2022-12-11-瑞士信贷集团-US_Large_Cap_Banks_10页_393kb

Summary of US Large Cap Banks: GSIB Surcharge Scores and Valuation Analysis (3Q22 Update)

Core Content

This document provides an update on the GSIB (Global Systemically Important Bank) surcharge scores for US Large Cap Banks as of September 30, 2022, and discusses the implications for capital requirements and valuation methodologies for several banks.

GSIB Surcharge Scores and Capital Requirements

• The GSIB surcharge is calculated using year-end metrics, with changes in surcharge levels taking effect either immediately (for decreases) or two years later (for increases).
• As of 3Q22, most banks' GSIB surcharge scores are consistent with year-end 2021 levels, indicating that the incremental declines are not yet significant enough to reduce capital requirements.
• State Street is an exception, with a surcharge level of 1.0%, in line with its publicly stated guidance, due to its participation in the Money Market Mutual Fund Liquidity Facility (MMLF) program.
• Goldman Sachs aims to manage its surcharge to 3.0%, but its 3Q22 score is 30 points above this target, requiring active balance sheet management in 4Q22.

G-SIB Recalibration and Regulatory Outlook

• The Fed has not made any changes to the G-SIB Method 2 recalibration coefficients since implementation seven years ago, despite the potential for economic growth to affect systemic risk scores.
• There is uncertainty about whether the Fed will continue to raise capital requirements for large banks or if there will be any recalibration as part of the "Basel III end game."
• A "holistic review" of capital requirements is ongoing, with more details expected in 1Q23.

Valuation Methodologies and Target Prices

Valuation for each bank is based on a weighted average of three scenarios:

1. Blue Sky Scenario (10% weight): Discounting of incremental earnings as if they will be dividend out over time.
2. Downside Scenario (40% weight): Applying a multiple to the 2023E tangible book value.
3. Base Case DCF Analysis (50% weight): Using a cost of capital and terminal growth rate.

Bank-Specific Valuation and Ratings

Key Risks

• Macro and Credit Risks: Fluctuations in the economic environment, yield curve, credit quality, and market volatility.
• Regulatory and Capital Requirements: Changes in capital rules, surcharge increases, and heightened oversight.
• Management and Competitive Dynamics: Succession plans, ability to return/deploy capital, and competitive positioning.
• Acquisition Integration: Risks associated with merging and integrating new businesses.
• Operational and Profitability Risks: Expense management, litigation costs, and profitability improvement initiatives.

Analysts and Contact Information

• Susan Roth Katzke: 212325 1237, susan.katzke@credit-suisse.com
• Jill Shea: 2123258401, jill.shea@credit-suisse.com

Rating Definitions

• Outperform (O): Expected total return to outperform the relevant benchmark.
• Neutral (N): Expected total return to be in line with the relevant benchmark.
• Underperform (U): Expected total return to underperform the relevant benchmark.
• Restricted (R): Certain communications are restricted due to legal or regulatory constraints.
• Not Rated (NR): No investment rating or view is provided at this time.
• Not Covered (NC): No ongoing coverage is provided for the company.

Sector Weightings

• Overweight: Sector fundamentals and valuation are favorable.
• Market Weight: Sector fundamentals and valuation are neutral.
• Underweight: Sector fundamentals and valuation are cautious.

Summary of Rating Distribution

This document highlights the current state of GSIB surcharge scores and the associated capital requirements for US Large Cap Banks, along with valuation methodologies and ratings for each bank, providing insights into their financial health and future performance expectations.