Risk Quantum/Citizens Financial Group
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Fed ‘tailoring’ led to larger, less capitalised regional US banks
Lenders freed from toughest requirements in 2018 grew balance sheets but saw capital ratios slip