"巴克莱银行业美股一季度预览及时事分析"

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Barclays | U.S. Large-Cap Banks

23 May 2019 13

consumer loans, due to the difference between loss emergence periods currently

used versus the remaining life of the asset required under CECL. PNC will continue to

refine its estimates throughout 2019, as CECL models and techniques are implemented

and the results are vetted. PNC continues to believe that total credit loss reserves will

increase at the adoption date and that the magnitude of the increase will depend

upon the nature and characteristics of the portfolio at the adoption date, as well as

macroeconomic conditions and forecasts at that date.

 RF – RF’s cross-functional implementation team, which is co-led by Finance and Risk

Management, has developed a project plan that results in running a CECL parallel

production during 2019 and the adoption of the standard in 1Q20. Key project

implementation activities for 2019 include finalization of models, the qualitative

framework, and the production process; completion of documentation, policies and

disclosures; development of supporting analytics; and process and control testing. The

project implementation plan also establishes a parallel processing timeline which began

with a limited parallel run in 1Q19. The 1Q19 limited parallel run included running,

validating and reconciling all models. However, the qualitative framework and certain

internal controls have not been fully developed and therefore were not included in the

1Q19 parallel run. Parallel runs will be enhanced throughout the year to include the

qualitative framework, supporting analytics, end-to-end governance, internal controls

and disclosures. RF provides updates to senior management and to the Audit

Committee and Risk Committee of the Board of Directors. These communications

provide an update on the status of the implementation as discussed above. Adoption of

the standard may result in an overall material increase in the allowance for credit

losses given the change from accounting for losses inherent in the loan portfolio to

accounting for losses over the remaining contractual life of the portfolio. However,

the impact at adoption will be influenced by the portfolios’ composition and quality at

the adoption date as well as economic conditions and forecasts at that time. Based on

initial modeling, the consumer loan portfolios are expected to experience an increase

due to longer-dated loans in products such as residential first mortgages and home

equity lending products. Additionally, there could be increases or decreases in the

allowance in certain other loan portfolios at adoption. RF expects no material allowance

on held to maturity securities because most of this portfolio consists of agency-backed

securities that inherently have an immaterial risk of loss. Additionally, RF expects no

material impact to available for sale securities.

 USB – In June 2016, the FASB issued accounting guidance, effective for USB no later

than January 1, 2020, related to the impairment of financial instruments. This guidance

changes existing impairment recognition to a model that is based on expected losses

rather than incurred losses, which is intended to result in more timely recognition of

credit losses. This guidance is also intended to reduce the complexity of current

accounting guidance by decreasing the number of credit impairment models that

entities use to account for debt instruments. A modified retrospective approach is

required at adoption with a cumulative effect adjustment to retained earnings as of the

adoption date. The guidance also requires additional credit quality disclosures for loans.

USB is currently evaluating the impact of this guidance on its financial statements,

and expects its allowance for credit losses to increase upon adoption. The extent of

this increase will continue to be evaluated and will depend on economic conditions and

the composition of USB’s loan portfolio at the time of adoption.

 WFC – Based on its portfolio composition as of 1Q19, and the current economic

environment, WFC currently estimates an overall decrease in its allowance for credit

losses (ACL) for loans in the range of $0 to $1bn. The reduction reflects an expected

decrease for commercial loans, given their short contractual maturities, partially offset

Barclays | U.S. Large-Cap Banks

23 May 2019 14

by an expected increase for longer duration consumer loans. This expected reduction to

WFC’s ACL does not include the impact of recently issued FASB guidance to consider

subsequent increases in fair value of collateral for collateral dependent loans.

Application of this guidance is expected to result in a further reduction to WFC’s

ACL of approximately $1.5bn, substantially all of which relates to residential

mortgage loans that were previously written down below current recovery value

estimates. WFC will continue to evaluate and refine the results of its loss estimates

throughout 2019. WFC will recognize an ACL for held-to-maturity and available-for-sale

debt securities. The ACL on available-for-sale debt securities will be subject to a

limitation based on the fair value of the debt securities. Based on the credit quality of

WFC’s existing debt securities portfolio, WFC does not expect the ACL for held-to-

maturity and available-for-sale debt securities to be significant. The ultimate effect of

CECL on WFC’s ACL will depend on the size and composition of its portfolio, the

portfolio’s credit quality and economic conditions at the time of adoption, as well as any

refinements to WFC’s models, methodology and other key assumptions. At adoption,

WFC will have a cumulative-effect adjustment to retained earnings for WFC’s change in

the ACL, which will have an impact on WFC’s capital. A decrease in WFC’s ACL will

result in an increase to WFC’s regulatory capital amounts and ratios. Federal banking

regulatory agencies have provided relief for an initial capital decrease from the Update

by allowing a phased adoption over four years, on a straight-line basis.

FIGURE 12

CECL Illustration ($ billions)

Source: Barclays Research, Company reports, and S&P Global Market Intelligence

$bn Source Loans Current Pro forma Change Change Current Pro forma Change Per Shr % of TBV % of RWA

ALLY Barclays $130.1 $1.29 $1.80 $0.52 40% 0.99% 1.39% 0.40% $1.00 3.0% 0.28%

BAC Company $945.6 $9.58 $11.49 $1.92 20% 1.01% 1.22% 0.20% $0.15 0.8% 0.10%

BBT Barclays $149.1 $1.56 $1.95 $0.39 25% 1.05% 1.31% 0.26% $0.40 1.7% 0.17%

BK Barclays $53.5 $0.15 $0.15 $0.01 5% 0.27% 0.29% 0.01% $0.01 0.0% 0.00%

C Company $682.3 $12.33 $15.41 $3.08 25% 1.81% 2.26% 0.45% $1.04 1.6% 0.18%

CFG Barclays $117.6 $1.25 $1.56 $0.31 25% 1.06% 1.32% 0.26% $0.53 1.8% 0.18%

CMA Barclays $50.3 $0.65 $0.68 $0.03 5% 1.29% 1.35% 0.06% $0.16 0.4% 0.04%

COF Barclays $240.3 $7.31 $10.24 $2.93 40% 3.04% 4.26% 1.22% $4.90 6.7% 0.79%

FITB Barclays $109.8 $1.12 $1.39 $0.28 25% 1.02% 1.27% 0.25% $0.33 1.8% 0.16%

GS Company $83.8 $1.11 $1.84 $0.72 65% 1.33% 2.19% 0.86% $1.50 0.8% 0.10%

HBAN Barclays $75.1 $0.76 $0.96 $0.19 25% 1.02% 1.27% 0.25% $0.14 1.8% 0.18%

JPM Company $956.2 $13.53 $18.27 $4.74 35% 1.42% 1.91% 0.50% $1.13 2.0% 0.24%

KEY Barclays $90.2 $0.88 $1.10 $0.22 25% 0.98% 1.22% 0.24% $0.17 1.5% 0.14%

MS Barclays $101.5 $0.26 $0.32 $0.06 25% 0.25% 0.31% 0.06% $0.03 0.1% 0.01%

MTB Barclays $88.6 $1.02 $1.27 $0.25 25% 1.15% 1.44% 0.29% $1.46 2.1% 0.21%

NTRS Barclays $30.6 $0.11 $0.13 $0.02 15% 0.37% 0.43% 0.06% $0.06 0.1% 0.02%

PNC Barclays $232.3 $2.69 $3.37 $0.67 25% 1.16% 1.45% 0.29% $1.17 1.5% 0.16%

RF Barclays $84.4 $0.85 $1.07 $0.21 25% 1.01% 1.26% 0.25% $0.16 1.7% 0.16%

STI Barclays $155.2 $1.64 $2.05 $0.41 25% 1.06% 1.32% 0.26% $0.73 2.0% 0.17%

STT Barclays $23.3 $0.07 $0.08 $0.01 15% 0.30% 0.35% 0.05% $0.02 0.1% 0.01%

USB Barclays $287.7 $3.99 $4.99 $1.00 25% 1.39% 1.73% 0.35% $0.49 2.1% 0.21%

WFC Company $938.3 $9.90 $7.92 -$1.98 -20% 1.06% 0.84% -0.21% -$0.34 -1.0% -0.13%

Median 25% 1.05% 1.32% 0.26% 1.6% 0.16%

Reserve

Reserve/Loans

Impact

Barclays | U.S. Large-Cap Banks

23 May 2019 15

Foreign Exposure

Brexit

Verbiage around the UK Referendum increased significantly with the 2Q16 Form 10-Q,

though most have not materially increased numerical disclosures. Recall, the UK

Referendum was held on June 23, 2016, which resulted in a majority vote in favor of exiting

the EU. This situation has been very fluid ever since.

Many international banks operate substantial parts of their EU business from entities based

in the UK. Upon the UK leaving the EU, the regulatory and legal environment that would

then exist, and to which the global company’s UK operations would then be subject, will

depend on, in certain respects, the nature of the arrangements agreed with the EU and

other trading partners. No one would hazard to hypothesize what these arrangements

would look like, though they are not expected to threaten the viability of business units or

companies’ ability to serve clients across the EU and in the UK. However, it is possible that

under some scenarios, changes to a company’s legal entity structure and booking model

strategy would be required and certain operations might have to be restructured. This

could result in a less efficient operating model across European legal entities.

BAC – A referendum held in the UK in 2016 resulted in a majority vote in favor of exiting the

European Union (EU). In March 2017, the UK notified the EU of its intention to withdraw

from the EU. In April 2019, the deadline for the U.K.’s withdrawal from the EU was extended

to October 31, 2019. The U.K.’s withdrawal could occur sooner if the UK passes a

withdrawal agreement prior to the deadline. Negotiations between the UK and the EU

regarding the terms and conditions of the withdrawal are ongoing. BAC conducts business

in Europe, the Middle East and Africa primarily through its subsidiaries in the U.K.,

Ireland and France. In connection with the U.K.’s intention to withdraw from the EU, BAC

has implemented the following changes to how BAC operates in the region, including

establishing a bank and broker-dealer in the EU. Bank of America Merrill Lynch International

Designated Activity Company (BAMLI DAC), BAC’s main banking entity in Ireland, was

established in late 2018 through the merger of two entities. BAMLI DAC provides banking

services in the European Economic Area, the Middle East and Africa directly and through its

branch network. Reliance on the EU’s cross-border merger directive enabled BAMLI DAC to

migrate client positions with decreased legal complexity and operational risk. BofA

Securities Europe SA (BofASE), a newly formed investment firm in France, was set up to

deliver investment services in the European Economic Area excluding the UK and is now

operational. Merrill Lynch International (MLI) continues to be BAC’s primary investment

firm in the UK BANA, including its London branch, continues to conduct operations in the

EU and the UK These changes will enable BAC to continue to service its clients with minimal

disruption, retain operational flexibility, minimize transition risks and maximize legal entity

efficiencies, independent of the ultimate outcome and timing of the withdrawal. To facilitate

client readiness and mitigate operational risk, BofASE and BAMLI DAC continue to execute

internal and client related testing activities across product and business lines. Migration of

client activity to BofASE and BAMLI DAC began in February and March 2019, respectively.

While BAC has taken measures to minimize operational disruption and prepare for various

potential outcomes of the U.K.’s withdrawal from the EU, the preparedness of BAC’s

counterparties and the relevant financial markets infrastructure remain outside of BAC’s

control. The global economic impact of the U.K.’s withdrawal from the EU remains uncertain

and could result in regional and global financial market disruptions. In preparation for the

withdrawal, BAC will continue to assess potential risks, including operational, regulatory and

legal risks.

BK – The United Kingdom was scheduled to withdraw from the European Union on March

29, 2019. However, the withdrawal agreement reached between the EU and UK has been

rejected multiple times by the UK House of Commons. EU leaders and the UK government

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