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Perspectiva del Sistema Bancario Mexicano
Solicitud de Comentarios sobre la Propuesta de Nueva Metodología de Bancos
Moody’s de México Seminario Anual - Septiembre 2014 David Olivares VP-SCO / Felipe Carvallo VP-SA
Moody’s de México Conferencia Anual Septiembre 2014
Agenda
Parte 1. Perspectiva del Sistema Bancario: México
1. Factores de Calificación Clave para la Perspectiva Estable
Parte 2. Solicitud de Comentarios: Propuesta de Nueva Metodología de Bancos
1. Visión General
2. Estructura de las Evaluaciones del Riesgo Crediticio Base de Bancos (BCA)
3. Apoyo y Análisis Estructural
4. Resumen y Análisis de Impacto Preliminar
Moody’s de México Conferencia Anual Septiembre 2014
Perspectiva del Sistema Bancario: México
Parte 1
Moody’s de México Conferencia Anual Septiembre 2014 4
Universo Calificado de Bancos de Moody’s
Moody’s de México Conferencia Anual Septiembre 2014
Factores de Calificación Clave para la Perspectiva Estable1
Moody’s de México Conferencia Anual Septiembre 2014
La perspectiva para el sistema bancario ha sido estable desde el 2010Ambiente Operativo
Positivo
+ Las reformas mejoran los prospectos económicos. El PIB potencial eventualmente alcanzará el 3%-4% (2%-3% antes de las reformas). Las reformas, sin embargo, tomarán tiempo para dar frutos.+ Bajas tasas de interés e inflación apoyarán la demanda crediticia, ingresos y calidad de activos.
Calidad de Activos y Capital
Estable
+/- Cambo en mezcla de activos, disminuye la exposición a riesgo gubernamental y aumentan creditos mas rentables (PyMEs, hipotecas y consumo). Sin embargo, estos créditos consumen más capital y requieren más provisiones.- Concentración en créditos corporativos grandes son un riesgo latente. La morosidad se estabilizará en niveles relativamente elevados, reflejando la continua expansión en los segmentos de mayor riesgo.+ El capital y las reservas son adecuadas para proteger contra riesgos crediticios.
Rentabilidad y Eficiencia
Estable
= El amplio MIN es resultado de depósitos estables de bajo costo y poder de fijación de precios. Los márgenes se mantendrán estable: balance entre enfoque activos de mayor rendimiento y disminución de tasas de interés.- Los costos de provisiones se mantendrán altos a medida que los bancos expanden la cartera de consumo y PyMEs.= Las ganancias en eficiencia serán limitadas mientras los bancos invierten en actualizar su infraestructura.
Fondeo y Liquidez
Estable
= Los bancos se benefician de depósitos estables en moneda local (60% de los pasivos). La dependencia en fondeo de mercado es moderada, limitando el riesgo de refinanciamiento.= La tenencia de valores gubernamentales líquidos ha disminuido, pero sigue alta y continuará reforzando la resistencia a choques de liquidez.+ La adopción del requerimiento de indicadores de liquidez de Basilea III (LCR, cobertura) en 2015 será suave y no limitará los planes de expansión de préstamos, particularmente en los grandes bancos.
Apoyo Sistémico
Estable
= Esperamos que la capacidad y la voluntad del gobierno para apoyar al sistema bancario seguirán siendo altas, sobre todo para los bancos de importancia sistémica.
Moody’s de México Conferencia Anual Septiembre 2014
Las Reformas
» Las reformas estructurales mejoran las perspectivas económicas de largo plazo.
» La reforma financiera incluye medidas para aumentar el acceso al crédito y simplificar el proceso de adjudicación de garantías.
» El impacto de las reformas será particularmente significativo en energía y telecomunicaciones.
» Las inversiones previstas en estos sectores generarán oportunidades de negocio directas e indirectas para los bancos.
» Las reformas, sin embargo, tomarán tiempo para dar resultados.
» Burós de Crédito / Banca de Desarrollo / Juzgados Especializados
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Moody’s de México Conferencia Anual Septiembre 2014
Algunos indicadores macro son estables o empiezan su recuperación, a pesar de la baja actividad económica
* Índice Global de Actividad EconómicaFuente: Instituto Nacional de Estadística y Geografía (INEGI)
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Mar-
13
Ap
r-1
3
May-1
3
Jun
-13
Jul-
13
Au
g-1
3
Sep
-13
Oct
-13
Nov-1
3
Dec-
13
Jan
-14
Feb
-14
Mar-
14
Ap
r-1
4
May-1
4
Jun
-14
3%
4%
5%
6%
85
90
95
100
105
110
115 Tasa de Desocupación Índice de Confianza del ConsumidorIGAE*
Tasa
de D
eso
cup
aci
ón
, (%
)
IGAE e Índice de Confianza del Consumidor, (Puntos Base)
Moody’s de México Conferencia Anual Septiembre 2014
El crédito bancario/PIB esta aumentando, pero aun por debajo del promedio de la región
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Nota: Información de México a diciembre 2008 y diciembre 2013.Fuente: Moody's, Superintendencia de Bancos e Instituciones Financieras (Chile), Banco Central do Brasil, Superintendencia Financiera de Colombia, CNBV, Superintendencia de Banca y Seguros (Perú), Fondo Monetario Internacional (FMI) y el Banco Mundial
Chile Brasil Colombia Perú México Argentina0%
10%
20%
30%
40%
50%
60%
70%
80%
90%Préstamos Bancarios / PIB
Dic-13 Dic-04
Moody’s de México Conferencia Anual Septiembre 2014
Cambio gradual en la composición de activos
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Nota: Exposición a Riesgo Gubernamental = Bonos Gubernamentales (90% de Inversiones en Valores) + Cartera de Crédito a Entidades Gubernamentales Fuente: Comisión Nacional Bancaria y de Valores (CNBV)
Comercial44%
Consumo22%
Vivienda17%
Gobierno13%
Instituciones Financieras
4%Jun-14
Dec-0
9
Apr-1
0
Aug-1
0
Dec-1
0
Apr-1
1
Aug-1
1
Dec-1
1
Apr-1
2
Aug-1
2
Dec-1
2
Apr-1
3
Aug-1
3
Dec-1
3
Apr-1
428%
33%
38%
Exposición a Riesgo Gubernamental / Activos Totales
Moody’s de México Conferencia Anual Septiembre 2014
Hipotecas y créditos a PyMEs y consumo son críticos para el crecimiento
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Fuente: Comisión Nacional Bancaria y de Valores (CNBV)
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2M
ay-1
2Ju
n-1
2Ju
l-1
2A
ug
-12
Sep
-12
Oct
-12
Nov-1
2D
ec-
12
Jan
-13
Feb
-13
Mar-
13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug
-13
Sep
-13
Oct
-13
Nov-1
3D
ec-
13
Jan
-14
Feb
-14
Mar-
14
Ap
r-1
4M
ay-1
4Ju
n-1
4
-5%
0%
5%
10%
15%
20%
25%
30%Comercial Consumo Vivienda Estados y Municipios Cartera Total
Tasa
s d
e C
reci
mie
nto
Nom
inal (1
2
Mese
s) p
or
Tip
o d
e P
rést
am
o, (%
)
Moody’s de México Conferencia Anual Septiembre 2014
Calidad de activos relativamente estable; balance de crecimiento económico y enfoque en créditos de mayor riesgo
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Jan
-11
Mar-
11
May-1
1
Jul-
11
Sep
-11
Nov-1
1
Jan
-12
Mar-
12
May-1
2
Jul-
12
Sep
-12
Nov-1
2
Jan
-13
Mar-
13
May-1
3
Jul-
13
Sep
-13
Nov-1
3
Jan
-14
Mar-
14
May-1
4
0%
1%
2%
3%
4%
5%
6%Cartera Total Comercial Consumo
Índ
ice d
e M
oro
sid
ad
, (%
)
Fuente: Comisión Nacional Bancaria y de Valores (CNBV)
Moody’s de México Conferencia Anual Septiembre 2014
A medida que los bancos presten más, utilizarán más capital, pero el capital básico es fuerte...
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2M
ay-1
2Ju
n-1
2Ju
l-1
2A
ug
-12
Sep
-12
Oct
-12
Nov-1
2D
ec-
12
Jan
-13
Feb
-13
Mar-
13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug
-13
Sep
-13
Oct
-13
Nov-1
3D
ec-
13
Jan
-14
Feb
-14
Mar-
14
Ap
r-1
4M
ay-1
4Ju
n-1
4
13.0%
13.5%
14.0%
14.5%
15.0%
15.5%
16.0%
16.5%
17.0%Índice de Capitalización (ICAP)Indicador Regulatorio de Capital Básico (Tier 1)
Fuente: Banco de México (Banxico)
Moody’s de México Conferencia Anual Septiembre 2014
… y proporciona una amplia capacidad de absorción de pérdidas
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
0%
2%
4%
6%
8%
10%
12%
14%12.7%
11.4%-3.9%
+1.3%+2.1% -0.8%
Escenario Adverso
Índice de capital bá-sico (Tier 1) Ajusta-
do
Utilidades Futuras
(12 meses)
Índice de capital bási-co (Tier 1) Escenario Adverso
Pérdida Espera-da en
Cartera
Reservas para
Riesgos de Crédi-
to
Crecimien-to de Acti-vos Sujetos
a Riesgo
Fuente: Moody’s
14.1%
Moody’s de México Conferencia Anual Septiembre 2014
Amplio margen a pesar de menores tasa de interés.
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Fuente: Moody’s, Comisión Nacional Bancaria y de Valores (CNBV) y Banco Nacional de México (Banxico)
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2M
ay-1
2Ju
n-1
2Ju
l-1
2A
ug
-12
Sep
-12
Oct
-12
Nov-1
2D
ec-
12
Jan
-13
Feb
-13
Mar-
13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug
-13
Sep
-13
Oct
-13
Nov-1
3D
ec-
13
Jan
-14
Feb
-14
Mar-
14
Ap
r-1
4M
ay-1
4Ju
n-1
4
2.00%
2.25%
2.50%
2.75%
5.0%
5.2%
5.4%
5.6%
5.8%
6.0%Costo de Fondeo
Cost
o d
e F
on
deo, (%
)
MIN, (%)
» Pricing power
» Mezcla de cartera
Moody’s de México Conferencia Anual Septiembre 2014
Alto gasto en provisiones por enfoque a créditos de mayor riesgo
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Fuente: Comisión Nacional Bancaria y de Valores (CNBV) and Banco de México (Banxico)
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2M
ay-1
2Ju
n-1
2Ju
l-1
2A
ug
-12
Sep
-12
Oct
-12
Nov-1
2D
ec-
12
Jan
-13
Feb
-13
Mar-
13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug
-13
Sep
-13
Oct
-13
Nov-1
3D
ec-
13
Jan
-14
Feb
-14
Mar-
14
Ap
r-1
4M
ay-1
4Ju
n-1
4
20%
25%
30%
35%
40%
45%
50%
55%Provisiones / Utilidad Antes de Impuestos y Prov...
Moody’s de México Conferencia Anual Septiembre 2014
A pesar de una mayor proporción de bonos en el fondeo, el riesgo de refinanciamiento es limitado
Fuente: Comisión Nacional Bancaria y de Valores (CNBV) y Banco de México (Banxico)
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
Jan-
09
Apr-0
9
Jul-0
9
Oct-0
9
Jan-
10
Apr-1
0
Jul-1
0
Oct-1
0
Jan-
11
Apr-1
1
Jul-1
1
Oct-1
1
Jan-
12
Apr-1
2
Jul-1
2
Oct-1
2
Jan-
13
Apr-1
3
Jul-1
3
Oct-1
3
Jan-
14
Apr-1
40%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
95%
97%
99%
101%
103%
105%
107%
109%
111%
113%
115%
Vista y Ahorro Plazo InterbancariosPlazo (MD) Bonos Bancarios Cartera / Depósitos
Me
zcla
de
Fo
nd
eo
, (%
)
Cartera / Depósi-tos, (%)
Moody’s de México Conferencia Anual Septiembre 2014
Disposición para apoyar a bancos de importancia sistémica en caso de estrés se mantiene*
Ambiente Operativo | Calidad de Activos y Capital | Rentabilidad y Eficiencia | Fondeo y Liquidez | Apoyo Sistémico
* Probable cambio – RFC – cambio más significativoFuente: Moody's
Banco
mer
Banam
ex
Santa
nder
Méxi
co
Banort
e
HSB
C M
éxi
co
Deuts
che M
éxi
co
Sco
tiabank
Méxi
co
Inte
racc
iones
BanB
ajío
Azt
eca
BanR
egio
Barc
lays
Méxi
co
Ve p
or
Más
BTM
UM
Volk
swagen M
éxi
co
1
3
5
7
9
11
13
15
17
19
21
Evaluaciones del Riesgo Crediticio Base (BCA, por sus siglas en inglés)Apoyo de Casa Matriz Apoyo Sistémico
AaaAa1Aa2Aa3A1A2A3Baa
1Baa
2Baa
3Ba1Ba2Ba3B1B2B3Caa
1Caa
2Caa
3CaC
Moody’s de México Conferencia Anual Septiembre 2014
Solicitud de Comentarios: Propuesta de Nueva Metodología de Bancos
Parte 2
Moody’s de México Conferencia Anual Septiembre 2014
Vision General1
Moody’s de México Conferencia Anual Septiembre 2014 21
Request for Comment HighlightsKey proposed changes to our methodology respond to three core objectives:
1. Build on the strengths of the existing methodology:
New scorecard focuses on a relatively small number of simple, predictive metrics
Backtesting has shown these to be strongly predictive of failure or the need for support
Analysts and rating committees to consider additional ratios as relevant for each institution
New ‘Macro Profile’ derived from Sovereign Rating governs calibration
Each financial factor scored as a function of both a financial ratio and the Macro Profile
Forward-looking expectations and scenario analysis fully integrated into the Scorecard
2. Respond to the fundamental shift in the way failing banks are resolved or recapitalized in certain jurisdictions
Distinguish loss severity by individual creditor classes for banks subject to resolution
Recognise that deposits may be preferred to senior unsecured debt in resolution
3. Refine underlying concepts of Joint-Default Approach
“Systemic support indicators” replaced by the sovereign rating
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 22
Proposed Rating StructureSequential approach maintained
LGF liability analysis in Operational Resolution
Regimes
Introduction of a Macro Profile
Elimination of Systemic Support Indicator
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014
Estructura de las Evaluaciones del Riesgo Crediticio Base de Bancos (BCA)
2
Moody’s de México Conferencia Anual Septiembre 2014 24
Our bank Baseline Credit Assessments describe the probability of a bank defaulting on any of its rated instruments, in the absence of external support. There are three stages to the BCA analysis:
1. Macro Profile: Reflects systemic risks (common to all banks in a given system)
2. Financial Profile: Key bank-specific financial metrics
3. Qualitative Adjustments: Additional qualitative and quantitative factors
BCA Structure
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 25
1. Macro Profile
Macro Profile builds on three sovereign scorecard components, and three banking components.
Sovereign Component Banking ComponentKEY:
1
Credit Conditions
3
Susceptibilty to Event Risk
2
Institutional Strength *
1
Economic Strength
Unadjusted Banking System Macro Profile
Banking System Macro Profile
Banking Country Risk
Industry Structure
Adjustment
3
Funding Conditions Adjustment
2
1. Systemic performance correlated with macroeconomic conditions. Measured by GDP growth/volatility, Global Competitiveness Index.
2. Banks depend on legal framework to enforce contracts. Measured by WB Corruption and Rule of Law Indices, inflation level/volatility.
3. Banking system exposed to same external and political vulnerabilities as sovereign. Measured by External Vulnerability indicator, domestic political risk.
Rapid credit expansion can be a significant leading indicator of credit quality problems. Measured by level and growth rate of Credit to GDP
As Credit Conditions deteriorate, weight of Banking Country Risk decreases
2. Funding problems can both reflect and create systemic vulnerabilities. Measured by market funding measures/cost, central bank balance sheets.
3. Under/over capacity or competitive distortions (government interference) may indicate strengths or vulnerabilities.
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 26
Macro Profile Rank Ordering
Moody’s macro profiles for selected economies:
Se
lect
ed
Ma
cro
Pro
file
Ra
nk
Ord
erin
g
CountryBanking Country
RiskCredit Conditions
Funding Conditions
Industry Structure
Banking System Macro Profile
Australia Aaa - Aa2 Neutral -1 1 Very Strong
United States Aaa - Aa2 Weak + 1 -1 Very Strong -
Canada Aaa - Aa2 Weak 0 1 Very Strong -
France Aaa - Aa2 Neutral -1 0 Very Strong -
Germany Aaa - Aa2 Neutral 0 -1 Very Strong -
United Kingdom Aaa - Aa2 Neutral 0 -1 Very Strong -
Chile Aa1 - Aa3 Weak 0 0 Strong +
Korea Aa1 - Aa3 Weak + -1 0 Strong +
Saudi Arabia Aa3 - A2 Weak + 0 0 Strong
Mexico A1 – A3 Neutral 0 0 Strong
Brazil A2 – Baa1 Weak + 0 0 Moderate +
Panama A3 – Baa2 Weak 0 -1 Moderate -
Uruguay A2 - Baa1 Neutral -1 -1 Moderate
Italy A2 - Baa1 Weak -1 0 Moderate
Spain A2 - Baa1 Weak -1 0 Moderate
Peru Baa1 - Baa3 Neutral 0 0 Moderate +
Colombia Baa2 - Ba1 Neutral 0 0 Moderate
Costa Rica Baa2 – Ba1 Weak +l 0 -1 Moderate -
Russia Baa1 - Baa3 Neutral -1 0 Moderate
Dominican Republic Ba1 – Ba3 Weak - 0 -1 Weak
Bolivia Ba3 – B2 Neutral 0 0 Weak
Argentina B3 – Caa2 Weak 0 0 Very Weak +
Ukraine B3 - Caa2 Weak + 0 0 Very Weak +
Egypt B2 - Caa1 Very Weak + -1 0 Very Weak
Cyprus B2 - Caa1 Very Weak -3 0 Very Weak -
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 27
2. Financial Profile
In our assessment of a bank’s financial profile we score key risks and their mitigants
Tangible assets = total assets less derivatives less goodwill and other intangibles
Tangible banking assets = total assets less derivatives less goodwill and other intangibles less insurance investments
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 28
VS+ VS VS- S+ S S- M+ M M- W+ W W- VW+ VW VW-VS+ aaa aaa aa1 aa1 aa2 aa3 a1 a3 baa1 baa2 ba1 ba3 b2 caa1 caa3VS aaa aa1 aa1 aa2 aa3 a1 a2 a3 baa1 baa3 ba1 ba3 b2 caa1 caa3VS- aa1 aa1 aa2 aa2 aa3 a1 a2 baa1 baa2 baa3 ba2 b1 b2 caa1 caa3S+ aa1 aa2 aa2 aa3 a1 a2 a3 baa1 baa2 ba1 ba2 b1 b3 caa1 caa3S aa2 aa2 aa3 a1 a2 a3 baa1 baa2 baa3 ba1 ba3 b1 b3 caa1 caa3S- aa3 aa3 a1 a2 a3 a3 baa2 baa3 ba1 ba2 ba3 b2 b3 caa2 caa3M+ a1 a1 a2 a3 a3 baa1 baa2 baa3 ba2 ba3 b1 b2 b3 caa2 caa3M a2 a2 a3 baa1 baa1 baa2 baa3 ba1 ba2 ba3 b1 b3 caa1 caa2 caa3M- a3 a3 baa1 baa2 baa3 baa3 ba1 ba2 ba3 b1 b2 b3 caa1 caa2 caa3W+ baa1 baa2 baa2 baa3 ba1 ba2 ba2 ba3 b1 b2 b3 b3 caa1 caa2 caa3W baa2 baa3 ba1 ba1 ba2 ba3 ba3 b1 b2 b3 b3 caa1 caa2 caa2 caa3W- baa3 ba1 ba2 ba3 ba3 b1 b2 b2 b3 b3 caa1 caa1 caa2 caa2 caa3VW+ ba1 ba3 ba3 b1 b2 b2 b3 b3 caa1 caa1 caa2 caa2 caa2 caa3 caa3VW ba3 b1 b2 b3 b3 caa1 caa1 caa1 caa2 caa2 caa2 caa2 caa3 caa3 caa3VW- b1 b3 caa1 caa1 caa2 caa2 caa2 caa3 caa3 caa3 caa3 caa3 caa3 caa3 caa3
Financial Ratio
Mac
ro P
rofil
e
Initial BCA score derived from Financial & Macro ProfilesRating of banks in weak systems are less sensitive to their individual financial metrics and more reflective of changes in the macro environment.
Example: Bank’s Financial Ratio Country’s Macro Profile Initial Score
Bank in Country 1 Moderate Strong baa2
Bank in Country 2 Moderate Weak b1
VERY STRONG +
VERY WEAK -
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 29
Assigned scores incorporate forecasts, auxiliary ratios, qualitative aspects & stress scenarios.
Example Scorecard: Financial Profile 5 6 7 10 11
Historic Ratio Initial ScoreExpected
trendAssigned
ScoreKey driver #1 Key driver #2
SolvencyAsset Quality
Problem Loans / Gross Loans 2.0% a1 ↓↓ baaGeographical concentration
Downward trend
Capital
Tanigble Common Equity / RWA 8.5% ba2 ↔ b Nominal leverage
Profitability
Net Income / Tangible Assets 1.0% a3 ↔ a Earnings quality
Combined Solvency Score baa1 baa
LiquidityFunding Structure
Market Funds / Tangible Banking Assets 15.0% a2 ↔ baa Maturity transformation
Liquid ResourcesLiquid Banking Assets / Tangible Banking
Assets20.0% baa1 ↑ baa Intragroup restrictions
Combined Liquidity Score a3 baa
Financial Profilebaa3
Example Scorecard: Qualitative factors quantified
Financial factors
Score incorporating Macro Profile
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 30
3. Qualitative Adjustments
We may adjust our initial BCA score by one or more notches if we judge any of these factors has a material bearing on the bank’s overall risk profile.
Gauges a bank’s sensitivity to deterioration in a single business line.
+ Positive adjustmentsE.g. a one-notch increase for a firm with a diverse range of business activities that provide an overall reliable earnings stream.
- Negative adjustmentsE.g. a one-notch decrease for a bank which derives more than about three-quarters of its revenues or earnings from a single business line.
1
Business diversification
2
Opacity and complexity
3
Corporate behavior
An institution’s riskiness increases with its complexity, other things being equal.
+ Positive adjustmentsNone.
- Negative adjustmentsE.g. a one-notch decrease (or more in extreme cases) if a bank has numerous business lines across many geographies and legal entities, significant exposure to derivatives, complex legal structure, large, complex and / or long-dated exposures to other financial institutions.
A bank’s creditworthiness can be influenced by what we term its “corporate behavior”, which can also signal other concerns.
+ Positive adjustmentsRare one-notch increases, e.g. from sustained exemplary stewardship over time with tangible impact on the risk profile
- Negative adjustmentsOne or more notch decreases considering the following factors: key man risk, insider and related party risks, strategy and management, dividend policy, and compensation policy.
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014
Apoyo y Análisis Estructural3
Moody’s de México Conferencia Anual Septiembre 2014 32
1. Affiliate Support: An entity may be supported by other entities within a group
2. Loss Given Failure (LGF): Liability analysis to assess the impact of a failure of the bank on its various debt classes absent government support
3. Government Support: An entity may be supported by local or the federal government
Support & Structural Analysis consists of 3 elements
» How likely is a bank to be supported by affiliates?
» Determines the Adjusted BCA
» The risk that different creditors are exposed to in the event of the failure of a bank, absent support
» This enables us to distinguish between the BCA, bank senior unsecured, bank holding company senior unsecured, and deposits
» The extent to which risks to creditors are mitigated by public support
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
A major innovation is the introduction of LGF
Better distinguishing types of debt protecting depositors
Lose s determined by the tranche of debt subordinated to each class
And the size of each debt tranches
Moody’s de México Conferencia Anual Septiembre 2014 33
No proposed change to our approach to assessing Affiliate Support
Affiliate Support
Variables remain as follows:
Probability of Default (PD) = (1- Support Probability) * BCA + Support Probability * ((Dependence
* min (BCA, Support Provider rating) + (1 - Dependence ) * BCA * Support Provider rating)
Unsupported rating (BCA)
CreditworthinessSupport probability
Dependence (correlation)1 2 3 4
These will determine a range of potential uplift under our Joint-Default Approach (JDA)
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014
European Union, United States (Title I and Title II), Switzerland, Others (esp. G-20) likely to follow
Loss Given Failure (LGF) Liability Analysis
» Specific legislation enabling orderly resolution of failed bank
» Clarity of impact on depositors and other creditors
» Reduced probability of government support for senior creditors
YES
WHERE:
Loss Given Failure (LGF) Liability Analysis
Operational Resolution Regime?
NotchingSenior unsecured rating: Adjusted BCA
Dated subordinated debt rating: Adjusted BCA -1
Everywhere else, for now (i.e. Latin America)
» Expectation that the largest, most systemically important banks are typically resolved through support rather than bail-in
» Statutory alternative is bankruptcy, but resolution approaches tend to be defined only in a crisis
NO
For banks in countries with Operational Resolution Regimes (ORR), we apply LGF liability analysis; elsewhere, we use current notching.
34
WHERE:
ORRs allow banks to selectively default on certain instruments outside of bankruptcy
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 35
Loss Given Failure Liability Analysis
We combine our Macro Profile and the resolution approach to determine the median loss rate
We identify affected debt and deposits. However, we recognize that the bank’s balance sheet at the time of failure may differ materially from its current structure.
We look at the hierarchy of claims (subordination) assuming liquidation
Impact of the failure of the bank on its various debt classes in the absence of any government support
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014
Government Support
Government support is assessed for each creditor class and uplift derived using JDA.
We will use sovereign rating rather than systemic support indicators (SSI)
95-100%
70-95% Very High50-70% High30-50% Moderate0-30% Low
Notching within the JDA range is a Rating Committee judgment
Updated from current 100% only90% Very High70% High50% Moderate
NEW
Government Backed
36
Government support does not necessarily apply to all debt classes, even in countries without Resolution Regimes.
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014
Capacity of Country to Provide Support
37
» Rationale for the change being proposed
― Liquidity crisis will often degrade into a solvency crisis, as seen during crisis
― Central bank liquidity support can keep banks afloat, but solvency issues require recapitalization, which is beyond a central bank’s powers
― Also, as governments become increasingly involved in the rescue of banks, the country’s capacity to bail-out its system converges towards the government’s fiscal capacity, and thus its bond rating
Government support capacity is assessed by its rating.
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014
4 Resumen y Análisis de Impacto Preliminar
Moody’s de México Conferencia Anual Septiembre 2014 39
IMPACT-3 -2 -1 0 1 2 3 BCAs notch change BCA
North America 77 0.0 a3
EU 248 0.0 ba2
Asia Pacific 173 0.1 baa3
CIS and Western Asia
144 0.0 b2
Latin America 116 0.0 ba2
MEA 102 -0.1 ba2
Other Western Europe
35 0.0 baa1
WORLD 895 0.0 ba2
Number of existing
Weighted average Balance
up / down
Average
0% 0% 3% 97% 0% 0% 0%
0% 0% 2% 89% 4% 3% 0%
0% 0% 2% 89% 6% 3% 0%
0% 0% 1% 93% 6% 0% 0%
0% 2% 3% 91% 4% 0% 0%
0% 1% 8% 87% 4% 0% 0%
0% 0% 3% 92% 5% 0% 0%
0% 0% 3% 91% 5% 1% 0%
-3%
4%
7%
-6%
4%
-1%
3%
2%
Impact Analysis: Baseline Credit Assessment
We expect impact on baseline credit assessments (BCAs) to be limited.
NUMBERS ARE NOT FINAL
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
Moody’s de México Conferencia Anual Septiembre 2014 40
Impact Analysis: Local Currency Deposit Ratings
IMPACT-3 -2 -1 0 1 2 3 ratings notch change BCA
North America 77 1.7 A1
EU 251 1.2 Baa1
Asia Pacific 178 -0.1 A3
CIS and Western Asia
145 0.0 B2
Latin America 116 -0.1 Ba1
MEA 103 -0.1 Baa2
Other Western Europe
35 0.2 A2
WORLD 905 0.5 Baa2
Balance Number of
existing Weighted average Average
up / down
0% 0% 0% 12% 8% 74% 5%
0% 0% 5% 21% 28% 42%4%
0% 3% 5% 89% 2% 1% 0%
0% 0% 1% 95% 3% 0% 0%
0% 0% 12% 85% 2% 1% 0%
0% 0% 16% 82% 2% 0% 0%
0% 0% 0% 88% 9% 0% 3%
0% 1% 6% 63% 10% 18% 2%
88%
69%
-4%
-14%
2%
-10%
13%
24%
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
NUMBERS ARE NOT FINAL
Moody’s de México Conferencia Anual Septiembre 2014 41
Local Currency Senior Unsecured Debt
LGF positively affects senior debt ratings in Europe, but negatively in the US
IMPACT Number in-3 -2 -1 0 1 2 3 Sample notch change rating
North America 72 -0.5 A3
EU and Other Western Europe
144 0.8 Baa1
Asia Pacific 31 -0.1 A1
CIS and Western Asia
48 0.0 B1
Latin America 22 0.0 Ba2
MEA 8 0.0 Ba1
WORLD 325 0.2 Baa2
Balance Weighted average Average
down / up
0% 1% 61%29%
6% 1% 1%
0% 0% 14% 24%36% 21% 3%
0% 3% 0% 97% 0% 0% 0%
0% 0% 2% 94% 4% 0% 0%
0% 0% 9% 86% 5% 0% 0%
0% 0% 0% 100% 0% 0% 0%
0% 1% 21%49%
18% 10% 2%
-54%
47%
-3%
0%
2%
-5%
9%
Panorama | Riesgo Crediticio Base | Apoyo y Análisis Estructural | Impacto General
NUMBERS ARE NOT FINAL
Moody’s de México Conferencia Anual Septiembre 2014
Ciudad de México:
David Olivares VillagómezVP-Senior Credit Officer+52 (55) [email protected]
Felipe Carvallo MendozaVP- Senior Analyst+52 (55) [email protected]
Busy Juárez HuerdoAssociate Analyst +52 (55) [email protected]
Lauren Kleiman TobalAssociate Analyst +52 (55) [email protected]
Vicente Gómez FacioAssociate Analyst +52 (55) [email protected]
Aaron FreedmanAssociate Managing Director +52 (55) [email protected]
www.moodys.com/ratingbanks
Moody’s de México Conferencia Anual Septiembre 2014
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