中泰证券【中泰研究丨晨会聚焦】固收肖雨：供需与条款的交叉解——TLAC定价机制全解析

Core Insights - The report analyzes the pricing mechanism of TLAC non-capital bonds from the perspectives of supply, demand, and terms, providing investment recommendations based on these analyses [2]. Supply Analysis - The supply of TLAC non-capital bonds may be lower than previously expected due to exemptions through the deposit insurance fund, with a projected TLAC gap of CNY 0.96 trillion for 2025 and CNY 3.19 trillion for 2028 across major banks [2]. - If the deposit insurance fund is included in the total loss-absorbing capacity, the TLAC gap for 2025 would be zero, and for 2028, it would be CNY 0.19 trillion [2]. - The issuance of TLAC non-capital bonds is expected to occur approximately two and a half months after the shareholders' meeting resolution, with a new round of supply anticipated in the third quarter [2]. Demand Analysis - There is strong demand for TLAC non-capital bonds, with high turnover rates and significant holdings by various institutions, particularly fund companies and banks [2]. - Fund companies hold the largest amount of TLAC non-capital bonds, totaling CNY 141.65 billion, indicating robust market interest [2]. Terms Analysis - TLAC non-capital bonds are similar to secondary capital bonds in terms of special clauses, including redemption, write-down, or conversion clauses, with TLAC write-downs occurring after secondary capital bonds [2]. - The issuance terms of TLAC non-capital bonds are structured to include "3+1" and "5+1" maturities, with their primary purpose being to supplement total loss-absorbing capacity [2]. - Initial pricing of TLAC non-capital bonds is anchored to ordinary bonds of the same maturity, with market valuations gradually aligning with secondary capital bonds [2]. Investment Recommendations - For "3+1" TLAC bonds, it is recommended to participate actively when the price ratio exceeds 50% of the difference between TLAC and ordinary bonds relative to secondary capital bonds [2]. - For "5+1" TLAC bonds, participation is advised when the price ratio exceeds 60% [2].