Transcript Slajd 1 - Leasing

Bazylea III i jej możliwy wpływ na branżę
bankową i leasingową
Forum Leasingu
Związku Polskiego Leasingu
22.11.2011
Otrębusy
Agenda
• Geneza powstania komitetu Bazylei i o co w tym wszystkim chodzi
• Luka finansowania na rynkach światowych oraz ograniczenia
wzrostu bilansów banków i spółek leasingowych
• Wskaźniki bilansowe wynikające z wytycznych Bazylei III
• Przykłady zmiany bilansowej w ramach wymaganych wskaźników
• Bazylea III – szansa dla branży leasingowej czy olbrzymie wyzwanie?
• Dyskusja i pytania
Historia
Basel I : 1988
Basel II : 2004
CRD : 2007
Basel II 1/2 : 2011
Basel III : 2011
CRD IV -2019
3
 common minimum standards for the banking industry
 standardised risk weighting
 introduction of internal models for credit risk
 3 pillar approach
 implementation of BII by European Commission
 followed by a sequence of proposals amending the CRD (Capital
Requirement Directive) - CRD II & III on ao. securitisation, large
exposures …
 capture the risks in the trading book in a more rigorous and
comprehensive manner
 revision of BII framework
 first introduction of common liquidity standards
Znaczenie banków w branży leasingowej
 76% of Leaseurope
respondents are bank related
 Top 20 represents 47 % of
total lease market
 Majority (18) of top 20 is bank
owned
 Together these account for
some €95 bln of new
production; 42 % of the
market
Spółki leasingowe powiązane z bankami są największym żródłem nowej produkcji
Source: Leaseurope, Ranking of Top European Leasing Companies 2010
Luka finansowania i konsekwencje dla rynków finansowych
• In October 2011, Eurozone leaders agreed a package of measures designed to prevent the
collapse of member economies due to their spiralling debt. This included a proposal to:



write off 50% of Greek debt
to increase the EFSF to about €1 trillion
and to require European banks to achieve 9% capitalisation
Stoxx 600 share prices
Capital needs in bn EUR
120
(October 2011)
€ 106 bln
35
30
120
Jan 2008 = 100
100
100
80
80
60
60
40
40
25
20
15
10
5
Eurostoxx financials
20
0
NL
LU
FI
IE
AT
BE
DE
PT
FR
IT
ES
GR
0
2008
Capital needs in bn EUR
20
Eurostoxx 600
0
2009
2010
2011
Koszty finansowania/Funding costs – kruchość i delikatność
rynków/ Fragile Markets
 Rising Ted spread* sends Warning Signal
Cross Vault 1 September
 Bank CDS spreads soar
Financial News 13 September
 Money Funds’ Cuts to Banks Could Force Sales
Reuters 14 September
 Europe’s lenders feel the squeeze as liquidity starts to strain
FT 15 September
 Counterparty risk makes an anxious return
FT 27 October
 Even largest banks have seen credit spreads widen
FT 27 October
 Eurozone heads proclaim 'comprehensive' debt crisis plan
Telegraph 27 October
 Race to save Eurozone Deal
FT 2 November
*The TED spread is the difference between the interest rates on interbank
loans and short-term US debt. Consequently, the Ted spread is a great indicator
of interbank credit risk and the perceived health of the banking system (FT )
10Y government bond yields (%)
25
Greece
20
Portugal
Ireland
15
Spain
Italy
NL
10
5
Ger
Japan
0
07
08
09
10
11
Wymogi kapitałowe Bazylei III i główne wskaźniki
 Risk Based Capital Requirement (core tier 1 ratio)
Basel Committee has put forward a layered set of capital buffers and a migration path converging to a
2018 end state as follows :
current regulatory minima
capital conservation buffer (end state 2018)
ING Group estimate
countercyclical buffer (end 2018 - max 2.5%)
ING Bank level ‘spot B3 implementation’
new regulatory minima (end state 2018)
2%
Core Tier 1 Ratio
Tier 1 Ratio
Total Capital Ratio
7
4%
6%
8%
10%
12%
14%
?
?
?
 Non- Risk Based Capital Requirement : Leverage Ratio
features :
tier 1 capital
Sprzyja
off-balance sheet
•high risk loans
mortgages●
•central clearing derivatives
government bonds●
credit facilities●
Nie sprzyja
•total balance and
 Liquidity : Liquidity Coverage Ratio
contains :
8
•savings
mortgages●
•mono-client savings
•government bonds
•high quality bonds
ABS●
Nie sprzyja
net 30days cash
outflow
•issued LT debt
Sprzyja
•stock of
liquid assets

9
•issued LT debt
high LTV mortgages●
•savings
•Term deposits >1 year •mono-client savings
credit facilities
•non DGS savings
•high quality bonds
Nie sprzyja
Required Stable
Funding
Sprzyja
•Available
Stable Funding
Funding : Net Stable Funding Ratio
Bazylea III wpływa na obie strony bilansu
Constraints can be summarised in four categories :
W
y
p
ł
a
c
a
l
n
o
ś
ć
P
ł
y
n
n
o
ś
ć

RISK BASED CAPITAL REQUIREMENT (core tier 1 ratio) : more stringent definition of capital and increasing
risk weights for certain asset classes
Tier 1 Capital
T1% =

Risk Weighted Assets
> 8.5%
NON-RISK BASED CAPITAL REQUIREMENT (leverage ratio): capping total balance sheet size and off-balance
sheet items as a simple equally weighted multiple of capital
Tier 1 Capital
LR% =

> 3.0
%
LIQUIDITY (liquidity coverage ratio) : availability of sufficient buffers in the form of liquid assets to cover
potential deposit outflow
Stock of Liquid Assets
LCR% =

Total Assets
Net outflow
> 100%
FUNDING (net stable funding ratio): availability of sufficient stable (long term) funding to finance the balance
sheet
Available Stable Funding
NSFR% =
Required Stable Funding
> 100%
Przykład bilansu do własnej analizy
Assets
mortgage loans
210
390
consumer finance
14
26
midcorp loans
56
300
56
90
210
420
debt securities
0
300
interbank lending
20
max
11
client deposits
250
440
150
client deposits
Asset Linked
issued debt
125
56
220
144
interbank funding
75
26
capital
795
795
100
150
min
350
20
120
corporate loans
Liabilities
20
min
420
max
=
automatically calculated :
20% of mortgage volume
+100% of midcorp volume
Mieszany obraz wynikający ze wskaźników…
Bazylea III
+
Lokalne ograniczenia
+
Wpływ na rynek i potencjał rynku
Optymalny bilans
Leasing nie jest produktem pierwszego wyboru w ramach Bazylei III
Performance Measures
Cost Income Ratio Bank vs Lease
70
60
50
40
0
Bank
Lease
69
57
56
38
36
FY 09
FY 10
Sources: Leaseurope, ING Group
36
1H11
Szansa czy wyzwanie
Poprawa wskaźników
bezpieczeństwa
poprzez zmniejszenie
sumy bilansowej
Dopasowanie się do
Innowacja i nowe
strategii globalnej
produkty
ważniejsze niż zysk na
poziomie lokalnym
(Plato – The Republic, 5th Century BC)
Dyskusja i pytania
Dziękuję za uwage – Mariusz Kurzac