德意志银行：疫情导致美国银行业利润暴跌

德意志银行：疫情导致美国银行业利润暴跌(2020.05.14) .zhubiaoti {font-family: 黑体;font-size:18pt;line-height:23pt; text-align:center;FONT-weight:800;color:black} .fubiaoti {font-family: 黑体;font-size:14pt;line-height:20pt; text-align:center;FONT-weight:700;color:black} .zhongwen{font-size:12pt;line-height:180%} .yingwen{font-size:13pt;line-height:150%} .tiyao{font-family: 楷体_GB2312;font-size:14pt;line-height:150%} 　　提要：贷款损失准备金激增导致美国主要银行机构今年1季度利润同比下降50%以上。这凸显了新冠疫情引发的经济衰退对银行业造成的严重影响。鉴于美国经济直至3月下旬才停摆，德意志银行预计，该国银行业的业绩将进一步下滑。但美国银行业的表现将继续优于欧洲银行业。 　　（外脑精华·北京）经济衰退正在冲击美国银行业。贷款损失准备金激增导致美国主要银行机构今年1季度利润同比下降50%以上。由于利息收入、手续费及佣金收入的降幅超过了交易收入的增幅，美国银行业1季度收入温和下降。由于客户囤积流动性，1季度美国银行业存款、贷款和其他资产激增。1季度美国银行业资本充足率略降，但仍处于良好税。欧洲银行业整体上可能呈类似发展趋势，从良性交易环境中获益程度可能不及美国银行业，而且可能因资本充足率下降而蒙受了更大损失。盈利率起点远低于美国银行业也在抑制欧洲银行业的发展。 　　经济衰退影响严重 　　美国银行业1季度业绩下滑凸显了新冠疫情引发的经济衰退对银行业造成的严重影响。总体而言，美国7家最大金融机构1季度净收入总额同比下降58%至140亿美元。至少，所有美国银行机构在1季度都保持盈利状态。业绩下滑几乎完全是信贷损失准备金激增至260亿美元（同比增长4.5倍）所致。美国银行业的收入也受到影响，下降3%至1140亿美元，但各项业务的收入状况呈分化态势:一方面，，并购咨询、资产管理和净利息收入等许多业务的收入在近期下滑。自美联储于2019年夏季开始降息以来，美国银行业净利息收入状况已经持续一段时间，但在今年1季度，美联储将利率降至零区间。一些美国银行机构还冲减了证券和短期过桥贷款。另一方面，债券和股票承销业绩良好，而且3月份市场崩盘期间交易活动的异常活跃推动了美国银行业交易收入的激增。 　　美国银行业资产负债表也呈现出一些非同寻常的发展动态。仅在过去3个月中，在交易资产飙升、银行同业存款增长以及客户（主要是企业）耗用信贷额度导致贷款激增推动下，美国银行业资产总额激增10%（并非同比增幅）至12.5万亿美元。与此同时，大量资金流入银行系统，客户风险厌恶情绪上升、减少支出和投资以及抛售股票等风险类资产使得美国银行存款额增长11%。 　　在危机时期，资本和流动性有为受到关注。自2019年年末以来，美国大型银行的满载1级资本充足率下降0.6%至11.5%（未经加权的平均资本充足率）。虽然这一资本充足率并非处于高点水平，但在遭受新冠疫情严重冲击的1季度仅略有下降是美国银行业发展势头良好的一个迹象。通常情况下，根据《巴塞尔协议III》标准方法测算的银行资本充足率通常低于根据先进方法测算的银行资本充足率，而美国监管规则对两项资本充足率中指标更低的一项资本充足率具有约束力。不过，在最近一个季度，一些美国银行机构基于先进方法测算的银行资本充足率低于基于《巴塞尔协议III》标准方法测算的资本充足率。与一级资本充足率类似，1季度美国银行业杠杆率环比下降0.2%至6.6%，仍处于一个非常稳健的水平。此外，从2季度开始，美国银行机构将受益于监管规则放宽，美联储宣布暂时将美国国债及美联储存款排除在银行机构的杠杆率规定之外。在流动性方面，虽然银行尚未公布流动性数据，但美国大型银行似乎拥有巨额缓冲资金，在一些银行机构1季度的贷存比甚至有所上升。 　　这些结果意味着什么呢？首先，就损益表而言，在未来几个季度中，经济衰退可能将对美国银行机构的损益表产生更严重的负面影响，而一些缓解因素可能将会消失。 　　美国经济直至3月下旬才停摆，因而，在1季度的大部分时间中，美国银行业的多数业务基本未受影响。这种情况在2季度及之后的时间里将发生显著变化。宏观经济预测显示，美国银行业贷款损失准备金自3月31日以来已经激增，因此可能会进一步上升，尤其是在过去几年贷款迅猛增长的领域:小型企业贷款、信用卡、汽车和学生贷款。 　　随着资本市场的波动性和交易量下降，美国银行业交易收入将回归至更“正常”的水平，美国银行业的驱动力将失去动能。美联储3月份紧急降息的可能将具有一定的滞后效应，对美国银行业净利差收入和利息收入产生更大影响。 　　其次，就资产负债表而言，近期的资产增长态势可能将缓慢逆转，这是衰退期间的一种典型发展态势。随着市场有所趋稳，以及最初积累流动性缓冲资金的企业在现金流减少期间对大型支出和投资项目的立场变得谨慎，美国银行业交易资产总额将下降。银行机构还需要关注信用评级变动情况，以及增加信贷将对其风险加权资产和资本充足率的影响。与此同时，鉴于失业率迅速上升将导致美国家庭部门遭受收入下降的负面影响，美国银行机构的存款增速可能将显著放缓。 　　第三，随着盈利能力下降，宏观经济前景比3月底时更显黯淡，而且美国银行业风险加权资产呈上升态势，而且美国银行业资本充足率极有可能进一步下降。不过，即便资本充足暂时会降至个位数水平，美国大型银行的资本状况显得良好，而且有能力依靠其巨大潜在盈利能力来平稳补充资本缓冲，尤其是自1个月前停止大规模股票回购以来。 　　美国银行业表现优于欧洲同行 　　虽然美国银行业和欧洲银行业可能会遭受许多相同的影响，但存在一些重大差异： 　　欧洲银行业从近期的资本市场交易热潮中收益的程度可能不及美国银行业。在美国排名前7家的银行中，有5家银行是全球最大的银行机构，可以说是全球最大的5家投资银行。自金融危机以来，这些美国银行机构的市场份额的增长还使得欧洲银行机构的市场份额相应下降。欧洲银行业总体上对投资业务的依赖度更低，而更多依赖传统商业银行的业务，此次危机的性质使得侧重于实体经济的传统商业银行业务将遭受更严重的冲击。 　　欧洲的多数主要银行机构使用内部风险模型来评估风险，并且以《巴塞尔协议III》的先进方法来测算资本充足率。这种方法以及一种不同的商业模式（例如，资产负债表中低风险抵押贷款规模高于美国银行业）使得欧洲银行业的风险强度低于美国银行业，欧洲银行机构的风险加权资产/总资产之比通常远低于美国银行机构。这或许表明，在一场严重衰退期间，欧洲银行业对风险上升的脆弱性更高。实际上，对于几乎全部都同时发布标准方法和先进方法测算的资本充足率的美国银行机构而言，利用先进方法测算资本充足率对1季度资本的影响远高于利用标准方法测算的影响。因此，预计欧洲主要银行机构而言，其一级资本充足率的降幅将远超美国银行机构。 　　虽然各国危机持续的时间可能不会存在显著差异，但时间仍显得至关重要:在欧洲的许多国家，实施封锁的时间比美国提前了数周。因而，1季度经济影响可能超过美国。欧洲银行业1季度业绩的降幅可能将超过美国银行业。 　　所有这些影响都表明（至少在疫情初期）欧洲银行业表现不及美国银行业。不过，重要的是，这种情况出现在欧洲银行业和美国银行业的业绩在过去10年中呈分化趋势的背景下。在过去，美国银行机构的盈利水平已经远超欧洲银行机构。因而，本轮危机对欧洲银行机构构成的风险可能远高于其对美国银行机构构成的风险。 　　英文原文： Initial US bank performance in the corona crisis 　　The economic slump is taking its toll on the banking industry. For the major US banks, profits in Q1 more than halved compared to the prior year, as loan loss reserves jumped. Revenues declined moderately with weakness in interest income and fees and commissions partly compensated for by a jump in trading income. Deposits, loans and other assets surged because clients hoarded liquidity. Banks’ capital ratios fell only somewhat and they remain well capitalised. Banks in Europe may have faced similar trends overall but will probably have benefited less from the supportive trading environment and suffered more from declining capital ratios. They are also handicapped by their much lower starting level in terms of profitability. 　　US banks’ results for the first quarter 2020 offer a first glimpse of the heavy impact of the corona-induced recession on the banking sector. On balance, the seven largest institutions reported a drop in net income of 58% year-over-year, to USD 14 bn. At least, all banks remained profitable. The slump was almost entirely due to a surge in credit loss provisions which rose to USD 26 bn, i.e. 4? times the level a year ago. Revenues suffered also, falling 3% to USD 114 bn but this masks diverging trends: on the one hand, a recent deterioration in many business segments, from a slowdown in M&A advisory to lower asset management fees and pressure on net interest income. The latter had already been visible for some time since the Fed started cutting rates in summer 2019, but in Q1 it slashed them to zero. Some banks also took write-downs on securities and short-term bridge loans. On the other hand, debt and equity underwriting performed well and trading activity during the market crash in March was exceptional, which strongly lifted banks’ trading income. 　　Likewise, on the balance sheet, there were some extraordinary movements. Over the last three months alone, i.e. not annualised, total assets jumped by 10% to USD 12.5 tr on aggregate, driven by surging trading assets, higher interbank deposits and a substantial increase in loans (up 5 ?%) as – mainly corporate – customers drew down credit lines. At the same time, there was an enormous inflow of funds into the banking system, with deposits rising 11% as customers became more risk averse and cut back spending and investments, but also liquidated risky assets such as stocks. 　　In times of crisis, capital and liquidity are particularly in focus. At the top US banks, since year-end 2019, the fully loaded CET1 ratio declined 0.6 pp to 11.5% (unweighted average). Though the level is not outstanding, the only moderate contraction in such a quarter is a sign of strength. Usually, the banks follow the capital ratio under the standardised approach of Basel III which tends to be lower than under the advanced approach, as the lower of the two ratios is the binding one according to US regulation. In the recent quarter, however, at some institutions, the advanced approach capital ratio dropped below the standardised approach ratio. Similarly to CET1, the leverage ratio dipped 0.2 pp compared to December, to 6.6%, which is still a very robust figure. In addition, from Q2 on, banks will benefit from relaxed rules that temporarily exclude US Treasuries and deposits at the Fed from the leverage ratio denominator. Liquidity-wise, although disclosure remains somewhat patchy, the large banks seem to operate with sizeable buffers and the LCR in some instances even increased during the quarter. 　　What do the results imply going forward? 　　-- First, in terms of the P&L, in the next few quarters, the negative repercussions of the recession may be felt more strongly by the banks, while some of the mitigating factors are likely to disappear. 　　The shutdown of the US economy took place only in the second half of March, hence most business lines were hardly affected for most of the first quarter. This will be much different in Q2 and presumably also afterwards. 　　The macroeconomic forecasts e.g. underlying the loan loss provisions have deteriorated since 31st of March and provisions could therefore rise even further, not least in those segments where lending had been growing particularly quickly in the last couple of years: small businesses, credit cards, car and student loans. 　　As volatility and trading volumes in capital markets are partly coming down, trading income will return towards more “normal” levels and the tailwind for banks will lose steam. 　　The Fed’s March emergency rate cuts will probably, with some lag, leave a bigger imprint on banks’ net interest margin and thus interest income than has been visible so far. 　　-- Second, in terms of the balance sheet, the recent asset growth may slowly reverse, as typically happens during a recession. Trading assets should fall as markets calm down to some extent and companies that initially stacked up their liquidity buffers turn cautious about large spending and investment projects in times of weaker operating cash flows. Banks also need to watch rating migration and the impact increased lending will have on their risk-weighted assets and capital ratios. In line with that, deposit growth may slow considerably as households feel the negative effect of reduced income due to rapidly expanding unemployment. 　　-- Third, with profitability diminished, the macroeconomic outlook even darker than at the end of March and risk-weighted assets on the rise, capital ratios are highly likely to dive further. Nevertheless, even if they temporarily slipped into single digits, the large US banks look well capitalised and able to rely on their enormous underlying profitability to replenish capital buffers relatively smoothly, all the more since they stopped their large-scale share buybacks a month ago. 　　Finally, what do the US results signal for banks in Europe? While many of the same effects will play out here as well, there are a number of important differences: 　　-- European banks may have benefited less from the recent trading bonanza in capital markets. Among the top seven US banks are five of the largest – arguably the five largest – investment banks in the world. Their market share has also grown at the expense of their European competitors since the financial crisis. The latter ones overall rely less on investment banking and more on traditional commercial banking which looks set to be hit more due to the nature of the crisis with its focus on the real economy. 　　-- Most major banks in Europe use internal risk models and calculate capital ratios under the Basel III advanced approach. This approach as well as a different business model (e.g., more low-risk mortgages on-balance sheet) result in a lower risk intensity than at US banks – in Europe, risk-weighted assets are typically far lower relative to total assets than in the US. This might indicate a higher vulnerability to an increase in risk during a major recession. In fact, for almost all the US banks that published both the standardised and the advanced approach, the Q1 capital impact was substantially bigger under the advanced approach. Hence, for the major European banks, a larger reduction in the CET1 ratio than in the US has to be expected. 　　-- Whereas the overall length of the crisis will probably not differ a lot across countries, timing still matters: in many countries in Europe, the lockdown took place a few weeks earlier than in the US. Thus, the economic consequences may have been felt more strongly in Q1 already (and potentially a bit less in Q2 or Q3, depending on when the measures can be lifted again). European banks’ earnings could show even greater scars than their US peers have just reported. 　　All these effects point towards (at least initially) weaker bank performance in Europe. Importantly, however, this comes on top of the decade-long divergence in banks’ fortunes on both sides of the Atlantic. US banks had become much more profitable than their peers in the Old World. The current crisis may therefore pose a significantly greater threat to European than to US banks. 来源：德意志银行，作者：Jan Schildbach \t