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

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

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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

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)

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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 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

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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

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.