The Frontier of Integrated Balance Sheet Management
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1 The Frontier of Integrated Balance Sheet Management Mattia Raudaschl Enterprise Risk Management, Prometeia Marcus Evans Webinar - 16 May, 2017 Marcus Evans Webinar - Integrated Balance Sheet Management - 1
2 Prometeia Group Our integrated BSM approach Marcus Evans Webinar - Integrated Balance Sheet Management - 2
3 Introduction to Prometeia Overview of the group With over 40 years of experience in economic research, quantitative analysis and models development, Prometeia is a leading provider of consulting and software solutions focused on Risk & Performance Management. Our 700+ experts are distributed among our headquarters in Italy and five international hubs, based in London, Moscow, Istanbul, Beirut and Lagos independent Risk solutions vendor fully owned by private shareholders since 1974 presence in over 20 countries, with strong focus on Europe, Africa, and Middle East over 200 customer references, including 50 primary banking groups in EMEA consolidated relations with central banks and regulators, both in Europe and emerging countries +35% growth in turnover over the last three years, across all covered geographies Marcus Evans Webinar - Integrated Balance Sheet Management - 3
4 Introduction to Prometeia Leaders in Integrated Balance Sheet Risk Management Our business model is unique in combining a customer-oriented approach to banking needs with an unparalleled offer on all Risk & Performance Management topics. We provide software solutions, research and implementation services, integrating analytical models, market and customer data, financial and economic scenarios ASSET LIABILITY MANAGEMENT LIQUIDITY RISK ANALYSIS & REGULATORY COMPLIANCE INTEGRATED BALANCE SHEET RISK ANALYSIS INTEREST RATE RISK ANALYSIS & REGULATORY COMPLIANCE CREDIT RISK ANALYSIS & REGULATORY COMPLIANCE DYNAMIC BALANCE SHEET, P&L AND CAPITAL SIMULATION FTP AND TREASURY PERFORMANCE OPTIMIZATION CREDIT DECISION MANAGEMENT AND ORIGINATION Marcus Evans Webinar - Integrated Balance Sheet Management - 4
5 Introduction to Prometeia Our credentials on Balance Sheet Risks analysis Ranking N 1 vendor in continental Europe in the Risk & Performance space, with growing presence across EMEA and strong focus in ECB-regulated zone Projects 40+ implementations successfully delivered in the last 3Y, to support business process and regulatory compliance of Risk, Finance and Treasury Customers 20+ in Europe relying on Prometeia solutions to comply with ECB / EBA regulatory standards for Funding Risk, IRRBB, Capital Adequacy Resources 500+ implementation consultants and IT engineers fully dedicated to Risk projects (ERM and Buy-side), of which 300 specifically to Balance Sheet Risk Experience 25+ years of experience in developing ALM solutions, covering IRRBB, Managerial and Regulatory Liquidity, FTP, Hedge Accounting and related fields Analysis Over 50 analysts involved in economic analysis and forecasting, with focus on the integration between Risk analysis and economic scenario modelling Marcus Evans Webinar - Integrated Balance Sheet Management - 5
6 Introduction to Prometeia Recent awards and recognitions Marcus Evans Webinar - Integrated Balance Sheet Management - 6
7 on-line Extraction Transformation - Loading Data Quality Assurance Common Parameters and Rules Risk Data Analytics / «in memory» reporting Introduction to Prometeia ERMAS logical architecture Source Systems Data Feeds Contractual Data ERMAS Data Management Finmart ERMAS Analytical Modules ERMAS Reporting Dashboard s Core Systems / DWH Counterparty Data Market Data Default and Recovery Data Rating input Market DB Transaction Data credit risk repository Others DB Credit Risk Data Creditmart LGDs DB Rating DB Balance Sheet Risk ALM & Market RIsk Managerial Liquidity Regulatory Liquidity Integrated Simulation Hedge Accounting Fund Transfer Pricing Slice & Dice Credit Origination Process ECAPro EWSPro Credit Assessment Process RatingPro on-line PricingPro 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Behavioural Modelling Model Validation Tool Marcus Evans Webinar - Integrated Balance Sheet Management - 7
8 Introduction to Prometeia ERMAS modular structure ERMAS INTEGRATED REPORTING FRAMEWORK BALANCE SHEET MANAGEMENT REGULATORY & ACC.COMPLIANCE PERFORMANCE MANAGEMENT CREDIT RISK ANALYSIS CREDIT DECISION MANAGEMENT Risk Mart ALM & Market Risk Analysis Managerial Liquidity Risk Analysis Regulatory Liquidity Risk Analysis Integrated Balance Sheet Management IFRS9 Compliance Regulatory Capital Analysis Economic Capital Analysis Concentration Risk Analysis Capital Stress Testing Integrated Balance Sheet Management ALM Profitability Fund Transfer Pricing Performance Analysis and Cost Allocation Credit Rating Credit Pricing Credit Full Fair Value Credit Economic Capital Analysis Credit Application Credit Monitoring Credit Early Warnings Credit Rating Attribution Fund Transfer Pricing Hedge Accounting ERMAS ANALYTICAL DATA BASE (ADB) Marcus Evans Webinar - Integrated Balance Sheet Management - 8
9 Prometeia Group Our integrated BSM approach Marcus Evans Webinar - Integrated Balance Sheet Management - 9
10 BUSINESS NEEDS REGULATORY NEEDS Our Integrated Balance Sheet Management Approach Spectrum of regulatory & managerial needs supported by the model ICAAP / ILAAP Internal capital assessment and risk integration Liquidity risk analysis and contingency funding plan RAF Risk target and risk profile setting Risk tolerance and capacity Funding / recovery plan Strategic plan viable under liquidity / funding risk perspective Analysis of recovery actions under stress fully consistent with business model analysis Stress test EBA-ECB and SREP stress test under «static balance sheet» hypothesis Managerial stress test under «dynamic balance sheet» hypothesis Budgeting / Business plan A/L projection on desired time horizon and forward pricing definition Net interest income simulation and profitability forecasting Credit strategy / Capital allocation Credit-risk adjusted expected balance sheet dynamics RWA projection and credit-risk adjusted performance forecasting Marcus Evans Webinar - Integrated Balance Sheet Management - 10
11 RISK APPETITE Our Integrated Balance Sheet Management Approach Methodological framework Macro-economic scenarios (regulatory) constraints Drivers Final goal Money market rates Swap rates, FX, Funding costs Gov s spreads CDS spreads Credit risk factors: GDP, households prices, Financial sector deposits, loans, commercial spread,.. Capital (RWA, Leverage ratio) Liquidity (LCR, NSFR) Credit Strategies Funding Strategies Commercial Strategies NII enhancement & Hedging Strategies Credit risk Liquidity/ Funding risk Business risk Interest rate risk identify strategies and management actions for B/S optimization and max P&L Integrated Balance Sheet Management Marcus Evans Webinar - Integrated Balance Sheet Management - 11
12 Our Integrated Balance Sheet Management Approach Input to the model Credit risk management models: PD, LGD, EAD, satellite models, Bank portfolio Bank asset and liability positions mapped with managerial and financial characteristics at single deal level Credit risk models INTEGRATED SIMULATION - NII / Margins - impairments - Funding Treasury Risk models Market and liquidity risk models: VAR/ES, pricing, FV/NII sensitivity, behavioural, Forecast on market variables (interest rates, FX rates, Gov s spreads, GDP, inflation, ) Market scenarios New business Expected volumes and characteristics of asset and liabilities (budget/ business plan) at aggregated level Marcus Evans Webinar - Integrated Balance Sheet Management - 12
13 input output Our Integrated Balance Sheet Management Approach Outcomes of the calculation process Average and Point in Time Outstanding Amounts Bank portfolio Principal flows, interest (customer and transfer) flows, other components (i.e. charges and other revenues) Credit risk models INTEGRATED SIMULATION - NII / Margins - impairments - Funding Treasury Risk models IFRS9 Provisions and Credit Losses Interest Income Sensitivity, Net Interest Income, Net FTP Margins RWA, Capital Requirements and Capital Rations (CET1, etc.) Market scenarios New business Future LCR, NSFR, other liquidity rations Other KPIs and KRIs Calculation process Marcus Evans Webinar - Integrated Balance Sheet Management - 13
14 Our Integrated Balance Sheet Management Approach ERMAS allows to define macro-economic factors.. Definition of external assumptions for future periods Marcus Evans Webinar - Integrated Balance Sheet Management - 14
15 Our Integrated Balance Sheet Management Approach..and model their impact on risk drivers, like PD, curves, etc. Macroeconomic factor Beta values relevant to the cluster Clusters and multipliers Average PD contribution Marcus Evans Webinar - Integrated Balance Sheet Management - 15
16 Our Integrated Balance Sheet Management Approach These drive the dynamics of the B/S and its future KPIs/KRIs... Interactive reporting tool for the configuration of dynamic simulations Marcus Evans Webinar - Integrated Balance Sheet Management - 16
17 Our Integrated Balance Sheet Management Approach for a baseline scenario and multiple alternative patterns Baseline scenario for Balance Sheet and other KPIs Liquidity assets Net interest income Interbank credits Fees income Securities Profit/loss from securities Customer loans Dividends and other income/costs of which: performing Total revenues of which: NPL Net loan impairments Other assets Labour costs Total assets Other costs and deprecitation Gross Operating Profit Liquidity liabilities Non-recurring Income and expences Interabank liabilities Income before income taxes Customer funding Taxes Other liabilities Annual Net Income Total liabilities Annual Net Income attrib. to shareholder Net equity of which: net income Minorities equity Total equity Total liabilities and equity Multiple scenarios for each simulation variable (e.g. CET1) Assets under custody Assets under management CET1 ratio 23,1% 23,2% 23,2% Gross NPL ratio 10,8% 9,9% 9,2% RWA Marcus Evans Webinar - Integrated Balance Sheet Management - 17
18 Prometeia Contacts Mattia Raudaschl Senior Advisor Marcus Evans Webinar - Integrated Balance Sheet Management - 18
19 Prometeia Contacts Bologna Via Guglielmo Marconi, Milano Via Brera, Lagos - JKS God s Grace Plaza, 3rd Floor 65 Allen Avenue, Ikeja - Lagos State Nigeria@prometeia.com London Dashwood House 69 Old Broad Street EC2M 1QS +44 (0) uk@prometeia.com Istanbul Metrocity I s Merkezi No. 171 A blok 3. Kat Büyükdere Cad Mecidiyeköy turkey@prometeia.com Teheran - Finapath west South Allame Street Teheran +98 (21) Iran@prometeia.com Beirut 2nd floor, Chebli Building, 669 Ashrafieh lebanon@prometeia.com Moscow ul. Ilyinka, 4 Capital Business Center Office (916) russia@prometeia.com Linkedin Prometeia Facebook Prometeiagroup Youtube Prometeia Marcus Evans Webinar - Integrated Balance Sheet Management - 19
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