Analysis Report on the Volatility of CITIC Securities' Proprietary Trading Business

Based on public financial data, I have systematically analyzed the volatility characteristics of the proprietary trading business of CITIC Securities Co., Ltd. (Stock Code: 600030.SH).

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The securities investment business (proprietary trading business) of CITIC Securities is one of the company’s core businesses. According to the 2024 annual report data, the company’s securities investment business achieved operating revenue of

in 2024, a significant year-on-year increase of 240.46%, accounting for 37.69% of consolidated operating revenue[1]. This revenue scale hit a new high in recent years, mainly driven by increased investment income from the recovery of the capital market in 2024.

Looking at the revenue trend over the past five years, the proprietary trading business shows obvious cyclical characteristics:

• 2020
  : RMB 17.981 billion (high market volatility during the pandemic)
• 2021
  : RMB 12.335 billion (31.40% year-on-year decrease)
• 2022
  : RMB 6.941 billion (43.73% year-on-year decrease, the lowest in recent years)
• 2023
  : RMB 7.061 billion (1.73% slight year-on-year increase, beginning to stabilize)
• 2024
  : RMB 24.04 billion (240.46% sharp year-on-year surge, hitting a record high)

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Indicator	Value	Interpretation
Average Revenue	RMB 13.672 billion	Average level over the past five years
Revenue Standard Deviation	RMB 7.363 billion	High degree of dispersion
Coefficient of Variation (CV)	53.86%	Categorized as a high-volatility business
Highest Revenue	RMB 24.04 billion (2024)	Peak value
Lowest Revenue	RMB 6.941 billion (2022)	Trough value
Range Ratio	125.07%	Extremely large fluctuation range

Year	Year-on-Year Growth Rate
2021	-31.40%
2022	-43.73%
2023	+1.73%
2024	+240.46%

The standard deviation of the growth rate is as high as

, indicating extremely poor annual stability of the proprietary trading business revenue, which shows characteristics of sharp ups and downs.

In contrast to the sharp fluctuations in annual revenue, quarterly net profit performance is relatively stable:

• Average Quarterly Net Profit:
  RMB 5.426 billion
• Quarterly Standard Deviation:
  RMB 0.473 billion
• Quarterly Coefficient of Variation: 8.72%
  (categorized as low volatility level)

The quarterly net profits in 2024 were: Q1 RMB 4.959 billion, Q2 RMB 5.611 billion, Q3 RMB 6.229 billion, Q4 RMB 4.905 billion[2], showing certain seasonal characteristics, but the overall fluctuation is controllable.

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According to the 2024 annual report, all risk control indicators of CITIC Securities’ proprietary trading business meet regulatory requirements[1]:

Risk Control Indicator	2024 Value	Regulatory Ceiling
Proprietary Equity Securities and Their Derivatives / Net Capital	25.81%	100%
Proprietary Non-Equity Securities and Their Derivatives / Net Capital	348.53%	500%
Risk Coverage Ratio	213.06%	≥100%
Capital Leverage Ratio	15.06%	≥9.6%

Judging from the risk control indicators, the overall risk of the company’s proprietary trading business is controllable. The proportion of equity investments is relatively low (only 25.81%), while the proportion of non-equity investments is relatively high (348.53%), reflecting a relatively prudent proprietary trading strategy.

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The main reasons for the high volatility of CITIC Securities’ proprietary trading business include:

1. Market Cyclical Factors
   : Proprietary trading business revenue is highly correlated with the trend of the capital market. The market downturn in 2022 led to a sharp decline in revenue, while the market recovery in 2024 pushed revenue to a record high.
2. Investment Income Recognition Method
   : The income of securities companies’ proprietary trading business mainly comes from securities trading spreads and dividend income, which is significantly affected by market conditions.
3. Business Structure Factors
   : CITIC Securities has a large-scale proprietary trading business, so the absolute amount change is correspondingly large when the market fluctuates.
4. Asset Allocation Strategy
   : The company focuses on fixed-income investments (accounting for 348.53% of net capital). Although this reduces the risk of equity fluctuations, the overall return is still affected by changes in market interest rates and credit environment.

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:

• CITIC Securities’ proprietary trading business is a
  high-volatility business
  with a coefficient of variation of 53.86%, far exceeding the volatility level of general brokerage business of securities firms
• Annual revenue fluctuates greatly, ranging from RMB 6.9 billion to RMB 24 billion, with a range ratio of 125%
• However, quarterly profitability is relatively stable (CV of only 8.72%), indicating that the company has a certain ability to smooth earnings
• Risk control indicators are sound, and the business is operated in a compliant and steady manner

: When evaluating the investment value of CITIC Securities, investors should fully consider the impact of the high volatility of the proprietary trading business on performance. Especially in years with poor market conditions, the revenue of the proprietary trading business may decline sharply, which will obviously drag down the company’s overall performance.

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[1] 2024 Annual Report of CITIC Securities Co., Ltd. (https://www.cs.ecitic.com/newsite/tzzgx/cwbgyzy/cwbg/202503/P020250404025054446198.pdf)
[2] 2024 Third Quarterly Report of CITIC Securities Co., Ltd. (https://www.cs.ecitic.com/newsite/tzzgx/cwbgyzy/cwbg/202410/P020241030293947747597.pdf)
[3] 2025 Performance Express Announcement of CITIC Securities Co., Ltd. (https://www.cs.ecitic.com/newsite/tzzgx/ggyth/gg/aggg/202601/P020260114648034130101.pdf)

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: The above chart shows the annual trend, growth rate, quarterly net profit performance and summary of volatility indicators of CITIC Securities’ proprietary trading business revenue from 2020 to 2024, intuitively presenting the high-volatility characteristics of the proprietary trading business.