David Hendler Head of Financial Services - Americas Banks: ALM & Interest Rate Risk Presentation to Capital Markets Credit Analysts.

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Presentation transcript:

David Hendler Head of Financial Services - Americas Banks: ALM & Interest Rate Risk Presentation to Capital Markets Credit Analysts Society

22 Source: SNL, CreditSights Represents median of CreditSights’ bank universe Net Interest Margin – Pressure Point

3 Securities Growing as Yields Decline Source: SNL, FFIEC, CreditSights Securities as % of total assets represents aggregate of CreditSights’ bank universe. As of 2Q13.

4 Securities Portfolio Yield Source: SNL, FFIEC, CreditSights As of 2Q13

55 Source: SNL, Company reports, CreditSights As of 2Q13 MBS as % of Securities

6 Duration Trends Source: Company reports, CreditSights Change in years as of 2Q13. Duration measures vary by company Sorted from left to right by size of securities portfolio

7 Rate/Volume Variance Trends: Big Banks Source: Company reports, SNL, CreditSights

88 Source: Company reports, CreditSights In $ mn BofA IRR Derivatives Impact

9 Copyright © 2013 CreditSights, Inc. All rights reserved. Reproduction of this report, even for internal distribution, is strictly prohibited. The information in this report has been obtained from sources believed to be reliable. However, neither its accuracy and completeness, nor the opinions based thereon are guaranteed. If you have any questions regarding the contents of this report, contact CreditSights, Inc. at (1) in the United States or (44) in Europe. CreditSights Limited is authorised and regulated by The Financial Services Authority. This product is not intended for use in the UK by Private Customers, as defined by the Financial Services Authority.