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
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4 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
6 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 Bilancio di esercizio post IAS pre IAS Criterio costo storico Stima fair value Percentuale fissa Percentuale fissa BIS I σ total tier σ total tier RWA Criterio costo storico Stima fair value Correlazione con il rischio Correlazione con il rischio BIS II di credito di credito σ total tier σ total tier
Simulazione volatilità Total Capital Ratio (1995 – 2005) Bilancio di esercizio post IAS pre IAS Coefficiente Solvibilità Coefficiente Solvibilità µ = 11,5% µ = 11,2% BIS I σ = 1,8% σ = 0,66% RWA Coefficiente Solvibilità Coefficiente Solvibilità µ = 9,4% µ = 11,0% BIS II σ = 0,85% σ = 2,53%
9 Volatilità dei Tiers Total Tier Total Tier Volatility 5x Decision making process Basilea II Internal Team Game Fair Value Basilea I Costo storico tempo
10 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 - Fixed Income Market (bps) - - Domestic Lending Market view (bps) - 800 4,0% 4,0% CDS median Commercial spread CDS median + 2 σ 700 CDS median + 2 σ 3,5% 3,5% CDS median - 2 σ CDS median - 2 σ 600 3,0% 3,0% 500 2,5% 2,5% 400 2,0% 2,0% 300 1,5% 1,5% 200 1,0% 1,0% 100 0,5% 0,5% 0 0,0% 0,0% AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ BB BB- B+ B 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 External Ratings Internal Ratings Commercial spreads on non-liquid portfolios are more volatile than market spreads High commercial spreads are lower than market spreads for high-risky counterparties
Pricing discipline and Credit Process Risk adjusted spread settlement will impact on Origination phase of the Credit Process; real time calculation makes RMs aware of the credit risk impact - Impacts on Credit Process - Credit Credit Non Origination Policies Mgmt Performing Proposal and Underwriting/ Loan Credit Request Evaluation Activation Decision Open Credit Request Opening Client/ Group Loan proposal (amount, risk Loan activation dossier adjusted spread , Documents Acceptance Collateral perfection commercial spread) Activities Opening Facility/ Collateral Load Credit Request Contract Underwriting dossier (focus on “ fidi Loan dossier sent to entitled promiscui”) credit structure Rating calculation Loan Decision (amount, risk adjusted spread , Risk Adjusted spread (*) commercial spread) settlement Synthesis judgment As Is Impact on Relationship Manager MBO Pricing discipline (*) Risk Adjusted Spread = insurance spread + cost of funding = Transfer spread
Pricing discipline benefits on new loan origination Short term loans M/L term loans EVA: +80 bps RWA: - 35 % Positive correlation between risk (rating Spreads are applied basically irrespective of classes) and return (interest margin on counterparty risk for new mid to long-term average volume) for clients with new issues short term loan until class 19 The commercial spread/ insurance spread Positive margins between commercial differential is negative above risk class 14 spread and risk adjusted spread, on exception of high risk classes
Originate Originate To Distribute And Hold Basel II Cost of Risk on Balance IMF uses Moody’s KMV 15
Banking Business Models Capital Drivers to be Turnover considered: Basel 2-3 Impact 1. Originate & Hold + IAS Impact Risk & Capital 2. Originate and Hedge Credit Risk Management Instruments - Risk, Return and Growth by 3. Originate & Sell Segment 16
La Crisi e Basilea III
Default Rates and Basel Capital Requirements: 1970 - 2007 RWA are 4,50% 12% backward ~2 yrs ~ 1,5 yrs delay looking delay 4,00% All corp - Default Rate Capital Requ. 10% 3,50% 3,00% 8% 2,50% 6% 2,00% 1,50% 4% 1,00% 2% 0,50% 0,00% 0% 0 1 2 3 4 5 6 7 8 9 1 2 3 4 5 6 7 8 9 0 1 2 4 5 6 7 8 9 0 1 2 3 4 5 7 7 7 7 8 8 9 9 0 0 7 7 7 7 7 7 7 8 8 8 8 8 8 8 9 9 9 9 9 9 9 0 0 0 0 0 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - r r g u g o t t v c n b r r g u g o t t v c n b r r g u g o t t v c n e t e t e t a p a p a p a i u g o o i e e a i u g o o i e e a i u g o o i e g d g d g d m a s m a s m a s m l a n g f m l a n g f m l a n g
“Lessons Learnt” from previous credit crisis: “Mind the gap” (~ 1.5/2.5 yrs time lag effect) Market prices are “forward looking” “Mind the gap” IRB RWA are “backward looking”
Write downs and deleveraging hit banks market caps Fonte: JP Morgan (dati estratti da Bloomberg, @ Jan 21th 2009)
21 The RWA an Asset game: how to improve banking returns Source: Company accounts of Barclays, HSBC, LBG and RBS; ICB analysis.
22 Da Basilea II a Basilea III - Prociclicità (capital buffer addizionali) - Stime forward looking (calibration points) - Leverage measures
23 Basel III Capital Requirements G20: the SIFI list
Nuovi Piani Industriali
25 How Can Banks Improve Capital and Liquidity Ratios? … DELEVERAGING : 1.7% – 4.4% IMF, Global Stability Report, April 2012
European Bank’s Business Plans EU Banks with Announced Changes to Business Strategy 26
29 How Can Banks Improve Capital and Liquidity Ratios? Reduction in Suppy of Credit, by Reliance on Bank Financing by Nonfinancial Banking System, Current Policies Corporations Scenario ( In percent of total bank credit ) ( In percent )
IMF Credit Quality with Moody’s Analytics Models Corporate Credit Quality in Western Europe, 2007-12 Nonfinancial Corporations: Interest Coverage Ratio and Implied Ratings ( In percent ) ( Ratio, left scale, in percent ) 30
Originate Originate To Distribute And Hold Basel III Cost of Risk on Balance Basel II Cost of Risk on Balance IMF uses Moody’s KMV 31
Brevi Conclusioni
33 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
Bearish on spreads, bullish on fundamentals (1/2) The deleveraging trend is robust to the inclusion Leverage most commonly measured as debt-to- of non-debt liabilities EBITDA ratio is lowest in 24 years Interest coverage ratio has substantially improved The on-going upgrade cycle is likely to persist Source: Goldman Sachs Credit Strategy, Compustat. Moody’s Analytics Conference Inve vestment Ca Capi pita tal 35 Milan, 22 November 2011
Bearish on spreads, bullish on fundamentals (2/2) With the exception of the lowest-rated firms, companies across rating have effectively deleveraged Source: Goldman Sachs Credit Strategy, Compustat. Moody’s Analytics Conference Inve vestment Ca Capi pita tal 36 Milan, 22 November 2011
Rank Order Power: North American Corporate Firms • 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 Inve vestment Ca Capi pita tal 37 Milan, 22 November 2011
Rank Order Power: European Corporate Firms 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 Inve vestment Ca Capi pita tal 38 Milan, 22 November 2011
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