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1、ABGlobalResearch12October2018EquitiesChinaFinancialChinaA-sharebrokersAssessingrisksfromRmb3.5trnofstockspledgedBottom-upanalysisofover2,100stockswithpledgingThevalueofstockspledgedwithChinesebrokersrosefromRmb1.3trnin2015toRmb3.5trninH118,raisinginvestorconcerns
2、onpotentialcreditcostsamidmarketweakness.Ourbottom-upanalysisofover2,100stockswithpledgingsuggeststhatriskremainsmanageableatthispoint,butcouldrapidlyheightenifthemarketfurtherweakens.Wecutour2018-20Esectorearningsby20-29%toreflectourloweraveragedailyturnover(ADT
3、)assumptionsandinvestment/impairmentlosses.Providednofurthermarketweakening,wethinkthe39%sectorcorrectionsincetheJanuarypeak(1.02x2018EP/BVnow,ahistoricaltrough)isslightlyoverdone.WemostpreferHuataiSecurities–A(HTSC),andleastpreferEastMoneyInformation–A(EastMoney
4、).Riskslookmanageablenow,butwouldrapidlyheightenifthemarketweakensWequantifyrisktobrokersfromstockpledgingbyestimatingcoverageratiosatthestocklevelbasedonouranalysisof>2,100stocks.Weestimate<6%ofstockspledgedwithbrokers(byvalue)havebelow100%coverageratios.This,al
5、ongwiththosethathavebelow140%coverageratios(typicaldisposalthreshold),couldexpose2-6%ofthenetbookvaluetorisk,stillabsorbablebyone-yearearnings.However,inourstresstestthatassumesafurther20%marketdecline,creditcostsfromstockpledgingcouldriseto5-15%ofnetbookvalue,da
6、magingbalancesheets,astheaveragecoverageratiohasfallenfrom230%atend-2017tobelow200%currently.Stockpledgingaside,IFRS9hasincreasedP&Lvolatilityfrommark-to-marketWecutour2018-20Esectorearningsby20-29%,reflectingourlowerADTassumptions(onafallenmarket),slowIPOapprova
7、lsandinvestmentlosses(mainlyfor2018E).WeassumeChinaADTofRmb420-415bnfor2018-20(Rmb500-572bnpreviously).Webelievesharepricesreflectconsensusdowngraderisk.Underthenewly-adoptedIFRS9standards,investmentlossesarebookedinthecurrentperiod,leavingasmallerbuffertosmoothe
8、nearnings.Weestimatea10%marketdeclinewouldreducesectorearningsby18%.HTSCremainsourtoppickWelikeHTSCgivenitscontinuedprogressinrevenuediversification,optionalit
