Forum Leasingu

Związku Polskiego Leasingu

22.11.2011

Otrębusy

Bazylea III i jej możliwy wpływ na branżę bankową i leasingową

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

3

Historiacommon minimum standards for the banking industrystandardised risk weighting

Basel I : 1988

Basel II : 2004

CRD : 2007

Basel II 1/2 : 2011

Basel III : 2011CRD IV -2019

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

Capital needs in bn EUR

0

5

10

15

20

25

30

35

NL LU FI IE AT BE DE PT FR IT ES GR

Capital needs in bn EUR

Stoxx 600 share prices

0

20

40

60

80

100

120

2008 2009 2010 2011

0

20

40

60

80

100

120

Eurostoxx financials

Eurostoxx 600

Jan 2008 = 100

€ 106 bln

(October 2011)

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 interbankloans 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)

Koszty finansowania/Funding costs – kruchość i delikatność rynków/ Fragile Markets

10Y government bond yields (%)

Greece

NL

Ireland

SpainItaly

Ger

Portugal

Japan0

5

10

15

20

25

07 08 09 10 11

7

?

?

?

Wymogi kapitałowe Bazylei III i główne wskaźniki

2% 4% 6% 8% 10% 12% 14%

Total Capital Ratio

Tier 1 Ratio

Core Tier 1 Ratio

current regulatory minima

ING Group estimate

ING Bank level ‘spot B3 implementation’

new regulatory minima (end state 2018)

Basel Committee has put forward a layered set of capital buffers and a migration path converging to a 2018 end state as follows :

capital conservation buffer (end state 2018)

countercyclical buffer (end 2018 - max 2.5%)

Risk Based Capital Requirement (core tier 1 ratio)

8

Non- Risk Based Capital Requirement : Leverage Ratio

•total balance and off-balance sheet

tier 1 capital

features :

Sprzyja

•high risk loans

•central clearing derivatives

mortgages●

government bonds●

credit facilities●

Liquidity : Liquidity Coverage Ratio

•stock of liquid assets

net 30days cash outflow

contains :

Sprzyja

•issued LT debt

•government bonds

mortgages●

ABS●

•high quality bonds

•savings

•mono-client savings

Nie sprzyja

Nie sprzyja

9

Nie sprzyja

Funding : Net Stable Funding Ratio

•Available Stable Funding

Required Stable Funding

Sprzyja

•issued LT debt

•Term deposits >1 year

high LTV mortgages●

•high quality bonds

•savings•mono-client savings

•non DGS savingscredit facilities

Bazylea III wpływa na obie strony bilansu

Constraints can be summarised in four categories :

RISK BASED CAPITAL REQUIREMENT (core tier 1 ratio) : more stringent definition of capital and increasing risk weights for certain asset classes

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

LIQUIDITY (liquidity coverage ratio) : availability of sufficient buffers in the form of liquid assets to cover potential deposit outflow

FUNDING (net stable funding ratio): availability of sufficient stable (long term) funding to finance the balance sheet

Available Stable Funding

Required Stable FundingNSFR% = > 100%

T1% = > 8.5%

Tier 1 Capital

Risk Weighted Assets

LR% = > 3.0 %

Tier 1 Capital

Total Assets

LCR% = > 100%

Stock of Liquid Assets

Net outflow

11

Przykład bilansu do własnej analizy

300

20

90

210

100

75

350

150

125

144

26

mortgage loans210 390

consumer finance14 26

midcorp loans56 120

corporate loans56 420

debt securities0 300

interbank lending20 150

Assets Liabilities

795 795

client deposits250 440

issued debt56 220

interbank funding20 420

client depositsAsset Linked

=

min max

automatically calculated : 20% of mortgage volume

+100% of midcorp volume

min max

capital

Mieszany obraz wynikający ze wskaźników…

+Lokalne ograniczenia

+Wpływ na rynek i potencjał rynku

Optymalny bilans

Leasing nie jest produktem pierwszego wyboru w ramach Bazylei III

Bazylea III

Performance Measures

Cost Income Ratio Bank vs Lease

036 3638

FY 09 FY 10 1H11

57

70

60

50

40

56

69 BankLease

Sources: Leaseurope, ING Group

(Plato – The Republic, 5th Century BC)

Szansa czy wyzwanie

Poprawa wskaźników bezpieczeństwa

poprzez zmniejszenie sumy bilansowej

Innowacja i nowe produkty

Dopasowanie się do strategii globalnej

ważniejsze niż zysk na poziomie lokalnym

Dyskusja i pytania

Dziękuję za uwage – Mariusz Kurzac