david hendler head of financial services - americas [email protected] banks: alm &...
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David Hendler
Head of Financial Services - Americas
Banks: ALM & Interest Rate RiskPresentation to Capital Markets Credit Analysts Society
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
2Q10 4Q10 2Q11 4Q11 2Q12 4Q12 2Q13
Cost of Deposits (LHS)Yield on Earning Assets (RHS)Net Interest Margin (RHS)
22
Source: SNL, CreditSightsRepresents median of CreditSights’ bank universe
Net Interest Margin – Pressure Point
3
Securities Growing as Yields Decline
Source: SNL, FFIEC, CreditSightsSecurities as % of total assets represents aggregate of CreditSights’ bank universe.As of 2Q13.
10%
12%
14%
16%
18%
20%
22%
24%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012
Securities as % of Total Assets (RHS)
Avg. 10Y Treasury Yield (LHS)
3.4%3.2%
2.2%2.0% 1.9% 1.8%
0.7%
3.0% 3.0%
2.6% 2.5% 2.4% 2.3% 2.3% 2.3% 2.2% 2.1%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
WFC BAC C JPM STT BK NTRS FITB PNC STI COF ZION BBT KEY RF CMA USB
Big Banks
Processor Banks
Regional Banks
4
Securities Portfolio Yield
Source: SNL, FFIEC, CreditSightsAs of 2Q13
85%
48%43%
20%
49%
26%22%
99% 96%
82% 82% 80% 79%70%
61% 60%
10%
0%
20%
40%
60%
80%
100%
BAC WFC JPM C BK STT NTRS KEY CMA STI USB BBT RF COF PNC FITB ZION
BigBanks
Processor Banks
Regional Banks
55
Source: SNL, Company reports, CreditSightsAs of 2Q13
MBS as % of Securities
0.0 Yrs
0.5 Yrs
1.0 Yrs
1.5 Yrs
2.0 Yrs
2.5 Yrs
3.0 Yrs
WFC STT USB PNC COF BBT STI KEY FITB
QoQ ChangeYoY Change
6
Duration Trends
Source: Company reports, CreditSightsChange in years as of 2Q13. Duration measures vary by companySorted from left to right by size of securities portfolio
-40%
-30%
-20%
-10%
0%
10%
20%
30%
1Q13 2Q13 1Q13 2Q13 1Q13 2Q13 1Q13 2Q13
Rate Variance
Volume Variance
C BAC JPM WFC
7
Rate/Volume Variance Trends: Big Banks
Source: Company reports, SNL, CreditSights
11%
22%50%
$0
$1,000
$2,000
$3,000
$4,000
$5,000
$6,000
2Q13 1Q13 2012
IRR Derivatives Impact to NII
Pre-tax Income ex-IRRDerivatives
88
Source: Company reports, CreditSightsIn $ mn
BofA IRR Derivatives Impact
9
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