汇丰银行：亚洲银行业研究报告2008年10月

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We assess potential impact of MTM loss
on treasury and rising NPLs
􀀗 Our back-to-basics approach analyses a
“worst case” scenario for each bank
􀀗 State-owned banks in China and India
best positioned to weather the storm
Nowhere to hide. With the credibility of the global financial
system at stake, Asia’s banks will not escape the fall-out
despite their relatively stronger business fundamentals. The
weaker macro outlook is increasing concerns about
deteriorating credit quality for banks that are also trying to
assess the damage caused by toxic treasury investments. In
this report, we look at the possible worst case scenarios and
find that the wounds will be serious but not fatal.
Banks are really a balance sheet. We returned to the most
basic principle of a bank… the balance sheet. We stresstested
the balance sheets of our Asia ex-Japan coverage to
assess potential impact of loss from treasury MTM and
deteriorating credit quality. Whilst treasury assets account
for c10%-70% of total assets, our scenarios indicate treasury
asset erosion may be less of a concern whereas capital
erosion could be more severe. In our “worst case” scenario,
banks in Korea and Taiwan could post full-year losses.
Markets have priced down value of cash and deposits.
Cash position and deposit funding could be measures used to
determine which banks may be less impacted by liquidity
concerns that have stalled global financial markets. Market
prices have de-rated the implied multiple for cash and
deposits on banks’ balance sheets in Asia and in developed
markets. By comparison to a mid-crisis acquisition, Asian
banks are generally trading at a lower multiple than the 0.2x
recently paid by JP Morgan for WaMu’s deposit franchise.
Safer havens. Using our scorecard, six banks stand out –
ICBC, CCB, and CITIC in China; plus Bank of Baroda,
Canara Bank, and Corporation Bank in India. These banks
have generally had less sophisticated and perhaps lower risk
treasury investments. In a high growth time this could be a
threat to growth, but in the current global financial crisis
these traits may have merit.

目录

Safety with state banks? 5
Overview 5
Credit deterioration 5
Treasury losses 7
Back-to-basic valuations 12
The safe harbours 14
Hong Kong banks 16
Credit deterioration 16
Treasury investments 17
What’s in the price? 19
Back to basics 20
Taiwan financials 21
Credit deterioration 21
Treasury investments 23
What’s in the price? 23
Back to basics 25
Chinese banks 27
Strong capital adequacy helps to weather MTM losses 27
Credit quality deterioration 28
Valuation – bear assumptions in the price 29
Back to basics 31
Singapore banks 33
Credit deterioration 33
Treasury investments 34
What’s in the price? 35
Back to basics 36
Korean banks 38
Asset and liability risk 38
Sensitivity tests 39
Valuation analysis 40
Back to basics 43
Indian banks 45
Credit deterioration 45
Treasury investments 47
What is in the price? 48
Back to basics 52
Disclosure appendix 55
Disclaimer 59
Contents

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