美股投资策略-大盘股银行2022年CCAR：渣打银行可能上涨，尤其是富国银行；公民？受贷款组合转变的影响，储备金和资本减少；交易资产增加

North America Equity Research10 June 2022 Large Cap Banks CCAR '22SCB Likely Up, Notably Wells; Citizens? Hurt By Loan Mix Shift, Lower Reserves, Capital; Trading Assets UpBanks — Large-CapVivek Juneja AC(1-212) 622-6465vivek.juneja@jpmorgan.comBloomberg JPMA JUNEJA <GO>Jonathan Summitt, CFA(1-212) 622-6341jonathan.summitt@jpmorgan.comAndrew J Dietrich(1-212) 622-4244aj.dietrich@jpmorgan.comJ.P. Morgan Securities LLCSee page 22 for analyst certification and important disclosures.J.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 objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.www.jpmorganmarkets.comStress tests under CCAR 2022 may result in higher Stress Capital Buffers (SCB) for some banks. Two of our regional banks (Category 4 banks) will be undergoing stress tests for the first time since 2020 – some metrics became harsher last year in CCAR ’21 and impact on these banks’ SCB may be greater than our other banks whose SCB already reflects these changes. A key unknown this year is the additional sensitivityanalysis that the Fed may do to incorporate the impact of much higher inflation and the war as these flared up after CCAR ’22 stress test metrics were published – this could be similar to the sensitivity analysis the Fed did in CCAR 2020 related to the pandemic (see page 4). Among our banks, we expect to see increase in SCB at Wells Fargo and have an eye out also for Citizens’ SCB which was the highest among all our banks at 3.4% in its last stress test. Stress test results will be reported on June 23rd after market close. Last year, most of our banks announced dividend increases about a week later and we expect dividends to increase at most banks except PNC which already raised it 20% in advance. However, as seen last year, banks don’t all announce expected share buybacks for the CCAR cycle as there is flexibility now in doing buybacks. We expect banks to continue to prioritize loan growth and even some acquisitions –share buybacks may resume at banks where they were paused due to acquisitions. Key factors likely to put upward pressure on SCB are: 1) harsher change in several metrics used for stress test because of better starting point; 2) harsher stress in some areas such as commercial real estate loans, lower rated corporate loans, and some emerging markets (Asia); 3) lower starting capital levels; 4) decline in loan loss reserves and hence less cushion to absorb stressed credit losses; 5) shift in loan mix at some banks to greater share of loans with higher credit losses; 6) increase intrading assets at two of our banks; 7) however, some offset from higher loans which would benefit PPNR; and 8) impact of divestitures and acquisitions by our banks which is likely to be mixed.  We expect that, among our banks,