DIY Credit Stress Test
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- Julia Booker
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1 DIY Credit Stress Test
2 Speaker Biographies Greg Dingens EVP & Head of Investment Banking Monroe Financial Partners, Inc. 25 years experience in investment banking - CSFB, Merrill Lynch and Lehman General partner, Siena Capital Partners I, L.P. - $300 MM private investment fund that invests in community banks QwickRate Director & Co-founder of QwickAnalytics Shawn O Brien President QwickRate Leads the strategy for the premier nonbrokered CD marketplace and accompanying products Previously with HomeStar Bank in Manteno, Illinois and serves on the Board of Directors National Bank of St. Anne Works closely with the ICBA as a Preferred Service Provider Co-founder of QwickAnalytics 2 2
3 Stressing? 5 Step CST Program 1. Understand the Regulatory Perspective 2. Start Relatively Simply 3. Get Good (Peer) Data 4. Don t Forget Basel III 5. Make It Useful to Your Board 3
4 It s Time to Play
5
6 Whew - thought they were guys I owed money to
7 5 Step CST Program 1. Understand the Regulatory Perspective 2. Start Relatively Simply 3. Get Good (Peer) Data 4. Don t Forget Basel III 5. Make It Useful to Your Board 7
8 Community Bank Stress Testing 8
9 Benefits of Stress Testing 1. Identification of Risks a) Portfolio management / concentration management b) Underwriting & pricing emphasis: risk/reward equation 2. Capital Planning a) Capital Conservation Buffer: limitation on actions b) Funding growth ahead of capital constraints c) Dividend capacity 3. Strategic Planning a) Growth vs Risk Tolerance 9
10 Community Bank Stress? NPAs under 1% for QCBI banks NCOs almost negligible for QCBI banks 10
11 Community Bank Stress? The median QCBI bank has almost 15% Tier 1 capital Under 1% of QCBI banks are less than wellcapitalized! 11
12 Community Bank Stress? Bank Failures Hmmm an historical perspective
13 The DFAST Bank Testing Banks $10 billion to $50 billion: 19 pages of instructions 27 different macroeconomic variables Mandatory templates with over 100 line item outputs 13
14 Divining Regulatory Expectations Statement to Clarify Supervisory Expectations for Stress Testing by Community Banks Issued Jointly By the Federal Reserve, OCC and FDIC May 14, 2012 Community banks are not required or expected to conduct the types of stress testing specifically articulated in the initiatives directed at larger organizations. all banking organizations, regardless of size, should have the capacity to analyze the potential impact of adverse outcomes on their financial condition. 14
15 Stress Test Methods Test Should Reflect Community Bank A community bank s approach to stress testing should fit its unique loan portfolio strategy, size, loan types, composition, operations and management. Given the smaller scale and lesser complexity of most community banks, assessing portfolio risk and capital vulnerability can be relatively simple. OCC Supervisory Guidance 10/18/2012 Concentration, Especially in CRE, May Merit Further Analysis In some cases, a bottom-up, loan-byloan analysis may help... For more complex portfolios management may link commercial mortgages to debt service coverage and long-tovalue ratios to project potential loss under possible adverse circumstances. Etc. etc. OCC Supervisory Guidance 10/18/
16 Beyond the Portfolio Test? The regulators have NOT provided guidance around WHEN a bank may need more sophisticated, transaction-level analyses. However, reading the tea leaves 1. If your bank has very high concentrations in certain loan categories E.g. 300% Investor CRE / capital If your bank has experienced loan losses well above your peers E.g. in the 80th percentile of your peer group If you are growing loans quickly If you are a larger, more sophisticated bank E.g. trending closer to the $10 billion Dodd-Frank limit 16
17 Punchline! Regardless of the testing method used, an effective stress test has common elements that a community bank should include: Asking plausible what if questions about key vulnerabilities (primarily loan losses for community banks); Making a reasonable determination of how much impact the stress event might have on capital; and Incorporating the resulting analysis into the overall risk management and strategic and capital planning processes. 17
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19 Party Foul!
20 5 Step CST Program 1. Understand the Regulatory Perspective 2. Start Relatively Simply 3. Get Good (Peer) Data 4. Don t Forget Basel III 5. Make It Useful to Your Board 20
21 Stress Test Methods Method Description Community Banks? Transaction stress testing Individual loan level analysis, borrower ability to pay analysis No Enterprise-level stress testing Portfolio stress testing Reverse stress testing Multiple variable, environmental risk Loan category analysis against peer and historical loss experiences What stress level of losses breaks the bank? No YES YES 21
22 The Regulators 3 Tests Test 1 Test 2 Test 3 Peer Group Loss Experience The bank s Peer Group Loss Experience has been gathered, evaluated and applied to the subject bank s loan portfolio under varying scenarios of stress. Bank Historical Loss Experience The bank s actual Historical Loss Experience has been gathered, evaluated and applied to the bank s current loan portfolio under varying scenarios of stress. Reverse Stress Test The Reverse Stress Test has been applied to the bank s own balance sheet, calculating the losses required to reduce the bank s capital to critically undercapitalized levels. 22
23 Basic Portfolio Stress Test Framework Step 1: Estimate Loan Portfolio Losses Calculate potential stressed losses for entire portfolio (over 2 years) Step 2: Estimate Earnings Offset / Impact Calculate earnings available to fund losses (over 2 years) Step 3: Estimate Impact on Capital Levels Apply net impact to capital levels 1. Loan Categories 2. Period End Balances 3. Stress Loss Rates 4. Stress Losses 1. Core Operating Earnings (PTPC+) 2. Provisions required to (a) fund losses and (b) maintain ALLL levels 3. Taxes and other items 4. Net Income 1. PF Impact to Tier 1 & Total Capital 2. Calculate and compare relevant capital ratios 23
24 Core Operating Earnings: What? (a.k.a. Pre-Tax Pre-Provision, enhanced) Net Interest Income Core Non-Interest Income Core Non-Interest Expense Core Operating Earnings Excludes: Securities G/L OREO Costs Excludes: Goodwill Write-offs 24 24
25 5 Step CST Program 1. Understand the Regulatory Perspective 2. Start Relatively Simply 3. Get Good (Peer) Data 4. Don t Forget Basel III 5. Make It Useful to Your Board 25
26 Needs: Data + Big Calculator Get Historical Loan Losses per Your Peer Group 1. Choose a peer group 2. Use Call Report Loan Categories 3. Calculate Loss Rates Per Stress Period ( ) 4. Choose Scenarios (Baseline, Adverse & Severely Adverse) Get Your Own Historical Loss Data & Create Projections 1. Same drill as PG Loan Losses ( ) but for your bank s actuals 2. Create 2 years of Core Operating Earnings projections 3. Prepare current balance sheet Do a TON of Math, Scenarios & Summaries 1. Run different tests for different scenarios 2. Do the math 3. Summarize it in a form useful to your Board (and the Regulators) 26
27 Determining Peer Loss Rates 3 stress years 13 Call Report Categories Scenarios: Baseline: 50 th percentile Adverse: 75% percentile Severely Adverse: 90% percentile Peer Group 90th Percentile Severely Adverse Stress Loss Scenario Net (Losses)/Recoveries as % of loan-type avg. balance Average Construction & Development: 1-4 Family Construction (10.84)% (8.77)% (8.67)% (9.43)% Other Construction & Land (9.23)% (9.98)% (8.44)% (9.22)% Secured by Farmland (0.10)% (0.41)% (0.29)% (0.27)% Residential 1-4 Family: Home Equity Loans (2.05)% (1.98)% (1.94)% (1.99)% 1-4 Family Non-Revolving (2.89)% (2.62)% (2.30)% (2.60)% Multifamily Loans (2.03)% (2.85)% (2.38)% (2.42)% Nonfarm Nonresidential: Owner / Occupied (1.25)% (1.62)% (1.60)% (1.49)% Investor (1.84)% (2.24)% (2.26)% (2.11)% Agricultural Loans (0.36)% (0.43)% (0.17)% (0.32)% Commercial and Industrial Loans (4.82)% (4.11)% (3.62)% (4.18)% Consumer: Credit Card Loans (8.63)% (7.18)% (6.39)% (7.40)% Other Loans to Individuals (3.75)% (3.08)% (2.29)% (3.04)% All Other Loans & Leases (2.27)% (1.64)% (1.24)% (1.72)% Total Net Loss/Avg Loans (3.47)% (2.94)% (2.35)% (Loss)/gain on Sale OREO/Avg. Assets (0.11)% (0.19)% (0.29)% (0.20)% Loan Loss Reserve/Gross Loans 3.42% 3.50% 3.42% 3.42% 27
28 Determining Peer Loss Rates Peer Group 90th Percentile Severely Adverse Stress Loss Scenario Net (Losses)/Recoveries as % of loan-type avg. balance Average Construction & Development: 1-4 Family Construction (10.84)% (8.77)% (8.67)% (9.43)% Other Construction & Land (9.23)% (9.98)% (8.44)% (9.22)% Secured by Farmland (0.10)% (0.41)% (0.29)% (0.27)% Residential 1-4 Family: Home Equity Loans (2.05)% (1.98)% (1.94)% (1.99)% 1-4 Family Non-Revolving (2.89)% (2.62)% (2.30)% (2.60)% Multifamily Loans (2.03)% (2.85)% (2.38)% (2.42)% 28
29 Estimate Portfolio Losses for Scenarios Loan Portfolio Composition Current Balances 12/31/2015 Baseline Scenario 2-Year Pro Forma Losses % $ Adverse Severely Adverse Stress Loss Scenario Stress Loss Scenario 2-Year Pro Forma Losses % $ 2-Year Pro Forma Losses % $ Apply the Assumed Losses Construction & Development: 1-4 Family Construction $8, % $0 (5.10%) ($410) (18.74%) ($1,507) Other Construction & Land $6, % $0 (7.89%) ($501) (18.92%) ($1,201) Secured by Farmland $0 0.00% $0 0.00% $0 (0.53%) $0 Residential 1-4 Family: Home Equity Loans $24,227 (0.04%) ($10) (1.50%) ($363) (4.02%) ($975) 1-4 Family Non-Revolving $315,057 (0.14%) ($452) (2.07%) ($6,509) (5.19%) ($16,352) Multifamily Loans $56, % $0 (0.03%) ($17) (4.73%) ($2,679) Nonfarm Nonresidential: Simple math for the 3 scenarios Sum the losses and move on to PF impact Owner / Occupied $51,281 (0.06%) ($32) (1.11%) ($568) (3.02%) ($1,546) Investor $58,911 (0.02%) ($11) (1.33%) ($783) (4.18%) ($2,465) Agricultural Loans $0 0.00% $0 0.00% $0 (0.54%) $0 Commercial and Industrial Loans $17,343 (0.28%) ($48) (3.85%) ($668) (8.48%) ($1,470) Consumer: Credit Card Loans $0 (2.26%) $0 (7.85%) $0 (13.79%) $0 Other Loans to Individuals $4,799 (0.60%) ($29) (2.66%) ($128) (5.60%) ($269) All Other Loans & Leases $1,547 (1.01%) ($16) (0.68%) ($11) (8.22%) ($127) Example: $650 million bank with $540 million in loans and $53 million in Tier 1 Capital Total Loans $544,227 (0.11%) ($597) (1.83%) ($9,957) (5.25%) ($28,591) (Loss)/gain on Sale of OREO ($2) * (0.01%) ($88) (0.19%) ($1,238) (0.59%) ($3,674) Indicated Loan Loss Reserve $5, % $7, % $12, % $17,644 29
30 Estimate Portfolio Losses for Scenarios Baseline Adverse Severely Adverse Loan Portfolio Composition Current Balances 12/31/2015 Scenario 2-Year Pro Forma Losses % $ Stress Loss Scenario 2-Year Pro Forma Losses % $ Stress Loss Scenario 2-Year Pro Forma Losses % $ Construction & Development: 1-4 Family Construction $8, % $0 (5.10%) ($410) (18.74%) ($1,507) Other Construction & Land $6, % $0 (7.89%) ($501) (18.92%) ($1,201) Secured by Farmland $0 0.00% $0 0.00% $0 (0.53%) $0 Residential 1-4 Family: Home Equity Loans $24,227 (0.04%) ($10) (1.50%) ($363) (4.02%) ($975) 1-4 Family Non-Revolving $315,057 (0.14%) ($452) (2.07%) ($6,509) (5.19%) ($16,352) Multifamily Loans $56, % $0 (0.03%) ($17) (4.73%) ($2,679) f 30
31 Pro Forma Earnings Impact Severely Adverse 2-Year Cumulative Baseline Adverse Stress Loss Pro Forma Earnings Impact Scenario Stress Loss Scenario Scenario Pro Forma Income Statement Net Interest Income (a) $42,270 $41,914 $41,206 Other Recurring Noninterest Income $3,182 $3,182 $3,182 Recurring Noninterest Expense ($19,434) ($19,434) ($19,434) Pretax, Pre-Provision Recurring Income $26,018 $25,662 $24,954 Provision to cover 2-year Net Loan Losses ($597) ($9,957) ($28,591) Provision to achieve adequate ALLL (b) ($2,251) ($7,117) ($12,111) Total Loan Loss Provision Expense ($2,848) ($17,075) ($40,702) Run the Losses through the Income Statement Core Operating Income Offsets Provision maintenance Tax benefit persists (Loss)/gain on Sale OREO ($88) ($1,238) ($3,674) Pretax Income $23,081 $7,349 ($19,423) Income Taxes ($8,504) ($2,708) $7,156 2-Year Net Income $14,577 $4,642 ($12,267) Pro Forma Balance Sheet Items Gross Loans HFI, net of unearned inc. $544,227 $534,867 $516,234 Loan Loss Reserve $7,784 $12,650 $17,644 Loan Loss Reserve/Gross Loans (c) 1.43% 2.37% 3.42% 31
32 Pro Forma Earnings Impact 2-Year Cumulative Pro Forma Earnings Impact Baseline Scenario Adverse Stress Loss Scenario Severely Adverse Stress Loss Scenario Pro Forma Income Statement Net Interest Income (a) $42,270 $41,914 $41,206 Other Recurring Noninterest Income $3,182 $3,182 $3,182 Recurring Noninterest Expense ($19,434) ($19,434) ($19,434) Pretax, Pre-Provision Recurring Income $26,018 $25,662 $24,954 Provision to cover 2-year Net Loan Losses ($597) ($9,957) ($28,591) Provision to achieve adequate ALLL (b) ($2,251) ($7,117) ($12,111) Total Loan Loss Provision Expense ($2,848) ($17,075) ($40,702) 32
33 Pro Forma Capital Impact 2-Year Pro Forma Projection Capital Impact Current Balances 12/31/2015 Baseline Scenario Adverse Stress Loss Scenario Severely Adverse Stress Loss Scenario Changes to Equity 2-Year Net Income/(Loss) $14,577 $4,642 ($12,267) Less: Dividends Paid (a) $0 $0 $0 Capital Levels Tangible Common Equity $53,267 $67,844 $57,909 $41,000 Run the Net Losses Though the Balance Sheet Regulatory Tangible Equity $53,286 $67,861 $57,926 $41,017 Common Equity Tier 1 Capital $53,286 $67,861 $57,926 $41,017 Tier 1 Capital $53,286 $67,861 $57,926 $41,017 Total Risk-Based Capital $58,275 $72,844 $62,791 $45,650 Regulatory Capital Ratios Reg. Tangible Equity/Total Assets 8.19% 10.43% 9.03% 6.59% Tier 1 Leverage Ratio 8.56% 10.90% 9.44% 6.90% Common Equity Tier 1 Ratio 13.37% 17.03% 14.88% 11.07% Tier 1 Ratio 13.37% 17.03% 14.88% 11.07% Where does this leave you? What Actions May Be Required? Total Risk-Based Ratio 14.62% 18.28% 16.13% 12.32% Pro Forma Increase/(Decrease) Reg. Tangible Equity/Total Assets 2.24% 0.84% (1.60%) Tier 1 Leverage Ratio 2.34% 0.89% (1.66%) Common Equity Tier 1 Ratio 3.66% 1.51% (2.30%) Tier 1 Ratio 3.66% 1.51% (2.30%) Total Risk-Based Ratio 3.66% 1.51% (2.30%) 33
34 Pro Forma Capital Impact 12/31/2015 Scenario Scenario Changes to Equity 2-Year Net Income/(Loss) $14,577 $4,642 ($12,267) Less: Dividends Paid (a) $0 $0 $0 Capital Levels Tangible Common Equity $53,267 $67,844 $57,909 $41,000 Regulatory Tangible Equity $53,286 $67,861 $57,926 $41,017 Common Equity Tier 1 Capital $53,286 $67,861 $57,926 $41,017 Tier 1 Capital $53,286 $67,861 $57,926 $41,017 Total Risk-Based Capital $58,275 $72,844 $62,791 $45,650 Regulatory Capital Ratios Reg. Tangible Equity/Total Assets 8.19% 10.43% 9.03% 6.59% Tier 1 Leverage Ratio 8.56% 10.90% 9.44% 6.90% Common Equity Tier 1 Ratio 13.37% 17.03% 14.88% 11.07% Capital Raise? Tier 1 Ratio 13.37% 17.03% 14.88% 11.07% Total Risk-Based Ratio 14.62% 18.28% 16.13% 12.32% 34
35 Reverse Portfolio Stress Testing 2-Year Pro Forma Well Adequately Critically Under- Reverse Stress Test Capitalized Capitalized Capitalized Regulatory Capital Ratio Minimums Min Bank Min Bank Min Bank Tangible Equity/Total Assets threshold (a) % % 2% 2.00% Tier 1 Leverage Ratio 5.00% 5.28% 4.00% 4.05% % Common Equity Tier 1 Ratio 6.50% 8.75% 4.50% 6.75% % Tier 1 Ratio 8.00% 8.75% 6.00% 6.75% % Total Risk-Based Ratio 10.00% 10.00% 8.00% 8.00% % 2-Year Pro Forma Regulatory Capital Balances Tangible Common Equity $29,871 $22,719 $11,554 Regulatory Tangible Equity (a) $29,888 $22,736 $11,573 Common Equity Tier 1 Capital $29,888 $22,736 $11,571 Tier 1 Capital $29,888 $22,736 $11,571 Total Risk-Based Capital $34,157 $26,946 $15,652 Earnings & Loss Requirements to Breach Thresholds 2-Year net income/(loss) required to breach threshold ($23,396) ($30,548) ($41,713) 2-Year pretax income/(loss) (b) ($37,045) ($48,369) ($66,047) Key Questions What losses will it take to break the bank? What level of loss absorption does the bank have vs. regulatory minimums? Offsetting pretax,preprovision recurring income $23,877 $23,696 $23,304 Total provision & OREO (losses)/gains ($60,922) ($72,065) ($89,351) Less: Portion of provision to achieve required ALLL ($2,842) ($7,157) ($9,364) Total loan & OREO (losses)/gains required to breach threshold ($58,080) ($64,909) ($79,986) % of current loans (10.67%) (11.93%) (14.70%) % of current assets (8.93%) (9.97%) (12.29%) 35
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37 Yikes!?!
38 5 Step CST Program 1. Understand the Regulatory Perspective 2. Start Relatively Simply 3. Get Good (Peer) Data 4. Don t Forget Basel III 5. Make It Useful to Your Board 38
39 The Impact of Basel III 1. Higher Overall Levels of Common Equity Required Leverage & Tier 1 capital creativity is frowned upon 2. New enforcement powers: restrictive rules around shareholder distributions, buybacks and bonuses, all limited by capital levels Capital Conservation Buffer Common Equity = KING 3. More detailed and conservative approach to weighting the risk of assets (administratively burdensome) Larger denominator = MORE CAPITAL RESULT More Capital & More Administration 39
40 Basel III: More Phase-Ins Capital Conservation Buffers are Even More Important to Plan for. 40
41 Restrictions Under Basel III Restricted Freedom of Action Make tax distributions for S-Corps Pay dividends for C-Corps Buy back shares Pay management bonuses, etc. 41
42 5 Step CST Program 1. Understand the Regulatory Perspective 2. Start Relatively Simply 3. Get Good (Peer) Data 4. Don t Forget Basel III 5. Make It Useful to Your Board 42
43 Regulatory Expectations Stress Testing and Capital Planning If the results of a stress test indicate [stress], the bank s board and management should take appropriate steps to protect the bank include establishing a plan that requires closer monitoring of market information, adjusting strategic and capital plans to mitigate risk John C. Lyons Jr. Senior Deputy Comptroller and Chief National Bank Examiner October
44 Display Digestible Data Comprehensible: summarize the results in graph form Actionable: make implications of results easy to understand Credible: provide detailed assumptions behind summaries if needed Consistent: be able to replicate annually at least 44
45 Display Digestible Data Comprehensible: summarize the results in graph form Actionable: make implications of results easy to understand Credible: provide detailed assumptions behind summaries if needed Consistent: be able to replicate annually at least 45
46 Tie Results to Capital Planning Action Plan: incorporate stress testing results into capital planning Up-To-Date: ensure future capital ratios include all levels of Basel III phase-ins Document: provide evidence of proactive planning in file 46
47
48 I will have the Daily Double!
49 Thank You For Attending! 49
50 Thank You For Attending! Greg Dingens Monroe Financial Partners (312) Shawn O Brien QwickRate shawn.obrien@qwickrate.com (815)
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