Bazylea III i jej moliwy wpyw na bran

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 ð common minimum standards for the banking industry ð standardised risk weighting ð introduction of internal models for credit risk ð 3 pillar approach ð implementation of BII by European Commission ð followed by a sequence of proposals amending the CRD (Capital Requirement Directive) - CRD II & III on ao. securitisation, large exposures … ð capture the risks in the trading book in a more rigorous and comprehensive manner ð revision of BII framework ð 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 (October 2011) € 106 bln

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 ) 10 Y government bond yields (%) Greece Portugal Ireland Spain Italy NL Ger Japan

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 B 3 implementation’ new regulatory minima (end state 2018) 2% Core 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 -balance sheet • high risk loans mortgages● • central clearing derivatives government bonds● credit facilities● Nie sprzyja • total balance and off Liquidity : Liquidity Coverage Ratio contains : 8 • savings mortgages● • mono-client savings • government bonds • high quality bonds ABS● Nie sprzyja net 30 days 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 • high quality bonds credit facilities • non DGS savings Nie sprzyja Required Stable Funding Sprzyja • Available Stable Funding : Net Stable Funding Ratio

Bazylea III wpływa na obie strony bilansu Constraints can be summarised in four categories : W yp ł ac a l n o ść RISK BASED CAPITAL REQUIREMENT (core tier 1 ratio) : more stringent definition of capital and increasing risk weights for certain asset classes Tier 1 Capital T 1% = 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% = P ły n n o ś ć > 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 56 220 100 144 interbank funding 75 26 capital 795 150 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 36 38 36 FY 09 FY 10 1 H 11 Sources: Leaseurope, ING Group

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, 5 th Century BC)

Dyskusja i pytania Dziękuję za uwage – Mariusz Kurzac