SIFI forslaget og aktiemarkedet

Transkript

1 SIFI forslaget og aktiemarkedet April 2013 Per Grønborg

2 Præsentation Vi har haft eksperten og lobbyisten Nu kommer aktieanalytikeren Jeg taler på vegne af Danske Markets Equity Reseach ikke på vegne af Danske Bank Hvad er en aktieanalytikers rolle? Basalt set at komme med de rigtige købs- og salgsanbefalinger men vi skal også være debatskabende tænke ud af boksen udfordre konsensus-tankegang og det gør vi så indimellem! 2

3 Det danske SIFI forslag Vi kendte de svenske regler: +3% fra og +5% fra Lidt overraskende, at de danske SIFI-tillæg blev gradbøjet men giver god mening Markedssyn: Yesterday s news banker skal have mere kapital og de har allerede opbygget det På headline-niveau: Intet nyt, og de væsentlige banker lever allerede op til de skærpede krav Op til 3.5% SIFI add-on + 5pp i krisehåndteringsbuffer => max. CET1 krav på 10,5% af samlet solvenskrav på : 15,5%. De fleste har et mål på 12-13% for CET1 og er over. CET1 SIFI lavere end i Sverige, krisehåndteringsbuffer bringer dog samlet krav op. Skærpet tilsyn + hurtig indfasning af LCR lever generelt allerede op til kravet NSF: Er det ikke allerede sket behind the scene Men som altid: djævlen ligger i detaljen! 3

4 Djævlen ligger i detaljen SIFI-fond hvad skal den bruges til? For at redde et dansk SIFI skal den være stor, MEGET STOR Eller er det blot, for at de store danske banker skal betale for potentielle problemer på Færøerne og Grønland samt i nicheinstitutter? Resolution regime: ultimativt som i bankpakke 3 Too big to fail - NEJ IKKE I DANMARK Ingen fordel forbundet med at være SIFI kun byrder Vil obligationsmarkedet betale for skærpet tilsyn etc.? Søjle 2 (forskel imellem individuelt solvensbehov og 8%) Hidtil har Søjle 2 alene være et solvenskrav ikke et CET1 krav Figur 18 i SIFI-rapporten indikerer, at det kan blive et CET1 krav effekt af ændringer i lov om finansiel virksomhed fra december 2012 har ikke haft nogen opmærksomhed. 4

5 Kapitalkrav: Nordisk sammenligning Headline 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 15.5% 10.5% Basel minimum Kapitalbevaring System buffer SIFI krav Krisehåndteringsbuffer 15.5% 15.5% 13.0% 8.0% 12.0% 12.0% Høj Lav NO SE DK Ex. evt. cyklisk buffer 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% Inkl. søjle II 17.4% 12.4% Søjle II 15.5% 15.5% Krisehåndteringsbuffer 14.0% 9.0% 12.0% 12.0% Høj Lav NO SE DK Basel minimum Kapitalbevaring System buffer SIFI krav Kilde: Danske Markets Equities, dansk SIFI rapport, Prop. 96 L (NO) og Memorandum fra Sveriges Riksbank Søjle 2-krav: RWA floor +?? 5 5

6 Nordic playing field Resolution: DK Ultimativt bankpakke 3 NO SE Ingen oplysninger Ingen oplysninger i søndags var Anders Borg (svensk finansminister) citeret under overskriften Borg says Sweden gains support for bank nationalisation plan Moody s om state support: DK: 1 notch support SE: 3 notch support Søjle II: Offentliggøres kun Danmark 6

7 Perception: Sverige har verdens bedste banker Skærpet risikovægt på realkredit i søjle II Som ikke skal offentliggøres Norge arbejder imod floor for pd/lgd parametre => Søjle I Dansk Finanstilsyn gav Nordea et offentligt påbud om at få godkendt ændringer på deres RWA-modeller inden de blev taget i brug (22. marts) Nordea har sandsynligvis implementeret modellerne i alle lande på en gang, men kun det danske tilsyn har reageret offentligt Sverige spiller spillet og bankerne ser supersolide ud, har lave funding omkostninger og er på vej ind i næste fase => høje pay-out ratios Handelsbanken the second safest bank in the world 18/10-11 Nordea the safest bank in the Nordic region 20/8-12 Men er det hele sandheden? Hvad gør Danmark og Norge for at sikre konkurrencedygtig funding? 7

8 CRD IV bygger på Basel II Mange nye parametre/krav, men Basel II er fundamentet Er Basel II et level playing field? 3 år efter planlagt fuld indfasning hænger 80% gulvet stadig ved myndigheder turde alligevel ikke Men nu skal det være. Hvad nu, hvis op til 87% af den deleveraging, der er sket, ikke skyldes reel deleveraging, men smarte modeller Er den reelle risiko faldet? 8

9 Equities Markets Kapitalisering er øget markant CET1 20% 2007A 18.4% 17.4% 18% 2012A 16% 15.1% 14.5% 14.1% 13.1% 13.6% 14% 12% 11.3% 10% 8% 7.3% 6.9% 7.3% 6.3% 6.3% 5.6% 5.5% 5.4% 6% 4% 2% 0% Danske DNB Nordea SEB SHB Swedbank Jyske Sydbank Source: Company data and Danske Markets Equities 9 9

10 Hvordan forbedres kapitalisering Øget egenkapital (CET1) hurtigere end risikobasen (udlånet) Lavere risiko eller bare lavere risikovægte 1 års lån i stedet for 5/8 års lån Opsigelse af kredit der ikke benyttes fjerner det reel risiko? Korrekt registrering af panter Opdaterede omsætningstal for SME ere Kan man bevise, at SME ere er SME ere, falder risikoen Hvor meget er den reelle risiko faldet? Det nye buzz word: RWA deflation 10

11 Equities Markets Gennemsnitlig risikovægt er faldet markant (for nogle) RWA inflation (RWA growth minus lending growth) Danske Bank DNB Nordea SEB SHB Swedbank Sydbank Jyske Bank Source: Danske Bank Markets Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12 Source: Company data and Danske Markets Equities 11 11

12 RWA-reduktioner Tallene taler for sig selv C hange in average risk weights vs. lending A ccumulated lo an lo ss ratio : Danske B ank 4.06% DNB 1.79% No rdea 1.52% SEB 1.39% SHB 0.57% Swedbank 2.22% Jyske B ank 6.92% Sydbank 7.36% Source: Company data and Danske M arkets Equities N ew ini Initial T o tal tiatives T o tal Danske Bank -14% -27% -37% -10% -44% DNB -23% -4% -26% -6% -31% No rdea -31% -21% -45% -21% -57% SEB -34% -17% -45% -3% -47% SHB -39% -42% -65% n/a -65% Swedbank -26% -33% -50% -10% -55% Jyske B ank 8% -17% -10% n/a -10% Sydbank 22% -23% -5% n/a -5% Source: Danske M arkets 12

13 Equities Markets Hvor kommer den forbedrede kapitalisering fra? 14% CET1 12% 10% 8% 6% 4% 2% 0% Capital Models 13.0% 12.0% Share from models (RHS) 8.9% 7.7% 7.2% 6.8% 8.7% 6.3% 12.0% 5.4% 1.4% 5.0% 0.7% 6.8% 3.0% 5.9% 5.8% 5.6% 3.5% 3.2% 2.0% 0.9% 0.9% 1.0% Danske DNB Nordea SEB SHB Swedbank Jyske Sydbank 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Source: Company data and Danske Markets Equities 13 13

14 Forklaring Ændret mix realkredit med lav risikovægt er vokset hurtigere end erhvervsudlån med høj risikovægt Så tager vi det med i regnestykket! 14

15 Justeret for mix-ændringer CET1 14% Capital 12% 10% 8% 6% 4% 2% 0% Models 13.0% 12.0% Share from models (RHS) 8.9% 6.8% 7.7% 7.8% 7.2% 11.3% 6.3% 4.8% 5.0% 1.7% 0.5% 6.1% 5.2% 2.8% 5.5% 5.9% 4.2% 4.1% 2.2% 1.6% 1.6% 1.6% Danske DNB Nordea SEB SHB Swedbank Jyske Sydbank 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Source: Company data and Danske Markets Equities 15

16 Konklusion SIFI headline som ventet, men Men ingen too-big-to-fail Søjle II?? SIFI fond Djævlen i detaljen Høj pris for ekstra byrder og (måske) ingen fordele Hvad er galt? For lidt uld i munden man bliver ikke altid belønnet for at være præcis. SIFI rapporten er et forslag fra en ekspert gruppe ikke regeringens forslag tror dog i grunden ikke, at der kommer nævneværdige ændringer Men vigtigt at huske to ting: 1. Et slot bygget på Basel II 2. Markedet bestemmer, hvor meget kapital en bank skal have ikke tilsynsmyndigheden, der blot sætter et floor. 16

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