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1、DeutscheBankMarketsResearchAsiaIndustryDateChinaChinesebanks7December2017Banking/FinanceBanksBreakingNewsHansFan,CFAJackyZuoLiquidityRiskManagementGuidelineResearchAnalystResearchAnalyst(+852)22036353(+852)22036255–Divergencecontinueshans.fan@db.comjacky.
2、zuo@db.comWholesale-fundedbankswithhighshadowbankingexposureunderpressureEdwardDuTheCBRCreleasedtodayTheGuidelineonLiquidityRisksofCommercialResearchAssociateBanks,matchingtheBaselIIIstandardsofliquiditymanagement(e.g.LCRand(+852)22036185NSFR)andintroduci
3、ngnewmeasures.Weviewitasacontinuationoffinancialedward.du@db.comdeleveraging,asweexpectthisregulationtolowerbanks’durationmismatch,cutoffwholesalefundingandreduceinvestmentinshadowbankingassets.AsToppickssuchweseeanetpositiveoverthelongerrunasitreducessys
4、temicliquidityrisks.However,nearterm,thebanksthatarewholesale-fundedandshadow-BankofChina(3988.HK),HKD3.82Buybanking-centricarelikelysubjecttoNIMpressure.Amongthebankswecover,ChinaConstructionBankBuy(0939.HK),HKD6.78joint-stockbanksaremoreaffectedwhilebig
5、banksshouldbenefit.Agri.BankofChina(1288.HK),HKD3.63BuyWhatpromptedregulatorstoissuesucharegulation?Source:DeutscheBankTheleverageinChina’sfinancialsectorhasincreasednotablyinpastyears,characterizedbyrisingdurationmismatchandproliferationofshadowbanking.C
6、ompaniesFeaturedLiquidityrisksinthesystemtrendedupaccordinglyandonlyrecentlyhaveICBC(1398.HK),HKD6.02Buystartedtomoderategiventheongoingfinancialdeleveragingcampaign.ToChinaConstructionBankBuyfurthercontainliquidityrisks,itisnecessarytostrengthenbanks’liq
7、uidity(0939.HK),HKD6.78management,especiallyforjoint-stockbanksandsmallercity/ruralbanks.Agri.BankofChina(1288.HK),HKD3.63BuyBankofChina(3988.HK),HKD3.82BuyWhataretheregulatorychanges?Thekeychangeisthattheregulatorsintroducedthreeliquidityriskindicators:B
8、ankofCommunicationsBuy(3328.HK),HKD5.791)NetStableFundingRatio(NSFR),whichmeasuresbanks’abilitytosupportChinaMerchantsBankHoldmedium-to-long-termfundingneeds;2)LiquidityMatchingRatio(LMR),which(3968.HK),HKD30.40meas
