在利差缩窄时评估利率风险

Restricted - External Peter Troisi+1 212 412 3695peter.troisi@barclays.comBCI, USJustin Moreno+1 212 526 4074justin.moreno@barclays.comBCI, USIshika Goyal+1 212 526 3789ishika.goyal1@barclays.comBCI, US FIGURE 3. NIM Change from +100bp Upward Shock in RatesCCFGNTRS TFCNIM Change - 1Q25Trade Idea•Swap out of FITB 4.337% of 2033, into HBAN 5.709% of 2035.We see opportunity to moveinto banks that are more neutral to rates, without sacrificing much carry. HBAN 5.709% of2035 holdco seniors trade about 10bp behind peer FITB 4.337% of 2033 despite its NIM beingless dependent on the path of rates. We recommend buying HBAN 5.709% 2035s, quoted at ag-spread of about +135bp ($99) and selling FITB 4.337% of 2033, quoted at a g-spread ofroughly +125bp ($93).Liability-Sensitive Banks Could See NIM Compression if Rates Spike AgainHigher interest rates could cause bank funding costs to increase without being fullyoffsetbyhigher asset yields—thereby compressing the spread between the two. When a bank's assetsreprice faster than its liabilities, it is "asset sensitive," (ie, in that scenario its NIM would expand,all else equal). Most larger cap banks remain modestly asset sensitive, although by a smallerdegree than pre-SVB, as the industry has become more careful about interest rate risk sincethen. On average, large cap banks report their net interest margin (NIM) would expand by about3bp in an upward rate shock scenario on average, about 30% less than their positioningentering 2023 (Figure 3). RFKEYBACHBAN USBBKPNCMTB ALLY FITB CMANIM Change - 4Q222 FIGURE 4. Sensitivity of Revenue to Interest RatesRATES UPRATES UPRATES DOWNRATES DOWNChangeImpactChangeImpactChangeImpactChangeImpactFinancial Measure(bps)(%)(bps)(%)(bps)(%)(bps)(%)Net FinancingRevenue+200(0.15)+100(0.16)--(100)(0.37)Net Interest Income+200+2+100+1.49(200)(8.76)(100)(3.64)Net Interest Income+200+1+200+0.57(200)(8.09)(200)(8.09)Net Interest Income+200+5+100+2.20(200)(6.44)(100)(3.36)Net Interest Income+200+2.20+100+1.00(200)(2.10)(100)(1.00)Net Interest Income+200(4)+100(2.00)(200)+1.00(100)+1.00Net Interest Income+200+12.30+100+5.90(200)(11.40)(100)(6.10)Net Interest Income+200(3.54)+100(1.72)(200)+1.15(100)+0.84Net Revenue & PrefDivd+200+0.21+100+0.16(200)(0.74)(100)(0.40)Net Interest Income+200+1.60+100+0.50(200)(1.40)(100)(0.50)Net Interest Income+200+4.55+100+2.33(200)(5.08)(100)(2.33)Net Interest Income+200+1--(200)(0.39)--Net Interest Income+200(0.52)+100(0.01)(200)(0.45)(100)(0.17)WM Net InterestIncome+200+7.33+100+3.71(200)(9.08)(100)+4.08Net Interest Income+200+3+100+1.62(200)(4.82)(100)(2.13)Net Interest Income+200+0.00--(200)(1.20)--Net Interest Income+200+1+100+0.56(200)(1.62)(100)(0.88)Net Interest Income--+100+10.81--(100)(9.96)Net Interest Income+200+2--(200)(2.40)--Net Interest Income+200+0.95+50+0.15(200)+0.14(50)+0.26Net Interest Income--+100+3.30(200)(8.46)(100)(3.92)Net Interest Income+200+8+100+3.90(200)(8.20)(100)(4.10)In general, higher rates would be modestly NIM positive for most larger cap banks such asJPM, BAC and WFC. That scenario would be less positive for larger regionals overall and couldbe earnings negative for liability-sensitive banks (ie, NIM would contract if rates increased) suchas ALLY, FITB and CMA. For smaller regionals, deposit pricing and competition could be evenmoredifficulttooffsetwith higher asset pricing.Fixed Asset DevaluationThe regional bank crisis of 2023 highlighted the risks to lenders of owning interest-sensitiveassets, such as fixed income securities. Banks want and need to own securities portfolios from aregulatory perspective to meet liquidity requirements (see US Money Markets and US HG Banks:Monetizing Liquidity). Most of them are able to withstand the MTM on their portfolios (Figure 5)when Treasuries selloffbecause they are not forced sellers. That said, market participants haveshown a sensitivity to this risk given how much it contributed to the bank failures two years ago.3 FIGURE 6. AFS and HTM Portfolios ($ billions as of 1Q25)Available for Sale (AFS)Unrealized Gain(Loss)%DiffAmortized Cost(on B/S)($3.4)-13%$4.7($3.0)-1%$550.8$454.4($1.2)-1%$48.5($1.3)-1%$220.5$205.3($1.8)-5%$8.5($2.5)-14%$0.0($0.4)-1%$10.3($3.7)-9%$11.2($0.8)-1%$78.7($2.7)-9%$16.3($3.0)-1%$265.2$242.3($3.1)-7%$7.2($2.9)-3%$59.5Source: FDIC, Barclays ResearchRegulators are also more aware of this risk and have proposed changing rules to account for it.Most lenders have grown their capitalbufferssince 2023, so there would be more balance sheetprotection against MTM in a potentially higher interest rate environment. Regulators haveproposed calculating regulatory capital ratios including theeffectof securities MTM for non-GSIB banks with total assets up to $100bn (see Basel Endgame Re-Proposal Coming Soon, 10September 2024). We expect this specific proposed change to become a final rule. Held to Maturity (HTM)TCE RatioFairvalueUnrealized Gain(Loss)%DiffTCEUnrealized Gain(Loss) as% TCE1Q25LessUnrealHTMLosses(AT)Diff$4.7$0.00%$1