Optimizing performance and profitability in the Basel III environment. Nicolas Kunghehian, Business Development Director
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1 Optimizing performance and profitability in the Basel III environment Nicolas Kunghehian, Business Development Director June 2011
2 Higher costs for a better risk control performance Risk Operation al reports Limit monitoring P&L reports Budgeting reports Single portfolio reports Risk reports Credit risk Liquidity risk Market risk Operational risk Regulatory reports Local reports Group reports Internal reports Specific risk drivers P&L Board of Director Daily summary report 2
3 Results of the QIS: Liquidity Ratios Source: 3
4 Basel III squeezes capital!» More strict rules on capital, lowering it (own funds review)» Higher capital requirements (updated calculation rules increase RWA for some asset classes)» Increased capital ratios (Core Tier 1, Tier 1, Conservation buffer, Countercyclical buffer) 4
5 Liquidity coverage ratio (LCR) example Assets 470 Cash 50 v Stock of high quality liquid assets 150 Gov. Bonds 100 Financial Institution Bonds 50 Loans 270 Liabilities and Equity 470 Run-off factor Outflows* Inflows** Net outflows Stable retail deposits 100 v 7.50% 7.5 Less stable retail deposits 100 x 15% = 15 - Unsecured Wholesale Funding (Non fin. Corporate with no operational relationship) % Equity LCR 115% *Additional requirements are also considered as outflow (e.g. 100% of outstanding liquidity facilities to non fin. Corporate, etc) ** 100% of planned inflows from performing assets 5
6 Higher costs and a better allocation Assets 470 Cash Cost of holding these assets: 50 v Stock of high quality liquid assets 150 Gov. Bonds 100 Financial Institution C = X% Bonds per year x Loans 270 Liabilities and Equity 470 Run-off factor Outflows* Inflows** Net outflows C is allocated depending on the outflows generated by the instrument Stable retail deposits 100 v 7.50% 7.5 Less stable retail deposits 100 x 15% = 15 - Unsecured Wholesale Funding (Non fin. Corporate with no operational relationship) % Equity » Short term assets» Long term liabilities» Assets eligible to the Buffer Good FTP component» Risky assets» Unsecured wholesale funding Bad FTP component LCR 115% 6
7 Capital allocation example Assets 470 Cash 50 v Stock of high quality liquid assets 150 Gov. Bonds 100 Financial Institution Bonds 50 RWA Loans 270 Liabilities and Equity 470 Run-off factor Minimum Regulatory Capital Economic Capital Outflows* Inflows** Net outflows Stable retail deposits 100 v 7.50% 7.5 Less stable retail Available depositsamount of capital 100 x 15% = 15 - Unsecured Wholesale Funding (Non fin % Corporate with no operational relationship) Calculation of the capital ratios Equity » Non risky assets» Tier 1 instruments» Low risk weighted assets Good FTP component» Risky assets» Securitized assets? Bad FTP component Define LCR a target 115% ratio Optimize your capital ratios 7
8 How to optimize and define a strategy P&L Net interest income Market value of one portfolio LCR NSFR Liquidity Ratios Capital optimization Leverage ratio Capital ratios 8
9 Conclusions» More constraints for banks More capital of better quality Liquidity buffers» A great opportunity Shared ownership Better risk management Better performance management Modeling Forecasting Risk Calculation Reporting Limit monitoring Action plans Optimization Strategy Budgeting Planning 9
10 Contacts Nicolas Kunghehian Associate Director Moody's Analytics 436, Bureaux de la Colline Bâtiment E - 12e étage Saint-Cloud Cedex, France +33 (0) direct +33 (0) mobile nicolas.kunghehian@moodys.com 10
11 moodysanalytics.com 2011 Moody s Analytics, Inc. and/or its licensors and affiliates (collectively, MOODY S ). All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY S PRIOR WRITTEN CONSENT. All information contained herein is obtained by MOODY S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided AS IS without warranty of any kind. Under no circumstances shall MOODY S have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of MOODY S or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if MOODY S is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The ratings, financial reporting analysis, projections, and other observations, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY S IN ANY FORM OR MANNER WHATSOEVER. Each rating or other opinion must be weighed solely as one factor in any investment decision made by or on behalf of any user of the information contained herein, and each such user must accordingly make its own study and evaluation of each security and of each issuer and guarantor of, and each provider of credit support for, each security that it may consider purchasing, holding, or selling. 11
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