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

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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.

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

  1. 1. Il Mondo Finanziario e la Professione Attuariale: due realtà sempre più Interconnesse X Congresso Nazionale Attuari | 5 Giugno 2013
  2. 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 2
  3. 3. Our story begins with broad and deep insight from well- respected names
  4. 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 4
  5. 5. Requisiti patrimoniali: da Basilea I a Basilea II
  6. 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? 6
  7. 7. 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 RWA
  8. 8. 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 RWA
  9. 9. 9 tempo Total Tier Basilea I Costo storico Basilea II Fair Value Volatilità dei Tiers Total Tier Volatility 5x Decision making process Internal Team Game
  10. 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 10
  11. 11. Cambiamenti di Modelli di Business Bancari
  12. 12. 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
  13. 13. 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
  14. 14. 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 %
  15. 15. 15 IMF uses Moody’s KMV Originate And Hold Originate To Distribute Basel II Cost of Risk on Balance
  16. 16. 16 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
  17. 17. La Crisi e Basilea III
  18. 18. 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 ar-70apr-71m ag-72giu-73lug-74ago-75set-76ott-77nov-78dic-79gen-81feb-82m ar-83apr-84m ag-85giu-86lug-87ago-88set-89ott-90nov-91dic-92gen-94feb-95m ar-96apr-97m ag-98giu-99lug-00ago-01set-02ott-03nov-04dic-05gen-07 0% 2% 4% 6% 8% 10% 12% All corp - Default Rate Capital Requ. ~1,5 yrs delay ~2 yrs delay RWA are backward looking
  19. 19. “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”
  20. 20. Write downs and deleveraging hit banks market caps Fonte: JP Morgan (dati estratti da Bloomberg, @ Jan 21th 2009)
  21. 21. The RWA an Asset game: how to improve banking returns 21 Source: Company accounts of Barclays, HSBC, LBG and RBS; ICB analysis.
  22. 22. Da Basilea II a Basilea III - Prociclicità (capital buffer addizionali) - Stime forward looking (calibration points) - Leverage measures 22
  23. 23. Basel III Capital Requirements 23 G20: the SIFI list
  24. 24. Nuovi Piani Industriali
  25. 25. 25 How Can Banks Improve Capital and Liquidity Ratios? … DELEVERAGING : 1.7% – 4.4% IMF, Global Stability Report, April 2012
  26. 26. 26 European Bank’s Business Plans EU Banks with Announced Changes to Business Strategy
  27. 27. 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?
  28. 28. 30 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)
  29. 29. 31 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
  30. 30. Brevi Conclusioni
  31. 31. 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 ? 33
  32. 32. Appendice
  33. 33. Moody’s Analytics Conference Milan, 22 November 2011 Investment 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
  34. 34. Moody’s Analytics Conference Milan, 22 November 2011 Investment 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
  35. 35. Moody’s Analytics Conference Milan, 22 November 2011 Investment Capital Rank Order Power: North American Corporate Firms 37 • 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
  36. 36. Moody’s Analytics Conference Milan, 22 November 2011 Investment 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
  37. 37. Moody’s Analytics Conference Milan, 22 November 2011 Investment 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
  38. 38. Moody’s Analytics Conference Milan, 22 November 2011 Investment Capital40
  39. 39. Moody’s Analytics Conference Milan, 22 November 2011 Investment 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.

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