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Bazylea III i jej możliwy wpływ na branżę bankową i leasingową

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

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Bazylea III i jej możliwy wpływ na branżę bankową i leasingową

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  1. Bazylea III i jej możliwy wpływ na branżębankową i leasingową Forum Leasingu Związku Polskiego Leasingu 22.11.2011 Otrębusy

  2. 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. Historia Basel I : 1988 • common minimum standards for the banking industry • standardised risk weighting Basel II : 2004 • introduction of internal models for credit risk • 3 pillar approach CRD : 2007 • 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 … Basel II 1/2 : 2011 • capture the risks in the trading book in a more rigorous and comprehensive manner Basel III : 2011 CRD IV -2019 • revision of BII framework • first introduction of common liquidity standards

  4. 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

  5. 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 (October 2011) € 106 bln

  6. 10Y government bond yields (%) Greece Portugal Ireland Spain Italy NL Ger Japan 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 SalesReuters 14 September • Europe’s lenders feel the squeeze as liquidity starts to strain FT 15 September • Counterparty risk makes an anxious returnFT 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)

  7. current regulatory minima capital conservation buffer (end state 2018) countercyclical buffer (end 2018 - max 2.5%) ING Group estimate ING Bank level ‘spot B3 implementation’ new regulatory minima (end state 2018) ? ? ? 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 : 2% 4% 6% 8% 10% 12% 14% Core Tier 1 Ratio Tier 1 Ratio Total Capital Ratio

  8.  Non- Risk Based Capital Requirement : Leverage Ratio features : • totalbalance and off-balance sheet Nie sprzyja • high risk loans mortgages● Sprzyja • central clearing derivatives government bonds● credit facilities● tier 1 capital Liquidity : Liquidity Coverage Ratio contains : • stock of liquid assets Sprzyja • issued LT debt Nie sprzyja mortgages● • savings ABS● • mono-client savings • government bonds net 30days cash outflow • high quality bonds

  9. Funding : Net Stable Funding Ratio • Available Stable Funding Nie sprzyja Sprzyja • issued LT debt high LTV mortgages● • savings • mono-client savings • Term deposits >1 year credit facilities • non DGS savings Required Stable Funding • high quality bonds

  10. Bazylea III wpływa na obie strony bilansu Tier 1 Capital Risk Weighted Assets Tier 1 Capital Total Assets Stock of Liquid Assets Net outflow T1% = >8.5% LR% = >3.0 % Available Stable Funding Required Stable Funding LCR% = >100% NSFR% =>100% 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 Wyp ł aca l ność  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 Płynność  FUNDING (net stable funding ratio): availability of sufficient stable (long term) funding to finance the balance sheet

  11. Przykład bilansu do własnej analizy Assets Liabilities 300 350 mortgage loans 210 390 client deposits 250 440 consumer finance 14 26 20 automatically calculated : 20% of mortgage volume +100% of midcorp volume 150 90 midcorp loans 56 120 client deposits Asset Linked = 210 125 corporate loans 56 420 issued debt 56 220 debt securities 0 300 144 100 interbank funding 20 420 interbank lending 20 150 75 capital 26 795 795 min max min max

  12. Mieszany obraz wynikający ze wskaźników… Bazylea III + Lokalne ograniczenia +Wpływ na rynekipotencjał rynku Optymalny bilans Leasing nie jest produktem pierwszego wyboru w ramach Bazylei III

  13. Performance Measures Cost Income Ratio Bank vs Lease Bank 69 70 Lease 57 60 56 50 38 40 36 36 0 FY 09 FY 10 1H11 Sources: Leaseurope, ING Group

  14. Szansa czy wyzwanie Poprawa wskaźników bezpieczeństwa poprzez zmniejszenie sumy bilansowej Dopasowanie się do strategii globalnej ważniejsze niż zysk na poziomie lokalnym Innowacja i nowe produkty (Plato – The Republic, 5th Century BC)

  15. Dyskusja i pytania Dziękuję za uwage – Mariusz Kurzac

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