银行-哪家银行的金融资产投资业务做的比较好

证券研究报告|行业专题研究1、银行金融资产投资如何影响利润表？金融资产应根据其业务模式和合同现金流量特征，分为三大类：行业走势1）以摊余成本计量的金融资产（AC），持有期间按照实际利率法计算的损行业走势益计入“利息收入”科目，终止确认时产生的损益计入“投资收益”科目。16%0%-16%-32%16%0%-16%-32%有期间采用实际利率法计算的利息收入计入“利息收入”科目，公允价值变动计入“其他综合收益”科目，终止确认时之前计入其他综合收益的公允价值变动损益从“其他综合收益”中转出计入“投资收益”。2023-052023-082023-122024-0432023-052023-082023-122024-04间的公允价值变动计入“公允价值变动损益”科目，终止确认时产生的损益计入“投资收益”科目。或“该金融资产已转移”，AC资产多以自然到期为主。作者作者相关研究上市银行中AC、FVTOCI、FVTPL金融资产的占比分别为17.9%、6.7%、4.1%，上市银行金融资产主要以赚取利息为主，其中不同类型银行的配置思路差异较为明显。2024-04-14（18.4%FVTPL金融资产占比相对更低（2.2%）。而股份行及城商行在资产配置上相对更加灵活，股份行、城商行AC金融资产占比分别为金融资产配置比例相对更高，在兼顾利息收入之外，积极博取市场波段收益。农商行的配置上更加均衡，除了AC资产（占比15.8%），更多配置兼具息差收益及交易属性的FVTOCI资产（占比13.6%）。从具体配置的方向来看：1）AC金融资产（占比17.9%主要配置方向基本都是债券类资产（占比17.0%），且主要以利率债为主（14.0%）。其中国有行及农商行除了利率债，还持有更多的金融债，股份行则持有更多的非标类资产，城商行对企业债和非标类资产配置比例更高。2）FVTOCI金融资产（占比6.7%），主要配置方向基本也以债券类资产为主（占比6.6%），但相比AC金融资产，FVTOCI金融资产在利率债、金融债、企业债之间的配比会相对更均衡，占比分别为4.0%、1.4%、0.9%。其中国有行、股份行、农商行除了利率债以外，对金融债的偏好更明显，而城商行则对企业债的配置比例更高。3）FVTPL金融资产（占比4.1%），主要配置方向为基金及债券（占比分别为2.0%、1.6%），债券中以金融债为主（占比0.7%）。其中国有行及农商行主要持有基金和金融债；股份行与城商行对基金的投资偏好更明显，不同的是股份行对利率债配置相对较多，而城商行持有非标类资产更多（此处非标类资产“各类资管计划、债券融资计划、同业理财、其他为单一企业提供债权融资的产品”等，或主要源于准则要求计入FVTPL金融资产，而非从2023年资产配置的变动情况来看：1）从金融三分类情况来看，FVTOCI、AC、FVTPL金融资产占比分别提升0.35pc、下降0.10pc、下降0.25pc，FVTOCI的配置比例已连续两年提升，请仔细阅读本报告末页声明P.2请仔细阅读本报告末页声明或由于近年来债市利率波动较大，银行出于投资策略、盈余管理、收益的可预测性等多方面考虑，加大FVTOCI配置占比。2）从具体品种上看，上市银行整体增配利率债（占比+0.64pc或与2023年10月特殊再融资债券大量发行，银行被动增持相关，其中城商行及股份行占比提升最为明显（分别+1.31pc、+1.14pc）。此外上市银行整体减配非标、基金产品（占比分别-0.37pc、-0.17pc），非标占比下降最多的是城商行（-1.59pc），基金投资比例下降最明显的是城商行和股份行（分别-0.36pc、-0.27pc）。3、哪家银行的投资业务做得比较好？因资产的配置方向、择时能力的差异，各家银行的自营投资能力也呈现一定的差异。为了便于横向比对各家银行的投资能力差异，我们将“投资能力”细化为两个维度，包括“票息收益率”和“资本利得收益率”。1）票息收益率：以持有到期为主赚取“票息收益”的配置盘，溯源来看，票息收益率的高低差异本质上是由底层品种的差异所致，一般而言，利率债配置更高的银行其票息收益率则相对较低，而配置非标类产品/企业债更高的银行其收益率则相对较高。从近四年数据来看，城商行的票息收益率普遍要高于其他类别银行，其中贵阳银行、重庆银行、成都银行等中西部银行的票息收益率相对更高（或与当地政府债及城投债等利率较高相关其次是股份行，其中兴业银行、浙商银行表现更佳，以及农商行中的常熟银行更为2）资本利得收益率：以近期出售或回购为主赚取“资本利得收益”的交易盘，从数据上看，上市银行的资本利得收益率表现出较为明显的周期特征，即2020、2022年为相对低点，2021、2023年为相对高点，预计主要与债市利率走势相关。从近四年的数据来看，各家银行的资本利得收益率出现明显分化，这种分化背后或表明各家银行的择时及资产配置能力有所差异与各家银行交易盘的规模大小也有一定的关系（规模越大、越难做超额）。收益率表现较好且较为稳定的银行包括：国有大行中的交通银行、邮储银行，股份行中的平安银行、浙商银行，城商行中的江苏银行、成都银行等，农商行中的常熟银行。定的偏差。4、“隐藏”在其他综合收益的公允价值变动FVTOCI资产的当期公允价值变动余额在“未终止确认/未重分类”之前主要体现在资产负债表的“其他综合收益”科目，而在FVTOCI终止确认/重分类时，就会将其转入利润表，因此这部分滞留在其他综合收益的“潜在收益/损失”可能成为银行未来利润表改善的潜力点。观察各类型银行每年的投资收益表现及“前期计入其他综合收益当期转入损益”两者之间的关系发现，在投资收益表现相对较差的年份（如20年），银行或许更有动力将其他综合收益中的公允价值变动损益“变现”，转入到利润表的绝对数及比例相对更高，2020、2022年转出比例分别为11.1%、9.4%，而2021、2023年这一比例分别为2.8%、2.8%。从2023年末的数据来看，由于2023年债市收益表现较好，各家银行的FVTOCI资产的公允价值变动余额多数为正，我们以2023年末FVTOCI资产的公允价值变动余额与当年归母净利润进行比较，其中城商行及农商行的“潜在收益”的占比相对更高，其中兰州银行（42.4%）、沪农商行（23.5%）、青岛银行（21.5%）、宁波银行（15.0%）占比更高，对业绩的支撑作用或好于其他银行。风险提示：债市利率大幅上行；非标类资产信用风险上升；银行持有的债券及非标类资产票息无法及时收回。P.3请仔细阅读本报告末页声明一、银行债市投资如何影响利润表？ 4二、哪家银行的投资业务做得比较好？ 8三、“隐藏”在其他综合收益的公允价值变动 风险提示 图表1：金融资产三分类 4图表2：以公允价值计量且其变动计入其他综合收益的金融投资的“公允价值变图表3：上市银行各类金融资产占总资产的比重（2023年末数据） 6图表4：上市银行各类金融资产占总资产的比重变动（2023年末数据） 7图表5：各家上市银行的票息收益率与企业债及非标占比的关系（2023年数据） 8图表6：各家上市银行的票息收益及AC+FVOCI资产明细 9图表7：各家上市银行的资本利得收益及FVTPL+FVOCI资产明细 图表8：各类型银行的投资收益与前期计入其他综合收益当期转入损益的关系（亿元） 图表9：FVTOCI资产未转入损益的公允价值变动与其归母净利润的比值（亿元，2023年数据） P.4请仔细阅读本报告末页声明金融资产分类持有期间收益公允价值变动计入“利息收入”以摊余成本计量的金融投资AC科目：其他综合收益一、银行债市投资如何影响利润表？金融资产分类持有期间收益公允价值变动计入“利息收入”以摊余成本计量的金融投资AC科目：其他综合收益据其业务模式和合同现金流量特征，分为三大类：以摊余成本计量的金融资产（以从不同分类对资产负债表及利润表的影响来看：扣除累计计提的损失准备后的净值反映在资产负债表上。持有期间现金流量为目标又以出售该金融资产为目标，以公允价值计量，以公允价值计量且其变动计入当期损益的金融资产（FVTPL主要目标是近期出图表1：金融资产三分类处置时收益处置时收益计入“投资收益”计入“投资收益”FVTPL计入“公允价值变动净收益”计入“投资收益”FVTPL计入“公允价值变动净收益”计入“投资收益”计入“投资收益”计入当期损益的金融投资 计入其他综合收益的金融投资计入“其他综合收益”计入“利息收入”FVTOCI计入其他综合收益的金融投资计入“其他综合收益”计入“利息收入”FVTOCI转出资料来源：财政部，国盛证券研究所图表2：以公允价值计量且其变动计入其他综合收益的金融投资的“公允价值变动”转出过程（以招商银行数据为例）年初余额年末余额以后将重分类进损益的其他综合收益综合收益的金融投资的“公允价值变动”科目：投资收益 处置以公允价值计量且其变动计入其他综合收益的债务工具3661P.5请仔细阅读本报告末页声明其中国有行、股份行、城商行、农商行占比分别城商行整体配置金融资产的比重要高于其他类型银行，其中杭州银行、宁波银行配置比②非标投资包括“资金信托计划及其他各类资管计划、债券融资计划、同业P.6请仔细阅读本报告末页声明图表3：上市银行各类金融资产占总资产的比重（2023年末数据）工商银行金融以公允价值计量且变动计入当期损益的金融资产以摊余成本计量的金融资产以公允价值计量其他综合收益的资产投资投资投资投资投资投资合计小计债券利率债金融债企业债非标基金小计债券利率债金融债企业债非标投资投资投资投资投资投资26.5%1.8%1.2%0.5%0.5%0.2%-0.4%19.7%19.5%18.2%1.2%0.2%-5.0%4.7%2.8%0.7%1.3%建设银行25.1%0.9%0.2%0.6%0.1%-0.6%0.5%0.6%-5.8%5.7%4.8%0.6%0.3%农业银行28.1%0.9%0.3%0.6%0.0%-0.1%21.2%20.8%20.3%0.4%0.2%-5.5%5.4%3.4%0.3%22.1%0.3%0.6%0.2%-0.3%9.3%0.4%0.5%0.1%9.9%7.9%0.8%交通银行29.2%4.6%0.8%0.6%0.3%0.9%0.3%0.4%6.3%6.1%3.0%2.4%0.8%邮储银行招商银行34.3%5.6%0.0%0.2%0.3%4.0%25.4%25.3%9.4%0.3%3.2%3.2%0.6%0.6%29.0%4.8%2.5%0.5%0.6%0.0%2.2%0.5%0.1%0.8%8.3%8.1%6.1%28.6%6.8%2.0%-0.8%-0.0%4.7%9.6%-0.0%-2.5%9.9%9.7%-0.1%-浦发银行29.7%8.7%0.8%0.2%0.2%0.6%4.8%9.5%0.6%0.3%3.8%6.9%6.8%4.1%0.9%民生银行29.6%4.2%0.6%0.6%0.7%0.2%0.7%2.5%0.6%5.5%5.3%兴业银行32.8%9.4%2.0%0.8%0.6%0.7%5.9%0.9%2.1%4.9%5.7%5.6%2.2%光大银行33.1%6.4%0.4%0.7%0.4%-4.4%----8.3%8.2%4.1%2.4%华夏银行37.7%7.4%2.1%0.1%0.9%0.7%4.6%23.2%0.3%3.6%4.4%7.1%6.9%3.3%2.2%平安银行24.9%8.1%4.3%3.4%0.5%0.4%0.8%3.0%0.1%0.7%3.0%2.7%0.9%0.9%0.2%浙商银行北京银行31.8%7.4%2.5%0.1%0.9%0.1%4.7%6.1%4.7%0.9%3.5%9.7%9.5%3.4%3.4%0.5%34.0%8.4%2.8%0.7%0.7%-5.4%0.5%6.3%7.3%7.3%5.1%南京银行42.5%5.7%0.2%4.0%6.1%7.6%0.7%8.6%8.4%2.2%4.4%宁波银行45.5%4.8%2.6%0.1%2.0%0.5%7.6%--3.7%0.3%3.4%上海银行42.3%4.6%3.3%0.2%0.2%6.9%27.2%26.2%3.7%6.3%3.4%3.3%0.6%贵阳银行39.2%6.5%2.0%0.2%0.2%0.2%4.3%20.2%0.1%0.7%7.9%0.7%0.9%杭州银行47.3%4.5%3.1%0.2%4.7%25.4%23.5%0.2%5.7%2.3%7.3%2.0%江苏银行36.1%4.0%0.3%0.2%7.3%0.3%7.5%7.2%4.6%0.8%成都银行29.5%5.1%-0.0%0.1%2.9%0.1%3.4%2.7%6.4%6.3%6.2%0.1%0.1%郑州银行29.5%6.5%2.0%0.1%0.1%2.3%2.0%0.7%6.6%3.6%3.6%3.1%0.5%0.0%长沙银行41.5%0.7%0.1%0.0%3.4%7.5%24.3%20.8%0.3%4.6%2.0%5.3%5.2%4.7%0.6%0.0%青岛银行37.2%9.6%-0.2%7.2%8.7%7.9%6.4%0.9%0.5%0.6%6.3%5.3%7.0%西安银行40.8%6.7%0.0%0.7%0.4%3.6%33.0%32.2%24.6%2.9%4.6%0.7%0.8%0.5%-0.3%苏州银行35.8%8.7%2.8%0.2%2.5%0.1%0.1%5.7%0.2%0.6%2.7%2.7%5.8%厦门银行29.5%4.5%0.8%0.5%0.0%0.3%-3.7%-0.4%0.1%7.6%0.1%3.9%齐鲁银行41.2%6.1%0.4%0.1%0.1%0.2%3.8%20.8%0.5%7.5%4.4%2.3%重庆银行36.9%3.6%0.6%0.6%-0.6%21.0%0.1%0.2%4.2%2.7%0.6%8.9%兰州银行无锡银行29.3%7.3%0.7%---4.7%7.9%4.9%2.4%-6.7%6.6%5.1%0.1%0.0%31.3%3.6%0.0%---0.0%3.6%0.8%4.2%-8.5%8.4%5.5%2.9%常熟银行26.1%4.2%0.3%--2.6%0.1%2.7%7.4%7.1%3.5%2.7%0.9%江阴银行32.7%9.5%5.2%5.2%---4.3%-----苏农银行30.7%5.1%0.5%----4.6%8.7%0.9%0.1%7.2%3.5%3.5%张家港行32.1%4.6%0.4%-0.0%-0.5%3.6%-0.3%0.5%9.9%4.5%紫金银行20.5%0.2%0.1%-----4.9%4.7%4.4%0.1%0.3%-6.2%6.1%2.8%青农商行36.3%0.9%0.5%0.3%0.1%2.6%6.7%0.6%0.7%0.1%7.9%7.8%4.0%2.0%沪农商行35.5%4.3%3.6%0.1%2.3%0.0%0.7%7.0%5.1%0.1%0.1%4.3%3.7%渝农商行41.6%7.7%5.0%0.1%4.5%0.4%0.2%2.5%22.3%22.1%2.3%2.5%0.4%6.5%4.4%0.6%瑞丰银行32.3%3.2%----0.8%2.4%9.1%-0.9%-3.1%4.1%0.7%26.7%2.2%0.3%0.6%0.1%0.1%0.7%0.4%0.1%6.1%6.0%4.1%股份行30.5%6.9%2.1%0.9%0.6%0.5%0.4%3.9%9.3%0.6%2.4%7.2%7.0%3.0%城商行38.9%3.4%0.8%5.8%2.4%2.9%9.0%8.7%5.3%农商行35.2%5.8%2.9%0.4%2.0%0.5%0.3%2.5%2.3%0.3%5.9%5.4%2.1%上市银行28.8%4.1%0.5%0.7%0.3%0.3%2.0%0.7%0.9%6.7%6.6%4.0%0.9%资料来源：公司财报，wind，国盛证券研究所3）从资产配置的变化来看，2023年上市银行对金融资产的配置力度与2022年基本持P.7请仔细阅读本报告末页声明+1.31pc、+1.14pc上市银行中华夏银行提升比例最高标占比下降最多的是城商行（-1.59pc上市银行中贵阳银行（-6.99pc）、苏州银行图表4：上市银行各类金融资产占总资产的比重变动（2023年末数据）以公允价值计量且变动计入其他综合收益的 金融以公允价值计量且变动计入当期损益的金融资产以摊余成本计量的金融资产金融资产以公允价值计量且变动计入其他综合收益的 合计小计利率债金融债企业债小计利率债金融债企业债小计利率债金融债企业债-0.07%-0.04%-0.07%-0.08%-0.08%-0.01%-0.51%-0.46%-0.08%-0.23%-0.15%-0.07%-0.04%-0.13%-0.03%-0.13%-0.10%-0.02%-0.17%-0.10%-0.05%-0.02%-0.04%-0.01%-0.31%-0.12%-0.09%-0.11%-0.10%-0.22%-0.28%-0.20%-0.04%-0.12%-0.04%-0.04%-1.42%-1.01%-0.18%-0.23%-0.08%-1.25%-0.86%-0.33%-0.03%-0.04%-0.27%-0.01%-0.36%-0.56%-0.04%-0.33%-0.01%-0.15%-0.01%-0.99%-0.49%-0.02%-0.06%-0.43%-0.73%-0.69%-0.14%-0.10%-0.09%-0.09%-0.01%-0.46%-0.64%-0.40%-1.29%-0.03%-0.55%-0.20%-0.16%-0.01%-0.20%-0.79%-0.29%-0.70%-0.53%-0.52%-0.29%-0.27%-1.07%-1.19%-0.42%-1.53%-0.27%-0.26%-1.04%-0.99%-0.47%-0.41%-0.12%-1.25%-1.36%-0.60%-0.62%-0.33%-0.94%-0.08%-0.86%-0.28%-0.27%-0.01%-0.52%-0.01%-0.17%-0.59%-0.52%-0.13%4.53%-1.78%-0.13%-2.71%-0.26%-1.02%-0.63%-0.60%-0.32%-0.59%-0.95%-0.02%-0.51%-0.13%-0.10%-0.35%-0.23%-0.34%-0.12%-0.38%-0.01%-0.12%-0.11%-1.25%-0.10%-0.18%-0.72%-1.61%-0.95%-0.20%-0.01%-0.53%-1.31%-0.18%-1.72%-2.08%-0.12%-2.12%-0.37%-2.15%-0.17%-0.04%-1.75%-2.36%-0.02%-0.69%-1.30%-1.82%-0.91%-0.53%-0.01%-0.71%-0.90%-0.67%-0.03%-0.73%-0.81%-0.07%-0.34%-0.24%-5.21%-0.10%-0.07%-0.26%-7.03%-0.31%-6.73%-0.21%-0.61%杭州银行-0.12%-0.38%-0.66%-1.68%-0.08%-0.99%-0.41%-0.29%-0.01%-0.21%-0.96%-1.12%-0.16%-0.05%-1.11%-0.13%-3.17%-0.76%-0.69%-0.01%-0.60%-0.11%-0.04%-0.56%-3.93%-0.30%-1.34%-2.38%-1.44%-1.06%-0.54%-0.44%-0.15%-0.07%-0.39%-1.11%-1.44%-0.04%-1.01%-0.26%-0.67%-0.20%-0.05%-0.08%-1.73%-0.17%-0.13%-0.18%-1.08%-0.99%-0.01%-0.41%-2.31%-1.13%-0.74%-0.24%-1.52%-3.52%-0.03%-0.52%-0.21%-0.55%-6.87%-6.69%-0.21%-0.02%-6.46%-3.02%-3.40%-1.72%-1.70%-0.41%-2.54%-0.14%-0.01%-0.18%-0.38%-0.24%-0.02%-0.62%-0.71%-0.26%-1.50%-0.45%-0.63%-0.08%-0.60%-0.17%-0.03%-1.59%-1.08%-0.34%-1.20%-0.27%-0.98%-0.22%-0.32%-0.44%-0.02%-0.38%-0.04%-0.51%-0.05%-0.46%-1.08%-0.03%-0.59%-0.04%-0.05%-0.09%-0.41%-0.09%-0.03%-0.09%-0.45%-0.74%-0.26%-0.01%-4.64%-4.61%-0.40%4.74%-0.43%-3.86%-3.77%-1.96%-1.21%-0.52%-0.05%-0.23%-0.10%-0.57%-0.14%-0.01%-0.03%-0.06%-1.70%-1.70%-1.03%-2.19%-0.32%-1.19%-0.74%-0.43%-0.01%-1.02%-0.61%-0.40%-0.20%-0.33%-0.42%-0.06%-0.07%-0.11%-0.09%-0.03%-0.83%-0.07%-0.48%-7.34%-0.54%-5.01%-0.82%-0.94%-0.67%-0.01%-0.01%-0.15%-0.51%-0.51%-0.12%-0.22%-0.10%-0.03%-0.08%-0.01%-0.08%-0.20%-0.08%-0.08%-0.02%-0.07%-0.27%-0.11%-0.17%-0.27%-0.52%-0.03%-0.02%-0.05%-0.24%-0.30%-0.30%-0.36%-0.98%-0.06%-1.23%-0.02%-0.25%-1.86%-1.60%-0.18%-0.39%-0.25%-0.01%-0.11%-0.08%-0.17%-0.10%-0.03%-0.03%-0.28%-0.03%资料来源：公司财报，wind，国盛证券研究所P.8请仔细阅读本报告末页声明票息收益率4.30%4.10%重庆3.90%3.70%3.50%3.30%3.10%无锡2.90%票息收益率4.30%4.10%重庆3.90%3.70%3.50%3.30%3.10%无锡2.90%2.70%2.50%因资产的配置方向、择时能力的差异，各家银行了便于横向比对各家银行的投资能力差异，我们将“投资能力”细注：各家银行债券投资类业务实际贡献的考核还应该包括返税收益、资本金占用、采用上市银行直接披露的以平均余额口径计算的“债券投资收益率”进行比较，从近四溯源来看，票息收益率的高低差异本质上是由底层品种的差异所致，一般而言，利率债配置更高的银行其票息收益率则相对较低，如国有行及农商行，而配置非标类产品更高观察“非标类资产+企业债”在配置盘中的占比与票息收益率的关系，从图上可以直观图表5：各家上市银行的票息收益率与企业债及非标占比的关系（2023年数据）●成都郑州长沙●杭州●常熟州农行1渝农●青农●江苏●●●兴业招行建行招行邮储●民平安●上海-华夏厦门农●瑞丰●港行-5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%企业债+非标投资占比资料来源：公司财报，wind，国盛证券研究所P.9请仔细阅读本报告末页声明图表6：各家上市银行的票息收益及AC+FVOCI资产明细票息收益率AC+FVOCI的资产明细2020202120222023债券投资利率债金融债企业债非标投资其中：企业债+非标投资工商银行3.37%3.29%3.32%3.30%98.3%85.0%7.6%5.7%0.0%5.8%建设银行3.53%3.41%3.39%3.25%98.5%90.2%4.7%3.7%0.0%3.7%农业银行3.51%3.47%3.36%3.28%98.2%88.4%8.1%0.0%中国银行3.10%2.94%2.95%3.16%98.8%84.6%7.4%6.7%0.4%7.1%交通银行3.39%3.25%3.29%3.36%97.0%79.1%4.6%6.2%邮储银行3.63%3.60%3.43%3.22%99.5%36.9%54.4%5.5%6.5%招商银行3.42%3.35%3.24%3.22%96.3%86.0%7.5%2.8%3.3%6.1%中信银行3.67%3.40%3.21%3.00%88.6%0.0%0.3%0.0%浦发银行3.69%3.63%3.54%3.46%81.7%64.4%6.0%24.1%民生银行3.78%3.57%3.33%3.28%96.4%70.2%2.3%兴业银行4.00%3.96%3.66%3.50%79.5%52.4%21.1%37.5%光大银行4.00%3.72%3.48%3.32%96.9%9.1%6.0%0.0%6.0%华夏银行4.33%4.13%3.93%3.34%84.7%60.3%8.4%30.4%平安银行3.04%3.01%2.83%3.11%89.5%73.7%5.7%5.6%浙商银行4.09%4.13%3.89%3.46%87.7%38.9%33.2%24.9%北京银行4.19%4.04%3.70%3.31%77.7%59.8%8.8%9.1%24.6%33.7%南京银行4.35%4.00%3.82%3.49%91.1%55.5%24.5%7.8%宁波银行4.03%3.83%3.46%3.36%86.0%74.7%23.4%上海银行3.80%3.66%3.30%3.21%96.2%56.6%22.6%3.7%26.3%贵阳银行5.39%5.21%4.79%4.31%75.5%67.1%2.7%4.9%24.2%29.1%杭州银行4.24%4.02%3.69%3.58%94.3%66.9%6.0%6.4%26.2%江苏银行4.15%3.97%3.66%3.32%92.4%70.1%4.7%6.3%21.4%成都银行4.71%4.70%4.37%3.86%88.3%73.5%0.4%25.4%郑州银行4.93%4.60%4.10%3.72%72.5%61.2%5.3%6.0%28.6%34.6%长沙银行3.95%3.79%3.68%3.51%87.8%67.5%2.7%6.8%22.4%青岛银行4.16%3.85%3.64%3.35%96.2%46.2%22.7%27.2%2.1%29.3%西安银行3.98%3.84%3.65%3.43%96.7%73.7%8.6%2.8%苏州银行4.19%4.02%3.77%3.67%89.3%51.9%7.8%23.7%9.9%33.6%厦门银行3.23%3.23%3.06%2.99%99.0%81.3%0.5%0.4%齐鲁银行3.82%3.54%3.34%3.14%95.7%71.2%8.0%4.4%重庆银行5.57%5.22%4.58%3.96%86.0%56.9%2.0%27.1%39.8%兰州银行3.70%3.83%3.91%3.73%99.0%42.6%45.1%0.0%无锡银行3.91%3.62%3.18%2.98%97.6%69.0%0.0%常熟银行3.92%3.77%3.57%3.52%90.4%61.2%8.8%25.3%江阴银行3.26%3.07%3.04%3.24%98.1%98.1%0.0%0.0%0.0%0.0%苏农银行3.50%3.74%3.10%2.99%97.9%62.1%0.4%张家港行3.38%3.24%2.81%2.69%96.5%72.8%6.3%3.0%20.4%紫金银行3.04%3.08%2.76%2.72%97.8%52.2%30.4%0.0%青农商行3.82%3.67%3.55%3.34%98.2%78.4%9.5%0.3%沪农商行3.61%3.51%3.35%3.17%98.3%36.0%50.0%0.2%渝农商行4.08%3.87%3.62%3.34%99.2%70.1%9.3%瑞丰银行3.51%3.39%2.90%2.86%97.2%69.5%0.0%国有大行3.42%3.33%3.30%3.26%98.4%81.6%4.4%0.3%4.7%股份行3.77%3.63%3.43%3.30%89.3%52.2%9.2%8.5%城商行4.25%4.05%3.72%3.46%89.0%64.1%9.0%25.6%农商行3.77%3.63%3.39%3.20%98.0%60.0%26.2%上市银行3.60%3.48%3.37%3.29%95.4%72.7%6.6%3.6%资料来源：公司财报，wind，国盛证券研究所P.10请仔细阅读本报告末页声明的数据来看，各家银行的资本利得收益率出现明显分化，这种分化背后或表明各家银行越大、越难做超额）。收益率表现较好且较为稳定的银行包括：国有大行中的交通银行图表7：各家上市银行的资本利得收益及FVTPL+FVOCI资产明细FVTPLFVTPL+FVOCI的资产明细资本利得收益率2023债券投资利率债金融债企业债非标投资基金投资1.61%0.43%0.01%0.70%1.07%2.10%2.14%2.05%1.61%0.43%0.01%0.70%1.07%2.10%2.14%2.05%1.55%2.14%-0.36%-0.52%0.05%-0.48%0.51%2.03%0.97%1.88%1.57%2.11%87.4%89.1%91.6%93.5%71.3%48.7%66.9%52.9%70.5%34.2%17.2%16.8%33.7%14.6%27.1%21.5%5.4%5.0%8.4%9.9%0.2%0.0%0.0%0.0%10.2%5.5%8.4%2.1%2.7%11.8%邮储银行1.81%2.77%2.21%2.40%51.2%13.7%29.1%8.3%3.7%44.4%1.29%2.72%0.95%2.09%80.6%57.2%13.9%9.4%0.2%16.8%0.73%2.04%0.89%2.29%70.6%0.0%5.4%0.0%0.3%27.9%1.43%2.16%0.86%2.23%51.0%31.0%12.0%7.4%3.9%30.9%1.62%1.74%0.67%2.17%74.7%25.2%25.7%23.7%2.3%17.8%0.96%2.63%1.59%2.60%50.5%20.0%14.4%16.2%8.7%38.9%0.98%2.13%0.52%1.68%66.3%31.2%21.2%13.9%0.0%29.8%0.25%2.03%1.04%2.28%61.9%23.5%21.4%17.0%4.8%31.5%1.58%3.15%2.86%2.79%63.1%38.6%11.9%5.8%8.6%26.7%2.33%3.24%2.10%2.13%70.3%20.1%28.9%15.1%0.6%27.4%0.98%2.85%1.07%2.47%64.1%36.7%19.9%7.5%0.0%34.5%1.54%1.86%1.54%2.41%50.3%8.7%29.9%11.6%21.7%27.2%0.98%2.15%1.43%1.99%70.4%51.0%17.9%3.5%25.3%2.55%1.92%1.85%2.17%52.1%17.7%28.8%5.3%45.6%贵阳银行0.52%1.56%0.62%1.60%75.2%64.5%4.9%5.8%22.7%杭州银行0.68%1.76%1.01%1.93%71.0%38.4%23.1%8.1%6.6%21.5%2.35%2.85%1.62%2.89%56.4%32.4%5.7%17.3%0.9%36.7%2.31%3.49%2.50%2.83%69.2%53.6%14.2%0.5%25.0%0.78%3.88%3.30%2.67%55.2%48.4%5.7%23.1%20.2%1.76%2.62%2.26%1.89%36.3%31.5%3.9%0.0%19.5%43.6%-0.17%1.65%0.82%1.48%69.4%22.2%22.1%25.1%4.2%25.3%1.73%2.10%1.90%4.76%25.3%7.3%8.9%8.5%25.7%46.5%3.51%2.72%1.44%2.06%69.7%14.6%21.9%29.3%0.5%28.5%厦门银行0.04%1.56%0.13%1.60%77.0%49.9%0.9%26.2%0.0%22.8%0.34%2.03%0.72%1.66%72.1%37.6%22.4%12.1%8.3%18.8%0.50%1.90%-0.68%3.35%83.0%20.3%7.3%55.5%10.8%3.5%2.01%3.24%1.83%3.73%52.2%10.5%36.1%0.5%33.3%10.4%0.41%1.99%1.84%1.95%69.7%45.6%23.9%0.1%0.0%29.7%0.33%2.26%2.59%3.29%74.9%38.3%26.2%8.0%0.0%22.8%2.46%1.20%1.01%1.79%77.6%77.6%0.0%0.0%0.0%20.6%0.78%2.61%1.17%2.20%74.9%36.6%17.8%17.9%0.0%23.7%0.42%2.93%1.13%1.60%77.9%46.7%8.2%21.1%4.2%16.8%0.03%1.15%0.48%0.86%97.6%39.9%39.2%17.9%0.0%0.0%0.85%2.38%1.82%2.54%48.0%24.7%12.0%11.3%14.2%37.1%0.67%2.20%0.93%1.61%95.6%18.8%55.6%21.2%0.1%3.0%1.66%2.05%0.40%1.35%85.6%34.2%45.9%5.4%0.8%13.0%-0.06%2.33%1.18%2.02%83.3%50.6%14.2%18.5%3.6%11.1%0.81%1.17%1.40%0.68%1.00%2.03%2.37%2.27%0.81%1.17%1.40%0.68%1.00%2.03%2.37%2.27%2.14%2.17%-0.01%1.16%1.41%1.00%0.61%1.73%2.25%2.31%1.72%1.98%85.1%64.7%61.7%84.0%75.1%53.6%27.2%32.4%32.1%41.4%21.5%15.2%15.7%38.2%19.2%10.0%10.9%13.2%13.3%10.9%3.2%6.6%1.9%2.8%8.9%28.0%29.8%13.0%18.2%股份行城商行资料来源：公司财报，wind，国盛证券研究所P.11请仔细阅读本报告末页声明观察各类型银行每年的投资收益表现及“前期计入其他综合收益当期转入损益”两者之图表8：各类型银行的投资收益与前期计入其他综合收益当期转入损益的关系（亿元）投资相关收益前期计入其他综合收益当期转入损益②转出比例①2020202120222023202020212022202320202021202220238.2%5.0%5.4%2.3%-0.3%2.0%53668270694646449.8%2.5%6.6%4.6%6468.9%5.3%5.2%2.8%2,8513,9513,0524,4823172882.8%9.4%资料来源：公司财报，wind，国盛证券研究所图表9：FVTOCI资产未转入损益的公允价值变动与其归母净利润的比值（亿元，2023年数据）股份行城商行建设银行农业银行邮储银行交通银行未转入损益的公允价值变动236.022.223.4归母净利润3326.52693.6862.7927.3占归母净利润的比重5.3% 2.6% 2.5%未转入损益的公允价值变动归母净利润占归母净利润的比重未转入损益的公允价值变动归母净利润杭州银行江苏银行成都银行杭州银行江苏银行成都银行西安银行北京银行长沙银行贵阳银行南京银行上海银行4.0-1.2-10.1-20.3287.5116.724.6256.274.655.6185.0225.4城商行3.6%3.4%-2.1%-5.5%-9.0%沪农商行瑞丰银行张家港行渝农商行紫金银行沪农商行瑞丰银行张家港行渝农商行紫金银行苏农银行常熟银行江阴银行无锡银行青农商行28.617.317.916.217.432.818.922.025.7农商行8.0%7.0%6.6% 3.3% 0.7%0.0%浙商银行华夏银行光大银行招商银行平安银行中信银行兴业银行浦发银行