Capital structure of traditional financial system

The financial leverage in the form of inter-bank liabilities has been widely concerned by the market in this round of bond market decline. The l

Capital structure of traditional financial system

The financial leverage in the form of inter-bank liabilities has been widely concerned by the market in this round of bond market decline. The low interest rate environment and bond bull market provide a relatively convenient external environment and motivation for financial institutions to increase leverage.

In essence, inter-bank liabilities are liabilities between financial institutions, which can expand the overall balance sheet of the financial industry and give institutions the ability to hold more assets. In addition to traditional interbank claims such as repurchase, lending and interbank deposits, interbank liabilities that have played an important role in financial institutions' statements in recent years include interbank deposit certificates and interbank financial management. Strictly speaking, interbank financial management belongs to asset entrusted management business, but for interbank financial management with expected rate of return (whether guaranteed or non-guaranteed), it is still an expansion of financial institutions' debt financing model (asset management products) in essence.

Interbank certificates of deposit, interbank financial management, etc. As an active liability, it is also the product of market deepening, which is conducive to the organization's ability to strengthen its control over the balance sheet. For many small and medium-sized institutions, interbank liabilities can help them get rid of the restrictions of outlets and expand their scale, not just the product of arbitrage in the bond bull market or low interest rate environment. Although there is inevitably a partial boost in the process of market rise or fall, the development of inter-bank debt business is conducive to the redistribution of funds among institutions, which has certain positive significance.

Let's first sort out the relevant data of bank liabilities, as well as the corresponding performance and possible subsequent evolution in this round of market fluctuations.

1, overview of interbank liabilities and its rising logic

First of all, sort out the bank's self-operated interbank liabilities, which will be reflected in the debt side of the bank's balance sheet. The main forms include interbank deposits and interbank deposit certificates. Interbank deposits can come from deposit institutions or other non-bank financial institutions. Traditionally, financial bonds of non-policy banks also belong to the category of interbank active liabilities, but financial bonds generally have a long term, except policy financial bonds, the issuance scale is small, and the impact on the assets of financial institutions is relatively small. Since the idle funds of non-bank institutions/asset management products are generally entrusted to banks to form interbank liabilities, the growth of interbank liabilities cannot be separated from the development and operation of non-bank institutions.

We first calculate the interbank liabilities from the perspective of the bank's balance sheet. If enterprises or residents directly hold financial bonds or certificates of deposit issued by banks are not considered, the inter-bank liabilities reflected in bank liabilities mainly include three items: liabilities to deposit institutions, liabilities to other financial institutions and bond issuance.

Considering that the customer deposits of securities companies are also deposited in banks in the form of interbank deposits, which are relatively passive liabilities for the banking system and closely related to the stock market, the following liabilities to other financial institutions do not include customer deposits of securities companies. In addition, the issuance of policy financial bonds is mainly used for corresponding policy financial projects, and it is not an independent act of commercial institutions. Therefore, the following bond issuers do not include policy financial bonds.

The following figure shows the year-on-year growth rate of these three items and their total proportion in the total liabilities of banks. In terms of scale, since 13, the scale of liabilities to other banks has actually maintained a relatively low growth trend, while the liabilities to other financial institutions (excluding securities deposits) have rapidly increased from 14 to 15 and then declined; Then bond issuers (excluding policy financial bonds) have been growing at a high speed. ?

Judging from the proportion of the sum of the three liabilities to the total liabilities, the proportion of inter-bank liabilities has obviously increased since 20 1 1, which can be mainly divided into three increases: there was an obvious increase from the beginning of 201to July of 20 12, and 201. The inter-bank debt ratio of 20 1 1 -20 12 is related to the prevalence of non-standard investment. The recent inter-bank liabilities are mainly related to the increase of inter-bank deposits, inter-bank deposit certificates and non-bank institutions' custody funds (including securities settlement deposits). ?

Let's observe the recent changes in the scale of non-bank interbank deposits and interbank deposit certificates. On the whole, the scale of non-bank interbank deposits reached a stage high after the stock market crash of 15 due to the establishment of securities companies, and has remained in a state of wide fluctuation since then. Although we deduct the influence of the change of securities margin, the growth path is still highly related to the stock market, which may be due to the influence of pledge financing and fund-raising business derived from the stock market on non-bank deposits. ?

On the other hand, interbank certificates of deposit have maintained rapid growth in the past two years, but they began to shrink in June this year at 5438+065438+ 10 and February. In terms of absolute scale, interbank deposit receipts increased from less than one trillion at the beginning of 15 to a high point of 6.7 trillion, which became the main growth force on the margin of bank liabilities in the later period. ?

The driving force for the rapid growth of interbank deposit receipts mainly comes from three aspects: (1) 15 In the first half of the year, the interest rate in the money market dropped sharply, and the overall funds in the market were stable, and the cost for small and medium-sized banks to obtain long-term funds by issuing interbank deposit receipts was greatly reduced; (2) The bond bull market provides a higher expected rate of return on interbank financial management and a benchmark rate of return on outsourcing investment, and provides a positive carry to force institutions to issue coexisting assets; (3) For small and medium-sized banking institutions, it is relatively difficult to make large loans through general deposits due to the influence and the limitation of the number of outlets, and active liabilities through interbank deposit certificates provide the possibility for small and medium-sized institutions to develop by leaps and bounds. ?

In the first half of 15, the central bank's 7-day repo rate was lowered from the high point of 3.85% in June of 15 to 2.50% at the end of June of 15, which drove the money market interest rate down significantly. The reduction in the cost of issuing interbank certificates of deposit gives institutions the motivation to expand their balance sheets and obtain relatively high-yield assets. From the source of funds, the money fund is one of the main allocation forces of interbank deposit certificates. Although the rate of return on goods is not high, due to the characteristics of tax exemption and good liquidity, institutional funds, especially large bank funds, will buy a large number of money funds. The money fund redistributes with interbank deposit certificates, and the funds flow back to the banking system, which provides relatively sufficient allocation funds for the issuance of interbank deposit certificates. The overall size of the money fund also rose rapidly and obviously after July 15, but it has remained at a high level and relatively stable since it entered 16. ?

2. 15 An important growth point of bank financing: interbank financing.

Since 15, interbank financing has become an important force for the marginal growth of bank financing scale. Although the proportion of interbank financing in the total bank financing scale still does not exceed 15%, in the 8.48 trillion increment of financing funds in 20 15 years, interbank financing increased by 2.5 1 trillion, accounting for 29.6%; 16 in the first half of the year, the total wealth management increased by 2.78 trillion yuan, and interbank wealth management increased by10.02 trillion yuan, accounting for 36.7%. ?

The main driving force for the rapid development of interbank financial management comes from small and medium-sized banks, and the logic is similar to the surge in interbank deposit certificates: national commercial banks have unique advantages in business outlets and strong ability to issue personal financial management; In order to speed up the development of financial management scale, small and medium-sized banks often need to resort to the channels of interbank financial management. Due to the invisible credit guarantee of financial institutions, under the pressure of asset shortage, small and medium-sized banks only need to provide appropriate yield spreads when issuing interbank wealth management, and the comprehensive cost is still less than raising personal wealth management through outlets. ?

Therefore, with the rapid growth of interbank financial management, we can also observe the rapid growth of financial management scale issued by small and medium-sized banks such as city commercial banks and rural commercial banks, and there is a strong correlation between them. As previously analyzed, the buyer's funds of interbank financing often come from the self-operated and financing funds of low-cost institutions, and the expansion of interbank financing also makes the funds flow directionally among financial institutions. ?

Strictly speaking, the behavior of financial institutions entrusting external managers to invest does not belong to the category of generating inter-bank liabilities. However, in the case that most products have performance benchmarks or expected returns, similar to interbank liabilities, it is also the asset side of many self-operated and wealth management. And with the purchase of interbank certificates of deposit, financial bonds or corporate deposits derived from bonds, the funds can also flow back to the banking system, forming a certain degree of circulation, and also forming the effect of leverage in the financial system to a certain extent. ?

By the third quarter of 20 16, the scale of special account funds reached 6.24 trillion, and the total asset management scale of securities firms was 15.77 trillion. According to the situation of 15, more than 60% of the funds in the special fund account are invested in bonds, so it is estimated that the capital scale of the investment market in the special fund account may be 4 trillion. The asset management scale of securities firms mainly consists of two parts: collective financing 2. 13 trillion, and targeted asset management plan 13.09 trillion. Most of the targeted asset management plans of securities firms are channel projects. According to the estimation of historical data, the proportion of active management in brokerage asset management may be 3-4 trillion, and the proportion of bonds is about 35%-50%. According to the statistics on the use of trust funds, the scale of funds invested by trust products in the bond market is about 2 trillion. Of course, it is worth noting that these asset management products still mainly show the nature of allocating funds when the market is stable, which constitutes the asset side that matches the interbank liabilities.

3. Inter-bank liabilities in the fluctuation of bond market: paying attention to structural differentiation?

Although interbank liabilities are more flexible than general liabilities, they are also more sensitive to market trends and less stable than general liabilities. On the one hand, its yield will fluctuate closely with the market interest rate; On the other hand, when market conditions change or events affect, it is easy to form the collective expansion or contraction of interbank liabilities. On the whole, when interbank liabilities tend to show a directional trend in the market, it is easy to form a boost. ?

From the middle and late August of this year, funds began to be normalized. Although the bond yield resumed its downward trend in mid-September, and reached the year low again at 10 and 2 1, the interbank deposit interest rate has been rising since the middle and late August. Next, we will discuss the changes of interbank certificates of deposit from a micro perspective until the initial shortage of funds. ?

In the middle and late September, the cash yield deviated, and the balance of pledged repo continued to rise, reflecting part of the reaction to the rise of bonds (leverage demand) and the early reaction to the shortage of funds. Until the end of 10, the funds were greatly tightened and began to decline significantly. ?

With the rising interest rate of funds and the yield of interbank deposit certificates, large commercial banks and joint-stock banks quickly reduced the issuance of interbank deposit certificates, and the scale showed an inflection point in late September; On the other hand, the joint deposit balance of city commercial banks and rural commercial banks continues to increase rapidly, even at 1 1. Obviously, under the upward trend of the same deposit and interest rate, the issuance can still continue to grow rapidly, which shows that city commercial banks are relatively insensitive to the cost of interbank liabilities, and there is a tendency to replace repurchase financing with the same deposit. In the case of tight funds and obvious adjustment of the bond market, institutions should not actively increase the asset scale (bond investment), but should block the conventional financing channels (repurchase and lending), replace some liabilities or prepare funds for cross-deposit given the existing positions.

The above data show that the flow of funds linked to interbank certificates of deposit also shows obvious directional characteristics, that is, funds flow from institutions with low cost and low risk preference to institutions with high comprehensive debt cost and high risk preference. After joining the interbank leverage, the investment risk in the bond market has also been re-divided according to the preferences of their respective institutions. Institutions with high risk preference gain higher leverage, take more risks and obtain higher expected returns through active debt. And low-risk preference institutions can also obtain relatively stable income by purchasing duty-free goods base.

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After the funds pass through the inter-bank chain, the income of the terminal assets still comes from the bond market. Previously, when bonds were in a bull market, the expected rate of return on the asset side included a certain degree of capital gains and leverage gains. At this time, the yield of interbank financial management may still be higher than the cost of interbank liabilities, and interbank leverage is still rising, but the market is in a relatively unstable state. ?

When the inter-bank debt cost (inter-bank deposit certificate interest rate) rises obviously, the institutions that can't afford the high debt cost will gradually withdraw from the issuance market, and the issuance demand will decrease. On the other hand, the bond market fell sharply after the lack of funds, and the expected rate of return on the asset side began to adjust sharply, which further reversed the debt cost and accelerated the deleveraging of the financial system. ?

At present, joint-stock banks have achieved a continuous decline in the scale of co-deposit, and city commercial banks and rural commercial banks have also experienced a Zhou Du-level month-on-month decline. It can be seen that institutions that are moderately sensitive to debt costs have begun to show obvious deleveraging behavior. As we discussed earlier, the development of inter-bank liabilities has certain rationality and positive significance, so the absolute extent of leverage reduction at the inter-bank level may not be great. According to our previous calculation, the ratio of the three interbank liabilities to the total liabilities of the banking system has now reached 16% from the high point 17. 1%, while at the beginning of this round of subcontracting and interbank deposit certificates, the ratio was 15. At present, the panic has initially passed. When the adjustment of the bond market and financial deleveraging are gradually completed, the interbank assets and liabilities should be able to return to a reasonable spread level, and the interbank liabilities of the whole market will also reach a relatively balanced level. It is suggested to observe the progress of subsequent financial deleveraging from the perspective of structural differentiation.