Réduction des bilans bancaires: un régime de 1.000 milliards d’euros

Le processus de réduction des bilans bancaires (« deleveraging ») qui s’est opéré au plus fort de la crise financière de 2008-2009 avait représenté une diminution de 2.000 milliards d’euros en Europe. Depuis, comme si de rien n’était, la plupart des banques européennes se sont remises à faire croître la taille de leur bilan, ignorant le risque que pouvait faire peser sur l’économie le gonflement des dettes étatiques. Depuis, la multiplication des crises en zone euro et aux Etats-Unis sur la question de l’endettement public a obligé de nombreuses banques à réduire à nouveau la taille de leur bilan. Dans une étude publiée ce matin, les analystes de Bank of America Merrill Lynch chiffrent la « facture » à quelque 1.000 milliards d’euros. Explications. 

Avant de passer au détail de la démonstration, voici le résumé de l’étude de 14 pages de Merrill:

« 2007-09 banks shed €2.0 trn of assets, been growing since
Between 2007 & 2009 our coverage universe shrunk its collective funded balance sheet by over €2.0 trn. Since then, European banks have been growing funded balance sheets. This note uses bottom up and top down analysis to estimate the amount by which European bank funded balance sheets could shrink.
Ignoring emerging markets, we see €1 trn asset reduction
Stripping the Asian banks out of our analysis and holding the balance sheet of the two large Spanish banks stable, as we have done in Chart 1, our forecasts show funded balance sheets shrinking by more than €1.0 trn to a level 3% below year end 2009. That is the net impact of 12 banks where we expect significant asset reduction, 18 banks where we expect funded balance sheets to be flat to down slightly, and only 7 banks where we expect growth. We expect asset reduction despite unfunded commitments equal to 17% of the funded balance sheet.
€1 trn asset reduction takes leverage back to 2002 level
Between 2002 & 2010, bank lending to European households and corporates rose from €9.0 trn to €13.7 trn. As a % of nominal GDP, bank lending increased from 90% to 114%. Academic literature suggests after a banking crisis, the preceding run up in debt to GDP usually unwinds in a one-to-one relationship. Assuming that happens in Europe – with the unwind evenly divided between real GDP growth, inflation, & asset shrinkage – we expect €930 bn of asset shrinkage.
Eliminating funding gap implies €2.8 trn asset reduction
With wholesale funding markets either very difficult, or shut entirely, many commentators are critical of the 112% loan to deposit ratio of European banks. While we think the analysis is overly simplistic, we highlight that, taking European banks’ loan-to-deposit ratio to 100% at a country level, results in European banks needing to shed €2.8 trn of loans. Countries most severely impacted in this scenario are Sweden, the United Kingdom, and Italy.
€92bn capital deficit, could lead to €1.7trn asset reduction
With bank management either unwilling, or unable, to access markets for capital, we expect banks to meet rising capital requirements through a combination of debt management, dividend reductions, and asset disposals. Taking account of recently announced capital raising plans, we estimate that our coverage universe has a roughly €85 bn capital deficit. This can be reduced by roughly €850 bn of RWA reduction or, in our estimate, €1.7 trn of reduction in funded balance sheet.
Asset reduction: 5% ongoing cost plus 10% one-time cost
We assume the ongoing cost of asset reduction will be proportional to the amount of asset reduction done (i.e. just over 5%). We assume two-thirds of asset reduction will occur via natural rollover and the remaining one-third will cost 3%. That results in a roughly €10 bn one-time cost (or 10% of pre-tax profits). »

L’étude comporte quelque graphiques et tableaux particulièrement instructif. Celui-ci retrace l’évolution du bilan des banques européennes depuis 2007 et illustre à point nommé la 1ère phase de contraction des bilans bancaires:

Source: Bank of America Merrill Lynch

Mais une analyse plus fine montre que certaines banques ont poursuivi leur effort de désendettement, quand d’autres, une fois la crise financière « passée », ont repris l’expansion de leur bilan.

Source: Bank of America Merrill Lynch

Source: Bank of America Merrill Lynch

L’autre illustration intéressante – mais déjà publiée par Merrill – concerne les besoins en fonds propres des banques européennes au regard des nouvelles normes prudentielles.

Source: Bank of America Merrill Lynch

La facture se monte tout de même à 92 milliards d’euros. On notera du côté des banques françaises des situations relativement raisonnables à gérer, en particulier pour Société Générale, banque particulièrement attaquée au cours des derniers mois. BNP Paribas et Crédit Agricole auraient théoriquement besoin de 2,1 et 2,6 milliards d’euros respectivement, soit très loin de HSBC, Deutsche Bank, Lloyds Banking Group, Unicredit ou Barclays (où les besoins en fonds propres se situent entre 6 et 12 milliards d’euros!).

« French experience consistent with our view The recent announcements by the French banks, highlighted below, give us some comfort in our analysis.
BNP Paribas targets €70 bn of de-levering by year end 2012. The recurring impact on pre-tax profit is estimated at €750 mn per year (5-7%). This takes into account lower revenues partly offset by re-repricing. BNP Paribas estimates it will lose €800 mn to exit businesses. In arriving at the estimated cost of exiting businesses, BNPP assumes just over half of the business rolls off naturally, but assumes losses of between 3-5% on those assets that are disposed of in the market (mainly loans within CIB).
Societe Generale targets €60-80 bn of de-levering by year end 2013. Of SocGen’s total de-levering €30-40 bn of RWA reduction will take place in the investment bank. SocGen estimates the recurring impact of the CIB deleverage on pre-tax profit will be €500 mn, broken down as €750 mn of lost revenues partly offset by cost savings of €0.25bn. This implies a reduction in group pre-tax profits of between 8% and 11%. In Q3, SG booked capital losses of €45m on legacy assets sales of €5.8bn, i.e. an average discount of 0.8%. In October, the average discount on the €4.2bn disposals was 1.8%. Going forward, SG indicated that it is confident that it can maintain low exit costs (but refrained from quantifying these losses). »

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