SLR救济 - 为什么我们认为它有帮助

Restricted - External Interest Rates ResearchAmrut Nashikkar+1 212 412 1848amrut.nashikkar@barclays.comBCI, USAndres Mok, CFA+1 212 526 8690andres.mok@barclays.comBCI, USSamuel Earl+ 1 212 526 5426samuel.earl@barclays.comBCI, USAnshul Pradhan+1 212 412 3681anshul.pradhan@barclays.comBCI, USHigh Grade Financials ResearchPeter 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 What is in the proposal?There are two main components to the SLR proposal. First, the Fed proposes modifying theeSLR standards by applying an eSLRbufferat the GSIB parent and each depository institutionsubsidiary equal to half of the GSIB’s method 1 surcharge. This is consistent with ourexpectations (see SLR Relief - Macro and Micro Implications). It also makes changes to TLAC andlong-term debt (LTD) requirements for GSIBs, which also aligned with our expectation. Theproposal is subject to a 60-day comment period.In addition, the Fed has invited comment on additional modifications that would exclude theheld-for-trading (HFT) Treasury securities of broker-dealer subsidiaries of GSIBs from thedenominator of the SLR. The main argument for doing so is that it helps Treasury marketintermediation, and also that measures of market risk and fair value accounting should limit theability of banks to conduct regulatory arbitrage for Treasuries exempt from the leverage rule.The proposal is largely in line with market expectations, although the discussion around theexemption for HFT Treasury securities (around $550bn at the US GSIBs with large broker-dealeroperations) may have driven some widening in longer-tenor spreads. We think that theadditional proposal strengthens the case swap spreads to be wider.Is there excess leverage capacity currently, and willSLR relief truly help?The US GSIBs currently have more SLR capacity than they did the last time SLR reform was aregulatory consideration due to capital growth. This has occurred because the Basel Endgameproposal would have materially increased risk-adjusted capital requirements for the Big 6banks, and they responded by retaining a larger portion of their earnings (Figure 1). Thisincreased their capital base, resulting in better leverage and capital ratios. However, regulatorysupport for implementing Basel Endgame changes as written has waned since the election, andwe now expect any adjustments to capital requirements to be less stringent than originallyproposed. Accordingly, we expect the US GSIBs to release some of the excess capital they builtover the past few years, especially since other components of capital requirements could alsobe loosened.FIGURE 1. CET1 ratios and stock buybacks - Big 6 banksSource: S&P Capital IQ, Bloomberg, Barclays ResearchBanks have already started to react to this less restrictive outlook for capital, with stockrepurchases increasing and CET1 ratios declining from their peak in 4Q24. We believe there is 2 still capitalleftthat was intended to support higher Basel Endgame requirements and expectbanks gradually to distribute some of it to shareholders. Thisshiftwould beindependent of SLRreform. The optics of providing SLR relief while banks are simultaneously reducing their capitalmay make it seem like the former is causing the latter. But that is not true, even if they were tohappen concurrently.Any capital released will have the correspondingeffectof reducing leverage capacity under SLR.Accordingly, we think that computations of pre- and post-SLR changes should be adjusted forexpected capital levels. Consider a stylized example in Figure 2, which shows that currentleverage capacity at the GSIBs would fall by more than 60% if most of their excess capital isreturned to shareholders. In this hypothetical scenario, there would be only about $935bn ofleverage capacity at the GSIBs without reducing SLR requirements. Although this is extreme andunlikely, it illustrates that there is limited SLR capacity on an existing basis given banks' otherconstraints.FIGURE 2. US GSIBs' capacity to add leverage exposure while remaining above requirements if USregulators reduce the eSLRbufferData as of 1Q25.Source: S&P Capital IQ, Y-9C filings, Barclays researchSLR relief would more than compensate leverage capacity for even a significant drawdown oncapital. The right side of Figure 2 shows that SLR relief would create almost $5trn of additionalleverage capacity for low risk-weight assets. This calculation already assumes that thenumerator of SLR (Tier 1 capital) is reduced through repurchases of common stock, as opposedto SLR relief being the catalyst for the capital reduction. In other words, our incrementalcapacity estimate already assumes (punitively) that the first preference for capital is buybacks.Capacity Estimates in the ProposalThe proposal released today provided its own estimate of the incremental capacity created bythe recommended changes. The approac