il mondo finanziario e la professione attuariale: due realtà sempre più interconnesse
DESCRIPTION
La presentazione offre un paragone tra Basilea e Solvency, i cambiamenti di modelli di business bancari in atto, la crisi e Basilea III e i nuovi piani industriali.TRANSCRIPT
Il Mondo Finanziario e la Professione Attuariale: due realtà sempre più Interconnesse
X Congresso Nazionale Attuari | 5 Giugno 2013
2
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
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 operano 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
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?
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 IASpre IAS
BIS I
BIS II
RW
A
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 IASpre IAS
BIS I
BIS II
RW
A
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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
Cambiamenti di Modelli di Business Bancari
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
0
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%
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
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 Performin
g
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
EvaluationProposal and
DecisionUnderwriting/
Loan Activation
Act
iviti
es
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
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
-
+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
La Crisi e Basilea III
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%
0%
2%
4%
6%
8%
10%
12%
All corp - Default Rate
Capital Requ.
~1,5 yrs delay
~2 yrs delay
RWA are backward looking
“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”
Write downs and deleveraging hit banks market caps
Fonte: JP Morgan (dati estratti da Bloomberg, @ Jan 21th 2009)
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
Basel III Capital Requirements
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G20: the SIFI list
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
29
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
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 ?
Appendice
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital
Bearish on spreads, bullish on fundamentals (1/2)
35
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 of non-debt liabilities
Interest coverage ratio has substantially improved The on-going upgrade cycle is likely to persist
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital
Bearish on spreads, bullish on fundamentals (2/2)
36
Source: Goldman Sachs Credit Strategy, Compustat.
With the exception of the lowest-rated firms, companies across rating have effectively deleveraged
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital
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
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital
Rank Order Power: European Corporate Firms
38
The conclusion is broadly the same for European corporate firms, although absolute power was somewhat lower during the financial crisis.
2001-2007 2008-2010
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital
Rank Order Power: Global Financial Firms
39
Despite the suddenness and severity of the crisis for global financial firms, rank order power was maintained in the 2008-2010 time period.
2001-2007 2008-2010
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital40
Moody’s Analytics Conference
Milan, 22 November 2011Investment Capital
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.