[PPT] - Il Mondo Finanziario e la Professione Attuariale: due realt sempre PowerPoint Presentation

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Il Mondo Finanziario e la Professione Attuariale: due realtà sempre più Interconnesse

X Congresso Nazionale Attuari | 5 Giugno 2013

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Agenda

Requisiti patrimoniali: da Basilea I a Basilea II
Cambiamenti di Modelli di Business Bancari
La Crisi e Basilea III
Nuovi Piani Industriali
Brevi Conclusioni

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Our story begins with broad and deep insight from well- respected names

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Solo alcuni dei servizi nel mercato assicurativo

Moodys analytics ha acquistato sul mercato le migliori societa’ che

perano al servizio del risk e compliance delle assicurazioni, tra

queste:

Fermat: ALM, Data quality e reportistica regolamentare (QRT) Barrie + Hibbert: generatori di scenari, market risk modelling, capital modelling, MC valuation, Orsa. KMV: modelli sul rischio di default

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Requisiti patrimoniali: da Basilea I a Basilea II

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Come cambia la volatilità del Total Tier

Requisiti patrimoniali: da stabili (Basilea I) a prociclici

(Basilea II)

Stime di Bilancio: dal Costo storico al Fair value
La volatilità dei requisiti patrimoniali e la volatilità del

capitale disponibile di bilancio si neutralizzano o si autoalimentano?

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Analisi congiunta Basilea e IAS

Criterio costo storico
Percentuale fissa

σ total tier

Stima fair value
Percentuale fissa

σ total tier

Criterio costo storico
Correlazione con il rischio

di credito σ total tier

Stima fair value
Correlazione con il rischio

di credito σ total tier

Bilancio di esercizio

post IAS pre IAS BIS I BIS II

RWA

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Simulazione volatilità Total Capital Ratio (1995 – 2005)

Coefficiente Solvibilità

µ = 11,2%
σ = 0,66%

Coefficiente Solvibilità

µ = 11,5%
σ = 1,8%

Coefficiente Solvibilità

µ = 9,4%
σ = 0,85%

Coefficiente Solvibilità

µ = 11,0%
σ = 2,53%

Bilancio di esercizio

post IAS pre IAS BIS I BIS II

RWA

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tempo Total Tier Basilea I Costo storico Basilea II Fair Value

Volatilità dei Tiers Total Tier Volatility 5x Decision making process Internal Team Game

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Target di Piano Industriale

Return on Equity (R.O.E.)
Earnigns per Share (E.P.S.)
Tiers (I, II, III)
Price /Book Value
Price /Earnings

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Cambiamenti di Modelli di Business Bancari

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Why is relevant pricing discipline at origination

Commercial spreads on non-liquid portfolios are more volatile than market spreads
High commercial spreads are lower than market spreads for high-risky counterparties
Fixed Income Market (bps) -

External Ratings

100 200 300 400 500 600 700 800 AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B

CDS median + 2 σ CDS median - 2 σ CDS median

Internal Ratings

Domestic Lending Market view (bps) -

0,5% 1,0% 1,5% 2,0% 2,5% 3,0% 3,5% 4,0%

1 2 3 4 5 6 7 8 9 10

0,0%

0,0% 1 2 3 4 5 6 7 8 9 10

CDS median + 2 σ CDS median - 2 σ Commercial spread

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Pricing discipline and Credit Process

Impacts on Credit Process -
As Is
Pricing discipline

(*) Risk Adjusted Spread = insurance spread + cost of funding = Transfer spread

Credit Policies

 Open Credit Request  Documents Acceptance  Load Credit Request

Origination Non Performing Credit Request Credit Mgmt

 Opening Client/ Group dossier  Opening Facility/ Collateral dossier (focus on “fidi promiscui”)  Rating calculation  Risk Adjusted spread(*) settlement  Synthesis judgment  Loan proposal (amount, risk adjusted spread, commercial spread)  Loan dossier sent to entitled credit structure  Loan Decision (amount, risk adjusted spread, commercial spread)  Loan activation  Collateral perfection  Contract Underwriting

Evaluation Proposal and Decision Underwriting/ Loan Activation

Activities

Risk adjusted spread settlement will impact on Origination phase of the Credit Process; real time calculation makes RMs aware of the credit risk impact

Impact on Relationship Manager MBO

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Pricing discipline benefits on new loan origination

Short term loans M/L term loans

Spreads are applied basically irrespective of

counterparty risk for new mid to long-term issues

The commercial spread/ insurance spread

differential is negative above risk class 14

Positive correlation between risk (rating

classes) and return (interest margin on average volume) for clients with new short term loan until class 19

Positive margins between commercial

spread and risk adjusted spread, on exception of high risk classes

EVA: +80 bps RWA: - 35 %

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IMF uses Moody’s KMV

Originate And Hold Originate To Distribute

Basel II Cost of Risk on Balance

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Banking Business Models

Capital Turnover Credit Risk

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1. Originate & Hold
2. Originate and Hedge
3. Originate & Sell

Drivers to be considered:

Basel 2-3 Impact
IAS Impact
Risk & Capital

Management Instruments

Risk, Return and

Growth by Segment

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La Crisi e Basilea III

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Default Rates and Basel Capital Requirements: 1970 - 2007

0,00% 0,50% 1,00% 1,50% 2,00% 2,50% 3,00% 3,50% 4,00% 4,50% m a r

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0% 2% 4% 6% 8% 10% 12% All corp - Default Rate Capital Requ. ~1,5 yrs delay ~2 yrs delay

RWA are backward looking

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“Lessons Learnt” from previous credit crisis: “Mind the gap” (~ 1.5/2.5 yrs time lag effect)

Market prices are “forward looking” IRB RWA are “backward looking” “Mind the gap”

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Write downs and deleveraging hit banks market caps

Fonte: JP Morgan (dati estratti da Bloomberg, @ Jan 21th 2009)

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The RWA an Asset game: how to improve banking returns

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Source: Company accounts of Barclays, HSBC, LBG and RBS; ICB analysis.

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Da Basilea II a Basilea III

Prociclicità (capital buffer addizionali)
Stime forward looking (calibration points)
Leverage measures

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Basel III Capital Requirements

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G20: the SIFI list

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Nuovi Piani Industriali

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How Can Banks Improve Capital and Liquidity Ratios? … DELEVERAGING : 1.7% – 4.4%

IMF, Global Stability Report, April 2012

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European Bank’s Business Plans

EU Banks with Announced Changes to Business Strategy

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Reliance on Bank Financing by Nonfinancial Corporations (In percent) Reduction in Suppy of Credit, by Banking System, Current Policies Scenario (In percent of total bank credit)

How Can Banks Improve Capital and Liquidity Ratios?

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IMF Credit Quality with Moody’s Analytics Models

Corporate Credit Quality in Western Europe, 2007-12 (In percent) Nonfinancial Corporations: Interest Coverage Ratio and Implied Ratings (Ratio, left scale, in percent)

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IMF uses Moody’s KMV

Originate And Hold Originate To Distribute

Basel III Cost of Risk on Balance Basel II Cost of Risk on Balance

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Brevi Conclusioni

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Brevi conclusioni

Prociclicità a Volatilità: Tier Target endogeno/esogeno?
Relazioni e processi fra CRO, CFO, CEO, CBU…
Cosa abbiamo appreso con la crisi…
Next challenge: Shadow Banking…

Quali spunti di riflessione per Solvency II ?

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Appendice

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal

Bearish on spreads, bullish on fundamentals (1/2)

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Source: Goldman Sachs Credit Strategy, Compustat. Leverage most commonly measured as debt-to- EBITDA ratio is lowest in 24 years The deleveraging trend is robust to the inclusion

f non-debt liabilities

Interest coverage ratio has substantially improved The on-going upgrade cycle is likely to persist

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal

Bearish on spreads, bullish on fundamentals (2/2)

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Source: Goldman Sachs Credit Strategy, Compustat. With the exception of the lowest-rated firms, companies across rating have effectively deleveraged

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal Rank Order Power: North American Corporate Firms

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EDF credit measures have exhibited a high degree of predictive accuracy

relative to other risk measures, such as Z scores.

Both relative and absolute performance held up well during the financial

crisis.

2001-2007 2008-2010

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal Rank Order Power: European Corporate Firms

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The conclusion is broadly the same for European corporate firms, although absolute power was somewhat lower during the financial crisis.

2001-2007 2008-2010

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal Rank Order Power: Global Financial Firms

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Despite the suddenness and severity of the crisis for global financial firms, rank

rder power was maintained in the 2008-2010 time period.

2001-2007 2008-2010

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal

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Moody’s Analytics Conference Milan, 22 November 2011

Inve vestment Ca Capi pita tal

Basilea 3: timetable del processo di adeguamento

Fonte: Goldman Sachs, Capital post Basel III: 7% Core Tier 1 not the magic number; select banks in capital surplus, Global Investment Researches, September 21, 2010.