Experience on I-I reporting
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- Oliver Austin
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1 FSB Data Gaps workshop May 2 nd, 2012 Experience on I-I reporting 1
2 Existing I-I reports on credit risk exposures Large Exposures Risk management report on concentration FED SSG report Scope Prudential Group credit exp. >10% Group Equity > 300m (national discretion) Prudential Group credit Exposures Top financial institutions Top sovereigns Top corporates Prudential Group credit Exposures top 20 banks and brokers top 20 other financial institutions top 20 corporates (sovereigns excluded) Frequency Quarterly at D+30 Monthly D+30 Capital market activities : bi-weekly D+10 Lending activities : monthly D+30 Metrics Counterparty aggregation Loans : gross exposures and L.Exp RWA Derivatives : EPE and L.Exp RWA Equity : market value (usually 100% weight) (incl. business dependency) Loans : gross exposure and RWA Derivatives : current exposure (only capitalistic ownership) Loans : gross exposures Derivatives : potentiel future exposure (only capitalistic ownership) Controls Business & Risk review Reconciliation of risk total exposures with financial statements Business & Risk review at local and central level Business & Risk review at local and central level
3 Existing I-I report on credit risk exposures Timing of risk reporting depends on activities : Capital Market activities Managed as one global business across the world Short term positions Volatile market A unique risk system for the whole Group Daily positions are available Frequent and timeliness management reports Lending activities Managed at local level (limits are decentralized by regions, entities) Medium and long term positions Few volatility Monthly management reports + quarterly reconcilied with financial statements Structural delay in risk aggregation (d+30), for : data production and controls at local level data collection from the regional risk systems data consolidation central controls
4 Existing I-I report on credit risk exposures Prudential vs Accounting scope Credit exposures in insurance companies cannot be compared nor added to credit exposures in the banking industry The largest majority of credit risk is supported by life insurance contracts Credit risk is mainly allocated to insured customers ( participation to benefits mechanism). Credit risk metrics are calculated differently (actuarial provisions) Insurance contracts are long term. The impact of credit deterioration is spread over the residual timelife of insurance contracts. Banking supervisors and Insurance supervisors rely on different regulatory reportings that fit the best to each activity One common report on top-50 counterparties is produced annually on d+75, for financial conglomerates supervision.
5 Existing I-I reports on liquidity providers No regulatory reporting yet Banks are conducting large projects to meet Basel III liquidity requirements by Internal management reports are organized by activity, for example: Treasury short-term funding : Daily reports by liquidity provider (legal entity) ALM medium-term funding : No report by counterparty (impossible to trace debts instruments holders) but by distribution channels (retail, securities market, etc )
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