银行行业专题研究：2024年全球系统重要性银行排名结果点评

Industry Investment Rating - The industry maintains a "Stronger than the Market" rating, with the previous rating also being "Stronger than the Market" [10] Core Views - Five Chinese state-owned banks (Industrial and Commercial Bank of China, Bank of China, Agricultural Bank of China, China Construction Bank, and Bank of Communications) were selected for the 2024 Global Systemically Important Banks (G-SIBs) list, with their groupings remaining consistent with the previous year [10] - The Chinese G-SIBs are expected to meet the Total Loss-Absorbing Capacity (TLAC) requirements by 2025, with Bank of Communications having until 2027 to comply [3][10] - The TLAC risk-weighted ratio and leverage ratio requirements are set at 16% and 6% respectively for the first phase, starting from January 1, 2025 [3] - The Chinese G-SIBs have already completed the issuance of their first TLAC bonds, with a total issuance of 210 billion yuan, which is less than half of the planned upper limit, indicating significant room for further issuance [31][32] - The risk-weighted asset (RWA) growth rate has slowed down, which is favorable for meeting TLAC requirements, with the average RWA growth rate of state-owned banks dropping to 2.19% by Q3 2024, a decrease of 9.17 percentage points from the end of the previous year [32] Key Data and Metrics - The average G-SIBs score for Chinese banks is 243, with scores in size, interconnectedness, substitutability, complexity, and cross-jurisdictional activity being 438, 313, 191, 154, and 104 respectively [2] - The average G-SIBs score for overseas banks is 231, with scores in size, interconnectedness, substitutability, complexity, and cross-jurisdictional activity being 184, 193, 220, 298, and 332 respectively [2] - The core tier 1 capital adequacy ratio of Chinese state-owned banks improved to 12.46% by Q3 2024, up by 49 basis points from the end of the previous year [34] - The total planned issuance of TLAC bonds by the five Chinese G-SIBs is 440 billion yuan, with 210 billion yuan already issued [31][32] Capital Adequacy and TLAC Compliance - The capital adequacy ratios of Chinese G-SIBs are already above regulatory requirements, with additional capital injection plans in place [36] - The core tier 1 capital adequacy ratios of Industrial and Commercial Bank of China, Bank of China, Agricultural Bank of China, and China Construction Bank are 15.23%, 14.36%, 13.48%, and 15.00% respectively as of Q3 2024 [21] - The TLAC risk-weighted ratios for Industrial and Commercial Bank of China, Bank of China, Agricultural Bank of China, and China Construction Bank are expected to be 17.42%, 17.96%, 16.37%, and 18.11% respectively by the end of 2024, all above the regulatory requirement of 16% [35] Potential Impact of Capital Injection - The return on equity (ROE) of major banks may decrease by 0.29% to 1.65% due to capital injections [20][21] - If the price-to-book (PB) ratio is 1, the earnings per share (EPS) of state-owned banks may be diluted by 0.04 to 0.17 yuan per share, with dividend yields declining by around 2% [21] - If the PB ratio is 0.8, the EPS dilution could range from 0.05 to 0.21 yuan per share, with dividend yields decreasing by 1.14% to 1.85% [22] - If the PB ratio is at the current market price, the EPS dilution could be between 0.06 to 0.24 yuan per share, with dividend yields weakening by 0.28% to 1.25% [9][21] Non-Selected Banks - Banks such as Industrial Bank, China Merchants Bank, China CITIC Bank, and Shanghai Pudong Development Bank, which are ranked between 30th and 40th, are still far from meeting the G-SIBs criteria, particularly in terms of interconnectedness and substitutability [15][16] - These banks have shown some improvement in recent years, but their scores in complexity and cross-jurisdictional activity are still significantly lower compared to both domestic and international G-SIBs [15][16]