gest%e3o integrada do balanco - uma vis%e3o atual - claudio paiva

7/28/2019 Gest%E3o Integrada Do Balanco - Uma Vis%E3o Atual - Claudio Paiva

1/58

1

Gesto Integrada do Balano:Uma Viso Atual

Cludio Paiva

2 Congresso Internacional de

Gesto de Riscos

So Paulo, 22 de outubro de 2012


2/58

2

Agenda A evoluo de ALM: evidncias recentes

Os efeitos da Crise que se iniciou em 2007 Requerimentos do negcio e demandas regulatrias Integrao entre Riscos e Finanas Perspectiva do Regulador Perspectiva dos Bancos

Gesto Integrada do Balano Balano X Capital X Liquidez Viso prospectiva

Implementando Gesto Integrada do Balano Consistncia dos dados e das premissas Integrando cenrios econmicos X opcionalidades do

balano X estratgias da IF


3/58

3

A crise de 2007...


4/58

4


5/58

5

Turner Review 2009

comissionado em outubro 2008 O que podemos aprender com a crise de

2007/2008? Modelos matemticos sofisticados falharam? Produtos complexos como crdito estruturado

Preos baseados em modelos sofisticados Ausncia de dados histricos para ratings

Riscos espalhados no balano de forma complexa epouco transparente

Hipteses de liquidez se alteraram dramaticamentedevido falta de mercado de certos produtos

Ateno como produtos/ operaes so classificadas(disponveis para negociao, etc.)

Nem todos os riscos podem ser geridos ao nvel da IF

Silos!!


6/58

6

Walker Review 2009comissionado em fevereiro 2009


7/58

7

G302012


8/58

8

Pesquisa conduzida pela PwC

antiga mas ainda atual Balance sheet management benchmark survey

Status of balance sheet management practices amonginternational banks

2009 PricewaterhouseCoopers LLP (1 semestre 2009)

This study covers the four main areas of balance sheetmanagement, namely interest rate risk management,liquidity risk management, capital management andmanagement of discretionary investment portfolios.

Concluses da Pesquisa:The scope of balance sheet management has expanded

to embrace capital management as well as a moreholistic view of the balance sheet, although this remainsa work in progress.


9/58

9

Key Findings

Balance sheet management benchmark survey


10/58

10

Key Findings



11/58

11

IRRBBIRRBB

Risco de reapreamento de

ativos, passivos e posies

fora do balano

Risco de base

Risco de curva de taxas dejuros

Opcionalidades referentes a

taxas de juros embutidas nosprodutos bancrios


12/58

12

Key Findings



13/58

13

Key Findings



14/58

14

Transforming the CFO role

in financial institutions

A report from the EconomistIntelligence Unit in collaboration

with CFO Research Services2011


15/58

15


in financial institutions Tighter alignment is part of the emerging

competitive landscape A central element of the integration of risk

considerations into the management and operation offinancial institutions is the improvement of alignmentbetween the risk and finance functions. The push in this

direction predates the 2008-09 global financial crisis. Alignment, of course, does not mean merger.

Structured co-operation can enhancecollaboration between finance and risk Better alignment between the risk and finance functions,

then, is both necessary and profitable. Improved dataare an important part of the picture, and financialinstitutions are working towards this aim.


16/58

16


in financial institutions


17/58

17

A comprehensive analysis by Bain & Company ofapproximately 200 banks around the world reveal how banks

are modifying a broad range of practices they relied onbefore the crisis in order to better compete in the new

environment.

2012


18/58

18

"Banks future hangs in the

balance sheet" Leading banks now recognize that the ability to fully

account for risk, capital and liquidity in line decisionswill be a source of competitive advantage.

Meeting the new standards will put a big dent in

banks return on equity and make it much harder forthem to exceed their cost of capital. As banks begin to

come to grips with these new realities, it is clear that

many have been using an incomplete map to guide

their business. The pursuit of revenue and earnings

growth with insufficient attention to the balance sheet

ran them into a ditch.


19/58

19

O QUE DIZEM OS

REGULADORES?


20/58

20

Testes de stress regulatrios

2004BCBSpublishesBas

elIIrulesrequiring

stresstesting,underPillarI

andasacomponent

ofPillarIIICAAP

2008 2009 2010 2011 2012

2016StartofphasinginofBaselIII

Conservation

Buffer

2019Fullimplementa

tionofBaselIII

Conservation

Buffer

May 2009 BCBSpublishes principles forsound stress testingpractices and supervision

Jun 2010 EBAaugments aggregatedstress testing withinstitution-level stresstesting

Mar 2011 - EBA issues2nd round ofinstitution-level stresstesting

Jul 2008 USagencies issue finalguidance about PillarII supervisory reviewprocess, endorsingstress testing as animportantcomponent of PillarII ICAAP

Jan 2009 Federal Reserveannounces SCAP

Nov 2011 - US Fedannounces CCAR withaggregated andinstitution-level tests

May 2009 EBAannounces EU-wideaggregate stress test

Mar 2012 - USFed announcesCCAR results


21/58

21

Testes de Stress

SCAP, CCAR, EBA

Stress Testing Banks

Til Schuermann, 2012


22/58

22

Testes de Stress

SCAP, CCAR, EBA Exemplo: Supervisory Capital Assistance Program

(SCAP)

Construo de um modelo de gesto integrada de riscospara efetuar testes de stress em vrios componentessimultaneamente:

Receitas

Perdas Requerimentos de capital Novos cenrios de volumes e demais opcionalidades Restries de liquidez

Objetivo: prover suporte consistente do plano denegcios do banco.

Validao dos inputs parte crtica do processo!


23/58

23

Attempt to evaluate capital planning process of 30 largest

BHCs, to assess their ability to continue operations through

economic and financial market stress

Focus not on ability to raise capital but ability to manage capital

In addition to stress testing, evaluated quality of each BHCs

capital planning process Stress test component involved 4 scenarios and 25 variables

Assessed ability to sustain Tier 1 Common ratio > 5%, Tier 1

ratio > 6%, and Tier I Leverage Ratio > 3 or 4%, through 9

quarters in all scenarios

Not a one-off event. Designed to reveal and resolve deficiencies

in capital planning process on an ongoing basis

CCAR

Comprehensive Capital Analysis and Review


24/58

24

CCAR

Comprehensive Capital Analysis and Review More than simply a stress tests. Fed also evaluates BHCs

Capital policy Comprehensive capital plan Reasonableness of assumptions and analysis underlying the

capital plan

At least four scenarios BHC Baseline

Supervisory Baseline At least one BHC Stress Supervisory Stress

BHCs submit annual capital plans to the Federal Reserve: Description of BHCs process for assessing capital adequacy

Planned capital actions (dividends, share repurchases, issuance)

BHCs capital policy governing capital distribution and issuance

Projections of sources and uses of capital over 9-quarter forward

horizon under expected and stressed economic conditions


25/58

25

Testes de Stress

SCAP, CCAR, EBA

Stress Testing Banks

Til Schuermann, 2012


26/58

26

Compilation of documents that form the global regulatory framework for

capital and liquidity

Date Documents

11 June 2012 Report to G20 Leaders on Basel III implementation

21 Dec 2011 Application of own credit risk adjustments to derivatives -

consultative document

20 Dec 2011 Core principles for effective banking supervision - consultative

document

19 Dec 2011 Definition of capital disclosure requirements - consultative

document

25 Oct 2011 Treatment of trade finance under the Basel capital framework

01 Jun 2011 Basel III: A global regulatory framework for more resilient banksand banking systems - revised version June 2011

20 Dec 2010 Capitalisation of bank exposures to central counterparties -

consultative document

16 Dec 2010 Basel III: International framework for liquidity risk measurement,

standards and monitoring

13 Jul 2009 Revisions to the Basel II market risk framework - final version

30 Jun 2006 Basel II: International Convergence of Capital Measurement and

Capital Standards: A Revised Framework - Comprehensive

Version

ICAAP

Basel 2.5

IRRBB

Basel III


27/58

27


28/58

28

FSA Guidance (jan 2011)

asset & liability management


29/58

29

Dear CEO ALM

FSA 2011

Our views are based on a number of in-depth reviews of treasury functions and

associated risks as part of introducing the new liquidity regime, as well as our ongoing

supervisory assessments and reviews. This work covered a wide range of firms

including both large and small banks and building societies, overseas banks operating

in the UK, and some larger investment firms. As part of this work, we have attended as

an observer a number of senior ALM committees, as described more fully in this letter,

and received senior ALM committee minutes and papers from a wide range of firms.


30/58

30

Four key themes emerged from our work in this area:

1. The role of the senior ALM committee.

2. The composition and authority of the senior ALMcommittee.

3. The forward-looking nature of, and decisionsmade by, the senior ALM committee.

4. The degree of challenge observed at the seniorALM committee.

Dear CEO ALM

FSA 2011


31/58

31

Dear CEO - ALM

FSA 2011


32/58

32

Dear CEO - ALM

FSA 2011Qual o objetivo do ALCO?


33/58

33

BIS BCBS 222consultative document junho 2012 Principles for effective risk data aggregation and

risk reporting

1. One of the most significant lessons learned from the globalfinancial crisis that began in 2007 was that banks informationtechnology (IT) and data architectures were inadequate tosupport the broad management of financial risks. Many bankslacked the ability to aggregate risk exposures and

concentrations quickly and accurately at the bank group level,across business lines and between legal entities.

4. Many in the banking industry recognise the benefits ofimproving their risk data aggregation capabilities and areworking towards this goal. ...Supervisors observe that making improvements in risk dataaggregation capabilities and risk reporting practices remainsa challenge for banks, and supervisors would like to see

more progress, ...


34/58

34

BIS BCBS 222consultative document junho 2012 8. The adoption of these principles will enable fundamental

improvements to the management of banks. Theseprinciples are expected to support a banks efforts to: Enhance the infrastructure for reporting key information,

particularly that used by the board and senior management toidentify, monitor and manage risks;

Improve the decision-making process throughout the banking

organisation; Enhance the management of information across legal entities,

while facilitating a comprehensive assessment of riskexposures at the global consolidated level;

Reduce the probability and severity of losses resulting fromrisk management weaknesses;

Improve the speed at which information is available and hencedecisions can be made; and

Improve the organisations quality of strategic planning andthe ability to manage the risk of new products and services.


35/58

35

Rentabilidade & adio de valor!


36/58

36

O QUE OS BANCOS ACHAM

DE TUDO ISSO?


37/58

37

Inside Business February 28, 2011

Brighter future for bank stocks as believers join the foldBy Patrick Jenkins

Why would you ever invest in a bank?

Its a natural enough question. Between January 2008 andDecember 2010 banks globally lost 41% of their stock

market value, much worse than the broader market (minus29%). And the reams of rules and regulations introduced

after the financial crisis threaten to drag down futureprofitability.


38/58

38

September 30, 2012

Wall Street: Leaner and meanerBy Tom Braithwaite

Banks confront a post-crisis world oftougher regulations and lower profits

When Goldman Sachs went public in 1999, it was able to boast anROE of more than 40%, although it was never again to reach suchlevels. Last year it racked up its worst ever ratio: 3.6%.

If the institutions adjust to the new financial landscape, the employeeswho remain are going to have to adjust, too. Their bosses insist thatbonuses will have to fall if banks are to deliver a decent return for

investors.Some bankers are finding it hard to adapt to the new Wall Street.


39/58

39

Deutsche Bank

2007/2008Consolidation of capital

management tasks

Capital & RiskCommittee

Group RiskCommittee(GRC)

Asset / LiabilityCommittee(ALCO)

CorporateInvestments /Alternative AssetsGovernanceCommittee (CI/AA)

Old setup New setup

Newly formed Capital& Risk Committee (CaR)

Composition: CRO (Chair), CFO,MRM, CRM, TCM plus ExecutiveLevel Business Heads

Key advantages

Explicit managementresponsibility for all capitaldrivers

Integrated planning andmonitoring of business andrisk profiles to maximizecapital performance

Ongoing capital consumptioncontrol


40/58

40

Deutsche Bank

Annual report 2011 Deutsche Bank like all other financial institutions

will continue to be impacted both by the changingcompetitive landscape and a stricter regulatoryenvironment and it continues to operate in anenvironment that exposes it to significantlitigation risks.

Risk management, capital adequacy and balancesheet efficiency will remain increasingly importantas competitive differentiators. Deutsche BankManagement has improved our capital, liquidityand refinancing structures, which are crucial forfuture success.


41/58

41

INGBarclays Global Financials Conference, 11/09/2012


42/58

42


43/58

43

Nedbank

annual report 2011BALANCE SHEET MANAGEMENT:Over the past five years or so, and after the global financialcrisis, the landscape of banking has changed fundamentally,together with very significant regulatory developments (egBasel II and now Basel III).Accordingly, Nedbank Group has embedded worldclass balance

sheet management (BSM) across the following five corefunctions: Risk management. Funding and liquidity management. Capital management. Margin management. Strategic portfolio management (eg portfolio tilt).


44/58

44

Nedbank

gesto por valor The strategic impact of Basel III internationally is

very significant, changing business models andpotentially reducing return on equity (ROE)extensively.

Maximising economic profit (EP) form part of thefour key strategic focus areas of Nedbank Group,a carefully structured, integral and holisticcomponent of the groups manage for valueemphasis, involving strategic portfoliomanagement and client value management.


45/58

45

Nedbank

objetivos buscados Target an optimal balance sheet and income

statement shape and mix. Maximise Economic Profit and ROE via optimising

EP-rich activities. Optimise the strategic impact of Basel III.

Reduce TTC earnings volatility. Optimise the risk profile versus return of the

group, aligned with the approved risk appetite. Embed a culture of client value management in

all businesses.


46/58

46

O QUE GESTO INTEGRADADO BALANO?


47/58

47

Situao atual1. Ambiente de negcios mais desafiador

1. Mercados volteis

2. Spreads cada vez mais comprimidos

2. Maior complexidade do balano

3. Aumento do custo regulatrio1. Custos diretos (pessoal e sistemas)

2. Capital (mais e melhor)

4. Maior foco no balano atual1. E o futuro?


48/58

48

Situao atual5. Processo de gesto fragmentado/ insuficiente

1. Foco restrito e/ou pouco integrado2. rea de Risco como Compliance

Gerar relatrios regulatrios

3. Finanas como anlise das demonstraes financeirasdo ano anterior

6. Ambiente interno1. Silos

Tipos de riscos Finanas/ risco reas de negcio

2. Mltiplos processos correlatos3. Processos fragmentados


49/58

49

Risco

de

Liq

uidez

ICAAP

Processo fragmentado


50/58

50

Gesto Integrada do Balano

definio!Gesto Integrada do Balano um conjunto deprocessos e medidas visando prover uma viso simultneae consistente do perfil de risco e de rentabilidade/valoradicionado, incluindo restries de capital, a que ainstituio est submetida visando subsidiar decisesestratgicas e o planejamento de capital da IF, observando

tanto a posio atual bem como fornecendo uma visoprospectiva dinmica.

Concerne prioritariamente o processo de tomada dedecises estratgicas em toda a Instituio

Alocao de recursos dentro da IF

Foco no comportamento futuro

Rentabilidade sustentvel (no tempo)


51/58

51

Ingredientes Integrao dos diferentes aspectos da gesto do balano visandoobter uma abordagem integrada, colaborativa e consistente: ALM

IRRBB, EaR(resultados), EVE (valor econmico) NII net interest simulation

Risco de crdito/ mercado Econmico e regulatrio

Risco de liquidez

LCR, NSFR Planejamento de capital

RWA (risk-weighted assets) Alocao de capital econmico e regulatrio

Testes de stress macroeconmico Rentabilidade

FTP Taxas de juros Preo de transferncia de liquidez

RAROC


52/58

52

Rentabilidade FTP

Gesto do BalanoEaR

EVE

Risco de MercadoNegociao

Risco Contraparte

Risco de Liquidez TticaEstratgica

Alocao

de Capital

Economico

Regulatrio

Risco de CrditoRWA

Previso de Perdas


53/58

53

Benefcios Propiciar uma viso integrada e global de riscos da

instituio

Identificar riscos e antecipar o comportamento atual efuturo do Balano com maior antecedncia e preciso,incorporando cenrios de mercado, de comportamento e deestratgias corporativas

Aumentar a competitividade dos produtos e apoiar o seudesenvolvimento

Promover alocao efetiva e eficiente de capital e seuplanejamento futuro

Reduzir a volatilidade dos resultados

Estabelecimento de apetite de risco da IF


54/58

54

Necessidade de aprimoramentos na gesto deriscos e do balano abrange trs frentes

processos

dados

governana

integrao

Novas necessidades

novas solues


55/58

55

Implementao Disciplina de dados

Trabalho cooperativo das diversas reas Repositrio com uma viso nica de dados e com

premissas consistentes Disciplina!

Granularidade dos dados


56/58

56

ImplementaoConjunto abrangente de medidas & anlises


57/58

57

Implementao

viso prospectiva


58/58

Cludio Paiva

Scio-Diretor

Analitix Solues em FinanasAv. Pedroso de Morais, 38

So Paulo, SP

Tel 11 3814 [email protected]