《大行报告》瑞银:英国谘询提高住房抵押贷款资本要求 料汇控(00005.HK)在同业中所受影响最大
瑞银发表报告表示,英国银行监管机构审慎行为监管局(PRA)於9月30日发布了一项谘询意见,就如何设置基於内部评级基础(IRB)模型评估的住房抵押贷款的资本要求提出了两个新要求,即任何单笔贷款的风险密度(风险加权资产/违约风险暴露)均不得低於7%,并且整个投资组合的平均值不得低於10%,料自2022年1月1日起生效。
该行估算受影响较大的英国银行,为汇丰控股(00005.HK)及全英房屋抵押贷款协会(Nationwide Building Society, NBS),因两企业内部评级基础(IRB)模型各为5%及6.3%,低於英国同业。该行按敏感估算,若任何单笔贷款的风险密度均不得低於7%,料汇控旗下英国零售按揭贷款业务的资本要求将上升102%,料全英房屋抵押贷款协会则上59%。
瑞银表示,要制定银行的股本回报率(ROE)会否高於股本成本(COE),是取决於巴塞尔资本协定的抵押贷款利差问题,指纳入风险加权资产(RWA)计算中或不会整体上改变资本需求,但该行认为此举提醒所有放款人,负债利差接近零的时候,而通过巴塞尔协议进行的资本需求上升,更广泛的信贷息差是银行提供合理中期收益的途径。瑞银指按数据显示,即使抵押贷款额已正常化,新冠疫情後的前景也向好,抵押贷款利差处於非常高的水平,并称保持定价纪律很重要。
该行指,英国当局提高纳入风险加权资产(RWA)的要求,以降低相关借贷风险,令到抵押贷款利差变得更重要,料当英国经济及疫情趋稳及脱欧後,相信相关贷款定价会改善。而该行予在英国上市的汇控「中性」评级及目标价410便士(约41.12港元)。
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