After nearly 8 years, of the securities company's risk control management (hereinafter referred to as the methods) and the matching rules will be revised again.
On April 8, Zhang Xiaojun said at a routine press conference, spokesman of the SFC, the SFC will publish revised rules, and formally open to the public for comments, time for a month until May 8. The amendment through risk coverage capital, leverage, liquidity coverage ratio and the net stable funding ratio of the four core indicators, build a more reasonable and effective risk control system.
SFC: leverage to maintain the existing level of
Shanghai securities news reporters learned from the departments concerned, the revision of the methods, primarily to enhance the risk indicator of completeness and validity of the securities industry, do not tighten or loosen broker requirements for risk management purpose. Authoritative estimates, overall coverage of current market risk, leverage and business structures are maintained in a reasonable State.
The SFC said, on the one hand, maintaining unchanged the overall framework of the approach based on adjusting the specific rules do not meet the needs of industry on the other, combined with the development of the industry to the new situation by improving net capital, risk capital calculation formula, improve supervision of leverage, liquidity index, clear inverse cycle regulation mechanisms, improve the completeness and validity of risk indicators.
This way to modify the contents of provisions covering more than 20 articles, total from 41 to 38 articles.
According to Zhang Xiaojun, introduced, approach the amendment main involved six aspects main content, including: improved net capital, and risk capital prepared calculation formula, upgrade capital quality and risk measurement of targeted; perfect lever rate index, improve risk cover of complete sex; optimization liquidity monitoring index, strengthened assets liabilities of term match; perfect single business wind control index, upgrade index of targeted; clear inverse cycle mediation mechanism, upgrade risk control of effectiveness; strengthened full risk management requirements, upgrade risk management level.
The revision of the most closely watched are the methods proposed to be indicators of stock company's net assets than liabilities shall not be less than 20% to 10% net capital net worth indicators shall not be less than 40% to 20%.
Advised that existing risk control system had net assets than liabilities, net capital than liabilities both belong to the same lever control indicator, duplicate, and off-balance sheet business are not included in the control. Study drawing on international experience, the original two lever control, optimized for a capital leverage ratio (total net core capital/assets inside and outside tables), and set the regulatory requirement of not less than 8%.
A securities surging on the news that this is equal to 1 time liabilities can be added. "Net worth and net capital ratio of magnification, equal to zoom through the net capital net assets, and then through the amplification of net assets and liabilities. Securities companies will be compared to "radical" to do so, said, however, the policy is relaxed. "
Whether this adjustment meant to loosen control lever, Commission officials said, this perception is not accurate. After the adjustment, the original two lever control indicator should be canceled, given the current securities law securities should be provided on the above index and therefore intends to continue to retain related indicators. But in order to avoid conflict with capital leverage ratio index, equity than indicators of indebtedness shall not be less than 20% to 10%, coming mainly from capital leverage ratio to constrain leverage of the company. 8% financial leverage calculated by the reciprocal of the rate of multiples (12.5 times) is not normally significant financial leverage. According to capital leveraged 8% regulatory standards for measurement, and liquidity requirements, financial leverage rate is generally about 6 times, comparable with the current methodology requirements.
SFC head said capital leverage ratio is mainly for securities and derivatives, asset management, and other off-balance sheet business lever control and liquidity indicators are also being incorporated into Regulation, risk coverage is more comprehensive and more accurate. At present, capital leverage ratio of about 25% (equivalent to about 3 times financial leverage), well above the regulatory red 8%.
Brokerage shares is good?
In the eyes of non-bank financial analyst with guangfa securities shangtian, the measures focus on "debt" and "assets" untied at both ends.
"Liabilities" end ceiling improve: liabilities accounted for net worth proportion of theory ceiling will from 5 times times sharply upgrade to 10 times times (2015 late actual value for 3.5 times times); "assets" end configuration more flexible: brokerage in for financial assets configuration, and established subsidiary Shi need deductions net capital, led to investment business and subsidiary more of brokerage by net capital constraints most obviously, this times reduced net capital accounted for net worth, and liabilities proportion, will significantly improve brokerage assets configuration of flexibility.
BOC international non-banking financial Wei Tao Group were of the view that adjustment of risk control requirements, securities companies leverage manoeuvre was open in theory, lever cap from the original 6 times up to 11 times.
On one hand, increase leverage capital opens medium business space. Intermediary business of capital theoretically can reach 9-10 times the broker net capital, calculated according to the 2015 trade net capital of 1.16 trillion at the end of the third quarter, capital intermediation theory space of about 10 trillion. From the perspective of market adjustments, reduced the risk requirements of both or brokerage business has a positive market sentiment.
Meanwhile, the securities industry financial leverage improved, pushing up the level of ROE. In 2012, the securities industry's overall leverage ratio is 2.48 times times, and by the end of third quarter of 2015, leverage ratio increased to 4.97 times; accordingly, ROE has also increased from 4.74% to 14.26%, an increase of 9.52%.
But Shanghai reported quoted China thaw securities chief risk lawsuit ying of views said, the approach amendment of wind control system by net capital a dimension degrees, to concern net capital, and liquidity two a dimension degrees, and in calculation risk capital prepared Shi, according to risk type be distinguish treats, achieved has risk of fine refinement, and stereo of management, helps upgrade securities company business of sound sex, and improve risk against capacity.
Si Ying believes that changes in the risk index adjustment large, due to changes in the formula, with a new index with the old index is not science. In her view, the new risk control system in the tight-loose on the different indicators, overall neutral impact on the industry.
Dealers optimistic about the medium-and long-term configuration of the brokerage unit value
Commission departments in charge, taking into account the individual assets and liabilities of the company within the industry or business structure, there is a big difference, and substandard cases may occur, in this regard, the proposed measures before the implementation of the given period to take additional capital, adjust the structure of assets and liabilities and other measures to improve risk indicators, ensuring the standards after the implementation of the approach.
Shangtian analysis, from a valuation perspective, the current brokerage valuations remain at historically low levels, large brokerages such as CITIC Securities, haitong securities 2015 PB valued at about 1.49 times times, 2016 PB valued at about 1.39 times times, bottom of the near record level of 1.2 times. Given that the current brokerage equity security is still high, current overall PB valuations down near the plate margin of safety, MSCI, Shenzhen and other catalysts, plate with medium-and long-term configuration value.
Soochow securities ADB team believes that asset quality, in both Bull and bear the transition defense and rebound elasticity. The methods to leverage regulatory attitudes have relaxed in the field. Leverage rate beneficial to brokerages increase margin, pledge and other intermediary business of capital, from the channel provider to service providers to speed up restructuring of capital, free profit space, continued bullish brokerage space up. MIT President gravitational wave induced by a
BOC international non-banking financial Wei Tao team also said the continued bullish brokerage, recommends that the active configuration.
Wei Tao team pointed out that the brokerage risk control the methods to modify content management put forward higher requirements, therefore, recommended strong comprehensive strength and high risk levels of brokerage, CITIC Securities, huatai securities, such as.
The other hand, indicators of net assets/liabilities approaching standard, and no recent equity finance brokers, short-term benefits obvious, such as Societe Generale securities, orient securities, Jinlong shares, huatai securities and haitong securities.
Attachment: BOC international non-banking financial Wei Tao team on the revision of the way the main content of the article-by-article analysis
Revision of the way the main content in the following six areas:
An improved net capital, risk capital calculation formula, improve the quality of capital and risk measurement-specific. Net capital net capital net capital and distinguish it from the core subsidiary, financial asset risk-adjusted consolidated into risk capital calculations, net capital deductions would not be repeated. Will be calculated according to the type of business risk capital adjusted for market risk, credit risk, operational risk and other risks were calculated. Adjusted net capital and risk capital more in line with the security company to carry out the comprehensive needs of business risk control, but its scope and standards have changed greatly, indicator values are not of historical comparability.
Translation: original: net capital = risk-adjusted net assets-financial assets other assets-risk-adjusted-contingent liability risk-adjusted-/+ of China Securities Regulatory Commission found other adjustments or approved projects.
Modifications: core net capital = risk-adjusted net assets-assets projects-contingent liability risk-adjusted-/+ of China Securities Regulatory Commission found other adjustments or approved projects.
Subsidiary net capital provisions long-term subordinated debt = x-/+ the China Securities Regulatory Commission found other adjustments or approved projects.
Maintenance the methods according to the type of business risk capital, securities companies may affect the risk capital to different business classification. As to the methods to modify content in accordance with market risk, credit risk, operational risk and other risks were calculated. From a risk point of distinction, not only standardize existing business risk, risk classification guidance provided also for the future of business innovation.
Second, improve the leverage ratio, improving the completeness of risk coverage. The original net assets than liabilities, net capital than liabilities two lever control, optimized for a capital leverage ratio (total net core capital/assets inside and outside tables), and set the regulatory requirement of not less than 8%.
Translation: original methods of risk control system had net assets than liabilities, net capital than liabilities both belong to the same lever control indicator, the methods to modify content optimization for a capital leverage ratio--NET core capital/total assets inside and outside tables, and set the regulatory requirement of not less than 8%.
Securities companies not belonging to the company's own assets in the balance sheet assets shall be deducted in full. For example, a proxy such as trading in securities.
Off-balance sheet business of securities companies may affect the company's profits and losses in the future, should be based on their risk exposure or expected losses, according to a certain proportion of conversions included. Securities and derivatives (percentage), asset management (0.2%), refinance into securities (10%), the investment banks underwriting firm commitment (percentage), external guarantees and commitments (100%).
Core capital leverage ratio = net assets/total assets x100% inside and outside tables.
The way to modify the contents of the inclusion of off-balance sheet business control, the securities company's business exposures shows more fully, and effective risk management. Contributes to the achievement of an improved risk coverage and more effective system of risk management and control.
Three is to optimize liquidity monitoring indicators, strengthen their asset-liability match the term. The liquidity coverage ratio and the net stable funding ratio liquidity risk supervision indicators by the internal regulations of industry self-regulation rules up to my level.
Reading: February 2014, the SFC Securities Association of China released guidelines on liquidity risk management of securities companies, requires securities companies to add fill liquidity coverage ratio and the net stable funding ratio liquidity risk supervision indicators. These two indicators to distinguish between the maturity structure of assets and liabilities, tips and management of liquidity risk has important significance. The two indicators, by industry self-regulation rules up to the SFC rules, regulating the securities industry's liquidity risk management and control.
Liquidity coverage ratio = high quality liquid assets/net cash outflow of x100% the next 30 days;
NET stable funding ratio = stable financial resources for stable funding available/x100%.
Four is to improve the business risk index, upgrade indicators of specific. Adjusted equity securities calculated caliber and distinction between equity and non-equity derivatives of derivatives, the combined financing business, such as calculating.
Interpretation: to redefine the scope of equity securities, derivatives, to distinguish between equity and non-equity derivatives. Uniform financing business indicators, agreed to buy back securities margin trading and stock collateral repo financing business totals calculation.
Five are explicitly counter-cyclical regulatory mechanisms, improve the effectiveness of risk controls. I will according to the classification of securities companies was clear regulatory, industry and market status, relevant indicators calculated for dynamic adjustment principle.
Translation: cycle of establishing and perfecting the risk of negative regulation, monitoring and regulatory mechanisms, such as monitoring, risk prevention, clear regulatory line. The SFC will be adjusted according to changes in market conditions index calculation and risk requirements, counter-cyclical regulatory mechanisms than the original "window guidance" to a more direct and effective.
Six is to enhance the overall risk management requirements, improve risk management. Require securities companies from the construction, organization, staffing, system, system, response mechanisms and other six aspects, strengthening risk management.
Reading: regulator for securities company's overall risk management capacity, higher demands. This is in line with development trends of the securities industry, helps to promote stable and healthy development of the capital market.
In addition, according to the actual situation, net worth ratio indicators of indebtedness shall not be less than 20% to 10% net capital net worth indicators shall not be less than 40% to 20%.
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