大型銀行業(yè)：宏觀信號(hào)喜憂參半支出停滯

1、Large Cap BanksCredit Update: Mixed Macro Signals, Spending Stagnating; Reserve Models Need Shift?Recent macro signals have been mixed, hence, the outlook for the economy and credit quality remains uncertain. Key points: 1) unemployment is better, but importantly, permanent unemployment continues to

2、 rise with more layoff announcements, permanent unemployment is likely to continue to rise. Consumer spending has been stagnating, and if it does not improve, this may drive more layoffs (which in turn would likely continue to hurt spending), while pressure on profitability in other industries is li

3、kely to add to unemployment. As the benefit from stimulus checks disappears and some of those returning to work see lower paychecks, spending, and potentially ability to make debt payments for some borrowers, would be hurt. 2) Early credit indicators are mixed and heavily masked by benefit of stimul

4、us/supplemental unemployment benefits. As more loans come off forbearance and impact of stimulus benefits wears off, their performance will be key. 3) Credit rating downgrades remain high, but trends mixed leveraged loan downgrades have slowed, but CLO downgrades have accelerated. 4) Looking to 3Q r

5、eserves, impact of one key input to the CECL model, the unemployment rate, is unclear latest unemployment rate is below CECL assumptions at many of our banks and Moodys forecast, which may imply no more reserve build. However, key is whether unemployment is a leading or lagging indicator. If spendin

6、g is stagnating and unemployment benefits continue to dwindle, banks may need to shift CECL models to give greater weight to other factors, including qualitative ones. In our view, there is much uncertainty still, and some banks could have some further reserve builds, albeit at much lower levels and

7、 tempered a little by the decline in C&I loans, as seen in Fed weekly data.Among our banks, Citizens has the lowest reserves/loans ratio and was the only one to use Moodys forecast from May when determining 2Q reserves, while others used June forecast. Citi and US Bancorps credit card reserves are l

8、ower than our other banks, but notably, all our banks have higher reserve coverage for credit card loans than comparable consumer finance firms. Banks with lower reserve coverage levels are the ones to watch more closely for reserve shifts. See pages 16-28.Total and permanent unemployment trends div

9、erging. Total unemployment fell more than expected to 8.4% in August, but permanent unemployment continued to increase. Initial jobless claims have declined recently, but initial claims as share of the labor force is still 1.6x the ratio seen in 2008-2009 (pages 4-5). Some companies have announced s

10、izable permanent layoffs, including some employees currently on furlough. Additionally, the banking industry needs to start cutting costs with rates likely remaining at zero for a long time, and there have been news reports of Wells Fargo cutting tens of thousands of employees. Some banks may start

11、to give some outlook for lowering expenses next week, which would include white collar job cuts.Rebound in consumer spending has stagnated, which could trigger more layoffs if this trend persists. Chase card spending has been mostly stuck around -10% yoy for two months after a sharp rebound in April

12、-June per JPM Economic Research. Some players, such as Walmart, have cited consumers recently shifted to cut spending and increased focus on discounts/price, likely partly due to stimulus benefits ending.Some decline in loans on forbearance, but data very limited thus far some updates likely next we

13、ek from banks. Per latest Black Knight data on residential mortgages coming off forbearance, 58% extended forbearance, 31% returned to performing, and 5% became delinquent. 7.2% of residential mortgages were on forbearance as of 8/30, down from 8.6% peak at 6/7. Unsurprisingly, forbearance rates are

14、 higher on Ginnie loans than Fannie/Freddie loans. See pages 11-12.See page 37 for analyst certification and important disclosures.North America Equity Research10 September 2020Banks Large-Cap Vivek Juneja AC(1-212) 622-6465 HYPERLINK mailto:vivek.juneja vi HYPERLINK mailto:vek.juneja vek.junejaBloo

15、mberg JPMA JUNEJA Jonathan Summitt(1-212) 622-6341 HYPERLINK mailto:jonathan.summitt jonathan.summittAndrew J Dietrich(1-212) 622-4244 HYPERLINK mailto:aj.dietrich aj.dietrichJ.P. Morgan Securities LLCAlso see our recent reports:Fed Weekly: Cards Up Sizably; C&I Falls Further, Down 6% QTD; Deposits

16、Down Again Last Week, dated September 4, 2020New GSE Refi Fee: Expect Modest EPS Hit In 21; Several Details And Impact On Refis Unclear, dated August 27, 2020Consumer Service Charges: Down 40%, Led By 50% Drop In Overdrafts; Regions Hurt Most, Next Citizens, dated August 6, 2020Post 2Q: Stalled Outl

17、ook, Post Deferral Trends Key; Fee Growth Drivers And Reserve Build To Slow, dated July 30, 2020J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objecti

18、vity of this report. Investors should consider this report as only a single factor in making their investment decision. HYPERLINK / Vivek Juneja(1-212) 622-6465 HYPERLINK mailto:vivek.juneja vi HYPERLINK mailto:vek.juneja vek.junejaNorth America Equity Research10 September 2020Downgrades remain high

19、, but trends mixed: leveraged loan downgrades have slowed from extremely high levels in April-June, but CLO downgrades are rising most downgrades have been in BBB or lower CLO tranches, with none in AAA tranches and very little in AA/A (see page 9). However, corporate bankruptcies have increased, wh

20、ile leveraged loan and high yield bond default rates have risen to 4.38% and 5.77% respectively (LTM annualized), led by energy. Criticized commercial loans rose sharply in 2Q at our banks by 49% qoq to 7.2% of non-PPP commercial loans on average.We are continuing to watch COVID-impacted industries

21、as economy reopening remains slow in sectors such as restaurants, transportation, leisure, entertainment, retail (non-essential), and hotels. For consumer loans, credit cards and unsecured consumer loans remain the main areas of concern. This report includes updated exposures by bank to these areas

22、where disclosed. See pages 29-36.Table of ContentsRecent Credit And Market Trends 4Unemployment and Layoff Trends Mixed 4-5Consumer Spending Stagnating 6Credit Losses Likely to Lag Further in This Downturn 7Corporate Bankruptcies Up Sharply 8CLO Downgrades Rising but Leveraged Loan Downgrades Slowed

23、 9-10Mortgages on Forbearance Down but Majority Are Extending Forbearance 11-12Leveraged Loan and High Yield Bond Defaults Up YTD 13High Yield Spreads Reversed About 75% of Prior Widening 14Criticized Loans Spiked Further in 2Q 15 HYPERLINK l _TOC_250001 Reserves For Credit Loss Coverage And Outlook

24、 16Reserve Build Slowed in July 17CECL Model Forecasts Vary by Bank but Are Hard to Compare 18Moodys Forecast Has Weakened Less in 3Q Than in 1Q and 2Q 19-20Reserve Comparisons by Bank and Loan Type 21-28 HYPERLINK l _TOC_250000 Bank Exposures To Distressed Industries 29CRE Exposures 30Retail Exposu

25、res 31Energy Exposures 32Entertainment and Leisure Exposures 33Restaurants and Lodging Exposures 34Transportation Exposures 35Credit Card and Unsecured Consumer Loan Exposures 36Unemployment Improved From March Peak, But Initial Claims Still At 1.6x 2008-2009 LevelsWhile unemployment has improved sh

26、arply from Marchs record levels, it still remained very high at 8.4% in August.However, initial jobless claims remain elevated, with recent weeks running at 1.6x 2008-2009 levels (adjusted for labor force size) and about 3-4x pre-COVID levels. Initial claims averaged 847,000 in August or 0.53% of th

27、e labor force, which is 1.6x the 0.32% average seen from 2008-2009 see Fig 3.Figure 1: Unemployment Has Improved from March Peaks but Still Very High at 8.4% in AugustUnemployment rate by industryFigure 2: Similarly, Initial Jobless Claims Have Fallen Sharply from Peak US initial jobless claims, non

28、-seasonally adjustedFigure 3: But Initial Claims in August Were Running at 1.6x Levels Seen in 2008-2009 (as Percent of Labor Force)Monthly average of US initial jobless claims, NSA / US labor force40%35%30%25%20%15%10%5%0%TotalMining, Oil &Wholesale &Leisure &7,000KMar 20Apr 20May 20Jun 20Jul 20Aug

29、 206,000K5,000K4,000K3,000K2,000K1,000K0Pre-COVID Levels: 200-300kMarch Peak: 6.2 milCurrent Levels: 800k1.0%Weekly Average Claims as % of Labor Force June-Aug 20200.9%0.8%0.7%0.6%0.5%0.4%0.3%0.2%0.1%0.0%Unemployment Gas ExtractionRetail TradeHospitality2/143/134/105/86/57/37/318/281/08 5/08 9/08 1/

30、09 5/09 9/09 1/10 5/10 9/106/20-8/20Source: U.S. Bureau of Labor Statistics.Source: U.S. Department of Labor.Source: U.S. Department of Labor.Permanent Unemployment Has Risen And Likely To Rise Further, Tempering ImprovementWhile the overall job market has sharply rebounded, permanent job losses hav

31、e steadily increased, and several large companies have recently announced permanent layoffs. The permanent job losses reflect the high degree of economic uncertainty remaining plus the extent of damage caused by the pandemic, and more losses could taper a further recovery.Additional layoffs are like

32、ly, some as a direct impact of economic softness, and further layoffs could bode for potential reversal or sharp slowing in the improvement in economic data. In some industries, such as airlines, layoffs are likely contingent on federal aid lapsing. Layoffs in the banking industry are likely due to

33、the impact of zero rates, which would add to the macro pressure these are in addition to Wells Fargos layoffs, which is exacerbated by its unique issues.Figure 4: Temporary Layoffs Have Sharply Rebounded, but Permanent Job Losses Continue to Rise US job losses (mil) and unemployment rateFigure 5: An

34、d Companies Are Continuing to Announce Job CutsTracked US job cut announcementsExcludes many unannounced cuts397k263k170k116k68k57k671k222k1,000k1816141210864208/19 9/19 10/19 11/19 12/19 1/20 2/20 3/20 4/20 5/20 6/20 7/20 8/2016%Permanent Job Losses (LHS) Temporary Job Losses (LHS) Unemployment Rat

35、e (RHS)14%12%10%8%6%4%2%0%800k600k400k200k0Jan 20Feb 20Mar 20Apr 20May 20Jun 20Jul 20Aug 20Source: Challenger, Gray & Christmas and Bloomberg.Source: U.S. Department of Labor and U.S. Bureau of Labor Statistics.Some Signs Consumer Spending Is StagnatingAlso see JP Morgan Economic Researchs latest Da

36、ily Consumer Spending Tracker, dated September 4, 2020Credit and debit card spending seems to have plateaued recently, with the recovery in JP Morgan Economic Researchs daily consumer spending tracker stagnating and spending hovering around -10% yoy since mid-June, after hitting a low of-40% yoy in

37、late March.Additionally, some grocery retailers, such as Walmart and Stop & Shop, are seeing spending cutbacks or increased price cautiousness by consumers per recent news articles, which makes intuitive sense due to the level of economic uncertainty, decrease in and/or end of supplemental unemploym

38、ent benefits, and run-off of benefit from one-time stimulus checks.If layoffs pick up and unemployment does not improve, recovery in consumer spending would be limited.Expect Credit Losses To Have Longer Lags Than Prior Cycles Due To Stimulus, ForbearanceWe expect that credit losses could have longe

39、r lags behind macroeconomic metrics than during prior cycles as stimulus and forbearance would likely delay, rather than eliminate, some defaults unless these programs are continued indefinitely since the economy and employment are unlikely to very quickly recover fully back to pre-pandemic levels.F

40、igure 6: C&I Losses Have Somewhat Mirrored Macro Variables Such As GDP Growth, but Losses Have Tended to Lag Macro TrendsIndustry C&I NCO ratio, inverted change in trailing four quarter average real US GDP through 1Q20Figure 7: Credit Card Losses Are Highly Correlated With Unemployment but Also Have

41、 Some LagIndustry credit card NCO ratio, US unemployment rate through 1Q204.0%Inverted GDP Growth2.0%0.0%-2.0%-4.0%3.0%2.5%2.0%1.5%1.0%0.5%10.0%9.0%Unemployment Rate8.0%NCO Ratio7.0%6.0%5.0%4.0%14.0%12.0%NCO Ratio10.0%8.0%6.0%4.0%-6.0%0.0%89929497990204070912151720Inverted Trailing 4 Qtr GDP Growth

42、(LHS)Industry C&I NCOs (RHS)3.0%2.0%89929497990204070912151720Unemployment Rate (LHS)Industry Credit Card NCOs (RHS)Source: FDIC, Bureau of Economic Analysis, and J.P. Morgan.Source: FDIC, Bureau of Labor Statistics, and J.P. Morgan.Bankruptcies Up Sharply Correlated With GrowthLarge corporate bankr

43、uptcies tracked by Bloomberg recently jumped to financial crisis peaks, as trailing 3 months sum of bankruptcies hit 89 in July, the same as the prior peak seen in March 2009.Large corporate bankruptcies did abate some in August, but it is unclear whether this dip was temporary. Bankruptcies decline

44、d to 20 in August from 28-32 per month in May-July and close to the 16-19 per month in January-April. If unemployment worsens and GDP growth slows, we would expect some increase in bankruptcies.Large corporate bankruptcies did not seem to have a significantly long lag in prior cycles, although trend

45、s could differ some in this downturn.Figure 8: Large Corporate Bankruptcies Jumped in July Large corporate bankruptcies tracked by Bloomberg, inverted change in trailing four quarter average US GDPFigure 9: To Same Level as Financial Crisis PeaksLarge corporate bankruptcies tracked by Bloomberg, inv

46、erted change in trailing four quarter average US GDPLarge Corporate Bankruptcy Count (LHS) Inverted Trailing 4 Qtr GDP Growth (RHS)35302520151050Jul 19Aug 19Sep 19Oct 19Nov 19Dec 19Jan 20Feb 20Mar 20Apr 20May 20Jun 20Jul 20Aug 202.0%1.0%0.0%-1.0%-2.0%-3.0%10090807060504030201001Q99 1Q00 1Q01 1Q02 1Q

47、03 1Q04 1Q05 1Q06 1Q07 1Q08 1Q09 1Q10 1Q11 1Q124.0%Large Corporate Bankruptcy Count (LHS) Inverted Trailing 4 Qtr GDP Growth (RHS)2.0%0.0%-2.0%-4.0%-6.0%Source: Bloomberg, Bureau of Economic Analysis, and J.P. Morgan. Includes bankruptcies tracked by Bloomberg on monthly basis.Source: Bloomberg, Bur

48、eau of Economic Analysis, and J.P. Morgan. Includes bankruptcies tracked by Bloomberg on quarterly basis.CLO Downgrades Picked Up In 2Q/3Q But Limited To Lower Rated TranchesCLO ratings downgrades picked up starting in June but have been mostly in lower rated tranches. 7% of all CLO tranches in the

49、CLOIE Index have been downgraded YTD through late August, with zero AAA tranches downgraded, 0.2% of AA tranches, and 1.6% of A, far below rest of the tranches as 8% of BBB, 20% of BB, and 33% of B tranches have been downgraded per JP Morgan CLO Research.CLOs on negative ratings watch are similarly

50、limited to lower rated tranches, with no AAA, 0.1% of AA, and 3% of A tranches on watch, compared with 20% of BBB, 28% of BB, and 35% of B tranches on watch per JP Morgan CLO Research.In the financial crisis, CLO downgrades lagged market-based stress measures such as how far below par leveraged loan

51、s were trading leveraged loan prices plummeted in 2008, but CLO downgrades did not materially increase until 1Q09.Figure 10: No AAA Rated CLO Tranches Downgraded or On Negative Watch, but 20%-35% of B/BB Rated Tranches Downgraded or On Negative WatchShare of CLOIE index downgraded YTD and on negativ

52、e watch/outlook by countFigure 11: CLO Ratings Downgrades Historically Lagged Market-Based Metrics, Such as How Far Below Par the Underlying Leveraged Loans Were TradingCount of Moodys CLO tranche downgrades and leveraged loan index price discount to par40%35%30%25%20%15%10%5%450Share of CLOs Downgr

53、aded YTD (By Count)Share of CLOs on Negative Rating Watch (By Count)35%33%28%20%20%11%8%7%0% 0%0% 0%2% 3%AAAAAABBBBBBTotal400350300250200150100500Moodys CLO Downgrades (LHS) Leveraged Loan Discount to Par (RHS)45%40%35%30%25%20%15%10%5%0%0%Jan08Apr 08Jul 08Oct 08Jan 09Apr 09Jul 09Oct 09Jan 10Apr 10J

54、ul 10Jan 19Apr 19Jul 19Oct 19Jan 20Apr 20Jul 20Source: J.P. Morgan CLO Research, Bloomberg, Moodys, and S&P. X-axis shows original rating. Based on CLOIE index as of Aug 26th, 2020. Includes YTD downgrades as of August 23rd for S&P and as of Aug 27th for Moodys.Source: J.P. Morgan CLO Research, INTE

55、X, and Moodys. Moodys downgrades based on CLOIE index constituents and includes downgrades through Aug 27th, 2020. Leveraged loan discount to par based on JPMorgan Leveraged Loan Summary Average Price Index.Leveraged Loan Downgrades Have Slowed And Distressed Loans Down Significantly From PeakThe sp

56、eed of downgrades of leveraged loan issuers has slowed significantly in July and August, after jumping rapidly in March. On a rolling three month basis, the number of issuers downgraded has dropped by about 75% since peaking in May.Distressed leveraged loans (those trading below 80% of par value) al

57、so declined sharply to 9.7% of leveraged loan at the end of August after peaking at 31% in March.Figure 12: Leveraged Loan Downgrades Slowed Sharply in July and August Number of issuers downgraded in S&P/LSTA Leveraged Loan Index, rolling 3 month basis432376368171173111128821021019283104500450400350

58、30025020015010050008/19 09/19 10/19 11/19 12/19 01/20 02/20 03/20 04/20 05/20 06/20 07/20 08/20Source: S&P Global Market Intelligence (LCD).Figure 13: And Distressed Leveraged Loans Also DroppedPercent of S&P/LSTA Leveraged Loan Index trading below 80% par, by issuer count80%70%60%50%40%30%20%10%0%0

59、1/02 10/03 06/05 02/07 10/08 07/10 03/12 11/13 07/15 04/17 12/18 08/20Source: S&P Global Market Intelligence (LCD).Some Declines In Mortgage Delinquencies And Forbearance, But Majority Are Extending ForbearanceResidential mortgages 30+ days past due declined to 6.9% of mortgages at July month end fr

60、om 7.8% peak in May per Black Knight data. Note this number encompasses all loans past due including those in forbearance, but it excludes loans in forbearance that are making their full monthly payment.Similarly, residential mortgages in forbearance are down to 7.2% of mortgages (including portfoli