebankoutperformancecouldmoderatein2H12(seeExhibit25). Exhibit24:BankstendtooutperformduringearlystageofM1growthreboundgivenreducedconcernsonliquidityandcreditqualityrisks M1yoy 45 CMBAshareprice 40 Mar05Oct05 May07 35 30 25 20 15 10
5 0 GSCAyoyCorporatelossesyoy(RHS)-100 Nov08 Feb10 -50
0 50 100 150 200 Exhibit25:Historically,banks’relativeperformancetendedtomoderateduringquarterswithNIMpressuresexceptintheveryearlystageofeconomicrecovery 30%20%10% 0%-10%-20%-30% Relativereturn AverageqtrlyNIM(RHS) 2.9%2.7%2.5%2.3%2.1%1.9%1.7%1.5% Jan-04May-04Sep-04Jan-05May-05Sep-05Jan-06May-06Sep-06Jan-07May-07Sep-07Jan-08May-08Sep-08Jan-09May-09Sep-09Jan-10May-10Sep-10Jan-11May-11Sep-11Jan-12 Source:Datastream,GaoHuaSecuritiesResearch,GSGlobalECSResearch Source:Datastream,CEIC,GaoHuaSecuritiesResearch 高华证券投资研究 16 2012年3月8日 中国：银行 Exhibit26:Averageyieldonnewloansarenow19% abovebenchmarkwhichiswellabovehistoricalaverageandwilllikelymoderateasliquidityconditionseasestarting2Q12 Averagerates/benchmarkrates%1.41.41.31.31.21.21.11.11.0 AveragesinceJan08 Jan-08Apr-08Jul-08Oct-08Jan-09Apr-09Jul-09Oct-09Jan-10Apr-10Jul-10Oct-10Jan-11Apr-11Jul-11Oct-11 Source:PBOC. Exhibit27:Ourexpectationsonlowermarketratescouldalsopressuretheinterbankspread,whichhadbeenpositivelycorrelatedwithprevailinginterbankrate interbankspread(%)3minterbankrate 1H91.68% 2H92.00% 1H102.32% 2H103.12% ICBCCCBABCBOCBoCOMCMBSPDBCNCBMinshengIndustrialSZDBHuaxiaBOBJBONJBONBaverage -0.41%-0.75%0.00%0.34%-0.76%-0.38%-1.11%-0.59%0.67%0.52%2.66%2.66%-0.95%-0.43%0.12%-0.38% -0.14%-0.54%-1.40%0.34%-1.07%-0.57%-1.14%-1.22%0.22%0.49%1.47%1.47%-0.55%0.02%3.02%-0.14% 0.38%-0.16%0.06%0.08%-1.36%-0.40%-0.56%-0.02%-0.23%0.74%1.43%1.43%-0.68%0.68%0.73%0.06% 0.57%0.37%1.23%0.00%-1.03%0.19%-0.33%0.94%-0.74%0.88%0.70%0.70%-0.52%-0.79%-0.07%0.19% Source:Companydata,GaoHuaSecuritiesResearch. 1H11 4.97% 0.25%1.28%0.39%0.12%-1.45%-0.73%0.29%0.87%1.12%0.46%1.36%1.36%-0.36%0.62%-0.46%0.39% Raiseearningsonhigherbalancesheetgrowth,lowercreditcosts Threekeyreasonsforourestimaterevisions Weraiseour2011E/2012E/2013EEPSforshareholdingandcitybanksby13%/17%/12%,largelyonthefollowingthreefactors: 1)Raisingbalancesheetgrowthestimatesforshareholdingbanksduetoheightenedinterbankactivitiesin4Q11:Banksfoundnewwaystofinancecorporateusinginterbankproducts(fordetails,refertoournoteInterbankmarketIV:Rapidgrowthbringsscrutinyandliquidityrisk,datedJan16,2012)andinterbankassetssawa12%momincreaseinDec2011. ordingly,weraiseourearningsassetgrowthforecastforA-sharebanksbyanaverageof5%/0%/0%for2011E/2012E/2013Erespectively,andlowerourdepositgrowthforecastsforAsharebanksby1%/2%/2%. 2)ReducingprovisionestimateNPLformationratioturnedouttobemuchlowerthanweexpectedin2011asafewkeyriskswereaverted: CBRCreleased4Q11sectorNPLdatarecently,withoverallNPLratioat1.0%asofYE11up0.1%qoqanddown0.1%yoy;NPLbalancedropped1.3%yoybutrose4.9%qoq.ordingtoourcalculation,NPLformationwas-2bpformercialbanksvs.our2011Eestimateforalllistedbanksof40bp. Thereforewelowerourestimateforprovisionsbyanaverageof20%/19%in2012E/2013EandNPLformationto47/48bpfrom67/62bp. 3)LoweringNIMassumptiononlowerloanpricingpower/interbankspread However,wealsomodestlycutourNIMforecastsforthesebanksin2012E/2013E,asweexpecttheliquiditylooseningin2012willcontributetolowerpricingpowerandinterestspreadintheinterbankmarket. WealsointroduceFY14Eestimates. 高华证券投资研究 17 2012年3月8日 中国：银行 Exhibit28:Wereviseupour2011E/2012E/eby9%/12%/8% Earningrevision Keyitems(Rmbmn)NetinteresteNon-interesteOperatingrevenuesOperatingexpensesPreprovoperatingprofitsProvisionchargesPretaxprofitsTaxesNetprofitsNIM(bps)CreditCosts(bps)LoangrowthDepositgrowthEarningassetsgrowth ICBC%chgfrompriorest.2011E2012E2013E -2%4%-1%1%-2%-15%0%1%0%
(7)(9)2%-2%2% -1%4%0%2%-1%-12%0%0%1%
(5)(8)0%-2%-2% -2%4%0%2%-2%-17%1%1%1%
(2)(12)0%-2%-2% CCB %chgfrompriorest. 2011E 2012E 2013E -1%4%0%1%-1%-10%1%1%1% 0(6)0%-4%-3% -1%2%-1%2%-2%-22%2%3%2% 5(15)-1%-1%-2% -3%1%-2%2%-4%-17%-1%0%-2% 5(10)-1%-1%-1% BOC %chgfrompriorest. 2011E 2012E 2013E -3%0%-2%-2%-2%-10%-1%1%0%
(4)(5)1%0%0% 0%-1%0%0%-1%-20%4%6%5% 4(12)-1%0%0% -1%-1%-1%0%-2%-22%3%4%3% 4(12)-1%0%0% ABC BOCOM %chgfrompriorest. %chgfrompriorest. 2011E 2012E 2013E 2011E 2012E 2013E Keyitems(Rmbmn) 0% -2% -2%
N -2% 0% -1% 1% -1% 8%
N 7% 10% 9% 0% -2% 0%
O 0% 2% 1% 0% 1% -2%
O 1% 6% 7% 1% -3% 1%
P -1% 0% -3% 4% -20% -22%
P -14% -12% -4% 0% 2% 7%
P 3% 4% -3% 0% 3% 8%
T 3% 4% -3% -1% 2% 7%
N 3% 4% -3%
1
(2)
(4)
N
(6)
(1)
(4)
2 (20) (20)
C
(9)
(8)
(2) 2% -1% -1%
L 0% -1% -1% -1% -2% -2%
D 0% 0% 0% 1% -1% -1%
E 0% 0% 0% CMB %chgfrompriorest. 2011E 2012E 2013E 2% 1% 0% 15% 27% 31% 4% 6% 6% 7% 10% 12% 2% 3% 2% -2% -6% -2% 2% 4% 3% 5% 8% 7% 2% 3% 1%
4 2
1
(1)
(3)
(1) 0% 0% 0% 0% 0% 0% 0% 0% 0% CNCB %
chgfrompriorest. 2011E 2012E 2013E 1%12% 3%-1%5%-36%17%20%16%10(24)-2%-3%0% 0%5%0%-4%3%-36%15%15%15% 1(26)-2%-2%-1% -4%-2%-4%-7%-1%-33%8%8%8%
(4)(23)-1%-3%-2% ReutersconsensusNPATGSestimatesvs.cons. 204,842-1% 228,4002% 259,3764% 166,8060% 185,0242% 208,5453% 120,856-3% 129,7304% 144,9626% 128,485.96145,804.80167,248.77 2% 12% 18% 48,036.35-1% 54,072.04-3% 59,324.93-2% 33,876.892% 40,063.3445,707.23 1% 5% 28,662.8031,952.5335,321.64 9% 14% 15% Keyitems(Rmbmn)NetinteresteNon-interesteOperatingrevenuesOperatingexpensesPreprovoperatingprofitsProvisionchargesPretaxprofitsTaxesNetprofitsNIM(bps)CreditCosts(bps)LoangrowthDepositgrowthEarningassetsgrowth ReutersconsensusNPATWINDconsensusNPAT GSestimatesvs.cons. Keyitems(Rmbmn)NetinteresteNon-interesteOperatingrevenuesOperatingexpensesPreprovoperatingprofitsProvisionchargesPretaxprofitsTaxesNetprofitsNIM(bps)CreditCosts(bps)LoangrowthDepositgrowthEarningassetsgrowthReutersconsensusNPATWINDconsensusNPATGSestimatesvs.cons. Industrial%chgfrompriorest.2011E2012E2013E SPDB %chgfrompriorest. 2011E 2012E 2013E 14%9% 13%14%12%-46%26%24%26% 6(28)0%0%28%22,089 24%0% 20%22%19%-31%33%34%33%
(6)(23)0%0%4%26,053 22%-8%17%18%16%-37%32%32%32%(15)(27)0%0%2%32,732 15% 14% 3% BONB%chgfrompriorest.2011E2012E2013E 7%8%8%5%10%-31%21%20%21% 4(18)0%0%13%24,889.61 9%5%9%5%12%-34%28%29%28%
(8)(24)-1%0%3%29,442.11 7%0%7%2%10%-35%28%28%28%(18)(25)-1%-1%3%36,013.31 10% 6% -3% Minsheng %chgfrompriorest. 2011E 2012E 2013E 2%42% 6%-1%13%-14%18%4%22%16
(8)-1%-3%-16%3,045.52 1%-2%1%-8%8%-30%18%19%17%38(19)-2%-2%5%3,433.29 -2%-19% -4%-10% 1%-30%10%11%10% 22(20)-1%-2%1%4,484.95 7% 4% -12% 8%37%12% 9%14%-5%20%28%17% 16
(2)-3%-5%5%26,052.84 5%35% 9%7%12%-21%22%32%19% 5(13)-1%-3%-1%29,149.14 2%38% 8%5%10%-21%20%29%18%
(0)(13)-2%-2%-1%32,496.54 2% 9% 13% SZDB %
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