Anders Kvist Head of Group Treasury. ABG Basel 3 Seminar. Oct 6 th, 2010
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1 Anders Kvist Head of Group Treasury ABG Basel 3 Seminar Oct 6 th, 2010
2 Basel Committee s key concerns for the global banking sector Excessive on- and off-balance sheet leverage BASEL III REGULATORY FRAMEWORK: AN OVERVIEW Procyclical deleveraging of banks exacerbated negative effects of financial and RE crisis on the real economy Interconnectedness of systemic institutions through an array of complex and sometimes nontransparent transactions Transmission of financial crisis to the real economy Insufficient liquidity buffers of most financial institutions, which ultimately turned to central banks for refinancing Low capitalisation, thin equity cushions, deteriorating quality of banks capital sources Resulting inability to absorb increasing trading and credit losses nor to re-intermediate large off-balance sheet exposures Source J.P.Morgan 2
3 SEB s consultative response largely agreed Timetable too aggressive in light of magnitude of change Second round of consultation & QIS required Extended phase in & grandfathering of utmost importance Leverage Ratio strongly opposed (SBA and, finally, EBF agreed. IIF disagrees but support no fixed minimum) Capital Base - Write-up of written down hybrid Tier 1 capital securities must be allowed - Net pension fund deficits should not be deducted from equity ( ) ( ) Credit Valuation Adjustments (CVA) - Proposed capital add-on for OTC derivatives strongly opposed Liquidity Coverage Ratio - Concept OK but run-off assumptions much too pessimistic and liquid asset eligibility much to narrow. Covered bond holdings must be given more credit. Net stable Funding Ratio -Too prescriptive and conservative. No fixed ratio should be required 3
4 Realistic transition rules for European banks Still a proposal and unclear when it will start to apply Countercyclical capital buffer Capital conservation buffer Total capital requirement Tier 1 capital requirement Core Tier 1 capital requirement Other measures to be implemented LCR NSFR 4
5 Basel III and impact on Nordic banks Five key areas of new regulation 1 Redefine bank capital 2 Introduce supplementary leverage ratios 3 Liquidity & funding ratios 4 Adjust for cyclical & systemic effects 5 Capture additional risk exposures 5
6 SEB s capitalisation more than adequate Capital adequacy without transitional floor EU stress tests and Basel III Total capital ratio, % Tier I capital ratio, % Core Tier I 14,7 13,9 14,3 11,7 14,5 12,1 Dec 2009 Jun 2010 SEK bn Capital base RWA Tier 1 ratio in EU stress test Benchmark scenario: 11.8% Adverse scenario: 10.7% +sovereign shock: 10.3% Basel III Core tier 1 well above the aggregate of the required minimum plus conservation buffer and maximum countercyclical buffer Combined effect of the redefined capital base and RWAs of bps on CT1 in 2012E 6
7 Higher quality of capital a strategic direction in harmony with the market Strategy to improve the quality and loss absorption capacity of the capital base: Buy back of GBP 400mn UT2 loan June 2009: Capital gain c.sek 1,3bn Core capital ratio +20bps 500 non-innovative hybrid tier 1 capital issued in September 2009, (value date in October) and USD 259mn innovative hybrid tier 1 capital bought back in October 2009; net effect on tier 1 c. +50bps and better currency match between RWA and the capital base 100% 80% 60% 40% 20% 0% 19,3 12,4 14,5 95,1 9,8 7,1 10,9 4,9 94,0 March 2009 March 2010 LT2 UT2 Hybrid capital - innovative Hybrid capital - non-innovative Equity* *Total equity in the capital adequacy 7
8 Capital management conclusions SEB has a large buffer to any new benchmark requirements SEB can wait for details of non-common equity components to develop and the investment market s acceptance of these No conclusions for contingent capital and hybrid tier 1 capital yet Size/Design of countercyclical and systemic (?) buffers still unclear The buffer on top of all regulatory buffers can be small Most potential scenarios already covered Very unclear role for Tier 2 capital going forward Normalization of dividend in accordance with dividend policy preferred route for returning capital as of now 8
9 SEB s balance sheet liquidity is structurally strong Balance sheet structure (June 2010) Short-term and Liquid assets Cash & Lending Financial Institutions Net Bond portfolio Net Other trading Household Lending Deposits Financial Institutions Funding <1 year Funding, remaining maturity >1 year Short-term funding Banking book Other Lending Deposits from the public Stable funding Equity Assets Equity & Liabilities 9
10 Net liquidity position more than adequate SEB s matched funding horizon Months Loans to deposits ratio incl repos; %* 200% 180% 160% 140% 120% 100% 155% Q Loans to deposit ratio excl repos, %* 5 0 Q4-07 Q2-08 Q4-08 Q2-09 Q4-09 Q % 180% 160% 140% 120% 100% 142% Q Note this is a cash flow based model where assets and liabilities are mapped to contractual maturities. SEB will manage more than 18 months without any new funding if the loans and liabilities mature without prolongation. Not ongoing business if funding is disturbed or lending increases. *excl re-classified bonds 10
11 Funding structure SEB Group, SEK 1,580bn, June 2010 Deposits - Financial Institutions 13,0% Mortgage Covered Bonds Sweden 10,1% Deposits - General Public 42,2% Deposits - Central Banks 7,6% CPs/CDs 10,8% Subordinated debt 2,0% Mortgage Covered Bonds Germany 2,5% Schuldscheins and Reg Bonds 1,3% Public Covered Bonds Germany 4,4% Senior debt 6,3% 11
12 Managing NSFR Issuance of Swedish and German covered bonds and create cover pools for other loan classes Increase and/or prolong deposit volume by either attracting new volumes or incentivizing customers to transfer funds from mutual funds Restructure lending by shortening duration or transfer corporate lending to bonds that are kept in SEB s balance sheet Externalize lending by either securitizing parts of loan portfolio or assisting large corporates to replace credit from SEB with bonds issued to third parties (public issues or private placement) Reduce trading portfolios Reduce credit facilities Issuance of senior unsecured debt No rush and we still think it is a too rigid framework not fit for the Nordic markets 12
13 Managing Liquidity Coverage Ratio (LCR) SEB has a high quality liquidity portfolio in SEK and EUR Further build-up of liquidity reserves can easily be funded by using the untapped potential in the mortgage cover pool In addition, significant international Commercial Paper borrowing capacity All collateral normally eligible for central bank borrowing purposes should qualify as liquidity reserve assets for the purposes of LCR Local Swedish regulatory approach desirable Requirements easy to meet but we would encourage a framework more geared to covered bonds 13
14 Liquidity management conclusions SEB has a diversified and functional funding starting point with access to all relevant funding markets - The transitional rules proposed means that the current liquidity management strategy remains valid Customer Pricing will more accurately reflect costs of Capital - On and off balance sheet consumption - Liquidity The proposed Basel III framework remains structurally misaligned to the robust Nordic funding markets - Too little credit given to covered bonds - Too little credit given to the robustness of corporate deposit 14
15 Summary Redefine bank capital Changes to capital definitions in line with SEB s current conservative risk and capital management Under both the current and new rules, SEB remains among the best capitalised banks in Europe SEB s relative position vs. European peers is likely to improve as the impact of the new rules on SEB is estimated to be smaller than the European average New rules reflect full benefits of current high common equity component within Core Tier 1 A combined effect of the redefined capital base and RWAs of bps on SEB s CT1 in 2012E Introduce supplementary leverage ratios SEB within top quartile of European banking universe and within top half of Nordic banks due to high capital levels and minimal relative off balance sheet and credit derivative exposures Liquidity & funding standards Impact of Liquidity and Funding Ratios highly dependent on continued refinements by Committee Long transition times allow ample time to adapt business model should Nordic characteristicse not be recognized Adjust for cyclical & systemic effects In line with SEB s current dividend policy which is already based on a through the cycle payout ratio Flexibility to be adjusted depending on point in time capitalisation level Capture additional risk exposures Further details on proposed changes required for detailed assessment Proposed regulatory changes reinforce a more robust view on capital, echoing SEB s own capital and risk management strategy. All buffer capital requirements have not been set yet. 15
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