De bankenunie
naar een grotere harmonisatie van het toezicht Financieel Forum, 10 december 2014
Deze presentatie en de gegeven toelichting vertolken de persoonlijke mening van de spreker en verbinden de Nationale Bank van België niet.
Schema van de uiteenzetting “3.600 banks, 18 countries, one system”
Context bankenunie Bankenpopulatie Nieuwe toezichtarchitectuur Gezondheidscheck 2014 Toezichtagenda 2015
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Context van de bankenunie
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Evolutie van de BE bankenpopulatie (2004-2014) 140
120
118 110
107
106
100
100
97
97
95 88 84
80
84 BE banken Bijkantoren EU Bij kantoren niet-EU
60
Verzekeringsondernemingen
59 54
51 46
40
52 49
51 47
48 47
50 48
52
55
39
39
21
20
20
Beursvennootschappen
47 42
41 37 36
55
53
36 31 27
26
20
23
23
23
9
9
8
9
9
9
9
9
9
10
10
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
0
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BE Bankenpopulatie in het GTM “belangrijke onder toezicht staande instellingen”
“home”
“host”
“host”
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Wat België betreft: 1. Argenta 2. Axa Bank 3. Bank Degroof 4. Belfius 5. Dexia 6. KBC 7. Bank of New York Mellon 8. BNPP Fortis 9. Crédit Mutuel 10. ING Bank 11. Monte Paschi 12. Puilaetco 13. Santander 14. ABN AMRO (bijk) 15. Deutsche Bank (bijk) 16. Rabobank (bijk)
SSM SI 120 groepen, 1200 entiteiten Significance criteria Size
the total value of its assets exceeds €30 billion
Economic importance
for the specific country or the EU economy as a whole
Cross-border activities
the total value of its assets exceeds €5 billion and the ratio of its cross-border assets/liabilities in more than one other participating Member State to its total assets/liabilities is above 20%
Direct public financial assistance
it has requested or received funding from the European Stability Mechanism or the European Financial Stability Facility
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Bankenpopulatie in het GTM “minder belangrijke onder toezicht staande instellingen” SSM LSI 3500 entiteiten Wat België betreft: 30 in België gevestigde instellingen (holdings, banken, niet EUbijkantoren) - Datex, Finaxis, Optima Groep - ABK, Bank van Breda, CPH, CKV, Delen, Crelan, Delta Lloyd, Dierickx Leys, Europabank, Keytrade, Optima, van de Put, VDK - Byblos, Citibank, ENI, FCE, Hoist, HSBC, ICICI, JPM E, JPM Intl, Shizuoka, RBS, UTB,… - Euroclear SA, Euroclear Bank - bijkantoren in België van minder belangrijke instellingen
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Toepassing op groepen – pre-SSM Financiële Holding BE
NBB
NBB
Bank 0 BE
Verzekering BE
NBB
Bank 1 BE CBI
Bank 2 IRL
CNB
Bank 3 CR
NBB
FSMA
Asset Management BE
Toepassing op groepen – pre-SSM Financiële Holding BE
KBC toezichtcollege
NBB
NBB
Bank 0 BE
Verzekering BE
NBB
Bank 1 BE CBI
Bank 2 IRL
CNB
Bank 3 CR
NBB
FSMA
Asset Management BE
Toepassing op groepen - SSM Financiële Holding BE
ECB SSM
NBB
NBB
Bank 0 BE
Verzekering BE
NBB
Bank 1 BE CBI
Bank 2 IRL
CNB
Bank 3 CR
NBB
FSMA
Asset Management BE
ECB - BANK TOEZICHTCOLLEGE Financiële Holding BE
ECB SSM
NBB
NBB
Bank 0 BE
Verzekering BE
NBB
Bank 1 BE CBI
Bank 2 IRL
CNB
Bank 3 CR
NBB
FSMA
Asset Management BE
ECB - BANK TOEZICHTCOLLEGE Financiële Holding BE
ECB SSM
NBB
NBB
NBB
Bank 0 BE
Verzekering BE
FSMA
Asset Management BE
NBB
Bank 1 BE CBI
Bank 2 IRL
CNB
Bank 3 CR
ECB SSM CONGLOMERAAT COLLEGE
Governing Council
ECB SSM
Supervisory Board
Big 30
Other
90
NBB
NBB Board & Committees
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TB/TP Significant Banks
TB/TP Less Significant Banks
TA Policy Methodo
TF Models On-site
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ECB SSM SI “Joint Supervisory Teams” JST Coordinator
J S T
JST team ECB contract NCA contract
NCA JST SubCoordinator
NCA JST team members
NCA JST Subcoordinator
NCA JST team members
NCA3 Non-SSM
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Toezichtmodel Less Significant Institutions DG III
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NBB in SSM modus Micro & macroprudentieel toezicht: budget is de laatste jaren gestegen naar > 250 VTE verdeeld over de prudentiële toezichtdiensten (banken, verzekeringsondernemingen, marktinfrastructuren en betalingsinstellingen, specifieke functies (modellen, on-site) en prudentieel beleid en financiële stabiliteit)
Bankentoezicht: budget verdeeld over “significant” (60%) “local & specialised” instellingen + non-SSM (30% VTE) Coördinatie en support (10%)
Multidisciplinaire teams Toegewezen aan één of meerdere SI Portefeuille van instellingen igv LSI en non-SSM
Aanpassing procedures & governance NBB 17 / xx
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Gezondheidscheck 2014
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Gezondheidscheck 2014 Comprehensive assessment/Omvattende beoordeling Voorafgaand aan operationele start van het GTM (november 2013 – oktober 2014): Risicobeoordeling (RAS) Activakwaliteitsbeoordeling (AQR) Stress test op schokbestendigheid (baseline – adverse)
1 methodologie, centraal aangestuurd maar decentraal uitgevoerd NBB: belangrijke mobilisatie van toezichtmiddelen (coördinatie, off-site, on-site) met beroep op consultant en audit kantoren
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Key Comprehensive Assessment principles and work blocks Main objectives of the exercise The assessment is an important step in preparing the single supervisory mechanism and towards bringing about greater transparency of banks’ balance sheets and consistency of supervisory practices within Europe 1. Transparency: enhancing the quality of
information available on the condition of banks 2. Repair: identifying and implementing any
necessary corrective action 3. Confidence building: assuring all
stakeholders that banks are fundamentally sound and trustworthy Source: “Note on Comprehensive assessment”, ECB, October 2013
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Work blocks The comprehensive assessment consists of three closely interlinked components
A. Supervisory Risk Assessment: review of key risks such as liquidity, leverage and funding B. Asset Quality Review: enhancement of the transparency of bank exposures by reviewing the quality of banks’ assets, including the adequacy of asset and collateral valuation and related provisions C. Stress test: Forward-looking picture of the resilience of banks’ balance sheets to stress scenarios (in co-operation with the EBA)
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A robust quality assurance process has been set up to ensure the highest quality of deliverables Asset Quality Review AQR methodology and technical assistance has been provided by the ECB AQR has been executed by external auditors specifically hired for this exercise, which have performed a first layer of Quality Assurance by separated teams A second layer of Quality Assurance has been performed by the NBB Weekly meetings with auditors and banks Bi-weekly meetings with auditors Cross-bank benchmarking of results A third layer of Quality Assurance has been performed by the ECB by transversal comparison across banks and countries
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Stress Test Stress Test methodology has been provided by the EBA, with additional guidance and benchmark from the ECB Stress Test exercise has been performed by the banks with technical guidance from the NBB and the EBA A first layer of Quality Assurance has been performed by the NBB Three meeting with banks organized before initial submission Cross-bank benchmarking of results A second layer of Quality Assurance has been performed by the ECB Automated Quality Assurance checks Top-down benchmarking of results
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The ECB designed a prescriptive AQR methodology based on 9 work blocks covering banking and trading books January 2014
August 2014
6. Projections of Findings of Credit File Review
1. Policies, Processes and Accounting Review (PP&A)
2. Loan Tape Creation and Data Integrity Validation (DIV)
3.Sampling
4. Credit File Review
7. Collective Provision Analysis
5. Collateral and Real Estate Valuation
8. Level 3 Fair Value Exposures Review CVA Challenger model
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8.i. Revaluation of Non-Derivative Level 3 Assets
8.ii. Core Trading Book Processes Review
9. Determine AQR Adjusted CET1% for use in ECB Stress Test and Define Remediation Activities for Banks Following CA
8.iii. Derivative Pricing Model Review
Data quality and accounting policies
Credit provisions
Illiquid assets and derivative valuation
AQR adjustment calculation
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2014 EU-wide Stress Test exercise is performed on the basis of a common set of rules defined by the EBA in close collaboration with ECB Common baseline and adverse macroeconomic scenarios have been provided by EBA along with benchmarks and guidelines on the key risk parameters and variables Banks are required to stress test a common set of risks: credit risk, market risk, sovereign risk, securitisation and cost of funding (further details on stress test methodology on Stress test projections are carried out on the basis of the consolidated year-end 2013 figures and cover a three-year period (2014–2016) Static balance sheet is assumed (specific exemption can be awarded to banks undergoing restructuring plans approved by the European Commission) EBA Stress Test has been designed in close collaboration with the ECB to allow for results join-up with AQR exercise as part of the SSM transition
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Comparison of macroeconomic scenarios between Belgium and European Union average Baseline scenario Belgium 1,4% 1,7% 1,4%
Adverse scenario EU
Belgium
EU
1,5% 2,0% 1,8%
Real GDP (% growth year on year)
0,1%
0,1% -0,2%
-0,7% -1,5%
-1,5%
Consumer prices (% growth year on year)
Unemployment rates (% rate)
Residential property prices (% growth year on year)
0,9%
1,4% 1,5%
1,7% 1,2% 1,5%
1,1%
0,8% 0,1% 0,0%
8,5% 8,2% 8,0%
0,9%
10,7% 10,4% 10,1%
0,9%
8,7% 9,6%
0,6%
11,3% 12,3%
10,9%
0,0% 13,0%
2,7% 3,8%
-0,8% -0,1%
-2,1%
-4,2% -7,9%
-10,4% -12,5%
2014
2015
-6,2%
2016
Source: EBA Stress Test macroeconomic scenario
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A capital plan will be required for banks that fail the Comprehensive Assessment exercise The following CET1 ratio thresholds have been defined by the ECB to assess the outcome of the Comprehensive Assessment: AQR-adjusted 2013 CET1 ratio: 8.0% Baseline projection of CET1 ratio1: 8.0% Adverse projection of CET1 ratio1: 5.5% Banks displaying a capital shortfall against those thresholds will be required to present a capital plan within 2 weeks Capital measures taken by the banks between January 1st 2014 and September 30th 2014 are not taken into account in the Comprehensive Assessment outcome Impact of those measures is disclosed as part of disclosure templates If sufficient to cover the capital shortfall, those measures can constitute the capital plan Capital measures such as asset sales are not part of disclosure templates but can be included in the capital plans
1. Lowest CET1 ratio over the stress test horizon (2014-2016)
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Six Belgian banks were in scope for the Comprehensive Assessment Comprehensive Assessment performed by the NBB on six home banks Investar (holding of Argenta Bank- Verzekeringsgroep) Axa Bank Europe SA Belfius Banque SA The Bank of New York Mellon SA Dexia NV KBC Group NV In addition, NBB supported the Asset Quality Review on two host banks (exercise led by home authorities) BNP Paribas Fortis (home authority: ACPR) ING Belgium (home authority: DNB)
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Excluding Dexia, Belgian banks display an average decrease in CET1 ratio of 5.8% under adverse scenario Average CET1 ratio for Belgian banks (excluding Dexia) Asset Quality Review 16% 14%
14,0%
0,5%
ST Baseline scenario 13,5%
1,1%
ST Adverse scenario 5,4%
12,5%
12% 10%
8,2%
8% 6% 2013 CET1 ratio
AQR impacts
AQR adjusted CET1 ratio
Stress test impacts
2016 CET1 ratio
Stress test impacts
2016 CET1 ratio
AQR impact is limited to 0.5% and driven by the specific methodology, results confirm the correct application of accounting standards in Belgium Under the baseline scenario, the Belgian banking sector remains well above the threshold confirming the improvement of its financial position in recent years. The negative impact is mainly due to repayment of state aid In the adverse scenario, the Belgian banking sector remains on average above the threshold with a comfortable capital buffer remaining: no post-Comprehensive Assessment capital measures are needed
Source: Comprehensive Assessment disclosure templates, NBB calculations
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Belgian banks represent 2% of total SSM capital shortfalls identified by the Comprehensive Assessment Total capital shortfalls identified by the Comprehensive Assessment 30 25.2 BN
25 20 15 9.9 BN
10 5 0.54 BN
0 BN
0 Belgian banks Shortfall before remedial actions
SSM Shortfall after remedial actions
Source: ECB Comprehensive Assessment report
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Beyond quantitative impacts, the AQR highlighted some qualitative shortcomings in banks’ practices
Main topics
1
Data quality
Areas for improvement • Available information on collateral and credit profile of clients • Reconciliation of data sources • Correctness of assets classification and portfolio
2
• Implementation of non-performing loans and forbearance identification standards Credit risk
• Collateral management practices • Documentation of provisioning model key parameters
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The Stress test results reflect the general characteristics and the business models of Belgian banking sector Main topics
1
• Severe impact from shock applied to portfolios that are in run-off or already sold Legacy items • Incorporation of full state aid repayment
2
Credit portfolio
• Main driver of results, given Belgian banks’ focus on real estate credit activities and significant foreign credit portfolios
3
Market activities
• Limited trading activities of Belgian banks • Impact driven by counterparty credit risk, including CVA and default of largest counterparty
4
Sovereign portfolio
• Impact driven by large sovereign portfolio holdings • Gradual removal of prudential filters taken into account
Profit generation
• Sector level baseline profitability comparable to EU peers although heterogeneities are observed • Significant impact from shock assumptions on retail funding cost reflecting banks business models relying in savings deposits
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Stress test highlights
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Belgian banks are already above the 5,5% threshold under fully-loaded CET1 definition even after stress conditions 14,0% 12,5% 12,0%
11,3%
10,0% 8,2%
8%
8,0%
6,5% 6,0%
5.5% 4,0% 2,0% 0,0% Baseline - 2016
CET1 with transitional measures
Adverse - 2016
CET1 fully loaded (estimates with exclusion of State aids)
Source: stress test templates, NBB calculations Note: figures excluding Dexia
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Toezichtagenda 2015
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Toezichtagenda 2015 Operationaliseren SSM (zal 2 à 3 jaar duren) Werking SSM en JSTs: governance, toezichtplannen, staffing Convergentie toezicht en regels (“national discretions”)
Omvangrijke nieuwe regelgeving in toepassing brengen Nieuwe bankwet 25 april 2013 Nieuwe kapitaalregels “Basel III” Afwikkeling (resolution)
Samenwerking actoren van het toezicht Microprudentieel – macroprudentieel Going concern – concern gone
Hoe zullen de banken zelf op de SSM reageren?
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