每周全球金融观察 | 第137篇：硅谷银行不会成为下一个雷曼_也不是银行业煤矿中的金丝雀

     美联储加息（一年内从0%升至4.5%）和持续的收益率曲线倒挂使得在本周出现一个主要的受害者-- SVB（硅谷银行），该银行在周五被FDIC（联邦存款保险公司）接管，并将其资产置于接管状态。 

     在加州或科技界以外的人很少听说过硅谷银行。该银行（控股公司）于1983年7月1日上市，并在科技热潮中取得了惊人的发展，在2022年底的美国金融机构中资产排名第16。

     SVB迎合了加州的科技创业公司和风险投资公司，多年来与这些行业一起快速发展，特别是2020年大流行的科技热潮之后，导致SVP本周的消亡。SVB的存款自2020年以来增长惊人，从2020年第一季度的600亿美元到2022年第一季度的2000亿美元。然而，与大多数传统商业银行不同的是，SVB以吸收存款和借出资金的利差为生，但SVB并不擅长放贷。相反，SVB将大部分存款投资于低/无信用风险的美国国债和MBS（住房抵押贷款支持证券）。投资账面从2020年第一季度的约270亿美元到2021年底的1280亿美元。

     美联储2022年的加息导致存款利率大幅上升，但SVB在2020年至2021年锁定了收益较低的长期证券。SVB无法提高存款利率以保留存款，因为存款利率（浮动资金成本）和投资回报（固定）有可能变成负数。SVB的储户主要是科技机构，他们对其他银行机构较高的存款利率高度敏感，于是将存款转移到其他地方。   

     本周，SVB宣布火速出售210亿美元的债券（税后亏损18亿美元），以重新投资于收益率较高的短期证券（收益率曲线倒挂），并提高资产负债表的灵活性以应对潜在的存款外流。SVB（母公司）的股票从周三的267.83美元/股暴跌至周四的106.04美元/股，并在周五停止交易，之后FDIC接管。加州监管机构在周五的一份文件中表示，仅在周四，SVB的客户就试图提取420亿美元--约占该银行总存款的四分之一。SVB几乎没有办法阻止存款外流，因为该银行1,730亿美元的存款中有1,510亿美元没有保险。

     可以说，SVB的股票一文不值。上周五，SVB的高级债交易价格为45美分，初级债最低跌至12.5美分一美元。

     SVB尽可能地谨慎，并拥有金融界最安全的一些资产，但在两天内就失败了。事后分析将表明，这场灾难是由典型的收益率曲线错配引发的，不是风险贷款，而是长期低信用风险的固定收益证券。信用风险是致命的，但期限风险也可能是致命的。

     周四和周五，几家中型银行股与SVB一起被严重抛售。PacWest Bancorp的股票在两天内下跌了54%，第一共和银行下跌了30%。投资者也不分青红皂白地抛售大盘股。BKX指数（美国银行业指数）在周四和周五分别抛售了7.7%和3.91%。本周，BKX指数下跌了15.73%，抹去了2400亿美元24家银行的BKX指数的市值。 

2023年YTD的业绩与往年的比较：

所有数据截至3月10日，*1：截至3月9日

我们该何去何从？

理性预期还是非理性繁荣？

     SVB的失败所带来的一个大问题是，哪些银行误判了短期存款的浮动成本与资产的固定收益和长期期限之间的错配。这与困扰2008年金融危机的不良贷款和过度杠杆非常不同。

     一家投资银行最近的一份报告对美国最大的100家银行的各种资产负债表特征进行了排名。SVB在25万美元以下的存款比例中排名第99位，不到3%。与小型零售储户相比，SVB的大型企业储户对价格极为敏感。在银行总资产中，持有证券的比例，SVB排在第一位，为55%。大多数银行拥有大量的浮动利率的商业和消费贷款，当利率上升时，这些贷款会支付更多。SVB有严重的ALM（资产和负债管理）错配。本周的事件是多年来超低利率的结果。

     银行系统内的传染风险似乎是有限的。但在每个积极的加息周期结束时，金融系统中的某些东西总是会破裂（信贷、ALM错配、杠杆、结构化产品、新兴市场、外汇）。我相信本周SVB的失败并不预示着另一个2008年，但它可能标志着断裂阶段的开始。

     许多人认为，收益率曲线倒挂是即将到来的衰退的预兆。华尔街资深人士埃德-亚德尼本周提出了一个很好的观点，即如果美联储继续收紧货币政策，倒置的收益率曲线实际上可能预示着金融系统的崩溃。

来源：Yardeni & Associates 

     SVB的崩溃可能是科技初创企业信贷紧缩的开始，因为该银行一直是该领域的主要贷款人。然而，我怀疑它是否是整个信贷市场或银行系统的煤矿中的金丝雀。

     如果本周有好消息，这将是对美联储的一个警示，通过在过去一年中过快地提高利率，加上收益率曲线持续倒挂，其结果是银行系统中的投资证券出现了大量未实现的损失，以及继续正向套利（资金成本与投资收益率）的能力不断降低。

银行部门投资证券的未实现收益（损失）

来源：FDIC 

     我注意到，2年期美国国债收益率已经从周三的5.07%下降到周五的4.59%，10年期美国国债收益率已经从3.99%下降到3.70%。市场正在定价，美联储将眨眼，因为金融稳定处于危险之中。尽管美联储主席鲍威尔上周发表了强硬的证词，但SVB的失败可能会进一步拖累美国经济，而最近工资增长放缓降低了美联储进一步积极收紧政策的理由。

     我曾是雷曼的一名员工，随着雷曼的倒闭，我失去了根据通货膨胀调整的终身养老金。我确实意识到，预测一场没有发生的灾难（第一类错误）比否定一场发生的可能性（第二类错误）要安全得多。

     然而，我的判断是，硅谷银行本周的崩溃不是另一个雷曼时刻，也不是银行业煤矿中的金丝雀。

作者：Alvin Chua 

3月11日星期六

东亚和中国股票市场的表现与全球同行相比：

数据截至2023年3月10日

 SVB is not the next Lehman, nor a canary in the banking coal mine 

     The Fed rate hike (from 0% to 4.5% in a year) and the persistent yield curve inversion claimed a major victim this week – SVB (Silicon Valley Bank), which was taken over by the FDIC (Federal Deposit Insurance Corporation) on Friday, and placed its assets in receivership.

     Few people outside of California or the tech sector have heard of Silicon Valley Bank. The Bank (holding company) was IPO’ed on July 1, 1983, and it grew spectacularly during the tech boom, ranking #16 in assets among US financial institutions at the end of 2022.

     SVB caters to California’s tech start-ups and VCs and has grown fast alongside those industries for years, particularly after the 2020 pandemic tech boom, which led to SVP’s demise this week.SVB’s deposit grew spectacularly since 2020, from US$60 billion in Q1 2020 to US$200 billion by Q1 2022. However, unlike most legacy commercial banks, which make a living taking deposits and lending money at a spread, SVB does not excel in lending. Instead, SVB invested the bulk of the deposits in low/no credit risk US Treasuries and MBS (Mortgage-backed Securities). The investment book went from about US$27 billion in Q1 2020 to US$128 billion by the end of 2021.  

     The Fed rate hikes of 2022 resulted in a sharp rise in deposit rates, but SVB locked in lower yielding long-duration securities. SVB was not able to increase deposit rates to retain the deposits, as the deposit rates (floating funding cost) and investment returns (fixed) were at risk of turning negative. SVB’s depositors were mainly tech institutions, which are highly sensitive to higher deposit rates at other banking institutions, and moved their deposits elsewhere.

     The end came this week when SVB announced a fire sale of US$21 billion of bonds (at a loss of US$1.8 billion after tax), to reinvest in higher yielding shorter-duration securities (the yield curve is inverted) and boost balance sheet flexibility to meet potential deposit outflows. SVB (parent company) stock plunged from $267.83/share on Wednesday to $106.04/share on Thursday, and halted trading on Friday, before the FDIC took over.California regulator said in a filing Friday that SVB customers tried to withdraw $42 billion, about a quarter of the bank’s total deposits on Thursday alone. There is little SVB can do to stop the outflow, as US$151 billion of the bank’s US$173 billion of deposits were uninsured. 

     It is fair to say SVB stock is worthless. On Friday, SVB’s senior debt was trading at 45 cents, and junior debt fell as low as 12.5 cents on the dollar.

     SVB was prudent in credit risks, and has some of the safest assets in the world of finance, but it failed in two days. Post-mortem analysis will show that the debacle was triggered by the classic yield curve mismatch, not on risky loans, but on long-duration low credit risk fixed income securities. Credit risk kills, but duration risk can be fatal too.

     Several midsize bank stocks were severely sold off along with SVB on Thursday and Friday. PacWest Bancorp’s stock fell 54% in 2 days, and First Republic Bank fell 30%. Investors indiscriminately sold large cap stocks too. The BKX Index (US banking index) sold off 7.7% on Thursday and 3.91% on Friday. For the week, the BKX index was off by 15.73%, wiping out US$240 billion of market value in the 24-bank BKX banking index.

Please refer to the following table for YTD 2023 performance vs prior years: 

All data as of March 10, *1: as of March 9

Where do we go from here? 

Rational Expectation or Irrational Exuberance? 

     One of the big questions coming out of the SVB debacle will be which banks misjudged the mismatch between the floating cost of short duration deposits and the fixed yield and long duration of their assets. This is very different from the bad lending and excessive leverage that haunted the 2008 financial crisis.

     A recent report from an investment bank ranked the 100 largest US banks in terms of various balance-sheet characteristics. SVB was 99th in the proportion of its deposits that were under $250,000, at less than 3 per cent. The large business depositors of SVB are extremely price sensitive compared to small retail depositors. The proportion of total bank assets held in securities, SVB was first, at 55 per cent. Most banks own lots of floating rate commercial and consumer loans that pay more when rates rise. SVB has a significant ALM (asset and liability management) mismatch. This week’s events were the consequence of years of ultra-low interest rates.

     The risk of contagion within the banking system appears to be limited. But at the end of every aggressive interest rate increase cycle, something in the financial system invariably breaks (credit, ALM mismatch, leveraged, structured products, EM, FX). I believe the failure of SVB this week does not herald another 2008, but it could mark the beginning of the breakage phase.

     Many have argued that the inverted yield curve is a harbinger of an impending recession. Wall Street veteran Ed Yardeni this week made a great point that the inverted yield curve could in fact be signaling a break in the financial system if the Fed continues to tighten monetary policy. 

Source: Yardeni & Associates

     The meltdown at SVB may be the beginning of a credit crunch for tech startups since the bank has been a major lender in that space. However, I doubt that it is the canary in the coal mine for the overall credit market or the banking system.

     If there is good news this week, it would be a red flag to the Fed that by raising interest rate too rapidly over the past year, together with the persistent inverted yield curve, the result has been significant unrealized losses on investment securities in the banking system, and the diminishing ability to continue the positive carry (funding cost vs investment yield).

Unrealized Gains (Losses) on Investment Securities in Banking Sector

Source: FDIC

     I noted that the 2yr UST yield has declined from 5.07% on Wednesday to 4.59% by Friday, and the 10-yr UST yield has declined from 3.99% to 3.70%. The market is pricing in that the Fed willblink as financial stability is at stake. Despite hawkish testimony from Fed Chairman Powell last week, the failure of SVB could add to drags on the U.S. economy while the recent moderation in wage growth diminishes the case for further aggressive Fed tightening. 

     Having been a former Lehman employee who lost his inflation adjusted life-time pension with the Lehman demise, I do realizeit is much safer to predict a disaster that does not materialize (type I error) than to dismiss the possibility of one that does (type II error). However, it is my judgement that the SVB saga is not another Lehman moment, nor a canary in the banking coal mine.

By Alvin Chua 

Saturday March 11

East Asia and China equity markets performance vs the global peers:

Data as of March 10, 2023