The collapse of Silicon Valley Bank (SIVB) led to a reassessment of liquidity and contagion risks across the banking industry. Regional banks have borne the brunt of the subsequent market sell-off. Month-to-date, regional bank stocks are down by 28%, versus 0% for the S&P 500.[1] This report introduces a screen to help both equity and fixed income investors navigate the current volatility in the banking industry. The screen identifies regional banks with unfavorable exposures to three fundamental and sentiment indicators:

• Liquidity: The ratio of the fair value of held-to-maturity (HTM) securities to the carrying value of the HTM portfolio. This metric is an indication of losses a bank may incur if forced to liquidate its HTM portfolio to cover customer deposit withdrawals.
• Management Sentiment: Earnings calls not only provide context for current financial results, but also contain forward-looking information. For example, SIVB’s executives discussed the future direction of deposit outflows and the bank’s strategy for its available-for-sale and HTM portfolio during its Q4 2022 earnings call. 
• Investor Sentiment: The securities lending market provides an opportunity for investors to express how pessimistic they are about the future prospect of a company.

Figure 1: Stock Tickers of U.S. Regional Banks with the Worst Readings across Liquidity, Management Sentiment, and Investor Sentiment Indicators

Source: S&P Global Market Intelligence Quantamental Research. Data as at 03/16/2023.
Liquidity data based on 2022 Q4 financials.

Explore the datasets used to conduct this research:

Textual Data Analytics (TDA)
TDA is a suite of 800+ predictive and descriptive signals derived from earnings call transcripts.

Securities Finance Data
Market leading analytics on short seller demand, supply and borrow costs. Comprehensive daily and intraday data on global equity and fixed income securities lending flows.

SNL Data
Database of over 50,000 public and private companies (30,000 active), spanning all markets globally.

Dividend Forecasting Data
Independent dividend amount and date estimates for 28,000+ global companies, ADRs and ETFs up to five years in the future.