Dic 162018
 

The Basel Committee on Banking Supervision today published a consultative document entitled Revisions to leverage ratio disclosure requirements.

The Basel III leverage ratio standard comprises a 3% minimum level that banks must meet at all times, a buffer for global systemically important banks and a set of public disclosure requirements. For the purpose of disclosure requirements, banks must report the leverage ratio on a quarter-end basis or, subject to approval by national supervisors, report a measure based on averaging (eg using an average of exposure amounts based on daily or month-end values).

Heightened volatility in various segments of money markets and derivatives markets around key reference dates (eg quarter-end dates) has alerted the Basel Committee to potential regulatory arbitrage by banks. A particular concern is “window-dressing”, in the form of temporary reductions of transaction volumes in key financial markets around reference dates resulting in the reporting and public disclosure of elevated leverage ratios. In this regard, the Committee published a newsletter in October 2018 in which it indicated that window-dressing by banks is unacceptable, as it undermines the intended policy objectives of the leverage ratio requirement and risks disrupting the operations of financial markets.

This consultative document seeks the views of stakeholders on revisions to leverage ratio Pillar 3 disclosure requirements to include, in addition to current requirements , disclosures of the leverage ratio exposure measure amounts of securities financing transactions, derivatives replacement cost and central bank reserves calculated using daily averages over the reporting quarter.

 

Revisions to leverage ratio disclosure requirements (PDF)

Pillar 3 disclosure requirements (PDF)

Statement on leverage ratio window-dressing behaviour – October 2018 (HTML)

Dic 162018
 

Today, the Central Bank of Armenia hosted the eighth meeting of the Financial Stability Board (FSB) Regional Consultative Group for the Commonwealth of Independent States (RCG for the CIS) in Yerevan.

Members of the RCG for the CIS were informed of the main outcomes of the FSB and G20’s work in 2018 and policy priorities for 2019. At present, the FSB is turning its attention to the monitoring of implementation of the regulatory reforms and analysis of their impact on international financial system stability. In 2018 the FSB evaluated the effects of the reforms on incentives to centrally clear over-the-counter derivatives and on infrastructure investment finance. Both evaluations found that, overall, the effects of the reforms were positive. This conclusion is supported by positive developments in the global financial system, notably an increase in the sustainability of growth, the resumption of credit growth and an increase in the share of over-the-counter derivatives contracts that are centrally cleared. Conversely, the global economic outlook is being put under pressure through a widening of sovereign and corporative bond yields, rising interest rates and inflation expectations in some advanced economies, exchange rate depreciation in developing economies and geopolitical risks.

Members also discussed developments in the global financial markets and their impact on national economies. It was observed that the main vulnerabilities in many CIS countries are persistent current account deficits, insufficient levels of international reserves and high levels of public and private sector debt. These factors can be triggered by the tightening of monetary policy in some advanced economies, escalating trade disputes, and general policy uncertainty that may accelerate capital outflows from emerging market and developing economies, including the CIS. To minimise such risks members said that it is important to restore economic policy space, continue structural reforms aimed at increasing growth and strengthen oversight of public and private sector debt (especially those denominated in foreign currency).

Members expressed great interest in risks arising from the use of financial technology (FinTech). The FSB report on Crypto-asset markets: markets: Potential channels for future financial stability implications was discussed by members and it was concluded that understanding risks remains a challenge, but that the very low volumes of crypto-assets both globally and in the region do not give rise to material  financial stability risks at this time. Nevertheless, further developments should be monitored and may require the coordination of policy measures at the global level, including consumer and investor protection, and anti-money laundering and combating the financing of terrorism regulation and supervision. Members will discuss this matter at future meetings.

The Group discussed approaches to mitigate cyber security risks confronted by financial institutions. In particular, they considered regulatory and supervisory steps taken by authorities to facilitate both the mitigation of cyber security risk by financial institutions and their effective response to, and recovery from, cyber security incidents. During their exchange of views, members recognised the importance of ex ante contingency plans for cyber incidents, information sharing and monitoring.

The meeting was concluded with a discussion of financial stability and its role in the mandate of a central bank. Members recalled that, prior to the crisis, monetary and financial stability were frequently thought of separately; this is no longer the case. In this context, they noted that financial stability has a macroprudential or systemic dimension that cannot be ignored and that in some jurisdictions this may give rise to institutional challenges. Members of the RCG for the CIS agreed to conduct a study on the role of financial stability in the mandate of the central bank and its analytical framework, including a survey of central bank policies and a stocktake of international practices. The Group will issue a report summarising its findings and offering recommendations.

The RCG for the CIS is co-chaired by Deputy Minister Sergey Storchak, Ministry of Finance of the Russian Federation, and Deputy Governor Nerses Yeritsyan, Central Bank of Armenia. The membership includes financial authorities from Armenia, Belarus, Kazakhstan, Kyrgyz Republic, Russia and Tajikistan. Switzerland and the Eurasian Economic Commission are invited to the meetings of the RCG for the CIS as permanent observers.

Dic 162018
 

The European Insurance and Occupational Pensions Authority (EIOPA) published today the results of its 2018 and fourth Stress Test for the European insurance sector. This year’s exercise assessed the participating insurers’ resilience to the following three severe but plausible scenarios:

  •   A yield curve up shock combined with lapse and provisions deficiency shocks, which means there is a sudden and sizeable repricing of risk premia and a significant increase in claims inflation.
  •   A yield curve down shock combined with longevity stress, which means there is a protracted period of extremely low interest rates accompanied by an increase in the life expectancy.
  •   A series of natural catastrophes where European countries are hit in a quick succession of four windstorms, two floods and two earthquakes.

In this year’s exercise 42 European (re)insurance groups participated representing a market coverage of around 75 % based on total consolidate assets. The reference date was 31 December 2017.

The impact of the different scenarios on the balance sheet position and on the capital position of the participating groups was assessed by the excess of Assets over Liabilities and an estimation of the post-stress Solvency Capital Requirement (SCR) ratio. Given the operational and methodological challenges related to the recalculation of the group SCR, participating groups were allowed to use approximations and simplifications as long as a fair reflection of the direction and magnitude of the impact was warranted.

In the pre-stress (baseline) situation, participants reported an aggregate Assets over Liabilities (AoL) ratio of 109.5 % and a pre-stress SCR coverage of 202.4 %.

Overall, the exercise confirmed the significant sensitivity to market shocks combined with specific shocks relevant for the European insurance sector. On aggregate, the sector is adequately capitalised to absorb the prescribed shocks.

In the ‘yield curve up’ scenario, the excess of assets over liabilities is reduced by approximately one third (-32.2 %) and the aggregate post-stress SCR ratio drops to 145.2 %. Six groups reported a post-stress SCR ratio below 100 %.

In the ‘yield curve down’ scenario, the impact on the excess of assets over liabilities is of similar magnitude (-27.6 %) with an aggregate post-stress SCR ratio of 137.4 %. Seven groups reported a post-stress SCR ratio below 100 %.

In the natural catastrophe scenario only a small decrease of 0.3 percentage points of assets over liabilities ratio was reported. Overall, the participating groups demonstrate a high resilience to the series of natural catastrophes tested, showing the importance of the risk transfer mechanisms in place, namely reinsurance, which absorbed 55 % of the losses. Consequently, the most affected groups are reinsurers and those direct insurers largely involved in reinsurance activities.

One of the objectives of this year’s exercise, in line with the recent recommendations from the European Court of Auditors, was to increase transparency by requesting the voluntary disclosure of a list of individual stress test indicators by the participating groups. To date, four of the 42 participating groups provided consent to the publication of the individual results.

Gabriel Bernardino, Chairman of EIOPA said: “This stress test marks an important step forward in assessing the resilience of the European insurance sector to a set of adverse but plausible scenarios and provides a valuable basis for a continuous dialogue with the participating groups on the identified vulnerabilities and the preventive measures and potential management actions to address them, should they materialise.”

 

EIOPA- 2018 Stress test complete report (PDF)

Dic 162018
 

The European Banking Authority (EBA) published today its annual report on risks and vulnerabilities in the EU banking sector. The report is accompanied by the results of the EBA’s 2018 EU-wide transparency exercise, which provide detailed information, in a comparable and accessible format, for 130 banks across the EU. Overall, the EU banking sector has continued to benefit from the positive macroeconomic developments in most European countries, which contributed to the increase in lending, further strengthening of banks’ capital ratios and improvements in asset quality. Profitability remains low on average and has not yet reached sustainable levels.

 

 Source: European Banking Authority (EBA)

 

EU banks’ solvency ratios have increased, despite rising risk weighted assets (RWA) during the last two quarters. Since June 2017, CET1 ratios have increased from 14.3% to 14.5% on a transitional and from 14.0% to 14.3% on a fully loaded basis. The composition of capital keeps moving towards a greater reliance on retained earnings and other reserves.

Asset quality has further improved. The average NPL ratio of EU banks has decreased from 4.4% in June 2017 to 3.6% in June 2018. It has reached its lowest level since the NPL definition was harmonised across the EU in 2014, when it stood at 6.5%. NPL sales have contributed significantly to these reductions. However, vulnerabilities from downside risks to economic growth, revival of protectionism and elevated political risk remain high, which might jeopardise banks’ efforts to reduce legacy assets.

Profitability has virtually not changed since last year with an average return on equity (RoE) at 7.2% as of June 2018. EU banks’ net interest income has continued its declining trend in recent quarters, despite growing lending volumes, tightening the net interest margin further. Profitability has however benefited from the reduction of impairments and the increase of net fee and commission income. High costs and low efficiency represent a major driver of the poor performance of the EU banking sector. Costs dynamics are affected by elevated IT related expenses.

Despite increasing stable customer deposit funding, banks are facing key challenges on the liability side. Replacing financing from central banks will be a key driver for banks’ funding plans. Another driver are issuance needs of instruments for meeting the minimum requirement for own funds and eligible liabilities (MREL). In developing and exercising their funding strategies banks should also be aware of the resurgence of market volatility and a potential upcoming interest rate increase.

Operational risks in EU banks have again been on the rise. ICT-related risks are currently one of the main challenges for EU banks, with cyber risks and data security being the main drivers. At the same time, conduct and legal risks, including breach of anti-money laundering regulations, have been on the rise in 2018.

Looking forward, risks to the global economy are increasing with growing geopolitical tensions, coupled with uncertainties surrounding financial and economic conditions in emerging markets economies. Banks need to be prepared for adverse scenarios, which might impact funding, asset quality and profitability.

Dic 162018
 

Le evidenze del Rapporto CONSOB sulle scelte di investimento delle famiglie italiane per il 2018

La quarta edizione del Rapporto CONSOB sulle scelte di investimento delle famiglie italiane arricchisce l’articolazione delle edizioni precedenti attraverso la rilevazione di alcune variabili attitudinali che possono orientare i comportamenti di financial control, relativi a pianificazione finanziaria, gestione del budget familiare, indebitamento e risparmio [2].

Il financial control

La gestione delle finanze personali e del bilancio familiare dovrebbe idealmente collocarsi nell’ambito di un processo strutturato che, nel solco di una sorta di ‘filiera’ del risparmio, parte dalla pianificazione finanziaria e dal budgeting per passare alle decisioni di risparmio e impiego dello stesso fino a concludersi con il monitoraggio e con le eventuali, necessarie revisioni del piano finanziario. Questi comportamenti, che nel complesso concorrono a definire il cosiddetto financial control, sono ancora poco diffusi. Solo un terzo dei decisori finanziari italiani dichiara di avere un piano finanziario (prevalentemente pluriennale), che monitora periodicamente (Fig. 1).

Fig. 1. La pianificazione finanziaria

Fra coloro che non predispongono un piano finanziario, meno del 10% ne riconosce l’importanza, mentre circa il 65% lo ritiene inutile (Fig. 2).

 

Fig. 2. Fattori disincentivanti la pianificazione finanziaria

Rispetto alla pianificazione finanziaria, che presuppone la capacità di proiettarsi nel medio-lungo periodo, la definizione e la gestione di un bilancio familiare potrebbero essere potenzialmente temi più ‘salienti’ per chi deve gestire il denaro all’interno del nucleo familiare e per questo risultare più diffusi. Le evidenze disponibili, tuttavia, sembrerebbero smentire questa ipotesi. Solo il 47% degli intervistati, infatti, definisce e si attiene strettamente a un budget, a fronte di un 30% che tiene traccia scritta delle spese (Fig. 2). Il rimanente 40% che afferma di monitorare il budget lo fa in modo ‘non rigoroso’, anche se la maggior parte del campione riferisce di valutare gli acquisti attentamente (oltre a saldare le utenze a scadenza e onorare i debiti contratti, comportamenti questi che l’OCSE individua tra i financially savvy behaviour; Fig. 3) [3].

 

Fig. 3. Il bilancio familiare e il monitoraggio delle spese

 

Fig. 4. Abitudini in tema di spese correnti e impegni finanziari

 

 

Pianificazione e controllo supportano la capacità di risparmio e favoriscono una visione chiara dello stato delle finanze personali. Per quanto riguarda il primo profilo, il risparmio regolare (che ricorre, soprattutto per motivi precauzionali, nel 40% dei casi circa) si associa positivamente con la propensione a pianificare (Fig. 5 e Report, Fig. 4.11).

Con riferimento al secondo aspetto, un quinto del campione non saprebbe come affrontare una riduzione significativa del reddito disponibile (il 30% dovrebbe rivedere al ribasso le abitudini di spesa, mentre lo stile di vita potrebbe rimanere inalterato per circa un quinto delle famiglie, prevalentemente grazie ai risparmi accumulati; Fig. 6). Tra coloro che non sono in grado di valutare come affrontare un possibile shock finanziario negativo l’83% non pianifica e l’89% appartiene alle classi di reddito più basse. In generale, proprio coloro che trarrebbero i principali benefici dalla pianificazione, ossia gli individui meno facoltosi e più vulnerabili, non ne comprendono il valore aggiunto.

Figura 5. Abitudini di risparmio

 

Figura 6. Resilienza percepita

 

A tal proposito, è interessante ricordare che i comportamenti di financial control si associano non solo a reddito e ricchezza finanziaria ma anche ad attitudini personali e conoscenze finanziarie.

… tra attitudini individuali …

In linea con un nutrito filone della letteratura comportamentale, l’indagine 2018 amplia in modo significativo la rilevazione delle attitudini psicologiche che possono orientare le scelte economico-finanziarie individuali. Sulla base dell’autovalutazione dei soggetti intervistati, la maggior parte del campione dichiara di essere incline all’utilizzo di informazioni numeriche e ad attività cognitive impegnative (rispettivamente, 36% e 40%); auto-efficacia e auto-controllo sono diffusi presso il 46% e il 24% del campione, rispettivamente; sono molto frequenti, infine, la propensione all’ottimismo e la fiducia negli altri (rispettivamente, 35% e 29%); l’ansia finanziaria, infine, caratterizza nella sua maggiore intensità il 10% del campione e si colloca a un livello ‘medio’ per il 40% degli intervistati (Fig. 2.2 – Fig. 2.7). Un ultimo profilo riguarda le ‘personalità finanziarie’ (cosiddetti behavioural investors’ type), di cui l’Indagine dà conto per la prima volta evidenziando, tra i caratteri più diffusi, la prevalenza dell’attitudine ad essere coscienzioso (Fig. 7).

 

Fig. 7. I behavioural investors’ types

 

La preferenza per le informazioni di tipo numerico sembra essere più frequente tra gli uomini e tra gli individui con un livello di istruzione più elevato, al contempo maggiormente inclini ad attività cognitive impegnative. La propensione verso l’ansia finanziaria è più comune tra le donne e gli intervistati con un grado di istruzione più basso, mentre risulta correlata negativamente con la percezione di auto-efficacia e l’ottimismo.

Non sorprende che pianificazione finanziaria, budgeting e risparmio si associno positivamente all’inclinazione verso le informazioni numeriche e alla capacità di auto-controllo, mentre l’ansia finanziaria sembra essere un fattore deterrente (si veda la Figura 4.4 del Rapporto).

… conoscenze finanziarie …

Risulta meno scontato, invece, il fatto che i comportamenti di financial control si correlino positivamente non solo con le conoscenze finanziarie effettive ma anche con le conoscenze percepite. Nel Rapporto per il 2018, le conoscenze finanziarie effettive sono state rilevate, come di consueto, sia rispetto a nozioni di base (in linea con le big five utilizzate da Anna Lusardi e coautori in numerosi studi) sia rispetto a nozioni più sofisticate. Le rilevazioni confermano il basso livello di financial knowledge delle famiglie italiane: in media, un intervistato su due non è in grado di definire correttamente le nozioni di base; il dato scende a meno di uno su cinque nel caso di concetti avanzati (Fig. 3.1). Le conoscenze percepite sono state misurate in vari modi: sia ex-ante (ossia prima di mettersi alla prova con il questionario) in una duplice declinazione (rispettivamente, una generica autovalutazione del livello complessivo di dimestichezza con nozioni economico-finanziarie e una specifica autovalutazione della conoscenza dei temi oggetto del questionario) sia ex post, consistente nella stima del numero di domande alle quali si pensa di aver risposto correttamente. Il 40% del campione dichiara di avere, nel complesso, un livello elevato di conoscenze finanziarie, anche se la stessa valutazione ex ante riferita alle singole nozioni oggetto di indagine registra in genere percentuali inferiori (Fig. 3.2). Tale disallineamento tra conoscenze effettive e percepite trova conferma anche nell’auto-valutazione ex post (Fig. 3.3 e Fig. 3.4). Il quadro delle conoscenze finanziarie si completa con la cosiddetta risk literacy, definita con riferimento alla familiarità con specifici prodotti finanziari e alla capacità di valutarne il rischio relativo. Tra gli strumenti più conosciuti si annoverano i titoli di Stato (indicati dal 54% degli intervistati), mentre solo il 10% del campione è in grado di ordinare correttamente alcune opzioni di investimento per livello di rischio (Rapporto, Fig. 3.6).

Le conoscenze finanziarie (reali e percepite) sono positivamente correlate al livello di istruzione e ad alcune inclinazioni personali (apprezzamento delle informazioni numeriche e delle attività cognitive impegnative), mentre risultano negativamente associate con l’ansia finanziaria. La cultura finanziaria, inoltre, mostra una correlazione negativa con la propensione a sopravvalutare le proprie conoscenze (così come emerge dall’auto-valutazione ex-post; Rapporto, Fig. 3.7).

Ulteriori approfondimenti dell’analisi delle attitudini individuali richiederebbero di rilevare anche le propensioni effettive: le distorsioni legate all’autorappresentazione potrebbero infatti generare un giudizio troppo favorevole della propria inclinazione verso ragionamento complesso, auto-efficacia e auto-controllo, ad esempio, che spiegherebbe l’associazione positiva tra tali attitudini e livello di conoscenze percepite.

… e attitudine al rischio e alle perdite

La maggior parte del campione mostra un’elevata avversione alle perdite (Fig. 3.9) e dichiara di non essere orientata all’assunzione di rischio nelle scelte di investimento (Fig. 3.10 del Rapporto). Tali attitudini sono più frequenti al crescere dell’età e della propensione all’ansia finanziaria, mentre risultano negativamente correlate con le conoscenze finanziarie, la preferenza per le informazioni numeriche, l’apprezzamento per le attività impegnative sul piano cognitivo e la ricchezza (Fig. 3.11 del Rapporto). Contrariamente alle attese, l’avversione alle perdite e al rischio non si accompagna ad abitudini virtuose come quella della pianificazione finanziaria: gli individui che più degli altri temono le perdite o avversano il rischio generalmente non cercano di affrontare le proprie paure (come quella di perdite di capitale) optando per atteggiamenti più prudenti e attenti. Allo scopo di affinare la rilevazione della capacità emotiva di affrontare una riduzione del valore del capitale investito, Il Rapporto 2018 si arricchisce rispetto agli anni precedenti aggiungendo alle classiche domande volte alla misurazione di tolleranza al rischio e preferenza per il rischio una dedicata alla tolleranza alle perdite nel breve termine: tale attitudine, riferibile a circa un quarto degli intervistati, si associa positivamente alla decisione di partecipare ai mercati finanziari e ad altri comportamenti ‘virtuosi’, come ad esempio la propensione a non avvalersi del cosiddetto informal advice; essa è inoltre più frequente tra gli individui più sicuri della propria abilità di raggiungere gli obiettivi prefissati (auto-efficacia), più inclini all’auto-controllo e con conoscenze finanziarie più elevate (Rapporto, Fig. 3.11, Fig. 4.10 e Fig. 4.11).

 

Concludendo: dietro i comportamenti le intenzioni

Le associazioni tra attitudini, conoscenze, caratteristiche socio-demografiche e comportamenti di financial control trovano una potenziale sistematizzazione nell’ambito dello schema concettuale tracciato dalla cosiddetta Theory of planned behaviour (TPB), oggetto dell’approfondimento del Rapporto 2018.

Secondo questa teoria, infatti, i comportamenti osservati sono direttamente influenzati dalle intenzioni, che a loro volta sono associate a tre ‘costrutti psicologici’: l’attitudine verso il comportamento anche in termini di giudizio sulla sua importanza ed utilità; la pressione sociale avvertita a supporto del comportamento; il livello di controllo sul processo percepito. I costrutti psicologici sono a loro volta influenzati da caratteristiche individuali, profili socio-demografici e livelli di informazione e conoscenza.

Il Rapporto fornisce un primo spunto circa l’inquadramento del financial control nel contesto della TPB analizzando l’intenzione dichiarata dagli intervistati di controllare le spese familiari. Le evidenze raccolte mostrano che l’intenzione di porre in essere scelte e azioni che si traducano nel concreto monitoraggio del bilancio familiare appare generalmente bassa. Altrettanto bassa è la pressione sociale percepita verso tale comportamento, così come la capacità di controllo del processo che condurrebbe al comportamento.

In conclusione, sensibilizzare sull’importanza della pianificazione finanziaria, del monitoraggio e del risparmio sembrerebbe essere il primo passaggio da affrontare per innalzare la percezione della necessità e dell’utilità di adoperarsi per l’innalzamento del financial control. Ciò dovrebbe essere realizzato anche attraverso un programma di comunicazione efficace, in grado di fare leva sulle attitudini individuali sinergiche rispetto ai comportamenti virtuosi (ad esempio, l’auto-controllo) e di mitigare i tratti individuali che viceversa giocano un ruolo avverso (ad esempio, l’ansia finanziaria).

In tal senso, è fortemente auspicabile adottare un approccio multidisciplinare all’educazione finanziaria, in grado di coniugare i contenuti tecnici con metodologie didattiche di sensibilizzazione e motivazione all’apprendimento, che agiscano sia sulla sfera cognitiva sia sulla sfera emotiva dei destinatari delle iniziative.

 

Nadia Linciano

Monica Gentile

Paola Soccorso [1]

Note

[1] Ufficio studi economici, CONSOB. Il presente intervento riprende e sviluppa alcuni temi documentati nel Report CONSOB sulle scelte di investimento delle famiglie italiane, curato da Nadia Linciano, Monica Gentile e Paola Soccorso. Le opinioni espresse sono personali e non impegnano in alcun modo l’Istituzione di appartenenza.

[2] La prima sezione del Report illustra i trend di ricchezza e risparmio delle famiglie italiane e dell’area euro; la seconda delinea le caratteristiche socio-demografiche e le attitudini individuali degli intervistati; la terza esplora competenze finanziarie e attitudine verso il rischio; la quarta sezione è dedicata al financial control; la quinta e la sesta indagano, rispettivamente, le scelte d’investimento e la domanda di consulenza finanziaria. Il Focus del Rapporto 2018 applica la theory of planned behaviour alle intenzioni di accrescere la cultura finanziaria e monitorare il bilancio familiare.

[3] G20/OECD (2017), INFE Report on adult financial literacy in G20 countries.

Dic 152018
 

L’iniziativa di Finriskalert.it “Il termometro dei mercati finanziari” vuole presentare un indicatore settimanale sul grado di turbolenza/tensione dei mercati finanziari, con particolare attenzione all’Italia.

Significato degli indicatori

  • Rendimento borsa italiana: rendimento settimanale dell’indice della borsa italiana FTSEMIB;
  • Volatilità implicita borsa italiana: volatilità implicita calcolata considerando le opzioni at-the-money sul FTSEMIB a 3 mesi;
  • Future borsa italiana: valore del future sul FTSEMIB;
  • CDS principali banche 10Ysub: CDS medio delle obbligazioni subordinate a 10 anni delle principali banche italiane (Unicredit, Intesa San Paolo, MPS, Banco BPM);
  • Tasso di interesse ITA 2Y: tasso di interesse costruito sulla curva dei BTP con scadenza a due anni;
  • Spread ITA 10Y/2Y : differenza del tasso di interesse dei BTP a 10 anni e a 2 anni;
  • Rendimento borsa europea: rendimento settimanale dell’indice delle borse europee Eurostoxx;
  • Volatilità implicita borsa europea: volatilità implicita calcolata sulle opzioni at-the-money sull’indice Eurostoxx a scadenza 3 mesi;
  • Rendimento borsa ITA/Europa: differenza tra il rendimento settimanale della borsa italiana e quello delle borse europee, calcolato sugli indici FTSEMIB e Eurostoxx;
  • Spread ITA/GER: differenza tra i tassi di interesse italiani e tedeschi a 10 anni;
  • Spread EU/GER: differenza media tra i tassi di interesse dei principali paesi europei (Francia, Belgio, Spagna, Italia, Olanda) e quelli tedeschi a 10 anni;
  • Euro/dollaro: tasso di cambio euro/dollaro;
  • Spread US/GER 10Y: spread tra i tassi di interesse degli Stati Uniti e quelli tedeschi con scadenza 10 anni;
  • Prezzo Oro: quotazione dell’oro (in USD)
  • Spread 10Y/2Y Euro Swap Curve: differenza del tasso della curva EURO ZONE IRS 3M a 10Y e 2Y;
  • Euribor 6M: tasso euribor a 6 mesi.

I colori sono assegnati in un’ottica VaR: se il valore riportato è superiore (inferiore) al quantile al 15%, il colore utilizzato è l’arancione. Se il valore riportato è superiore (inferiore) al quantile al 5% il colore utilizzato è il rosso. La banda (verso l’alto o verso il basso) viene selezionata, a seconda dell’indicatore, nella direzione dell’instabilità del mercato. I quantili vengono ricostruiti prendendo la serie storica di un anno di osservazioni: ad esempio, un valore in una casella rossa significa che appartiene al 5% dei valori meno positivi riscontrati nell’ultimo anno. Per le prime tre voci della sezione “Politica Monetaria”, le bande per definire il colore sono simmetriche (valori in positivo e in negativo). I dati riportati provengono dal database Thomson Reuters. Infine, la tendenza mostra la dinamica in atto e viene rappresentata dalle frecce: ↑,↓, ↔  indicano rispettivamente miglioramento, peggioramento, stabilità.

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Dic 082018
 

Insurers have made increasing use of cloud computing in recent years. Cloud services were initially applied to business support functions, such as customer management or collaboration applications. Currently, cloud computing is being used in core business functions, such as product development, distribution, underwriting or claims administration.

Cloud computing brings a number of benefits to the insurance industry. It lets insurers share available-on-demand networks, servers, storage, application and services that can be rapidly scaled up or down, and accessed anytime and anywhere. In this way, cloud computing allows insurers to quickly launch new products and services, make business processes more efficient and reduce information technology (IT) costs.

The use of third-party cloud computing services may pose risks that are different from traditional outsourcing arrangements. Besides the operational risks of any outsourcing activity, cloud computing may pose additional risks to the insurance sector, given (i) shared computing resources in some cloud deployment models; (ii) the type of information that is stored and processed; (iii) the different geographical location of computing resources and providers; as well as (iv) the small number of global cloud providers, resulting in market concentration that could have systemic implications. The cross-border nature of cloud services complicates the effective oversight of all these risks.

The Financial Stability Institute (FSI) of the bank for International Settlement (BIS) outlines the emerging regulatory and supervisory approaches in selected jurisdictions to cloud computing activities in the insurance sector. Using publicly available information and interviews with relevant officials, we analyse the regulatory and supervisory approaches of 14 authorities worldwide and present key insights on the emerging prudential treatment of cloud computing in the insurance industry.

Authorities apply their frameworks for general outsourcing and for governance, risk management and information security to cloud computing. Some authorities include cloud-specific sections in these frameworks. Other authorities have issued cloud-specific recommendations or supervisory expectations. Regardless of the approach taken, cloud computing arrangements are subject to regulatory requirements only if they are deemed as material. However, the criteria for deciding whether such arrangements are material vary across jurisdictions.

Regulatory frameworks have a number of common requirements and expectations for cloud computing. Authorities generally focus on (i) the adequacy of information security and data confidentiality; (ii) the strength of IT and cyber-security capabilities at cloud service providers; (iii) the effectiveness of recovery and resumption capabilities; and (iv) the adequacy of audit rights (ie the supervisory authority’s access to documentation and information, and ability to conduct on-site inspections at the provider). Also, authorities are generally using non-binding guidance through principles and recommendations and adopting a proportionate approach (ie tailored to reflect the size, complexity or risk profile of financial institutions or outsourced service).

Cloud computing outsourcing arrangements are generally supervised as part of the oversight of operational risks. Authorities usually assess cloud computing practices as part of insurance companies’ off-site and on-site reviews of operational risk, following a risk-based approach. Before an insurer enters into a cloud servicing agreement, some authorities require notification, while others prescribe a consultation or approval process: the approaches to this communication vary widely. At the very least, most authorities expect informal communication from insurers on their material cloud computing plans.

Authorities are increasingly using thematic reviews and informal contacts with cloud providers to complement their oversight of the cloud computing business. Targeted reviews on the use of cloud services in the financial/insurance industry or on closely related areas such as information security risks are helping authorities to gain an industry-wide perspective on cloud computing. In addition, some authorities have established a dialogue with cloud service providers with the aim of better understanding the cloud services business and, in particular, its evolution over time. This helps supervisors to evaluate how insurers are managing cloud-related risks.

The study yields some useful insights on the emerging regulatory and supervisory approaches for cloud computing in the insurance sector. Some key specific considerations for insurance authorities include:

  • There is value in clarifying regulatory/supervisory expectations on insurers’ use of cloud computing services. The usefulness of this approach is to address the unique risks posed by cloud computing and to provide a reasonable level of regulatory certainty with respect to the use of cloud services by the financial industry.
  • Developing a supervisory framework to assess concentration risk in cloud computing is work in progress. While authorities generally acknowledge that reliance on a relatively small number of providers may result in systemic risk for insurers, very few perform industry reviews of the concentration risks arising from cloud service providers.
  • Enhancing cross-border cooperation, particularly in terms of information-sharing, is essential for the effective supervision of the cloud computing business. Users and providers of cloud services may be located in different jurisdictions. Even if they are physically in the same place, data storage could be elsewhere. Therefore, international cooperation between different national authorities, in particular by sharing relevant information on cloud service providers, is especially important when it comes to ensuring effective oversight of cloud activities.

 

Regulating and supervising the clouds: emerging prudential approaches for insurance companies (PDF)

Dic 082018
 
  1. The Financial Stability Board (FSB), in consultation with Basel Committee on Banking Supervision (BCBS) and national authorities, has identified the 2018 list of global systemically important banks (G-SIBs), using end-2017 data and the updated assessment methodology published by the BCBS in July 2013. One bank has been added to and two banks have been removed from the list of G-SIBs that were identified in 2017, and therefore the overall number of G-SIBs decreases from 30 to 29 (see Annex).
  2. The changes in the allocation of the institutions to buckets (see below for details) reflects the effects of changes in underlying activity of banks.
  3. In November 2011 the FSB published an integrated set of policy measures to address the systemic and moral hazard risks associated with systemically important financial institutions (SIFIs). In that publication, the FSB identified as global systemically important financial institutions (G-SIFIs) an initial group of G-SIBs, using a methodology developed by the BCBS. The November 2011 report noted that the group of G-SIBs would be updated annually based on new data and published by the FSB each November.
  4. FSB member authorities apply the following requirements to G-SIBs:

    Higher capital buffer: Since the November 2012 update, the G-SIBs have been allocated to buckets corresponding to higher capital buffers that they are required to hold by national authorities in accordance with international standards. Higher capital buffer requirements began to be phased in from 1 January 2016 for G-SIBs (based on the November 2014 assessment) with full implementation by 1 January 2019. The capital buffer requirements for the G-SIBs identified in the annual update each November will apply to them as from January fourteen months later. The assignment of G-SIBs to the buckets, in the list published today, determines the higher capital buffer requirements that will apply to each G-SIB from 1 January 2020.

    Total Loss-Absorbing Capacity (TLAC): G-SIBs are required to meet the TLAC standard, alongside the regulatory capital requirements set out in the Basel III framework. The TLAC standard will be phased-in from 1 January 2019 for G-SIBs identified in the 2015 list (provided that they continue to be designated as G-SIBs thereafter).

    Resolvability: These include group-wide resolution planning and regular resolvability assessments. The resolvability of each G-SIB is also reviewed in a high-level FSB Resolvability Assessment Process (RAP) by senior regulators within the firms’ Crisis Management Groups.Higher supervisory expectations: These include supervisory expectations for risk management functions, risk data aggregation capabilities, risk governance and internal controls.

  1. In November 2014 the BCBS published a technical summary of the methodology. The BCBS publishes the annually updated denominators used to calculate banks’ scores and the thresholds used to allocate the banks to buckets and provides the links to the public disclosures of the full sample of banks assessed, as determined by the sample criteria set out in the BCBS G-SIB framework. From this year, the BCBS also publishes the twelve high-level indicators of the banks in the main sample used in the G-SIB scoring exercise.
  2. The BCBS published in July 2018 a revised version of its assessment methodology, replacing the July 2013 version.10 The revised assessment methodology will take effect in 2021 (based on end-2020 data), and the resulting higher capital buffer requirement would be applied in January 2023.
  3. A new list of G-SIBs will next be published in November 2019.

Table 1: G-SIBs as of November 201811 allocated to buckets corresponding to required levels of additional capital buffers

Source:  Financial Stability Board FSB G-SIB18

Dic 082018
 

L’iniziativa di Finriskalert.it “Il termometro dei mercati finanziari” vuole presentare un indicatore settimanale sul grado di turbolenza/tensione dei mercati finanziari, con particolare attenzione all’Italia.

Significato degli indicatori

  • Rendimento borsa italiana: rendimento settimanale dell’indice della borsa italiana FTSEMIB;
  • Volatilità implicita borsa italiana: volatilità implicita calcolata considerando le opzioni at-the-money sul FTSEMIB a 3 mesi;
  • Future borsa italiana: valore del future sul FTSEMIB;
  • CDS principali banche 10Ysub: CDS medio delle obbligazioni subordinate a 10 anni delle principali banche italiane (Unicredit, Intesa San Paolo, MPS, Banco BPM);
  • Tasso di interesse ITA 2Y: tasso di interesse costruito sulla curva dei BTP con scadenza a due anni;
  • Spread ITA 10Y/2Y : differenza del tasso di interesse dei BTP a 10 anni e a 2 anni;
  • Rendimento borsa europea: rendimento settimanale dell’indice delle borse europee Eurostoxx;
  • Volatilità implicita borsa europea: volatilità implicita calcolata sulle opzioni at-the-money sull’indice Eurostoxx a scadenza 3 mesi;
  • Rendimento borsa ITA/Europa: differenza tra il rendimento settimanale della borsa italiana e quello delle borse europee, calcolato sugli indici FTSEMIB e Eurostoxx;
  • Spread ITA/GER: differenza tra i tassi di interesse italiani e tedeschi a 10 anni;
  • Spread EU/GER: differenza media tra i tassi di interesse dei principali paesi europei (Francia, Belgio, Spagna, Italia, Olanda) e quelli tedeschi a 10 anni;
  • Euro/dollaro: tasso di cambio euro/dollaro;
  • Spread US/GER 10Y: spread tra i tassi di interesse degli Stati Uniti e quelli tedeschi con scadenza 10 anni;
  • Prezzo Oro: quotazione dell’oro (in USD)
  • Spread 10Y/2Y Euro Swap Curve: differenza del tasso della curva EURO ZONE IRS 3M a 10Y e 2Y;
  • Euribor 6M: tasso euribor a 6 mesi.

I colori sono assegnati in un’ottica VaR: se il valore riportato è superiore (inferiore) al quantile al 15%, il colore utilizzato è l’arancione. Se il valore riportato è superiore (inferiore) al quantile al 5% il colore utilizzato è il rosso. La banda (verso l’alto o verso il basso) viene selezionata, a seconda dell’indicatore, nella direzione dell’instabilità del mercato. I quantili vengono ricostruiti prendendo la serie storica di un anno di osservazioni: ad esempio, un valore in una casella rossa significa che appartiene al 5% dei valori meno positivi riscontrati nell’ultimo anno. Per le prime tre voci della sezione “Politica Monetaria”, le bande per definire il colore sono simmetriche (valori in positivo e in negativo). I dati riportati provengono dal database Thomson Reuters. Infine, la tendenza mostra la dinamica in atto e viene rappresentata dalle frecce: ↑,↓, ↔  indicano rispettivamente miglioramento, peggioramento, stabilità.

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Dic 072018
 

Benoît Cœuré, Member of the Executive Board of the ECB, informed the audience  of the second meeting of the Euro Cyber Resilience Board for pan-European Financial Infrastructures on the latest development in cyber finance across European markets.

The cyber threat facing the financial sector continues to be a challenge. From banking trojans affecting individual customers to systemic threats posed by ransomware and targeted attacks from advanced persistent threat (APT) groups, the landscape is evolving on a daily basis.

The Eurosystem cyber strategy for financial market infrastructures rests on three pillars: individual FMI resilience, sector resilience and strategic regulator-industry collaboration. I am pleased that in the last few months, the ECB and the Eurosystem have made significant progress in putting in place the building blocks for enhancing the cyber resilience of the European financial ecosystem and operationalising the strategy.

The ECB developed two key tools to improve FMI resilience: the cyber resilience oversight expectations (CROE and the TIBER-EU Framework.

The CROE serves three key purposes: (i) it provides FMIs with detailed steps on how to operationalise the CPMI-IOSCO Guidance on cyber resilience for financial market infrastructures, ensuring they are able to make improvements and enhance their cyber resilience over a sustained period of time; (ii) it provides overseers with clear expectations against which to assess FMIs under their responsibility; and (iii) it provides the basis for a meaningful discussion between the FMIs and their respective overseers.  The central banks of the Eurosystem will work closely with the various financial infrastructures to enhance their cyber resilience, with the CROE serving as a good basis for this work.

Enhancing cyber resilience is of crucial importance. Equally important, however, is to test whether the enhancements that have been introduced by individual entities are effective. To that end, the ECB published the TIBER-EU Framework in May and the TIBER-EU Services Procurement Guidelines in August. The hope is that over time, this sophisticated level of testing will help strengthen our financial infrastructures and raise standards among threat intelligence and red team testing providers.

In terms of sector resilience, exercises are a key component of building market-wide preparedness for a cyber incident. In March, we told you about our forthcoming market-wide exercise, which we held in June. The exercise, UNITAS, took the form of a facilitated discussion among market participants – many of whom are here today – on a cyber scenario. The scenario involved a cyberattack on a number of financial infrastructures, resulting in a loss of data integrity and a knock-on effect on other financial infrastructures.

With regard to strategic regulator-industry collaboration, our third pillar, the Euro Cyber Resilience Board (ECRB) for pan-European Financial Infrastructures was formally established in March 2018, as a forum for strategic discussions between financial infrastructures and authorities. As you know, our objectives are to raise awareness of the topic of cyber resilience; to act as a catalyst for joint initiatives to develop effective solutions for the market; and to provide a place to share best practices and foster trust and collaboration.

Of course, cyber risk is borderless and it is an international issue. So the Eurosystem’s initiatives are part of a growing international effort to combat cyber threats. In October this year, G7 ministers and central bank governors published the “Fundamental Elements for Threat-Led Penetration Testing”, which complements the TIBER-EU Framework, and the “Fundamental Elements for Third Party Cyber Risk Management in the Financial Sector”. In 2019, the G7 Cyber Expert Group will move ahead with conducting the first global cross-border cyber crisis simulation exercise.

In November, the Financial Stability Board (FSB) published a Cyber Lexicon. Having a common set of definitions in non-technical language will support the work of the FSB, standard-setting bodies, authorities and financial institutions to address cyber security and cyber resilience in the financial sector. The ECB continues to participate in these international fora, ensuring that global initiatives are aligned with our work in Europe.

From an operational perspective, the Market Infrastructure Board, which is in charge of the Eurosystem-operated financial infrastructures, continues to scale up its activities to ensure the continued cyber resilience of its systems and platforms.

In March, four key areas for further focus were identified: 1) crisis management and incident response; 2) information sharing; 3) awareness and training; and 4) third-party risk. There was general agreement that these key areas warranted further thought and focus. The UNITAS exercise further confirmed that these areas require attention.