Capital & risk management
|
|
- Juniper Simmons
- 5 years ago
- Views:
Transcription
1 S E B E N S K I L D A S E M I N A R Capital & risk management In the world of CRD Tonny Thierry Andersen CFO & Member of the Executive Board October 9, 2006
2 Basel I Return on Equity CRD Risk adjusted performance measures 2
3 Capital management is a key value driver - At the hands of management +2%-point Lending BA* CAGR Base 17% 34% +1%-point 2,58% NII margin BA* Margin 08 2,26% 27% 2,42% 2008 ROE 16,1% -2% 11% Cost growth CAGR ,4% -5% 16% Fees growth CAGR Base: 1% Base: 6% Source: Selected broker reports *Note: BA equals Banking activities (DB, BG, Fokus, ÖEB, NIB and NB). Margin based on NII from BA over avg. BA lending -0,8% Core tier I ex hybrid 3
4 Capital adequacy - Overview of the development so far When? What? jul-88 Basel I introduced risk weightings and off-balance-sheet activities jan-96 Measures to capture market risk were introduced in several areas, including - Foreign exchange risk - Interest rate risk (specific and general) jun-99 Publication of the first consultative package of Basel II. Based on three pillars: - Pillar I: Minimum capital requirement - Pillar II: Supervisory review - Pillar III: Market discipline (disclosure) 2005 Final approval of CRD jan-07 Implementation of the new CRD: Start of the transition period jan-10 End of the transition period 4
5 FAQ Q: What are the main differences between Basel I and CRD on an overall level? 5
6 FAQ Q: What are the main differences between Basel I and CRD on an overall level? Basel I One single risk measure One size fits all Broad brush structure Basel II / CRD Focus on banks own internal methodologies, supervisory review and market discipline Calibration between economic and regulatory capital Flexibility, variety of approaches and incentives for better risk management More precise risk estimation 6
7 Capital adequacy as it is today - Too simplistic and non-granular Capital base Risk weighted assets = Capital base Credit risk + Market risk 8% Non-granular credit risk categories: 0% 20% 50% 100% 7
8 The three pillars - Danske Bank aims for best in class in all pillars Min. Capital requirement Credit risk Market risk Operational risk Supervisory review Process Market discipline National legislation EU Directive (CRD) Basel Accord (Basel II) 8
9 Capital adequacy - After: Evolution or revolution? Capital base Risk weighted assets = Capital base Credit risk + Market risk + Operational risk 8% Improved risk sensitivity & granularity: 50% 9
10 Models Models and input - Different models reflecting capability & desired level of sophistication Degree of sophistication Credit risk Operational risk Implementation High IRB Advanced Advanced 2008 Medium IRB Foundation Standardised 2007 Low Standardised Basic 2007 Input data Degree of sophistication Probability of default Loss given default Exposure at default IRB A High Internal data Internal data Internal data IRB F Low Internal data Regulator Regulator 10
11 Models Models and input - Our choices reflect a comprehensive data-set and the beauty of a single IT-platform Degree of sophistication Credit risk Operational risk Implementation High IRB Advanced Advanced 2008 Medium IRB Foundation Standardised 2007 Low Standardised Basic 2007 Input data Degree of sophistication Probability of default Loss given default Exposure at default IRB A High Internal data Internal data Internal data IRB F Low Internal data Regulator Regulator 11
12 Calculation of risk weighted assets - Complicated? N RW = LGD N 1 1 ( PD) + R N ( 0.999) ( 1+ ( M 2.5) b) 1 R PD b
13 Calculation of risk weighted assets - Not necessarily, when the formula is debugged N RW = LGD N 1 1 ( PD) + R N ( 0.999) ( 1+ ( M 2.5) b) 1 R PD b Input Risk weight Risk weighted assets Minimum capital requirements 13
14 Calculation of risk weighted assets - Not necessarily, when the formula is debugged N RW = LGD N 1 1 ( PD) + R N ( 0.999) ( 1+ ( M 2.5) b) 1 R PD b Input Risk weight Risk weighted assets Minimum capital requirements PD Core cap. 4% RWA LGD CRD-equation for calculating risk weight (RW) Risk weighted assets = RW EAD M Total cap. 8% RWA 14
15 Case study (I) - Mortgage loan Regulation Model LTV, % Customer rating Risk-weight, % Basel I <
16 Case study (I) - Mortgage loan Regulation Model LTV, % Customer rating Risk-weight, % Basel I <80 50 CRD Standardised Approach <
17 Case study (I) - Mortgage loan Regulation Model LTV, % Customer rating Risk-weight, % Basel I <80 50 CRD Standardised Approach <80 35 Internal Rating Based, Advanced 50<LTV<80 C1-C2 1-3* C3-C4 1-6* C5-C6 5-30* D1-D * *Based on Danske Bank's internal estimates. Lower limit: LTV = 50 and minimum maturity, upper limit: LTV = 80 and maximum maturity. % Return on equity Assumptions (pre losses and tax) Margin 50 bp Illustrative Interest rate 3% Risk weight (%) 3 different CoC (depending on risk profile and size) 17
18 Case study (II) - Credit risk: IRB Advanced vs. IRB foundation Advanced Foundation Loan 1,000 1,000 Margin 0.05% 0.05% Interest income loan Income capital Total income Risk-weight (A2 rated bank) 8.5% 15.3% Allocated capital (6%) Return on equity (pre costs & tax) 12.8% 8.4% CRD will/should imply a significant value creation impact 18
19 Nordic banks - What models are used by peers and domestic players? Degree of sophistication High Credit risk IRB Advanced Medium IRB Foundation Low Standardised Degree of sophistication High Operational risk Advanced Medium Standardised Low Basic Source: Company presentations 19
20 Impact at a glance - Significant changes at least on the surface Index Minimum required capital under Pillar I Pre-CRD versus Post-CRD ? 0 Basel I QIS4 (US) FSA (UK) Swedbank DnbNor Danske Bank Source: Company reports and presentations, FSA US and FSA UK 20
21 FAQ Q: This shows that there will be quite significant capital relief. Right? 21
22 FAQ Q: This shows that there will be quite significant capital relief. Right? A: NO! Pillar I is just one part of the story. One must not forget Pillar II, a Banks strategy and internal goals, rating agencies and peers. 22
23 How the future targets will be set - CRD is only one out of many components Rating Agencies Authorities Solvency, CRD (Pillar I & Pillar II) Capital Rating ambitions, Tier I, ACE Management Pillar III, dont want to be an outlier ICAAP, strategy, growth ambitions, risk profile etc. Peer Group 23
24 Supervisory review - Capital above the minimum requirement Pillar II Capital requirement Risks not fully covered under Pillar I (e.g. residual risk) Add on for Pillar II?% Risks not covered by Pillar I (e.g. concentration risk & liquidity risk) Pillar I 8% Tier II capital Tier I capital Pillar I External factors (e.g. business risk & strategy) Rules for capturing the risk of an average bank Pillar II Customised rules, based on each banks internal assessment 24
25 Illustration of concentration risk - Geographies, industries and customers (Inter) National bank Regional bank Local bank Geographies Industries 25
26 Country correlation - UK and IE adds significant diversification to the Group Denmark Finland Ireland Norway Sweden UK Total OECD Denmark 100 Finland Ireland Norway Sweden United Kingdom Total OECD Source: OECD & own calculations 26
27 Stand alone vs. diversification - Size and scope matters Index Economic capital (Illustrative) Marginal contribution to a diversified portfolio (Index 100) & Stand alone Danske Markets DB-brand Realkredit Danmark BG Bank Norway Sweden Good questions: What about mono-liners? What about single name concentration? What about geographical diversification? 27
28 FAQ Q: What about diversification between risk types? One could argue that there is some diversification between credit risk and market risk? 28
29 FAQ Q: What about diversification between risk types? One could argue that there is some diversification between credit risk and market risk? A: This is still to be decided by the Danish FSA. The UK FSA has stated that risk diversification between risk types not will be allowed during the transition period. Empirical data of poor quality is another issue one needs to take into consideration. 29
30 Stress testing - What happens if/when the freak wave comes? 30
31 Eight different scenarios - Severe, but plausible scenarios Scenario Brief description Years covered I Recession (1 in 25) Sharp fall in exports and rising taxes lead to decline in 3 demand II Deflation Structural problems in Europe leads to recession and 5 deflation III Falling property prices Rising interest rates lead to plunging housing prices 5 IV Mild recession Zero growth two quarters in a row 3 V Oil price hike Sharp increase in oil and commodity prices leads to lower 3 purchasing power (consumers and companies) VI Fall in US dollar Deficit in the US trade balance leads to a global recession 3 VII Liquidity crisis, sector Liquidity crisis which leads to credit losses and a negative effect on funding VIII Liquidity crisis, Danske Bank Default of one of Danske Bank's largest customers and a downgrade of Danske Bank's rating 5 5 Important assumption: No management intervention. 31
32 Macro economic impact - Some tough years (figures from selected scenarios) % Macro economics (worst year) 20 GDP Unemployment Property prices (change in nominal prices) 2.5 O -15 Recession (1 in 25) Deflation Falling property prices Mild recession Oil price hike Fall in US dollar 32
33 Management intervention - Smoothing out the development % Solvency (illustrative) Management intervention: 1st line of defence 2nd line of defence 3rd line of defence Time 33
34 Management intervention - Captured in Contingency Plans The contingency plans answer the following questions: What is the effect on the capital structure? How attractive is the action plan (visual indication)? Who makes the decision? Who is responsible for the process? Are there any approved limits? What are the estimated costs? Can the action be reversed? Has the action any effect on our customer relations? Is there any signalling effect? What is the time to market (normal/forced)? What does the workflow look like? Should any external parties be involved? Is there any relevant legislation which should be taken into consideration? What documentation is needed? Are there any specific market conditions which should be noted? Should the Board of Directors approve the action? How is the action implemented? 34
35 FAQ Q: Will Danske Bank get a capital relief under CRD? 35
36 FAQ Q: Will Danske Bank get a capital relief under CRD? A: It is too early to say. There are too many uncertainties under Pillar II, which must not be forgotten. There are however, four important factors that may be beneficial for Danske Bank under the new capital adequacy rules. 36
37 Danske Banks future capital structure - Four important factors Mortgage portfolio Diversification High & stable internal capital generation Risk, capital & performance management 37
38 Danske Bank is well prepared - Good dialogue with the rating agencies 38
39 Stating your risk appetite - The risk appetite sets the boundaries for your commercial behaviour Risk appetite Target risk profile Important questions when stating your risk appetite Where to place strategic bets? How much risk to take? What risk profile do we want for our organisation? How to allocate in order to promote profitable growth? How much capital do we have? How much do we need? What discretionary risk taking/shedding decisions does the structure and outlook prompt? Actual risk profile Risk capacity 39
40 New performance metrics required - Capital allocation and performance evaluation ROE ROAC* Framework Regulatory Internal Time horizon Point-in-time 3-5 years Confidence level NA 99,97% Credit risk Simple Internal Concentration risk No Yes Migration risk No Yes Operational risk No Standard Market risk Advanced Advanced Performance capital All capital All capital Other risk No Yes *Return on Allocated Capital 40
41 ROE vs. Risk adjusted measure - From performance measurement to performance management Low Risk adjusted measure (ROAC) High High ROAC-/ROE+ ROAC+/ROE+ ROE Low ROAC/ROE- ROAC+/ROE- 41
42 ROE vs. Risk adjusted measure - Policy and business consideration ROE +, ROAC - Situation: Beating peers but customer relations are destroying value, typically when the customer is perceived as very risky with an associated low rating Key Figures: Increase in ROAC Actions: Reduction in credit exposure, increase of margins and generation of ancillary business ROE +, ROAC + Situation: Peers are beaten and customer relations are creating value Key Figures: Increase ROE/ROAC and more likely increase AVA Actions: Revenue generation both risk taking business as well as ancillary business ROE -, ROAC - Situation: Not matching peers and customer relations are destroying value, typically when the customer is perceived as very risky, margins that do not reflect the associated risk coupled with an insufficient amount of ancillary business Key Figures: Increase in ROE and ROAC Actions: Reduction in credit exposure, increase of margins and generation of ancillary business. If not possible reduce or terminate customer relations ROE -, ROAC + Situation: Not matching peers but customer relations are creating value, typically when the customer internally is perceived as low risk with an associated relative high rating Key Figures: As a minimum increase ROE with potential positive effect on ROAC Actions: Revenue generation. Change in credit exposure must be a balance between return and associated Risk Weighted Assets 42
43 FAQ Q: Where can I find more information on CRD? 43
44 44
45 45
Capitalising on Basel II
Capitalising on Basel II Goldman Sachs European Financials Conference Tonny Thierry Andersen CFO & Member of the Executive Board June 15, 2007 How to stay focused? Basel I: Return on Equity CRD/Basel II:
More informationBanking in a tough environment
Banking in a tough environment Carnegie Nordic Large Cap Seminar Stockholm Tonny Thierry Andersen CFO & Member of the Executive Board March 3, 2009 The real economy is now severely affected Index Industrial
More informationINTERNAL CAPITAL ADEQUACY ASSESSMENT MARCH 31, 2010
INTERNAL CAPITAL ADEQUACY ASSESSMENT MARCH 31, 2010 Contents Page 1. Introduction... 3 2. Internal capital adequacy assessment process (ICAAP)... 4 2.1 Capital management framework... 4 2.2. The ICAAP
More informationINTERNAL CAPITAL ADEQUACY ASSESSMENT 30 SEPTEMBER 2011
INTERNAL CAPITAL ADEQUACY ASSESSMENT 30 SEPTEMBER 2011 Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1. The basis for capital management...4 2.2. Risk identification...5
More informationFirst half of 2007: Better than expected and earnings upgrade. Conference call 9 August 2007
First half of 27: Better than expected and earnings upgrade Conference call 9 August 27 AGENDA Agenda Slide Executive summary 3 Highlights 4 Business trends 6 Business area highlights 16 Outlook 17 Q&A
More informationNew Standards update on initiatives
New Standards update on initiatives Elisabeth Toftmann Klintholm Chief IR Officer Nordea Large Cap Seminar Stockholm, 28 May 2013 Vision Recognised as the most trusted financial partner Customer satisfaction
More informationBack to basics: How can retail banking achieve superior returns?
Back to basics: How can retail banking achieve superior returns? Goldman Sachs European Financials Conference Frankfurt Tonny Thierry Andersen CFO & Member of the Executive Board June 5, 2009 Executive
More information2. Process for determining the solvency need The basis for capital management Risk identification... 4
Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management... 4 2.2 Risk identification... 4 2.3 Danske Banks internal assessment of its solvency
More information1. Introduction Process for determining the solvency need Definitions of main risk types... 9
Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management...4 2.2 Risk identification...5 2.3 Danske Bank s internal assessment of its solvency
More informationAnnual Report 2007: Resilient results in turbulent times. 31 January 2008
Annual Report 2007: Resilient results in turbulent times 31 January 2008 AGENDA Agenda Slide Key messages 3 Highlights 4 Business area highlights 18 Business trends 20 Outlook 27 Q&A session 28 Appendix
More information1. Introduction Process for determining the solvency need The basis for capital management Risk identification...
Contents Page 1. Introduction...3 2. Process for determining the solvency need...4 2.1 The basis for capital management...4 2.2 Risk identification...4 2.3 Danske Bank s internal assessment of its solvency
More informationThe risk of losses because the fair value of the Group s assets and liabilities varies with changes in market conditions.
4. Market risk 51 4.1. Definition 51 4.2. Policy and responsibility 52 4.3. Monitoring 52 4.4. Use of models 52 4.5. Interest rate risk 54 4.5.1. Floor risk 54 4.6. Exchange rate risk 54 4.7. Equity market
More information1. Introduction Process for determining the solvency need The basis for capital management Risk identification...
Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management... 4 2.2 Risk identification... 4 2.3 Danske Bank s internal assessment of its
More informationCopenhagen Winter Seminar
Copenhagen Winter Seminar Tonny Thierry Andersen Executive Board member Global Head of Personal Banking 2 December 2015 Well on track to deliver on all of our ambitions for 2015 Target Status after Q3
More informationEverything you always wanted to know about Basel II in 15 minutes
Everything you always wanted to know about Basel II in 15 minutes (a real estate perspective) Erik Kersten Senior Policy Advisor Supervisory Policy Quantitative Risk Management Views and opinions expressed
More informationCOPYRIGHTED MATERIAL. Bank executives are in a difficult position. On the one hand their shareholders require an attractive
chapter 1 Bank executives are in a difficult position. On the one hand their shareholders require an attractive return on their investment. On the other hand, banking supervisors require these entities
More informationCapital Management 4Q Saxo Bank A/S Saxo Bank Group
Capital Management 4Q 2013 Contents 1. INTRODUCTION... 3 NEW REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 2. CAPITAL REQUIREMENTS, PILLAR I...
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: Irish Life & Permanent plc Actual results at 31 December 2010 million EUR, % Operating profit before impairments 76 Impairment
More informationBank of America Merrill Lynch 28 September, Jan Erik Back CFO
Bank of America Merrill Lynch 28 September, 2016 Jan Erik Back CFO 1 Well diversified business in a strong economic environment Operates principally in economically robust AAA rated European countries
More informationICAAP Q Saxo Bank A/S Saxo Bank Group
ICAAP Q4 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 EVENTS AFTER THE REPORTING PERIOD... 3 1.3 BOARD OF MANAGEMENT APPROVAL
More informationFinancial results for H1 2012
CONFERENCE CALL Eivind Kolding CEO & Chairman of the Executive Board Henrik Ramlau-Hansen CFO & Member of the Executive Board 7 August 2012 Agenda Key points Financial results Capital, funding and liquidity
More informationRisk Based Capital in Banking (Basel II) APRIA Conference
Risk Based Capital in Banking (Basel II) APRIA Conference Dirk McLiesh General Manager Group Risk, Westpac July 7 th, 2008 Contents What is Basel II? What Basel II means for risk based capital at Westpac
More informationGoldman Sachs Roadshow 6-7 December Gunn Wærsted Executive Vice President, Head of Wealth Management
Goldman Sachs Roadshow 6-7 December 2012 Gunn Wærsted Executive Vice President, Head of Wealth Management Disclaimer This presentation contains forward-looking statements that reflect management s current
More informationDanske Nordic Bank Seminar
Jan Erik Back CFO Danske Nordic Bank Seminar Copenhagen 2 September 2009 1 SEB s competitive position A long-term relationship bank Strong income and balance sheet Q2-recap, liquidity and capital Asset
More informationin brief. Activities in 2002
Annual Report 2002 Agenda Page 1. 2002 in brief 3 2. Financial highlights 5 3. Business trends 10 4. Status of capitalisation 20 5. Trends in business areas 21 6. Corporate governance 39 7. Outlook for
More informationInterim Report 2 nd quarter 2007 Nordea Bank Norge Group
Interim Report 2 nd quarter 2007 Nordea Bank Norge Group Nordea Bank Norge is part of the Nordea Group. Nordea s vision is to be perceived as the leading Nordic bank, acknowledged for its people, creating
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: Jyske Bank Actual results at 31 December 2010 million EUR, % Operating profit before impairments 373 Impairment losses on financial
More informationAnnika Falkengren. Merrill Lynch Banking & Insurance CEO Conference. London. 30 September President and CEO
Annika Falkengren President and CEO Merrill Lynch Banking & Insurance CEO Conference London 3 September 29 1 The starting point: SEB has a strong competitive position A long-term relationship bank Strong
More informationFinancial results for Q1 2013
Financial results for Q1 2013 Eivind Kolding CEO & Chairman of the Executive Board Henrik Ramlau-Hansen CFO & Member of the Executive Board 2 May 2013 Agenda Key messages 3 Business units up-date 6 Financial
More informationICAAP Q Saxo Bank A/S Saxo Bank Group
ICAAP Q2 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 NEW CAPITAL REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 CAPITAL
More informationA N N U A L R E P O R T Record profit. February 9, 2006
A N N U A L R E P O R T 2 0 0 5 Record profit February 9, 2006 Agenda Slide Highlights 3 Business trends 4 Outlook 10 Trends in business areas 11 NB and NIB integration 16 Q&A session 24 2 HIGHLIGHTS Performance
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: Bank of Cyprus Public Company LTD Actual results at 31 December 2010 million EUR, % Operating profit before impairments 733
More informationBasel Committee Norms
Basel Committee Norms Basel Framework Basel Committee set up in 1974 Objectives Supervision must be adequate No foreign bank should escape supervision BASEL I Risk management Capital adequacy, sound supervision
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: DekaBank Deutsche Girozentrale Actual results at 31 December 2010 million EUR, % Operating profit before impairments 858 Impairment
More informationStress Tests From stressful times to business as usual an updated point of view
Stress Tests From stressful times to business as usual an updated point of view Informational presentation for our clients May 2009 1 Point of view From stressful times to business as usual Stress test
More informationDanske Bank. Conservatism or weak asset quality? Henrik Hoffmann Executive Vice President, Group Credits March 27, 2009
Danske Bank Conservatism or weak asset quality? Henrik Hoffmann Executive Vice President, Group Credits March 27, 2009 Agenda 1. Market situation: Very pessimistic outlook 2. The credit organization in
More informationRisk Management Danske Bank Group
Risk Management 2016 Danske Bank Group Contents 4 1. 2016 in brief 9 2. Risk organisation 17 3. Capital management 28 4. Credit risk 43 5. Counterparty credit risk 47 6. Market risk 56 7. Liquidity risk
More informationEnterprise-wide Scenario Analysis
Finance and Private Sector Development Forum Washington April 2007 Enterprise-wide Scenario Analysis Jeffrey Carmichael CEO 25 April 2007 Date 1 Context Traditional stress testing is useful but limited
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 211 EBA EU-wide stress test: Summary (1-3) Name of the bank: Bank of Valletta P.L.C. Actual results at 31 December 21 million EUR, % Operating profit before impairments 17 Impairment losses
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Actual results at 31 December 2010 million EUR, % Operating profit before impairments 3.526 Impairment losses on financial and non-financial assets
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: CAJA DE AHORROS Y PENSIONES DE BARCELONA Actual results at 31 December million EUR, % Operating profit before impairments 3,364
More information2015 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 30, 2015
215 HSBC Bank Canada Regulatory Capital and Risk Management Pillar 3 Supplemental Disclosures as at September 3, 215 Index & Notes to Users Index Page Index Page Regulatory Capital Risk-Weighted Assets
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: Deutsche Bank AG Actual results at 31 December 2010 million EUR, % Operating profit before impairments 6.620 Impairment losses
More informationGoldman Sachs Group UK (GSGUK) Pillar 3 Disclosures
Goldman Sachs Group UK (GSGUK) Pillar 3 Disclosures For the year ended December 31, 2013 TABLE OF CONTENTS Page No. Introduction... 3 Regulatory Capital... 6 Risk-Weighted Assets... 7 Credit Risk... 7
More informationTSB Banking Group plc. Significant Subsidiary Disclosures. 31 December 2015
Significant Subsidiary Disclosures 31 December Pillar 3 Disclosures Contents CONTENTS... 2 INDEX OF TABLES... 3 1. INTRODUCTION... 4 2. EXECUTIVE SUMMARY... 4 3. OWN FUNDS... 5 3.1. CAPITAL RISK... 5 3.2.
More informationAsset Management. Capital Markets Day 6 December 2001
Asset Management Capital Markets Day 6 December 2001 Agenda Achievements in 2001 Industry trends and outlook - Nordic region Strategy within Asset Management Objectives and targets 2 Danske Bank - September
More informationICAAP Andy Poprawa Suzanne Tu Suzanne T cker cker Steve Kokaliaris, June 23, 2014
ICAAP Internal Capital Adequacy Assessment Process Andy Poprawa, President & CEO, DICO Suzanne Tucker, Senior Manager, DICO Steve Kokaliaris, Manager, DICO June 23, 2014 Agenda Overview Key Metrics Report
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: NATIONAL BANK OF GREECE SA Actual results at 31 December 2010 million EUR, % Operating profit before impairments 2,072 Impairment
More informationICAAP Report Q3 2015
ICAAP Report Q3 2015 Contents 1. 2. 3. 4. 5. 6. 7. 8. 9. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 BOARD OF MANAGEMENT APPROVAL OF THE ICAAP Q3 2015... 3 1.3 CAPITAL CALCULATION...
More informationSantander UK plc Additional Capital and Risk Management Disclosures
Santander UK plc Additional Capital and Risk Management Disclosures 1 Introduction Santander UK plc s Additional Capital and Risk Management Disclosures for the year ended should be read in conjunction
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: Svenska Handelsbanken AB (publ) Actual results at 31 December 2010 million EUR, % Operating profit before impairments 1,816
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: Unione di Banche Italiane Scpa Actual results at 31 December 2010 million EUR, % Operating profit before impairments 1.027 Impairment
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: CAJA DE AHORROS Y M.P. DE GIPUZKOA Y SAN SEBASTIAN Actual results at 31 December 2010 million EUR, % Operating profit before
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: COLONYA - CAIXA D'ESTALVIS DE POLLENSA Actual results at 31 December 2010 million EUR, % Operating profit before impairments
More informationLIQUIDITY AND CAPITAL MANAGEMENT
LIQUIDITY AND CAPITAL MANAGEMENT Liquidity management The international financial crisis led to increased volatility in the financial markets and to poorly functioning international debt markets. In certain
More informationSG FINANS AS Pillar III
SG FINANS AS Pillar III Capital and risk management report 2016 Contents 1. INTRODUCTION... 4 1.1. ABOUT SG FINANS... 4 2. HIGHLIGHTS OF 2016... 4 3. GOVERNANCE AND INTERNAL CONTROL... 5 3.1. INTERNAL
More informationBERMUDA MONETARY AUTHORITY GUIDELINES ON STRESS TESTING FOR THE BERMUDA BANKING SECTOR
GUIDELINES ON STRESS TESTING FOR THE BERMUDA BANKING SECTOR TABLE OF CONTENTS 1. EXECUTIVE SUMMARY...2 2. GUIDANCE ON STRESS TESTING AND SCENARIO ANALYSIS...3 3. RISK APPETITE...6 4. MANAGEMENT ACTION...6
More informationQuarterly Report First Quarter of 2006
Quarterly Report First Quarter of Stock exchange announcement No. 06/ May 2, DANSKE BANK FIRST QUARTER OF 1/32 Danske Bank Group financial highlights 3 Managements report 4 Financial results 4 Integration
More informationDutch mortgages: Pro-actively managing risk
Dutch mortgages: Pro-actively managing risk ING Investor Day Ron van Kemenade Executive Director Products, ING Retail Rotterdam 9 April 2009 www.ing.com Dutch Mortgages: Key Points Dutch mortgage market:
More informationIntroduction... 1 Basel II... 1 Pillar 3 disclosures Consolidation basis... 3 Scope of Basel II permissions... 3
HSBC Bank plc Capital and Risk Management Pillar 3 Disclosures as at 31 December 2010 Contents Introduction... 1 Basel II... 1 Pillar 3 disclosures 2010... 2 Consolidation basis... 3 Scope of Basel II
More informationOpinion of the European Banking Authority on measures in accordance
EBA/Op/2017/10 01 August 2017 Opinion of the European Banking Authority on measures in accordance with Article 458 Regulation (EU) No 575/2013 Introduction and legal basis 1. On 27 June 2017, the EBA received
More informationRisk and capital management Pillar 3 report
Risk and capital management 2016 Pillar 3 report 1 1. Table of Contents 2. Introduction... 4 3. Santander Consumer Bank AS... 4 3.1 Background... 4 4. Macroeconomic Developments... 5 4.1 Denmark... 5 4.2
More informationFinancial results first nine months 2017
Financial results first nine months 2017 Thomas F. Borgen Chief Executive Officer Jacob Aarup-Andersen Chief Financial Officer 2 November 2017 Financial results first nine months 2017 Agenda Executive
More informationBasel II. Stefan Hohl,, BIS Representative Office for Asia and the Pacific Bank for International Settlements
Basel II Stefan Hohl,, BIS Representative Office for Asia and the Pacific Outline Challenge 2nd consultative document Remarks from the industry Committee s response Implications Challenge Changing financial
More informationBanco Comercial Português, SA Capital Update - EU Wide Stress Test Results.
Banco Comercial Português, SA Capital Update - EU Wide Stress Test Results. Banco Comercial Português was subject to the 2011 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation
More informationCapital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever. ABSA Capital
Capital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever ABSA Capital Contents Objectives Background Existing regulatory and internal dispensation to meet
More informationInterim report first half 2011
Interim report first half 2011 MANAGEMENT'S REPORT 3 Highlights Danske Bank Group 3 Overview 4 Financial results for the period 5 Balance sheet 8 Outlook for 2011 14 Business units 15 Banking Activities
More informationBeyond Basel II: Leveraging Economic Capital to Achieve Strategic Objectives
Enterprise Risk Management Symposium Beyond Basel II: Leveraging Economic Capital to Achieve Strategic Objectives March 2007 Ashish Dev adev@promontory.com Broader Concept of ERM with EC as the cornerstone
More informationResults of the 2011 EBA EU-wide stress test: Summary (1-3)
Results of the 2011 EBA EU-wide stress test: Summary (1-3) Name of the bank: HSH Nordbank Actual results at 31 December 2010 million EUR, % Operating profit before impairments 261 Impairment losses on
More informationRisk and Capital Management 2009 The Nykredit Realkredit Group
Risk and Capital Management 2009 Contents SPECIAL EVENTS IN 2009 5 Results of the Nykredit Realkredit Group 5 Credit losses and impairment provisions 5 Investment portfolio income 5 Capital policy 5 Current
More informationINTERIM FINANCIAL STATEMENTS MANAGEMENT'S REPORT BUSINESS UNITS STATEMENTS
MANAGEMENT'S REPORT Financial highlights Executive summary 3 4 Strategy execution 6 Customer satisfaction 8 Outlook for 2015 9 Financial review 10 BUSINESS UNITS Personal Banking 15 Business Banking 17
More informationNordea Bank Danmark Group INTRODUCTION Pillar 3 3
Table of Contents 1. INTRODUCTION 3 1.1 Pillar 3 3 2. HIGHLIGHTS OF 2008 5 3. RISK AND CAPITAL MANAGEMENT 6 3.1 Nordea in the capital adequacy context 6 3.2 Risk, liquidity and capital management 6 4.
More informationFinancial results first half 2018
Thomas F. Borgen Chief Executive Officer Morten Mosegaard Interim Chief Financial Officer 18 July 2018 Agenda Executive summary Group and business unit update Selected topics Outlook for full-year 2018
More informationBasel II and Financial Stability: Singapore s Experience
Basel II and Financial Stability: Singapore s Experience Bank Indonesia Seminar on Financial Stability 22 September 2006 Chia Der Jiun Executive Director, Prudential Policy Monetary Authority of Singapore
More informationResults of the 2011 EU-wide stress testing exercise. Bank of Cyprus successfully passed the stress test exercise
Announcement Results of the 2011 EU-wide stress testing exercise Bank of Cyprus successfully passed the stress test exercise The results reaffirm the solid financial fundamentals of the Bank which by maintaining
More informationInterim report first half 2010
Interim report first half 2010 MANAGEMENT'S REPORT 3 Financial highlights Danske Bank Group 3 Overview 4 Financial results for the period 5 Balance sheet 8 Outlook for 2010 13 Business units 14 Banking
More informationNew Capital-Adequacy Rules for Banks
33 New Capital-Adequacy Rules for Banks Suzanne Hyldahl, Financial Markets INTRODUCTION In January 200 the Basle Committee issued its second consultative document on new capital requirements for banks
More informationGoldman Sachs Group UK Limited. Pillar 3 Disclosures
Goldman Sachs Group UK Limited Pillar 3 Disclosures For the year ended December 31, 2014 TABLE OF CONTENTS Page No. Introduction... 2 Regulatory Capital... 6 Risk-Weighted Assets... 8 Credit Risk... 8
More informationCapital Management. Peter Fitzpatrick, Finance Director David McCarthy, CFO. Presentation by. Capital Management
Presentation by Peter Fitzpatrick, Finance Director David McCarthy, CFO 1 www.irishlifepermanent.ie Agenda 1. Group overview 2. Life (Insurance & Investment) capital 3. Banking capital 4. Capital planning
More informationHandelsbanken January June July 2013
Handelsbanken January June 2013 17 July 2013 Q307 Q407 Q108 Q208 Q308 Q408 Q109 Q209 Q309 Q409 Q110 Q210 Q310 Q410 Q111 Q211 Q311 Q411 Q112 Q212 Q312 Q412 Q113 Q213 Handelsbanken Group Average annual growth
More informationFact Book Q Supplementary Information for Investors and Analysts Unaudited
Fact Book Q2 2017 Supplementary Information for Investors and Analysts Unaudited Table of contents 1. Group 1.1 Financial result & key figures 4 1.2 Net interest income 6 1.3 Net fee income 8 1.4 Net trading
More informationDNB on track. Rune Bjerke CEO
DNB on track Rune Bjerke CEO Financial ambitions - 2016 and 2017 Return on equity > 12 per cent Min. 14% CET1-ratio* as capital plateau > 50% dividend when capital plateau is reached 1 * Based on transitional
More informationcompany announcement 2 November 2010
company announcement 2 November 2010 Interim report FIrst NINE MoNtHs 2010 MANAGEMENT'S REPORT 3 Financial highlights Danske Bank Group 3 Overview 4 Financial results for the period 5 Balance sheet 8 Outlook
More informationRisk and capital management Pillar 3 report
Risk and capital management 2017 Pillar 3 report 1 Contents 1. Introduction... 4 2. Santander Consumer Bank AS... 4 2.1 Background... 4 3. Macroeconomic Developments... 5 3.1 Norway... 5 3.2 Denmark...
More informationDanske Bank and the financial crisis
Danske Bank and the financial crisis Danske Markets Banking Seminar Peter Straarup, CEO and Chairman of the executive board September 2, 2009 Shock waves hitting i the financial i industry 1st wave: Financial
More information1. Key Regulatory Metrics
Contents 1. Key Regulatory Metrics... 1 2. Overview... 2 2.1 Introduction... 2 2.2 Overview of Basel III... 2 2.3 Basis of Preparation... 2 3. Capital Resources... 5 3.1 Total Regulatory Capital and Reconciliation
More informationContents 1 Overview Background Basis and frequency of disclosures Location and verification Scope
Contents 1 Overview...4 1.1 Background...4 1.2 Basis and frequency of disclosures...4 1.3 Location and verification...4 1.4 Scope...4 1.5 Changes to disclosure requirements...4 2 Risk management...5 2.1
More informationManaging liquidity risk under regulatory pressure. Kunghehian Nicolas
Managing liquidity risk under regulatory pressure Kunghehian Nicolas May 2012 Impact of the new Basel III regulation on the liquidity framework 2 Liquidity and business strategy alignment 79% of respondents
More informationFact Book Q Supplementary Information for Investors and Analysts Unaudited
Fact Book Q4 2017 Supplementary Information for Investors and Analysts Unaudited Table of contents 1. Group 1.1 Financial result & key figures 4 1.2 Net interest income 6 1.3 Net fee income 8 1.4 Net trading
More informationTraded Risk & Regulation
DRAFT Traded Risk & Regulation University of Essex Expert Lecture 14 March 2014 Dr Paula Haynes Managing Partner Traded Risk Associates 2014 www.tradedrisk.com Traded Risk Associates Ltd Contents Introduction
More informationINTERIM REPORT FIRST HALF 2012
INTERIM REPORT FIRST HALF 2012 TABLE OF CONTENTS MANAGEMENT'S REPORT 3 Financial highlights Danske Bank Group 3 Overview 4 Financial review 5 Balance sheet 8 Outlook for 2012 14 Business units 15 Banking
More informationPress Release Outside trading hours - Regulated information*
Press Release Outside trading hours - Regulated information* 15 July 2011 KBC Bank Capital Update - EU Wide Stress Test Results KBC Bank was subject to the 2011 EU-wide stress test conducted by the European
More informationSainsbury s Bank plc. Pillar 3 Disclosures for the year ended 31 December 2008
Sainsbury s Bank plc Pillar 3 Disclosures for the year ended 2008 1 Overview 1.1 Background 1 1.2 Scope of Application 1 1.3 Frequency 1 1.4 Medium and Location for Publication 1 1.5 Verification 1 2 Risk
More informationChina International Capital Corporation (UK) Limited Pillar 3 Disclosure In respect of Financial Year Ended 31 December 2016
Pillar 3 Disclosure December 2016 China International Capital Corporation (UK) Limited Pillar 3 Disclosure In respect of Financial Year Ended 31 December 2016 1. Overview Capital Requirements Regulation
More informationBasel Committee on Banking Supervision. High-level summary of Basel III reforms
Basel Committee on Banking Supervision High-level summary of Basel III reforms December 2017 This publication is available on the BIS website (www.bis.org). Bank for International Settlements 2017. All
More informationInvestor presentation. Result presentation
Investor presentation Result presentation 21 Highlights Income Solid results given present macroeconomic climate Lower provisioning for credit losses and no new NPL formation Provisions for credit losses
More informationBASEL II PILLAR 3 DISCLOSURE
2012 BASEL II PILLAR 3 DISCLOSURE HALF YEAR ENDED 31 MARCH 2012 APS 330: CAPITAL ADEQUACY & RISK MANAGEMENT IN ANZ Important notice This document has been prepared by Australia and New Zealand Banking
More informationFinancial results for Q1 2015
Financial results for Q1 2015 Thomas F. Borgen Chief Executive Officer Henrik Ramlau-Hansen Chief Financial Officer 30 April 2015 Agenda Executive summary and financial results 3 Business unit update 5
More informationFinancial results 2017
Thomas F. Borgen Chief Executive Officer Jacob Aarup-Andersen Chief Financial Officer 2 February 2018 Agenda Executive summary Business unit update Selected topics Outlook for full-year 2018 Q&A Appendix
More informationCAPITAL MANAGEMENT - THIRD QUARTER 2010
CAPITAL MANAGEMENT - THIRD QUARTER 2010 CAPITAL MANAGEMENT The purpose of the Bank s capital management practice is to ensure that the Bank has sufficient capital at all times to cover the risks associated
More information