1、巴塞尔协议巴塞尔协议III最终版解读最终版解读Interpretation on Basel III-Finalising Posit-crisis Reform林加力林加力 Jiali Lin Nicole Zhou 2022年年6月月21日日本研究报告由海通国际分销，海通国际是由海通国际研究有限公司，海通证券印度私人有限公司，海通国际株式会社和海通国际证券集团其他各成员单位的证券研究团队所组成的全球品牌，海通国际证券集团各成员分别在其许可的司法管辖区内从事证券活动。关于海通国际的分析师证明，重要披露声明和免责声明，请参阅附录。(Pleasesee appendix for English

2、translation of the disclaimer)Equity Asia Research2目录目录For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 1. 银行资本管理ABC2. 权重法的变化3. 高级法的变化4. 政策变更对行业影响与宏观意义5. 风险提示kV8XpRnOqNnQoPoQtQ6MdN7NmOrR

3、oMpNjMmMqOjMsQtR7NmMyRMYmQpPMYtOtO3银行的资本充足率要求银行的资本充足率要求For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 对预期内的平均损失水平对预期内的平均损失水平(EL, Expected Lose)，银行在业务发生时，就应该计提减值准备（即所谓拨备）。，银行在业务发生时，就应该计

4、提减值准备（即所谓拨备）。对于极端情况下的非预期损失对于极端情况下的非预期损失(UL，Unexpected Lose)，银行需要日常储备着银行需要日常储备着，以防极端情况以防极端情况。如按照如按照下图下图中中“VaR99%-EL”来储备资本来储备资本，则能够使得银行在则能够使得银行在99%的情况下都得以存续的情况下都得以存续，即能够抵御百年一遇的金融危即能够抵御百年一遇的金融危机机。这个比率对于普通企业算出来大概是贷款金额的这个比率对于普通企业算出来大概是贷款金额的8%左右，所以最初的资本充足率要求是左右，所以最初的资本充足率要求是8%。概率密度一年的损失（L）E（L）VaR99%预期损失EL

5、非预期损失UL资料来源：海通国际4银行的资本充足率要求银行的资本充足率要求For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 理论上银行应该储备一定的资本，抵御非预期损失，这个比例应该跟应该的业务规模成正比，所以理论上银行应该储备一定的资本，抵御非预期损失，这个比例应该跟应该的业务规模成正比，所以银行有一个“杠杆率”监管指标

6、。银行有一个“杠杆率”监管指标。杠杆率杠杆率=资本资本/调整后表内外总资产调整后表内外总资产但是因为杠杆率监管指标并没有考虑表内外资产的实质风险差异，都买国债，和都买垃圾级债券，但是因为杠杆率监管指标并没有考虑表内外资产的实质风险差异，都买国债，和都买垃圾级债券，风险显然是不一样的。所以需要给每个资产一个风险权重。那就产生了一个概念：风险显然是不一样的。所以需要给每个资产一个风险权重。那就产生了一个概念：风险加权资产风险加权资产(RWA, Risk Weighted Assets)。RWA=敞口余额敞口余额(EAD, Exposure At Default)风险权重风险权重(RW, Risk

7、Weight)这也是这也是1988年第一版巴塞尔协议的核心理念。年第一版巴塞尔协议的核心理念。另外，由于银行除了信用风险，还有市场风险另外，由于银行除了信用风险，还有市场风险(市场价格波动的风险市场价格波动的风险)、操作风险、操作风险(系统故障、人工错误系统故障、人工错误等等)，通过模型也可以算出来非预期损失金额，再除以，通过模型也可以算出来非预期损失金额，再除以8%，就得到了对应的，就得到了对应的RWA。最终：。最终：资本充足率资本充足率=资本资本/（RWA信用信用+RWA操作操作+RWA市场市场）资料来源：银监会，海通国际图：银行各类资本工具的偿还顺位图：银行各类资本工具的偿还顺位储蓄存款

8、普通债务及可转债次级债/二级资本工具混合资本债优先股/永续债普通股5分子：资本构成分子：资本构成For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 银行在普通债务和普通股之间，使用了大量的夹层资本工具。银行在普通债务和普通股之间，使用了大量的夹层资本工具。这些资本工具依据不同的损失吸收特性，划分到不同层级的资本中。这些资本工

9、具依据不同的损失吸收特性，划分到不同层级的资本中。资料来源： 商业银行资本管理办法（试行），海通国际备注资本(10.5%)一级资本(8.5%)核心一级资本(7.5%)包括普通股，可转债的权益成分其他一级资本主要是优先股、永续债二级资本主要包含二级资本债，符合一定条件的次级债，超额贷款损失准备表：资本充足率要求，以及与各资本工具的归属关系表：资本充足率要求，以及与各资本工具的归属关系资料来源：银监会，海通国际6分母：如何计算风险加权资产分母：如何计算风险加权资产For full disclosure of risks, valuation methodologies and target pri

10、ce formation on all HTI rated stocks, please refer to the latest full report on our website at 银行实施状况：高级法银行：五大行+招行，其他银行还未通过监管核准其他银行：仍未通过监管核准，但股份制银行普遍再内部管理中已经开始使用高级法指导思想差别：权重法：按照最终信用主体的类别，给予固定的风险权重内评法：按历史数据得出客户评级模型，风险权重由内部评级决定操作风险和市场风险：底层逻辑是直接评估出非预期损失金额(UL)信用风险信用风险操作风险操作风险市场风险市场风险初级方法（默认方法）权重法(或称标准法基

11、本指标法标准法高级方法（需监管批准）内部评级法（或称高级法）标准法高级法内部模型法资料来源：银监会，海通国际7国内银行以信用风险为主国内银行以信用风险为主For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 国内银行业以信用风险加权资产为主国内银行业以信用风险加权资产为主，操作风险操作风险、市场风险较少市场风险较少。截至截至2

12、1Q1，信用风险信用风险RWA有有173万亿万亿，操作风险操作风险RWA为为11.7万亿元万亿元，市场风险市场风险RWA仅有仅有2.32万亿元万亿元，三者均有数三者均有数量级差异量级差异。资料来源：WIND，海通国际8标准法标准法(权重法权重法)与高级法与高级法(内评法内评法)For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website a

13、t 标准法下的风险权重简表如下（参见标准法下的风险权重简表如下（参见2012年年商业银行资本管理办法商业银行资本管理办法( (试行试行) )）资料来源：银监会，海通国际9标准法标准法(权重法权重法)与高级法与高级法(内评法内评法)For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 注：1.抵质押品可以降低风险权重.指导思想：

14、不看具体业务形式，只看最后的信用主体。因而贷款和非标是一样处理的资料来源：银监会，海通国际10标准法标准法(权重法权重法)与高级法与高级法(内评法内评法)For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 表外业务的信用转换系数（表外业务的信用转换系数（表外并非指理财表外并非指理财）。）。 表外业务风险加权资产（表外业务风险

15、加权资产（RWA）=余额余额*风险权重风险权重*信用转换系数。信用转换系数。资料来源：银监会，海通国际11标准法标准法(权重法权重法)与高级法与高级法(内评法内评法)For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at ABS是目前国内银行唯一按照外部评级确定风险权重的品种。是目前国内银行唯一按照外部评级确定风险权重的品种。A

16、BS是否分散的标准看基础资产个数是否小于是否分散的标准看基础资产个数是否小于6标准法下标准法下ABS的风险权重的风险权重内评法下内评法下ABS的风险权重的风险权重资料来源：银监会，海通国际总行风险部对行业做划分对某一个行业筛选出所有可能的有用风险指标将指标池发给各个分支行有经验的授信审批人员授信审批人员依据历史经验给每个指标的重要性打分总行回收问卷后筛选出平均评分最高的若干指标将全样本客户名单分拆发送支行客户经理支行客户经理搜集客户的相关指标信息(包括非公开信息)总行收集信息后，对照客户历史违约状况进行风险建模，确定每个指标的权重系数风险部召集各个相关部门和专家研讨，对风险建模结果进行微调12

17、标准法标准法(权重法权重法)与高级法与高级法(内评法内评法)For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 内评法下的建模：全行上下合作的结果，并且要求所用历史数据不少于内评法下的建模：全行上下合作的结果，并且要求所用历史数据不少于5年。年。回归模型最终得到违约率回归模型最终得到违约率(PD)和违约损失率和违约损失率(L

18、GD)以及以及99%分位点的非预期损失数值分位点的非预期损失数值(K)。对。对PD-评级之间的对应做一个主标尺。评级之间的对应做一个主标尺。每个评级的风险权重每个评级的风险权重=对应的对应的K*12.5资料来源：银监会，海通国际13风险资本风险资本For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 理论上：理论上：资本要求资

19、本要求=资本充足率要求资本充足率要求（RWA信用信用+RWA操作操作+RWA市场市场）由于操作风险和市场风险计量比较复杂，而且实际中占比较低，因而实践中对授信业务普遍简化为：由于操作风险和市场风险计量比较复杂，而且实际中占比较低，因而实践中对授信业务普遍简化为：资本要求资本要求=资本充足率要求资本充足率要求RWA信用信用=资本充足率要求资本充足率要求RW信用信用敞口余额敞口余额而资本成本而资本成本=资本要求资本要求*资本的融资成本率。后者就是对银行的普通股、优先股、永续债、二级资本债的融资成资本的融资成本率。后者就是对银行的普通股、优先股、永续债、二级资本债的融资成本做个加权平均。本做个加权平

20、均。那么：那么：资本成本资本成本/敞口余额敞口余额=资本充足率要求资本充足率要求RW信用信用资本的融资成本率资本的融资成本率对于风险权重对于风险权重100%的业务，如果资本充足率要求取的业务，如果资本充足率要求取11.5%，资本的融资成本率取，资本的融资成本率取8.5%，相乘差不多是，相乘差不多是100BP。再加上所得税和增值税，还原税前的利差就需要再加上所得税和增值税，还原税前的利差就需要140BP左右。左右。资料来源：银监会，海通国际14100%风险权重的贷款风险权重的贷款For full disclosure of risks, valuation methodologies and t

21、arget price formation on all HTI rated stocks, please refer to the latest full report on our website at 资料来源：银监会，海通国际15目录目录For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 1. 银行资本管理ABC2.

22、 权重法的变化3. 高级法的变化4. 政策变更对行业影响与宏观意义5. 风险提示16巴塞尔协议巴塞尔协议III最终版发布最终版发布For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 2012年底银保监会发布的年底银保监会发布的商业银行资本管理办法商业银行资本管理办法（试行试行）是根据当时巴塞尔协议是根据当时巴塞尔协议III的

23、最新要求的最新要求，结合结合国内实际情况综合制定的国内实际情况综合制定的。而巴塞尔银行监管委员会一直在更新银行监管的全球标准而巴塞尔银行监管委员会一直在更新银行监管的全球标准，2017年年12月发布了月发布了Basel III: Finalizing post-crisis reforms。国内称其为国内称其为“巴塞尔协议最终版巴塞尔协议最终版”或或“巴塞尔协议巴塞尔协议3.5”。这个这个“最终版最终版”原定在原定在2022年年1月月1日开始实施日开始实施，后来推迟到后来推迟到2023年年1月月1日日。理论上国内应该在理论上国内应该在2022下半年下半年发布中国版本的监管办法发布中国版本的监管

24、办法，2023年初实施年初实施。图：巴塞尔协议的时间线资料来源：BIS，银监会，海通国际17新版信用风险权重法：对银行债权新版信用风险权重法：对银行债权For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 巴塞尔委员会提供了两种不同的选择：巴塞尔委员会提供了两种不同的选择：若监管认可使用外部评级若监管认可使用外部评级，则根据外

25、部评级进行映射则根据外部评级进行映射。这比旧方案在第二档上风险权重下降这比旧方案在第二档上风险权重下降。若监管不认可使用外部评级若监管不认可使用外部评级，则简单将银行分为则简单将银行分为ABC三级三级，这比旧方案这比旧方案RW有所提高有所提高。由于国内历史上对银行的由于国内历史上对银行的RW确定并不使用外部评级确定并不使用外部评级，因而大概率银行的因而大概率银行的RW要提高要提高。不过幅度有限不过幅度有限，大部分银行大概率能被归为大部分银行大概率能被归为A，两个期限平均权重两个期限平均权重30%，提高幅度不大提高幅度不大，不会明显冲击银行同业融资成本不会明显冲击银行同业融资成本。图：使用外部评

26、级的情况下，银行风险权重图：不认可使用外部评级的情况下，银行风险权重资料来源：BIS，银监会，海通国际18新版信用风险权重法：对非银金融机构新版信用风险权重法：对非银金融机构For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 巴塞尔协议巴塞尔协议II和巴塞尔协议和巴塞尔协议III均提到了均提到了券商可以采用银行权重券商可以采

27、用银行权重，但表述有重大差别：但表述有重大差别：BASEL II:Claims on securities firms may be treated as claims on banks provided these firms are subject to supervisory andregulatory arrangements comparable to those under this Framework.BASEL III:Exposures to securities firms and other financial institutions will be treated a

28、s exposures to banks provided that thesefirms are subject to prudential standards and a level of supervision equivalent to those applied to banks.之前用的之前用的May，表明是个可选项表明是个可选项。而现在用的是而现在用的是Will，即如果符合条件就应当如此即如果符合条件就应当如此。我国我国2012年的办法并年的办法并未采纳券商等同银行的未采纳券商等同银行的RW，但这一次可以期待但这一次可以期待。另外另外，这次的表述中也包括这次的表述中也包括“the

29、 other financial institutions”，不仅仅是券商了不仅仅是券商了，保险之类监管较严格的保险之类监管较严格的机构也包括在内机构也包括在内。券商券商、保险保险、信用社等之前不被认定为商业银行的机构信用社等之前不被认定为商业银行的机构，即使被评为银行类即使被评为银行类Grade B，风险权重也是明显下降的风险权重也是明显下降的，有利于疏通货币政策传导机制有利于疏通货币政策传导机制。当然资管产品应该不在此列当然资管产品应该不在此列。如果不能被归为银行如果不能被归为银行，非银机构将被统一归为非银机构将被统一归为“Corporates”图：不认可使用外部评级的情况下，银行风险权重

30、图：不认可使用外部评级的情况下，银行风险权重资料来源：BIS，银监会，海通国际19新版信用风险权重法：对一般企业的债权新版信用风险权重法：对一般企业的债权For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 这里用企业其实不太确切这里用企业其实不太确切，英文用词叫英文用词叫“corporates”，包括包括“incorpora

31、ted entities, associations,partnerships, proprietorships, trusts, funds and other entities with similar characteristics, except those whichqualify for one of the other exposureclasses.”各类资管计划也被归为此类各类资管计划也被归为此类。图：使用外部评级的情况下，一般企业风险权重图：使用外部评级的情况下，一般企业风险权重图：不认可使用外部评级的情况下，一般企业风险权重图：不认可使用外部评级的情况下，一般企业风险权重

32、资料来源：BIS，银监会，海通国际20新版信用风险权重法：对一般企业的债权新版信用风险权重法：对一般企业的债权For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 假定国内不使用外部评级的方案假定国内不使用外部评级的方案，本次调整将会降低本次调整将会降低 “投资投资级级”企业的风险权重企业的风险权重。如中石油等超大型企业如中石

33、油等超大型企业，其风险与普其风险与普通企业显然不同通企业显然不同。除了普惠除了普惠（500万元以下万元以下）部分之外部分之外，其他中小微企业下调其他中小微企业下调风险权重至风险权重至85%。截至截至2021年末年末，A股上市公司的股上市公司的“长期借款长期借款+短期借款短期借款”总额总额有有14.6万亿元万亿元，由由100%至至65%的权重变化就可降低约的权重变化就可降低约5.1万亿万亿RWA。截至截至22Q1，非普惠的小微企业贷款约有非普惠的小微企业贷款约有32.8万亿元万亿元，由由100%至至85%的权重变化的权重变化，可降低约可降低约4.9万亿万亿RWA。近年来中型企业贷款余额未披露近年

34、来中型企业贷款余额未披露，参考参考2016年年20万亿左右的万亿左右的数据数据，由由100%至至85%的权重变化将可降低约的权重变化将可降低约3万亿元万亿元RWA。以上三项合计将降低银行业以上三项合计将降低银行业RWA共计约共计约13万亿元万亿元，占目前银占目前银行业行业RWA的的7%。此处测算未考虑境外上市公司及未上市的发此处测算未考虑境外上市公司及未上市的发债企业债企业。但实际降低规模将会少于上述测算但实际降低规模将会少于上述测算，主要原因未五大行及招主要原因未五大行及招行采用的是内评法行采用的是内评法，对其对其RWA影响不大影响不大。但该降幅比例应对但该降幅比例应对中小银行适用中小银行适

35、用。图：不认可使用外部评级的情况下，图：不认可使用外部评级的情况下，一般企业风险权重一般企业风险权重图：一个简单测算（万亿元）图：一个简单测算（万亿元）资料来源：BIS，银监会，WIND，海通国际21新版信用风险权重法：次级债券新版信用风险权重法：次级债券For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at BASEL III

36、最终版设定的次级债券风险权重为最终版设定的次级债券风险权重为150%，而之前旧版本为，而之前旧版本为100%。根据历史二级资本债和普通金融债的利差，未达到过根据历史二级资本债和普通金融债的利差，未达到过150BP左右的水平，因此说明银行表内定价模型并不左右的水平，因此说明银行表内定价模型并不完全决定其价格。因而不能认为完全决定其价格。因而不能认为RW提高提高50%，对应估值将下降，对应估值将下降75BP，影响幅度应比，影响幅度应比75BP小。小。另外使用另外使用内评法的五大行内评法的五大行+招行，其持有的二级资本债风险权重不变招行，其持有的二级资本债风险权重不变(原来就是同风险一般企业的原来就

37、是同风险一般企业的1.67倍倍)。这几家机构占银行业半壁江山了。这几家机构占银行业半壁江山了。因此以目前因此以目前40BP利差为基准，如果风险权重增加一半，对应的是利差为基准，如果风险权重增加一半，对应的是20BP的利差变化。的利差变化。图：图：AAA银行二级资本债和普通金融债的利差（银行二级资本债和普通金融债的利差（%）资料来源：BIS，WIND，海通国际22新版信用风险权重法：零售客户新版信用风险权重法：零售客户For full disclosure of risks, valuation methodologies and target price formation on all HT

38、I rated stocks, please refer to the latest full report on our website at 零售业务的基准权重仍然设为零售业务的基准权重仍然设为75%。但新版定义了但新版定义了Transactor概念，该类主体概念，该类主体RW降到降到45%。“。“Transactors are obligors in relation to facilities such as credit cards and charge cards where the balance has been repaid in full at each scheduled

39、 repayment date for the previous 12 months.” 直观理解直观理解即信用卡等用于交易用途的循环授信产品。即信用卡等用于交易用途的循环授信产品。截至截至2021年末，信用卡贷款余额有年末，信用卡贷款余额有8.6万亿元，万亿元，30%的的RW下降可以节约下降可以节约2.6万亿的万亿的RWA资料来源：BIS，中国人民银行，海通国际23新版信用风险权重法：住房抵押贷款新版信用风险权重法：住房抵押贷款For full disclosure of risks, valuation methodologies and target price formation on

40、 all HTI rated stocks, please refer to the latest full report on our website at BASEL III最终版的住房抵押贷款风险权重根据最终版的住房抵押贷款风险权重根据LTV(Loan To Value，即贷款余额，即贷款余额/抵押物价值抵押物价值)确定。确定。分子贷款余额随着贷款归还不断更新，分母一般情况下按照初值数值不变分子贷款余额随着贷款归还不断更新，分母一般情况下按照初值数值不变(除非市场有重大变化除非市场有重大变化)。旧版旧版BASEL住房抵押贷款住房抵押贷款RW统一为统一为35%；国内采纳时适当调高到；国内采

41、纳时适当调高到50%，二抵，二抵RW统一为统一为150%。国内四大行采用高级法真实测算历史数据，得到的按揭贷款国内四大行采用高级法真实测算历史数据，得到的按揭贷款RW一直很低，中行为一直很低，中行为10.82%，工行为，工行为20.35%，农行为，农行为22.43%，建行，建行为为24.5%。由于国内住房贷款的首付比例很高，由于国内住房贷款的首付比例很高，LTV最高不会超过最高不会超过80%，20+%的的RW是符合下表分布的。是符合下表分布的。需要注意的是，需要注意的是，BASEL III这一规定并未限定于个人按揭，以住房抵押的小微贷款、对公贷款也是可以适用该条款的。这一规定并未限定于个人按揭

42、，以住房抵押的小微贷款、对公贷款也是可以适用该条款的。图：住房抵押贷款的LTV和风险权重对应关系图：商用房抵押贷款的LTV和风险权重对应关系资料来源：BIS，银监会，海通国际24新版信用风险权重法：汇总测算新版信用风险权重法：汇总测算For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 假设监管完全采用假设监管完全采用BASE

43、L III最终版的条款，并且不采最终版的条款，并且不采用外部评级确定客户风险权重。在全行业都采用权重用外部评级确定客户风险权重。在全行业都采用权重法的情况下，商业银行法的情况下，商业银行RWA下降约下降约25.42万亿元，占万亿元，占目前行业目前行业RWA比例约为比例约为13.5%。这里没有考虑三个因素：这里没有考虑三个因素：小微贷款、对公贷款里面用个人住房抵押的部小微贷款、对公贷款里面用个人住房抵押的部分，按照分，按照Basel III也可以使用按揭的风险权重。也可以使用按揭的风险权重。这个会有进一步这个会有进一步RWA下降。下降。如果券商、保险等非银机构采用银行标准，也如果券商、保险等非银

44、机构采用银行标准，也会有会有RWA下降。下降。银行同业交易的银行同业交易的RWA确定性上升。确定性上升。虽然五大行招行未采用权重法，但所计算出比例可虽然五大行招行未采用权重法，但所计算出比例可以适用于采用权重法的中小银行。以适用于采用权重法的中小银行。图：一个简单测算资料来源：BIS，WIND，海通国际25操作风险变化操作风险变化For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest f

45、ull report on our website at 由于操作风险的数据量不如信用风险、市场风险丰富，高级计量法的模型参数很难准确估计由于操作风险的数据量不如信用风险、市场风险丰富，高级计量法的模型参数很难准确估计。且基本指标法和标准法之间理念接近，因而。且基本指标法和标准法之间理念接近，因而BASEL III最终版将其简化为最终版将其简化为 “新标准法”。即“新标准法”。即无论之前监管是否批准使用高级方法，所有银行都统一使用新标准法。无论之前监管是否批准使用高级方法，所有银行都统一使用新标准法。在新标准法下存在内部损失乘数：在新标准法下存在内部损失乘数：ILM=ln(e-1+(LC/BI

46、C)0.8)，其中，其中LC为过去为过去10年平均内部操作年平均内部操作风险损失的风险损失的15倍。考虑到中国银行业操作损失很少，该参数将会很低。若按此实施后，中国倍。考虑到中国银行业操作损失很少，该参数将会很低。若按此实施后，中国银行业操作风险银行业操作风险RWA将有明显下降。将有明显下降。但但BASEL III最终版给于各国监管将最终版给于各国监管将ILM直接设为直接设为1的权力。若按此实施，以模型计算结果，大的权力。若按此实施，以模型计算结果，大中型银行的操作风险中型银行的操作风险RWA反而会有小幅提高。反而会有小幅提高。小结：新标准法下，操作风险小结：新标准法下，操作风险RWA的计量结

47、果是否升高，取决于监管对的计量结果是否升高，取决于监管对ILM的设置选择的设置选择图：操作风险的方法变化资料来源：BIS，海通国际旧版新版初级方法（默认方法）基本指标法新标准法高级方法（需监管批准）标准法高级计量法26目录目录For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 1. 银行资本管理ABC2. 权重法的变化3.

48、高级法的变化4. 政策变更对行业影响与宏观意义5. 风险提示27取消取消1.06的校准乘数，设置的校准乘数，设置72.5%的底线的底线For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 历史上为了避免银行利用内部模型，故意做低参数，历史上为了避免银行利用内部模型，故意做低参数，BASEL II设置了一个设置了一个1.06倍的

49、乘数，即倍的乘数，即内评法下的计算得到的信用内评法下的计算得到的信用风险风险RWA要乘以要乘以1.06倍倍之后再作为资本充足率的分母。这之后再作为资本充足率的分母。这一参数我国一参数我国2012年版资本管理办法也采纳了，并称之为“年版资本管理办法也采纳了，并称之为“监管校准”。监管校准”。这一项目在这一项目在BASEL III中不复存在，对中国银行业用内评法覆中不复存在，对中国银行业用内评法覆盖的业务，其盖的业务，其信用风险信用风险RWA就下降了就下降了6%。BASEL III中改为设置“资本底线”，比例为中改为设置“资本底线”，比例为72.5%，即如果，即如果内评法结果低于权重法结果的内评法

50、结果低于权重法结果的72.5%，则要把内评法结果上，则要把内评法结果上调到调到72.5%。中国中国2012年办法中就设置了年办法中就设置了80%的底线要求，比新版更加严的底线要求，比新版更加严格。格。如果中国选择如果中国选择80%不变，则对国内银行不会有影响。不变，则对国内银行不会有影响。如果中如果中国选择降低到国选择降低到72.5%，则又有，则又有7.5%的的RWA贡献。与前面贡献。与前面6%比例相加就有比例相加就有13.5%。取决于银行是否下调参数。取决于银行是否下调参数。图：新版的内评法资本底线图：新版的内评法资本底线资料来源：BIS，银监会，海通国际28新版内评法的变化：新版内评法的变

51、化：A-IRB适用情况减少适用情况减少For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 大型企业（年收入大型企业（年收入5亿欧元以上）、金融机构，不能再采用高级内评法亿欧元以上）、金融机构，不能再采用高级内评法(A-IRB)，而只能使用，而只能使用权重法或初级内评法权重法或初级内评法(F-IRB)。另外权益类资产方法也发生

52、变化。另外权益类资产方法也发生变化。初级内评法只估计违约率初级内评法只估计违约率(PD)，其他参数由监管给定。而高级内评法还需银行自行估计违约，其他参数由监管给定。而高级内评法还需银行自行估计违约损失率损失率(LGD, loss given default)、违约风险敞口、违约风险敞口(EAD, exposure at default)、期限、期限(M)。由于大型。由于大型企业、金融机构违约样本少，过多的参数精细估计其实很难由单个银行做到，因此由巴塞尔企业、金融机构违约样本少，过多的参数精细估计其实很难由单个银行做到，因此由巴塞尔委员会根据全球银行业历史做出估计给全球银行使用更合理。委员会根据

53、全球银行业历史做出估计给全球银行使用更合理。图：新版的内评法资本底线图：新版的内评法资本底线资料来源：BIS，海通国际29新版内评法的变化：一般企业的新版内评法的变化：一般企业的LGD降低降低For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 一般企业的一般企业的LGD原来旧版跟金融机构一样是原来旧版跟金融机构一样是45%。

54、但新版中是。但新版中是40%。由下式而可见，资本需求由下式而可见，资本需求K和和LGD成正比，成正比，RWA和和K成正比，所以成正比，所以LGD下降多少比例下降多少比例，RW就下降多少比例。就下降多少比例。因而在新版内评法下，一般企业的因而在新版内评法下，一般企业的RW比原来下降了比原来下降了5%/45%=11.1%。图：图：F-IRB中的一般企业风险权重计算方法中的一般企业风险权重计算方法资料来源：BIS，海通国际30新版内评法的变化：设置了参数下限新版内评法的变化：设置了参数下限For full disclosure of risks, valuation methodologies an

55、d target price formation on all HTI rated stocks, please refer to the latest full report on our website at 为了防止参数过低，新版为了防止参数过低，新版IRB还设置了参数下限。还设置了参数下限。 目前没有足够数据评估这对目前没有足够数据评估这对中国银行业的影响。中国银行业的影响。 如：中国之前对如：中国之前对PD的限制是的限制是3BP，跟，跟5BP略有差距，难以略有差距，难以评估影响。评估影响。图：新版图：新版IRB中的参数下限中的参数下限资料来源：BIS，海通国际31新版内评法的变化：抵

56、押物处理方法变化新版内评法的变化：抵押物处理方法变化For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 抵押物计算金额时的折扣额提升，但使用抵押物后的抵押物计算金额时的折扣额提升，但使用抵押物后的LGD变小了。变小了。结论：对于抵押率比较足的交易，风险权重会下降；而对于抵押率低的交易可能整体结论：对于抵押率比较足的交易，风险

57、权重会下降；而对于抵押率低的交易可能整体RWA可可能上升。能上升。考虑到中国银行业对客户抵押率要求普遍较高，我们认为中国银行业将会从中受益。考虑到中国银行业对客户抵押率要求普遍较高，我们认为中国银行业将会从中受益。但考虑到中国六家内评法银行对零售敞口采用的都是但考虑到中国六家内评法银行对零售敞口采用的都是A-IRB，这个变化主要影响对公业务。，这个变化主要影响对公业务。图：旧版图：旧版F-IRB中的参数下限中的参数下限图：新版图：新版F-IRB中的参数下限中的参数下限资料来源：BIS，海通国际32目录目录For full disclosure of risks, valuation metho

58、dologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 1. 银行资本管理ABC2. 权重法的变化3. 高级法的变化4. 政策变更对行业影响与宏观意义5. 风险提示33宏观与微观视角宏观与微观视角For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please

59、 refer to the latest full report on our website at 资料来源：BIS，WIND，海通国际34银行的杠杆率与盈利能力银行的杠杆率与盈利能力For full disclosure of risks, valuation methodologies and target price formation on all HTI rated stocks, please refer to the latest full report on our website at 中国银行业过去这些年的盈利能力变化，主要因素是两个：信用成本率提高，杠杆倍数下降。中国银

60、行业过去这些年的盈利能力变化，主要因素是两个：信用成本率提高，杠杆倍数下降。信用成本率已经在信用成本率已经在2020年银行业不良贷款率出现趋势性下降后逆转。若年银行业不良贷款率出现趋势性下降后逆转。若BASEL III最终版落地，那么杠杆倍最终版落地，那么杠杆倍数可能将要迎来拐点。数可能将要迎来拐点。表：过去影响银行表：过去影响银行ROE最大的是拨备、杠杆，息差则被税收因素抵消最大的是拨备、杠杆，息差则被税收因素抵消资料来源：WIND，海通国际355 风险提示For full disclosure of risks, valuation methodologies and target pri

61、ce formation on all HTI rated stocks, please refer to the latest full report on our website at 新政策的细节仍未明确，落地时间也并不清晰。新政策的细节仍未明确，落地时间也并不清晰。APPENDIX 1Capital management of banks: Capital Adequacy Ratio, standard and advanced methods, EVA, RAROC, etc.Changes in the Standardised ApproachChanges in the Ad

62、vanced ApproachPolicy changes impact on industry and macro implicationsRisk: Details of the new policy are still unclear and the timing of implementation is not clear.36APPENDIX 2重要信息披露重要信息披露本研究报告由海通国际分销，海通国际是由海通国际研究有限公司(HTIRL)，Haitong Securities India Private Limited (HSIPL)，Haitong International J

63、apan K.K.(HTIJKK)和海通国际证券有限公司(HTISCL)的证券研究团队所组成的全球品牌，海通国际证券集团(HTISG)各成员分别在其许可的司法管辖区内从事证券活动。IMPORTANT DISCLOSURESThis research report is distributed by Haitong International, a global brand name for the equity research teams of Haitong International Research Limited (“HTIRL”),Haitong Securities India

64、Private Limited (“HSIPL”), Haitong International Japan K.K. (“HTIJKK”), Haitong International Securities Company Limited (“HTISCL”), and anyother members within the Haitong International Securities Group of Companies (“HTISG”), each authorized to engage in securities activities in its respectivejuri

65、sdiction.HTIRL分析师认证分析师认证Analyst Certification:我，林加力，在此保证（i）本研究报告中的意见准确反映了我们对本研究中提及的任何或所有目标公司或上市公司的个人观点，并且（ii）我的报酬中没有任何部分与本研究报告中表达的具体建议或观点直接或间接相关；及就此报告中所讨论目标公司的证券，我们（包括我们的家属）在其中均不持有任何财务利益。I, Jiali LIN, certify that (i) the views expressed in this research report accurately reflect my personal views a

66、bout any or all of the subject companiesor issuers referred to in this research and (ii) no part of my compensation was, is or will be directly or indirectly related to the specific recommendations or viewsexpressed in this research report; and that I (including members of my household) have no fina

67、ncial interest in the security or securities of the subject companiesdiscussed.我，Nichole Zhou，在此保证（i）本研究报告中的意见准确反映了我们对本研究中提及的任何或所有目标公司或上市公司的个人观点，并且（ii）我的报酬中没有任何部分与本研究报告中表达的具体建议或观点直接或间接相关；及就此报告中所讨论目标公司的证券，我们（包括我们的家属）在其中均不持有任何财务利益。I, Nicole Zhou, certify that (i) the views expressed in this research r

68、eport accurately reflect my personal views about any or all of the subjectcompanies or issuers referred to in this research and (ii) no part of my compensation was, is or will be directly or indirectly related to the specific recommendationsor views expressed in this research report; and that I (inc

69、luding members of my household) have no financial interest in the security or securities of the subjectcompanies discussed.37APPENDIX 2利益冲突披露利益冲突披露Conflict of Interest Disclosures海通国际及其某些关联公司可从事投资银行业务和/或对本研究中的特定股票或公司进行做市或持有自营头寸。就本研究报告而言，以下是有关该等关系的披露事项（以下披露不能保证及时无遗漏，如需了解及时全面信息，请发邮件至ERD-D）HTI and some

70、 of its affiliates may engage in investment banking and / or serve as a market maker or hold proprietary trading positions of certain stocks orcompanies in this research report. As far as this research report is concerned, the following are the disclosure matters related to such relationship (As the

71、 followingdisclosure does not ensure timeliness and completeness, please send an email to ERD-D if timely and comprehensive information is needed).海通证券股份有限公司和/或其子公司（统称“海通”）在过去12个月内参与了600000.CH, 600015.CH, 600036.CH, 600919.CH, 601166.CH, 601229.CH,601328.CH, 601398.CH, 601658.CH, 601818.CH, 601838.C

72、H, 601939.CH, 601988.CH, 601998.CH, 0939.HK, 0998.HK, 1398.HK, 1658.HK, 3328.HK, 3698.HK,3968.HK, 3988.HK and 6818.HK的投资银行项目。投资银行项目包括：1、海通担任上市前辅导机构、保荐人或主承销商的首次公开发行项目；2、海通作为保荐人、主承销商或财务顾问的股权或债务再融资项目；3、海通作为主经纪商的新三板上市、目标配售和并购项目。Haitong Securities Co., Ltd. and/or its subsidiaries (collectively, the Hait

73、ong) have a role in investment banking projects of 600000.CH, 600015.CH, 600036.CH,600919.CH, 601166.CH, 601229.CH, 601328.CH, 601398.CH, 601658.CH, 601818.CH, 601838.CH, 601939.CH, 601988.CH, 601998.CH, 0939.HK, 0998.HK, 1398.HK,1658.HK, 3328.HK, 3698.HK, 3968.HK, 3988.HK and 6818.HK within the pas

74、t 12 months. The investment banking projects include 1. IPO projects in which Haitongacted as pre-listing tutor, sponsor, or lead-underwriter; 2. equity or debt refinancing projects of 600000.CH, 600015.CH, 600036.CH, 600919.CH, 601166.CH,601229.CH, 601328.CH, 601398.CH, 601658.CH, 601818.CH, 601838

75、.CH, 601939.CH, 601988.CH, 601998.CH, 0939.HK, 0998.HK, 1398.HK, 1658.HK, 3328.HK,3698.HK, 3968.HK, 3988.HK and 6818.HK for which Haitong acted as sponsor, lead-underwriter or financial advisor; 3. listing by introduction in the new threeboard, target placement, M&A projects in which Haitong acted a

76、s lead-brokerage firm.作为回报，海通拥有1216.HK一类普通股证券的1%或以上。The Haitong beneficially owns 1% or more of a class of common equity securities of 1216.HK.38APPENDIX 2600000.CH, 600015.CH, 600036.CH, 600919.CH, 601166.CH, 601229.CH, 601328.CH, 601398.CH, 601658.CH, 601818.CH, 601838.CH, 601939.CH, 601988.CH,601

77、998.CH, 0939.HK, 0998.HK, 1398.HK, 1658.HK, 3328.HK, 3698.HK, 3968.HK, 3988.HK 及 6818.HK目前或过去12个月内是海通的投资银行业务客户。600000.CH, 600015.CH, 600036.CH, 600919.CH, 601166.CH, 601229.CH, 601328.CH, 601398.CH, 601658.CH, 601818.CH, 601838.CH, 601939.CH, 601988.CH,601998.CH, 0939.HK, 0998.HK, 1398.HK, 1658.HK,

78、3328.HK, 3698.HK, 3968.HK, 3988.HK and 6818.HK are/were an investment bank clients of Haitong currently orwithin the past 12 months.000001.CH, 002142.CH, 002948.CH, 600000.CH, 600015.CH, 600036.CH, 600919.CH, 600926.CH, 601009.CH, 上海农村商业银行股份有限公司, 601128.CH,601166.CH, 601169.CH, 601229.CH, 601288.CH,

79、 601328.CH, 601398.CH, 601577.CH, 601658.CH, 601818.CH, 601838.CH, 601939.CH, 601988.CH, 601998.CH,0011.HK, 0023.HK, 0939.HK, 0998.HK, 1216.HK, 1288.HK, 1398.HK, 1658.HK, 3328.HK, 3698.HK, 3866.HK, 3968.HK, 3988.HK, 6190.HK 及 6818.HK目前或过去12个月内是海通的客户。海通向客户提供非投资银行业务的证券相关业务服务。000001.CH, 002142.CH, 0029

80、48.CH, 600000.CH, 600015.CH, 600036.CH, 600919.CH, 600926.CH, 601009.CH, 上海农村商业银行股份有限公司, 601128.CH,601166.CH, 601169.CH, 601229.CH, 601288.CH, 601328.CH, 601398.CH, 601577.CH, 601658.CH, 601818.CH, 601838.CH, 601939.CH, 601988.CH, 601998.CH,0011.HK, 0023.HK, 0939.HK, 0998.HK, 1216.HK, 1288.HK, 1398.

81、HK, 1658.HK, 3328.HK, 3698.HK, 3866.HK, 3968.HK, 3988.HK, 6190.HK and 6818.HK are/were aclient of Haitong currently or within the past 12 months. The client has been provided for non-investment-banking securities-related services.601398.CH 及 1398.HK目前或过去12个月内是海通的客户。海通向客户提供非证券业务服务。601398.CH and 1398.

82、HK are/were a client of Haitong currently or within the past 12 months. The client has been provided for non-securities services.海通在过去12个月中获得对600000.CH, 600015.CH, 600036.CH, 601166.CH, 601328.CH, 601658.CH, 601818.CH, 601939.CH, 601988.CH, 601998.CH, 0939.HK,0998.HK, 1658.HK, 3328.HK, 3968.HK, 3988

83、.HK 及 6818.HK提供投资银行服务的报酬。Haitong received in the past 12 months compensation for investment banking services provided to 600000.CH, 600015.CH, 600036.CH, 601166.CH, 601328.CH,601658.CH, 601818.CH, 601939.CH, 601988.CH, 601998.CH, 0939.HK, 0998.HK, 1658.HK, 3328.HK, 3968.HK, 3988.HK and 6818.HK.39APP

84、ENDIX 2海通预计将（或者有意向）在未来三个月内从600000.CH, 600036.CH, 600919.CH, 601166.CH, 601229.CH, 601328.CH, 601398.CH, 601658.CH, 601818.CH,601998.CH, 0023.HK, 0998.HK, 1398.HK, 1658.HK, 3328.HK, 3968.HK 及 6818.HK获得投资银行服务报酬。Haitong expects to receive, or intends to seek, compensation for investment banking service

85、s in the next three months from 600000.CH, 600036.CH, 600919.CH,601166.CH, 601229.CH, 601328.CH, 601398.CH, 601658.CH, 601818.CH, 601998.CH, 0023.HK, 0998.HK, 1398.HK, 1658.HK, 3328.HK, 3968.HK and 6818.HK.海通在过去的12个月中从前海开源资产平安银行前海开源资产华鑫1号新三板专项资产管理计划, 长安财富资产宁波银行长安资产 景林海通新三板投资专项资产管理计划,长安财富资产宁波银行长安资产 景

86、林新三板2期投资专项资产管理计划,大越期货宁波银行大越期货1号资产管理计划,国开泰富基金宁波银行国开泰富海汇定增1号资产管理计划,海通期货宁波银行海通期货海新1号集合资产管理计划,上海富诚海富通资产宁波银行富诚海富通福瑞通达1号专项资产管理计划, 600015.CH, 600036.CH, 600926.CH, 601009.CH, 601166.CH, 601229.CH, 601328.CH, 601398.CH,601818.CH, 601939.CH, 601998.CH, 0939.HK, 0998.HK, 1398.HK, 3328.HK, 3698.HK, 3968.HK 及 6

87、818.HK获得除投资银行服务以外之产品或服务的报酬。Haitong has received compensation in the past 12 months for products or services other than investment banking from 前海开源资产平安银行前海开源资产华鑫1号新三板专项资产管理计划, 长安财富资产宁波银行长安资产 景林海通新三板投资专项资产管理计划,长安财富资产宁波银行长安资产 景林新三板2期投资专项资产管理计划,大越期货宁波银行大越期货1号资产管理计划,国开泰富基金宁波银行国开泰富海汇定增1号资产管理计划,海通期货宁波银行海通

88、期货海新1号集合资产管理计划,上海富诚海富通资产宁波银行富诚海富通福瑞通达1号专项资产管理计划,600015.CH, 600036.CH, 600926.CH, 601009.CH, 601166.CH, 601229.CH, 601328.CH, 601398.CH, 601818.CH, 601939.CH, 601998.CH, 0939.HK, 0998.HK, 1398.HK,3328.HK, 3698.HK, 3968.HK and 6818.HK.海通担任600036.CH, 601288.CH, 601398.CH, 601658.CH, 601939.CH, 601988.C

89、H, 0005.HK, 0011.HK, 0939.HK, 1288.HK, 1398.HK, 1658.HK, 3968.HK 及 3988.HK有关证券的做市商或流通量提供者。Haitong acts as a market maker or liquidity provider in the securities of 600036.CH, 601288.CH, 601398.CH, 601658.CH, 601939.CH, 601988.CH, 0005.HK, 0011.HK,0939.HK, 1288.HK, 1398.HK, 1658.HK, 3968.HK and 3988.

90、HK.40APPENDIX 2评级定义评级定义（从从2020年年7月月1日开始执行日开始执行）：海通国际（以下简称“HTI”）采用相对评级系统来为投资者推荐我们覆盖的公司：优于大市、中性或弱于大市。投资者应仔细阅读HTI的评级定义。并且HTI发布分析师观点的完整信息，投资者应仔细阅读全文而非仅看评级。在任何情况下，分析师的评级和研究都不能作为投资建议。投资者的买卖股票的决策应基于各自情况（比如投资者的现有持仓）以及其他因素。分析师股票评级分析师股票评级优于大市优于大市，未来12-18个月内预期相对基准指数涨幅在10%以上，基准定义如下中性中性，未来12-18个月内预期相对基准指数变化不大，基准

91、定义如下。根据FINRA/NYSE的评级分布规则，我们会将中性评级划入持有这一类别。弱于大市弱于大市，未来12-18个月内预期相对基准指数跌幅在10%以上，基准定义如下各地股票基准指数：日本各地股票基准指数：日本 TOPIX, 韩国韩国 KOSPI, 台湾台湾 TAIEX, 印度印度 Nifty100, 美国美国 SP500; 其他所有中国概念股其他所有中国概念股 MSCI China.Ratings Definitions (from 1 Jul 2020):Haitong International uses a relative rating system using Outperfor

92、m, Neutral, or Underperform for recommending the stocks we cover to investors. Investors shouldcarefully read the definitions of all ratings used in Haitong International Research. In addition, since Haitong International Research contains more completeinformation concerning the analysts views, inve

93、stors should carefully read Haitong International Research, in its entirety, and not infer the contents from the ratingalone. In any case, ratings (or research) should not be used or relied upon as investment advice. An investors decision to buy or sell a stock should depend on individualcircumstanc

94、es (such as the investors existing holdings) and other considerations.Analyst Stock RatingsOutperform:The stocks total return over the next 12-18 months is expected to exceed the return of its relevant broad market benchmark, as indicated below.Neutral: The stocks total return over the next 12-18 mo

95、nths is expected to be in line with the return of its relevant broad market benchmark, as indicated below. Forpurposes only of FINRA/NYSE ratings distribution rules, our Neutral rating falls into a hold rating category.Underperform:The stocks total return over the next 12-18 months is expected to be

96、 below the return of its relevant broad market benchmark, as indicated below.Benchmarks for each stocks listed region are as follows: Japan TOPIX, Korea KOSPI, Taiwan TAIEX, India Nifty100, US SP500; for all other China-conceptstocks MSCI China.41APPENDIX 2评级分布评级分布Rating Distribution42APPENDIX 2截至截至

97、2022年年3月月31日日海通国际股票研究评级分布海通国际股票研究评级分布优于大市优于大市中性中性弱于大市弱于大市(持有持有)海通国际股票研究覆盖率88.9%9.5%1.6%投资银行客户*6.8%5.8%0.0%*在每个评级类别里投资银行客户所占的百分比。上述分布中的买入，中性和卖出分别对应我们当前优于大市，中性和落后大市评级。只有根据FINRA/NYSE的评级分布规则，我们才将中性评级划入持有这一类别。请注意在上表中不包含非评级的股票。此前的评级系统定义此前的评级系统定义（直至直至2020年年6月月30日日）：买入买入，未来12-18个月内预期相对基准指数涨幅在10%以上，基准定义如下中性中

98、性，未来12-18个月内预期相对基准指数变化不大，基准定义如下。根据FINRA/NYSE的评级分布规则，我们会将中性评级划入持有这一类别。卖出卖出，未来12-18个月内预期相对基准指数跌幅在10%以上，基准定义如下各地股票基准指数：日本各地股票基准指数：日本 TOPIX, 韩国韩国 KOSPI, 台湾台湾 TAIEX, 印度印度 Nifty100; 其他所有中国概念股其他所有中国概念股 MSCI China.Haitong International Equity Research Ratings Distribution, as of Mar 31, 2022OutperformNeutra

99、lUnderperform(hold)HTI Equity Research Coverage88.9%9.5%1.6%IB clients*6.8%5.8%0.0%*Percentage of investment banking clients in each rating category.BUY, Neutral, and SELL in the above distribution correspond to our current ratings of Outperform, Neutral, and Underperform.For purposes only of FINRA/

100、NYSE ratings distribution rules, our Neutral rating falls into a hold rating category. Please note that stocks with an NR designation are notincluded in the table above.Previous rating system definitions (until 30 Jun 2020):BUY: The stocks total return over the next 12-18 months is expected to excee

101、d the return of its relevant broad market benchmark, as indicated below.NEUTRAL: The stocks total return over the next 12-18 months is expected to be in line with the return of its relevant broad market benchmark, as indicated below.For purposes only of FINRA/NYSE ratings distribution rules, our Neu

102、tral rating falls into a hold rating category.SELL: The stocks total return over the next 12-18 months is expected to be below the return of its relevant broad market benchmark, as indicated below.Benchmarks for each stocks listed region are as follows: Japan TOPIX, Korea KOSPI, Taiwan TAIEX, India

103、Nifty100; for all other China-concept stocks MSCIChina.43APPENDIX 2海通国际非评级研究：海通国际非评级研究：海通国际发布计量、筛选或短篇报告，并在报告中根据估值和其他指标对股票进行排名，或者基于可能的估值倍数提出建议价格。这种排名或建议价格并非为了进行股票评级、提出目标价格或进行基本面估值，而仅供参考使用。Haitong International Non-Rated Research: Haitong International publishes quantitative, screening or short report

104、s which may rank stocks according to valuation andother metrics or may suggest prices based on possible valuation multiples. Such rankings or suggested prices do not purport to be stock ratings or target prices orfundamental values and are for information only.海通国际海通国际A股覆盖股覆盖：海通国际可能会就沪港通及深港通的中国A股进行覆

105、盖及评级。海通证券（600837.CH），海通国际于上海的母公司，也会于中国发布中国A股的研究报告。但是，海通国际使用与海通证券不同的评级系统，所以海通国际与海通证券的中国A股评级可能有所不同。Haitong International Coverage of A-Shares: Haitong International may cover and rate A-Shares that are subject to the Hong Kong Stock Connect scheme withShanghai and Shenzhen. Haitong Securities (HS; 600

106、837 CH), the ultimate parent company of HTISG based in Shanghai, covers and publishes research on these sameA-Shares for distribution in mainland China. However, the rating system employed by HS differs from that used by HTI and as a result there may be a difference in theHTI and HS ratings for the

107、same A-share stocks.海通国际海通国际优质优质100 A股股（Q100）指数指数：海通国际Q100指数是一个包括100支由海通证券覆盖的优质中国A股的计量产品。这些股票是通过基于质量的筛选过程，并结合对海通证券A股团队自下而上的研究。海通国际每季对Q100指数成分作出复审。Haitong International Quality 100 A-share (Q100) Index: HTIs Q100 Index is a quant product that consists of 100 of the highest-quality A-shares under cove

108、rage atHS in Shanghai. These stocks are carefully selected through a quality-based screening process in combination with a review of the HS A-share teams bottom-upresearch. The Q100 constituent companies are reviewed quarterly.44APPENDIX 2MSCI ESG评级免责声明条款：评级免责声明条款：尽管海通国际的信息供货商（包括但不限于MSCI ESG Researc

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123、on liability.SusallWave shall not be responsible for any loss.4. If any term is not contained in this disclaimer but written in other agreements on our website (e.g. User Registration Protocol of SusallWave Website, User Service(including authentication) Agreement of SusallWave Website, Privacy Poli

124、cy of Susallwave Website), it should be executed according to other agreements. If there isany difference between this disclaim and other agreements, this disclaimer shall be applied.46APPENDIX 2重要免责声明：重要免责声明：非印度证券的研究报告非印度证券的研究报告：本报告由海通国际证券集团有限公司（“HTISGL”）的全资附属公司海通国际研究有限公司（“HTIRL”）发行，该公司是根据香港证券及期货条例

125、（第571章）持有第4类受规管活动（就证券提供意见）的持牌法团。该研究报告在HTISGL的全资附属公司Haitong International (Japan)K.K.（“HTIJKK”）的协助下发行，HTIJKK是由日本关东财务局监管为投资顾问。印度证券的研究报告：印度证券的研究报告：本报告由从事证券交易、投资银行及证券分析及受Securities and Exchange Board of India（“SEBI”）监管的Haitong Securities IndiaPrivate Limited（“HTSIPL”）所发行，包括制作及发布涵盖BSE Limited（“BSE”）和Nati

126、onal Stock Exchange of India Limited（“NSE”）上市公司（统称为印度交易所）的研究报告。HTSIPL于2016年12月22日被收购并成为海通国际证券集团有限公司（“HTISG”）的一部分。所有研究报告均以海通国际为名作为全球品牌，经许可由海通国际证券股份有限公司及/或海通国际证券集团的其他成员在其司法管辖区发布。本文件所载信息和观点已被编译或源自可靠来源，但HTIRL、HTISCL或任何其他属于海通国际证券集团有限公司（“HTISG”）的成员对其准确性、完整性和正确性不做任何明示或暗示的声明或保证。本文件中所有观点均截至本报告日期，如有更改，恕不另行通知。

127、本文件仅供参考使用。文件中提及的任何公司或其股票的说明并非意图展示完整的内容，本文件并非/不应被解释为对证券买卖的明示或暗示地出价或征价。在某些司法管辖区，本文件中提及的证券可能无法进行买卖。如果投资产品以投资者本国货币以外的币种进行计价，则汇率变化可能会对投资产生不利影响。过去的表现并不一定代表将来的结果。某些特定交易，包括设计金融衍生工具的，有产生重大风险的可能性，因此并不适合所有的投资者。您还应认识到本文件中的建议并非为您量身定制。分析师并未考虑到您自身的财务情况，如您的财务状况和风险偏好。因此您必须自行分析并在适用的情况下咨询自己的法律、税收、会计、金融和其他方面的专业顾问，以期在投资

128、之前评估该项建议是否适合于您。若由于使用本文件所载的材料而产生任何直接或间接的损失，HTISG及其董事、雇员或代理人对此均不承担任何责任。除对本文内容承担责任的分析师除外，HTISG及我们的关联公司、高级管理人员、董事和雇员，均可不时作为主事人就本文件所述的任何证券或衍生品持有长仓或短仓以及进行买卖。HTISG的销售员、交易员和其他专业人士均可向HTISG的相关客户和公司提供与本文件所述意见相反的口头或书面市场评论意见或交易策略。HTISG可做出与本文件所述建议或意见不一致的投资决策。但HTIRL没有义务来确保本文件的收件人了解到该等交易决定、思路或建议。请访问海通国际网站 ，查阅更多有关海通

129、国际为预防和避免利益冲突设立的组织和行政安排的内容信息。非美国分析师披露信息：非美国分析师披露信息：本项研究上海品茶上列明的海通国际分析师并未在FINRA进行注册或者取得相应的资格，并且不受美国FINRA有关与本项研究目标公司进行沟通、公开露面和自营证券交易的第2241条规则之限制。47APPENDIX 2IMPORTANT DISCLAIMERFor research reports on non-Indian securities: The research report is issued by Haitong International Research Limited (“HTIRL”)

130、, a wholly owned subsidiary ofHaitong International Securities Group Limited (“HTISGL”) and a licensed corporation to carry on Type 4 regulated activity (advising on securities) for the purpose ofthe Securities and Futures Ordinance (Cap. 571) of Hong Kong, with the assistance of Haitong Internation

131、al (Japan) K.K. (“HTIJKK”), a wholly owned subsidiary ofHTISGL and which is regulated as an Investment Adviser by the Kanto Finance Bureau of Japan.For research reports on Indian securities: The research report is issued by Haitong Securities India Private Limited (“HSIPL”), an Indian company and a

132、Securitiesand Exchange Board of India (“SEBI”) registered Stock Broker, Merchant Banker and Research Analyst that, inter alia, produces and distributes research reportscovering listed entities on the BSE Limited (“BSE”) and the National Stock Exchange of India Limited (“NSE”) (collectively referred

133、to as “Indian Exchanges”). HSIPLwas acquired and became part of the Haitong International Securities Group of Companies (“HTISG”) on 22 December 2016.All the research reports are globally branded under the name Haitong International and approved for distribution by Haitong International Securities C

134、ompanyLimited (“HTISCL”) and/or any other members within HTISG in their respective jurisdictions.The information and opinions contained in this research report have been compiled or arrived at from sources believed to be reliable and in good faith but norepresentation or warranty, express or implied

135、, is made by HTIRL, HTISCL, HSIPL, HTIJKK or any other members within HTISG from which this research report maybe received, as to their accuracy, completeness or correctness. All opinions expressed herein are as of the date of this research report and are subject to changewithout notice. This resear

136、ch report is for information purpose only. Descriptions of any companies or their securities mentioned herein are not intended to becomplete and this research report is not, and should not be construed expressly or impliedly as, an offer to buy or sell securities. The securities referred to in thisr

137、esearch report may not be eligible for purchase or sale in some jurisdictions. If an investment product is denominated in a currency other than an investors homecurrency, a change in exchange rates may adversely affect the investment. Past performance is not necessarily indicative of future results.

138、 Certain transactions,including those involving derivatives, give rise to substantial risk and are not suitable for all investors. You should also bear in mind that recommendations in thisresearch report are not tailor-made for you. The analyst has not taken into account your unique financial circum

139、stances, such as your financial situation and riskappetite. You must, therefore, analyze and should, where applicable, consult your own legal, tax, accounting, financial and other professional advisers to evaluatewhether the recommendations suits you before investment. Neither HTISG nor any of its d

140、irectors, employees or agents accepts any liability whatsoever for anydirect or consequential loss arising from any use of the materials contained in this research report.48APPENDIX 2HTISG and our affiliates, officers, directors, and employees, excluding the analysts responsible for the content of t

141、his document, will from time to time have long orshort positions in, act as principal in, and buy or sell, the securities or derivatives, if any, referred to in this research report. Sales, traders, and other professionals ofHTISG may provide oral or written market commentary or trading strategies t

142、o the relevant clients and the companies within HTISG that reflect opinions that arecontrary to the opinions expressed in this research report. HTISG may make investment decisions that are inconsistent with the recommendations or viewsexpressed in this research report. HTI is under no obligation to

143、ensure that such other trading decisions, ideas or recommendations are brought to the attention ofany recipient of this research report.Please refer to HTIs website for further information on HTIs organizational and administrative arrangements set up for the preventionand avoidance of conflicts of i

144、nterest with respect to Research.Non U.S. Analyst Disclosure: The HTI analyst(s) listed on the cover of this Research is (are) not registered or qualified as a research analyst with FINRA and are notsubject to U.S. FINRA Rule 2241 restrictions on communications with companies that are the subject of

145、 the Research; public appearances; and trading securities bya research analyst.49APPENDIX 2分发和地区通知：分发和地区通知：除非下文另有规定，否则任何希望讨论本报告或者就本项研究中讨论的任何证券进行任何交易的收件人均应联系其所在国家或地区的海通国际销售人员。香港投资者的通知事项：香港投资者的通知事项：海通国际证券股份有限公司(“HTISCL”)负责分发该研究报告，HTISCL是在香港有权实施第1类受规管活动（从事证券交易）的持牌公司。该研究报告并不构成证券及期货条例（香港法例第571章）（以下简称“SFO

146、”）所界定的要约邀请，证券要约或公众要约。本研究报告仅提供给SFO所界定的“专业投资者”。本研究报告未经过证券及期货事务监察委员会的审查。您不应仅根据本研究报告中所载的信息做出投资决定。本研究报告的收件人就研究报告中产生或与之相关的任何事宜请联系HTISCL销售人员。美国投资者的通知事项：美国投资者的通知事项：本研究报告由HTIRL，HSIPL或HTIJKK编写。 HTIRL，HSIPL，HTIJKK以及任何非HTISG美国联营公司，均未在美国注册，因此不受美国关于研究报告编制和研究分析人员独立性规定的约束。本研究报告提供给依照1934年“美国证券交易法”第15a-6条规定的豁免注册的美国主要

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148、 HTI USA是在美国于U.S. Securities and Exchange Commission（“SEC”）注册的经纪商，也是Financial Industry Regulatory Authority, Inc.（“FINRA”）的成员。 HTIUSA不负责编写本研究报告，也不负责其中包含的分析。在任何情况下，收到本研究报告的任何美国投资者，不得直接与分析师直接联系，也不得通过HSIPL，HTIRL或HTIJKK直接进行买卖证券或相关金融工具的交易。本研究报告中出现的HSIPL，HTIRL或HTIJKK分析师没有注册或具备FINRA的研究分析师资格，因此可能不受FINRA第224

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150、ison Avenue, 12th FloorNew York, NY 10173联系人电话：(212) 351 605050APPENDIX 2DISTRIBUTION AND REGIONAL NOTICESExcept as otherwise indicated below, any Recipient wishing to discuss this research report or effect any transaction in any security discussed in HTIs research shouldcontact the Haitong Internat

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152、report does not constitute a solicitation or an offer of securities or an invitationto the public within the meaning of the SFO. This research report is only to be circulated to Professional Investors as defined in the SFO. This research report hasnot been reviewed by the Securities and Futures Comm

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154、As described above, this research report was prepared by HTIRL, HSIPL or HTIJKK. Neither HTIRL, HSIPL, HTIJKK, nor any of the non U.S.HTISG affiliates is registered in the United States and, therefore, is not subject to U.S. rules regarding the preparation of research reports and the independence of

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157、ort should do so only through HaitongInternational Securities (USA) Inc. (“HTI USA”), located at 340 Madison Avenue, 12th Floor, New York, NY 10173, USA; telephone (212) 351 6050. HTI USA is a broker-dealer registered in the U.S. with the U.S. Securities and Exchange Commission (the “SEC”) and a mem

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